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. JPMorgan Chase & Co. 1111 Polaris Parkway Columbus, OH 43240 | Jon S. Rand, Esq. Dechert LLP 1095 Avenue of the Americas New York, NY 10036 |
Registrant’s telephone number, including area code: 1-844-457-6383
Date of fiscal year end: Last day of February
Date of reporting period: March 1, 2023 through February 29, 2024
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 Active Bond ETF | JBND | New York Stock Exchange LLC |
JPMorgan Core Plus Bond ETF | JCPB | Cboe BZX Exchange, Inc. |
JPMorgan Income ETF | JPIE | NYSE Arca, Inc. |
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, Inc. |
JPMorgan Ultra-Short Income ETF | JPST | NYSE Arca, Inc. |
JPMorgan Ultra-Short Municipal Income ETF | JMST | Cboe BZX Exchange, Inc. |
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9 | |
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295 |
“The global economic outlook for the year ahead remains positive and financial markets appear more resilient than a year ago.” — 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 29, 2024 | J.P. Morgan Exchange-Traded Funds | 1 |
2 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 5.95% |
Market Price ** | 6.23% |
Bloomberg U.S. Aggregate Index | 3.33% |
Net Assets as of 2/29/2024 | $195,376,421 |
Duration as of 2/29/2024 | 6.1 Years |
Fund Ticker | JBND |
PORTFOLIO COMPOSITION AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
Asset-Backed Securities | 22.2% |
Mortgage-Backed Securities | 21.9 |
U.S. Treasury Obligations | 20.3 |
Corporate Bonds | 14.9 |
Collateralized Mortgage Obligations | 5.6 |
Commercial Mortgage-Backed Securities | 5.2 |
Others (each less than 1.0%) | 0.1 |
Short-Term Investments | 9.8 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 3 |
INCEPTION DATE | CUMULATIVE SINCE INCEPTION | |
JPMorgan Active Bond ETF | ||
Net Asset Value | October 11, 2023 | 5.95 % |
Market Price | 6.23 |
4 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 4.58% |
Market Price ** | 4.65% |
Bloomberg U.S. Aggregate Index | 3.33% |
Net Assets as of 2/29/2024 | $2,630,096,493 |
Duration as of 2/29/2024 | 6.3 Years |
Fund Ticker | JCPB |
PORTFOLIO COMPOSITION AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
Corporate Bonds | 28.1% |
Mortgage-Backed Securities | 24.3 |
Asset-Backed Securities | 16.1 |
U.S. Treasury Obligations | 9.8 |
Commercial Mortgage-Backed Securities | 5.6 |
Collateralized Mortgage Obligations | 3.3 |
Loan Assignments | 1.0 |
Others (each less than 1.0%) | 0.9 |
Short-Term Investments | 10.9 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 5 |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |
JPMorgan Core Plus Bond ETF | ||||
Net Asset Value | January 28, 2019 | 4.58 % | 1.48 % | 1.64 % |
Market Price | 4.65 | 1.47 | 1.69 |
6 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 6.67% |
Market Price ** | 6.27% |
Bloomberg U.S. Aggregate Index | 3.33% |
Net Assets as of 2/29/2024 | $1,071,983,762 |
Duration as of 2/29/2024 | 2.9 Years |
Fund Ticker | JPIE |
PORTFOLIO COMPOSITION AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
Corporate Bonds | 34.0% |
Commercial Mortgage-Backed Securities | 20.6 |
Mortgage-Backed Securities | 18.8 |
Asset-Backed Securities | 16.2 |
Collateralized Mortgage Obligations | 5.6 |
Foreign Government Securities | 3.2 |
Exchange-Traded Funds | 1.4 |
Others (each less than 1.0%) | 0.1 |
Short-Term Investments | 0.1 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 7 |
INCEPTION DATE | 1 YEAR | SINCE INCEPTION | |
JPMorgan Income ETF | |||
Net Asset Value | October 28, 2021 | 6.67 % | 0.51 % |
Market Price | 6.27 | 0.67 |
securities, and asset-backed securities. Investors cannot invest directly in an index.
8 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 6.08% |
Market Price ** | 6.31% |
Bloomberg Multiverse ex-USA (USD Hedged) Index | 7.12% |
Net Assets as of 2/29/2024 | $415,646,453 |
Duration as of 2/29/2024 | 3.8 Years |
Fund Ticker | JPIB |
PORTFOLIO COMPOSITION AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
Corporate Bonds | 61.2% |
Foreign Government Securities | 32.3 |
U.S. Treasury Obligations | 1.1 |
Asset-Backed Securities | 1.0 |
Others (each less than 1.0%) | 1.4 |
Short-Term Investments | 3.0 |
PORTFOLIO COMPOSITION BY COUNTRY AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
United States | 13.8% |
United Kingdom | 11.5 |
Spain | 9.4 |
France | 8.5 |
Brazil | 7.6 |
Italy | 5.6 |
Canada | 5.2 |
Mexico | 4.9 |
Germany | 4.4 |
Australia | 3.0 |
Ireland | 2.2 |
Netherlands | 2.1 |
Luxembourg | 1.8 |
Czech Republic | 1.7 |
Switzerland | 1.6 |
South Africa | 1.5 |
Others (each less than 1.0%) | 12.2 |
Short-Term Investments | 3.0 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 9 |
10 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |
JPMorgan International Bond Opportunities ETF | ||||
Net Asset Value | April 5, 2017 | 6.08 % | 2.95 % | 2.98 % |
Market Price | 6.31 | 3.05 | 3.08 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 11 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 5.46% |
Market Price ** | 5.48% |
Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index | 4.62% |
Net Assets as of 2/29/2024 | $1,221,487,390 |
Duration as of 2/29/2024 | 5.6 Years |
Fund Ticker | JMUB |
CREDIT QUALITY ALLOCATIONS AS OF FEBRUARY 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
AAA | 36.3% |
AA | 41.5 |
A | 13.1 |
BBB | 4.7 |
BB | 1.2 |
NR | 3.2 |
12 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |
JPMorgan Municipal ETF | ||||
Net Asset Value | October 29, 2018 | 5.46 % | 2.19 % | 2.94 % |
Market Price | 5.48 | 2.17 | 2.96 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 13 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 5.26% |
Market Price ** | 5.41% |
Bloomberg 1-5 Year Government/Credit Index | 4.54% |
Net Assets as of 2/29/2024 | $410,557,850 |
Duration as of 2/29/2024 | 2.6 Years |
Fund Ticker | JSCP |
PORTFOLIO COMPOSITION AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
Corporate Bonds | 35.5% |
Asset-Backed Securities | 18.5 |
U.S. Treasury Obligations | 18.0 |
Mortgage-Backed Securities | 12.1 |
Commercial Mortgage-Backed Securities | 4.3 |
Collateralized Mortgage Obligations | 4.2 |
Foreign Government Securities | 1.1 |
Others (each less than 1.0%) | 0.0**** |
Short-Term Investments | 6.3 |
14 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 15 |
INCEPTION DATE | 1 YEAR | SINCE INCEPTION | |
JPMorgan Short Duration Core Plus ETF | |||
Net Asset Value | March 1, 2021 | 5.26 % | 0.14 % |
Market Price | 5.41 | 0.16 |
16 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 5.29% |
Market Price ** | 5.31% |
ICE BofA 3-Month US Treasury Bill Index | 5.25% |
Net Assets as of 2/29/2024 | $22,514,509,028 |
Duration as of 2/29/2024 | 0.6 Years |
Fund Ticker | JPST |
PORTFOLIO COMPOSITION BY SECTOR AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
Financials | 37.8% |
Commercial Paper | 14.1 |
Certificates of Deposits | 11.4 |
Asset-Backed Securities | 11.1 |
Utilities | 4.2 |
Health Care | 2.4 |
Consumer Discretionary | 2.3 |
Industrials | 2.3 |
U.S. Treasury Obligations | 2.3 |
Energy | 2.1 |
Information Technology | 1.4 |
Others (each less than 1.0%) | 2.6 |
Other Short-Term Investments | 6.0 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 17 |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |
JPMorgan Ultra-Short Income ETF | ||||
Net Asset Value | May 17, 2017 | 5.29 % | 2.40 % | 2.35 % |
Market Price | 5.31 | 2.40 | 2.36 |
18 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 3.59% |
Market Price ** | 3.67% |
Bloomberg 1-Year Municipal Bond Index | 3.53% |
Net Assets as of 2/29/2024 | $2,636,616,919 |
Duration as of 2/29/2024 | 0.5 Years |
Fund Ticker | JMST |
CREDIT QUALITY ALLOCATIONS AS OF FEBRUARY 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
AAA | 27.9% |
AA | 33.7 |
A | 19.2 |
BBB | 0.8 |
NR | 18.4 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 19 |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |
JPMorgan Ultra-Short Municipal Income ETF | ||||
Net Asset Value | October 16, 2018 | 3.59 % | 1.62 % | 1.72 % |
Market Price | 3.67 | 1.61 | 1.73 |
20 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — 23.9% | ||
ACM Auto Trust Series 2023-2A, Class A, 7.97%, 6/20/2030 (a) | 268,121 | 269,652 |
American Credit Acceptance Receivables Trust Series 2023-4, Class C, 6.99%, 9/12/2030 (a) | 430,000 | 438,663 |
AMSR Trust | ||
Series 2020-SFR2, Class E1, 4.03%, 7/17/2037 (a) | 253,000 | 244,280 |
Series 2020-SFR2, Class E2, 4.28%, 7/17/2037 (a) | 500,000 | 482,782 |
Series 2020-SFR4, Class D, 2.01%, 11/17/2037 (a) | 544,000 | 507,753 |
Series 2021-SFR1, Class D, 2.60%, 6/17/2038 (a) | 1,000,000 | 875,956 |
Series 2021-SFR2, Class A, 1.53%, 8/17/2038 (a) | 100,000 | 91,143 |
Series 2021-SFR3, Class C, 1.80%, 10/17/2038 (a) | 380,000 | 343,288 |
Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 (a) | 620,000 | 555,064 |
Series 2023-SFR1, Class E1, 4.00%, 4/17/2040 (a) | 520,000 | 471,303 |
Series 2023-SFR2, Class E1, 3.95%, 6/17/2040 (a) | 550,000 | 485,114 |
Bridge Trust Series 2022-SFR1, Class A, 3.40%, 11/17/2037 (a) | 350,000 | 335,702 |
Bridgecrest Lending Auto Securitization Trust Series 2023-1, Class C, 7.10%, 8/15/2029 | 350,000 | 359,136 |
Business Jet Securities LLC Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (a) | 691,315 | 646,756 |
BXG Receivables Note Trust Series 2022-A, Class C, 5.35%, 9/28/2037 (a) | 251,271 | 237,543 |
Carvana Auto Receivables Trust | ||
Series 2023-N1, Class B, 5.85%, 11/10/2027 (a) | 660,000 | 659,283 |
Series 2021-P4, Class A4, 1.64%, 12/10/2027 | 400,000 | 371,598 |
Series 2022-P1, Class A4, 3.52%, 2/10/2028 | 300,000 | 287,558 |
CPS Auto Receivables Trust Series 2023-D, Class C, 7.17%, 1/15/2030 (a) | 400,000 | 410,071 |
Credit Acceptance Auto Loan Trust | ||
Series 2021-2A, Class C, 1.64%, 6/17/2030 (a) | 800,000 | 785,700 |
Series 2021-4, Class A, 1.26%, 10/15/2030 (a) | 338,403 | 332,873 |
Series 2021-4, Class C, 1.94%, 2/18/2031 (a) | 480,000 | 454,981 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2023-2A, Class A, 5.92%, 5/16/2033 (a) | 600,000 | 602,095 |
DP Lion Holdco LLC Series 2023-1A, Class A, 8.24%, 11/30/2043 ‡ | 250,000 | 251,946 |
FHF Issuer Trust | ||
Series 2023-2A, Class B, 7.49%, 11/15/2029 (a) | 450,000 | 462,344 |
Series 2024-1A, Class B, 6.26%, 3/15/2030 (a) | 158,000 | 157,354 |
First Investors Auto Owner Trust Series 2023-1A, Class C, 6.81%, 12/17/2029 (a) | 340,000 | 347,536 |
FirstKey Homes Trust | ||
Series 2020-SFR1, Class D, 2.24%, 8/17/2037 (a) | 400,000 | 375,960 |
Series 2020-SFR1, Class E, 2.79%, 8/17/2037 (a) | 500,000 | 471,450 |
Series 2020-SFR2, Class C, 1.67%, 10/19/2037 (a) | 295,000 | 274,436 |
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (a) | 615,000 | 575,765 |
Series 2021-SFR1, Class C, 1.89%, 8/17/2038 (a) | 450,000 | 407,761 |
Series 2022-SFRA, Class A, 3.10%, 3/17/2039 (a) | 297,218 | 275,023 |
FMC GMSR Issuer Trust | ||
Series 2020-GT1, Class A, 4.45%, 1/25/2026 (a) (b) | 1,600,000 | 1,454,567 |
Series 2021-GT1, Class A, 3.62%, 7/25/2026 (a) (b) | 463,095 | 402,737 |
Series 2021-GT1, Class B, 4.36%, 7/25/2026 (a) (b) | 600,000 | 498,696 |
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (a) (b) | 522,400 | 454,564 |
Series 2022-GT1, Class B, 7.17%, 4/25/2027 (a) | 500,000 | 465,192 |
Foundation Finance Trust Series 2023-2A, Class D, 9.10%, 6/15/2049 (a) | 500,000 | 511,617 |
FRTKL Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (a) | 545,000 | 488,945 |
GLS Auto Receivables Issuer Trust Series 2021-4A, Class D, 2.48%, 10/15/2027 (a) | 1,000,000 | 942,090 |
GLS Auto Select Receivables Trust | ||
Series 2023-2A, Class A3, 6.38%, 2/15/2029 (a) | 500,000 | 511,319 |
Series 2024-1A, Class C, 5.69%, 3/15/2030 (a) | 300,000 | 298,157 |
Series 2024-1A, Class D, 6.43%, 1/15/2031 (a) | 295,000 | 297,286 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 21 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Goodgreen Ltd. | ||
Series 2024-1A, Class A, 6.29%, 7/15/2056 (a) | 500,000 | 489,996 |
Series 2024-1A, Class B, 8.12%, 7/15/2056 (a) | 500,000 | 489,997 |
Goodgreen Trust Series 2016-1A, Class A, 3.23%, 10/15/2052 ‡ (a) | 712,960 | 638,485 |
Granite Park Equipment Leasing LLC | ||
Series 2023-1A, Class A3, 6.46%, 9/20/2032 (a) | 354,000 | 361,188 |
Series 2023-1A, Class D, 7.00%, 8/22/2033 (a) | 350,000 | 346,935 |
HERO Funding (Cayman Islands) Series 2017-3A, Class A1, 3.19%, 9/20/2048 ‡ (a) | 479,326 | 413,552 |
HERO Funding Trust (Cayman Islands) Series 2020-1A, Class A, 2.59%, 9/20/2057 ‡ (a) | 551,366 | 450,583 |
Hilton Grand Vacations Trust Series 2022-2A, Class B, 4.74%, 1/25/2037 (a) | 415,682 | 401,114 |
HIN Timeshare Trust Series 2020-A, Class A, 1.39%, 10/9/2039 (a) | 316,698 | 294,098 |
Home Partners of America Trust Series 2020-2, Class E, 3.08%, 1/17/2041 (a) | 492,797 | 409,797 |
Lendmark Funding Trust | ||
Series 2021-1A, Class B, 2.47%, 11/20/2031 (a) | 400,000 | 346,099 |
Series 2021-2A, Class B, 2.37%, 4/20/2032 (a) | 500,000 | 425,031 |
Series 2022-1A, Class E, 7.58%, 7/20/2032 ‡ (a) | 775,000 | 742,836 |
Mariner Finance Issuance Trust | ||
Series 2020-AA, Class A, 2.19%, 8/21/2034 (a) | 161,091 | 158,734 |
Series 2020-AA, Class B, 3.21%, 8/21/2034 (a) | 200,000 | 192,140 |
Series 2021-AA, Class B, 2.33%, 3/20/2036 (a) | 310,000 | 275,781 |
Series 2021-AA, Class C, 2.96%, 3/20/2036 (a) | 200,000 | 176,457 |
Series 2021-AA, Class D, 3.83%, 3/20/2036 (a) | 225,000 | 197,274 |
Series 2021-BA, Class C, 2.66%, 11/20/2036 (a) | 200,000 | 171,153 |
Merchants Fleet Funding LLC Series 2023-1A, Class A, 7.21%, 5/20/2036 (a) | 500,000 | 503,681 |
MNR ABS Issuer I LLC, 8.95%, 12/15/2038 ‡ | 245,557 | 247,198 |
New Residential Mortgage Loan Trust Series 2022-SFR1, Class B, 2.85%, 2/17/2039 (a) | 455,000 | 420,175 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
NRZ Excess Spread-Collateralized Notes | ||
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a) | 470,971 | 441,053 |
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (a) | 485,394 | 451,762 |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a) | 307,543 | 285,879 |
NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (a) | 523,755 | 502,883 |
Oportun Issuance Trust | ||
Series 2024-1A, Class B, 6.55%, 4/8/2031 (a) | 206,000 | 205,447 |
Series 2021-B, Class C, 3.65%, 5/8/2031 (a) | 1,400,000 | 1,312,923 |
Series 2021-C, Class A, 2.18%, 10/8/2031 (a) | 168,000 | 157,908 |
Series 2021-C, Class B, 2.67%, 10/8/2031 (a) | 665,000 | 621,484 |
Pagaya AI Technology in Housing Trust Series 2023-1, Class A, 3.60%, 10/25/2040 (a) | 550,000 | 502,902 |
Pretium Mortgage Credit Partners LLC | ||
Series 2022-NPL1, Class A1, 2.98%, 1/25/2052 (a) (c) | 458,110 | 452,838 |
Series 2021-RN1, Class A1, 1.99%, 2/25/2061 (a) (c) | 174,091 | 169,251 |
Progress Residential | ||
Series 2021-SFR3, Class A, 1.64%, 5/17/2026 (a) | 98,748 | 91,090 |
Series 2021-SFR1, Class C, 1.56%, 4/17/2038 (a) | 500,000 | 456,568 |
Progress Residential Trust | ||
Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 (a) | 700,000 | 655,671 |
Series 2023-SFR2, Class D, 4.50%, 10/17/2028 (a) | 450,000 | 419,305 |
Series 2021-SFR6, Class A, 1.52%, 7/17/2038 (a) | 99,569 | 91,001 |
Series 2023-SFR1, Class E2, 6.60%, 3/17/2040 (a) | 450,000 | 438,976 |
Series 2021-SFR7, Class A, 1.69%, 8/17/2040 (a) | 419,233 | 361,259 |
Series 2021-SFR10, Class E1, 3.57%, 12/17/2040 (a) | 741,195 | 647,388 |
Series 2022-SFR1, Class E1, 3.93%, 2/17/2041 (a) | 1,048,000 | 928,765 |
Series 2022-SFR4, Class A, 4.44%, 5/17/2041 (a) | 199,194 | 193,198 |
PRPM LLC Series 2021-7, Class A1, 1.87%, 8/25/2026 (a) (c) | 398,359 | 384,691 |
22 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Regional Management Issuance Trust Series 2022-1, Class B, 3.71%, 3/15/2032 (a) | 300,000 | 280,631 |
Renew | ||
Series 2023-1A, Class A, 5.90%, 11/20/2058 ‡ (a) | 954,043 | 932,869 |
Series 2024-1A, Class A, 6.21%, 11/20/2059 ‡ (a) | 798,264 | 799,645 |
Republic Finance Issuance Trust Series 2020-A, Class B, 3.54%, 11/20/2030 (a) | 125,000 | 120,817 |
Santander Drive Auto Receivables Trust | ||
Series 2022-4, Class C, 5.00%, 11/15/2029 | 545,000 | 537,680 |
Series 2022-5, Class D, 5.67%, 12/16/2030 | 400,000 | 397,615 |
Series 2022-6, Class D, 5.69%, 2/18/2031 | 400,000 | 397,428 |
SCF Equipment Leasing LLC | ||
Series 2022-2A, Class A3, 6.50%, 10/21/2030 (a) | 600,000 | 606,035 |
Series 2023-1A, Class A3, 6.17%, 5/20/2032 (a) | 300,000 | 307,754 |
Series 2022-2A, Class D, 6.50%, 10/20/2032 (a) | 200,000 | 197,058 |
Series 2023-1A, Class D, 7.00%, 8/22/2033 (a) | 699,000 | 706,406 |
Sierra Timeshare Receivables Funding LLC | ||
Series 2021-2A, Class A, 1.35%, 9/20/2038 (a) | 88,559 | 82,924 |
Series 2021-2A, Class C, 1.95%, 9/20/2038 (a) | 26,047 | 24,192 |
Series 2023-1A, Class C, 7.00%, 1/20/2040 (a) | 393,065 | 394,847 |
Series 2022-2A, Class C, 6.36%, 6/20/2040 (a) | 356,579 | 353,267 |
Tricolor Auto Securitization Trust Series 2022-1A, Class D, 5.38%, 1/15/2026 (a) | 350,000 | 345,251 |
Tricon American Homes Trust Series 2020-SFR2, Class E1, 2.73%, 11/17/2039 (a) | 500,000 | 440,055 |
Tricon Residential Trust | ||
Series 2022-SFR1, Class E1, 5.34%, 4/17/2039 (a) | 272,000 | 262,340 |
Series 2023-SFR2, Class C, 5.00%, 12/17/2040 (a) | 300,000 | 291,228 |
Vericrest Opportunity Loan Transferee Series 2021-NP11, Class A1, 1.87%, 8/25/2051 (a) (c) | 526,229 | 505,883 |
VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (a) (c) | 70,089 | 67,396 |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 4.89%, 2/27/2051 (a) (c) | 135,430 | 131,394 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (c) | 140,037 | 136,853 |
Westlake Automobile Receivables Trust Series 2023-4A, Class D, 7.19%, 7/16/2029 (a) | 350,000 | 358,550 |
Total Asset-Backed Securities (Cost $45,968,768) | 46,775,703 | |
Mortgage-Backed Securities — 23.7% | ||
FHLMC Gold Pools, Other Pool # RE0003, 4.00%, 7/1/2049 | 557,551 | 523,315 |
FNMA UMBS, 30 Year | ||
Pool # AL9058, 3.50%, 9/1/2046 | 305,718 | 278,388 |
Pool # AL9397, 3.00%, 10/1/2046 | 391,700 | 342,053 |
Pool # BE9590, 3.50%, 5/1/2047 | 145,711 | 131,806 |
Pool # BQ1367, 2.50%, 9/1/2050 (d) | 1,054,619 | 878,227 |
Pool # BQ3137, 2.50%, 10/1/2050 | 431,565 | 362,679 |
Pool # CA8021, 2.50%, 12/1/2050 | 484,226 | 400,961 |
Pool # CB0458, 2.50%, 5/1/2051 | 470,828 | 390,134 |
Pool # FM7293, 2.50%, 5/1/2051 | 230,409 | 191,975 |
Pool # CB0397, 3.00%, 5/1/2051 | 275,311 | 237,921 |
Pool # FM7910, 2.50%, 7/1/2051 | 640,328 | 538,392 |
Pool # FM7957, 2.50%, 7/1/2051 (d) | 792,085 | 660,000 |
Pool # CB1406, 3.00%, 8/1/2051 | 824,702 | 711,417 |
Pool # FS5389, 2.50%, 11/1/2051 | 481,779 | 398,804 |
Pool # BU3608, 3.00%, 11/1/2051 | 147,658 | 127,374 |
Pool # BU9885, 2.50%, 1/1/2052 | 578,864 | 477,061 |
Pool # CB2855, 2.50%, 2/1/2052 | 770,657 | 643,597 |
Pool # CB3384, 4.00%, 4/1/2052 | 414,106 | 381,253 |
Pool # CB3775, 4.00%, 6/1/2052 | 380,082 | 350,038 |
Pool # BY9849, 6.00%, 10/1/2053 | 575,268 | 579,332 |
FNMA, Other | ||
Pool # BS2870, 1.27%, 8/1/2028 | 347,302 | 300,001 |
Pool # BL6257, 2.13%, 11/1/2028 | 1,205,488 | 1,070,668 |
Pool # BS5507, 3.23%, 11/1/2028 | 299,283 | 279,881 |
Pool # BS4928, 2.15%, 3/1/2029 | 2,646,000 | 2,351,817 |
Pool # BS5162, 2.73%, 9/1/2029 | 1,143,826 | 1,031,694 |
Pool # BL4429, 2.25%, 10/1/2029 | 299,588 | 264,744 |
Pool # AM6835, 3.58%, 10/1/2029 | 1,172,776 | 1,100,925 |
Pool # BL4333, 2.52%, 11/1/2029 | 376,692 | 336,330 |
Pool # AN8514, 3.27%, 2/1/2030 | 958,277 | 886,813 |
Pool # BS6161, 4.47%, 8/1/2030 | 493,110 | 482,785 |
Pool # BZ0392, 4.82%, 3/1/2031 | 799,578 | 799,286 |
Pool # BM6857, 1.83%, 12/1/2031 (b) | 1,497,555 | 1,215,838 |
Pool # BS5337, 3.01%, 4/1/2032 | 310,000 | 274,018 |
Pool # BS5581, 3.46%, 6/1/2032 | 370,150 | 338,308 |
Pool # BS5659, 3.66%, 6/1/2032 | 795,000 | 730,948 |
Pool # AN5759, 3.29%, 7/1/2032 | 1,137,587 | 1,023,942 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 23 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # BS5530, 3.30%, 7/1/2032 | 701,000 | 628,335 |
Pool # BS6132, 3.86%, 7/1/2032 | 415,000 | 388,813 |
Pool # BS6276, 3.97%, 8/1/2032 | 680,000 | 637,967 |
Pool # BS5718, 3.46%, 9/1/2032 | 900,000 | 813,161 |
Pool # BS6689, 3.83%, 9/1/2032 | 390,000 | 363,829 |
Pool # BS6417, 3.83%, 10/1/2032 | 497,612 | 463,950 |
Pool # BS6951, 3.90%, 10/1/2032 | 500,000 | 467,163 |
Pool # BS6619, 3.91%, 10/1/2032 | 593,768 | 553,393 |
Pool # BS6731, 3.78%, 11/1/2032 | 133,140 | 123,499 |
Pool # BZ0159, 4.98%, 1/1/2033 | 490,000 | 493,632 |
Pool # BS1636, 2.25%, 4/1/2033 | 750,000 | 614,363 |
Pool # BS1899, 2.17%, 5/1/2033 | 605,000 | 491,693 |
Pool # BS9616, 4.79%, 9/1/2033 | 300,000 | 298,233 |
Pool # BZ0419, 4.25%, 1/1/2034 | 605,000 | 578,742 |
Pool # BZ0430, 4.32%, 2/1/2034 | 325,000 | 312,568 |
Pool # BL2213, 3.34%, 5/1/2034 | 1,000,000 | 889,918 |
Pool # BZ0565, 5.04%, 5/1/2034 | 1,000,000 | 1,013,171 |
Pool # BL3772, 2.92%, 10/1/2034 | 110,644 | 95,268 |
Pool # BL7071, 1.91%, 6/1/2035 | 383,000 | 286,012 |
Pool # AN4430, 3.61%, 1/1/2037 | 420,820 | 389,257 |
Pool # CA4632, 4.00%, 11/1/2043 (d) | 579,456 | 552,310 |
Pool # BF0189, 3.00%, 6/1/2057 | 689,372 | 587,107 |
FNMA/FHLMC UMBS, Single Family, 30 Year | ||
TBA, 2.50%, 3/25/2054 (d) | 6,410,000 | 5,265,878 |
TBA, 5.00%, 3/25/2054 (d) | 6,300,000 | 6,109,034 |
GNMA II Pool # CK7234 ARM, 6.44%, 2/20/2072 (b) | 416,435 | 426,640 |
GNMA II, 30 Year | ||
Pool # AQ6679, 3.50%, 10/20/2045 | 132,244 | 120,924 |
Pool # AK8802, 3.75%, 3/20/2046 | 299,383 | 277,443 |
Pool # CO8957, 5.00%, 12/20/2052 | 808,438 | 786,778 |
Pool # CX2674, 6.00%, 10/20/2053 | 228,289 | 232,283 |
GNMA II, Other Pool # AD0019, 3.50%, 2/20/2033 | 920,963 | 875,637 |
Total Mortgage-Backed Securities (Cost $45,270,400) | 46,229,726 | |
U.S. Treasury Obligations — 22.0% | ||
U.S. Treasury Bonds | ||
3.88%, 8/15/2040 | 600,000 | 561,188 |
4.25%, 11/15/2040 | 650,000 | 635,502 |
4.75%, 2/15/2041 | 1,679,000 | 1,741,438 |
4.38%, 8/15/2043 | 4,865,000 | 4,763,139 |
3.00%, 2/15/2048 | 1,920,000 | 1,491,975 |
3.00%, 8/15/2048 | 578,000 | 448,514 |
3.00%, 8/15/2052 | 1,077,000 | 832,614 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
4.13%, 8/15/2053 | 2,099,000 | 2,009,465 |
4.25%, 2/15/2054 | 760,000 | 745,750 |
U.S. Treasury Notes | ||
5.00%, 9/30/2025 | 1,055,000 | 1,058,379 |
4.25%, 12/31/2025 | 3,000,000 | 2,976,562 |
4.63%, 9/30/2028 | 7,785,000 | 7,890,523 |
4.38%, 11/30/2028 | 1,000,000 | 1,004,219 |
2.63%, 2/15/2029 | 2,800,000 | 2,594,484 |
2.38%, 3/31/2029 | 500,000 | 456,934 |
4.13%, 8/31/2030 | 4,735,000 | 4,692,274 |
4.88%, 10/31/2030 | 1,300,000 | 1,343,875 |
4.38%, 11/30/2030 | 1,000,000 | 1,005,313 |
3.75%, 12/31/2030 | 1,350,000 | 1,308,234 |
3.38%, 5/15/2033 | 1,800,000 | 1,679,203 |
3.88%, 8/15/2033 | 200,000 | 194,031 |
4.50%, 11/15/2033 | 2,455,000 | 2,501,415 |
U.S. Treasury STRIPS Bonds 5.51%, 2/15/2041 (e) | 2,249,000 | 1,016,959 |
Total U.S. Treasury Obligations (Cost $42,154,819) | 42,951,990 | |
Corporate Bonds — 16.1% | ||
Aerospace & Defense — 0.7% | ||
BAE Systems plc (United Kingdom) 5.80%, 10/11/2041 (a) | 100,000 | 100,850 |
Boeing Co. (The) | ||
5.15%, 5/1/2030 | 250,000 | 245,817 |
5.71%, 5/1/2040 | 160,000 | 155,857 |
3.38%, 6/15/2046 | 590,000 | 400,517 |
L3Harris Technologies, Inc. | ||
5.40%, 7/31/2033 | 100,000 | 100,071 |
4.85%, 4/27/2035 | 115,000 | 109,320 |
Northrop Grumman Corp. 5.15%, 5/1/2040 | 110,000 | 106,783 |
RTX Corp. 3.03%, 3/15/2052 | 170,000 | 111,130 |
1,330,345 | ||
Automobiles — 0.1% | ||
General Motors Co. 5.95%, 4/1/2049 | 130,000 | 125,224 |
Banks — 4.1% | ||
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (a) (f) | 200,000 | 173,950 |
Bank of America Corp. | ||
(SOFR + 1.06%), 2.09%, 6/14/2029 (f) | 500,000 | 439,390 |
(SOFR + 1.21%), 2.57%, 10/20/2032 (f) | 500,000 | 409,800 |
(SOFR + 1.65%), 5.47%, 1/23/2035 (f) | 355,000 | 353,973 |
24 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
Banque Federative du Credit Mutuel SA (France) 5.79%, 7/13/2028 (a) | 200,000 | 204,520 |
Barclays plc (United Kingdom) | ||
(SOFR + 2.98%), 6.22%, 5/9/2034 (f) | 200,000 | 202,496 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 3.33%, 11/24/2042 (f) | 200,000 | 144,790 |
BNP Paribas SA (France) (SOFR + 1.52%), 5.18%, 1/9/2030 (a) (f) | 400,000 | 396,256 |
BPCE SA (France) | ||
(SOFR + 1.98%), 6.61%, 10/19/2027 (a) (f) | 250,000 | 255,008 |
(SOFR + 2.59%), 7.00%, 10/19/2034 (a) (f) | 500,000 | 533,521 |
Citigroup, Inc. | ||
(3-MONTH CME TERM SOFR + 1.45%), 4.08%, 4/23/2029 (f) | 150,000 | 143,160 |
(SOFR + 1.18%), 2.52%, 11/3/2032 (f) | 250,000 | 202,922 |
Credit Agricole SA (France) (SOFR + 1.86%), 6.32%, 10/3/2029 (a) (f) | 250,000 | 257,656 |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (a) (f) | 400,000 | 400,849 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 1.29%), 2.21%, 8/17/2029 (f) | 200,000 | 173,639 |
(SOFR + 2.39%), 6.25%, 3/9/2034 (f) | 200,000 | 207,531 |
(SOFR + 2.65%), 6.33%, 3/9/2044 (f) | 200,000 | 210,273 |
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.70%), 5.87%, 3/6/2029 (f) | 200,000 | 201,901 |
Mizuho Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 5.75%, 7/6/2034 (f) | 200,000 | 203,995 |
National Australia Bank Ltd. (Australia) 2.33%, 8/21/2030 (a) (g) | 250,000 | 204,526 |
NatWest Group plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.95%), 5.81%, 9/13/2029 (f) | 200,000 | 202,034 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.78%, 3/1/2035 (f) | 480,000 | 479,045 |
Skandinaviska Enskilda Banken AB (Sweden) 5.38%, 3/5/2029 (a) | 205,000 | 204,270 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
Societe Generale SA (France) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (a) (f) | 200,000 | 162,129 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.95%), 6.69%, 1/10/2034 (a) (f) | 200,000 | 206,608 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.07%, 1/19/2035 (a) (f) | 214,000 | 210,861 |
Standard Chartered plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.10%, 1/11/2035 (a) (f) | 200,000 | 200,966 |
Truist Financial Corp. (SOFR + 1.92%), 5.71%, 1/24/2035 (f) | 115,000 | 113,853 |
US Bancorp (SOFR + 1.86%), 5.68%, 1/23/2035 (f) | 100,000 | 99,768 |
Wells Fargo & Co. | ||
(SOFR + 1.79%), 6.30%, 10/23/2029 (f) | 315,000 | 326,492 |
(SOFR + 2.06%), 6.49%, 10/23/2034 (f) | 265,000 | 281,830 |
(SOFR + 1.78%), 5.50%, 1/23/2035 (f) | 175,000 | 173,844 |
7,981,856 | ||
Beverages — 0.1% | ||
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 5.80%, 1/23/2059 | 155,000 | 164,543 |
Molson Coors Beverage Co. 4.20%, 7/15/2046 | 105,000 | 85,774 |
250,317 | ||
Biotechnology — 0.6% | ||
AbbVie, Inc. | ||
4.55%, 3/15/2035 | 150,000 | 143,709 |
4.05%, 11/21/2039 | 300,000 | 263,020 |
4.25%, 11/21/2049 | 255,000 | 218,765 |
Amgen, Inc. 5.75%, 3/2/2063 | 225,000 | 225,021 |
Gilead Sciences, Inc. 2.60%, 10/1/2040 | 315,000 | 219,916 |
1,070,431 | ||
Broadline Retail — 0.1% | ||
Amazon.com, Inc. 3.25%, 5/12/2061 | 160,000 | 110,089 |
Building Products — 0.1% | ||
Masco Corp. 6.50%, 8/15/2032 | 100,000 | 106,042 |
Capital Markets — 0.9% | ||
Bank of New York Mellon Corp. (The) | ||
(SOFR + 1.60%), 6.32%, 10/25/2029 (f) | 110,000 | 115,333 |
(SOFR + 1.85%), 6.47%, 10/25/2034 (f) | 110,000 | 119,323 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 25 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
Goldman Sachs Group, Inc. (The) | ||
(SOFR + 1.25%), 2.38%, 7/21/2032 (f) | 250,000 | 203,446 |
(3-MONTH CME TERM SOFR + 1.69%), 4.41%, 4/23/2039 (f) | 250,000 | 221,229 |
Morgan Stanley | ||
(SOFR + 1.59%), 5.16%, 4/20/2029 (f) | 250,000 | 248,570 |
(SOFR + 1.87%), 5.25%, 4/21/2034 (f) | 250,000 | 245,383 |
(SOFR + 1.73%), 5.47%, 1/18/2035 (f) | 66,000 | 65,922 |
UBS Group AG (Switzerland) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00%), 6.30%, 9/22/2034 (a) (f) | 400,000 | 413,514 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 3.18%, 2/11/2043 (a) (f) | 200,000 | 143,994 |
1,776,714 | ||
Chemicals — 0.2% | ||
CF Industries, Inc. 5.15%, 3/15/2034 | 100,000 | 96,768 |
DuPont de Nemours, Inc. 5.32%, 11/15/2038 | 80,000 | 79,080 |
LYB International Finance III LLC 4.20%, 10/15/2049 | 240,000 | 185,375 |
Nutrien Ltd. (Canada) 5.00%, 4/1/2049 | 85,000 | 76,846 |
438,069 | ||
Commercial Services & Supplies — 0.0% ^ | ||
Element Fleet Management Corp. (Canada) 6.32%, 12/4/2028 (a) | 70,000 | 71,795 |
Construction Materials — 0.0% ^ | ||
Martin Marietta Materials, Inc. 3.20%, 7/15/2051 | 85,000 | 58,766 |
Consumer Finance — 0.2% | ||
AerCap Ireland Capital DAC (Ireland) 3.00%, 10/29/2028 | 200,000 | 179,713 |
Avolon Holdings Funding Ltd. (Ireland) | ||
4.38%, 5/1/2026 (a) | 40,000 | 38,499 |
2.53%, 11/18/2027 (a) | 300,000 | 263,454 |
481,666 | ||
Consumer Staples Distribution & Retail — 0.2% | ||
7-Eleven, Inc. 1.80%, 2/10/2031 (a) | 100,000 | 79,677 |
Alimentation Couche-Tard, Inc. (Canada) | ||
3.44%, 5/13/2041 (a) | 125,000 | 94,698 |
5.62%, 2/12/2054 (a) | 110,000 | 109,645 |
Kroger Co. (The) 5.00%, 4/15/2042 | 95,000 | 87,162 |
371,182 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Diversified REITs — 0.1% | ||
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a) | 150,000 | 138,695 |
Simon Property Group LP 3.25%, 9/13/2049 | 85,000 | 58,908 |
WP Carey, Inc. 2.25%, 4/1/2033 | 100,000 | 75,782 |
273,385 | ||
Diversified Telecommunication Services — 0.2% | ||
AT&T, Inc. | ||
3.50%, 6/1/2041 | 145,000 | 111,107 |
3.80%, 12/1/2057 | 240,000 | 168,908 |
Verizon Communications, Inc. | ||
2.65%, 11/20/2040 | 130,000 | 89,629 |
3.55%, 3/22/2051 | 155,000 | 112,562 |
482,206 | ||
Electric Utilities — 1.9% | ||
DTE Electric Co. 5.40%, 4/1/2053 | 70,000 | 69,355 |
Duke Energy Corp. 3.75%, 9/1/2046 | 270,000 | 201,473 |
Duquesne Light Holdings, Inc. 2.78%, 1/7/2032 (a) | 100,000 | 81,079 |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | 255,000 | 208,741 |
Entergy Texas, Inc. 5.80%, 9/1/2053 | 125,000 | 128,838 |
Evergy Metro, Inc. 5.30%, 10/1/2041 | 105,000 | 98,699 |
FirstEnergy Transmission LLC 5.45%, 7/15/2044 (a) | 215,000 | 202,437 |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 100,000 | 94,462 |
ITC Holdings Corp. | ||
2.95%, 5/14/2030 (a) | 100,000 | 87,278 |
5.40%, 6/1/2033 (a) | 200,000 | 197,543 |
Massachusetts Electric Co. 4.00%, 8/15/2046 (a) | 65,000 | 49,775 |
Monongahela Power Co. 5.85%, 2/15/2034 (a) | 100,000 | 101,857 |
NextEra Energy Capital Holdings, Inc. | ||
5.25%, 2/28/2053 | 120,000 | 111,845 |
5.55%, 3/15/2054 | 200,000 | 193,804 |
Niagara Mohawk Power Corp. 5.66%, 1/17/2054 (a) | 60,000 | 58,256 |
Oncor Electric Delivery Co. LLC 4.95%, 9/15/2052 | 110,000 | 102,371 |
Pacific Gas and Electric Co. | ||
6.40%, 6/15/2033 | 100,000 | 103,971 |
5.80%, 5/15/2034 | 265,000 | 264,721 |
4.45%, 4/15/2042 | 230,000 | 185,418 |
PPL Electric Utilities Corp. 5.25%, 5/15/2053 | 105,000 | 102,016 |
26 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
Public Service Co. of Oklahoma | ||
5.25%, 1/15/2033 | 100,000 | 99,175 |
Series K, 3.15%, 8/15/2051 | 135,000 | 90,403 |
Public Service Electric and Gas Co. 5.45%, 3/1/2054 | 150,000 | 150,096 |
Sierra Pacific Power Co. 5.90%, 3/15/2054 (a) | 145,000 | 148,318 |
Southern California Edison Co. | ||
6.00%, 1/15/2034 | 100,000 | 104,388 |
5.70%, 3/1/2053 | 110,000 | 109,366 |
5.75%, 4/15/2054 | 220,000 | 219,113 |
Union Electric Co. 4.00%, 4/1/2048 | 120,000 | 94,497 |
Xcel Energy, Inc. 4.80%, 9/15/2041 | 90,000 | 77,513 |
3,736,808 | ||
Electronic Equipment, Instruments & Components — 0.0% ^ | ||
Corning, Inc. 5.35%, 11/15/2048 | 60,000 | 57,641 |
Financial Services — 0.2% | ||
Fiserv, Inc. 4.40%, 7/1/2049 | 90,000 | 75,294 |
Global Payments, Inc. 5.30%, 8/15/2029 | 100,000 | 98,656 |
Nationwide Building Society (United Kingdom) (3-MONTH SOFR + 1.45%), 4.30%, 3/8/2029 (a) (f) | 220,000 | 209,239 |
383,189 | ||
Food Products — 0.3% | ||
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | 100,000 | 85,037 |
Campbell Soup Co. 3.13%, 4/24/2050 | 65,000 | 42,244 |
J M Smucker Co. (The) | ||
6.20%, 11/15/2033 | 80,000 | 84,557 |
6.50%, 11/15/2053 | 75,000 | 81,493 |
JBS USA LUX SA 6.75%, 3/15/2034 (a) | 100,000 | 103,000 |
Kraft Heinz Foods Co. 4.38%, 6/1/2046 | 90,000 | 74,563 |
Tyson Foods, Inc. 5.70%, 3/15/2034 (d) | 80,000 | 79,897 |
550,791 | ||
Gas Utilities — 0.1% | ||
Atmos Energy Corp. 4.13%, 3/15/2049 | 90,000 | 74,220 |
Boston Gas Co. 4.49%, 2/15/2042 (a) | 100,000 | 81,593 |
Piedmont Natural Gas Co., Inc. 5.05%, 5/15/2052 | 75,000 | 67,469 |
Southwest Gas Corp. 3.80%, 9/29/2046 | 65,000 | 47,490 |
270,772 | ||
Ground Transportation — 0.2% | ||
Burlington Northern Santa Fe LLC 3.55%, 2/15/2050 | 100,000 | 75,435 |
CSX Corp. 3.35%, 9/15/2049 | 95,000 | 68,185 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Ground Transportation — continued | ||
Norfolk Southern Corp. 4.05%, 8/15/2052 | 80,000 | 63,985 |
Penske Truck Leasing Co. LP 6.05%, 8/1/2028 (a) | 100,000 | 102,283 |
Union Pacific Corp. 4.10%, 9/15/2067 | 65,000 | 51,473 |
361,361 | ||
Health Care Providers & Services — 0.6% | ||
Aetna, Inc. 4.50%, 5/15/2042 | 100,000 | 84,881 |
CVS Health Corp. | ||
5.13%, 2/21/2030 | 114,000 | 113,290 |
5.05%, 3/25/2048 | 325,000 | 289,891 |
Elevance Health, Inc. 4.65%, 1/15/2043 | 100,000 | 90,481 |
HCA, Inc. | ||
5.50%, 6/1/2033 | 200,000 | 198,815 |
4.63%, 3/15/2052 | 315,000 | 257,910 |
UnitedHealth Group, Inc. 3.25%, 5/15/2051 | 185,000 | 129,739 |
1,165,007 | ||
Health Care REITs — 0.1% | ||
Welltower OP LLC | ||
3.10%, 1/15/2030 | 100,000 | 89,209 |
6.50%, 3/15/2041 | 100,000 | 107,936 |
197,145 | ||
Independent Power and Renewable Electricity Producers — 0.4% | ||
Constellation Energy Generation LLC | ||
5.80%, 3/1/2033 | 200,000 | 204,418 |
5.75%, 10/1/2041 | 205,000 | 200,594 |
6.50%, 10/1/2053 | 150,000 | 164,625 |
Southern Power Co. 5.15%, 9/15/2041 | 310,000 | 285,599 |
855,236 | ||
Industrial Conglomerates — 0.1% | ||
Honeywell International, Inc. 5.25%, 3/1/2054 | 100,000 | 99,797 |
Industrial REITs — 0.0% ^ | ||
Prologis LP 2.25%, 4/15/2030 | 100,000 | 85,758 |
Insurance — 0.4% | ||
Aon North America, Inc. 5.75%, 3/1/2054 | 130,000 | 130,510 |
Arthur J Gallagher & Co. 5.75%, 7/15/2054 | 50,000 | 49,524 |
Berkshire Hathaway Finance Corp. 3.85%, 3/15/2052 | 110,000 | 87,266 |
CNA Financial Corp. 5.13%, 2/15/2034 | 100,000 | 96,690 |
Liberty Mutual Group, Inc. 3.95%, 10/15/2050 (a) | 80,000 | 59,872 |
Mutual of Omaha Cos. Global Funding 5.45%, 12/12/2028 (a) | 150,000 | 151,366 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 27 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Insurance — continued | ||
New York Life Insurance Co. 3.75%, 5/15/2050 (a) | 120,000 | 91,655 |
Prudential Funding Asia plc (Hong Kong) 3.13%, 4/14/2030 | 50,000 | 44,313 |
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (a) | 75,000 | 61,673 |
772,869 | ||
Interactive Media & Services — 0.1% | ||
Meta Platforms, Inc. 5.60%, 5/15/2053 | 125,000 | 129,418 |
Media — 0.6% | ||
Charter Communications Operating LLC | ||
4.40%, 4/1/2033 | 200,000 | 174,847 |
3.50%, 3/1/2042 | 200,000 | 130,817 |
4.80%, 3/1/2050 | 335,000 | 242,413 |
Comcast Corp. | ||
4.20%, 8/15/2034 | 250,000 | 229,862 |
3.25%, 11/1/2039 | 210,000 | 161,049 |
4.00%, 11/1/2049 | 135,000 | 107,311 |
Discovery Communications LLC 3.63%, 5/15/2030 | 150,000 | 131,844 |
Paramount Global 5.85%, 9/1/2043 | 80,000 | 64,705 |
1,242,848 | ||
Metals & Mining — 0.2% | ||
Newmont Corp. | ||
3.25%, 5/13/2030 (a) | 100,000 | 89,438 |
5.75%, 11/15/2041 (a) | 100,000 | 101,509 |
Nucor Corp. 2.98%, 12/15/2055 | 70,000 | 45,170 |
Steel Dynamics, Inc. 3.25%, 10/15/2050 | 85,000 | 55,793 |
291,910 | ||
Multi-Utilities — 0.2% | ||
Consolidated Edison Co. of New York, Inc. 5.70%, 6/15/2040 | 70,000 | 70,440 |
Consumers Energy Co. 3.25%, 8/15/2046 | 80,000 | 58,513 |
Dominion Energy, Inc. Series C, 4.90%, 8/1/2041 | 110,000 | 98,599 |
Puget Energy, Inc. 2.38%, 6/15/2028 | 100,000 | 88,840 |
San Diego Gas & Electric Co. 3.95%, 11/15/2041 | 55,000 | 44,349 |
Southern Co. Gas Capital Corp. 4.40%, 6/1/2043 | 140,000 | 115,946 |
476,687 | ||
Office REITs — 0.0% ^ | ||
Alexandria Real Estate Equities, Inc. 5.25%, 5/15/2036 | 60,000 | 57,597 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — 1.1% | ||
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (a) | 150,000 | 146,381 |
Columbia Pipelines Operating Co. LLC 5.93%, 8/15/2030 (a) | 100,000 | 101,860 |
ConocoPhillips Co. 5.30%, 5/15/2053 | 85,000 | 83,195 |
Energy Transfer LP | ||
6.00%, 2/1/2029 (a) | 60,000 | 60,166 |
6.50%, 2/1/2042 | 260,000 | 272,458 |
Exxon Mobil Corp. | ||
3.00%, 8/16/2039 | 90,000 | 69,400 |
3.45%, 4/15/2051 | 95,000 | 70,311 |
Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (a) | 100,000 | 81,308 |
Kinder Morgan, Inc. 5.00%, 2/1/2029 | 115,000 | 113,992 |
Marathon Petroleum Corp. 6.50%, 3/1/2041 | 70,000 | 74,294 |
MPLX LP 4.80%, 2/15/2029 | 100,000 | 97,934 |
NGPL PipeCo LLC | ||
4.88%, 8/15/2027 (a) | 100,000 | 97,614 |
3.25%, 7/15/2031 (a) | 100,000 | 85,329 |
Northern Natural Gas Co. 5.63%, 2/1/2054 (a) | 20,000 | 20,257 |
Phillips 66 Co. 4.90%, 10/1/2046 | 125,000 | 111,618 |
Plains All American Pipeline LP 4.90%, 2/15/2045 | 450,000 | 378,968 |
Sabine Pass Liquefaction LLC 4.50%, 5/15/2030 | 100,000 | 95,691 |
TotalEnergies Capital International SA (France) 3.13%, 5/29/2050 | 125,000 | 87,108 |
2,047,884 | ||
Pharmaceuticals — 0.4% | ||
Astrazeneca Finance LLC (United Kingdom) 5.00%, 2/26/2034 | 120,000 | 120,403 |
Bristol-Myers Squibb Co. | ||
5.55%, 2/22/2054 | 120,000 | 121,423 |
5.65%, 2/22/2064 | 180,000 | 181,647 |
Eli Lilly & Co. 5.00%, 2/9/2054 | 130,000 | 128,058 |
Merck & Co., Inc. 5.15%, 5/17/2063 | 125,000 | 121,975 |
Takeda Pharmaceutical Co. Ltd. (Japan) 3.03%, 7/9/2040 | 200,000 | 148,978 |
822,484 | ||
Residential REITs — 0.1% | ||
Essex Portfolio LP 1.65%, 1/15/2031 | 100,000 | 78,172 |
UDR, Inc. 3.10%, 11/1/2034 | 100,000 | 80,423 |
158,595 |
28 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Retail REITs — 0.1% | ||
NNN REIT, Inc. 5.60%, 10/15/2033 | 100,000 | 99,725 |
Realty Income Corp. 4.85%, 3/15/2030 | 100,000 | 98,003 |
197,728 | ||
Semiconductors & Semiconductor Equipment — 0.4% | ||
Broadcom, Inc. 2.45%, 2/15/2031 (a) | 150,000 | 125,312 |
Intel Corp. 5.70%, 2/10/2053 | 110,000 | 111,506 |
KLA Corp. 3.30%, 3/1/2050 | 95,000 | 68,634 |
NXP BV (China) | ||
5.00%, 1/15/2033 | 100,000 | 96,633 |
3.25%, 5/11/2041 | 180,000 | 132,194 |
QUALCOMM, Inc. 4.50%, 5/20/2052 | 75,000 | 66,408 |
Texas Instruments, Inc. 5.05%, 5/18/2063 | 95,000 | 90,832 |
691,519 | ||
Software — 0.2% | ||
Intuit, Inc. 5.50%, 9/15/2053 | 70,000 | 71,993 |
Oracle Corp. | ||
4.90%, 2/6/2033 | 100,000 | 96,695 |
3.65%, 3/25/2041 | 215,000 | 165,319 |
334,007 | ||
Specialized REITs — 0.1% | ||
Crown Castle, Inc. 4.00%, 3/1/2027 | 100,000 | 96,324 |
Extra Space Storage LP 5.90%, 1/15/2031 | 80,000 | 81,928 |
178,252 | ||
Specialty Retail — 0.1% | ||
Lowe's Cos., Inc. | ||
2.63%, 4/1/2031 | 61,000 | 51,967 |
5.75%, 7/1/2053 | 105,000 | 106,070 |
158,037 | ||
Technology Hardware, Storage & Peripherals — 0.1% | ||
Apple, Inc. 4.10%, 8/8/2062 | 260,000 | 217,719 |
Tobacco — 0.1% | ||
BAT Capital Corp. (United Kingdom) | ||
2.26%, 3/25/2028 | 100,000 | 88,492 |
4.39%, 8/15/2037 | 130,000 | 106,613 |
195,105 | ||
Water Utilities — 0.1% | ||
American Water Capital Corp. 5.45%, 3/1/2054 | 200,000 | 196,736 |
Wireless Telecommunication Services — 0.3% | ||
T-Mobile USA, Inc. | ||
3.88%, 4/15/2030 | 200,000 | 185,643 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Wireless Telecommunication Services — continued | ||
3.00%, 2/15/2041 | 400,000 | 288,908 |
5.50%, 1/15/2055 | 79,000 | 76,942 |
Vodafone Group plc (United Kingdom) 4.88%, 6/19/2049 | 115,000 | 99,573 |
651,066 | ||
Total Corporate Bonds (Cost $30,234,199) | 31,512,053 | |
Collateralized Mortgage Obligations — 6.1% | ||
FHLMC, REMIC | ||
Series 4016, Class KZ, 4.00%, 3/15/2042 | 292,774 | 275,525 |
Series 5027, Class JA, 2.00%, 10/25/2044 | 163,681 | 144,437 |
Series 4487, Class TL, 3.00%, 5/15/2045 | 1,000,000 | 823,756 |
Series 4585, Class DA, 3.00%, 6/15/2045 | 278,052 | 254,740 |
Series 4710, Class JE, 2.75%, 6/15/2047 | 597,505 | 502,248 |
Series 4994, Class LI, IO, 4.00%, 12/25/2048 | 177,423 | 34,512 |
Series 4896, Class CG, 3.50%, 4/15/2049 | 349,276 | 321,873 |
Series 5141, Class PA, 1.00%, 4/25/2050 | 341,339 | 276,127 |
FHLMC, STRIPS | ||
Series 276, Class 20, 2.00%, 9/15/2042 | 271,214 | 231,292 |
Series 326, Class 350, 3.50%, 3/15/2044 | 551,464 | 503,179 |
FN, 4.52%, 2/25/2034 (d) | 400,000 | 400,250 |
FNMA, REMIC | ||
Series 2012-4, Class NB, 4.00%, 2/25/2042 | 265,000 | 248,066 |
Series 2012-124, Class PA, 2.50%, 7/25/2042 | 120,280 | 107,742 |
Series 2012-130, Class DC, 3.00%, 12/25/2042 | 338,801 | 300,101 |
Series 2017-87, Class EA, 3.00%, 4/25/2044 | 282,467 | 252,605 |
Series 2019-60, Class DA, 2.50%, 3/25/2049 | 208,536 | 179,853 |
Series 2019-12, Class BA, 3.00%, 4/25/2049 | 305,766 | 264,412 |
Series 2020-54, Class UB, 5.00%, 7/25/2050 | 154,866 | 150,537 |
Series 2021-27, Class EC, 1.50%, 5/25/2051 | 160,732 | 127,415 |
GNMA | ||
Series 2012-13, Class FQ, 5.75%, 1/20/2038 (b) | 363,615 | 355,919 |
Series 2019-83, Class YA, 4.77%, 6/20/2040 (b) | 177,770 | 176,185 |
Series 2013-91, Class WA, 4.43%, 4/20/2043 (b) | 248,853 | 234,067 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 29 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
PRPM LLC | ||
Series 2020-4, Class A1, 5.61%, 10/25/2025 (a) (c) | 586,098 | 584,756 |
Series 2023-RCF2, Class A1, 4.00%, 11/25/2053 (a) (c) | 191,442 | 181,538 |
Series 2024-RCF1, Class A1, 4.00%, 1/25/2054 (a) (c) | 184,117 | 175,585 |
Series 2024-RPL1, Class A1, 4.20%, 12/25/2064 (a) (b) | 400,000 | 381,828 |
Seasoned Credit Risk Transfer Trust | ||
Series 2017-4, Class M60C, 3.50%, 6/25/2057 | 1,274,686 | 1,158,978 |
Series 2019-1, Class MA, 3.50%, 7/25/2058 | 279,132 | 262,273 |
Series 2019-1, Class MT, 3.50%, 7/25/2058 | 516,253 | 455,707 |
Series 2019-2, Class HT, 3.00%, 8/25/2058 | 609,176 | 522,289 |
Vendee Mortgage Trust | ||
Series 2010-1, Class DZ, 4.25%, 4/15/2040 | 587,370 | 558,880 |
Series 2011-1, Class DZ, 3.75%, 9/15/2046 | 1,535,545 | 1,420,220 |
Total Collateralized Mortgage Obligations (Cost $11,493,849) | 11,866,895 | |
Commercial Mortgage-Backed Securities — 5.7% | ||
Banc of America Re-Remic Trust Series 2024-FRR1, Class B, 0.00%, 4/27/2049 ‡ (a) | 1,000,000 | 592,425 |
BB-UBS Trust Series 2012-SHOW, Class B, 3.88%, 11/5/2036 (a) | 465,000 | 435,085 |
CSMC OA LLC | ||
Series 2014-USA, Class A2, 3.95%, 9/15/2037 (a) | 1,095,000 | 963,600 |
Series 2014-USA, Class B, 4.18%, 9/15/2037 (a) | 705,000 | 608,072 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series KL06, Class XFX, IO, 1.36%, 12/25/2029 (b) | 5,000,000 | 263,941 |
Series KJ40, Class A2, 3.69%, 11/25/2030 (b) | 335,000 | 317,518 |
Series K135, Class AM, 1.91%, 10/25/2031 (b) | 1,050,000 | 859,316 |
Series KJ44, Class A2, 4.61%, 2/25/2033 | 500,000 | 486,600 |
FNMA ACES | ||
Series 2020-M53, Class A2, 1.69%, 11/25/2032 (b) | 27,000 | 21,109 |
Series 2023-M8, Class A1, 4.47%, 11/25/2032 (b) | 498,402 | 491,504 |
Series 2024-M2, Class A1, 4.62%, 4/25/2033 (b) | 800,000 | 794,227 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
FREMF Mortgage Trust | ||
Series 2017-KGX1, Class BFX, 3.59%, 10/25/2027 (a) (b) | 570,000 | 508,992 |
Series 2018-K154, Class B, 4.02%, 11/25/2032 (a) (b) | 610,000 | 495,371 |
Series 2018-K155, Class B, 4.17%, 4/25/2033 (a) (b) | 580,000 | 473,549 |
Series 2015-K46, Class C, 3.70%, 4/25/2048 (a) (b) | 316,000 | 307,849 |
Series 2018-K80, Class B, 4.23%, 8/25/2050 (a) (b) | 125,000 | 118,455 |
Series 2017-K71, Class B, 3.75%, 11/25/2050 (a) (b) | 100,000 | 93,984 |
Series 2018-K79, Class C, 4.21%, 7/25/2051 (a) (b) | 145,000 | 134,993 |
GAM Re-REMIC Trust | ||
Series 2022-FRR3, Class BK41, PO, 10/27/2047 ‡ (a) | 250,000 | 236,430 |
Series 2022-FRR3, Class CK41, PO, 10/27/2047 ‡ (a) | 100,000 | 94,228 |
Series 2022-FRR3, Class AK47, 0.70%, 5/27/2048 ‡ (a) (b) | 500,000 | 459,327 |
Series 2021-FRR1, Class 2A, PO, 11/29/2050 ‡ (a) | 580,000 | 436,102 |
GAM Re-REMIC TRUST Series 2021-FRR2, Class BK49, 2.30%, 9/27/2051 ‡ (a) (b) | 300,000 | 276,158 |
GNMA | ||
Series 2017-76, Class B, 2.60%, 12/16/2056 | 703,097 | 515,358 |
Series 2017-191, Class B, 2.50%, 7/16/2059 (b) | 688,303 | 424,180 |
JPMCC Re-REMIC Trust Series 2015-FRR2, Class AK39, 2.50%, 8/27/2047 (a) (b) | 500,000 | 483,459 |
MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (a) | 200,000 | 174,500 |
Total Commercial Mortgage-Backed Securities (Cost $10,803,986) | 11,066,332 | |
Foreign Government Securities — 0.1% | ||
United Mexican States 6.34%, 5/4/2053 (Cost $217,337) | 230,000 | 224,336 |
30 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | SHARES | VALUE($) |
Short-Term Investments — 10.5% | ||
Investment Companies — 10.5% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (h) (i) (Cost $20,630,652) | 20,630,652 | 20,630,652 |
Total Investments — 108.1% (Cost $206,774,010) | 211,257,687 | |
Liabilities in Excess of Other Assets — (8.1)% | (15,881,266 ) | |
NET ASSETS — 100.0% | 195,376,421 |
Percentages indicated are based on net assets. |
Abbreviations | |
ABS | Asset-Backed Securities |
ACES | Alternative Credit Enhancement Securities |
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 29, 2024. |
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 |
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. |
PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
Re-REMIC | Combined Real Estate Mortgage Investment Conduit |
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 |
^ | 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, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 29, 2024. | |
(c) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2024. | |
(d) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(e) | The rate shown is the effective yield as of February 29, 2024. | |
(f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2024. | |
(g) | 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 29, 2024 is $204,526 or 0.10% of the Fund’s net assets as of February 29, 2024. | |
(h) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(i) | The rate shown is the current yield as of February 29, 2024. |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury Ultra Bond | 20 | 06/18/2024 | USD | 2,560,000 | 56,222 |
U.S. Treasury 2 Year Note | 20 | 06/28/2024 | USD | 4,096,406 | 3,062 |
59,284 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 31 |
Abbreviations | |
USD | United States Dollar |
32 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 29.8% | ||
Aerospace & Defense — 0.3% | ||
Boeing Co. (The) | ||
2.75%, 2/1/2026 | 14,000 | 13,295 |
2.20%, 2/4/2026 | 95,000 | 89,122 |
3.10%, 5/1/2026 | 35,000 | 33,344 |
2.70%, 2/1/2027 | 65,000 | 60,533 |
3.75%, 2/1/2050 | 925,000 | 656,712 |
5.93%, 5/1/2060 | 40,000 | 38,296 |
Bombardier, Inc. (Canada) 6.00%, 2/15/2028 (a) | 595,000 | 577,611 |
BWX Technologies, Inc. 4.13%, 4/15/2029 (a) | 580,000 | 538,246 |
Howmet Aerospace, Inc. | ||
5.13%, 10/1/2024 | 28,000 | 27,845 |
5.95%, 2/1/2037 | 554,000 | 562,533 |
L3Harris Technologies, Inc. 5.60%, 7/31/2053 | 217,000 | 218,758 |
Lockheed Martin Corp. | ||
4.70%, 5/15/2046 | 100,000 | 92,163 |
4.15%, 6/15/2053 | 650,000 | 539,313 |
Precision Castparts Corp. 4.38%, 6/15/2045 | 154,000 | 135,114 |
RTX Corp. | ||
4.13%, 11/16/2028 | 1,735,000 | 1,664,900 |
1.90%, 9/1/2031 | 450,000 | 358,836 |
5.15%, 2/27/2033 | 365,000 | 361,417 |
4.50%, 6/1/2042 | 100,000 | 87,431 |
3.03%, 3/15/2052 | 650,000 | 424,910 |
5.38%, 2/27/2053 | 144,000 | 139,684 |
6.40%, 3/15/2054 | 785,000 | 868,995 |
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a) | 253,000 | 273,583 |
TransDigm, Inc. | ||
6.75%, 8/15/2028 (a) | 465,000 | 470,560 |
6.38%, 3/1/2029 (a) | 392,000 | 393,772 |
6.63%, 3/1/2032 (a) | 380,000 | 382,374 |
Triumph Group, Inc. 7.75%, 8/15/2025 | 16,000 | 15,966 |
Wesco Aircraft Holdings, Inc. 9.00%, 11/15/2026 (a) (b) | 20,000 | 4,711 |
9,030,024 | ||
Automobile Components — 0.3% | ||
Adient Global Holdings Ltd. | ||
4.88%, 8/15/2026 (a) | 400,000 | 387,705 |
7.00%, 4/15/2028 (a) | 450,000 | 458,774 |
Allison Transmission, Inc. | ||
5.88%, 6/1/2029 (a) | 621,000 | 611,700 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Automobile Components — continued | ||
3.75%, 1/30/2031 (a) | 75,000 | 64,806 |
American Axle & Manufacturing, Inc. | ||
6.50%, 4/1/2027 | 730,000 | 721,040 |
6.88%, 7/1/2028 | 625,000 | 603,944 |
5.00%, 10/1/2029 | 75,000 | 65,031 |
Aptiv plc 5.40%, 3/15/2049 | 25,000 | 22,450 |
Clarios Global LP | ||
6.25%, 5/15/2026 (a) | 427,000 | 425,842 |
6.75%, 5/15/2028 (a) | 425,000 | 430,145 |
Cooper-Standard Automotive, Inc. | ||
13.50% (Blend (Cash 9.00% + PIK 4.50%)), 3/31/2027 (a) (c) | 45,245 | 47,524 |
10.63% (PIK), 5/15/2027 (a) (c) | 32,879 | 23,773 |
Dana, Inc. | ||
5.38%, 11/15/2027 | 590,000 | 569,514 |
5.63%, 6/15/2028 | 230,000 | 222,646 |
4.50%, 2/15/2032 | 40,000 | 33,596 |
Goodyear Tire & Rubber Co. (The) | ||
4.88%, 3/15/2027 | 120,000 | 115,172 |
5.00%, 7/15/2029 | 1,341,000 | 1,234,305 |
5.25%, 7/15/2031 | 660,000 | 595,637 |
Icahn Enterprises LP | ||
6.38%, 12/15/2025 | 247,000 | 244,845 |
5.25%, 5/15/2027 | 315,000 | 289,312 |
Lear Corp. 2.60%, 1/15/2032 | 10,000 | 8,093 |
7,175,854 | ||
Automobiles — 0.1% | ||
Ford Motor Co. | ||
9.63%, 4/22/2030 | 810,000 | 946,259 |
4.75%, 1/15/2043 | 380,000 | 307,426 |
General Motors Co. 5.95%, 4/1/2049 | 25,000 | 24,082 |
Hyundai Capital America | ||
1.50%, 6/15/2026 (a) | 940,000 | 860,231 |
3.00%, 2/10/2027 (a) | 200,000 | 187,662 |
Nissan Motor Acceptance Co. LLC 2.00%, 3/9/2026 (a) | 305,000 | 281,156 |
2,606,816 | ||
Banks — 6.6% | ||
ABN AMRO Bank NV (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 6.58%, 10/13/2026 (a) (d) | 600,000 | 605,709 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 33 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 6.34%, 9/18/2027 (a) (d) | 200,000 | 203,396 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (a) (d) | 1,000,000 | 869,751 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.90%), 3.32%, 3/13/2037 (a) (d) | 200,000 | 159,035 |
AIB Group plc (Ireland) (SOFR + 2.33%), 6.61%, 9/13/2029 (a) (d) | 2,600,000 | 2,697,840 |
ANZ New Zealand Int'l Ltd. (New Zealand) 5.36%, 8/14/2028 (a) | 900,000 | 907,349 |
ASB Bank Ltd. (New Zealand) 2.38%, 10/22/2031 (a) | 200,000 | 161,847 |
Banco Bilbao Vizcaya Argentaria SA (Spain) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.10%), 9.38%, 3/19/2029 (d) (e) (f) (g) | 1,995,000 | 2,105,204 |
Banco Santander SA (Spain) | ||
2.75%, 5/28/2025 | 200,000 | 192,989 |
5.59%, 8/8/2028 | 2,800,000 | 2,824,817 |
6.61%, 11/7/2028 | 600,000 | 630,412 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 9.63%, 11/21/2028 (d) (e) (f) (g) | 2,000,000 | 2,113,954 |
Bank of America Corp. | ||
(SOFR + 1.01%), 1.20%, 10/24/2026 (d) | 2,600,000 | 2,422,344 |
(3-MONTH CME TERM SOFR + 1.84%), 3.82%, 1/20/2028 (d) | 3,436,000 | 3,300,444 |
(3-MONTH CME TERM SOFR + 1.77%), 3.71%, 4/24/2028 (d) | 1,205,000 | 1,148,853 |
(3-MONTH CME TERM SOFR + 1.63%), 3.59%, 7/21/2028 (d) | 261,000 | 247,444 |
(SOFR + 2.04%), 4.95%, 7/22/2028 (d) | 390,000 | 386,127 |
(3-MONTH CME TERM SOFR + 1.30%), 3.42%, 12/20/2028 (d) | 454,000 | 424,142 |
(SOFR + 1.63%), 5.20%, 4/25/2029 (d) | 1,190,000 | 1,183,554 |
(SOFR + 1.06%), 2.09%, 6/14/2029 (d) | 635,000 | 558,025 |
(SOFR + 1.57%), 5.82%, 9/15/2029 (d) | 7,258,000 | 7,396,467 |
(SOFR + 1.53%), 1.90%, 7/23/2031 (d) | 660,000 | 535,664 |
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (d) | 2,660,000 | 2,226,120 |
(SOFR + 1.22%), 2.30%, 7/21/2032 (d) | 1,900,000 | 1,537,897 |
(SOFR + 1.21%), 2.57%, 10/20/2032 (d) | 640,000 | 524,544 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
(SOFR + 1.91%), 5.29%, 4/25/2034 (d) | 1,510,000 | 1,488,620 |
(SOFR + 1.84%), 5.87%, 9/15/2034 (d) | 2,870,000 | 2,942,932 |
(SOFR + 1.65%), 5.47%, 1/23/2035 (d) | 2,200,000 | 2,193,636 |
(3-MONTH CME TERM SOFR + 1.58%), 4.08%, 4/23/2040 (d) | 112,000 | 95,702 |
Bank of Ireland Group plc (Ireland) | ||
(EUR Swap Annual 5 Year + 7.92%), 7.50%, 5/19/2025 (d) (e) (f) (g) (h) | 1,200,000 | 1,308,308 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, 9/16/2026 (a) (d) | 259,000 | 260,369 |
Bank of Montreal (Canada) | ||
5.30%, 6/5/2026 | 300,000 | 300,766 |
5.72%, 9/25/2028 | 1,000,000 | 1,025,131 |
Bank of Nova Scotia (The) (Canada) | ||
3.45%, 4/11/2025 | 300,000 | 293,653 |
2.15%, 8/1/2031 | 650,000 | 531,025 |
Banque Federative du Credit Mutuel SA (France) | ||
4.94%, 1/26/2026 (a) | 200,000 | 198,554 |
5.90%, 7/13/2026 (a) | 200,000 | 202,605 |
1.60%, 10/4/2026 (a) | 200,000 | 182,416 |
5.79%, 7/13/2028 (a) | 605,000 | 618,674 |
Barclays plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.30%), 7.39%, 11/2/2028 (d) | 1,400,000 | 1,480,039 |
BNP Paribas SA (France) | ||
(SOFR + 1.61%), 1.90%, 9/30/2028 (a) (d) | 450,000 | 398,217 |
(SOFR + 1.22%), 2.16%, 9/15/2029 (a) (d) | 1,500,000 | 1,297,904 |
(SOFR + 1.52%), 5.18%, 1/9/2030 (a) (d) | 1,360,000 | 1,347,271 |
(SOFR + 1.59%), 5.50%, 5/20/2030 (a) (d) | 1,245,000 | 1,239,420 |
(SOFR + 1.87%), 5.89%, 12/5/2034 (a) (d) | 1,995,000 | 2,038,991 |
(SOFR + 1.88%), 5.74%, 2/20/2035 (a) (d) | 2,770,000 | 2,742,842 |
BPCE SA (France) | ||
4.75%, 7/19/2027 (a) | 450,000 | 441,105 |
(SOFR + 1.98%), 6.61%, 10/19/2027 (a) (d) | 1,230,000 | 1,254,639 |
5.13%, 1/18/2028 (a) | 745,000 | 739,066 |
(SOFR + 2.27%), 6.71%, 10/19/2029 (a) (d) | 2,680,000 | 2,782,227 |
(SOFR + 1.31%), 2.28%, 1/20/2032 (a) (d) | 575,000 | 460,246 |
34 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(SOFR + 1.73%), 3.12%, 10/19/2032 (a) (d) | 250,000 | 201,614 |
(SOFR + 2.59%), 7.00%, 10/19/2034 (a) (d) | 890,000 | 949,667 |
CaixaBank SA (Spain) | ||
(SOFR + 2.08%), 6.68%, 9/13/2027 (a) (d) | 820,000 | 835,867 |
(EUR Swap Annual 5 Year + 6.35%), 5.88%, 10/9/2027 (d) (e) (f) (g) (h) | 800,000 | 841,139 |
(EUR Swap Annual 5 Year + 3.55%), 6.25%, 2/23/2033 (d) (h) | 800,000 | 904,178 |
Canadian Imperial Bank of Commerce (Canada) 5.99%, 10/3/2028 | 500,000 | 517,402 |
Citibank NA 5.80%, 9/29/2028 | 500,000 | 515,135 |
Citigroup, Inc. | ||
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025 (d) (f) (g) | 1,761,000 | 1,666,699 |
(SOFR + 0.77%), 1.46%, 6/9/2027 (d) | 650,000 | 595,340 |
(3-MONTH CME TERM SOFR + 1.82%), 3.89%, 1/10/2028 (d) | 1,350,000 | 1,297,516 |
(SOFR + 1.28%), 3.07%, 2/24/2028 (d) | 645,000 | 604,164 |
(3-MONTH CME TERM SOFR + 1.65%), 3.67%, 7/24/2028 (d) | 1,200,000 | 1,137,832 |
(3-MONTH CME TERM SOFR + 1.45%), 4.08%, 4/23/2029 (d) | 1,295,000 | 1,235,950 |
(3-MONTH CME TERM SOFR + 1.60%), 3.98%, 3/20/2030 (d) | 500,000 | 468,680 |
(SOFR + 1.15%), 2.67%, 1/29/2031 (d) | 1,650,000 | 1,415,594 |
(SOFR + 3.91%), 4.41%, 3/31/2031 (d) | 155,000 | 146,420 |
(SOFR + 2.11%), 2.57%, 6/3/2031 (d) | 620,000 | 524,280 |
(SOFR + 1.17%), 2.56%, 5/1/2032 (d) | 2,490,000 | 2,050,083 |
(SOFR + 1.18%), 2.52%, 11/3/2032 (d) | 1,665,000 | 1,351,462 |
(SOFR + 2.34%), 6.27%, 11/17/2033 (d) | 3,300,000 | 3,461,854 |
(SOFR + 1.38%), 2.90%, 11/3/2042 (d) | 55,000 | 39,004 |
Cooperatieve Rabobank UA (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (a) (d) | 890,000 | 843,223 |
Credit Agricole SA (France) | ||
(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (d) | 550,000 | 524,032 |
5.59%, 7/5/2026 (a) | 565,000 | 569,693 |
(SOFR + 0.89%), 1.25%, 1/26/2027 (a) (d) | 250,000 | 230,769 |
5.30%, 7/12/2028 (a) | 990,000 | 997,367 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
(SOFR + 1.86%), 6.32%, 10/3/2029 (a) (d) | 2,745,000 | 2,829,062 |
(SOFR + 1.69%), 5.34%, 1/10/2030 (a) (d) | 400,000 | 396,799 |
Danske Bank A/S (Denmark) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.45%), 3.77%, 3/28/2025 (a) (d) | 450,000 | 449,132 |
(3-MONTH SOFR + 1.59%), 3.24%, 12/20/2025 (a) (d) | 200,000 | 195,445 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (a) (d) | 345,000 | 345,733 |
DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.13%, 9/16/2026 (a) (d) | 375,000 | 349,798 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 1.29%), 1.59%, 5/24/2027 (d) | 200,000 | 183,108 |
(SOFR + 1.57%), 5.89%, 8/14/2027 (d) | 1,015,000 | 1,021,733 |
(SOFR + 1.10%), 2.25%, 11/22/2027 (d) | 200,000 | 183,209 |
(3-MONTH CME TERM SOFR + 1.81%), 4.04%, 3/13/2028 (d) | 800,000 | 766,930 |
(SOFR + 2.61%), 5.21%, 8/11/2028 (d) | 305,000 | 302,042 |
(SOFR + 1.73%), 2.01%, 9/22/2028 (d) | 5,370,000 | 4,757,603 |
(SOFR + 3.35%), 7.39%, 11/3/2028 (d) | 250,000 | 264,843 |
(SOFR + 1.29%), 2.21%, 8/17/2029 (d) | 1,200,000 | 1,041,831 |
(3-MONTH CME TERM SOFR + 1.87%), 3.97%, 5/22/2030 (d) | 3,250,000 | 3,013,484 |
(SOFR + 1.19%), 2.80%, 5/24/2032 (d) | 1,950,000 | 1,612,227 |
(SOFR + 1.41%), 2.87%, 11/22/2032 (d) | 250,000 | 206,223 |
(SOFR + 2.39%), 6.25%, 3/9/2034 (d) | 1,150,000 | 1,193,301 |
6.10%, 1/14/2042 | 230,000 | 252,112 |
ING Groep NV (Netherlands) (SOFR + 1.56%), 6.08%, 9/11/2027 (d) | 315,000 | 319,164 |
Intesa Sanpaolo SpA (Italy) | ||
(EUR Swap Annual 5 Year + 7.19%), 7.75%, 1/11/2027 (d) (e) (f) (g) (h) | 400,000 | 443,668 |
7.20%, 11/28/2033 (a) | 3,373,000 | 3,531,046 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (a) (d) | 200,000 | 144,268 |
KBC Group NV (Belgium) (EURIBOR ICE Swap Rate 5 Year + 4.93%), 8.00%, 9/5/2028 (d) (e) (f) (g) (h) | 1,400,000 | 1,596,130 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 35 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
KeyCorp (SOFR + 2.42%), 6.40%, 3/6/2035 (d) | 1,940,000 | 1,945,667 |
Lloyds Banking Group plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.51%, 3/18/2026 (d) | 200,000 | 195,235 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.38%), 5.46%, 1/5/2028 (d) | 350,000 | 348,502 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 4.98%, 8/11/2033 (d) | 550,000 | 523,442 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 5.68%, 1/5/2035 (d) | 380,000 | 375,694 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
3.78%, 3/2/2025 | 269,000 | 264,565 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (d) | 1,060,000 | 969,791 |
Series 8NC7, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.53%), 5.48%, 2/22/2031 (d) | 200,000 | 201,492 |
Mizuho Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 5.78%, 7/6/2029 (d) | 580,000 | 590,930 |
Morgan Stanley Bank NA 4.75%, 4/21/2026 | 255,000 | 253,382 |
National Australia Bank Ltd. (Australia) 4.90%, 6/13/2028 | 250,000 | 249,342 |
NatWest Group plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%, 11/10/2026 (d) | 1,950,000 | 2,003,450 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 5.85%, 3/2/2027 (d) | 800,000 | 803,286 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 3.07%, 5/22/2028 (d) | 600,000 | 556,733 |
(3-MONTH SOFR + 1.91%), 5.08%, 1/27/2030 (d) | 665,000 | 649,604 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.78%, 3/1/2035 (d) | 415,000 | 414,175 |
Nordea Bank Abp (Finland) 5.38%, 9/22/2027 (a) | 400,000 | 401,400 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
PNC Financial Services Group, Inc. (The) | ||
2.55%, 1/22/2030 | 639,000 | 548,922 |
(SOFR + 0.98%), 2.31%, 4/23/2032 (d) | 50,000 | 40,794 |
(SOFR + 1.95%), 5.94%, 8/18/2034 (d) | 680,000 | 692,768 |
(SOFR + 2.28%), 6.88%, 10/20/2034 (d) | 1,465,000 | 1,587,018 |
(SOFR + 1.90%), 5.68%, 1/22/2035 (d) | 400,000 | 401,153 |
Royal Bank of Canada (Canada) | ||
4.65%, 1/27/2026 (e) | 245,000 | 242,756 |
4.24%, 8/3/2027 | 425,000 | 414,219 |
Santander Holdings USA, Inc. (SOFR + 2.50%), 6.17%, 1/9/2030 (d) | 455,000 | 453,814 |
Santander UK Group Holdings plc (United Kingdom) | ||
(SOFR + 2.75%), 6.83%, 11/21/2026 (d) | 1,340,000 | 1,360,433 |
(SOFR + 0.99%), 1.67%, 6/14/2027 (d) | 200,000 | 181,804 |
(SOFR + 2.60%), 6.53%, 1/10/2029 (d) | 1,625,000 | 1,666,298 |
Skandinaviska Enskilda Banken AB (Sweden) 5.38%, 3/5/2029 (a) | 410,000 | 408,540 |
Societe Generale SA (France) | ||
4.25%, 4/14/2025 (a) | 200,000 | 195,669 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (d) | 1,700,000 | 1,567,881 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (a) (d) | 200,000 | 201,668 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (d) | 200,000 | 182,167 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.80%, 1/19/2028 (a) (d) | 1,200,000 | 1,101,120 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 6.45%, 1/10/2029 (a) (d) | 1,800,000 | 1,838,651 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 5.63%, 1/19/2030 (a) (d) | 700,000 | 689,810 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.07%, 1/19/2035 (a) (d) | 1,110,000 | 1,093,718 |
Standard Chartered plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (a) (d) | 610,000 | 561,456 |
36 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (a) (d) | 1,400,000 | 1,487,794 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.45%), 6.30%, 1/9/2029 (a) | 200,000 | 203,920 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.20%), 7.02%, 2/8/2030 (a) (d) | 548,000 | 575,225 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.10%, 1/11/2035 (a) (d) | 425,000 | 427,053 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
5.52%, 1/13/2028 | 255,000 | 259,087 |
5.72%, 9/14/2028 | 680,000 | 695,031 |
5.71%, 1/13/2030 | 255,000 | 261,506 |
5.77%, 1/13/2033 | 200,000 | 206,530 |
Sumitomo Mitsui Trust Bank Ltd. (Japan) | ||
1.05%, 9/12/2025 (a) | 60,000 | 56,261 |
4.95%, 9/15/2027 (a) | 200,000 | 198,418 |
Svenska Handelsbanken AB (Sweden) 5.50%, 6/15/2028 (a) | 970,000 | 975,170 |
Swedbank AB (Sweden) | ||
6.14%, 9/12/2026 (a) | 245,000 | 248,015 |
5.34%, 9/20/2027 (a) | 200,000 | 199,518 |
Toronto-Dominion Bank (The) (Canada) | ||
5.10%, 1/9/2026 | 270,000 | 270,378 |
5.53%, 7/17/2026 | 265,000 | 267,310 |
5.52%, 7/17/2028 | 100,000 | 101,679 |
2.00%, 9/10/2031 | 385,000 | 313,899 |
4.46%, 6/8/2032 | 120,000 | 114,420 |
Truist Bank 4.05%, 11/3/2025 | 60,000 | 58,676 |
Truist Financial Corp. | ||
(SOFR + 2.05%), 6.05%, 6/8/2027 (d) | 2,300,000 | 2,323,233 |
(SOFR + 1.85%), 5.12%, 1/26/2034 (d) | 1,790,000 | 1,697,937 |
(SOFR + 2.36%), 5.87%, 6/8/2034 (d) | 588,000 | 587,940 |
(SOFR + 1.92%), 5.71%, 1/24/2035 (d) | 608,000 | 601,937 |
UniCredit SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (d) | 200,000 | 183,544 |
US Bancorp | ||
(SOFR + 0.73%), 2.22%, 1/27/2028 (d) | 800,000 | 732,969 |
(SOFR + 1.56%), 5.38%, 1/23/2030 (d) | 370,000 | 367,922 |
(SOFR + 1.86%), 5.68%, 1/23/2035 (d) | 590,000 | 588,628 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
Wells Fargo & Co. | ||
3.55%, 9/29/2025 | 227,000 | 221,137 |
(3-MONTH CME TERM SOFR + 1.01%), 2.16%, 2/11/2026 (d) | 913,000 | 883,089 |
(SOFR + 1.32%), 3.91%, 4/25/2026 (d) | 600,000 | 588,313 |
3.00%, 10/23/2026 | 360,000 | 340,344 |
(3-MONTH CME TERM SOFR + 1.57%), 3.58%, 5/22/2028 (d) | 1,481,000 | 1,403,932 |
(SOFR + 1.98%), 4.81%, 7/25/2028 (d) | 320,000 | 314,263 |
(SOFR + 1.74%), 5.57%, 7/25/2029 (d) | 860,000 | 865,632 |
(SOFR + 1.79%), 6.30%, 10/23/2029 (d) | 5,310,000 | 5,503,721 |
(SOFR + 1.50%), 5.20%, 1/23/2030 (d) | 1,990,000 | 1,972,907 |
(3-MONTH CME TERM SOFR + 1.26%), 2.57%, 2/11/2031 (d) | 250,000 | 213,144 |
(SOFR + 1.50%), 3.35%, 3/2/2033 (d) | 2,340,000 | 2,008,459 |
(SOFR + 2.02%), 5.39%, 4/24/2034 (d) | 1,740,000 | 1,711,358 |
(SOFR + 1.99%), 5.56%, 7/25/2034 (d) | 3,110,000 | 3,097,984 |
(SOFR + 2.06%), 6.49%, 10/23/2034 (d) | 1,420,000 | 1,510,183 |
Westpac Banking Corp. (Australia) | ||
5.54%, 11/17/2028 | 300,000 | 307,035 |
1.95%, 11/20/2028 | 30,000 | 26,329 |
(USD SOFR Spread-Adjusted ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (d) (e) | 200,000 | 192,075 |
Westpac New Zealand Ltd. (New Zealand) 5.20%, 2/28/2029 (a) | 540,000 | 539,627 |
174,433,022 | ||
Beverages — 0.1% | ||
Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036 | 540,000 | 516,840 |
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.38%, 4/15/2038 | 250,000 | 228,616 |
Coca-Cola Femsa SAB de CV (Mexico) 2.75%, 1/22/2030 | 180,000 | 158,972 |
Constellation Brands, Inc. | ||
4.65%, 11/15/2028 | 345,000 | 338,659 |
4.50%, 5/9/2047 | 120,000 | 101,238 |
Diageo Capital plc (United Kingdom) 3.88%, 4/29/2043 | 430,000 | 364,354 |
Keurig Dr. Pepper, Inc. 3.40%, 11/15/2025 | 38,000 | 36,816 |
Molson Coors Beverage Co. 4.20%, 7/15/2046 | 190,000 | 155,211 |
PepsiCo, Inc. 2.75%, 10/21/2051 | 415,000 | 273,134 |
2,173,840 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 37 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Biotechnology — 0.6% | ||
AbbVie, Inc. | ||
3.20%, 11/21/2029 | 2,761,000 | 2,526,123 |
5.05%, 3/15/2034 | 520,000 | 522,589 |
4.05%, 11/21/2039 | 1,797,000 | 1,575,488 |
4.25%, 11/21/2049 | 230,000 | 197,317 |
5.40%, 3/15/2054 | 680,000 | 690,283 |
Amgen, Inc. | ||
5.25%, 3/2/2030 | 175,000 | 176,301 |
3.15%, 2/21/2040 | 477,000 | 357,857 |
5.65%, 3/2/2053 | 3,055,000 | 3,053,729 |
Biogen, Inc. 2.25%, 5/1/2030 | 3,960,000 | 3,314,531 |
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) | 28,000 | 11,340 |
Gilead Sciences, Inc. | ||
1.65%, 10/1/2030 | 518,000 | 422,951 |
5.25%, 10/15/2033 | 580,000 | 586,759 |
4.60%, 9/1/2035 | 1,000,000 | 949,086 |
2.60%, 10/1/2040 | 525,000 | 366,527 |
5.55%, 10/15/2053 | 220,000 | 224,251 |
Grifols SA (Spain) 4.75%, 10/15/2028 (a) | 200,000 | 166,560 |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 200,000 | 161,786 |
15,303,478 | ||
Broadline Retail — 0.1% | ||
Amazon.com, Inc. 3.95%, 4/13/2052 | 155,000 | 128,127 |
Go Daddy Operating Co. LLC | ||
5.25%, 12/1/2027 (a) | 510,000 | 493,425 |
3.50%, 3/1/2029 (a) | 175,000 | 155,816 |
Macy's Retail Holdings LLC 5.88%, 4/1/2029 (a) | 435,000 | 418,935 |
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a) | 495,000 | 485,515 |
Nordstrom, Inc. | ||
2.30%, 4/8/2024 | 85,000 | 84,601 |
4.38%, 4/1/2030 | 335,000 | 295,973 |
Shutterfly Finance LLC 8.50% (Blend (Cash 4.25% + PIK 4.25%)), 10/1/2027 (a) (c) | 11,937 | 9,302 |
2,071,694 | ||
Building Products — 0.3% | ||
Builders FirstSource, Inc. | ||
4.25%, 2/1/2032 (a) | 1,335,000 | 1,172,965 |
6.38%, 3/1/2034 (a) | 250,000 | 249,417 |
EMRLD Borrower LP 6.63%, 12/15/2030 (a) | 1,195,000 | 1,199,182 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Building Products — continued | ||
Griffon Corp. 5.75%, 3/1/2028 | 925,000 | 894,937 |
James Hardie International Finance DAC 5.00%, 1/15/2028 (a) | 455,000 | 438,775 |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | 725,000 | 689,656 |
Masco Corp. 1.50%, 2/15/2028 | 125,000 | 108,621 |
PGT Innovations, Inc. 4.38%, 10/1/2029 (a) | 435,000 | 437,921 |
Smyrna Ready Mix Concrete LLC 8.88%, 11/15/2031 (a) | 995,000 | 1,054,485 |
Standard Industries, Inc. | ||
5.00%, 2/15/2027 (a) | 20,000 | 19,256 |
4.75%, 1/15/2028 (a) | 550,000 | 518,891 |
4.38%, 7/15/2030 (a) | 825,000 | 735,558 |
Summit Materials LLC | ||
5.25%, 1/15/2029 (a) | 560,000 | 542,091 |
7.25%, 1/15/2031 (a) | 550,000 | 570,737 |
8,632,492 | ||
Capital Markets — 2.1% | ||
Bank of New York Mellon Corp. (The) | ||
3.25%, 5/16/2027 | 160,000 | 152,139 |
(SOFR + 1.60%), 6.32%, 10/25/2029 (d) | 400,000 | 419,392 |
(SOFR + 1.42%), 4.29%, 6/13/2033 (d) | 180,000 | 168,388 |
(SOFR + 1.85%), 6.47%, 10/25/2034 (d) | 1,760,000 | 1,909,162 |
Credit Suisse USA, Inc. (Switzerland) 7.13%, 7/15/2032 | 53,000 | 59,150 |
Deutsche Bank AG (Germany) | ||
(SOFR + 2.52%), 7.15%, 7/13/2027 (d) | 315,000 | 323,550 |
(SOFR + 1.59%), 5.71%, 2/8/2028 (d) | 365,000 | 362,474 |
(SOFR + 2.51%), 6.82%, 11/20/2029 (d) | 825,000 | 853,165 |
Goldman Sachs Group, Inc. (The) | ||
(3-MONTH CME TERM SOFR + 1.46%), 3.27%, 9/29/2025 (d) | 201,000 | 198,194 |
(SOFR + 1.08%), 5.80%, 8/10/2026 (d) | 800,000 | 804,411 |
3.50%, 11/16/2026 | 726,000 | 696,361 |
(SOFR + 0.80%), 1.43%, 3/9/2027 (d) | 1,835,000 | 1,695,993 |
(SOFR + 1.51%), 4.39%, 6/15/2027 (d) | 117,000 | 114,838 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (d) | 150,000 | 138,920 |
(3-MONTH CME TERM SOFR + 1.77%), 3.69%, 6/5/2028 (d) | 1,620,000 | 1,544,914 |
(3-MONTH CME TERM SOFR + 1.42%), 3.81%, 4/23/2029 (d) | 2,205,000 | 2,081,815 |
(3-MONTH CME TERM SOFR + 1.56%), 4.22%, 5/1/2029 (d) | 1,500,000 | 1,438,260 |
38 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
(SOFR + 1.77%), 6.48%, 10/24/2029 (d) | 4,915,000 | 5,149,703 |
(SOFR + 1.28%), 2.62%, 4/22/2032 (d) | 2,855,000 | 2,373,877 |
(SOFR + 1.41%), 3.10%, 2/24/2033 (d) | 2,790,000 | 2,365,977 |
(SOFR + 1.51%), 3.21%, 4/22/2042 (d) | 160,000 | 119,058 |
(SOFR + 1.63%), 3.44%, 2/24/2043 (d) | 18,000 | 13,693 |
LPL Holdings, Inc. 4.00%, 3/15/2029 (a) | 295,000 | 270,653 |
Macquarie Group Ltd. (Australia) (3-MONTH SOFR + 1.75%), 5.03%, 1/15/2030 (a) (d) | 200,000 | 197,407 |
Morgan Stanley | ||
3.88%, 1/27/2026 | 330,000 | 321,868 |
3.63%, 1/20/2027 | 191,000 | 184,154 |
(SOFR + 0.88%), 1.59%, 5/4/2027 (d) | 3,210,000 | 2,959,331 |
(SOFR + 1.00%), 2.48%, 1/21/2028 (d) | 914,000 | 845,537 |
3.59%, 7/22/2028 (i) | 1,360,000 | 1,287,383 |
(SOFR + 1.73%), 5.12%, 2/1/2029 (d) | 260,000 | 258,296 |
(SOFR + 1.59%), 5.16%, 4/20/2029 (d) | 1,945,000 | 1,933,876 |
(SOFR + 1.63%), 5.45%, 7/20/2029 (d) | 2,440,000 | 2,449,288 |
(SOFR + 1.83%), 6.41%, 11/1/2029 (d) | 300,000 | 313,155 |
(SOFR + 1.45%), 5.17%, 1/16/2030 (d) | 1,880,000 | 1,868,197 |
(3-MONTH CME TERM SOFR + 1.89%), 4.43%, 1/23/2030 (d) | 1,573,000 | 1,509,893 |
(SOFR + 1.03%), 1.79%, 2/13/2032 (d) | 350,000 | 277,119 |
(SOFR + 1.29%), 2.94%, 1/21/2033 (d) | 1,265,000 | 1,060,943 |
(SOFR + 1.88%), 5.42%, 7/21/2034 (d) | 1,830,000 | 1,819,133 |
(SOFR + 2.05%), 6.63%, 11/1/2034 (d) | 1,365,000 | 1,479,095 |
(SOFR + 1.73%), 5.47%, 1/18/2035 (d) | 420,000 | 419,506 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (d) | 380,000 | 378,998 |
(SOFR + 1.49%), 3.22%, 4/22/2042 (d) | 285,000 | 214,266 |
MSCI, Inc. 4.00%, 11/15/2029 (a) | 115,000 | 105,570 |
Nuveen LLC 4.00%, 11/1/2028 (a) | 160,000 | 154,638 |
S&P Global, Inc. | ||
2.70%, 3/1/2029 | 456,000 | 412,819 |
1.25%, 8/15/2030 | 500,000 | 399,209 |
3.25%, 12/1/2049 | 563,000 | 402,593 |
State Street Corp. | ||
(SOFR + 1.72%), 5.82%, 11/4/2028 (d) | 335,000 | 343,031 |
Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.61%), 6.70%, 3/15/2029 (d) (f) (g) | 2,512,000 | 2,505,201 |
(SOFR + 1.48%), 5.68%, 11/21/2029 (d) | 500,000 | 510,834 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Capital Markets — continued | ||
UBS Group AG (Switzerland) | ||
(SOFRINDX + 0.98%), 1.31%, 2/2/2027 (a) (d) | 250,000 | 229,846 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.49%, 8/10/2027 (a) (d) | 585,000 | 529,988 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.75%, 5/12/2028 (a) (d) | 200,000 | 195,066 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 9.25%, 11/13/2028 (a) (d) (e) (f) (g) | 260,000 | 277,576 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.52%), 5.43%, 2/8/2030 (a) (d) | 483,000 | 479,771 |
(3-MONTH SOFR + 1.47%), 3.13%, 8/13/2030 (a) (d) | 2,350,000 | 2,077,310 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.40%), 4.99%, 8/5/2033 (a) (d) | 700,000 | 667,280 |
(SOFR + 3.92%), 6.54%, 8/12/2033 (a) (d) | 493,000 | 514,128 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.76%), 9.25%, 11/13/2033 (a) (d) (e) (f) (g) | 265,000 | 292,790 |
(SOFR + 5.02%), 9.02%, 11/15/2033 (a) (d) | 550,000 | 661,768 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.77%), 5.70%, 2/8/2035 (a) (d) | 1,380,000 | 1,364,934 |
4.88%, 5/15/2045 | 250,000 | 229,724 |
55,385,608 | ||
Chemicals — 0.3% | ||
Avient Corp. 7.13%, 8/1/2030 (a) | 650,000 | 664,242 |
Axalta Coating Systems LLC 4.75%, 6/15/2027 (a) | 300,000 | 289,636 |
CF Industries, Inc. 5.15%, 3/15/2034 | 610,000 | 590,284 |
Chemours Co. (The) | ||
5.75%, 11/15/2028 (a) | 790,000 | 692,867 |
4.63%, 11/15/2029 (a) | 195,000 | 160,344 |
CVR Partners LP 6.13%, 6/15/2028 (a) | 335,000 | 316,769 |
Ecolab, Inc. 2.13%, 2/1/2032 | 75,000 | 61,634 |
EIDP, Inc. 4.80%, 5/15/2033 | 320,000 | 313,101 |
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | 625,000 | 566,454 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 39 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Chemicals — continued | ||
LYB International Finance III LLC 3.38%, 10/1/2040 | 390,000 | 289,321 |
NOVA Chemicals Corp. (Canada) | ||
5.25%, 6/1/2027 (a) | 310,000 | 287,126 |
8.50%, 11/15/2028 (a) | 545,000 | 575,442 |
9.00%, 2/15/2030 (a) | 620,000 | 621,983 |
Nutrien Ltd. (Canada) | ||
4.90%, 3/27/2028 | 186,000 | 184,474 |
2.95%, 5/13/2030 | 80,000 | 70,833 |
3.95%, 5/13/2050 | 190,000 | 148,382 |
Olin Corp. 5.13%, 9/15/2027 | 290,000 | 281,242 |
Scotts Miracle-Gro Co. (The) 4.50%, 10/15/2029 | 1,375,000 | 1,220,313 |
Sherwin-Williams Co. (The) 4.50%, 6/1/2047 | 15,000 | 13,000 |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a) | 33,000 | 26,819 |
WR Grace Holdings LLC | ||
4.88%, 6/15/2027 (a) | 350,000 | 332,493 |
7.38%, 3/1/2031 (a) | 320,000 | 324,461 |
8,031,220 | ||
Commercial Services & Supplies — 0.3% | ||
ACCO Brands Corp. 4.25%, 3/15/2029 (a) | 812,000 | 719,862 |
ADT Security Corp. (The) | ||
4.13%, 8/1/2029 (a) | 540,000 | 488,025 |
4.88%, 7/15/2032 (a) | 585,000 | 526,500 |
Allied Universal Holdco LLC 4.63%, 6/1/2028 (a) | 450,000 | 400,095 |
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | 270,000 | 258,747 |
Brink's Co. (The) 4.63%, 10/15/2027 (a) | 200,000 | 188,998 |
Clean Harbors, Inc. 4.88%, 7/15/2027 (a) | 370,000 | 356,995 |
Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a) | 705,000 | 673,384 |
GFL Environmental, Inc. (Canada) | ||
3.75%, 8/1/2025 (a) | 105,000 | 101,944 |
5.13%, 12/15/2026 (a) | 55,000 | 53,798 |
4.00%, 8/1/2028 (a) | 735,000 | 673,901 |
4.75%, 6/15/2029 (a) | 730,000 | 683,526 |
6.75%, 1/15/2031 (a) | 230,000 | 235,258 |
Interface, Inc. 5.50%, 12/1/2028 (a) | 160,000 | 150,059 |
Madison IAQ LLC 4.13%, 6/30/2028 (a) | 1,185,000 | 1,079,486 |
Prime Security Services Borrower LLC | ||
3.38%, 8/31/2027 (a) | 885,000 | 810,209 |
6.25%, 1/15/2028 (a) | 295,000 | 291,072 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Services & Supplies — continued | ||
Stericycle, Inc. | ||
5.38%, 7/15/2024 (a) | 85,000 | 84,957 |
3.88%, 1/15/2029 (a) | 335,000 | 301,473 |
Waste Management, Inc. 1.50%, 3/15/2031 | 170,000 | 135,206 |
Williams Scotsman, Inc. 7.38%, 10/1/2031 (a) | 560,000 | 580,916 |
8,794,411 | ||
Communications Equipment — 0.1% | ||
Ciena Corp. 4.00%, 1/31/2030 (a) | 305,000 | 272,975 |
Cisco Systems, Inc. | ||
5.05%, 2/26/2034 | 1,261,000 | 1,269,325 |
5.30%, 2/26/2054 | 170,000 | 172,066 |
CommScope Technologies LLC 6.00%, 6/15/2025 (a) | 105,000 | 85,575 |
CommScope, Inc. 6.00%, 3/1/2026 (a) | 472,000 | 424,800 |
2,224,741 | ||
Construction & Engineering — 0.1% | ||
Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (a) | 867,740 | 628,790 |
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | 465,000 | 427,908 |
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | 1,043,000 | 943,362 |
MasTec, Inc. 4.50%, 8/15/2028 (a) | 635,000 | 595,464 |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | 750,000 | 696,068 |
3,291,592 | ||
Construction Materials — 0.0% ^ | ||
Knife River Corp. 7.75%, 5/1/2031 (a) | 575,000 | 595,489 |
Martin Marietta Materials, Inc. 2.40%, 7/15/2031 | 300,000 | 249,634 |
845,123 | ||
Consumer Finance — 0.8% | ||
AerCap Ireland Capital DAC (Ireland) | ||
2.45%, 10/29/2026 | 860,000 | 793,256 |
5.75%, 6/6/2028 | 400,000 | 402,895 |
3.00%, 10/29/2028 | 1,050,000 | 943,494 |
Ally Financial, Inc. | ||
5.75%, 11/20/2025 | 605,000 | 601,984 |
6.70%, 2/14/2033 | 270,000 | 266,029 |
American Express Co. | ||
1.65%, 11/4/2026 | 480,000 | 439,078 |
2.55%, 3/4/2027 | 540,000 | 501,175 |
5.85%, 11/5/2027 | 270,000 | 277,210 |
40 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Consumer Finance — continued | ||
(SOFRINDX + 1.28%), 5.28%, 7/27/2029 (d) | 1,325,000 | 1,331,770 |
Avolon Holdings Funding Ltd. (Ireland) | ||
2.88%, 2/15/2025 (a) | 478,000 | 462,780 |
5.50%, 1/15/2026 (a) | 60,000 | 58,995 |
2.13%, 2/21/2026 (a) | 215,000 | 198,593 |
4.25%, 4/15/2026 (a) | 1,245,000 | 1,200,603 |
2.53%, 11/18/2027 (a) | 2,035,000 | 1,787,096 |
6.38%, 5/4/2028 (a) | 575,000 | 583,483 |
5.75%, 3/1/2029 (a) | 1,180,000 | 1,162,976 |
Capital One Financial Corp. (SOFR + 1.27%), 2.62%, 11/2/2032 (d) | 100,000 | 80,017 |
Ford Motor Credit Co. LLC | ||
4.39%, 1/8/2026 | 890,000 | 865,418 |
4.27%, 1/9/2027 | 1,290,000 | 1,235,777 |
4.13%, 8/17/2027 | 1,350,000 | 1,277,672 |
6.80%, 5/12/2028 | 1,090,000 | 1,124,834 |
7.20%, 6/10/2030 | 550,000 | 579,211 |
4.00%, 11/13/2030 | 250,000 | 221,038 |
3.63%, 6/17/2031 | 200,000 | 170,498 |
General Motors Financial Co., Inc. | ||
3.80%, 4/7/2025 | 35,000 | 34,346 |
5.40%, 5/8/2027 | 75,000 | 75,034 |
3.60%, 6/21/2030 | 1,060,000 | 948,423 |
5.75%, 2/8/2031 | 705,000 | 702,952 |
2.70%, 6/10/2031 | 690,000 | 568,798 |
John Deere Capital Corp. 4.70%, 6/10/2030 | 400,000 | 396,812 |
Navient Corp. 5.88%, 10/25/2024 | 20,000 | 19,953 |
OneMain Finance Corp. | ||
7.13%, 3/15/2026 | 1,469,000 | 1,492,859 |
3.50%, 1/15/2027 | 354,000 | 325,848 |
6.63%, 1/15/2028 | 440,000 | 437,502 |
Volkswagen International Finance NV (Germany) (EUR Swap Annual 10 Year + 3.37%), 3.88%, 6/14/2027 (d) (f) (g) (h) | 500,000 | 509,326 |
22,077,735 | ||
Consumer Staples Distribution & Retail — 0.3% | ||
7-Eleven, Inc. | ||
0.95%, 2/10/2026 (a) | 65,000 | 59,901 |
1.80%, 2/10/2031 (a) | 1,825,000 | 1,454,106 |
2.50%, 2/10/2041 (a) | 14,000 | 9,366 |
Albertsons Cos., Inc. | ||
4.63%, 1/15/2027 (a) | 1,350,000 | 1,301,457 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Consumer Staples Distribution & Retail — continued | ||
5.88%, 2/15/2028 (a) | 530,000 | 522,319 |
3.50%, 3/15/2029 (a) | 965,000 | 859,774 |
4.88%, 2/15/2030 (a) | 20,000 | 18,774 |
Alimentation Couche-Tard, Inc. (Canada) | ||
5.27%, 2/12/2034 (a) | 958,000 | 949,079 |
3.44%, 5/13/2041 (a) | 5,000 | 3,788 |
3.63%, 5/13/2051 (a) | 10,000 | 7,292 |
5.62%, 2/12/2054 (a) | 200,000 | 199,354 |
Performance Food Group, Inc. 5.50%, 10/15/2027 (a) | 391,000 | 382,919 |
Rite Aid Corp. 8.00%, 11/15/2026 (a) (b) | 125,000 | 90,312 |
Sysco Corp. 2.40%, 2/15/2030 | 250,000 | 215,036 |
Target Corp. | ||
4.50%, 9/15/2032 | 200,000 | 193,624 |
4.80%, 1/15/2053 | 550,000 | 508,526 |
6,775,627 | ||
Containers & Packaging — 0.3% | ||
Ardagh Packaging Finance plc 4.13%, 8/15/2026 (a) | 1,275,000 | 1,176,238 |
Ball Corp. | ||
6.00%, 6/15/2029 | 435,000 | 437,108 |
3.13%, 9/15/2031 | 480,000 | 404,379 |
Canpack SA (Poland) 3.88%, 11/15/2029 (a) | 200,000 | 172,644 |
Crown Americas LLC | ||
4.25%, 9/30/2026 | 13,000 | 12,477 |
5.25%, 4/1/2030 | 350,000 | 337,120 |
Graphic Packaging International LLC | ||
4.75%, 7/15/2027 (a) | 108,000 | 104,463 |
3.50%, 3/15/2028 (a) | 180,000 | 164,603 |
LABL, Inc. 6.75%, 7/15/2026 (a) | 525,000 | 509,170 |
Mauser Packaging Solutions Holding Co. 7.88%, 8/15/2026 (a) | 1,310,000 | 1,327,445 |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | 720,000 | 718,407 |
Packaging Corp. of America | ||
4.05%, 12/15/2049 | 285,000 | 223,958 |
3.05%, 10/1/2051 | 85,000 | 56,744 |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | 1,455,000 | 1,355,332 |
Sealed Air Corp. | ||
4.00%, 12/1/2027 (a) | 570,000 | 530,174 |
6.13%, 2/1/2028 (a) | 205,000 | 204,373 |
TriMas Corp. 4.13%, 4/15/2029 (a) | 637,000 | 580,651 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 41 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Containers & Packaging — continued | ||
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (j) | 450,000 | 438,839 |
WRKCo, Inc. 4.65%, 3/15/2026 | 30,000 | 29,611 |
8,783,736 | ||
Distributors — 0.0% ^ | ||
American Builders & Contractors Supply Co., Inc. | ||
4.00%, 1/15/2028 (a) | 435,000 | 406,340 |
3.88%, 11/15/2029 (a) | 155,000 | 138,429 |
Ritchie Bros Holdings, Inc. (Canada) | ||
6.75%, 3/15/2028 (a) | 235,000 | 240,511 |
7.75%, 3/15/2031 (a) | 65,000 | 68,331 |
853,611 | ||
Diversified Consumer Services — 0.1% | ||
Service Corp. International 5.13%, 6/1/2029 | 770,000 | 751,366 |
Wand NewCo 3, Inc. 7.63%, 1/30/2032 (a) | 2,357,000 | 2,421,817 |
3,173,183 | ||
Diversified REITs — 0.1% | ||
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a) | 590,000 | 545,534 |
Simon Property Group LP | ||
2.45%, 9/13/2029 | 500,000 | 436,051 |
3.25%, 9/13/2049 | 31,000 | 21,484 |
VICI Properties LP | ||
3.50%, 2/15/2025 (a) | 90,000 | 87,729 |
4.50%, 9/1/2026 (a) | 95,000 | 91,654 |
4.63%, 12/1/2029 (a) | 20,000 | 18,622 |
WP Carey, Inc. 2.25%, 4/1/2033 | 145,000 | 109,884 |
1,310,958 | ||
Diversified Telecommunication Services — 0.6% | ||
Altice France SA (France) 5.13%, 7/15/2029 (a) | 200,000 | 151,029 |
AT&T, Inc. | ||
1.65%, 2/1/2028 | 450,000 | 395,956 |
2.55%, 12/1/2033 | 1,870,000 | 1,474,917 |
3.50%, 6/1/2041 | 260,000 | 199,226 |
3.65%, 6/1/2051 | 65,000 | 46,511 |
3.55%, 9/15/2055 | 1,205,000 | 820,880 |
CCO Holdings LLC | ||
5.13%, 5/1/2027 (a) | 270,000 | 255,194 |
5.00%, 2/1/2028 (a) | 545,000 | 502,897 |
5.38%, 6/1/2029 (a) | 100,000 | 90,437 |
4.75%, 3/1/2030 (a) | 4,894,000 | 4,163,252 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Diversified Telecommunication Services — continued | ||
4.50%, 8/15/2030 (a) | 2,079,000 | 1,724,572 |
4.25%, 2/1/2031 (a) | 1,415,000 | 1,138,137 |
4.75%, 2/1/2032 (a) | 1,025,000 | 826,944 |
4.50%, 6/1/2033 (a) | 135,000 | 103,848 |
Embarq Corp. 8.00%, 6/1/2036 | 13,000 | 7,360 |
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a) | 235,000 | 227,128 |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | 1,414,000 | 1,315,561 |
Lumen Technologies, Inc. | ||
5.13%, 12/15/2026 (a) | 130,000 | 85,661 |
4.00%, 2/15/2027 ‡ (a) | 1,000,000 | 650,000 |
NBN Co. Ltd. (Australia) 5.75%, 10/6/2028 (a) | 500,000 | 514,720 |
Sprint Capital Corp. 6.88%, 11/15/2028 | 258,000 | 274,438 |
Telecom Italia Capital SA (Italy) 6.00%, 9/30/2034 | 134,000 | 124,323 |
Telecom Italia SpA (Italy) 5.30%, 5/30/2024 (a) | 200,000 | 199,237 |
Verizon Communications, Inc. | ||
4.33%, 9/21/2028 | 75,000 | 72,793 |
4.02%, 12/3/2029 | 684,000 | 648,139 |
3.40%, 3/22/2041 | 715,000 | 547,808 |
2.88%, 11/20/2050 | 75,000 | 47,779 |
5.50%, 2/23/2054 | 400,000 | 395,180 |
3.70%, 3/22/2061 | 30,000 | 21,198 |
17,025,125 | ||
Electric Utilities — 2.0% | ||
Alabama Power Co. | ||
3.05%, 3/15/2032 | 200,000 | 173,165 |
5.85%, 11/15/2033 | 275,000 | 287,729 |
Baltimore Gas and Electric Co. | ||
3.20%, 9/15/2049 | 295,000 | 202,194 |
2.90%, 6/15/2050 | 550,000 | 356,619 |
5.40%, 6/1/2053 | 305,000 | 299,164 |
Comision Federal de Electricidad (Mexico) | ||
4.69%, 5/15/2029 (h) | 500,000 | 470,625 |
6.26%, 2/15/2052 (h) | 600,000 | 519,705 |
Commonwealth Edison Co. 5.30%, 2/1/2053 | 450,000 | 435,569 |
Connecticut Light and Power Co. (The) 4.00%, 4/1/2048 | 46,000 | 37,459 |
Consumers 2023 Securitization Funding LLC Series A2, 5.21%, 9/1/2030 | 771,000 | 779,805 |
42 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
DTE Electric Co. | ||
5.20%, 3/1/2034 | 500,000 | 497,506 |
5.40%, 4/1/2053 | 80,000 | 79,262 |
DTE Electric Securitization Funding II LLC Series A-2, 6.09%, 9/1/2037 | 400,000 | 426,244 |
Duke Energy Carolinas LLC 3.20%, 8/15/2049 | 634,000 | 437,922 |
Duke Energy Florida LLC | ||
5.88%, 11/15/2033 | 230,000 | 240,774 |
6.20%, 11/15/2053 | 240,000 | 259,906 |
Duke Energy Indiana LLC | ||
Series YYY, 3.25%, 10/1/2049 | 125,000 | 86,312 |
2.75%, 4/1/2050 | 395,000 | 245,892 |
5.40%, 4/1/2053 | 770,000 | 742,636 |
Duke Energy Ohio, Inc. 5.25%, 4/1/2033 | 624,000 | 624,490 |
Duquesne Light Holdings, Inc. 2.53%, 10/1/2030 (a) | 148,000 | 122,195 |
Edison International | ||
5.25%, 11/15/2028 | 100,000 | 99,430 |
6.95%, 11/15/2029 | 245,000 | 261,131 |
Electricite de France SA (France) 6.90%, 5/23/2053 (a) | 640,000 | 697,344 |
Emera US Finance LP (Canada) | ||
2.64%, 6/15/2031 | 660,000 | 535,176 |
4.75%, 6/15/2046 | 50,000 | 40,930 |
Enel Finance International NV (Italy) 2.25%, 7/12/2031 (a) | 200,000 | 159,823 |
Enel SpA (Italy) Series 6.5Y, (EUR Swap Annual 5 Year + 1.72%), 1.38%, 6/8/2027 (d) (f) (g) (h) | 3,000,000 | 2,841,153 |
Entergy Arkansas LLC | ||
4.00%, 6/1/2028 | 13,000 | 12,506 |
2.65%, 6/15/2051 | 274,000 | 164,633 |
Entergy Louisiana LLC | ||
2.40%, 10/1/2026 | 69,000 | 64,447 |
1.60%, 12/15/2030 | 500,000 | 396,186 |
2.90%, 3/15/2051 | 823,000 | 516,824 |
Entergy Mississippi LLC | ||
5.00%, 9/1/2033 | 535,000 | 524,709 |
3.50%, 6/1/2051 | 20,000 | 14,141 |
Entergy Texas Restoration Funding LLC Series A-2, 3.70%, 12/15/2035 | 215,000 | 192,974 |
Entergy Texas, Inc. 1.75%, 3/15/2031 | 535,000 | 428,650 |
Evergy Kansas Central, Inc. 4.13%, 3/1/2042 | 240,000 | 198,680 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Electric Utilities — continued | ||
Eversource Energy | ||
4.60%, 7/1/2027 | 31,000 | 30,286 |
5.45%, 3/1/2028 | 100,000 | 100,519 |
3.38%, 3/1/2032 | 365,000 | 313,589 |
Fells Point Funding Trust 3.05%, 1/31/2027 (a) | 1,570,000 | 1,469,047 |
FirstEnergy Transmission LLC 2.87%, 9/15/2028 (a) | 965,000 | 871,751 |
Florida Power & Light Co. | ||
3.70%, 12/1/2047 | 60,000 | 46,696 |
5.30%, 4/1/2053 | 390,000 | 385,501 |
Georgia Power Co. 5.25%, 3/15/2034 | 500,000 | 497,741 |
Indiana Michigan Power Co. | ||
Series K, 4.55%, 3/15/2046 | 50,000 | 42,779 |
5.63%, 4/1/2053 | 150,000 | 150,115 |
Interchile SA (Chile) 4.50%, 6/30/2056 (a) | 200,000 | 158,180 |
ITC Holdings Corp. | ||
4.95%, 9/22/2027 (a) | 432,000 | 429,177 |
2.95%, 5/14/2030 (a) | 405,000 | 353,478 |
5.40%, 6/1/2033 (a) | 300,000 | 296,314 |
Kentucky Utilities Co. 5.13%, 11/1/2040 | 404,000 | 383,267 |
MidAmerican Energy Co. | ||
3.65%, 4/15/2029 | 46,000 | 43,400 |
5.85%, 9/15/2054 | 110,000 | 115,821 |
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (a) | 430,000 | 411,811 |
Mississippi Power Co. Series 12-A, 4.25%, 3/15/2042 | 240,000 | 199,784 |
Monongahela Power Co. 5.85%, 2/15/2034 (a) | 210,000 | 213,901 |
Nevada Power Co. 6.00%, 3/15/2054 | 600,000 | 630,122 |
NextEra Energy Capital Holdings, Inc. | ||
5.75%, 9/1/2025 | 430,000 | 432,297 |
5.00%, 7/15/2032 | 60,000 | 58,438 |
5.25%, 2/28/2053 | 80,000 | 74,564 |
Northern States Power Co. 2.60%, 6/1/2051 | 590,000 | 364,360 |
NRG Energy, Inc. | ||
6.63%, 1/15/2027 | 21,000 | 20,997 |
2.45%, 12/2/2027 (a) | 60,000 | 53,589 |
5.75%, 1/15/2028 | 560,000 | 551,602 |
3.38%, 2/15/2029 (a) | 210,000 | 183,295 |
5.25%, 6/15/2029 (a) | 1,375,000 | 1,303,061 |
Ohio Power Co. | ||
Series P, 2.60%, 4/1/2030 | 50,000 | 43,296 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 43 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
Series R, 2.90%, 10/1/2051 | 225,000 | 144,232 |
Oklahoma Gas and Electric Co. 5.40%, 1/15/2033 | 100,000 | 101,772 |
Oncor Electric Delivery Co. LLC | ||
3.10%, 9/15/2049 | 290,000 | 199,070 |
4.95%, 9/15/2052 | 400,000 | 372,260 |
Pacific Gas and Electric Co. | ||
3.45%, 7/1/2025 | 17,000 | 16,511 |
2.95%, 3/1/2026 | 110,000 | 104,390 |
4.65%, 8/1/2028 | 2,200,000 | 2,103,528 |
6.10%, 1/15/2029 | 605,000 | 619,316 |
4.55%, 7/1/2030 | 1,624,000 | 1,524,180 |
6.40%, 6/15/2033 | 860,000 | 894,151 |
6.95%, 3/15/2034 | 1,125,000 | 1,215,835 |
5.80%, 5/15/2034 | 1,225,000 | 1,223,712 |
4.20%, 6/1/2041 | 30,000 | 23,583 |
4.25%, 3/15/2046 | 418,000 | 318,501 |
6.75%, 1/15/2053 | 1,770,000 | 1,894,126 |
PG&E Corp. | ||
5.00%, 7/1/2028 | 1,001,000 | 954,734 |
5.25%, 7/1/2030 | 300,000 | 282,017 |
PG&E Recovery Funding LLC Series A-3, 5.54%, 7/15/2047 | 185,000 | 187,629 |
PG&E Wildfire Recovery Funding LLC | ||
Series A-2, 4.26%, 6/1/2036 | 25,000 | 23,269 |
Series A-4, 5.21%, 12/1/2047 | 40,000 | 39,425 |
Series A-5, 5.10%, 6/1/2052 | 70,000 | 68,789 |
PPL Electric Utilities Corp. | ||
6.25%, 5/15/2039 | 382,000 | 413,133 |
5.25%, 5/15/2053 | 70,000 | 68,011 |
Public Service Co. of Oklahoma | ||
5.25%, 1/15/2033 | 155,000 | 153,720 |
Series G, 6.63%, 11/15/2037 | 725,000 | 784,762 |
Series K, 3.15%, 8/15/2051 | 150,000 | 100,447 |
Public Service Electric and Gas Co. 4.65%, 3/15/2033 | 520,000 | 503,303 |
SCE Recovery Funding LLC Series A-1, 4.70%, 6/15/2040 | 48,188 | 46,799 |
Sigeco Securitization I LLC | ||
Series A1, 5.03%, 11/15/2036 | 53,000 | 52,472 |
Series A2, 5.17%, 5/15/2041 | 49,000 | 46,826 |
Southern California Edison Co. | ||
5.30%, 3/1/2028 | 719,000 | 725,839 |
5.65%, 10/1/2028 | 600,000 | 614,408 |
Series G, 2.50%, 6/1/2031 | 775,000 | 650,693 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Electric Utilities — continued | ||
5.95%, 11/1/2032 | 2,000,000 | 2,085,415 |
Series C, 4.13%, 3/1/2048 | 238,000 | 190,345 |
Series 20A, 2.95%, 2/1/2051 | 430,000 | 276,284 |
5.88%, 12/1/2053 | 706,000 | 716,061 |
5.75%, 4/15/2054 | 390,000 | 388,428 |
Southern Co. (The) | ||
5.50%, 3/15/2029 | 390,000 | 395,547 |
5.70%, 3/15/2034 | 100,000 | 101,868 |
Southwestern Electric Power Co. | ||
Series N, 1.65%, 3/15/2026 | 45,000 | 41,867 |
5.30%, 4/1/2033 | 130,000 | 128,253 |
3.25%, 11/1/2051 | 210,000 | 137,873 |
Southwestern Public Service Co. 4.50%, 8/15/2041 | 74,000 | 61,240 |
Tierra Mojada Luxembourg II SARL (Mexico) 5.75%, 12/1/2040 (a) | 271,401 | 242,963 |
Tucson Electric Power Co. | ||
1.50%, 8/1/2030 | 448,000 | 359,645 |
4.85%, 12/1/2048 | 232,000 | 205,162 |
5.50%, 4/15/2053 | 115,000 | 112,347 |
Union Electric Co. | ||
5.45%, 3/15/2053 | 555,000 | 544,543 |
5.25%, 1/15/2054 | 500,000 | 473,408 |
Virginia Electric and Power Co. 5.70%, 8/15/2053 | 730,000 | 738,771 |
Vistra Operations Co. LLC | ||
5.50%, 9/1/2026 (a) | 65,000 | 64,004 |
5.63%, 2/15/2027 (a) | 1,400,000 | 1,364,229 |
5.00%, 7/31/2027 (a) | 420,000 | 402,576 |
4.38%, 5/1/2029 (a) | 275,000 | 250,843 |
7.75%, 10/15/2031 (a) | 1,050,000 | 1,086,117 |
Wisconsin Public Service Corp. 4.75%, 11/1/2044 | 69,000 | 61,469 |
51,603,389 | ||
Electrical Equipment — 0.1% | ||
Eaton Corp. 4.15%, 3/15/2033 | 400,000 | 376,455 |
EnerSys 4.38%, 12/15/2027 (a) | 630,000 | 592,987 |
Regal Rexnord Corp. | ||
6.05%, 2/15/2026 (a) | 68,000 | 68,282 |
6.05%, 4/15/2028 (a) | 135,000 | 135,848 |
6.30%, 2/15/2030 (a) | 57,000 | 58,039 |
6.40%, 4/15/2033 (a) | 79,000 | 81,105 |
Sensata Technologies BV | ||
5.00%, 10/1/2025 (a) | 40,000 | 39,627 |
44 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electrical Equipment — continued | ||
4.00%, 4/15/2029 (a) | 700,000 | 634,849 |
Vertiv Group Corp. 4.13%, 11/15/2028 (a) | 365,000 | 336,763 |
2,323,955 | ||
Electronic Equipment, Instruments & Components — 0.1% | ||
Arrow Electronics, Inc. 2.95%, 2/15/2032 | 20,000 | 16,713 |
Coherent Corp. 5.00%, 12/15/2029 (a) | 1,165,000 | 1,086,363 |
Corning, Inc. 3.90%, 11/15/2049 | 75,000 | 57,833 |
Sensata Technologies, Inc. 4.38%, 2/15/2030 (a) | 255,000 | 232,353 |
1,393,262 | ||
Energy Equipment & Services — 0.2% | ||
Archrock Partners LP 6.88%, 4/1/2027 (a) | 480,000 | 477,584 |
Baker Hughes Holdings LLC 2.06%, 12/15/2026 | 400,000 | 368,916 |
Diamond Foreign Asset Co. 8.50%, 10/1/2030 (a) | 395,000 | 404,489 |
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a) | 514,074 | 463,309 |
Nabors Industries, Inc. 7.38%, 5/15/2027 (a) | 560,000 | 557,939 |
Noble Finance II LLC 8.00%, 4/15/2030 (a) | 320,000 | 329,006 |
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a) | 705,000 | 704,093 |
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (a) | 214,000 | 205,220 |
Transocean, Inc. 8.75%, 2/15/2030 (a) | 396,000 | 406,622 |
USA Compression Partners LP 6.88%, 4/1/2026 | 595,000 | 594,190 |
Valaris Ltd. 8.38%, 4/30/2030 (a) | 575,000 | 589,598 |
5,100,966 | ||
Entertainment — 0.4% | ||
Cinemark USA, Inc. | ||
8.75%, 5/1/2025 (a) | 79,000 | 79,076 |
5.88%, 3/15/2026 (a) | 295,000 | 290,591 |
5.25%, 7/15/2028 (a) | 390,000 | 364,299 |
Live Nation Entertainment, Inc. | ||
5.63%, 3/15/2026 (a) | 2,000 | 1,975 |
6.50%, 5/15/2027 (a) | 1,055,000 | 1,064,080 |
4.75%, 10/15/2027 (a) | 365,000 | 349,457 |
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027 | 115,000 | 109,965 |
Walt Disney Co. (The) 6.65%, 11/15/2037 | 170,000 | 192,566 |
Warnermedia Holdings, Inc. | ||
3.76%, 3/15/2027 | 3,150,000 | 2,980,652 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Entertainment — continued | ||
4.28%, 3/15/2032 | 1,290,000 | 1,138,021 |
5.05%, 3/15/2042 | 2,965,000 | 2,493,321 |
5.14%, 3/15/2052 | 610,000 | 495,683 |
WMG Acquisition Corp. 3.88%, 7/15/2030 (a) | 100,000 | 88,250 |
9,647,936 | ||
Financial Services — 0.3% | ||
Block, Inc. | ||
2.75%, 6/1/2026 | 309,000 | 288,248 |
3.50%, 6/1/2031 | 690,000 | 588,621 |
Fiserv, Inc. 3.20%, 7/1/2026 | 170,000 | 162,436 |
Global Payments, Inc. 3.20%, 8/15/2029 | 160,000 | 142,498 |
GTCR W-2 Merger Sub LLC 7.50%, 1/15/2031 (a) | 670,000 | 698,810 |
LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (a) | 400,000 | 355,818 |
Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (a) | 1,080,000 | 1,061,824 |
Nationwide Building Society (United Kingdom) (3-MONTH SOFR + 1.45%), 4.30%, 3/8/2029 (a) (d) | 350,000 | 332,879 |
NCR Atleos Corp. 9.50%, 4/1/2029 (a) | 417,000 | 441,101 |
PayPal Holdings, Inc. 5.05%, 6/1/2052 | 100,000 | 93,823 |
Rocket Mortgage LLC | ||
2.88%, 10/15/2026 (a) | 530,000 | 487,600 |
3.63%, 3/1/2029 (a) | 410,000 | 363,685 |
Shell International Finance BV (Netherlands) | ||
2.88%, 11/26/2041 | 620,000 | 452,521 |
3.63%, 8/21/2042 | 200,000 | 160,817 |
3.75%, 9/12/2046 | 141,000 | 111,068 |
3.00%, 11/26/2051 | 670,000 | 450,362 |
Siemens Financieringsmaatschappij NV (Germany) 3.30%, 9/15/2046 (a) | 350,000 | 265,513 |
Visa, Inc. 2.70%, 4/15/2040 | 300,000 | 221,521 |
6,679,145 | ||
Food Products — 0.2% | ||
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | 385,000 | 327,393 |
Campbell Soup Co. 4.15%, 3/15/2028 | 170,000 | 164,024 |
Cargill, Inc. 4.38%, 4/22/2052 (a) | 150,000 | 129,727 |
Darling Ingredients, Inc. | ||
5.25%, 4/15/2027 (a) | 50,000 | 49,043 |
6.00%, 6/15/2030 (a) | 545,000 | 537,067 |
General Mills, Inc. 4.15%, 2/15/2043 | 200,000 | 166,934 |
JBS USA LUX SA 6.75%, 3/15/2034 (a) | 250,000 | 257,499 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 45 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Food Products — continued | ||
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (a) | 795,000 | 720,328 |
Post Holdings, Inc. | ||
5.75%, 3/1/2027 (a) | 82,000 | 82,786 |
5.50%, 12/15/2029 (a) | 1,000,000 | 956,819 |
6.25%, 2/15/2032 (a) | 158,000 | 158,817 |
Viterra Finance BV (Netherlands) 3.20%, 4/21/2031 (a) | 605,000 | 519,236 |
4,069,673 | ||
Gas Utilities — 0.1% | ||
AmeriGas Partners LP | ||
5.50%, 5/20/2025 | 168,000 | 164,892 |
5.88%, 8/20/2026 | 10,000 | 9,691 |
5.75%, 5/20/2027 | 305,000 | 288,346 |
Atmos Energy Corp. | ||
5.50%, 6/15/2041 | 52,000 | 52,267 |
5.75%, 10/15/2052 | 185,000 | 194,477 |
6.20%, 11/15/2053 | 630,000 | 696,796 |
Boston Gas Co. 3.00%, 8/1/2029 (a) | 37,000 | 32,449 |
Piedmont Natural Gas Co., Inc. 5.05%, 5/15/2052 | 100,000 | 89,958 |
Southern California Gas Co. Series XX, 2.55%, 2/1/2030 | 393,000 | 341,227 |
Superior Plus LP (Canada) 4.50%, 3/15/2029 (a) | 495,000 | 447,975 |
2,318,078 | ||
Ground Transportation — 0.3% | ||
Avis Budget Car Rental LLC | ||
5.75%, 7/15/2027 (a) | 600,000 | 571,710 |
4.75%, 4/1/2028 (a) | 95,000 | 86,058 |
5.38%, 3/1/2029 (a) | 55,000 | 50,073 |
8.00%, 2/15/2031 (a) | 525,000 | 506,848 |
Burlington Northern Santa Fe LLC | ||
3.55%, 2/15/2050 | 708,000 | 534,080 |
5.20%, 4/15/2054 | 850,000 | 833,761 |
Canadian Pacific Railway Co. (Canada) | ||
2.88%, 11/15/2029 | 1,125,000 | 999,958 |
3.10%, 12/2/2051 | 250,000 | 169,892 |
CSX Corp. 4.50%, 11/15/2052 | 460,000 | 403,222 |
EquipmentShare.com, Inc. 9.00%, 5/15/2028 (a) | 355,000 | 363,777 |
ERAC USA Finance LLC | ||
5.00%, 2/15/2029 (a) | 200,000 | 198,744 |
5.20%, 10/30/2034 (a) | 100,000 | 99,188 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Ground Transportation — continued | ||
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | 300,000 | 261,000 |
Hertz Corp. (The) 4.63%, 12/1/2026 (a) | 860,000 | 761,281 |
Norfolk Southern Corp. 3.95%, 10/1/2042 | 50,000 | 41,011 |
Penske Truck Leasing Co. LP 1.20%, 11/15/2025 (a) | 376,000 | 349,259 |
RXO, Inc. 7.50%, 11/15/2027 (a) | 510,000 | 526,575 |
Triton Container International Ltd. (Bermuda) 1.15%, 6/7/2024 (a) | 400,000 | 393,188 |
Uber Technologies, Inc. 7.50%, 9/15/2027 (a) | 435,000 | 445,004 |
Union Pacific Corp. | ||
2.40%, 2/5/2030 | 560,000 | 488,178 |
3.50%, 2/14/2053 | 120,000 | 89,318 |
XPO, Inc. | ||
6.25%, 6/1/2028 (a) | 330,000 | 330,742 |
7.13%, 6/1/2031 (a) | 405,000 | 413,624 |
8,916,491 | ||
Health Care Equipment & Supplies — 0.2% | ||
Abbott Laboratories 4.75%, 11/30/2036 | 290,000 | 284,308 |
Avantor Funding, Inc. 4.63%, 7/15/2028 (a) | 1,076,000 | 1,015,618 |
Baxter International, Inc. 1.73%, 4/1/2031 | 1,500,000 | 1,184,686 |
Becton Dickinson & Co. 3.70%, 6/6/2027 | 200,000 | 191,738 |
Boston Scientific Corp. 6.50%, 11/15/2035 (j) | 700,000 | 773,505 |
DH Europe Finance II SARL 3.25%, 11/15/2039 | 250,000 | 198,919 |
Hologic, Inc. 3.25%, 2/15/2029 (a) | 605,000 | 539,423 |
Medline Borrower LP | ||
3.88%, 4/1/2029 (a) | 1,735,000 | 1,555,658 |
5.25%, 10/1/2029 (a) | 55,000 | 50,874 |
Teleflex, Inc. 4.25%, 6/1/2028 (a) | 450,000 | 420,115 |
6,214,844 | ||
Health Care Providers & Services — 1.2% | ||
Acadia Healthcare Co., Inc. | ||
5.50%, 7/1/2028 (a) | 936,000 | 904,822 |
5.00%, 4/15/2029 (a) | 175,000 | 165,375 |
AdaptHealth LLC 4.63%, 8/1/2029 (a) | 85,000 | 70,763 |
Aetna, Inc. | ||
4.13%, 11/15/2042 | 320,000 | 255,816 |
4.75%, 3/15/2044 | 200,000 | 172,483 |
3.88%, 8/15/2047 | 1,735,000 | 1,297,196 |
Cencora, Inc. 5.13%, 2/15/2034 | 370,000 | 363,196 |
Centene Corp. 4.63%, 12/15/2029 | 581,000 | 549,946 |
46 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Health Care Providers & Services — continued | ||
Cigna Group (The) | ||
2.38%, 3/15/2031 | 135,000 | 112,701 |
5.13%, 5/15/2031 | 470,000 | 464,801 |
CommonSpirit Health | ||
1.55%, 10/1/2025 | 13,000 | 12,211 |
2.78%, 10/1/2030 | 13,000 | 11,132 |
3.91%, 10/1/2050 | 15,000 | 11,525 |
Community Health Network, Inc. Series 20-A, 3.10%, 5/1/2050 | 190,000 | 127,348 |
Community Health Systems, Inc. | ||
8.00%, 3/15/2026 (a) | 126,000 | 124,748 |
5.63%, 3/15/2027 (a) | 1,830,000 | 1,674,314 |
4.75%, 2/15/2031 (a) | 85,000 | 64,682 |
CVS Health Corp. | ||
4.30%, 3/25/2028 | 737,000 | 715,259 |
5.13%, 2/21/2030 | 265,000 | 263,349 |
5.25%, 2/21/2033 | 70,000 | 69,287 |
5.63%, 2/21/2053 | 1,000,000 | 960,724 |
DaVita, Inc. 4.63%, 6/1/2030 (a) | 835,000 | 734,505 |
Encompass Health Corp. | ||
4.50%, 2/1/2028 | 180,000 | 170,327 |
4.75%, 2/1/2030 | 1,210,000 | 1,122,492 |
4.63%, 4/1/2031 | 75,000 | 67,887 |
Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041 | 50,000 | 34,832 |
HCA, Inc. | ||
5.25%, 6/15/2026 | 570,000 | 566,530 |
4.50%, 2/15/2027 | 580,000 | 567,650 |
5.63%, 9/1/2028 | 3,750,000 | 3,778,948 |
3.50%, 9/1/2030 | 2,012,000 | 1,797,711 |
2.38%, 7/15/2031 | 1,130,000 | 919,617 |
5.60%, 4/1/2034 | 910,000 | 905,999 |
5.50%, 6/15/2047 | 300,000 | 279,321 |
5.25%, 6/15/2049 | 865,000 | 778,890 |
3.50%, 7/15/2051 | 30,000 | 20,271 |
6.00%, 4/1/2054 | 910,000 | 903,156 |
Memorial Health Services 3.45%, 11/1/2049 | 530,000 | 394,205 |
MultiCare Health System 2.80%, 8/15/2050 | 10,000 | 5,872 |
MyMichigan Health Series 2020, 3.41%, 6/1/2050 | 10,000 | 7,281 |
New York and Presbyterian Hospital (The) 2.61%, 8/1/2060 | 5,000 | 2,886 |
Northwell Healthcare, Inc. 4.26%, 11/1/2047 | 110,000 | 89,519 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Health Care Providers & Services — continued | ||
Northwestern Memorial Healthcare Obligated Group Series 2021, 2.63%, 7/15/2051 | 617,000 | 402,024 |
Owens & Minor, Inc. 4.50%, 3/31/2029 (a) | 930,000 | 830,920 |
Quest Diagnostics, Inc. | ||
2.95%, 6/30/2030 | 55,000 | 48,487 |
6.40%, 11/30/2033 | 580,000 | 619,572 |
Sutter Health 5.55%, 8/15/2053 | 150,000 | 156,569 |
Tenet Healthcare Corp. | ||
4.88%, 1/1/2026 | 260,000 | 259,731 |
5.13%, 11/1/2027 | 905,000 | 885,874 |
4.63%, 6/15/2028 | 1,040,000 | 989,840 |
4.25%, 6/1/2029 | 4,203,000 | 3,865,448 |
4.38%, 1/15/2030 | 875,000 | 801,407 |
6.13%, 6/15/2030 | 300,000 | 297,108 |
UnitedHealth Group, Inc. | ||
4.63%, 11/15/2041 | 232,000 | 211,684 |
3.25%, 5/15/2051 | 485,000 | 340,126 |
5.88%, 2/15/2053 | 145,000 | 155,124 |
5.05%, 4/15/2053 | 1,400,000 | 1,331,952 |
32,735,443 | ||
Health Care REITs — 0.0% ^ | ||
Healthpeak OP LLC | ||
2.13%, 12/1/2028 | 64,000 | 55,654 |
3.00%, 1/15/2030 | 87,000 | 76,233 |
Sabra Health Care LP 3.20%, 12/1/2031 | 120,000 | 97,295 |
229,182 | ||
Health Care Technology — 0.0% ^ | ||
IQVIA, Inc. | ||
5.00%, 5/15/2027 (a) | 200,000 | 194,708 |
6.50%, 5/15/2030 (a) | 510,000 | 517,068 |
711,776 | ||
Hotel & Resort REITs — 0.0% ^ | ||
RHP Hotel Properties LP | ||
4.75%, 10/15/2027 | 390,000 | 372,450 |
7.25%, 7/15/2028 (a) | 555,000 | 568,418 |
940,868 | ||
Hotels, Restaurants & Leisure — 0.9% | ||
1011778 BC ULC (Canada) | ||
5.75%, 4/15/2025 (a) | 50,000 | 49,815 |
3.88%, 1/15/2028 (a) | 257,000 | 239,724 |
4.00%, 10/15/2030 (a) | 290,000 | 254,737 |
Acushnet Co. 7.38%, 10/15/2028 (a) | 420,000 | 433,125 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 47 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Hotels, Restaurants & Leisure — continued | ||
Boyd Gaming Corp. 4.75%, 12/1/2027 | 548,000 | 526,406 |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | 577,000 | 530,479 |
Caesars Entertainment, Inc. | ||
8.13%, 7/1/2027 (a) | 285,000 | 292,634 |
4.63%, 10/15/2029 (a) | 1,405,000 | 1,282,759 |
6.50%, 2/15/2032 (a) | 918,000 | 924,869 |
Carnival Corp. | ||
5.75%, 3/1/2027 (a) | 560,000 | 552,986 |
4.00%, 8/1/2028 (a) | 1,000,000 | 922,359 |
10.50%, 6/1/2030 (a) | 390,000 | 425,503 |
Carnival Holdings Bermuda Ltd. 10.38%, 5/1/2028 (a) | 765,000 | 834,587 |
Cedar Fair LP | ||
6.50%, 10/1/2028 | 933,000 | 934,579 |
5.25%, 7/15/2029 | 250,000 | 236,145 |
Hilton Domestic Operating Co., Inc. | ||
5.38%, 5/1/2025 (a) | 25,000 | 24,880 |
5.75%, 5/1/2028 (a) | 285,000 | 284,214 |
3.75%, 5/1/2029 (a) | 345,000 | 313,373 |
4.88%, 1/15/2030 | 1,220,000 | 1,159,964 |
International Game Technology plc 6.25%, 1/15/2027 (a) | 200,000 | 200,844 |
Las Vegas Sands Corp. 2.90%, 6/25/2025 | 205,000 | 196,042 |
Marriott Ownership Resorts, Inc. 4.50%, 6/15/2029 (a) | 615,000 | 557,863 |
McDonald's Corp. 5.45%, 8/14/2053 | 430,000 | 428,557 |
MGM Resorts International | ||
6.75%, 5/1/2025 | 130,000 | 130,181 |
4.63%, 9/1/2026 | 355,000 | 344,172 |
5.50%, 4/15/2027 | 726,000 | 711,041 |
Royal Caribbean Cruises Ltd. | ||
11.63%, 8/15/2027 (a) | 635,000 | 686,847 |
8.25%, 1/15/2029 (a) | 1,107,000 | 1,173,420 |
9.25%, 1/15/2029 (a) | 1,117,000 | 1,201,548 |
6.25%, 3/15/2032 (a) (k) | 285,000 | 285,761 |
Sands China Ltd. (Macau) | ||
5.12%, 8/8/2025 (j) | 1,000,000 | 983,750 |
4.05%, 1/8/2026 (j) | 250,000 | 239,425 |
2.55%, 3/8/2027 (j) | 200,000 | 179,230 |
Six Flags Entertainment Corp. 7.25%, 5/15/2031 (a) | 255,000 | 256,594 |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | 253,000 | 253,588 |
Starbucks Corp. | ||
4.90%, 2/15/2031 | 350,000 | 345,764 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Hotels, Restaurants & Leisure — continued | ||
4.80%, 2/15/2033 | 350,000 | 345,177 |
3.35%, 3/12/2050 | 5,000 | 3,535 |
Station Casinos LLC 4.50%, 2/15/2028 (a) | 700,000 | 652,692 |
Travel + Leisure Co. 5.65%, 4/1/2024 (j) | 25,000 | 24,983 |
Vail Resorts, Inc. 6.25%, 5/15/2025 (a) | 509,000 | 510,838 |
Wynn Las Vegas LLC 5.25%, 5/15/2027 (a) | 125,000 | 122,321 |
Wynn Macau Ltd. (Macau) | ||
4.88%, 10/1/2024 (a) | 375,000 | 372,000 |
5.63%, 8/26/2028 (a) | 200,000 | 187,366 |
Wynn Resorts Finance LLC | ||
5.13%, 10/1/2029 (a) | 1,345,000 | 1,268,744 |
7.13%, 2/15/2031 (a) | 985,000 | 1,017,193 |
Yum! Brands, Inc. | ||
4.75%, 1/15/2030 (a) | 215,000 | 203,962 |
4.63%, 1/31/2032 | 1,025,000 | 940,960 |
24,047,536 | ||
Household Durables — 0.2% | ||
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | 605,000 | 602,610 |
Newell Brands, Inc. | ||
5.20%, 4/1/2026 (j) | 1,265,000 | 1,228,392 |
6.63%, 9/15/2029 | 950,000 | 909,356 |
6.37%, 4/1/2036 (j) | 310,000 | 272,276 |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | 970,000 | 869,453 |
3,882,087 | ||
Household Products — 0.1% | ||
Central Garden & Pet Co. | ||
5.13%, 2/1/2028 | 145,000 | 139,748 |
4.13%, 10/15/2030 | 165,000 | 146,581 |
Energizer Holdings, Inc. | ||
4.75%, 6/15/2028 (a) | 950,000 | 868,630 |
4.38%, 3/31/2029 (a) | 275,000 | 243,644 |
Spectrum Brands, Inc. 5.00%, 10/1/2029 (a) | 475,000 | 460,750 |
1,859,353 | ||
Independent Power and Renewable Electricity Producers — 0.2% | ||
Calpine Corp. | ||
5.25%, 6/1/2026 (a) | 548,000 | 539,886 |
4.50%, 2/15/2028 (a) | 260,000 | 244,906 |
5.13%, 3/15/2028 (a) | 425,000 | 404,023 |
Constellation Energy Generation LLC | ||
3.25%, 6/1/2025 | 187,000 | 181,629 |
48 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Independent Power and Renewable Electricity Producers — continued | ||
5.80%, 3/1/2033 | 240,000 | 245,302 |
6.25%, 10/1/2039 | 85,000 | 87,626 |
5.75%, 10/1/2041 | 120,000 | 117,421 |
5.60%, 6/15/2042 | 215,000 | 209,446 |
6.50%, 10/1/2053 | 2,074,000 | 2,276,215 |
4,306,454 | ||
Industrial Conglomerates — 0.0% ^ | ||
Honeywell International, Inc. 5.25%, 3/1/2054 | 650,000 | 648,679 |
Industrial REITs — 0.0% ^ | ||
Prologis LP | ||
1.75%, 7/1/2030 | 149,000 | 122,164 |
4.75%, 6/15/2033 | 640,000 | 620,587 |
742,751 | ||
Insurance — 0.3% | ||
Alleghany Corp. 3.25%, 8/15/2051 | 50,000 | 35,277 |
Aon Corp. 5.35%, 2/28/2033 | 165,000 | 164,568 |
Aon North America, Inc. 5.75%, 3/1/2054 | 350,000 | 351,374 |
Athene Global Funding | ||
1.45%, 1/8/2026 (a) | 370,000 | 341,529 |
2.95%, 11/12/2026 (a) | 44,000 | 40,774 |
Berkshire Hathaway Finance Corp. | ||
2.50%, 1/15/2051 | 200,000 | 123,593 |
3.85%, 3/15/2052 | 715,000 | 567,230 |
Cincinnati Financial Corp. 6.13%, 11/1/2034 | 200,000 | 208,663 |
CNA Financial Corp. 5.13%, 2/15/2034 | 280,000 | 270,732 |
Corebridge Global Funding 5.90%, 9/19/2028 (a) | 140,000 | 142,715 |
Equitable Financial Life Global Funding 1.70%, 11/12/2026 (a) | 25,000 | 22,601 |
F&G Global Funding 1.75%, 6/30/2026 (a) | 10,000 | 9,028 |
Fidelity & Guaranty Life Holdings, Inc. 5.50%, 5/1/2025 (a) | 440,000 | 434,435 |
Great-West Lifeco Finance 2018 LP (Canada) 4.58%, 5/17/2048 (a) | 20,000 | 17,603 |
Guardian Life Global Funding 5.74%, 10/2/2028 (a) | 500,000 | 517,446 |
High Street Funding Trust I 4.11%, 2/15/2028 (a) | 641,000 | 601,470 |
Manulife Financial Corp. (Canada) 4.15%, 3/4/2026 | 42,000 | 41,173 |
Marsh & McLennan Cos., Inc. 5.45%, 3/15/2053 | 155,000 | 154,342 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Insurance — continued | ||
MetLife, Inc. | ||
4.13%, 8/13/2042 | 329,000 | 278,821 |
5.00%, 7/15/2052 | 350,000 | 326,758 |
Metropolitan Life Global Funding I 5.15%, 3/28/2033 (a) | 880,000 | 870,438 |
Mutual of Omaha Cos. Global Funding 5.45%, 12/12/2028 (a) | 300,000 | 302,732 |
New York Life Global Funding 3.00%, 1/10/2028 (a) | 51,000 | 47,442 |
New York Life Insurance Co. 4.45%, 5/15/2069 (a) | 50,000 | 40,312 |
Pacific Life Global Funding II 5.50%, 8/28/2026 (a) | 135,000 | 135,879 |
Pacific Life Insurance Co. (3-MONTH SOFR + 2.80%), 4.30%, 10/24/2067 (a) (d) | 27,000 | 20,492 |
Pricoa Global Funding I 5.55%, 8/28/2026 (a) | 175,000 | 177,057 |
Principal Financial Group, Inc. 3.70%, 5/15/2029 | 235,000 | 219,222 |
Principal Life Global Funding II 5.10%, 1/25/2029 (a) | 400,000 | 396,794 |
Progressive Corp. (The) | ||
3.00%, 3/15/2032 | 200,000 | 173,170 |
4.35%, 4/25/2044 | 42,000 | 37,233 |
Protective Life Global Funding 5.47%, 12/8/2028 (a) | 543,000 | 549,330 |
Prudential Financial, Inc. | ||
3.88%, 3/27/2028 | 32,000 | 30,734 |
3.91%, 12/7/2047 | 250,000 | 196,972 |
Prudential Funding Asia plc (Hong Kong) 3.13%, 4/14/2030 | 470,000 | 416,537 |
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (a) | 800,000 | 657,841 |
Travelers Cos., Inc. (The) 5.35%, 11/1/2040 | 16,000 | 16,140 |
W R Berkley Corp. 3.55%, 3/30/2052 | 45,000 | 30,826 |
8,969,283 | ||
Interactive Media & Services — 0.0% ^ | ||
Meta Platforms, Inc. | ||
4.80%, 5/15/2030 | 210,000 | 209,927 |
5.60%, 5/15/2053 | 515,000 | 533,203 |
TripAdvisor, Inc. 7.00%, 7/15/2025 (a) | 420,000 | 420,500 |
1,163,630 | ||
IT Services — 0.1% | ||
Arches Buyer, Inc. 4.25%, 6/1/2028 (a) | 550,000 | 469,869 |
CGI, Inc. (Canada) 1.45%, 9/14/2026 | 170,000 | 154,055 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 49 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
IT Services — continued | ||
Presidio Holdings, Inc. 4.88%, 2/1/2027 (a) | 605,000 | 581,480 |
Twilio, Inc. 3.63%, 3/15/2029 | 510,000 | 454,035 |
1,659,439 | ||
Leisure Products — 0.0% ^ | ||
Hasbro, Inc. 3.90%, 11/19/2029 | 15,000 | 13,747 |
Life Sciences Tools & Services — 0.1% | ||
Charles River Laboratories International, Inc. 3.75%, 3/15/2029 (a) | 120,000 | 108,256 |
Danaher Corp. 2.80%, 12/10/2051 | 300,000 | 195,026 |
Thermo Fisher Scientific, Inc. | ||
4.98%, 8/10/2030 | 650,000 | 650,460 |
5.09%, 8/10/2033 | 2,585,000 | 2,600,098 |
3,553,840 | ||
Machinery — 0.2% | ||
Chart Industries, Inc. 7.50%, 1/1/2030 (a) | 1,145,000 | 1,181,080 |
Hillenbrand, Inc. 3.75%, 3/1/2031 | 984,000 | 838,860 |
Illinois Tool Works, Inc. 3.90%, 9/1/2042 | 15,000 | 12,780 |
Otis Worldwide Corp. 5.25%, 8/16/2028 | 450,000 | 453,434 |
Parker-Hannifin Corp. | ||
3.25%, 3/1/2027 | 92,000 | 87,480 |
4.25%, 9/15/2027 | 300,000 | 293,603 |
Stanley Black & Decker, Inc. 2.75%, 11/15/2050 | 10,000 | 5,807 |
Terex Corp. 5.00%, 5/15/2029 (a) | 275,000 | 256,796 |
Trinity Industries, Inc. | ||
4.55%, 10/1/2024 | 220,000 | 216,754 |
7.75%, 7/15/2028 (a) | 320,000 | 329,745 |
Wabash National Corp. 4.50%, 10/15/2028 (a) | 750,000 | 686,250 |
Xylem, Inc. 1.95%, 1/30/2028 | 30,000 | 26,826 |
4,389,415 | ||
Marine Transportation — 0.0% ^ | ||
MV24 Capital BV (Brazil) 6.75%, 6/1/2034 (a) | 483,816 | 454,293 |
Media — 1.5% | ||
Altice Financing SA (Luxembourg) 5.00%, 1/15/2028 (a) | 445,000 | 393,710 |
Charter Communications Operating LLC | ||
2.25%, 1/15/2029 | 1,265,000 | 1,067,424 |
2.30%, 2/1/2032 | 1,250,000 | 949,670 |
6.65%, 2/1/2034 | 2,460,000 | 2,468,446 |
3.50%, 6/1/2041 | 85,000 | 56,270 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Media — continued | ||
3.50%, 3/1/2042 | 535,000 | 349,934 |
3.70%, 4/1/2051 | 40,000 | 24,282 |
Clear Channel Outdoor Holdings, Inc. 5.13%, 8/15/2027 (a) | 1,102,000 | 1,030,415 |
Comcast Corp. | ||
2.65%, 2/1/2030 | 2,230,000 | 1,960,754 |
3.40%, 4/1/2030 | 1,600,000 | 1,464,098 |
4.25%, 10/15/2030 | 1,344,000 | 1,285,817 |
1.50%, 2/15/2031 | 450,000 | 358,932 |
3.90%, 3/1/2038 | 515,000 | 441,656 |
3.25%, 11/1/2039 | 813,000 | 623,488 |
2.89%, 11/1/2051 | 1,520,000 | 962,389 |
4.05%, 11/1/2052 | 500,000 | 394,677 |
5.35%, 5/15/2053 | 2,925,000 | 2,850,478 |
2.94%, 11/1/2056 | 3,348,000 | 2,060,130 |
CSC Holdings LLC | ||
5.38%, 2/1/2028 (a) | 470,000 | 409,666 |
6.50%, 2/1/2029 (a) | 1,570,000 | 1,368,522 |
4.50%, 11/15/2031 (a) | 200,000 | 148,500 |
Directv Financing LLC 5.88%, 8/15/2027 (a) | 956,000 | 902,339 |
Discovery Communications LLC 4.00%, 9/15/2055 | 45,000 | 29,786 |
DISH DBS Corp. | ||
5.88%, 11/15/2024 | 1,356,000 | 1,281,420 |
5.25%, 12/1/2026 (a) | 175,000 | 139,781 |
DISH Network Corp. 11.75%, 11/15/2027 (a) | 2,615,000 | 2,726,342 |
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | 235,000 | 212,355 |
Gray Television, Inc. | ||
7.00%, 5/15/2027 (a) | 745,000 | 673,257 |
4.75%, 10/15/2030 (a) | 100,000 | 64,434 |
5.38%, 11/15/2031 (a) | 135,000 | 87,332 |
iHeartCommunications, Inc. | ||
6.38%, 5/1/2026 | 850,000 | 723,762 |
8.38%, 5/1/2027 | 25,000 | 15,000 |
5.25%, 8/15/2027 (a) | 260,000 | 192,725 |
Lamar Media Corp. | ||
3.75%, 2/15/2028 | 215,000 | 199,413 |
4.00%, 2/15/2030 | 600,000 | 535,500 |
News Corp. 3.88%, 5/15/2029 (a) | 685,000 | 619,112 |
Nexstar Media, Inc. | ||
5.63%, 7/15/2027 (a) | 785,000 | 743,928 |
4.75%, 11/1/2028 (a) | 565,000 | 501,692 |
50 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Media — continued | ||
Outfront Media Capital LLC | ||
5.00%, 8/15/2027 (a) | 461,000 | 443,496 |
7.38%, 2/15/2031 (a) | 455,000 | 474,870 |
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a) | 270,000 | 213,565 |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | 115,000 | 93,349 |
Sinclair Television Group, Inc. 4.13%, 12/1/2030 (a) | 150,000 | 109,613 |
Sirius XM Radio, Inc. | ||
5.00%, 8/1/2027 (a) | 110,000 | 104,789 |
4.00%, 7/15/2028 (a) | 2,755,000 | 2,482,023 |
5.50%, 7/1/2029 (a) | 160,000 | 151,305 |
4.13%, 7/1/2030 (a) | 1,220,000 | 1,049,637 |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | 520,000 | 464,256 |
TEGNA, Inc. | ||
4.63%, 3/15/2028 | 890,000 | 799,042 |
5.00%, 9/15/2029 | 595,000 | 523,600 |
Univision Communications, Inc. | ||
6.63%, 6/1/2027 (a) | 540,000 | 523,475 |
7.38%, 6/30/2030 (a) | 730,000 | 705,086 |
Videotron Ltd. (Canada) 5.38%, 6/15/2024 (a) | 37,000 | 36,878 |
38,492,420 | ||
Metals & Mining — 0.4% | ||
Alcoa Nederland Holding BV | ||
5.50%, 12/15/2027 (a) | 200,000 | 196,556 |
6.13%, 5/15/2028 (a) | 500,000 | 500,092 |
ATI, Inc. | ||
5.88%, 12/1/2027 | 460,000 | 450,662 |
7.25%, 8/15/2030 | 250,000 | 256,968 |
BHP Billiton Finance USA Ltd. (Australia) | ||
5.25%, 9/8/2030 | 270,000 | 272,137 |
4.90%, 2/28/2033 | 100,000 | 98,668 |
5.25%, 9/8/2033 | 940,000 | 944,182 |
Big River Steel LLC 6.63%, 1/31/2029 (a) | 635,000 | 638,781 |
Carpenter Technology Corp. 6.38%, 7/15/2028 | 420,000 | 418,173 |
Cleveland-Cliffs, Inc. | ||
6.75%, 3/15/2026 (a) | 125,000 | 125,940 |
5.88%, 6/1/2027 | 635,000 | 628,260 |
4.63%, 3/1/2029 (a) | 310,000 | 284,598 |
6.75%, 4/15/2030 (a) | 280,000 | 277,951 |
Corp. Nacional del Cobre de Chile (Chile) | ||
6.44%, 1/26/2036 (a) | 237,000 | 241,370 |
6.30%, 9/8/2053 (a) | 200,000 | 194,128 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Metals & Mining — continued | ||
FMG Resources August 2006 Pty. Ltd. (Australia) | ||
4.50%, 9/15/2027 (a) | 100,000 | 95,721 |
5.88%, 4/15/2030 (a) | 135,000 | 132,122 |
Freeport-McMoRan, Inc. | ||
4.63%, 8/1/2030 | 300,000 | 285,895 |
5.40%, 11/14/2034 | 183,000 | 178,022 |
Glencore Funding LLC (Australia) | ||
3.88%, 10/27/2027 (a) | 40,000 | 38,044 |
6.13%, 10/6/2028 (a) | 2,000,000 | 2,064,319 |
2.50%, 9/1/2030 (a) | 37,000 | 31,319 |
2.85%, 4/27/2031 (a) | 435,000 | 370,668 |
Kaiser Aluminum Corp. 4.63%, 3/1/2028 (a) | 205,000 | 189,017 |
Newmont Corp. 5.75%, 11/15/2041 (a) | 300,000 | 304,526 |
Novelis Corp. 4.75%, 1/30/2030 (a) | 255,000 | 232,868 |
Nucor Corp. 2.98%, 12/15/2055 | 50,000 | 32,264 |
Rio Tinto Finance USA Ltd. (Australia) 5.20%, 11/2/2040 | 20,000 | 19,690 |
Rio Tinto Finance USA plc (Australia) 4.13%, 8/21/2042 | 370,000 | 317,701 |
Teck Resources Ltd. (Canada) 5.40%, 2/1/2043 | 20,000 | 18,509 |
United States Steel Corp. 6.88%, 3/1/2029 | 147,000 | 148,688 |
Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030 | 20,000 | 18,021 |
10,005,860 | ||
Mortgage Real Estate Investment Trusts (REITs) — 0.0% ^ | ||
Great Ajax Operating Partnership LP Series QIB, 8.88%, 9/1/2027 (a) | 1,000,000 | 944,383 |
Multi-Utilities — 0.3% | ||
Ameren Corp. | ||
1.95%, 3/15/2027 | 20,000 | 18,276 |
3.50%, 1/15/2031 | 1,541,000 | 1,387,465 |
Ameren Illinois Co. 4.95%, 6/1/2033 | 750,000 | 738,290 |
Berkshire Hathaway Energy Co. 5.15%, 11/15/2043 | 194,000 | 186,261 |
Consolidated Edison Co. of New York, Inc. | ||
Series E, 4.65%, 12/1/2048 | 225,000 | 196,670 |
Series A, 4.13%, 5/15/2049 | 491,000 | 394,407 |
Consumers Energy Co. 4.63%, 5/15/2033 | 365,000 | 352,637 |
DTE Energy Co. 4.88%, 6/1/2028 | 500,000 | 492,885 |
NiSource, Inc. 5.25%, 3/30/2028 | 275,000 | 276,211 |
PG&E Energy Recovery Funding LLC Series A-3, 2.82%, 7/15/2046 | 70,000 | 50,073 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 51 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Multi-Utilities — continued | ||
Puget Sound Energy, Inc. | ||
5.76%, 7/15/2040 | 140,000 | 139,490 |
5.45%, 6/1/2053 | 30,000 | 29,672 |
San Diego Gas & Electric Co. | ||
4.95%, 8/15/2028 | 350,000 | 349,918 |
2.95%, 8/15/2051 | 170,000 | 113,154 |
5.35%, 4/1/2053 | 1,200,000 | 1,164,078 |
Southern Co. Gas Capital Corp. | ||
5.75%, 9/15/2033 | 1,160,000 | 1,188,529 |
4.40%, 5/30/2047 | 100,000 | 81,140 |
Series 21A, 3.15%, 9/30/2051 | 710,000 | 459,893 |
WEC Energy Group, Inc. 5.60%, 9/12/2026 | 270,000 | 272,634 |
7,891,683 | ||
Office REITs — 0.0% ^ | ||
Alexandria Real Estate Equities, Inc. | ||
1.88%, 2/1/2033 | 53,000 | 39,661 |
5.15%, 4/15/2053 | 30,000 | 27,186 |
COPT Defense Properties LP 2.25%, 3/15/2026 | 94,000 | 87,907 |
154,754 | ||
Oil, Gas & Consumable Fuels — 2.7% | ||
Aker BP ASA (Norway) 3.10%, 7/15/2031 (a) | 250,000 | 211,153 |
Antero Midstream Partners LP | ||
7.88%, 5/15/2026 (a) | 390,000 | 398,367 |
5.75%, 3/1/2027 (a) | 430,000 | 420,728 |
5.75%, 1/15/2028 (a) | 815,000 | 798,972 |
Antero Resources Corp. | ||
7.63%, 2/1/2029 (a) | 1,023,000 | 1,053,625 |
5.38%, 3/1/2030 (a) | 125,000 | 119,125 |
Apache Corp. 4.38%, 10/15/2028 | 179,000 | 167,952 |
Baytex Energy Corp. (Canada) | ||
8.75%, 4/1/2027 (a) | 310,000 | 321,579 |
8.50%, 4/30/2030 (a) | 734,000 | 763,220 |
Blue Racer Midstream LLC 6.63%, 7/15/2026 (a) | 195,000 | 193,530 |
BP Capital Markets America, Inc. | ||
2.72%, 1/12/2032 | 557,000 | 472,629 |
4.81%, 2/13/2033 | 4,610,000 | 4,497,451 |
4.89%, 9/11/2033 | 710,000 | 696,320 |
3.00%, 2/24/2050 | 174,000 | 116,090 |
2.94%, 6/4/2051 | 67,000 | 43,877 |
3.00%, 3/17/2052 | 1,085,000 | 719,970 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
BP Capital Markets plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (d) (f) (g) | 155,000 | 146,281 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.15%), 6.45%, 12/1/2033 (d) (f) (g) | 950,000 | 952,131 |
Buckeye Partners LP | ||
3.95%, 12/1/2026 | 795,000 | 751,831 |
4.13%, 12/1/2027 | 175,000 | 162,873 |
California Resources Corp. 7.13%, 2/1/2026 (a) | 325,000 | 326,713 |
Cameron LNG LLC 3.70%, 1/15/2039 (a) | 20,000 | 16,407 |
Cheniere Energy Partners LP | ||
4.50%, 10/1/2029 | 1,369,000 | 1,282,294 |
4.00%, 3/1/2031 | 135,000 | 120,400 |
3.25%, 1/31/2032 | 240,000 | 200,590 |
Chesapeake Energy Corp. | ||
5.88%, 2/1/2029 (a) | 650,000 | 642,980 |
6.75%, 4/15/2029 (a) | 115,000 | 115,430 |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 730,000 | 730,912 |
Civitas Resources, Inc. | ||
8.38%, 7/1/2028 (a) | 290,000 | 303,463 |
8.63%, 11/1/2030 (a) | 765,000 | 818,612 |
8.75%, 7/1/2031 (a) | 1,272,000 | 1,352,735 |
CNX Resources Corp. 7.25%, 3/14/2027 (a) | 587,000 | 597,478 |
Columbia Pipelines Operating Co. LLC | ||
6.04%, 11/15/2033 (a) | 360,000 | 369,649 |
6.50%, 8/15/2043 (a) | 210,000 | 222,224 |
Comstock Resources, Inc. | ||
6.75%, 3/1/2029 (a) | 1,165,000 | 1,074,641 |
5.88%, 1/15/2030 (a) | 35,000 | 30,604 |
ConocoPhillips Co. | ||
5.05%, 9/15/2033 | 411,000 | 409,727 |
3.80%, 3/15/2052 | 610,000 | 467,607 |
5.55%, 3/15/2054 | 2,340,000 | 2,367,404 |
4.03%, 3/15/2062 | 233,000 | 181,265 |
Coterra Energy, Inc. 3.90%, 5/15/2027 | 30,000 | 28,851 |
Crescent Energy Finance LLC | ||
7.25%, 5/1/2026 (a) | 593,000 | 590,836 |
9.25%, 2/15/2028 (a) | 635,000 | 664,523 |
DT Midstream, Inc. | ||
4.13%, 6/15/2029 (a) | 830,000 | 758,409 |
52 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
4.38%, 6/15/2031 (a) | 180,000 | 162,052 |
4.30%, 4/15/2032 (a) | 80,000 | 71,131 |
Ecopetrol SA (Colombia) 8.38%, 1/19/2036 | 257,000 | 257,514 |
Empresa Nacional del Petroleo (Chile) 3.75%, 8/5/2026 (h) | 200,000 | 190,125 |
Enbridge, Inc. (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.43%), 8.50%, 1/15/2084 (d) | 1,025,000 | 1,092,977 |
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a) | 415,000 | 414,334 |
Energy Transfer LP | ||
5.75%, 4/1/2025 | 100,000 | 99,835 |
5.63%, 5/1/2027 (a) | 295,000 | 292,351 |
8.00%, 4/1/2029 (a) | 215,000 | 223,011 |
4.15%, 9/15/2029 | 1,150,000 | 1,085,681 |
5.75%, 2/15/2033 | 450,000 | 453,103 |
6.55%, 12/1/2033 | 510,000 | 540,957 |
5.95%, 5/15/2054 | 1,000,000 | 975,971 |
Eni USA, Inc. (Italy) 7.30%, 11/15/2027 | 140,000 | 148,791 |
EnLink Midstream LLC 5.38%, 6/1/2029 | 312,000 | 302,377 |
EnLink Midstream Partners LP | ||
4.85%, 7/15/2026 | 645,000 | 628,884 |
5.60%, 4/1/2044 | 404,000 | 366,145 |
Enterprise Products Operating LLC Series H, 6.65%, 10/15/2034 | 530,000 | 585,238 |
EQM Midstream Partners LP | ||
4.13%, 12/1/2026 | 420,000 | 402,616 |
7.50%, 6/1/2027 (a) | 1,245,000 | 1,273,762 |
6.50%, 7/1/2027 (a) | 405,000 | 409,050 |
5.50%, 7/15/2028 | 365,000 | 357,978 |
4.50%, 1/15/2029 (a) | 215,000 | 201,545 |
4.75%, 1/15/2031 (a) | 335,000 | 311,521 |
Exxon Mobil Corp. | ||
4.23%, 3/19/2040 | 750,000 | 672,483 |
3.10%, 8/16/2049 | 220,000 | 153,939 |
Flex Intermediate Holdco LLC | ||
3.36%, 6/30/2031 (a) | 15,000 | 12,196 |
4.32%, 12/30/2039 (a) | 20,000 | 14,458 |
Genesis Energy LP | ||
8.00%, 1/15/2027 | 385,000 | 387,663 |
7.75%, 2/1/2028 | 630,000 | 630,005 |
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (a) | 477,000 | 453,796 |
Greenko Dutch BV (India) 3.85%, 3/29/2026 (a) | 370,000 | 348,725 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
Greensaif Pipelines Bidco SARL (Saudi Arabia) 6.51%, 2/23/2042 (a) | 400,000 | 409,628 |
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | 950,000 | 966,779 |
Hess Corp. 4.30%, 4/1/2027 | 1,350,000 | 1,317,041 |
Hess Midstream Operations LP | ||
5.63%, 2/15/2026 (a) | 105,000 | 103,514 |
5.50%, 10/15/2030 (a) | 275,000 | 264,276 |
Hilcorp Energy I LP 5.75%, 2/1/2029 (a) | 1,384,000 | 1,338,437 |
KazMunayGas National Co. JSC (Kazakhstan) 5.38%, 4/24/2030 (h) | 400,000 | 388,352 |
Kinetik Holdings LP 5.88%, 6/15/2030 (a) | 760,000 | 740,555 |
MEG Energy Corp. (Canada) 5.88%, 2/1/2029 (a) | 430,000 | 419,233 |
MPLX LP | ||
2.65%, 8/15/2030 | 470,000 | 400,168 |
4.95%, 3/14/2052 | 55,000 | 47,203 |
NGL Energy Operating LLC | ||
8.13%, 2/15/2029 (a) | 273,000 | 275,574 |
8.38%, 2/15/2032 (a) | 428,000 | 434,755 |
NGPL PipeCo LLC 3.25%, 7/15/2031 (a) | 10,000 | 8,533 |
NuStar Logistics LP | ||
5.75%, 10/1/2025 | 250,000 | 247,733 |
5.63%, 4/28/2027 | 395,000 | 390,935 |
Permian Resources Operating LLC | ||
5.38%, 1/15/2026 (a) | 315,000 | 309,864 |
7.75%, 2/15/2026 (a) | 295,000 | 298,526 |
5.88%, 7/1/2029 (a) | 910,000 | 889,214 |
7.00%, 1/15/2032 (a) | 370,000 | 379,908 |
Petroleos Mexicanos (Mexico) | ||
6.88%, 8/4/2026 | 300,000 | 289,020 |
5.35%, 2/12/2028 | 300,000 | 260,493 |
10.00%, 2/7/2033 | 1,100,000 | 1,065,790 |
7.69%, 1/23/2050 | 800,000 | 551,080 |
Phillips 66 4.65%, 11/15/2034 | 330,000 | 310,112 |
Pioneer Natural Resources Co. | ||
1.13%, 1/15/2026 | 50,000 | 46,407 |
1.90%, 8/15/2030 | 2,330,000 | 1,940,859 |
Raizen Fuels Finance SA (Brazil) 6.45%, 3/5/2034 (a) | 245,000 | 245,992 |
Range Resources Corp. | ||
4.88%, 5/15/2025 | 45,000 | 44,378 |
8.25%, 1/15/2029 | 1,275,000 | 1,330,166 |
Rockies Express Pipeline LLC | ||
3.60%, 5/15/2025 (a) | 385,000 | 373,285 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 53 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
4.95%, 7/15/2029 (a) | 465,000 | 434,837 |
4.80%, 5/15/2030 (a) | 440,000 | 407,550 |
Sabine Pass Liquefaction LLC | ||
5.63%, 3/1/2025 | 90,000 | 89,876 |
5.88%, 6/30/2026 | 420,000 | 423,404 |
5.00%, 3/15/2027 | 1,225,000 | 1,215,879 |
4.50%, 5/15/2030 | 1,249,000 | 1,195,185 |
SM Energy Co. | ||
6.75%, 9/15/2026 | 250,000 | 248,603 |
6.63%, 1/15/2027 | 605,000 | 602,556 |
Southwestern Energy Co. | ||
5.70%, 1/23/2025 (j) | 2,000 | 1,989 |
8.38%, 9/15/2028 | 305,000 | 317,201 |
5.38%, 2/1/2029 | 1,215,000 | 1,174,185 |
5.38%, 3/15/2030 | 370,000 | 353,639 |
Summit Midstream Holdings LLC 9.00%, 10/15/2026 (a) (j) | 185,000 | 183,025 |
Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038 | 83,000 | 88,636 |
Sunoco LP | ||
6.00%, 4/15/2027 | 185,000 | 184,318 |
5.88%, 3/15/2028 | 430,000 | 425,381 |
4.50%, 5/15/2029 | 180,000 | 166,275 |
4.50%, 4/30/2030 | 815,000 | 741,553 |
Tallgrass Energy Partners LP | ||
6.00%, 3/1/2027 (a) | 395,000 | 389,865 |
5.50%, 1/15/2028 (a) | 55,000 | 52,250 |
7.38%, 2/15/2029 (a) | 330,000 | 329,261 |
6.00%, 12/31/2030 (a) | 865,000 | 804,386 |
6.00%, 9/1/2031 (a) | 40,000 | 36,641 |
TotalEnergies Capital International SA (France) | ||
2.99%, 6/29/2041 | 270,000 | 200,333 |
3.46%, 7/12/2049 | 424,000 | 317,327 |
TransCanada PipeLines Ltd. (Canada) 5.10%, 3/15/2049 | 48,000 | 44,135 |
Valero Energy Corp. 2.15%, 9/15/2027 | 25,000 | 22,654 |
Venture Global Calcasieu Pass LLC 3.88%, 8/15/2029 (a) | 570,000 | 511,580 |
Venture Global LNG, Inc. | ||
8.13%, 6/1/2028 (a) | 2,595,000 | 2,636,278 |
9.50%, 2/1/2029 (a) | 785,000 | 836,978 |
8.38%, 6/1/2031 (a) | 415,000 | 419,756 |
Vital Energy, Inc. 10.13%, 1/15/2028 | 715,000 | 748,337 |
71,893,355 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Passenger Airlines — 0.2% | ||
American Airlines, Inc. | ||
5.50%, 4/20/2026 (a) | 1,233,750 | 1,222,440 |
7.25%, 2/15/2028 (a) | 225,000 | 226,873 |
5.75%, 4/20/2029 (a) | 1,375,000 | 1,344,680 |
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | 25,643 | 25,263 |
Delta Air Lines, Inc. | ||
7.38%, 1/15/2026 | 105,000 | 108,281 |
4.38%, 4/19/2028 | 140,000 | 134,225 |
Mileage Plus Holdings LLC 6.50%, 6/20/2027 (a) | 602,000 | 602,147 |
United Airlines Holdings, Inc. 4.88%, 1/15/2025 | 16,000 | 15,840 |
United Airlines Pass-Through Trust Series 2016-2, Class A Shares, 3.10%, 10/7/2028 | 6,878 | 6,107 |
United Airlines, Inc. 4.63%, 4/15/2029 (a) | 695,000 | 641,071 |
VistaJet Malta Finance plc (Switzerland) 9.50%, 6/1/2028 (a) | 480,000 | 404,400 |
4,731,327 | ||
Personal Care Products — 0.1% | ||
Edgewell Personal Care Co. | ||
5.50%, 6/1/2028 (a) | 545,000 | 532,062 |
4.13%, 4/1/2029 (a) | 70,000 | 63,783 |
Estee Lauder Cos., Inc. (The) 2.60%, 4/15/2030 | 258,000 | 225,629 |
Kenvue, Inc. 5.10%, 3/22/2043 | 300,000 | 293,183 |
Prestige Brands, Inc. 5.13%, 1/15/2028 (a) | 265,000 | 256,138 |
1,370,795 | ||
Pharmaceuticals — 0.8% | ||
Astrazeneca Finance LLC (United Kingdom) | ||
4.88%, 3/3/2033 | 500,000 | 498,832 |
5.00%, 2/26/2034 | 380,000 | 381,276 |
AstraZeneca plc (United Kingdom) 1.38%, 8/6/2030 | 370,000 | 299,836 |
Bausch Health Americas, Inc. | ||
9.25%, 4/1/2026 (a) | 263,000 | 247,248 |
8.50%, 1/31/2027 (a) | 88,000 | 50,074 |
Bausch Health Cos., Inc. | ||
5.50%, 11/1/2025 (a) | 1,357,000 | 1,262,838 |
5.75%, 8/15/2027 (a) | 30,000 | 18,077 |
4.88%, 6/1/2028 (a) | 280,000 | 159,524 |
54 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Pharmaceuticals — continued | ||
Bristol-Myers Squibb Co. | ||
5.75%, 2/1/2031 | 500,000 | 521,270 |
5.20%, 2/22/2034 | 1,760,000 | 1,774,298 |
4.13%, 6/15/2039 | 629,000 | 547,982 |
2.35%, 11/13/2040 | 480,000 | 321,948 |
3.70%, 3/15/2052 | 975,000 | 740,008 |
5.55%, 2/22/2054 | 1,870,000 | 1,892,169 |
3.90%, 3/15/2062 | 180,000 | 134,364 |
6.40%, 11/15/2063 | 520,000 | 580,604 |
5.65%, 2/22/2064 | 200,000 | 201,830 |
Catalent Pharma Solutions, Inc. 3.13%, 2/15/2029 (a) | 500,000 | 482,865 |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (j) | 440,000 | 443,280 |
Eli Lilly & Co. 4.95%, 2/27/2063 | 740,000 | 713,856 |
Jazz Securities DAC 4.38%, 1/15/2029 (a) | 400,000 | 368,514 |
Merck & Co., Inc. | ||
5.00%, 5/17/2053 | 235,000 | 227,759 |
5.15%, 5/17/2063 | 425,000 | 414,716 |
Organon & Co. | ||
4.13%, 4/30/2028 (a) | 700,000 | 640,402 |
5.13%, 4/30/2031 (a) | 750,000 | 642,840 |
Pfizer Investment Enterprises Pte. Ltd. | ||
4.75%, 5/19/2033 | 540,000 | 525,859 |
5.30%, 5/19/2053 | 675,000 | 660,283 |
5.34%, 5/19/2063 | 2,600,000 | 2,504,459 |
Pfizer, Inc. 4.40%, 5/15/2044 | 500,000 | 450,049 |
Roche Holdings, Inc. 5.49%, 11/13/2030 (a) | 1,620,000 | 1,668,719 |
Royalty Pharma plc 1.20%, 9/2/2025 | 166,000 | 155,417 |
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | 145,000 | 138,119 |
Takeda Pharmaceutical Co. Ltd. (Japan) | ||
5.00%, 11/26/2028 | 1,000,000 | 998,352 |
3.03%, 7/9/2040 | 400,000 | 297,956 |
Zoetis, Inc. | ||
2.00%, 5/15/2030 | 435,000 | 365,060 |
5.60%, 11/16/2032 | 64,000 | 66,120 |
21,396,803 | ||
Real Estate Management & Development — 0.0% ^ | ||
Kennedy-Wilson, Inc. 4.75%, 3/1/2029 | 75,000 | 60,750 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Real Estate Management & Development — continued | ||
Ontario Teachers' Cadillac Fairview Properties Trust (Canada) 3.88%, 3/20/2027 (a) | 200,000 | 188,448 |
Realogy Group LLC 5.75%, 1/15/2029 (a) | 105,000 | 78,104 |
327,302 | ||
Residential REITs — 0.1% | ||
AvalonBay Communities, Inc. 3.35%, 5/15/2027 | 32,000 | 30,344 |
Camden Property Trust | ||
5.85%, 11/3/2026 | 400,000 | 408,494 |
3.15%, 7/1/2029 | 130,000 | 118,264 |
ERP Operating LP 3.25%, 8/1/2027 | 191,000 | 179,411 |
Essex Portfolio LP 2.65%, 3/15/2032 | 535,000 | 435,380 |
Mid-America Apartments LP 4.20%, 6/15/2028 | 100,000 | 96,767 |
UDR, Inc. 2.10%, 8/1/2032 | 45,000 | 34,792 |
1,303,452 | ||
Retail REITs — 0.0% ^ | ||
NNN REIT, Inc. | ||
3.60%, 12/15/2026 | 39,000 | 37,121 |
5.60%, 10/15/2033 | 100,000 | 99,725 |
Realty Income Corp. | ||
4.13%, 10/15/2026 | 44,000 | 42,835 |
3.25%, 1/15/2031 | 279,000 | 247,142 |
Regency Centers LP 3.70%, 6/15/2030 | 335,000 | 305,391 |
Scentre Group Trust 1 (Australia) | ||
3.50%, 2/12/2025 (a) | 150,000 | 147,023 |
3.25%, 10/28/2025 (a) | 160,000 | 154,303 |
1,033,540 | ||
Semiconductors & Semiconductor Equipment — 0.5% | ||
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | 885,000 | 889,701 |
ams-OSRAM AG (Austria) 12.25%, 3/30/2029 (a) | 750,000 | 760,781 |
Broadcom, Inc. 3.14%, 11/15/2035 (a) | 1,465,000 | 1,162,897 |
Entegris, Inc. | ||
4.38%, 4/15/2028 (a) | 460,000 | 429,835 |
3.63%, 5/1/2029 (a) | 180,000 | 159,300 |
5.95%, 6/15/2030 (a) | 690,000 | 676,582 |
Intel Corp. | ||
5.20%, 2/10/2033 | 400,000 | 400,444 |
5.63%, 2/10/2043 | 193,000 | 196,028 |
5.70%, 2/10/2053 | 921,000 | 933,607 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 55 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Semiconductors & Semiconductor Equipment — continued | ||
KLA Corp. | ||
4.65%, 7/15/2032 | 440,000 | 428,980 |
5.00%, 3/15/2049 | 100,000 | 95,407 |
3.30%, 3/1/2050 | 280,000 | 202,291 |
Marvell Technology, Inc. | ||
5.75%, 2/15/2029 | 550,000 | 560,344 |
2.95%, 4/15/2031 | 85,000 | 72,854 |
NVIDIA Corp. 3.50%, 4/1/2040 | 100,000 | 83,529 |
NXP BV (China) | ||
3.25%, 5/11/2041 | 270,000 | 198,291 |
3.13%, 2/15/2042 | 330,000 | 233,544 |
ON Semiconductor Corp. 3.88%, 9/1/2028 (a) | 555,000 | 507,564 |
QUALCOMM, Inc. | ||
4.25%, 5/20/2032 | 55,000 | 52,551 |
4.50%, 5/20/2052 | 415,000 | 367,457 |
Synaptics, Inc. 4.00%, 6/15/2029 (a) | 485,000 | 434,368 |
Texas Instruments, Inc. 5.05%, 5/18/2063 | 1,931,000 | 1,846,275 |
TSMC Arizona Corp. (Taiwan) 2.50%, 10/25/2031 | 960,000 | 812,122 |
TSMC Global Ltd. (Taiwan) 1.00%, 9/28/2027 (a) | 380,000 | 331,428 |
11,836,180 | ||
Software — 0.4% | ||
Black Knight InfoServ LLC 3.63%, 9/1/2028 (a) | 220,000 | 207,253 |
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | 260,000 | 237,337 |
Elastic NV 4.13%, 7/15/2029 (a) | 480,000 | 431,151 |
Intuit, Inc. | ||
5.20%, 9/15/2033 | 541,000 | 546,601 |
5.50%, 9/15/2053 | 580,000 | 596,514 |
Microsoft Corp. | ||
1.35%, 9/15/2030 (a) | 230,000 | 188,322 |
2.50%, 9/15/2050 (a) | 300,000 | 190,654 |
NCR Voyix Corp. | ||
5.00%, 10/1/2028 (a) | 930,000 | 864,323 |
5.13%, 4/15/2029 (a) | 270,000 | 250,337 |
Oracle Corp. | ||
2.65%, 7/15/2026 | 583,000 | 549,112 |
2.30%, 3/25/2028 | 15,000 | 13,442 |
4.90%, 2/6/2033 | 1,245,000 | 1,203,846 |
3.80%, 11/15/2037 | 1,150,000 | 947,036 |
3.65%, 3/25/2041 | 115,000 | 88,427 |
3.95%, 3/25/2051 | 375,000 | 279,732 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Software — continued | ||
5.55%, 2/6/2053 | 835,000 | 797,709 |
4.38%, 5/15/2055 | 305,000 | 239,435 |
RingCentral, Inc. 8.50%, 8/15/2030 (a) | 455,000 | 470,420 |
Roper Technologies, Inc. 1.75%, 2/15/2031 | 355,000 | 283,906 |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | 980,000 | 954,324 |
VMware LLC 4.65%, 5/15/2027 | 285,000 | 278,969 |
Workday, Inc. 3.70%, 4/1/2029 | 172,000 | 160,832 |
9,779,682 | ||
Specialized REITs — 0.2% | ||
American Tower Corp. | ||
1.45%, 9/15/2026 | 85,000 | 77,260 |
5.90%, 11/15/2033 | 100,000 | 102,558 |
2.95%, 1/15/2051 | 25,000 | 15,867 |
Crown Castle, Inc. | ||
2.90%, 3/15/2027 | 270,000 | 251,371 |
5.10%, 5/1/2033 | 2,000,000 | 1,933,105 |
Equinix, Inc. 3.90%, 4/15/2032 | 80,000 | 72,582 |
Extra Space Storage LP 2.20%, 10/15/2030 | 88,000 | 71,943 |
Iron Mountain, Inc. | ||
4.88%, 9/15/2027 (a) | 455,000 | 436,387 |
5.00%, 7/15/2028 (a) | 610,000 | 577,510 |
Public Storage Operating Co. | ||
2.25%, 11/9/2031 | 90,000 | 74,201 |
5.10%, 8/1/2033 | 304,000 | 303,709 |
SBA Communications Corp. 3.13%, 2/1/2029 | 930,000 | 823,045 |
4,739,538 | ||
Specialty Retail — 0.5% | ||
Asbury Automotive Group, Inc. | ||
4.50%, 3/1/2028 | 297,000 | 276,953 |
4.63%, 11/15/2029 (a) | 625,000 | 569,340 |
AutoZone, Inc. 1.65%, 1/15/2031 | 150,000 | 119,350 |
Bath & Body Works, Inc. | ||
5.25%, 2/1/2028 | 175,000 | 169,908 |
7.50%, 6/15/2029 | 923,000 | 950,330 |
6.88%, 11/1/2035 | 950,000 | 950,477 |
Gap, Inc. (The) 3.63%, 10/1/2029 (a) | 430,000 | 363,214 |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | 590,000 | 538,553 |
Home Depot, Inc. (The) | ||
1.88%, 9/15/2031 | 770,000 | 623,731 |
56 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Specialty Retail — continued | ||
4.50%, 9/15/2032 | 540,000 | 528,247 |
4.25%, 4/1/2046 | 301,000 | 257,081 |
3.63%, 4/15/2052 | 805,000 | 608,088 |
Lithia Motors, Inc. 3.88%, 6/1/2029 (a) | 480,000 | 428,400 |
Lowe's Cos., Inc. | ||
1.70%, 10/15/2030 | 170,000 | 138,031 |
4.25%, 4/1/2052 | 665,000 | 534,278 |
5.63%, 4/15/2053 | 1,585,000 | 1,573,054 |
O'Reilly Automotive, Inc. | ||
1.75%, 3/15/2031 | 73,000 | 58,510 |
4.70%, 6/15/2032 | 90,000 | 87,078 |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | 769,000 | 681,132 |
PetSmart, Inc. 4.75%, 2/15/2028 (a) | 1,350,000 | 1,265,362 |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | 615,000 | 542,700 |
SRS Distribution, Inc. 4.63%, 7/1/2028 (a) | 700,000 | 652,876 |
Staples, Inc. | ||
7.50%, 4/15/2026 (a) | 725,000 | 697,026 |
10.75%, 4/15/2027 (a) | 23,000 | 21,045 |
TJX Cos., Inc. (The) 3.88%, 4/15/2030 | 160,000 | 151,749 |
12,786,513 | ||
Technology Hardware, Storage & Peripherals — 0.2% | ||
Apple, Inc. | ||
4.38%, 5/13/2045 | 429,000 | 391,638 |
2.65%, 2/8/2051 | 1,140,000 | 735,260 |
4.85%, 5/10/2053 | 490,000 | 478,984 |
2.85%, 8/5/2061 | 750,000 | 477,493 |
Seagate HDD Cayman | ||
4.09%, 6/1/2029 | 150,000 | 136,879 |
3.13%, 7/15/2029 | 335,000 | 277,102 |
8.25%, 12/15/2029 (a) | 924,000 | 990,072 |
4.13%, 1/15/2031 | 114,000 | 100,132 |
8.50%, 7/15/2031 (a) | 230,000 | 248,680 |
9.63%, 12/1/2032 | 140,000 | 158,214 |
3,994,454 | ||
Textiles, Apparel & Luxury Goods — 0.0% ^ | ||
Hanesbrands, Inc. 4.88%, 5/15/2026 (a) | 130,000 | 125,453 |
William Carter Co. (The) 5.63%, 3/15/2027 (a) | 205,000 | 201,121 |
326,574 | ||
Tobacco — 0.5% | ||
Altria Group, Inc. 2.45%, 2/4/2032 | 480,000 | 384,427 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Tobacco — continued | ||
BAT Capital Corp. (United Kingdom) | ||
2.26%, 3/25/2028 | 1,045,000 | 924,743 |
4.74%, 3/16/2032 | 1,000,000 | 940,723 |
6.42%, 8/2/2033 | 1,890,000 | 1,944,246 |
4.39%, 8/15/2037 | 600,000 | 492,061 |
4.54%, 8/15/2047 | 665,000 | 498,766 |
Philip Morris International, Inc. | ||
3.13%, 3/2/2028 | 459,000 | 427,114 |
5.75%, 11/17/2032 | 820,000 | 836,448 |
5.38%, 2/15/2033 | 1,545,000 | 1,537,601 |
5.63%, 9/7/2033 | 3,140,000 | 3,173,531 |
5.25%, 2/13/2034 | 2,970,000 | 2,901,688 |
4.38%, 11/15/2041 | 345,000 | 293,260 |
14,354,608 | ||
Trading Companies & Distributors — 0.3% | ||
Air Lease Corp. | ||
3.38%, 7/1/2025 | 92,000 | 89,364 |
1.88%, 8/15/2026 | 34,000 | 31,221 |
Aviation Capital Group LLC 4.13%, 8/1/2025 (a) | 110,000 | 106,868 |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | 817,000 | 799,595 |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | 740,000 | 685,684 |
United Rentals North America, Inc. | ||
4.88%, 1/15/2028 | 1,245,000 | 1,201,793 |
5.25%, 1/15/2030 | 1,195,000 | 1,157,052 |
3.88%, 2/15/2031 | 185,000 | 163,494 |
WESCO Distribution, Inc. | ||
7.13%, 6/15/2025 (a) | 85,000 | 85,508 |
7.25%, 6/15/2028 (a) | 1,460,000 | 1,492,027 |
6.38%, 3/15/2029 (a) (k) | 510,000 | 510,047 |
6.63%, 3/15/2032 (a) (k) | 300,000 | 300,098 |
6,622,751 | ||
Transportation Infrastructure — 0.0% ^ | ||
Transurban Finance Co. Pty. Ltd. (Australia) 2.45%, 3/16/2031 (a) | 212,000 | 175,851 |
Water Utilities — 0.0% ^ | ||
American Water Capital Corp. | ||
5.15%, 3/1/2034 | 500,000 | 495,851 |
5.45%, 3/1/2054 | 420,000 | 413,146 |
908,997 | ||
Wireless Telecommunication Services — 0.4% | ||
Altice France Holding SA (Luxembourg) 10.50%, 5/15/2027 (a) | 200,000 | 130,653 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 57 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Wireless Telecommunication Services — continued | ||
Hughes Satellite Systems Corp. | ||
5.25%, 8/1/2026 | 185,000 | 158,058 |
6.63%, 8/1/2026 | 215,000 | 141,689 |
Rogers Communications, Inc. (Canada) 4.55%, 3/15/2052 | 40,000 | 33,010 |
Sprint LLC 7.63%, 3/1/2026 | 71,000 | 73,360 |
T-Mobile USA, Inc. | ||
4.80%, 7/15/2028 | 2,140,000 | 2,112,440 |
2.63%, 2/15/2029 | 1,493,000 | 1,323,812 |
3.38%, 4/15/2029 | 3,835,000 | 3,516,014 |
5.20%, 1/15/2033 | 750,000 | 745,540 |
5.05%, 7/15/2033 | 355,000 | 347,210 |
5.15%, 4/15/2034 | 995,000 | 979,755 |
5.65%, 1/15/2053 | 500,000 | 497,273 |
10,058,814 | ||
Total Corporate Bonds (Cost $782,682,405) | 783,705,041 | |
Mortgage-Backed Securities — 25.8% | ||
FHLMC Gold Pools, 30 Year Pool # G60855, 4.50%, 12/1/2045 | 62,790 | 61,020 |
FHLMC Gold Pools, Other | ||
Pool # WN1158, 1.80%, 11/1/2028 | 4,000,000 | 3,484,618 |
Pool # WN2203, 3.75%, 8/1/2032 | 1,200,000 | 1,108,983 |
Pool # WN3233, 3.19%, 7/1/2033 | 4,000,000 | 3,553,315 |
Pool # N31271, 4.50%, 1/1/2036 | 12,735 | 12,183 |
Pool # RE0003, 4.00%, 7/1/2049 | 2,186,761 | 2,052,485 |
Pool # RE6055, 2.50%, 8/1/2050 | 13,716,572 | 11,053,877 |
FHLMC UMBS, 20 Year Pool # SC0310, 2.00%, 8/1/2042 | 904,211 | 755,386 |
FHLMC UMBS, 30 Year | ||
Pool # QA5045, 4.00%, 11/1/2049 | 43,020 | 39,969 |
Pool # RA1983, 3.00%, 2/1/2050 | 4,096,870 | 3,548,765 |
Pool # QB1397, 2.50%, 7/1/2050 | 2,125,953 | 1,750,286 |
Pool # SD8089, 2.50%, 7/1/2050 | 4,256,952 | 3,531,953 |
Pool # RA5422, 3.00%, 6/1/2051 | 8,437,604 | 7,252,094 |
Pool # QC7968, 2.50%, 10/1/2051 | 4,036,904 | 3,351,990 |
Pool # RA6228, 2.50%, 11/1/2051 | 5,042,379 | 4,173,270 |
Pool # RA6222, 3.00%, 11/1/2051 | 3,372,075 | 2,891,117 |
Pool # SD3770, 2.50%, 3/1/2052 (k) | 2,291,427 | 1,888,972 |
Pool # SD2301, 3.50%, 3/1/2052 | 1,344,257 | 1,201,291 |
Pool # SD7554, 2.50%, 4/1/2052 | 6,985,608 | 5,835,240 |
Pool # SD1464, 3.00%, 5/1/2052 | 1,009,763 | 866,441 |
Pool # SD3781, 4.00%, 7/1/2052 | 5,514,916 | 5,078,219 |
Pool # SD1303, 4.50%, 7/1/2052 | 1,517,611 | 1,438,376 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # SD4181, 3.50%, 8/1/2052 | 5,835,979 | 5,197,378 |
Pool # QE8091, 4.00%, 8/1/2052 | 1,675,143 | 1,543,165 |
Pool # SD1725, 4.00%, 10/1/2052 | 1,890,015 | 1,741,177 |
Pool # QF3433, 5.00%, 11/1/2052 | 1,939,056 | 1,894,032 |
Pool # RA8766, 5.00%, 3/1/2053 | 1,900,060 | 1,843,542 |
Pool # SD3567, 4.50%, 5/1/2053 | 3,909,665 | 3,703,723 |
Pool # RA9669, 5.00%, 8/1/2053 | 3,708,891 | 3,597,798 |
FNMA UMBS, 15 Year Pool # FM8445, 3.00%, 4/1/2033 | 3,772,602 | 3,647,206 |
FNMA UMBS, 20 Year Pool # MA3004, 4.00%, 5/1/2037 | 305,726 | 293,351 |
FNMA UMBS, 30 Year | ||
Pool # AL2374, 4.00%, 12/1/2041 | 89,589 | 85,032 |
Pool # AL4244, 4.00%, 7/1/2042 | 102,373 | 97,419 |
Pool # BM1164, 3.50%, 12/1/2045 | 73,091 | 66,134 |
Pool # MA3073, 4.50%, 7/1/2047 | 17,052 | 16,494 |
Pool # BK4769, 5.00%, 8/1/2048 | 302,329 | 298,749 |
Pool # BN5013, 5.00%, 1/1/2049 | 109,821 | 109,296 |
Pool # BO1073, 4.50%, 6/1/2049 | 13,062 | 12,463 |
Pool # BO3039, 3.00%, 7/1/2049 | 157,703 | 136,999 |
Pool # BN6475, 4.00%, 7/1/2049 | 7,643 | 7,104 |
Pool # BO2562, 4.00%, 7/1/2049 | 68,973 | 64,245 |
Pool # BO4519, 4.00%, 8/1/2049 | 3,438 | 3,193 |
Pool # BO2203, 3.50%, 9/1/2049 | 224,399 | 202,781 |
Pool # FS1186, 3.50%, 1/1/2050 | 1,665,532 | 1,487,112 |
Pool # FM3365, 3.00%, 3/1/2050 | 2,850,975 | 2,468,840 |
Pool # CA5702, 2.50%, 5/1/2050 | 1,275,517 | 1,064,238 |
Pool # CA6587, 2.00%, 8/1/2050 (k) | 2,037,594 | 1,622,523 |
Pool # CA6989, 2.50%, 9/1/2050 | 4,593,453 | 3,848,467 |
Pool # BQ4516, 2.00%, 2/1/2051 | 8,016,808 | 6,345,253 |
Pool # CB0397, 3.00%, 5/1/2051 | 1,032,415 | 892,203 |
Pool # FS5384, 2.50%, 6/1/2051 | 5,736,242 | 4,778,831 |
Pool # FM7957, 2.50%, 7/1/2051 (k) | 15,049,619 | 12,540,005 |
Pool # CB1406, 3.00%, 8/1/2051 | 14,169,874 | 12,223,441 |
Pool # CB1411, 3.00%, 8/1/2051 | 3,830,404 | 3,304,284 |
Pool # BU0070, 2.50%, 10/1/2051 | 898,418 | 740,752 |
Pool # FM9198, 2.50%, 11/1/2051 (k) | 6,190,919 | 5,150,005 |
Pool # FS5389, 2.50%, 11/1/2051 | 2,756,378 | 2,281,654 |
Pool # FS0009, 3.50%, 11/1/2051 | 3,052,317 | 2,728,798 |
Pool # FM9961, 3.00%, 12/1/2051 | 453,488 | 388,376 |
Pool # MA4494, 3.00%, 12/1/2051 | 4,031,102 | 3,467,390 |
Pool # FS4108, 4.00%, 12/1/2051 | 3,805,269 | 3,508,425 |
Pool # CB2637, 2.50%, 1/1/2052 | 456,331 | 376,903 |
Pool # BV0273, 3.00%, 1/1/2052 | 285,552 | 244,561 |
Pool # CB2670, 3.00%, 1/1/2052 | 424,468 | 363,515 |
Pool # MA4548, 2.50%, 2/1/2052 | 6,346,899 | 5,222,438 |
58 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # BV3930, 3.00%, 2/1/2052 | 541,930 | 464,573 |
Pool # BV0295, 3.50%, 2/1/2052 | 566,666 | 514,326 |
Pool # FS0957, 3.00%, 3/1/2052 | 264,655 | 226,765 |
Pool # FS1954, 3.00%, 3/1/2052 | 1,720,770 | 1,504,526 |
Pool # FS4393, 3.00%, 3/1/2052 | 3,231,240 | 2,769,130 |
Pool # CB3132, 3.50%, 3/1/2052 | 2,840,614 | 2,527,969 |
Pool # FS1538, 3.00%, 4/1/2052 | 8,761,213 | 7,505,501 |
Pool # CB3378, 4.00%, 4/1/2052 | 3,192,807 | 2,939,348 |
Pool # CB3384, 4.00%, 4/1/2052 | 8,282,117 | 7,625,061 |
Pool # BW6017, 3.50%, 5/1/2052 | 583,086 | 523,938 |
Pool # CB3608, 3.50%, 5/1/2052 | 4,850,894 | 4,319,537 |
Pool # FS2588, 4.50%, 8/1/2052 | 1,565,480 | 1,483,742 |
Pool # FS3536, 4.50%, 8/1/2052 | 1,848,155 | 1,750,728 |
Pool # CB4830, 4.50%, 9/1/2052 | 1,397,124 | 1,324,535 |
Pool # FS3829, 4.50%, 9/1/2052 | 1,339,440 | 1,269,504 |
Pool # CB4628, 5.00%, 9/1/2052 | 2,262,148 | 2,195,130 |
Pool # FS2982, 5.00%, 9/1/2052 | 2,868,360 | 2,785,633 |
Pool # CB4837, 5.00%, 10/1/2052 | 1,470,344 | 1,437,570 |
Pool # BX0627, 5.00%, 11/1/2052 | 1,951,484 | 1,904,871 |
Pool # CB5413, 4.00%, 12/1/2052 | 1,953,529 | 1,802,747 |
Pool # CB5428, 4.50%, 12/1/2052 | 1,960,055 | 1,864,391 |
Pool # BX3808, 5.00%, 3/1/2053 | 966,058 | 944,297 |
Pool # BX3811, 5.00%, 3/1/2053 | 1,580,621 | 1,534,645 |
Pool # CB5896, 5.00%, 3/1/2053 | 1,845,925 | 1,791,636 |
Pool # BX3824, 5.50%, 3/1/2053 | 360,231 | 357,097 |
Pool # CB5907, 5.50%, 3/1/2053 | 1,089,539 | 1,084,650 |
Pool # BY4714, 5.00%, 6/1/2053 | 3,155,801 | 3,061,246 |
Pool # BY4776, 5.00%, 7/1/2053 | 2,970,779 | 2,881,766 |
Pool # BY4736, 5.50%, 7/1/2053 | 2,797,573 | 2,773,228 |
Pool # BY7218, 5.00%, 9/1/2053 | 1,551,919 | 1,505,355 |
FNMA, Other | ||
Pool # AM8846, 2.68%, 5/1/2025 | 136,989 | 132,810 |
Pool # AM0414, 2.87%, 9/1/2027 | 392,220 | 368,073 |
Pool # AN7560, 2.90%, 12/1/2027 | 179,562 | 167,277 |
Pool # BS8981, 5.04%, 2/1/2029 | 3,822,000 | 3,860,034 |
Pool # BL2367, 3.48%, 5/1/2029 | 527,096 | 496,461 |
Pool # BS6079, 3.52%, 7/1/2029 | 2,500,000 | 2,357,238 |
Pool # AN6730, 3.01%, 9/1/2029 | 1,994,186 | 1,833,983 |
Pool # BS6621, 3.50%, 9/1/2029 | 4,000,000 | 3,749,930 |
Pool # BS7011, 4.81%, 9/1/2029 | 2,969,519 | 2,958,690 |
Pool # BS8075, 5.00%, 9/1/2029 | 1,500,000 | 1,509,487 |
Pool # BS1577, 1.82%, 2/1/2030 | 844,852 | 720,637 |
Pool # BS6827, 4.19%, 5/1/2030 | 905,100 | 877,736 |
Pool # BS4878, 2.44%, 6/1/2030 | 585,615 | 514,208 |
Pool # BS8846, 4.09%, 7/1/2030 | 2,500,000 | 2,405,485 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # BS9022, 4.46%, 7/1/2030 | 2,640,000 | 2,590,802 |
Pool # 387898, 3.71%, 8/1/2030 | 733,007 | 687,866 |
Pool # BS6088, 4.04%, 8/1/2030 | 4,615,000 | 4,413,005 |
Pool # BS5171, 2.51%, 10/1/2030 | 1,925,000 | 1,683,324 |
Pool # BS5985, 3.99%, 11/1/2030 | 424,103 | 405,224 |
Pool # BS8033, 4.43%, 11/1/2030 | 3,090,000 | 3,030,510 |
Pool # BS8306, 4.52%, 12/1/2030 | 2,977,939 | 2,935,622 |
Pool # BS9296, 4.80%, 12/1/2030 | 2,505,000 | 2,508,630 |
Pool # BL9645, 1.50%, 1/1/2031 | 100,000 | 80,564 |
Pool # BL9627, 1.56%, 1/1/2031 | 500,000 | 404,584 |
Pool # BS1731, 1.82%, 1/1/2031 | 957,062 | 799,544 |
Pool # BS1304, 1.54%, 3/1/2031 | 1,500,000 | 1,206,053 |
Pool # BS2422, 1.67%, 7/1/2031 | 1,200,000 | 966,907 |
Pool # BS2898, 1.56%, 9/1/2031 | 1,000,000 | 795,272 |
Pool # BS4116, 2.28%, 10/1/2031 | 764,859 | 643,647 |
Pool # BS3612, 1.93%, 11/1/2031 | 1,500,000 | 1,220,060 |
Pool # BM6857, 1.83%, 12/1/2031 (i) | 23,461,696 | 19,048,128 |
Pool # BS4505, 1.93%, 1/1/2032 | 8,000,000 | 6,550,123 |
Pool # BS4563, 2.01%, 1/1/2032 | 1,100,000 | 902,463 |
Pool # BS3464, 2.03%, 1/1/2032 | 1,112,000 | 913,799 |
Pool # BS4709, 2.22%, 2/1/2032 | 2,000,000 | 1,648,791 |
Pool # BM7037, 1.75%, 3/1/2032 (i) | 1,099,005 | 881,823 |
Pool # BS4654, 2.39%, 3/1/2032 | 1,446,190 | 1,225,456 |
Pool # BL6367, 1.82%, 4/1/2032 | 324,902 | 264,524 |
Pool # BS5130, 2.55%, 4/1/2032 | 483,639 | 415,690 |
Pool # BS5463, 3.34%, 5/1/2032 | 1,742,527 | 1,580,247 |
Pool # BS5597, 3.59%, 5/1/2032 | 1,175,000 | 1,073,799 |
Pool # BS5195, 2.80%, 6/1/2032 | 2,042,650 | 1,765,079 |
Pool # BS5875, 3.66%, 6/1/2032 | 2,108,313 | 1,938,311 |
Pool # BS6301, 3.67%, 8/1/2032 | 945,000 | 871,865 |
Pool # BS6385, 3.89%, 8/1/2032 | 2,443,357 | 2,297,757 |
Pool # BS6448, 3.93%, 8/1/2032 | 1,550,000 | 1,456,898 |
Pool # BS6502, 3.41%, 9/1/2032 | 2,956,760 | 2,689,128 |
Pool # BS6335, 3.75%, 9/1/2032 | 1,030,000 | 959,098 |
Pool # BS6339, 3.80%, 9/1/2032 | 1,056,986 | 982,426 |
Pool # BS6347, 4.03%, 9/1/2032 | 350,000 | 326,585 |
Pool # BS6417, 3.83%, 10/1/2032 | 2,606,490 | 2,430,170 |
Pool # BS6951, 3.90%, 10/1/2032 | 13,290,000 | 12,417,193 |
Pool # BS6759, 3.97%, 10/1/2032 | 889,713 | 840,690 |
Pool # BL8708, 1.40%, 11/1/2032 | 200,000 | 152,683 |
Pool # BS6995, 4.18%, 11/1/2032 | 1,015,000 | 970,263 |
Pool # BS6849, 4.23%, 11/1/2032 | 786,192 | 755,993 |
Pool # BS6815, 4.71%, 11/1/2032 | 1,283,000 | 1,274,369 |
Pool # BS6994, 4.85%, 11/1/2032 | 661,000 | 663,412 |
Pool # BS7203, 4.98%, 11/1/2032 | 1,249,000 | 1,261,623 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 59 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # BS7095, 4.80%, 12/1/2032 | 1,023,597 | 1,023,605 |
Pool # BS7663, 4.71%, 1/1/2033 | 1,998,342 | 1,985,399 |
Pool # AN8257, 3.26%, 2/1/2033 | 949,650 | 853,202 |
Pool # BS7671, 4.76%, 2/1/2033 | 2,177,000 | 2,169,785 |
Pool # BS8334, 4.71%, 3/1/2033 | 2,368,369 | 2,344,760 |
Pool # BS1636, 2.25%, 4/1/2033 | 1,138,043 | 932,228 |
Pool # BS7740, 4.11%, 4/1/2033 | 2,000,000 | 1,892,843 |
Pool # BS8277, 4.39%, 4/1/2033 | 3,014,000 | 2,921,177 |
Pool # BS8157, 4.51%, 4/1/2033 | 2,750,000 | 2,689,815 |
Pool # BS8256, 4.53%, 4/1/2033 | 2,000,000 | 1,952,746 |
Pool # BS8055, 4.71%, 4/1/2033 | 1,500,000 | 1,489,305 |
Pool # BS8250, 4.51%, 5/1/2033 | 1,749,435 | 1,709,081 |
Pool # BS8152, 4.55%, 5/1/2033 | 2,000,000 | 1,962,025 |
Pool # BS8703, 4.48%, 6/1/2033 | 3,000,000 | 2,927,786 |
Pool # AN6000, 3.21%, 7/1/2033 | 953,067 | 844,926 |
Pool # AN9725, 3.76%, 7/1/2033 | 100,125 | 93,156 |
Pool # BS8883, 4.58%, 7/1/2033 | 2,558,000 | 2,515,004 |
Pool # BS9146, 4.35%, 8/1/2033 | 2,000,000 | 1,931,191 |
Pool # BS6038, 3.98%, 9/1/2033 | 2,085,000 | 1,932,851 |
Pool # BS8897, 4.55%, 9/1/2033 | 3,115,000 | 3,055,706 |
Pool # BS9616, 4.79%, 9/1/2033 | 1,203,000 | 1,195,913 |
Pool # BS9470, 4.45%, 10/1/2033 | 3,000,000 | 2,919,114 |
Pool # BS9182, 4.52%, 10/1/2033 | 1,216,000 | 1,189,811 |
Pool # BS9310, 4.64%, 10/1/2033 | 1,718,898 | 1,692,711 |
Pool # BS4197, 2.14%, 12/1/2033 | 498,491 | 404,212 |
Pool # BZ0419, 4.25%, 1/1/2034 | 5,000,000 | 4,782,990 |
Pool # BZ0410, 4.52%, 1/1/2034 | 10,440,000 | 10,215,514 |
Pool # BZ0430, 4.32%, 2/1/2034 | 3,625,000 | 3,486,334 |
Pool # BZ0420, 4.60%, 2/1/2034 | 20,000,000 | 19,674,897 |
Pool # BL3625, 2.89%, 9/1/2034 | 2,107,000 | 1,781,351 |
Pool # BL3756, 2.92%, 9/1/2034 | 5,000,000 | 4,283,747 |
Pool # BS6427, 3.75%, 9/1/2034 | 1,010,000 | 919,571 |
Pool # BL3772, 2.92%, 10/1/2034 | 674,424 | 580,702 |
Pool # BS5018, 2.88%, 10/1/2035 | 750,000 | 603,665 |
Pool # AN7345, 3.21%, 11/1/2037 | 616,551 | 529,877 |
Pool # MA1072, 3.50%, 5/1/2042 | 9,328 | 8,580 |
Pool # BF0533, 2.50%, 11/1/2050 | 1,163,999 | 967,178 |
Pool # BF0230, 5.50%, 1/1/2058 | 376,331 | 384,156 |
Pool # BF0300, 4.00%, 8/1/2058 | 5,542,722 | 5,155,979 |
Pool # BF0400, 4.00%, 8/1/2059 | 616,295 | 566,412 |
Pool # BF0497, 3.00%, 7/1/2060 | 67,701 | 56,087 |
Pool # BF0520, 3.00%, 1/1/2061 | 3,199,561 | 2,725,062 |
Pool # BF0560, 2.50%, 9/1/2061 | 869,826 | 691,225 |
Pool # BF0562, 3.50%, 9/1/2061 | 843,116 | 734,579 |
Pool # BF0583, 4.00%, 12/1/2061 | 852,291 | 784,317 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # BF0586, 5.00%, 12/1/2061 | 826,528 | 805,579 |
Pool # BF0617, 2.50%, 3/1/2062 | 3,092,421 | 2,458,405 |
Pool # BF0677, 4.00%, 9/1/2062 | 2,988,587 | 2,750,226 |
FNMA/FHLMC UMBS, Single Family, 30 Year | ||
TBA, 2.50%, 3/25/2054 (k) | 16,740,000 | 13,752,074 |
TBA, 3.00%, 3/25/2054 (k) | 16,000,000 | 13,683,471 |
TBA, 4.00%, 3/25/2054 (k) | 1,825,000 | 1,678,955 |
TBA, 5.00%, 3/25/2054 (k) | 35,000,000 | 33,939,080 |
TBA, 5.50%, 3/25/2054 (k) | 25,000,000 | 24,729,320 |
TBA, 6.00%, 3/25/2054 (k) | 15,000,000 | 15,062,562 |
GNMA I, 30 Year | ||
Pool # 783473, 3.50%, 11/15/2041 | 4,308,207 | 4,006,039 |
Pool # CO1928, 5.50%, 10/15/2052 | 1,258,813 | 1,286,574 |
Pool # CR2369, 6.00%, 1/15/2053 | 1,791,515 | 1,900,651 |
GNMA II | ||
Pool # CE9366, ARM, 6.27%, 10/20/2071 (i) | 5,054,473 | 5,162,096 |
Pool # CH4945, ARM, 6.38%, 10/20/2071 (i) | 6,343,289 | 6,476,929 |
Pool # CH7776, ARM, 6.48%, 10/20/2071 (i) | 5,947,845 | 6,100,241 |
Pool # CJ7125, ARM, 6.51%, 10/20/2071 (i) | 467,598 | 480,213 |
Pool # CE9384, ARM, 6.40%, 11/20/2071 (i) | 764,785 | 785,965 |
Pool # CJ7141, ARM, 6.45%, 11/20/2071 (i) | 452,213 | 463,075 |
Pool # CE5557, ARM, 6.63%, 11/20/2071 (i) | 105,357 | 108,865 |
Pool # CK7234, ARM, 6.44%, 2/20/2072 (i) | 6,246,526 | 6,399,595 |
Pool # CK2792, ARM, 6.62%, 3/20/2072 (i) | 826,717 | 855,472 |
Pool # CO0363, ARM, 6.78%, 7/20/2072 (i) | 783,884 | 820,133 |
GNMA II, 30 Year | ||
Pool # AJ9020, 4.50%, 10/20/2044 | 32,681 | 31,318 |
Pool # BB3525, 4.00%, 9/20/2047 | 23,446 | 22,046 |
Pool # AY2413, 4.25%, 10/20/2048 | 1,483,098 | 1,403,025 |
Pool # BJ9820, 4.20%, 1/20/2049 | 1,162,413 | 1,081,803 |
Pool # BM2418, 4.00%, 8/20/2049 | 14,156 | 13,482 |
Pool # BN7049, 4.50%, 8/20/2049 | 131,112 | 126,598 |
Pool # BP7160, 4.50%, 9/20/2049 | 84,762 | 83,918 |
Pool # CH1162, 3.50%, 6/20/2050 | 218,495 | 205,024 |
Pool # CB8492, 3.50%, 1/20/2051 | 1,621,711 | 1,537,016 |
Pool # CB8531, 3.50%, 2/20/2051 | 712,894 | 664,320 |
Pool # CC9803, 4.00%, 4/20/2051 | 213,549 | 199,833 |
60 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # MA7534, 2.50%, 8/20/2051 | 4,205,669 | 3,561,126 |
Pool # CH1291, 3.50%, 9/20/2051 | 897,899 | 817,881 |
Pool # CH1293, 3.50%, 9/20/2051 | 2,563,167 | 2,384,923 |
Pool # CH1292, 3.50%, 10/20/2051 | 1,032,528 | 947,836 |
Pool # MA7705, 2.50%, 11/20/2051 | 5,797,580 | 4,908,546 |
Pool # CH7863, 3.50%, 12/20/2051 | 655,840 | 596,444 |
Pool # CI2080, 3.50%, 12/20/2051 | 783,721 | 699,367 |
Pool # CH0876, 3.00%, 1/20/2052 | 96,296 | 84,819 |
Pool # CH0877, 3.00%, 1/20/2052 | 267,199 | 235,268 |
Pool # CH0878, 3.00%, 1/20/2052 | 284,951 | 250,719 |
Pool # CJ3916, 3.00%, 1/20/2052 | 728,455 | 654,419 |
Pool # CK2608, 3.00%, 1/20/2052 | 439,408 | 386,196 |
Pool # CK4909, 3.00%, 1/20/2052 | 95,798 | 84,171 |
Pool # CK4916, 3.00%, 1/20/2052 | 200,925 | 176,166 |
Pool # CJ8184, 3.50%, 1/20/2052 | 602,144 | 544,664 |
Pool # CK4918, 3.50%, 1/20/2052 | 70,460 | 64,018 |
Pool # CK7137, 4.00%, 1/20/2052 | 458,557 | 420,855 |
Pool # CK2667, 3.00%, 2/20/2052 | 584,871 | 512,772 |
Pool # CK2672, 3.50%, 2/20/2052 | 577,310 | 524,162 |
Pool # CM2154, 3.00%, 3/20/2052 | 745,509 | 652,206 |
Pool # CM2278, 3.50%, 4/20/2052 | 822,703 | 748,189 |
Pool # CO4826, 5.00%, 6/20/2052 | 549,344 | 536,685 |
Pool # CO4847, 5.00%, 7/20/2052 | 836,033 | 816,768 |
Pool # MA8200, 4.00%, 8/20/2052 | 1,828,736 | 1,702,089 |
Pool # CO1924, 4.50%, 10/20/2052 | 1,182,152 | 1,175,755 |
Pool # CP8517, 4.50%, 10/20/2052 | 979,082 | 922,430 |
Pool # CO1925, 5.00%, 10/20/2052 | 980,971 | 1,012,874 |
Pool # CO8957, 5.00%, 12/20/2052 | 6,845,100 | 6,661,696 |
Pool # CS4305, 5.50%, 6/20/2053 | 2,460,407 | 2,453,810 |
Pool # CV0175, 6.50%, 6/20/2053 | 1,321,095 | 1,367,060 |
Pool # CS4391, 5.50%, 7/20/2053 | 2,938,013 | 2,930,135 |
Pool # CW7288, 6.50%, 9/20/2053 | 1,116,401 | 1,136,402 |
GNMA II, Single Family, 30 Year | ||
TBA, 5.00%, 3/15/2054 (k) | 31,025,000 | 30,302,234 |
TBA, 5.50%, 3/15/2054 (k) | 11,000,000 | 10,926,523 |
Total Mortgage-Backed Securities (Cost $685,895,957) | 677,928,325 | |
Asset-Backed Securities — 17.0% | ||
ACC Trust Series 2022-1, Class C, 3.24%, 10/20/2025 (a) | 1,000,000 | 648,451 |
ACHV ABS TRUST | ||
Series 2023-1PL, Class C, 7.42%, 3/18/2030 (a) | 1,977,000 | 1,995,708 |
Series 2023-2PL, Class C, 7.27%, 5/20/2030 (a) | 2,900,000 | 2,929,224 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2023-3PL, Class C, 7.35%, 8/19/2030 (a) | 1,750,000 | 1,770,066 |
ACM Auto Trust Series 2023-2A, Class A, 7.97%, 6/20/2030 (a) | 2,413,084 | 2,426,865 |
ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class B, 6.83%, 12/18/2037 (a) (i) | 250,000 | 242,983 |
Air Canada Pass-Through Trust (Canada) Series 2017-1, Class AA, 3.30%, 1/15/2030 (a) | 359,200 | 324,410 |
Ajax Mortgage Loan Trust | ||
Series 2021-G, Class A, 1.87%, 6/25/2061 (a) (i) | 5,072,564 | 4,811,398 |
Series 2021-B, Class A, 2.24%, 6/25/2066 (a) (j) | 217,802 | 212,293 |
American Airlines Pass-Through Trust Series 2015-2, Class A, 4.00%, 9/22/2027 | 174,072 | 163,006 |
American Credit Acceptance Receivables Trust | ||
Series 2023-3, Class A, 6.00%, 3/12/2027 (a) | 1,539,517 | 1,541,271 |
Series 2022-2, Class E, 6.57%, 6/13/2028 (a) | 300,000 | 292,222 |
Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | 506,000 | 504,663 |
Series 2023-3, Class D, 6.82%, 10/12/2029 (a) | 1,955,000 | 1,969,944 |
American Homes 4 Rent Trust | ||
Series 2014-SFR3, Class B, 4.20%, 12/17/2036 (a) | 125,000 | 123,249 |
Series 2015-SFR1, Class E, 5.64%, 4/17/2052 (a) | 150,000 | 149,371 |
Series 2015-SFR1, Class F, 5.89%, 4/17/2052 (a) | 400,000 | 398,673 |
Series 2015-SFR2, Class A, 3.73%, 10/17/2052 (a) | 87,746 | 85,452 |
AMSR Trust | ||
Series 2020-SFR1, Class E, 3.22%, 4/17/2037 (a) | 500,000 | 479,884 |
Series 2020-SFR2, Class E2, 4.28%, 7/17/2037 (a) | 675,000 | 651,756 |
Series 2020-SFR3, Class E1, 2.56%, 9/17/2037 (a) | 2,082,000 | 1,959,024 |
Series 2020-SFR3, Class E2, 2.76%, 9/17/2037 (a) | 350,000 | 329,357 |
Series 2020-SFR4, Class A, 1.36%, 11/17/2037 (a) | 1,500,000 | 1,402,283 |
Series 2020-SFR5, Class D, 2.18%, 11/17/2037 (a) | 3,000,000 | 2,809,285 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 61 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2020-SFR4, Class E2, 2.46%, 11/17/2037 (a) | 425,000 | 395,822 |
Series 2020-SFR5, Class F, 2.69%, 11/17/2037 (a) | 1,500,000 | 1,405,413 |
Series 2021-SFR3, Class C, 1.80%, 10/17/2038 (a) | 1,900,000 | 1,716,439 |
Series 2022-SFR1, Class F, 6.02%, 3/17/2039 (a) | 750,000 | 689,707 |
Series 2022-SFR3, Class D, 4.00%, 10/17/2039 (a) | 2,120,000 | 1,969,257 |
Series 2022-SFR3, Class E1, 4.00%, 10/17/2039 (a) | 1,400,000 | 1,268,838 |
Series 2022-SFR3, Class E2, 4.00%, 10/17/2039 (a) | 3,504,000 | 3,155,353 |
Series 2023-SFR1, Class E2, 4.00%, 4/17/2040 (a) | 2,505,000 | 2,213,176 |
Series 2023-SFR1, Class F, 4.00%, 4/17/2040 (a) | 4,500,000 | 3,820,775 |
Series 2023-SFR2, Class E1, 3.95%, 6/17/2040 (a) | 3,300,000 | 2,910,683 |
Aqua Finance Trust | ||
Series 2019-A, Class B, 3.47%, 7/16/2040 (a) | 177,971 | 165,900 |
Series 2019-A, Class D, 6.07%, 7/16/2040 (a) | 3,628,146 | 3,300,106 |
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class D, 3.34%, 8/20/2026 (a) | 7,000,000 | 6,583,847 |
Bastion Funding I LLC Series 2023-1A, Class A2, 7.12%, 4/25/2038 ‡ (a) | 2,404,358 | 2,378,883 |
Bridge Trust Series 2022-SFR1, Class A, 3.40%, 11/17/2037 (a) | 7,370,000 | 7,068,922 |
Bridgecrest Lending Auto Securitization Trust Series 2023-1, Class C, 7.10%, 8/15/2029 | 5,000,000 | 5,130,520 |
British Airways Pass-Through Trust (United Kingdom) Series 2013-1, Class A, 4.63%, 6/20/2024 (a) | 49,162 | 49,046 |
Business Jet Securities LLC | ||
Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (a) | 307,272 | 297,866 |
Series 2020-1A, Class B, 3.97%, 11/15/2035 ‡ (a) | 2,287,644 | 2,212,242 |
Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (a) | 2,403,249 | 2,248,345 |
Series 2021-1A, Class B, 2.92%, 4/15/2036 ‡ (a) | 363,091 | 337,087 |
Series 2021-1A, Class C, 5.07%, 4/15/2036 ‡ (a) | 138,078 | 132,232 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
BXG Receivables Note Trust | ||
Series 2020-A, Class C, 4.22%, 2/28/2036 (a) | 1,990,287 | 1,860,736 |
Series 2022-A, Class A, 4.12%, 9/28/2037 (a) | 4,220,374 | 4,048,871 |
Series 2023-A, Class C, 7.38%, 11/15/2038 (a) | 2,120,832 | 2,088,172 |
CarMax Auto Owner Trust Series 2023-4, Class A3, 6.00%, 7/17/2028 | 725,000 | 738,312 |
Carvana Auto Receivables Trust | ||
Series 2022-P1, Class A4, 3.52%, 2/10/2028 | 3,500,000 | 3,354,847 |
Series 2023-P2, Class A4, 5.38%, 3/12/2029 (a) | 2,000,000 | 1,994,323 |
Series 2023-P3, Class A4, 5.71%, 7/10/2029 (a) | 709,000 | 714,353 |
Series 2023-N3, Class C, 6.55%, 12/10/2029 (a) | 3,489,000 | 3,540,201 |
Cascade MH Asset Trust | ||
Series 2019-MH1, Class B, 5.00%, 11/25/2044 ‡ (a) (i) | 401,843 | 372,773 |
Series 2021-MH1, Class A1, 1.75%, 2/25/2046 (a) | 796,260 | 684,895 |
Series 2022-MH1, Class M, 4.25%, 8/25/2054 ‡ (a) (j) | 933,112 | 738,238 |
Continental Finance Credit Card ABS Master Trust Series 2022-A, Class A, 6.19%, 10/15/2030 (a) | 825,000 | 814,148 |
CoreVest American Finance Trust | ||
Series 2019-1, Class E, 5.59%, 3/15/2052 (a) (i) | 551,000 | 520,768 |
Series 2019-2, Class E, 5.22%, 6/15/2052 (a) (i) | 1,043,000 | 918,400 |
Series 2019-3, Class E, 4.72%, 10/15/2052 (a) (i) | 570,000 | 489,160 |
CPS Auto Receivables Trust | ||
Series 2022-D, Class D, 8.73%, 1/16/2029 (a) | 1,000,000 | 1,052,833 |
Series 2023-A, Class D, 6.44%, 4/16/2029 (a) | 723,000 | 727,552 |
Series 2023-D, Class C, 7.17%, 1/15/2030 (a) | 4,100,000 | 4,203,223 |
Series 2022-C, Class C, 5.28%, 4/15/2030 (a) | 1,000,000 | 992,266 |
Credit Acceptance Auto Loan Trust | ||
Series 2021-3A, Class C, 1.63%, 9/16/2030 (a) | 1,250,000 | 1,211,254 |
Series 2021-4, Class A, 1.26%, 10/15/2030 (a) | 538,061 | 529,269 |
62 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2022-3A, Class D, 9.00%, 4/18/2033 (a) | 1,000,000 | 1,010,639 |
Series 2023-1A, Class C, 7.71%, 7/15/2033 (a) | 1,675,000 | 1,718,682 |
Series 2023-2A, Class C, 7.15%, 9/15/2033 (a) | 1,500,000 | 1,514,879 |
Series 2023-3A, Class C, 7.62%, 12/15/2033 (a) | 2,700,000 | 2,760,806 |
Series 2023-5A, Class C, 7.30%, 4/17/2034 (a) | 4,820,000 | 4,881,486 |
7.68%, 4/17/2034 | 5,000,000 | 5,000,000 |
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (a) | 250,000 | 226,830 |
Diamond Resorts Owner Trust | ||
Series 2021-1A, Class A, 1.51%, 11/21/2033 (a) | 148,254 | 138,742 |
Series 2021-1A, Class D, 3.83%, 11/21/2033 (a) | 130,047 | 119,234 |
DLLAA LLC Series 2023-1A, Class A3, 5.64%, 2/22/2028 (a) | 1,265,000 | 1,278,572 |
DP Lion Holdco LLC Series 2023-1A, Class B, 12.73%, 11/30/2043 ‡ | 1,500,000 | 1,512,600 |
Drive Auto Receivables Trust Series 2020-2, Class D, 3.05%, 5/15/2028 | 490,812 | 486,792 |
DT Auto Owner Trust | ||
Series 2020-2A, Class D, 4.73%, 3/16/2026 (a) | 424,345 | 422,664 |
Series 2022-3A, Class C, 7.69%, 7/17/2028 (a) | 1,350,000 | 1,378,006 |
Series 2023-1A, Class D, 6.44%, 11/15/2028 (a) | 1,440,000 | 1,436,881 |
Series 2023-2A, Class D, 6.62%, 2/15/2029 (a) | 1,600,000 | 1,602,176 |
Elara HGV Timeshare Issuer LLC | ||
Series 2021-A, Class C, 2.09%, 8/27/2035 (a) | 316,786 | 289,790 |
Series 2021-A, Class D, 3.32%, 8/27/2035 (a) | 113,138 | 102,831 |
Exeter Automobile Receivables Trust | ||
Series 2020-2A, Class D, 4.73%, 4/15/2026 (a) | 137,965 | 137,604 |
Series 2023-2A, Class C, 5.75%, 7/17/2028 | 969,000 | 966,697 |
Series 2022-3A, Class D, 6.76%, 9/15/2028 | 1,000,000 | 1,009,011 |
Series 2022-5A, Class D, 7.40%, 2/15/2029 | 1,000,000 | 1,021,953 |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | 1,291,000 | 1,345,382 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2023-4A, Class D, 6.95%, 12/17/2029 | 1,205,000 | 1,230,425 |
Series 2022-4A, Class E, 8.23%, 3/15/2030 (a) | 1,000,000 | 1,010,135 |
Series 2024-1A, Class D, 5.84%, 6/17/2030 | 4,720,000 | 4,698,034 |
Series 2023-4A, Class E, 9.57%, 2/18/2031 (a) | 1,120,000 | 1,181,916 |
FHF Issuer Trust | ||
Series 2023-2A, Class B, 7.49%, 11/15/2029 (a) | 4,550,000 | 4,674,810 |
Series 2024-1A, Class B, 6.26%, 3/15/2030 (a) | 807,000 | 803,701 |
FHF Trust | ||
Series 2021-1A, Class A, 1.27%, 3/15/2027 (a) | 90,218 | 88,075 |
Series 2022-2A, Class A, 6.14%, 12/15/2027 (a) | 728,166 | 724,876 |
First Investors Auto Owner Trust | ||
Series 2021-2A, Class C, 1.47%, 11/15/2027 (a) | 2,662,000 | 2,499,405 |
Series 2023-1A, Class C, 6.81%, 12/17/2029 (a) | 1,300,000 | 1,328,813 |
FirstKey Homes Trust | ||
Series 2020-SFR1, Class E, 2.79%, 8/17/2037 (a) | 2,300,000 | 2,168,672 |
Series 2020-SFR1, Class F1, 3.64%, 8/17/2037 (a) | 2,201,000 | 2,092,720 |
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (a) | 8,800,000 | 8,238,581 |
Series 2020-SFR2, Class F1, 3.02%, 10/19/2037 (a) | 1,000,000 | 938,659 |
Series 2020-SFR2, Class F2, 3.12%, 10/19/2037 (a) | 560,000 | 524,407 |
Series 2022-SFR3, Class D, 3.50%, 7/17/2038 (a) | 1,250,000 | 1,167,946 |
Series 2022-SFR3, Class E1, 3.50%, 7/17/2038 (a) | 4,500,000 | 4,158,358 |
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (a) | 500,000 | 451,199 |
Series 2021-SFR1, Class F1, 3.24%, 8/17/2038 (a) | 1,668,000 | 1,498,381 |
Series 2021-SFR1, Class F2, 3.45%, 8/17/2038 (a) | 2,500,000 | 2,225,215 |
Series 2021-SFR2, Class E1, 2.26%, 9/17/2038 (a) | 635,000 | 565,504 |
Series 2021-SFR2, Class E2, 2.36%, 9/17/2038 (a) | 814,000 | 723,314 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 63 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2022-SFR1, Class E1, 5.00%, 5/19/2039 (a) | 3,165,000 | 3,042,302 |
Series 2022-SFR1, Class E2, 5.00%, 5/19/2039 (a) | 2,000,000 | 1,912,300 |
Series 2022-SFR2, Class E2, 4.50%, 7/17/2039 (a) | 492,000 | 452,954 |
Flagship Credit Auto Trust | ||
Series 2020-4, Class D, 2.18%, 2/16/2027 (a) | 280,000 | 265,962 |
Series 2021-4, Class C, 1.96%, 12/15/2027 (a) | 500,000 | 472,397 |
Series 2023-2, Class C, 5.81%, 5/15/2029 (a) | 535,000 | 533,221 |
FMC GMSR Issuer Trust | ||
Series 2021-GT1, Class B, 4.36%, 7/25/2026 (a) (i) | 1,900,000 | 1,579,205 |
Series 2022-GT1, Class A, 6.19%, 4/25/2027 (a) | 7,000,000 | 6,755,762 |
Series 2022-GT1, Class B, 7.17%, 4/25/2027 (a) | 600,000 | 558,230 |
Series 2022-GT2, Class B, 10.07%, 7/25/2027 (a) | 1,000,000 | 997,490 |
Foundation Finance Trust | ||
Series 2020-1A, Class B, 4.62%, 7/16/2040 (a) | 300,000 | 292,073 |
Series 2020-1A, Class C, 5.75%, 7/16/2040 (a) | 1,450,000 | 1,346,874 |
Series 2021-1A, Class C, 2.99%, 5/15/2041 (a) | 470,820 | 406,409 |
Series 2023-1A, Class D, 9.18%, 12/15/2043 (a) | 2,000,000 | 2,017,400 |
FREED ABS Trust | ||
Series 2021-2, Class C, 1.94%, 6/19/2028 (a) | 49,259 | 48,927 |
Series 2022-1FP, Class D, 3.35%, 3/19/2029 (a) | 700,000 | 675,512 |
Series 2022-3FP, Class C, 7.05%, 8/20/2029 (a) | 500,000 | 500,404 |
Series 2022-4FP, Class C, 8.59%, 12/18/2029 (a) | 1,000,000 | 1,012,138 |
FRTKL Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (a) | 1,000,000 | 897,148 |
GLS Auto Receivables Issuer Trust | ||
Series 2022-1A, Class D, 3.97%, 1/18/2028 (a) | 4,000,000 | 3,860,471 |
Series 2021-2A, Class E, 2.87%, 5/15/2028 (a) | 1,500,000 | 1,418,143 |
Series 2022-3A, Class E, 8.35%, 10/15/2029 (a) | 750,000 | 755,042 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2023-2A, Class E, 9.37%, 1/15/2030 (a) | 2,000,000 | 2,076,350 |
Series 2023-1A, Class E, 11.42%, 3/15/2030 (a) | 1,500,000 | 1,643,187 |
GLS Auto Select Receivables Trust | ||
Series 2023-1A, Class A2, 6.27%, 8/16/2027 (a) | 2,534,884 | 2,545,493 |
Series 2024-1A, Class B, 5.32%, 3/15/2030 (a) | 1,000,000 | 992,397 |
Series 2024-1A, Class C, 5.69%, 3/15/2030 (a) | 300,000 | 298,157 |
Series 2024-1A, Class D, 6.43%, 1/15/2031 (a) | 705,000 | 710,463 |
Hertz Vehicle Financing LLC Series 2023-3A, Class A, 5.94%, 2/25/2028 (a) | 1,397,000 | 1,411,292 |
HGI CRE CLO Ltd. (Cayman Islands) | ||
Series 2022-FL3, Class B, 7.92%, 4/20/2037 (a) (i) | 1,000,000 | 980,334 |
Series 2022-FL3, Class E, 9.62%, 4/20/2037 (a) (i) | 663,500 | 640,367 |
Hilton Grand Vacations Trust | ||
Series 2022-1D, Class D, 6.79%, 6/20/2034 (a) | 223,454 | 213,281 |
Series 2022-2A, Class D, 8.73%, 1/25/2037 (a) | 389,702 | 386,063 |
Series 2020-AA, Class C, 6.42%, 2/25/2039 (a) | 147,840 | 146,775 |
HIN Timeshare Trust | ||
Series 2020-A, Class D, 5.50%, 10/9/2039 (a) | 506,717 | 477,855 |
Series 2020-A, Class E, 6.50%, 10/9/2039 (a) | 1,456,811 | 1,366,722 |
HINNT LLC | ||
Series 2022-A, Class D, 6.50%, 5/15/2041 (a) | 479,998 | 458,838 |
Series 2022-A, Class E, 8.00%, 5/15/2041 (a) | 1,879,553 | 1,809,780 |
Home Partners of America Trust | ||
Series 2022-1, Class D, 4.73%, 4/17/2039 (a) | 952,040 | 889,696 |
Series 2019-2, Class A, 2.70%, 10/19/2039 (a) | 7,525,045 | 6,861,268 |
Series 2021-3, Class D, 3.00%, 1/17/2041 (a) | 3,849,788 | 3,318,815 |
John Deere Owner Trust Series 2023-B, Class A4, 5.11%, 5/15/2030 | 2,200,000 | 2,198,751 |
64 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Lending Funding Trust | ||
Series 2020-2A, Class A, 2.32%, 4/21/2031 (a) | 3,750,000 | 3,475,715 |
Series 2020-2A, Class D, 6.77%, 4/21/2031 (a) | 4,000,000 | 3,668,966 |
Lendingpoint Asset Securitization Trust Series 2022-A, Class D, 4.54%, 6/15/2029 (a) | 1,000,000 | 871,577 |
Lendmark Funding Trust | ||
Series 2021-1A, Class A, 1.90%, 11/20/2031 (a) | 844,000 | 770,168 |
Series 2021-1A, Class D, 5.05%, 11/20/2031 (a) | 2,870,000 | 2,419,059 |
Series 2021-2A, Class B, 2.37%, 4/20/2032 (a) | 1,545,000 | 1,313,347 |
Series 2021-2A, Class D, 4.46%, 4/20/2032 (a) | 3,800,000 | 3,078,069 |
Series 2022-1A, Class E, 7.58%, 7/20/2032 ‡ (a) | 5,000,000 | 4,792,490 |
Series 2023-1A, Class D, 8.69%, 5/20/2033 (a) | 530,000 | 547,592 |
LP LMS Asset Securitization Trust | ||
6.17%, 10/15/2028 ‡ | 145,458 | 144,992 |
Series 2023-1A, Class B, 7.48%, 10/17/2033 (a) | 1,500,000 | 1,474,742 |
Series 2023-1A, Class A, 8.18%, 10/17/2033 (a) | 662,094 | 664,496 |
Mariner Finance Issuance Trust | ||
Series 2019-AA, Class D, 5.44%, 7/20/2032 (a) | 1,500,000 | 1,471,045 |
Series 2020-AA, Class D, 5.75%, 8/21/2034 (a) | 2,070,000 | 1,931,539 |
Series 2023-AA, Class E, 11.12%, 10/22/2035 (a) | 1,500,000 | 1,500,042 |
Series 2021-AA, Class B, 2.33%, 3/20/2036 (a) | 1,300,000 | 1,156,501 |
Series 2021-AA, Class C, 2.96%, 3/20/2036 (a) | 370,000 | 326,445 |
Series 2021-AA, Class D, 3.83%, 3/20/2036 (a) | 651,000 | 570,778 |
Series 2021-AA, Class E, 5.40%, 3/20/2036 (a) | 6,040,000 | 5,194,936 |
Series 2021-BA, Class E, 4.68%, 11/20/2036 (a) | 5,840,000 | 4,898,002 |
Series 2022-AA, Class D, 9.10%, 10/20/2037 (a) | 650,000 | 659,372 |
Series 2022-AA, Class E, 10.98%, 10/20/2037 ‡ (a) | 3,000,000 | 3,038,897 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Marlette Funding Trust | ||
Series 2023-1A, Class C, 7.20%, 4/15/2033 (a) | 980,000 | 993,756 |
Series 2023-2A, Class C, 6.96%, 6/15/2033 (a) | 375,000 | 378,991 |
Merchants Fleet Funding LLC Series 2023-1A, Class A, 7.21%, 5/20/2036 (a) | 4,000,000 | 4,029,445 |
Mercury Financial Credit Card Master Trust Series 2023-1A, Class A, 8.04%, 9/20/2027 (a) | 2,584,000 | 2,610,024 |
MNR ABS Issuer I LLC, 12.44%, 12/15/2038 ‡ | 3,916,796 | 3,983,381 |
MVW LLC | ||
Series 2020-1A, Class C, 4.21%, 10/20/2037 (a) | 89,371 | 85,849 |
Series 2020-1A, Class D, 7.14%, 10/20/2037 (a) | 893,714 | 866,747 |
Series 2019-2A, Class B, 2.44%, 10/20/2038 (a) | 41,854 | 39,406 |
Series 2023-1A, Class C, 6.54%, 10/20/2040 (a) | 2,349,629 | 2,333,132 |
Series 2022-2A, Class C, 7.62%, 10/21/2041 (a) | 682,305 | 697,434 |
Series 2022-2A, Class D, 9.00%, 10/21/2041 (a) | 1,656,638 | 1,651,479 |
MVW Owner Trust Series 2019-1A, Class C, 3.33%, 11/20/2036 (a) | 24,708 | 23,710 |
New Residential Mortgage LLC Series 2020-FNT1, Class A, 5.44%, 6/25/2025 (a) | 1,415,663 | 1,388,826 |
New Residential Mortgage Loan Trust | ||
Series 2022-SFR1, Class D, 3.30%, 2/17/2039 (a) | 340,000 | 310,756 |
Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (a) | 420,000 | 375,284 |
Nissan Auto Lease Trust Series 2023-B, Class A4, 5.61%, 11/15/2027 | 800,000 | 802,498 |
NMEF Funding LLC Series 2021-A, Class C, 2.58%, 12/15/2027 (a) | 600,000 | 585,889 |
NRZ Excess Spread-Collateralized Notes | ||
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (a) | 139,157 | 133,202 |
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a) | 477,616 | 447,276 |
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a) | 136,446 | 128,037 |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a) | 1,178,955 | 1,095,909 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 65 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (a) | 1,355,601 | 1,301,581 |
Octane Receivables Trust | ||
Series 2020-1A, Class C, 2.89%, 3/20/2026 (a) | 343,645 | 339,448 |
Series 2022-2A, Class C, 6.29%, 7/20/2028 (a) | 1,390,000 | 1,382,233 |
Series 2022-2A, Class D, 7.70%, 2/20/2030 (a) | 2,000,000 | 2,025,631 |
Series 2024-1A, Class D, 6.43%, 10/21/2030 (a) | 3,000,000 | 2,973,213 |
OneMain Direct Auto Receivables Trust Series 2019-1A, Class B, 3.95%, 11/14/2028 (a) | 1,000,000 | 967,376 |
Oportun Funding XIV LLC | ||
Series 2021-A, Class A, 1.21%, 3/8/2028 (a) | 680,307 | 652,337 |
Series 2021-A, Class C, 3.44%, 3/8/2028 (a) | 161,573 | 155,164 |
Oportun Issuance Trust | ||
Series 2022-2, Class C, 9.36%, 10/9/2029 (a) | 1,500,000 | 1,504,977 |
Series 2022-3, Class C, 10.15%, 1/8/2030 (a) | 1,912,000 | 1,937,381 |
Series 2024-1A, Class C, 7.42%, 4/8/2031 (a) | 1,200,000 | 1,196,066 |
Series 2021-B, Class B, 1.96%, 5/8/2031 (a) | 400,000 | 375,702 |
Series 2021-B, Class C, 3.65%, 5/8/2031 (a) | 5,215,000 | 4,890,636 |
Series 2022-A, Class C, 7.40%, 6/9/2031 (a) | 755,000 | 731,406 |
Series 2021-C, Class A, 2.18%, 10/8/2031 (a) | 3,663,000 | 3,442,954 |
Pagaya AI Debt Selection Trust Series 2021-1, Class B, 2.13%, 11/15/2027 (a) | 46,687 | 46,608 |
PFP Ltd. (Cayman Islands) | ||
Series 2021-7, Class C, 7.09%, 4/14/2038 (a) (i) | 18,060 | 17,646 |
Series 2021-7, Class D, 7.84%, 4/14/2038 (a) (i) | 169,992 | 162,998 |
Porsche Financial Auto Securitization Trust | ||
Series 2023-1A, Class A3, 4.81%, 9/22/2028 (a) | 1,500,000 | 1,489,773 |
Series 2023-2A, Class A3, 5.79%, 1/22/2029 (a) | 600,000 | 607,336 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Prestige Auto Receivables Trust Series 2022-1A, Class C, 7.09%, 8/15/2028 (a) | 1,200,000 | 1,213,604 |
PRET LLC | ||
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (j) | 347,313 | 342,177 |
Series 2021-RN3, Class A1, 1.84%, 9/25/2051 (a) (j) | 691,573 | 658,020 |
Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (a) (j) | 240,175 | 235,983 |
Pretium Mortgage Credit Partners LLC Series 2022-NPL1, Class A1, 2.98%, 1/25/2052 (a) (j) | 2,290,551 | 2,264,188 |
Progress Residential | ||
Series 2021-SFR3, Class E1, 2.54%, 5/17/2026 (a) | 450,000 | 410,738 |
Series 2021-SFR3, Class E2, 2.69%, 5/17/2026 (a) | 645,000 | 588,219 |
Progress Residential Trust | ||
Series 2022-SFR2, Class E2, 4.80%, 4/17/2027 (a) | 651,000 | 605,715 |
Series 2020-SFR3, Class E, 2.30%, 10/17/2027 (a) | 2,300,000 | 2,147,238 |
Series 2020-SFR3, Class G, 4.11%, 10/17/2027 (a) | 500,000 | 473,695 |
Series 2023-SFR2, Class E1, 4.75%, 10/17/2028 (a) | 3,769,000 | 3,457,832 |
Series 2020-SFR1, Class C, 2.18%, 4/17/2037 (a) | 2,100,000 | 2,009,087 |
Series 2020-SFR1, Class E, 3.03%, 4/17/2037 (a) | 425,000 | 407,735 |
Series 2020-SFR1, Class F, 3.43%, 4/17/2037 (a) | 450,000 | 432,199 |
Series 2020-SFR1, Class G, 4.03%, 4/17/2037 (a) | 5,000,000 | 4,780,532 |
Series 2020-SFR2, Class D, 3.87%, 6/17/2037 (a) | 750,000 | 726,144 |
Series 2021-SFR2, Class E2, 2.65%, 4/19/2038 (a) | 500,000 | 456,948 |
Series 2021-SFR5, Class E1, 2.21%, 7/17/2038 (a) | 950,000 | 858,245 |
Series 2021-SFR5, Class E2, 2.36%, 7/17/2038 (a) | 270,000 | 242,885 |
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a) | 2,650,000 | 2,372,970 |
Series 2022-SFR3, Class D, 4.45%, 4/17/2039 (a) | 1,090,000 | 1,032,915 |
Series 2022-SFR3, Class E2, 5.60%, 4/17/2039 (a) | 4,160,000 | 3,963,911 |
66 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2022-SFR3, Class F, 6.60%, 4/17/2039 (a) | 665,000 | 632,666 |
Series 2022-SFR5, Class E2, 6.86%, 6/17/2039 (a) | 388,000 | 384,291 |
Series 2023-SFR1, Class E2, 6.60%, 3/17/2040 (a) | 5,476,000 | 5,341,856 |
Series 2021-SFR7, Class E1, 2.59%, 8/17/2040 (a) | 793,000 | 673,541 |
Series 2022-SFR1, Class E2, 3.99%, 2/17/2041 (a) | 750,000 | 655,827 |
PRPM LLC Series 2021-2, Class A1, 2.12%, 3/25/2026 (a) (i) | 115,940 | 114,562 |
RCO VI Mortgage LLC Series 2022-1, Class A1, 3.00%, 1/25/2027 (a) (j) | 238,153 | 230,362 |
ReadyCap Lending Small Business Loan Trust Series 2019-2, Class A, 8.00%, 12/27/2044 (a) (i) | 44,272 | 44,132 |
Regional Management Issuance Trust | ||
Series 2020-1, Class C, 3.80%, 10/15/2030 (a) | 1,900,000 | 1,766,979 |
Series 2021-1, Class D, 5.07%, 3/17/2031 (a) | 500,000 | 452,524 |
Series 2022-1, Class B, 3.71%, 3/15/2032 (a) | 1,358,000 | 1,270,323 |
Series 2022-2B, Class B, 8.51%, 11/17/2032 (a) | 1,227,000 | 1,272,436 |
Renew Series 2023-1A, Class A, 5.90%, 11/20/2058 ‡ (a) | 3,205,585 | 3,134,439 |
RT Fin LLC, 7.85%, 10/15/2043 ‡ | 1,924,688 | 1,950,835 |
Santander Drive Auto Receivables Trust | ||
Series 2022-4, Class C, 5.00%, 11/15/2029 | 5,000,000 | 4,932,843 |
Series 2023-2, Class C, 5.47%, 12/16/2030 | 1,500,000 | 1,493,870 |
Series 2022-5, Class D, 5.67%, 12/16/2030 | 6,000,000 | 5,964,221 |
Series 2022-6, Class D, 5.69%, 2/18/2031 | 6,200,000 | 6,160,135 |
Santander Revolving Auto Loan Trust Series 2019-A, Class D, 3.45%, 1/26/2032 (a) | 150,000 | 146,251 |
SCF Equipment Leasing LLC | ||
Series 2022-2A, Class A3, 6.50%, 10/21/2030 (a) | 2,300,000 | 2,323,135 |
Series 2023-1A, Class B, 6.37%, 5/20/2032 (a) | 4,000,000 | 4,099,608 |
Series 2022-2A, Class E, 6.50%, 6/20/2035 (a) | 1,112,000 | 972,463 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Sierra Timeshare Receivables Funding LLC | ||
Series 2020-2A, Class D, 6.59%, 7/20/2037 (a) | 365,622 | 354,961 |
Series 2021-1A, Class D, 3.17%, 11/20/2037 (a) | 164,856 | 154,563 |
Series 2022-1A, Class D, 6.00%, 10/20/2038 (a) | 303,250 | 288,505 |
Series 2022-3A, Class D, 10.52%, 7/20/2039 (a) | 468,355 | 479,961 |
Series 2023-1A, Class D, 9.80%, 1/20/2040 (a) | 1,706,329 | 1,727,100 |
Series 2023-2A, Class D, 9.72%, 4/20/2040 (a) | 891,081 | 907,365 |
Series 2022-2A, Class D, 9.22%, 6/20/2040 (a) | 294,300 | 295,808 |
SpringCastle America Funding LLC Series 2020-AA, Class A, 1.97%, 9/25/2037 (a) | 471,502 | 436,336 |
Tesla Auto Lease Trust Series 2023-B, Class A4, 6.22%, 3/22/2027 (a) | 3,300,000 | 3,334,935 |
Theorem Funding Trust Series 2022-2A, Class A, 6.06%, 12/15/2028 (a) | 172,836 | 172,171 |
Tricolor Auto Securitization Trust Series 2022-1A, Class D, 5.38%, 1/15/2026 (a) | 3,755,000 | 3,704,053 |
Tricon American Homes Series 2020-SFR1, Class E, 3.54%, 7/17/2038 (a) | 300,000 | 281,526 |
United Airlines Pass-Through Trust | ||
Series 2014-1, Class A, 4.00%, 4/11/2026 | 107,011 | 103,596 |
Series 2018-1, Class A, 3.70%, 3/1/2030 | 11,393 | 10,210 |
United Auto Credit Securitization Trust | ||
Series 2022-2, Class C, 5.81%, 5/10/2027 (a) | 856,000 | 852,193 |
Series 2022-2, Class E, 10.00%, 4/10/2029 ‡ (a) | 1,000,000 | 700,000 |
UOG ABS Issuer I LLC Series 2023-1, Class A1, 8.35%, 6/5/2040 ‡ (a) | 931,310 | 928,796 |
Upstart Securitization Trust Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | 443,388 | 441,778 |
Upstart Structured Pass-Through Trust Series 2022-4A, Class A, 7.01%, 11/15/2030 (a) | 459,912 | 460,191 |
US Auto Funding Trust | ||
Series 2022-1A, Class B, 5.13%, 12/15/2025 (a) | 700,000 | 270,493 |
Series 2022-1A, Class D, 9.14%, 7/15/2027 ‡ (a) | 1,000,000 | 150,000 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 67 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
USASF Receivables LLC Series 2020-1A, Class D, 9.35%, 3/15/2027 (a) | 552,859 | 552,823 |
VCAT LLC | ||
Series 2021-NPL1, Class A1, 5.29%, 12/26/2050 (a) (j) | 98,445 | 97,800 |
Series 2021-NPL5, Class A1, 1.87%, 8/25/2051 (a) (j) | 680,382 | 662,269 |
Vericrest Opportunity Loan Transferee Series 2021-NP11, Class A1, 1.87%, 8/25/2051 (a) (j) | 3,067,323 | 2,948,728 |
Veros Auto Receivables Trust Series 2021-1, Class B, 1.49%, 10/15/2026 (a) | 133,094 | 131,848 |
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (a) (j) | 1,349,365 | 1,245,952 |
VOLT XCII LLC Series 2021-NPL1, Class A1, 4.89%, 2/27/2051 (a) (j) | 630,118 | 614,669 |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 4.89%, 2/27/2051 (a) (j) | 1,021,275 | 990,839 |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (j) | 142,191 | 138,958 |
Westgate Resorts LLC | ||
Series 2020-1A, Class C, 6.21%, 3/20/2034 (a) | 30,435 | 30,224 |
Series 2022-1A, Class B, 2.29%, 8/20/2036 (a) | 114,980 | 110,020 |
Series 2022-1A, Class D, 3.84%, 8/20/2036 (a) | 459,919 | 435,811 |
Series 2023-1A, Class C, 7.49%, 12/20/2037 (a) | 2,546,316 | 2,528,121 |
Westlake Automobile Receivables Trust | ||
Series 2021-3A, Class D, 2.12%, 1/15/2027 (a) | 500,000 | 476,580 |
Series 2021-3A, Class E, 3.42%, 4/15/2027 (a) | 2,500,000 | 2,394,729 |
Series 2022-2A, Class D, 5.48%, 9/15/2027 (a) | 1,000,000 | 990,809 |
Series 2023-3A, Class C, 6.02%, 9/15/2028 (a) | 2,100,000 | 2,110,679 |
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | 905,000 | 918,995 |
Series 2023-2A, Class D, 7.01%, 11/15/2028 (a) | 1,219,000 | 1,237,631 |
Series 2023-4A, Class D, 7.19%, 7/16/2029 (a) | 3,500,000 | 3,585,504 |
Total Asset-Backed Securities (Cost $443,268,180) | 446,933,618 | |
U.S. Treasury Obligations — 10.3% | ||
U.S. Treasury Bonds | ||
4.50%, 8/15/2039 | 11,176,000 | 11,351,498 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
1.13%, 5/15/2040 | 2,073,000 | 1,279,187 |
1.13%, 8/15/2040 | 6,437,100 | 3,933,169 |
4.75%, 2/15/2041 | 1,421,000 | 1,473,843 |
2.25%, 5/15/2041 | 4,977,000 | 3,633,988 |
4.38%, 5/15/2041 | 811,000 | 802,510 |
3.13%, 11/15/2041 | 6,143,000 | 5,114,287 |
2.75%, 11/15/2042 | 1,571,000 | 1,217,341 |
4.00%, 11/15/2042 | 44,411,000 | 41,456,628 |
3.63%, 8/15/2043 | 11,641,000 | 10,262,269 |
3.75%, 11/15/2043 | 2,226,000 | 1,995,748 |
3.38%, 5/15/2044 | 14,050,000 | 11,878,287 |
2.88%, 8/15/2045 | 809,000 | 624,731 |
1.88%, 2/15/2051 | 2,622,000 | 1,569,615 |
2.38%, 5/15/2051 | 13,009,000 | 8,778,534 |
2.25%, 2/15/2052 | 1,775,000 | 1,161,100 |
4.00%, 11/15/2052 | 7,080,000 | 6,629,203 |
3.63%, 2/15/2053 | 1,682,000 | 1,470,567 |
U.S. Treasury Notes | ||
1.13%, 10/31/2026 | 36,764,000 | 33,695,068 |
0.50%, 8/31/2027 | 22,449,000 | 19,656,906 |
1.25%, 9/30/2028 | 16,718,000 | 14,619,760 |
2.38%, 3/31/2029 | 12,045,000 | 11,007,530 |
1.88%, 2/15/2032 | 5,701,000 | 4,787,281 |
2.75%, 8/15/2032 | 5,487,000 | 4,898,648 |
3.88%, 8/15/2033 | 51,668,000 | 50,126,033 |
U.S. Treasury STRIPS Bonds | ||
3.82%, 2/15/2034 (l) | 4,986,000 | 3,237,013 |
4.77%, 5/15/2040 (l) | 3,436,000 | 1,620,220 |
4.66%, 11/15/2040 (l) | 18,060,000 | 8,269,920 |
4.17%, 5/15/2041 (l) | 10,019,000 | 4,474,512 |
2.37%, 8/15/2041 (l) | 207,000 | 91,294 |
2.72%, 2/15/2042 (l) | 1,065,000 | 457,701 |
Total U.S. Treasury Obligations (Cost $282,574,856) | 271,574,391 | |
Commercial Mortgage-Backed Securities — 5.9% | ||
BAMLL RE-Remic Trust Series 2014-FRR8, Class C, 0.00%, 11/26/2047 ‡ (a) (i) | 4,000,000 | 3,763,585 |
Banc of America Re-Remic Trust | ||
Series 2024-FRR1, Class B, 0.00%, 4/27/2049 ‡ (a) | 5,000,000 | 2,962,125 |
Series 2024-FRR1, Class C, 0.00%, 4/27/2049 ‡ (a) | 7,128,000 | 3,814,492 |
Series 2024-FRR1, Class A, 2.14%, 4/27/2049 ‡ (a) (i) | 3,000,000 | 2,191,955 |
BBCMS Mortgage Trust Series 2016-ETC, Class E, 3.61%, 8/14/2036 (a) (i) | 8,413,000 | 6,443,014 |
68 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
BB-UBS Trust Series 2012-SHOW, Class E, 4.03%, 11/5/2036 (a) (i) | 225,000 | 198,150 |
BMD2 Re-Remic Trust Series 2019-FRR1, Class 5B13, 2.20%, 5/25/2052 ‡ (a) (i) | 4,000,000 | 2,939,758 |
BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (a) | 2,000,000 | 1,854,645 |
Cascade Funding Mortgage Trust | ||
Series 2021-FRR1, Class DK45, 0.00%, 2/28/2025 (a) | 380,000 | 342,226 |
Series 2021-FRR1, Class CK45, 1.34%, 2/28/2025 (a) (i) | 500,000 | 461,673 |
Series 2021-FRR1, Class BK45, 2.05%, 2/28/2025 (a) (i) | 600,000 | 563,962 |
Series 2021-FRR1, Class CK54, 0.00%, 2/28/2026 (a) | 480,000 | 399,617 |
Series 2021-FRR1, Class DKW1, 0.00%, 2/28/2026 (a) | 430,000 | 350,066 |
Series 2021-FRR1, Class BK98, 0.00%, 8/29/2029 (a) | 1,150,000 | 735,411 |
Series 2021-FRR1, Class AK99, 0.00%, 9/29/2029 (a) | 3,000,000 | 1,983,111 |
Series 2021-FRR1, Class BK99, 0.00%, 9/29/2029 (a) | 400,000 | 235,571 |
CSMC OA LLC Series 2014-USA, Class D, 4.37%, 9/15/2037 (a) | 239,000 | 153,411 |
FHLMC | ||
Series K753, Class A2, 4.40%, 10/25/2030 | 3,125,000 | 3,058,696 |
Series 19K-1510, Class C, 0.00%, 1/25/2034 ‡ (a) | 10,000,000 | 4,181,692 |
Series 2023-MN7, Class M2, 11.02%, 9/25/2043 (a) (i) | 1,240,000 | 1,270,740 |
FHLMC, Multi-Family Structured Credit Risk | ||
Series 2021-MN1, Class M1, 7.32%, 1/25/2051 (a) (i) | 1,398,288 | 1,366,743 |
Series 2021-MN1, Class M2, 9.07%, 1/25/2051 (a) (i) | 685,000 | 672,644 |
Series 2021-MN3, Class M1, 7.62%, 11/25/2051 (a) (i) | 466,473 | 455,496 |
Series 2021-MN3, Class M2, 9.32%, 11/25/2051 (a) (i) | 4,500,000 | 4,331,410 |
Series 2022-MN4, Class M1, 9.57%, 5/25/2052 (a) (i) | 976,189 | 988,373 |
Series 2022-MN4, Class M2, 11.82%, 5/25/2052 (a) (i) | 750,000 | 794,284 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series KW06, Class A2, 3.80%, 6/25/2028 (i) | 1,750,000 | 1,678,561 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series K088, Class A2, 3.69%, 1/25/2029 | 350,000 | 334,591 |
Series K128, Class X3, IO, 2.78%, 4/25/2031 (i) | 550,000 | 81,619 |
Series KJ48, Class A2, 5.03%, 10/25/2031 | 2,000,000 | 1,998,777 |
Series K136, Class A2, 2.13%, 11/25/2031 | 3,500,000 | 2,917,263 |
Series K142, Class A2, 2.40%, 3/25/2032 | 1,250,000 | 1,054,823 |
Series K-151, Class A2, 3.80%, 10/25/2032 (i) | 1,050,000 | 977,758 |
Series K-153, Class A2, 3.82%, 12/25/2032 (i) | 1,000,000 | 932,115 |
Series KJ44, Class A2, 4.61%, 2/25/2033 | 5,000,000 | 4,865,996 |
Series K-160, Class A2, 4.50%, 8/25/2033 (i) | 6,000,000 | 5,873,384 |
Series K-1520, Class X1, IO, 0.47%, 2/25/2036 (i) | 4,480,714 | 169,436 |
Series K-1520, Class X3, IO, 3.09%, 4/25/2039 (i) | 550,000 | 128,520 |
Series K145, Class AM, 2.58%, 6/25/2055 | 1,100,000 | 936,417 |
Series Q014, Class X, IO, 2.79%, 10/25/2055 (i) | 1,854,350 | 288,316 |
FNMA ACES | ||
Series 2017-M3, Class A2, 2.47%, 12/25/2026 (i) | 259,011 | 243,471 |
Series 2021-M11, Class A2, 1.46%, 3/25/2031 (i) | 300,000 | 240,812 |
Series 2023-M2, Class PT, 3.24%, 4/25/2031 (i) | 3,995,817 | 3,653,983 |
Series 2022-M1G, Class A2, 1.53%, 9/25/2031 (i) | 2,700,000 | 2,170,484 |
Series 2022-M1, Class A1, 1.67%, 10/25/2031 (i) | 445,312 | 396,990 |
Series 2022-M3, Class A2, 1.71%, 11/25/2031 (i) | 1,400,000 | 1,124,240 |
Series 2021-M15, Class A2, 2.00%, 11/25/2031 | 1,500,000 | 1,258,728 |
Series 2022-M8, Class A2, 1.94%, 12/25/2031 (i) | 2,500,000 | 2,030,246 |
Series 2022-M2S, Class A1, 3.75%, 5/25/2032 (i) | 970,207 | 926,634 |
Series 2022-M13, Class A2, 2.59%, 6/25/2032 (i) | 1,372,000 | 1,172,215 |
Series 2020-M53, Class A2, 1.69%, 11/25/2032 (i) | 1,250,000 | 977,263 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 69 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series 2023-M8, Class A2, 4.47%, 3/25/2033 (i) | 2,980,000 | 2,922,031 |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | 17,585 | 17,088 |
Series 2021-M3, Class X1, IO, 1.92%, 11/25/2033 (i) | 496,857 | 39,691 |
FREMF Mortgage Trust | ||
Series 2018-KL3W, Class CW, 4.23%, 8/25/2025 (a) (i) | 250,000 | 234,453 |
Series 2018-KBX1, Class B, 3.61%, 1/25/2026 (a) (i) | 500,000 | 439,823 |
Series 2021-KHG3, Class BFX, 2.40%, 9/25/2028 (a) (i) | 1,000,000 | 840,469 |
Series 2018-K157, Class C, PO, 9/25/2033 (a) | 10,448,587 | 4,525,609 |
Series 2015-K44, Class B, 3.72%, 1/25/2048 (a) (i) | 200,000 | 195,585 |
Series 2015-K45, Class B, 3.60%, 4/25/2048 (a) (i) | 199,293 | 194,658 |
Series 2015-K48, Class B, 3.65%, 8/25/2048 (a) (i) | 200,000 | 194,391 |
Series 2015-K50, Class B, 3.78%, 10/25/2048 (a) (i) | 200,000 | 194,034 |
Series 2015-K51, Class B, 3.95%, 10/25/2048 (a) (i) | 381,860 | 371,016 |
Series 2016-K52, Class B, 3.93%, 1/25/2049 (a) (i) | 250,000 | 242,018 |
Series 2016-K53, Class C, 4.02%, 3/25/2049 (a) (i) | 70,000 | 67,527 |
Series 2016-K57, Class B, 3.92%, 8/25/2049 (a) (i) | 1,000,000 | 959,651 |
Series 2017-K69, Class D, PO, 10/25/2049 (a) | 7,343,050 | 5,239,011 |
Series 2017-K69, Class X2B, IO, 0.10%, 10/25/2049 (a) | 23,685,560 | 68,584 |
Series 2017-K729, Class B, 3.67%, 11/25/2049 (a) (i) | 300,000 | 294,279 |
Series 2018-K80, Class B, 4.23%, 8/25/2050 (a) (i) | 1,000,000 | 947,643 |
Series 2019-K88, Class C, 4.38%, 2/25/2052 (a) (i) | 1,975,000 | 1,837,449 |
Series 2020-K116, Class D, PO, 9/25/2052 (a) | 12,000,000 | 6,454,799 |
Series 2020-K116, Class X2A, IO, 0.10%, 9/25/2052 (a) | 127,888,596 | 556,942 |
Series 2020-K116, Class X2B, IO, 0.10%, 9/25/2052 (a) | 31,000,000 | 144,848 |
Series 2020-K122, Class D, PO, 1/25/2054 (a) | 11,000,000 | 5,815,075 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2020-K122, Class X2B, IO, 0.10%, 1/25/2054 (a) | 27,000,000 | 133,874 |
FRR Re-REMIC Trust Series 2018-C1, Class CK43, PO, 2/27/2048 (a) | 612,660 | 557,091 |
GAM Re-REMIC Trust | ||
Series 2021-FRR1, Class 1B, PO, 11/29/2050 ‡ (a) | 5,000,000 | 3,811,037 |
Series 2022-FRR3, Class BK89, PO, 1/27/2052 ‡ (a) | 4,000,000 | 2,663,669 |
GS Mortgage Securities Corp. II Series 2023-SHIP, Class A, 4.32%, 9/10/2038 (a) (i) | 4,140,000 | 4,008,290 |
Hudson Yards Mortgage Trust Series 2019-30HY, Class A, 3.23%, 7/10/2039 (a) | 3,000,000 | 2,674,660 |
JPMCC Re-REMIC Trust Series 2015-FRR2, Class AK39, 2.50%, 8/27/2047 (a) (i) | 944,000 | 912,771 |
MHC Commercial Mortgage Trust Series 2021-MHC, Class F, 8.03%, 4/15/2038 (a) (i) | 503,326 | 497,034 |
Multi-Family Connecticut Avenue Securities Trust | ||
Series 2019-01, Class M10, 8.69%, 10/25/2049 (a) (i) | 6,129,523 | 6,030,286 |
Series 2020-01, Class M10, 9.19%, 3/25/2050 (a) (i) | 10,221,770 | 10,094,581 |
Series 2023-01, Class M10, 11.82%, 11/25/2053 (a) (i) | 5,685,000 | 5,877,102 |
RFM Reremic Trust Series 2022-FRR1, Class BK64, 1.71%, 3/1/2050 (a) (i) | 2,328,481 | 1,902,690 |
Total Commercial Mortgage-Backed Securities (Cost $155,485,628) | 154,905,251 | |
Collateralized Mortgage Obligations — 3.4% | ||
Anchor Mortgage Trust Series 2021-1, Class A2, 3.65%, 10/25/2026 (a) (j) | 476,191 | 444,284 |
Connecticut Avenue Securities Trust Series 2023-R06, Class 1M2, 8.02%, 7/25/2043 (a) (i) | 1,500,000 | 1,546,926 |
Credit One, 6.47%, 2/25/2029 ‡ | 5,000,000 | 5,000,000 |
CSMC Trust | ||
Series 2021-JR1, Class A1, 2.46%, 9/27/2066 (a) (i) | 330,636 | 327,550 |
Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (a) (j) | 484,453 | 478,243 |
FHLMC, REMIC | ||
Series 5200, Class YV, 2.50%, 7/25/2033 | 3,873,556 | 3,467,910 |
70 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 2708, Class ZD, 5.50%, 11/15/2033 | 67,735 | 67,313 |
Series 4302, Class PA, 4.00%, 12/15/2043 | 52,848 | 50,261 |
Series 4281, Class BC, 4.50%, 12/15/2043 (i) | 80,010 | 77,330 |
Series 5141, Class AH, 2.25%, 11/25/2047 | 1,257,984 | 1,091,099 |
Series 5200, Class MA, 2.50%, 8/25/2048 | 3,219,907 | 2,852,964 |
Series 5028, Class JG, 1.50%, 8/25/2050 | 2,882,519 | 2,218,658 |
Series 5155, Class JD, 1.25%, 10/25/2051 | 1,437,226 | 1,094,622 |
Series 5347, PO, 10/25/2053 | 5,125,934 | 3,979,594 |
FHLMC, STRIPS Series 406, PO, 10/25/2053 | 3,812,694 | 3,034,668 |
FN, 4.52%, 2/25/2034 (k) | 15,000,000 | 15,009,375 |
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 | 1,089,825 | 1,023,706 |
FNMA, REMIC | ||
Series 2003-7, Class FA, 6.19%, 2/25/2033 (i) | 66,380 | 66,586 |
Series 2013-108, Class GU, 3.00%, 10/25/2033 | 373,750 | 351,103 |
Series 2005-110, Class TY, 5.50%, 12/25/2035 | 41,104 | 41,643 |
Series 2007-89, Class F, 6.02%, 9/25/2037 (i) | 74,668 | 74,390 |
Series 2011-112, Class PB, 4.00%, 11/25/2041 | 106,260 | 99,530 |
Series 2014-57, Class PE, 3.00%, 9/25/2044 | 1,129,000 | 909,813 |
Series 2021-14, Class CB, 1.00%, 11/25/2049 | 3,757,889 | 2,826,940 |
GNMA | ||
Series 2012-13, Class FQ, 5.75%, 1/20/2038 (i) | 2,105,677 | 2,061,111 |
Series 2010-14, Class FH, 5.94%, 2/16/2040 (i) | 3,075,967 | 3,057,193 |
Series 2010-61, Class FK, 5.94%, 5/16/2040 (i) | 2,016,452 | 2,003,022 |
Series 2012-61, Class FM, 5.84%, 5/16/2042 (i) | 341,376 | 337,204 |
Series 2020-165, Class UD, 1.50%, 11/20/2050 | 712,682 | 540,438 |
Series 2010-H24, Class FA, 5.81%, 10/20/2060 (i) | 34,840 | 34,665 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2014-H03, Class FA, 6.06%, 1/20/2064 (i) | 19,275 | 19,234 |
Series 2015-H02, Class FA, 6.11%, 1/20/2065 (i) | 3,053,424 | 3,047,111 |
Series 2015-H05, Class FC, 5.94%, 2/20/2065 (i) | 209,617 | 207,716 |
Series 2021-H14, Class CF, 6.72%, 9/20/2071 (i) | 2,993,170 | 3,049,421 |
GS Mortgage-Backed Securities Corp. Trust Series 2021-RPL1, Class A1, 1.75%, 12/25/2060 (a) (i) | 2,726,480 | 2,483,429 |
Home RE Ltd. (Bermuda) Series 2022-1, Class M1C, 10.82%, 10/25/2034 (a) (i) | 750,000 | 795,267 |
LHOME Mortgage Trust | ||
Series 2023-RTL1, Class A1, 7.87%, 1/25/2028 (a) (j) | 1,320,000 | 1,333,834 |
Series 2023-RTL2, Class A1, 8.00%, 6/25/2028 (a) (j) | 2,000,000 | 2,028,299 |
Series 2023-RTL4, Class A1, 7.63%, 11/25/2028 (a) (j) | 3,675,000 | 3,718,481 |
Radnor RE Ltd. (Bermuda) Series 2022-1, Class M1B, 12.07%, 9/25/2032 (a) (i) | 400,000 | 428,314 |
Seasoned Credit Risk Transfer Trust | ||
Series 2018-1, Class MA, 3.00%, 5/25/2057 | 366,066 | 335,175 |
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | 133,301 | 121,480 |
Series 2018-3, Class MA, 3.50%, 8/25/2057 (i) | 52,078 | 48,912 |
Series 2018-3, Class M55D, 4.00%, 8/25/2057 (i) | 255,297 | 236,793 |
Series 2018-2, Class MT, 3.50%, 11/25/2057 | 565,199 | 498,697 |
Series 2018-2, Class M55D, 4.00%, 11/25/2057 | 280,835 | 261,081 |
Series 2019-1, Class MA, 3.50%, 7/25/2058 | 2,648,732 | 2,488,756 |
Series 2019-2, Class MA, 3.50%, 8/25/2058 | 1,393,838 | 1,302,240 |
Series 2019-3, Class MT, 3.50%, 10/25/2058 | 4,400,564 | 3,879,753 |
Series 2020-1, Class MA, 2.50%, 8/25/2059 | 4,161,950 | 3,739,594 |
Series 2020-3, Class M5TW, 3.00%, 5/25/2060 | 449,156 | 401,499 |
Series 2020-3, Class TTW, 3.00%, 5/25/2060 | 409,143 | 372,332 |
Series 2021-1, Class BXS, 14.35%, 9/25/2060 (a) (i) | 149,375 | 117,901 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 71 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 2022-1, Class MTU, 3.25%, 11/25/2061 | 471,587 | 403,888 |
Series 2023-1, Class MT, 3.00%, 10/25/2062 | 2,980,666 | 2,494,605 |
Towd Point Mortgage Trust Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (a) | 754,000 | 597,537 |
Two Harbors Msr Frn, 7.55%, 10/25/2024 ‡ (a) | 1,500,000 | 1,492,500 |
VM Master Issuer LLC Series 2022-1, Class B, 6.88%, 5/24/2025 ‡ (a) (i) | 800,000 | 718,498 |
Total Collateralized Mortgage Obligations (Cost $90,894,792) | 90,790,488 | |
Loan Assignments — 1.1% (d) (m) | ||
Beverages — 0.0% ^ | ||
Triton Water Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.86%, 3/31/2028 | 902,686 | 885,950 |
Building Products — 0.1% | ||
Emerson Climate Technologies, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.79%, 5/31/2030 | 920,000 | 917,470 |
QUIKRETE Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.19%, 3/19/2029 | 700,000 | 700,168 |
1,617,638 | ||
Chemicals — 0.1% | ||
DuPont Performance, 1st Lien Term Loan B-4 (3-MONTH CME TERM SOFR + 2.50%), 7.85%, 12/20/2029 | 581,698 | 581,896 |
Ineos US Finance LLC, 1st Lien Term Loan B (Luxembourg) (1-MONTH CME TERM SOFR + 3.50%), 8.93%, 2/18/2030 | 748,120 | 740,796 |
1,322,692 | ||
Commercial Services & Supplies — 0.0% ^ | ||
Madison IAQ LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.68%, 6/21/2028 | 304,668 | 303,336 |
Electronic Equipment, Instruments & Components — 0.0% ^ | ||
NCR Atleos LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.75%; 3-MONTH CME TERM SOFR + 4.75%), 10.16%, 3/27/2029 | 450,000 | 449,159 |
Ground Transportation — 0.0% ^ | ||
Genesee & Wyoming, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.00%), 7.45%, 12/30/2026 | 460,000 | 459,945 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Health Care Equipment & Supplies — 0.0% ^ | ||
Medline Borrower LP, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 10/23/2028 | 225,000 | 225,011 |
Health Care Providers & Services — 0.1% | ||
DaVita, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 1.75%), 7.19%, 8/12/2026 | 897,636 | 896,478 |
Parexel International Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 11/15/2028 | 1,000,000 | 998,750 |
Syneos Health,Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%; 3-MONTH CME TERM SOFR + 4.00%), 9.35%, 9/27/2030 | 695,000 | 685,882 |
2,581,110 | ||
Hotels, Restaurants & Leisure — 0.0% ^ | ||
Carnival Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.32%, 8/9/2027 | 444,265 | 444,358 |
Household Durables — 0.0% ^ | ||
KDC US Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 10.33%, 8/15/2028 | 425,000 | 424,392 |
Insurance — 0.1% | ||
Asurion LLC, 1st Lien Term Loan B-11 (1-MONTH CME TERM SOFR + 4.25%), 9.68%, 8/19/2028 | 897,739 | 891,849 |
Hub International Ltd., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.50%), 8.57%, 6/20/2030 | 725,000 | 724,094 |
1,615,943 | ||
IT Services — 0.0% ^ | ||
MH Sub I LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.25%), 9.58%, 5/3/2028 | 748,120 | 735,215 |
Leisure Products — 0.0% ^ | ||
Hercules Achievement, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 10.44%, 12/15/2026 | 274,307 | 274,137 |
Topgolf Callaway, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.93%, 3/15/2030 (n) | 465,000 | 464,954 |
739,091 |
72 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Loan Assignments — continued | ||
Machinery — 0.0% ^ | ||
Alliance Laundry Systems LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%; 3-MONTH CME TERM SOFR + 3.50%), 8.93%, 10/8/2027 | 554,667 | 555,127 |
SPX Flow, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.50%), 9.93%, 4/5/2029 | 500,000 | 500,625 |
1,055,752 | ||
Media — 0.1% | ||
Charter Communications Operating LLC, 1st Lien Term Loan B-4 (3-MONTH SOFR + 2.00%), 7.33%, 12/7/2030 | 1,500,000 | 1,473,540 |
Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.50%), 9.07%, 8/21/2026 | 525,000 | 521,792 |
CSC Holdings LLC, Term Loan B-6 (1-MONTH CME TERM SOFR + 4.50%), 9.82%, 1/18/2028 | 1,413,555 | 1,372,619 |
3,367,951 | ||
Oil, Gas & Consumable Fuels — 0.0% ^ | ||
Buckeye Partners, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.83%, 11/22/2030 | 888,555 | 888,715 |
Passenger Airlines — 0.1% | ||
AAdvantage Loyality IP Ltd., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.75%), 10.33%, 4/20/2028 | 1,123,889 | 1,144,962 |
United Airlines, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 5.25%), 10.77%, 6/21/2027 | 233,333 | 240,095 |
1,385,057 | ||
Personal Care Products — 0.1% | ||
Conair Holdings LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.19%, 5/17/2028 | 947,586 | 909,342 |
Nestle Skin Health SA, Term Loan B (Luxembourg) (3-MONTH CME TERM SOFR + 3.50%), 8.95%, 10/1/2026 | 1,500,217 | 1,501,672 |
2,411,014 | ||
Pharmaceuticals — 0.0% ^ | ||
Elanco Animal Health, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 1.75%), 7.18%, 8/1/2027 | 348,832 | 344,203 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Professional Services — 0.1% | ||
Brookfield WEC Holdings Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.08%, 1/27/2031 | 1,035,000 | 1,030,953 |
Dun & Bradstreet Corp., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.75%), 8.07%, 1/18/2029 | 600,000 | 598,350 |
KBR, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.58%, 1/17/2031 | 916,663 | 917,809 |
2,547,112 | ||
Semiconductors & Semiconductor Equipment — 0.1% | ||
Brooks Automation, 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 3.10%), 7.95%, 2/1/2029 | 1,419,755 | 1,416,504 |
Vertiv Group Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.94%, 3/2/2027 | 780,940 | 781,651 |
2,198,155 | ||
Software — 0.1% | ||
AthenaHealth, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.58%, 2/15/2029 | 500,000 | 495,235 |
Genesys Telecom Holdings US, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%), 9.44%, 12/1/2027 | 620,205 | 621,885 |
1,117,120 | ||
Specialty Retail — 0.1% | ||
AppleCaramel Buyer LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.08%, 10/19/2027 | 496,203 | 496,584 |
Petco Health & Wellness Co., Inc., Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.86%, 3/3/2028 | 820,342 | 782,812 |
1,279,396 | ||
Wireless Telecommunication Services — 0.0% ^ | ||
Iridium Communications, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.83%, 9/20/2030 | 680,501 | 679,460 |
Total Loan Assignments (Cost $29,191,844) | 29,077,775 | |
Foreign Government Securities — 1.0% | ||
Benin Government Bond 7.96%, 2/13/2038 (a) | 320,000 | 309,900 |
Dominican Republic Government Bond | ||
5.50%, 2/22/2029 (h) | 400,000 | 386,908 |
6.00%, 2/22/2033 (a) | 900,000 | 869,850 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 73 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
6.40%, 6/5/2049 (h) | 900,000 | 840,656 |
Federal Republic of Nigeria | ||
6.50%, 11/28/2027 (h) | 1,000,000 | 909,230 |
7.14%, 2/23/2030 (h) | 200,000 | 176,625 |
8.75%, 1/21/2031 (h) | 500,000 | 470,885 |
7.38%, 9/28/2033 (a) | 300,000 | 251,325 |
Federative Republic of Brazil | ||
4.75%, 1/14/2050 | 700,000 | 517,601 |
7.13%, 5/13/2054 | 915,000 | 914,771 |
Finance Department Government of Sharjah 6.13%, 3/6/2036 (a) | 786,000 | 778,250 |
Gabonese Republic 6.95%, 6/16/2025 (h) | 500,000 | 481,535 |
Hashemite Kingdom of Jordan 7.38%, 10/10/2047 (h) | 200,000 | 172,250 |
Hungary Government Bond | ||
5.50%, 6/16/2034 (a) | 200,000 | 194,556 |
6.75%, 9/25/2052 (a) | 200,000 | 212,228 |
Istanbul Metropolitan Municipality 10.50%, 12/6/2028 (a) | 500,000 | 536,250 |
Kingdom of Bahrain 5.45%, 9/16/2032 (a) | 600,000 | 542,063 |
Kingdom of Morocco 6.50%, 9/8/2033 (h) | 200,000 | 205,214 |
Kingdom of Saudi Arabia 5.75%, 1/16/2054 (a) | 1,000,000 | 966,150 |
Republic of Angola 8.25%, 5/9/2028 (a) | 1,000,000 | 920,970 |
Republic of Colombia | ||
8.00%, 11/14/2035 | 400,000 | 415,880 |
8.75%, 11/14/2053 | 1,000,000 | 1,070,770 |
Republic of Costa Rica | ||
6.55%, 4/3/2034 (a) | 400,000 | 412,736 |
7.30%, 11/13/2054 (a) | 800,000 | 843,784 |
Republic of Cote d'Ivoire | ||
6.13%, 6/15/2033 (h) | 900,000 | 789,480 |
8.25%, 1/30/2037 (a) | 202,000 | 197,203 |
Republic of Guatemala 6.60%, 6/13/2036 (a) | 300,000 | 303,225 |
Republic of Iraq 5.80%, 1/15/2028 (h) | 400,000 | 373,236 |
Republic of Panama 7.88%, 3/1/2057 | 279,000 | 274,553 |
Republic of Paraguay | ||
6.00%, 2/9/2036 (a) | 970,000 | 973,356 |
6.10%, 8/11/2044 (h) | 200,000 | 190,000 |
5.60%, 3/13/2048 (h) | 300,000 | 265,869 |
5.40%, 3/30/2050 (h) | 2,100,000 | 1,805,832 |
Republic of Senegal 6.75%, 3/13/2048 (h) | 600,000 | 434,250 |
Republic of South Africa 7.30%, 4/20/2052 | 1,000,000 | 868,750 |
Republic of Turkey | ||
9.88%, 1/15/2028 | 200,000 | 219,376 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
7.63%, 5/15/2034 | 1,344,000 | 1,338,960 |
Romania Government Bond | ||
6.38%, 1/30/2034 (a) | 424,000 | 421,952 |
7.63%, 1/17/2053 (a) | 600,000 | 654,222 |
State of Mongolia 8.65%, 1/19/2028 (h) | 400,000 | 414,700 |
Sultanate of Oman Government Bond 7.00%, 1/25/2051 (a) | 1,800,000 | 1,867,104 |
Turkiye Ihracat Kredi Bankasi A/S 9.38%, 1/31/2026 (a) | 400,000 | 418,860 |
United Mexican States 6.34%, 5/4/2053 | 200,000 | 195,075 |
Total Foreign Government Securities (Cost $25,883,010) | 25,406,390 | |
Municipal Bonds — 0.0% (o) ^ | ||
Ohio — 0.0% ^ | ||
Ohio University, General Receipts, Federally Taxable Rev., 5.59%, 12/1/2114 | 25,000 | 24,094 |
Texas — 0.0% ^ | ||
Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds Series 2023A-2, Rev., 5.17%, 4/1/2041 | 45,000 | 45,630 |
Total Municipal Bonds (Cost $77,767) | 69,724 | |
SHARES | ||
Common Stocks — 0.0% ^ | ||
Diversified Telecommunication Services — 0.0% ^ | ||
Windstream Holdings, Inc. ‡ * | 16 | 168 |
Health Care Providers & Services — 0.0% ^ | ||
Envision Healthcare Corp. ‡ * | 18 | 181 |
Oil, Gas & Consumable Fuels — 0.0% ^ | ||
Chesapeake Energy Corp. | 185 | 15,314 |
Specialty Retail — 0.0% ^ | ||
NMG, Inc. ‡ * | 1 | 109 |
Wireless Telecommunication Services — 0.0% ^ | ||
Intelsat SA (Luxembourg) ‡ * | 270 | 7,425 |
Total Common Stocks (Cost $10,351) | 23,197 | |
Preferred Stocks — 0.0% ^ | ||
Broadline Retail — 0.0% ^ | ||
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡ (Cost $2,753) | 2,868 | 1,620 |
74 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | NO. OF WARRANTS | VALUE($) |
Warrants — 0.0% ^ | ||
Media — 0.0% ^ | ||
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) ‡ * (Cost $1) | 78 | 1,034 |
SHARES | ||
Short-Term Investments — 11.6% | ||
Investment Companies — 11.6% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (p) (q) (Cost $304,836,673) | 304,836,673 | 304,836,673 |
Total Investments — 105.9% (Cost $2,800,804,217) | 2,785,253,527 | |
Liabilities in Excess of Other Assets — (5.9)% | (155,157,034 ) | |
NET ASSETS — 100.0% | 2,630,096,493 |
Percentages indicated are based on net assets. |
Abbreviations | |
ABS | Asset-Backed Securities |
ACES | Alternative Credit Enhancement Securities |
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 29, 2024. |
CME | Chicago Mercantile Exchange |
CSMC | Credit Suisse Mortgage Trust |
EURIBOR | Euro Interbank Offered Rate |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
FRN | Floating Rate Note |
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. |
JSC | Joint Stock Company |
PIK | Payment In Kind |
PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
PT | Limited liability company |
RE | Reinsured |
REIT | Real Estate Investment Trust |
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 |
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. |
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) | Defaulted security. | |
(c) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(d) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2024. | |
(e) | 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 29, 2024 is $9,413,600 or 0.36% of the Fund’s net assets as of February 29, 2024. | |
(f) | Security is an interest bearing note with preferred security characteristics. | |
(g) | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of February 29, 2024. | |
(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) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 29, 2024. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 75 |
(j) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2024. | |
(k) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(l) | The rate shown is the effective yield as of February 29, 2024. | |
(m) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. |
(n) | All or a portion of this security is unsettled as of February 29, 2024. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position. | |
(o) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(p) | 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. | |
(q) | The rate shown is the current yield as of February 29, 2024. |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 10 Year Note | 319 | 06/18/2024 | USD | 35,249,500 | 128,564 |
U.S. Treasury 10 Year Ultra Note | 3 | 06/18/2024 | USD | 342,703 | 2,174 |
U.S. Treasury Long Bond | 486 | 06/18/2024 | USD | 57,955,500 | 552,721 |
U.S. Treasury Ultra Bond | 1,018 | 06/18/2024 | USD | 130,304,000 | 2,861,666 |
U.S. Treasury 2 Year Note | 932 | 06/28/2024 | USD | 190,892,531 | 142,616 |
U.S. Treasury 5 Year Note | 714 | 06/28/2024 | USD | 76,403,578 | 165,145 |
3,852,886 | |||||
Short Contracts | |||||
U.S. Treasury 10 Year Note | (2 ) | 06/18/2024 | USD | (221,000 ) | (785 ) |
U.S. Treasury 10 Year Ultra Note | (333 ) | 06/18/2024 | USD | (38,040,047 ) | (242,630 ) |
U.S. Treasury 5 Year Note | (1 ) | 06/28/2024 | USD | (107,008 ) | (315 ) |
(243,730 ) | |||||
3,609,156 |
Abbreviations | |
USD | United States Dollar |
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||
USD | 8,622,249 | EUR | 7,960,838 | Morgan Stanley | 3/5/2024 | 17,840 |
USD | 8,632,614 | EUR | 7,960,838 | Barclays Bank plc | 4/2/2024 | 18,052 |
Total unrealized appreciation | 35,892 | |||||
EUR | 7,960,838 | USD | 8,622,718 | Barclays Bank plc | 3/5/2024 | (18,310 ) |
Total unrealized depreciation | (18,310 ) | |||||
Net unrealized appreciation | 17,582 |
76 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Abbreviations | |
EUR | Euro |
USD | United States Dollar |
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | COUNTERPARTY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
Bank of America Corp., 3.50%, 4/19/2026 | 1.00 | Quarterly | Morgan Stanley | 6/20/2028 | 0.54 | USD2,300,000 | 16,547 | (62,623 ) | (46,076 ) |
Bank of America Corp., 3.50%, 4/19/2026 | 1.00 | Quarterly | Morgan Stanley | 6/20/2028 | 0.54 | USD3,000,000 | 19,270 | (79,369 ) | (60,099 ) |
Bank of America Corp., 3.50%, 4/19/2026 | 1.00 | Quarterly | Morgan Stanley | 6/20/2028 | 0.54 | USD2,900,000 | 8,782 | (66,878 ) | (58,096 ) |
Bank of America Corp., 3.50%, 4/19/2026 | 1.00 | Quarterly | Morgan Stanley | 6/20/2028 | 0.54 | USD210,000 | 1,904 | (6,111 ) | (4,207 ) |
46,503 | (214,981 ) | (168,478 ) |
(*) | 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 | |||||||||
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 | 0.35 | USD11,000,000 | (3,801 ) | 243,635 | 239,834 |
CDX.NA.IG.39-V1 | 1.00 | Quarterly | 12/20/2027 | 0.42 | USD7,250,000 | 63,441 | 96,839 | 160,280 |
59,640 | 340,474 | 400,114 |
(**) | 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. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 77 |
(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 |
NET UPFRONT PAYMENTS (RECEIPTS) ($) | VALUE ($) | |
Liabilities | ||
OTC Credit default swap contracts outstanding - buy protection | 46,503 | (168,478 ) |
78 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 35.9% | ||
Aerospace & Defense — 0.3% | ||
Bombardier, Inc. (Canada) | ||
7.88%, 4/15/2027 (a) | 680,000 | 680,868 |
8.75%, 11/15/2030 (a) | 565,000 | 591,843 |
BWX Technologies, Inc. 4.13%, 6/30/2028 (a) | 250,000 | 232,527 |
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a) | 547,000 | 591,501 |
TransDigm, Inc. | ||
6.38%, 3/1/2029 (a) | 416,000 | 417,880 |
6.63%, 3/1/2032 (a) | 466,000 | 468,912 |
Triumph Group, Inc. 9.00%, 3/15/2028 (a) | 186,000 | 194,432 |
3,177,963 | ||
Automobile Components — 1.0% | ||
Adient Global Holdings Ltd. | ||
4.88%, 8/15/2026 (a) | 1,200,000 | 1,163,114 |
7.00%, 4/15/2028 (a) | 185,000 | 188,607 |
8.25%, 4/15/2031 (a) | 155,000 | 163,190 |
Allison Transmission, Inc. | ||
4.75%, 10/1/2027 (a) | 25,000 | 23,971 |
5.88%, 6/1/2029 (a) | 745,000 | 733,843 |
3.75%, 1/30/2031 (a) | 670,000 | 578,937 |
American Axle & Manufacturing, Inc. | ||
6.50%, 4/1/2027 | 63,000 | 62,226 |
6.88%, 7/1/2028 | 540,000 | 521,807 |
5.00%, 10/1/2029 | 450,000 | 390,187 |
Clarios Global LP | ||
6.75%, 5/15/2025 (a) | 135,000 | 134,907 |
6.25%, 5/15/2026 (a) | 1,855,000 | 1,849,969 |
8.50%, 5/15/2027 (a) | 1,365,000 | 1,372,074 |
Cooper-Standard Automotive, Inc. 13.50% (Blend (Cash 9.00% + PIK 4.50%)), 3/31/2027 (a) (b) | 102,250 | 107,401 |
Dana, Inc. | ||
5.38%, 11/15/2027 | 140,000 | 135,139 |
5.63%, 6/15/2028 | 335,000 | 324,289 |
4.25%, 9/1/2030 | 40,000 | 34,497 |
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (a) | 80,000 | 71,809 |
Goodyear Tire & Rubber Co. (The) | ||
5.00%, 7/15/2029 | 2,284,000 | 2,102,276 |
5.25%, 7/15/2031 | 150,000 | 135,372 |
Icahn Enterprises LP 6.25%, 5/15/2026 | 855,000 | 833,147 |
10,926,762 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — 1.0% | ||
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) | 400,000 | 391,960 |
Bank of Nova Scotia (The) (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.39%), 8.63%, 10/27/2082 (c) (g) | 600,000 | 617,288 |
BBVA Bancomer SA (Mexico) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%), 5.13%, 1/18/2033 (c) (f) (g) | 400,000 | 365,488 |
BNP Paribas SA (France) (SOFR + 1.59%), 5.50%, 5/20/2030 (a) (g) | 580,000 | 577,400 |
BPCE SA (France) | ||
(SOFR + 2.10%), 5.98%, 1/18/2027 (a) (g) | 4,678,000 | 4,681,879 |
5.13%, 1/18/2028 (a) | 725,000 | 719,226 |
Citigroup, Inc. | ||
Series U, (SOFR + 3.81%), 5.00%, 9/12/2024 (d) (e) (g) | 95,000 | 93,775 |
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (d) (e) (g) | 100,000 | 93,938 |
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 | 200,789 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 3.35%), 7.39%, 11/3/2028 (g) | 290,000 | 307,218 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (c) (d) (e) (g) | 200,000 | 165,767 |
ING Groep NV (Netherlands) (USD ICE Swap Rate 5 Year + 4.20%), 6.75%, 4/16/2024 (c) (d) (e) (f) (g) | 200,000 | 200,010 |
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 | 196,700 |
Santander UK Group Holdings plc (United Kingdom) (SOFR + 2.60%), 6.53%, 1/10/2029 (g) | 720,000 | 738,298 |
Societe Generale SA (France) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (a) (g) | 315,000 | 317,627 |
February 29, 2024 | 79 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
Toronto-Dominion Bank (The) (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.08%), 8.13%, 10/31/2082 (c) (g) | 950,000 | 988,721 |
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 | 152,433 |
10,808,517 | ||
Biotechnology — 0.0% ^ | ||
Grifols SA (Spain) 4.75%, 10/15/2028 (a) | 400,000 | 333,120 |
Broadline Retail — 0.2% | ||
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a) | 1,920,000 | 1,883,210 |
Nordstrom, Inc. 4.25%, 8/1/2031 | 110,000 | 92,567 |
Shutterfly Finance LLC | ||
8.50% (Blend (Cash 4.25% + PIK 4.25%)), 10/1/2027 (a) (b) | 192,837 | 150,269 |
9.75%, 10/1/2027 (a) | 22,913 | 22,913 |
2,148,959 | ||
Building Products — 0.7% | ||
Advanced Drainage Systems, Inc. 5.00%, 9/30/2027 (a) | 150,000 | 144,914 |
Builders FirstSource, Inc. | ||
5.00%, 3/1/2030 (a) | 280,000 | 264,398 |
6.38%, 6/15/2032 (a) | 865,000 | 864,863 |
6.38%, 3/1/2034 (a) | 255,000 | 254,405 |
EMRLD Borrower LP 6.63%, 12/15/2030 (a) | 1,530,000 | 1,535,355 |
Griffon Corp. 5.75%, 3/1/2028 | 85,000 | 82,238 |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | 200,000 | 190,250 |
Masonite International Corp. 5.38%, 2/1/2028 (a) | 250,000 | 249,062 |
MIWD Holdco II LLC 5.50%, 2/1/2030 (a) | 150,000 | 136,866 |
Standard Industries, Inc. | ||
4.75%, 1/15/2028 (a) | 2,910,000 | 2,745,403 |
4.38%, 7/15/2030 (a) | 470,000 | 419,045 |
Summit Materials LLC 7.25%, 1/15/2031 (a) | 249,000 | 258,388 |
7,145,187 | ||
Capital Markets — 0.6% | ||
Coinbase Global, Inc. 3.38%, 10/1/2028 (a) | 40,000 | 33,786 |
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 | 92,958 |
(SOFR + 1.08%), 5.80%, 8/10/2026 (g) | 1,150,000 | 1,156,342 |
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 7.50%, 2/10/2029 (d) (e) (g) | 390,000 | 410,094 |
Nasdaq, Inc. 5.35%, 6/28/2028 | 1,160,000 | 1,171,633 |
State Street Corp. Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.61%), 6.70%, 3/15/2029 (d) (e) (g) | 3,110,000 | 3,101,582 |
5,966,395 | ||
Chemicals — 1.2% | ||
Axalta Coating Systems LLC | ||
4.75%, 6/15/2027 (a) | 350,000 | 337,909 |
3.38%, 2/15/2029 (a) | 1,540,000 | 1,368,582 |
Braskem Idesa SAPI (Mexico) 6.99%, 2/20/2032 (a) | 400,000 | 288,000 |
Braskem Netherlands Finance BV (Brazil) 7.25%, 2/13/2033 (a) | 400,000 | 364,280 |
Celanese US Holdings LLC 1.40%, 8/5/2026 | 240,000 | 217,672 |
Chemours Co. (The) | ||
5.75%, 11/15/2028 (a) | 2,220,000 | 1,947,045 |
4.63%, 11/15/2029 (a) | 75,000 | 61,671 |
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | 365,000 | 330,809 |
INEOS Finance plc (Luxembourg) | ||
6.75%, 5/15/2028 (a) | 500,000 | 488,950 |
7.50%, 4/15/2029 (a) | 200,000 | 198,520 |
INEOS Quattro Finance 2 plc (United Kingdom) 9.63%, 3/15/2029 (a) | 200,000 | 210,389 |
NOVA Chemicals Corp. (Canada) | ||
5.25%, 6/1/2027 (a) | 2,420,000 | 2,241,435 |
8.50%, 11/15/2028 (a) | 200,000 | 211,171 |
4.25%, 5/15/2029 (a) | 25,000 | 20,679 |
9.00%, 2/15/2030 (a) | 246,000 | 246,787 |
Scotts Miracle-Gro Co. (The) | ||
5.25%, 12/15/2026 | 20,000 | 19,400 |
4.50%, 10/15/2029 | 2,170,000 | 1,925,875 |
4.00%, 4/1/2031 | 200,000 | 169,644 |
80 | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Chemicals — continued | ||
Trinseo Materials Operating SCA | ||
5.38%, 9/1/2025 (a) | 9,000 | 7,314 |
5.13%, 4/1/2029 (a) | 220,000 | 83,529 |
WR Grace Holdings LLC | ||
4.88%, 6/15/2027 (a) | 1,360,000 | 1,291,974 |
5.63%, 8/15/2029 (a) | 1,370,000 | 1,201,388 |
13,233,023 | ||
Commercial Services & Supplies — 1.1% | ||
ACCO Brands Corp. 4.25%, 3/15/2029 (a) | 805,000 | 713,656 |
ADT Security Corp. (The) | ||
4.13%, 8/1/2029 (a) | 845,000 | 763,669 |
4.88%, 7/15/2032 (a) | 180,000 | 162,000 |
Allied Universal Holdco LLC 6.63%, 7/15/2026 (a) | 586,000 | 584,225 |
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | 1,350,000 | 1,293,737 |
Brink's Co. (The) 4.63%, 10/15/2027 (a) | 335,000 | 316,572 |
Garda World Security Corp. 4.63%, 2/15/2027 (a) | 240,000 | 229,237 |
GFL Environmental, Inc. (Canada) | ||
3.75%, 8/1/2025 (a) | 1,530,000 | 1,485,473 |
5.13%, 12/15/2026 (a) | 25,000 | 24,454 |
4.00%, 8/1/2028 (a) | 1,045,000 | 958,131 |
4.38%, 8/15/2029 (a) | 60,000 | 54,664 |
6.75%, 1/15/2031 (a) | 288,000 | 294,584 |
Madison IAQ LLC 4.13%, 6/30/2028 (a) | 2,435,000 | 2,218,185 |
Prime Security Services Borrower LLC | ||
5.75%, 4/15/2026 (a) | 665,000 | 659,971 |
3.38%, 8/31/2027 (a) | 1,615,000 | 1,478,517 |
Stericycle, Inc. 3.88%, 1/15/2029 (a) | 250,000 | 224,979 |
Williams Scotsman, Inc. 7.38%, 10/1/2031 (a) | 150,000 | 155,603 |
11,617,657 | ||
Communications Equipment — 0.2% | ||
Ciena Corp. 4.00%, 1/31/2030 (a) | 150,000 | 134,250 |
CommScope, Inc. | ||
6.00%, 3/1/2026 (a) | 1,575,000 | 1,417,500 |
8.25%, 3/1/2027 (a) | 710,000 | 310,895 |
4.75%, 9/1/2029 (a) | 625,000 | 428,125 |
2,290,770 | ||
Construction & Engineering — 0.2% | ||
Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (f) | 477,257 | 345,835 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Construction & Engineering — continued | ||
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | 90,000 | 82,821 |
International Airport Finance SA (Ecuador) 12.00%, 3/15/2033 (f) | 577,401 | 593,280 |
MasTec, Inc. 4.50%, 8/15/2028 (a) | 275,000 | 257,878 |
Mexico City Airport Trust (Mexico) 5.50%, 10/31/2046 (f) | 400,000 | 331,848 |
Pike Corp. 8.63%, 1/31/2031 (a) | 105,000 | 110,885 |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | 150,000 | 139,213 |
1,861,760 | ||
Construction Materials — 0.0% ^ | ||
Knife River Corp. 7.75%, 5/1/2031 (a) | 150,000 | 155,345 |
Consumer Finance — 1.6% | ||
AerCap Ireland Capital DAC (Ireland) | ||
6.10%, 1/15/2027 | 335,000 | 339,186 |
3.00%, 10/29/2028 | 810,000 | 727,839 |
Avolon Holdings Funding Ltd. (Ireland) | ||
2.88%, 2/15/2025 (a) | 1,140,000 | 1,103,702 |
6.38%, 5/4/2028 (a) | 365,000 | 370,385 |
5.75%, 3/1/2029 (a) | 2,060,000 | 2,030,280 |
Ford Motor Credit Co. LLC | ||
2.30%, 2/10/2025 | 1,755,000 | 1,697,589 |
4.69%, 6/9/2025 | 200,000 | 197,178 |
5.13%, 6/16/2025 | 600,000 | 593,923 |
3.38%, 11/13/2025 | 200,000 | 191,885 |
4.39%, 1/8/2026 | 600,000 | 583,428 |
6.95%, 6/10/2026 | 200,000 | 203,980 |
4.54%, 8/1/2026 | 200,000 | 193,898 |
4.27%, 1/9/2027 | 725,000 | 694,526 |
4.13%, 8/17/2027 | 3,505,000 | 3,317,214 |
2.90%, 2/10/2029 | 200,000 | 174,245 |
7.20%, 6/10/2030 | 200,000 | 210,622 |
6.05%, 3/5/2031 | 3,080,000 | 3,066,048 |
OneMain Finance Corp. | ||
7.13%, 3/15/2026 | 220,000 | 223,573 |
3.88%, 9/15/2028 | 840,000 | 733,902 |
16,653,403 | ||
Consumer Staples Distribution & Retail — 0.9% | ||
Albertsons Cos., Inc. | ||
4.63%, 1/15/2027 (a) | 2,510,000 | 2,419,745 |
5.88%, 2/15/2028 (a) | 1,370,000 | 1,350,145 |
3.50%, 3/15/2029 (a) | 835,000 | 743,950 |
4.88%, 2/15/2030 (a) | 450,000 | 422,416 |
Performance Food Group, Inc. |
February 29, 2024 | 81 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Consumer Staples Distribution & Retail — continued | ||
5.50%, 10/15/2027 (a) | 1,420,000 | 1,390,652 |
4.25%, 8/1/2029 (a) | 1,355,000 | 1,229,736 |
Rite Aid Corp. | ||
7.50%, 7/1/2025 (a) (h) | 248,000 | 177,940 |
8.00%, 11/15/2026 (a) (h) | 225,000 | 162,563 |
US Foods, Inc. | ||
6.88%, 9/15/2028 (a) | 130,000 | 132,275 |
4.75%, 2/15/2029 (a) | 1,064,000 | 998,851 |
4.63%, 6/1/2030 (a) | 266,000 | 243,740 |
9,272,013 | ||
Containers & Packaging — 1.0% | ||
Ardagh Packaging Finance plc | ||
4.13%, 8/15/2026 (a) | 1,420,000 | 1,310,007 |
5.25%, 8/15/2027 (a) | 1,225,000 | 888,188 |
LABL, Inc. 6.75%, 7/15/2026 (a) | 1,930,000 | 1,871,805 |
Mauser Packaging Solutions Holding Co. | ||
7.88%, 8/15/2026 (a) | 2,445,000 | 2,477,560 |
9.25%, 4/15/2027 (a) | 235,000 | 228,522 |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | 620,000 | 618,628 |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | 2,955,000 | 2,752,583 |
TriMas Corp. 4.13%, 4/15/2029 (a) | 65,000 | 59,250 |
Trivium Packaging Finance BV (Netherlands) | ||
5.50%, 8/15/2026 (a) (i) | 650,000 | 633,878 |
8.50%, 8/15/2027 (a) (i) | 250,000 | 243,699 |
11,084,120 | ||
Distributors — 0.0% ^ | ||
Ritchie Bros Holdings, Inc. 6.75%, 3/15/2028 (a) | 335,000 | 342,856 |
Diversified Consumer Services — 0.2% | ||
Service Corp. International 3.38%, 8/15/2030 | 1,645,000 | 1,412,266 |
Wand NewCo 3, Inc. 7.63%, 1/30/2032 (a) | 299,000 | 307,222 |
1,719,488 | ||
Diversified REITs — 0.1% | ||
VICI Properties LP | ||
4.25%, 12/1/2026 (a) | 345,000 | 330,036 |
3.75%, 2/15/2027 (a) | 395,000 | 371,576 |
4.50%, 1/15/2028 (a) | 150,000 | 142,519 |
3.88%, 2/15/2029 (a) | 675,000 | 615,769 |
4.63%, 12/1/2029 (a) | 37,000 | 34,451 |
1,494,351 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Diversified Telecommunication Services — 2.1% | ||
Altice France SA (France) | ||
8.13%, 2/1/2027 (a) | 400,000 | 367,570 |
5.13%, 7/15/2029 (a) | 250,000 | 188,786 |
5.50%, 10/15/2029 (a) | 400,000 | 302,868 |
CCO Holdings LLC | ||
5.00%, 2/1/2028 (a) | 510,000 | 470,601 |
5.38%, 6/1/2029 (a) | 3,406,000 | 3,080,276 |
6.38%, 9/1/2029 (a) | 1,105,000 | 1,038,166 |
4.75%, 3/1/2030 (a) | 5,665,000 | 4,819,131 |
4.50%, 8/15/2030 (a) | 5,422,000 | 4,497,657 |
4.25%, 2/1/2031 (a) | 1,754,000 | 1,410,808 |
Frontier Communications Holdings LLC | ||
5.88%, 10/15/2027 (a) | 1,210,000 | 1,169,466 |
5.00%, 5/1/2028 (a) | 1,020,000 | 943,963 |
Intelsat Jackson Holdings SA 6.50%, 3/15/2030 (a) | 2,330,000 | 2,167,791 |
Level 3 Financing, Inc. | ||
4.63%, 9/15/2027 ‡ (a) | 745,000 | 473,075 |
4.25%, 7/1/2028 ‡ (a) | 450,000 | 274,500 |
Lumen Technologies, Inc. | ||
5.13%, 12/15/2026 (a) | 100,000 | 65,893 |
4.00%, 2/15/2027 ‡ (a) | 1,975,000 | 1,283,750 |
Telecom Italia Capital SA (Italy) 6.38%, 11/15/2033 | 43,000 | 41,270 |
22,595,571 | ||
Electric Utilities — 0.8% | ||
Comision Federal de Electricidad (Mexico) 4.68%, 2/9/2051 (f) | 200,000 | 140,050 |
Electricidad Firme de Mexico Holdings SA de CV (Mexico) 4.90%, 11/20/2026 (a) | 200,000 | 187,850 |
Energuate Trust (Guatemala) 5.88%, 5/3/2027 (f) | 200,000 | 190,478 |
Eskom Holdings SOC Ltd. (South Africa) 7.13%, 2/11/2025 (f) | 700,000 | 696,528 |
Instituto Costarricense de Electricidad (Costa Rica) | ||
6.75%, 10/7/2031 (a) | 200,000 | 199,370 |
6.38%, 5/15/2043 (f) | 200,000 | 173,950 |
Minejesa Capital BV (Indonesia) 4.63%, 8/10/2030 (f) | 185,960 | 176,063 |
NRG Energy, Inc. | ||
6.63%, 1/15/2027 | 20,000 | 19,997 |
5.75%, 1/15/2028 | 2,735,000 | 2,693,983 |
5.25%, 6/15/2029 (a) | 145,000 | 137,414 |
3.63%, 2/15/2031 (a) | 570,000 | 479,275 |
82 | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
Tierra Mojada Luxembourg II SARL (Mexico) 5.75%, 12/1/2040 (f) | 180,934 | 161,976 |
Trinidad Generation UnLtd (Trinidad And Tobago) 5.25%, 11/4/2027 (f) | 200,000 | 194,960 |
Vistra Operations Co. LLC | ||
5.13%, 5/13/2025 (a) | 284,000 | 281,659 |
5.63%, 2/15/2027 (a) | 800,000 | 779,559 |
5.00%, 7/31/2027 (a) | 2,128,000 | 2,039,719 |
8,552,831 | ||
Electrical Equipment — 0.1% | ||
Regal Rexnord Corp. | ||
6.05%, 4/15/2028 (a) | 410,000 | 412,575 |
6.30%, 2/15/2030 (a) | 219,000 | 222,990 |
6.40%, 4/15/2033 (a) | 97,000 | 99,585 |
735,150 | ||
Electronic Equipment, Instruments & Components — 0.3% | ||
Coherent Corp. 5.00%, 12/15/2029 (a) | 1,412,000 | 1,316,690 |
Sensata Technologies, Inc. 3.75%, 2/15/2031 (a) | 2,475,000 | 2,116,496 |
3,433,186 | ||
Energy Equipment & Services — 0.1% | ||
Archrock Partners LP 6.88%, 4/1/2027 (a) | 390,000 | 388,037 |
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (f) | 171,358 | 154,436 |
Nabors Industries, Inc. 7.38%, 5/15/2027 (a) | 235,000 | 234,135 |
Precision Drilling Corp. (Canada) | ||
7.13%, 1/15/2026 (a) | 288,000 | 287,630 |
6.88%, 1/15/2029 (a) | 225,000 | 222,247 |
Transocean, Inc. 8.75%, 2/15/2030 (a) | 238,500 | 244,898 |
1,531,383 | ||
Entertainment — 0.6% | ||
Live Nation Entertainment, Inc. | ||
5.63%, 3/15/2026 (a) | 175,000 | 172,805 |
6.50%, 5/15/2027 (a) | 1,890,000 | 1,906,267 |
4.75%, 10/15/2027 (a) | 3,105,000 | 2,972,774 |
3.75%, 1/15/2028 (a) | 140,000 | 128,856 |
Warnermedia Holdings, Inc. 3.76%, 3/15/2027 | 720,000 | 681,292 |
WMG Acquisition Corp. | ||
3.75%, 12/1/2029 (a) | 198,000 | 175,353 |
3.88%, 7/15/2030 (a) | 307,000 | 270,927 |
6,308,274 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Financial Services — 0.4% | ||
Block, Inc. 3.50%, 6/1/2031 | 1,535,000 | 1,309,468 |
Corebridge Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.88%, 12/15/2052 (g) | 500,000 | 499,190 |
Nationstar Mortgage Holdings, Inc. 5.50%, 8/15/2028 (a) | 425,000 | 401,216 |
NCR Atleos Corp. 9.50%, 4/1/2029 (a) | 929,000 | 982,692 |
Rocket Mortgage LLC | ||
2.88%, 10/15/2026 (a) | 295,000 | 271,400 |
3.63%, 3/1/2029 (a) | 1,353,000 | 1,200,161 |
4,664,127 | ||
Food Products — 0.6% | ||
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (a) | 1,925,000 | 1,744,192 |
Minerva Luxembourg SA (Brazil) 8.88%, 9/13/2033 (a) | 300,000 | 314,940 |
Post Holdings, Inc. | ||
5.63%, 1/15/2028 (a) | 993,000 | 974,779 |
5.50%, 12/15/2029 (a) | 217,000 | 207,630 |
4.63%, 4/15/2030 (a) | 2,685,000 | 2,443,015 |
6.25%, 2/15/2032 (a) | 171,000 | 171,884 |
Sigma Holdco BV (Netherlands) 7.88%, 5/15/2026 (a) | 200,000 | 191,081 |
6,047,521 | ||
Gas Utilities — 0.1% | ||
AmeriGas Partners LP | ||
5.88%, 8/20/2026 | 345,000 | 334,351 |
5.75%, 5/20/2027 | 615,000 | 581,419 |
9.38%, 6/1/2028 (a) | 262,000 | 265,930 |
Superior Plus LP (Canada) 4.50%, 3/15/2029 (a) | 150,000 | 135,750 |
1,317,450 | ||
Ground Transportation — 0.8% | ||
Avis Budget Car Rental LLC | ||
5.75%, 7/15/2027 (a) | 225,000 | 214,391 |
4.75%, 4/1/2028 (a) | 1,470,000 | 1,331,630 |
8.00%, 2/15/2031 (a) | 750,000 | 724,069 |
EquipmentShare.com, Inc. 9.00%, 5/15/2028 (a) | 1,204,000 | 1,233,769 |
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | 180,000 | 156,600 |
Hertz Corp. (The) | ||
4.63%, 12/1/2026 (a) | 100,000 | 88,521 |
5.00%, 12/1/2029 (a) | 2,285,000 | 1,750,559 |
February 29, 2024 | 83 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Ground Transportation — continued | ||
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (a) | 105,000 | 97,969 |
RXO, Inc. 7.50%, 11/15/2027 (a) | 350,000 | 361,375 |
Transnet SOC Ltd. (South Africa) 8.25%, 2/6/2028 (a) | 200,000 | 198,875 |
Uber Technologies, Inc. | ||
7.50%, 9/15/2027 (a) | 1,535,000 | 1,570,302 |
4.50%, 8/15/2029 (a) | 715,000 | 669,475 |
XPO, Inc. 6.25%, 6/1/2028 (a) | 425,000 | 425,956 |
8,823,491 | ||
Health Care Equipment & Supplies — 0.7% | ||
Avantor Funding, Inc. 4.63%, 7/15/2028 (a) | 2,545,000 | 2,402,183 |
Hologic, Inc. | ||
4.63%, 2/1/2028 (a) | 150,000 | 143,716 |
3.25%, 2/15/2029 (a) | 1,404,000 | 1,251,817 |
Medline Borrower LP | ||
3.88%, 4/1/2029 (a) | 2,450,000 | 2,196,751 |
5.25%, 10/1/2029 (a) | 1,300,000 | 1,202,482 |
7,196,949 | ||
Health Care Providers & Services — 1.6% | ||
180 Medical, Inc. (United Kingdom) 3.88%, 10/15/2029 (a) | 200,000 | 179,000 |
Acadia Healthcare Co., Inc. | ||
5.50%, 7/1/2028 (a) | 440,000 | 425,344 |
5.00%, 4/15/2029 (a) | 185,000 | 174,825 |
Community Health Systems, Inc. | ||
8.00%, 3/15/2026 (a) | 1,504,000 | 1,489,050 |
5.63%, 3/15/2027 (a) | 645,000 | 590,127 |
6.00%, 1/15/2029 (a) | 610,000 | 524,600 |
4.75%, 2/15/2031 (a) | 255,000 | 194,045 |
DaVita, Inc. | ||
4.63%, 6/1/2030 (a) | 340,000 | 299,080 |
3.75%, 2/15/2031 (a) | 1,965,000 | 1,612,435 |
Encompass Health Corp. | ||
4.50%, 2/1/2028 | 1,225,000 | 1,159,173 |
4.75%, 2/1/2030 | 845,000 | 783,889 |
4.63%, 4/1/2031 | 350,000 | 316,807 |
McKesson Corp. 5.25%, 2/15/2026 | 395,000 | 395,005 |
Owens & Minor, Inc. 4.50%, 3/31/2029 (a) | 629,000 | 561,988 |
Tenet Healthcare Corp. | ||
4.88%, 1/1/2026 | 680,000 | 679,297 |
6.25%, 2/1/2027 | 297,000 | 296,295 |
5.13%, 11/1/2027 | 3,685,000 | 3,607,121 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Health Care Providers & Services — continued | ||
4.63%, 6/15/2028 | 2,670,000 | 2,541,225 |
6.13%, 6/15/2030 | 373,000 | 369,404 |
6.75%, 5/15/2031 (a) | 659,000 | 664,766 |
16,863,476 | ||
Health Care Technology — 0.1% | ||
IQVIA, Inc. 5.00%, 5/15/2027 (a) | 950,000 | 924,861 |
Hotel & Resort REITs — 0.3% | ||
RHP Hotel Properties LP | ||
4.75%, 10/15/2027 | 2,725,000 | 2,602,375 |
4.50%, 2/15/2029 (a) | 190,000 | 176,611 |
2,778,986 | ||
Hotels, Restaurants & Leisure — 1.8% | ||
1011778 BC ULC (Canada) | ||
3.88%, 1/15/2028 (a) | 1,195,000 | 1,114,672 |
4.00%, 10/15/2030 (a) | 455,000 | 399,674 |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | 375,000 | 344,765 |
Caesars Entertainment, Inc. | ||
8.13%, 7/1/2027 (a) | 930,000 | 954,911 |
4.63%, 10/15/2029 (a) | 315,000 | 287,594 |
6.50%, 2/15/2032 (a) | 321,000 | 323,402 |
Carnival Corp. 5.75%, 3/1/2027 (a) | 55,000 | 54,311 |
Carnival Holdings Bermuda Ltd. 10.38%, 5/1/2028 (a) | 1,365,000 | 1,489,166 |
Cedar Fair LP | ||
5.50%, 5/1/2025 (a) | 750,000 | 747,486 |
5.25%, 7/15/2029 | 190,000 | 179,470 |
Hilton Domestic Operating Co., Inc. 3.75%, 5/1/2029 (a) | 870,000 | 790,245 |
Hilton Worldwide Finance LLC 4.88%, 4/1/2027 | 1,175,000 | 1,146,399 |
Marriott Ownership Resorts, Inc. 4.50%, 6/15/2029 (a) | 150,000 | 136,064 |
MGM Resorts International | ||
6.75%, 5/1/2025 | 1,505,000 | 1,507,095 |
5.75%, 6/15/2025 | 575,000 | 574,189 |
4.63%, 9/1/2026 | 220,000 | 213,290 |
5.50%, 4/15/2027 | 60,000 | 58,764 |
Royal Caribbean Cruises Ltd. | ||
11.63%, 8/15/2027 (a) | 1,134,000 | 1,226,589 |
8.25%, 1/15/2029 (a) | 663,000 | 702,780 |
9.25%, 1/15/2029 (a) | 215,000 | 231,274 |
6.25%, 3/15/2032 (a) (j) | 322,000 | 322,860 |
Six Flags Entertainment Corp. 5.50%, 4/15/2027 (a) | 815,000 | 797,681 |
84 | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Hotels, Restaurants & Leisure — continued | ||
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | 15,000 | 15,035 |
Station Casinos LLC 4.50%, 2/15/2028 (a) | 845,000 | 787,892 |
Studio City Finance Ltd. (Macau) | ||
6.50%, 1/15/2028 (f) | 200,000 | 189,250 |
5.00%, 1/15/2029 (f) | 200,000 | 174,500 |
Vail Resorts, Inc. 6.25%, 5/15/2025 (a) | 775,000 | 777,798 |
Wynn Macau Ltd. (Macau) 5.63%, 8/26/2028 (f) | 200,000 | 187,366 |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a) | 2,820,000 | 2,660,118 |
Yum! Brands, Inc. 4.75%, 1/15/2030 (a) | 1,050,000 | 996,093 |
19,390,733 | ||
Household Durables — 0.5% | ||
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | 535,000 | 532,887 |
Newell Brands, Inc. | ||
4.88%, 6/1/2025 | 110,000 | 107,672 |
5.20%, 4/1/2026 (i) | 2,205,000 | 2,141,190 |
6.37%, 4/1/2036 (i) | 150,000 | 131,746 |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | 2,590,000 | 2,321,530 |
5,235,025 | ||
Household Products — 0.3% | ||
Central Garden & Pet Co. | ||
5.13%, 2/1/2028 | 325,000 | 313,227 |
4.13%, 10/15/2030 | 450,000 | 399,766 |
Energizer Holdings, Inc. | ||
4.75%, 6/15/2028 (a) | 842,000 | 769,881 |
4.38%, 3/31/2029 (a) | 1,417,000 | 1,255,433 |
Spectrum Brands, Inc. | ||
5.00%, 10/1/2029 (a) | 620,000 | 601,400 |
3.88%, 3/15/2031 (a) | 470,000 | 446,390 |
3,786,097 | ||
Independent Power and Renewable Electricity Producers — 0.1% | ||
Calpine Corp. 4.63%, 2/1/2029 (a) | 795,000 | 731,622 |
Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029 (f) | 280,000 | 274,960 |
1,006,582 | ||
IT Services — 0.0% ^ | ||
Presidio Holdings, Inc. 4.88%, 2/1/2027 (a) | 150,000 | 144,169 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Leisure Products — 0.1% | ||
Mattel, Inc. 5.88%, 12/15/2027 (a) | 530,000 | 530,337 |
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) | 185,000 | 182,687 |
713,024 | ||
Machinery — 0.2% | ||
ATS Corp. (Canada) 4.13%, 12/15/2028 (a) | 150,000 | 136,898 |
Chart Industries, Inc. 7.50%, 1/1/2030 (a) | 960,000 | 990,251 |
Hillenbrand, Inc. 3.75%, 3/1/2031 | 150,000 | 127,875 |
Terex Corp. 5.00%, 5/15/2029 (a) | 80,000 | 74,704 |
TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027 (a) | 200,000 | 192,109 |
Trinity Industries, Inc. 7.75%, 7/15/2028 (a) | 150,000 | 154,568 |
Wabash National Corp. 4.50%, 10/15/2028 (a) | 150,000 | 137,250 |
1,813,655 | ||
Marine Transportation — 0.0% ^ | ||
MV24 Capital BV (Brazil) 6.75%, 6/1/2034 (f) | 161,272 | 151,431 |
Media — 4.1% | ||
Charter Communications Operating LLC | ||
2.80%, 4/1/2031 | 2,500,000 | 2,020,300 |
5.38%, 4/1/2038 | 100,000 | 86,154 |
Clear Channel Outdoor Holdings, Inc. | ||
5.13%, 8/15/2027 (a) | 1,710,000 | 1,598,919 |
7.75%, 4/15/2028 (a) | 522,000 | 451,245 |
9.00%, 9/15/2028 (a) | 2,015,000 | 2,101,645 |
CSC Holdings LLC | ||
5.38%, 2/1/2028 (a) | 300,000 | 261,489 |
6.50%, 2/1/2029 (a) | 3,010,000 | 2,623,727 |
Directv Financing LLC 5.88%, 8/15/2027 (a) | 2,480,000 | 2,340,797 |
Discovery Communications LLC 4.95%, 5/15/2042 | 60,000 | 47,274 |
DISH DBS Corp. | ||
5.88%, 11/15/2024 | 7,161,000 | 6,767,145 |
7.75%, 7/1/2026 | 1,585,000 | 1,010,437 |
5.25%, 12/1/2026 (a) | 254,000 | 202,882 |
DISH Network Corp. 11.75%, 11/15/2027 (a) | 2,217,000 | 2,311,396 |
GCI LLC 4.75%, 10/15/2028 (a) | 453,000 | 406,463 |
Gray Television, Inc. | ||
7.00%, 5/15/2027 (a) | 480,000 | 433,776 |
4.75%, 10/15/2030 (a) | 979,000 | 630,813 |
February 29, 2024 | 85 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Media — continued | ||
5.38%, 11/15/2031 (a) | 1,443,000 | 933,484 |
iHeartCommunications, Inc. | ||
6.38%, 5/1/2026 | 860,000 | 732,277 |
5.25%, 8/15/2027 (a) | 2,710,000 | 2,008,787 |
Lamar Media Corp. 4.88%, 1/15/2029 | 140,000 | 132,650 |
Midcontinent Communications 5.38%, 8/15/2027 (a) | 190,000 | 180,025 |
News Corp. | ||
3.88%, 5/15/2029 (a) | 1,600,000 | 1,446,102 |
5.13%, 2/15/2032 (a) | 150,000 | 139,740 |
Nexstar Media, Inc. | ||
5.63%, 7/15/2027 (a) | 2,795,000 | 2,648,764 |
4.75%, 11/1/2028 (a) | 1,005,000 | 892,391 |
Outfront Media Capital LLC | ||
4.25%, 1/15/2029 (a) | 350,000 | 314,352 |
4.63%, 3/15/2030 (a) | 150,000 | 133,141 |
Paramount Global (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.00%), 6.38%, 3/30/2062 (g) | 151,000 | 130,993 |
Sinclair Television Group, Inc. 4.13%, 12/1/2030 (a) | 280,000 | 204,611 |
Sirius XM Radio, Inc. | ||
5.00%, 8/1/2027 (a) | 1,610,000 | 1,533,730 |
4.00%, 7/15/2028 (a) | 1,280,000 | 1,153,172 |
5.50%, 7/1/2029 (a) | 2,380,000 | 2,250,659 |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | 1,040,000 | 928,512 |
TEGNA, Inc. | ||
4.63%, 3/15/2028 | 665,000 | 597,037 |
5.00%, 9/15/2029 | 770,000 | 677,600 |
Univision Communications, Inc. | ||
8.00%, 8/15/2028 (a) | 1,780,000 | 1,789,505 |
7.38%, 6/30/2030 (a) | 285,000 | 275,273 |
Videotron Ltd. (Canada) | ||
5.13%, 4/15/2027 (a) | 1,560,000 | 1,528,562 |
3.63%, 6/15/2029 (a) | 150,000 | 134,748 |
44,060,577 | ||
Metals & Mining — 0.4% | ||
Alcoa Nederland Holding BV | ||
5.50%, 12/15/2027 (a) | 200,000 | 196,556 |
6.13%, 5/15/2028 (a) | 200,000 | 200,037 |
ATI, Inc. | ||
5.88%, 12/1/2027 | 375,000 | 367,387 |
4.88%, 10/1/2029 | 25,000 | 22,956 |
7.25%, 8/15/2030 | 150,000 | 154,180 |
Big River Steel LLC 6.63%, 1/31/2029 (a) | 55,000 | 55,327 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Metals & Mining — continued | ||
Cleveland-Cliffs, Inc. 4.63%, 3/1/2029 (a) | 420,000 | 385,584 |
CSN Inova Ventures (Brazil) 6.75%, 1/28/2028 (f) | 400,000 | 387,016 |
FMG Resources August 2006 Pty. Ltd. (Australia) 4.38%, 4/1/2031 (a) | 565,000 | 506,325 |
Nexa Resources SA (Brazil) 5.38%, 5/4/2027 (f) | 200,000 | 193,075 |
Novelis Corp. | ||
4.75%, 1/30/2030 (a) | 1,784,000 | 1,629,163 |
3.88%, 8/15/2031 (a) | 411,000 | 347,812 |
4,445,418 | ||
Oil, Gas & Consumable Fuels — 4.5% | ||
AI Candelaria Spain SA (Colombia) | ||
7.50%, 12/15/2028 (f) | 247,500 | 238,605 |
5.75%, 6/15/2033 (a) | 250,000 | 197,000 |
Antero Midstream Partners LP | ||
7.88%, 5/15/2026 (a) | 30,000 | 30,644 |
5.75%, 3/1/2027 (a) | 495,000 | 484,327 |
5.75%, 1/15/2028 (a) | 1,965,000 | 1,926,356 |
5.38%, 6/15/2029 (a) | 585,000 | 556,398 |
Antero Resources Corp. | ||
8.38%, 7/15/2026 (a) | 20,000 | 20,733 |
7.63%, 2/1/2029 (a) | 270,000 | 278,082 |
5.38%, 3/1/2030 (a) | 710,000 | 676,632 |
Ascent Resources Utica Holdings LLC 7.00%, 11/1/2026 (a) | 382,000 | 381,741 |
Bapco Energies BSCC (Bahrain) 7.50%, 10/25/2027 (f) | 500,000 | 516,719 |
Baytex Energy Corp. (Canada) | ||
8.75%, 4/1/2027 (a) | 200,000 | 207,470 |
8.50%, 4/30/2030 (a) | 840,000 | 873,440 |
Blue Racer Midstream LLC 7.63%, 12/15/2025 (a) | 150,000 | 151,315 |
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 | 70,781 |
Buckeye Partners LP | ||
3.95%, 12/1/2026 | 1,207,000 | 1,141,460 |
4.13%, 12/1/2027 | 170,000 | 158,219 |
4.50%, 3/1/2028 (a) | 200,000 | 185,942 |
California Resources Corp. 7.13%, 2/1/2026 (a) | 100,000 | 100,527 |
Chesapeake Energy Corp. 6.75%, 4/15/2029 (a) | 2,245,000 | 2,253,395 |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 575,000 | 575,719 |
86 | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
Civitas Resources, Inc. | ||
8.38%, 7/1/2028 (a) | 550,000 | 575,533 |
8.63%, 11/1/2030 (a) | 1,060,000 | 1,134,286 |
8.75%, 7/1/2031 (a) | 567,000 | 602,988 |
Columbia Pipelines Holding Co. LLC 6.04%, 8/15/2028 (a) | 390,000 | 397,199 |
Comstock Resources, Inc. | ||
6.75%, 3/1/2029 (a) | 110,000 | 101,468 |
5.88%, 1/15/2030 (a) | 1,845,000 | 1,613,287 |
Crescent Energy Finance LLC 9.25%, 2/15/2028 (a) | 945,000 | 988,935 |
DT Midstream, Inc. 4.13%, 6/15/2029 (a) | 1,760,000 | 1,608,192 |
Ecopetrol SA (Colombia) | ||
8.63%, 1/19/2029 | 140,000 | 148,260 |
4.63%, 11/2/2031 | 100,000 | 82,603 |
8.88%, 1/13/2033 | 480,000 | 504,480 |
8.38%, 1/19/2036 | 252,000 | 252,504 |
Enbridge, Inc. (Canada) Series NC5, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.79%), 8.25%, 1/15/2084 (g) | 305,000 | 316,399 |
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a) | 175,000 | 174,719 |
Energian Israel Finance Ltd. (Israel) | ||
4.88%, 3/30/2026 (f) | 300,000 | 281,766 |
5.38%, 3/30/2028 (f) | 50,000 | 44,820 |
Energy Transfer LP | ||
3.90%, 5/15/2024 (i) | 1,155,000 | 1,150,809 |
5.75%, 4/1/2025 | 125,000 | 124,794 |
5.63%, 5/1/2027 (a) | 535,000 | 530,196 |
8.00%, 4/1/2029 (a) | 180,000 | 186,707 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.02%), 8.00%, 5/15/2054 (g) | 1,000,000 | 1,039,000 |
EQM Midstream Partners LP | ||
6.00%, 7/1/2025 (a) | 98,000 | 97,866 |
6.50%, 7/1/2027 (a) | 955,000 | 964,551 |
5.50%, 7/15/2028 | 435,000 | 426,632 |
7.50%, 6/1/2030 (a) | 170,000 | 180,685 |
4.75%, 1/15/2031 (a) | 325,000 | 302,222 |
Genesis Energy LP | ||
8.00%, 1/15/2027 | 1,380,000 | 1,389,547 |
8.25%, 1/15/2029 | 107,000 | 108,785 |
Greenko Solar Mauritius Ltd. (India) 5.55%, 1/29/2025 (f) | 200,000 | 197,120 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
Greenko Wind Projects Mauritius Ltd. (India) 5.50%, 4/6/2025 (f) | 200,000 | 196,810 |
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | 280,000 | 284,945 |
Hess Midstream Operations LP | ||
5.63%, 2/15/2026 (a) | 1,660,000 | 1,636,511 |
5.13%, 6/15/2028 (a) | 30,000 | 28,823 |
4.25%, 2/15/2030 (a) | 450,000 | 409,766 |
Howard Midstream Energy Partners LLC | ||
6.75%, 1/15/2027 (a) | 90,000 | 89,658 |
8.88%, 7/15/2028 (a) | 150,000 | 158,062 |
Kinetik Holdings LP 5.88%, 6/15/2030 (a) | 732,000 | 713,271 |
Leviathan Bond Ltd. (Israel) | ||
6.13%, 6/30/2025 (f) | 450,000 | 440,437 |
6.50%, 6/30/2027 (f) | 150,000 | 143,638 |
6.75%, 6/30/2030 (f) | 50,000 | 45,750 |
Medco Bell Pte. Ltd. (Indonesia) 6.38%, 1/30/2027 (f) | 200,000 | 194,666 |
NGL Energy Operating LLC | ||
8.13%, 2/15/2029 (a) | 511,000 | 515,817 |
8.38%, 2/15/2032 (a) | 259,000 | 263,088 |
NuStar Logistics LP | ||
6.00%, 6/1/2026 | 150,000 | 148,282 |
5.63%, 4/28/2027 | 510,000 | 504,752 |
6.38%, 10/1/2030 | 565,000 | 566,599 |
Permian Resources Operating LLC | ||
5.88%, 7/1/2029 (a) | 335,000 | 327,348 |
9.88%, 7/15/2031 (a) | 1,060,000 | 1,173,950 |
Peru LNG Srl (Peru) 5.38%, 3/22/2030 (f) | 1,100,000 | 938,927 |
Petroleos Mexicanos (Mexico) | ||
4.25%, 1/15/2025 | 200,000 | 194,872 |
6.88%, 10/16/2025 | 400,000 | 394,160 |
4.50%, 1/23/2026 | 200,000 | 186,200 |
6.88%, 8/4/2026 | 250,000 | 240,850 |
6.50%, 3/13/2027 | 400,000 | 373,060 |
5.35%, 2/12/2028 | 300,000 | 260,493 |
5.95%, 1/28/2031 | 330,000 | 256,212 |
10.00%, 2/7/2033 | 1,450,000 | 1,404,905 |
6.38%, 1/23/2045 | 410,000 | 254,712 |
7.69%, 1/23/2050 | 500,000 | 344,425 |
Range Resources Corp. | ||
8.25%, 1/15/2029 | 898,000 | 936,855 |
4.75%, 2/15/2030 (a) | 158,000 | 146,783 |
Rockies Express Pipeline LLC | ||
3.60%, 5/15/2025 (a) | 200,000 | 193,914 |
February 29, 2024 | 87 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
4.80%, 5/15/2030 (a) | 150,000 | 138,937 |
SM Energy Co. | ||
6.75%, 9/15/2026 | 430,000 | 427,598 |
6.50%, 7/15/2028 | 150,000 | 150,187 |
Southwestern Energy Co. | ||
8.38%, 9/15/2028 | 160,000 | 166,400 |
5.38%, 2/1/2029 | 465,000 | 449,380 |
5.38%, 3/15/2030 | 565,000 | 540,016 |
Sunoco LP | ||
4.50%, 5/15/2029 | 670,000 | 618,911 |
4.50%, 4/30/2030 | 565,000 | 514,083 |
Tallgrass Energy Partners LP | ||
6.00%, 3/1/2027 (a) | 65,000 | 64,155 |
5.50%, 1/15/2028 (a) | 760,000 | 722,000 |
6.00%, 12/31/2030 (a) | 470,000 | 437,066 |
6.00%, 9/1/2031 (a) | 150,000 | 137,405 |
Targa Resources Partners LP 6.50%, 7/15/2027 | 285,000 | 287,959 |
Transcanada Trust (Canada) (SOFR + 4.42%), 5.50%, 9/15/2079 (g) | 100,000 | 89,418 |
Venture Global LNG, Inc. | ||
8.13%, 6/1/2028 (a) | 1,312,000 | 1,332,869 |
9.50%, 2/1/2029 (a) | 355,000 | 378,506 |
9.88%, 2/1/2032 (a) | 355,000 | 373,773 |
Vital Energy, Inc. 10.13%, 1/15/2028 | 1,135,000 | 1,187,919 |
48,536,981 | ||
Paper & Forest Products — 0.0% ^ | ||
Suzano Austria GmbH (Brazil) 7.00%, 3/16/2047 (f) | 200,000 | 207,220 |
Passenger Airlines — 0.4% | ||
American Airlines, Inc. | ||
5.50%, 4/20/2026 (a) | 2,707,500 | 2,682,681 |
5.75%, 4/20/2029 (a) | 640,000 | 625,887 |
Mileage Plus Holdings LLC 6.50%, 6/20/2027 (a) | 234,394 | 234,452 |
United Airlines, Inc. 4.38%, 4/15/2026 (a) | 760,000 | 731,473 |
4,274,493 | ||
Personal Care Products — 0.3% | ||
Coty, Inc. | ||
5.00%, 4/15/2026 (a) | 519,000 | 508,620 |
4.75%, 1/15/2029 (a) | 210,000 | 196,613 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Personal Care Products — continued | ||
Edgewell Personal Care Co. 5.50%, 6/1/2028 (a) | 2,235,000 | 2,181,941 |
Prestige Brands, Inc. 5.13%, 1/15/2028 (a) | 390,000 | 376,958 |
3,264,132 | ||
Pharmaceuticals — 0.9% | ||
Bausch Health Americas, Inc. 9.25%, 4/1/2026 (a) | 1,065,000 | 1,001,214 |
Bausch Health Cos., Inc. | ||
5.50%, 11/1/2025 (a) | 2,490,000 | 2,317,219 |
9.00%, 12/15/2025 (a) | 1,685,000 | 1,602,671 |
5.75%, 8/15/2027 (a) | 715,000 | 430,839 |
5.00%, 2/15/2029 (a) | 450,000 | 196,934 |
5.25%, 1/30/2030 (a) | 70,000 | 30,196 |
Catalent Pharma Solutions, Inc. | ||
5.00%, 7/15/2027 (a) | 50,000 | 49,228 |
3.13%, 2/15/2029 (a) | 175,000 | 169,003 |
Cheplapharm Arzneimittel GmbH (Germany) 5.50%, 1/15/2028 (a) | 250,000 | 235,000 |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (i) | 620,000 | 624,622 |
Jazz Securities DAC 4.38%, 1/15/2029 (a) | 200,000 | 184,257 |
Organon & Co. | ||
4.13%, 4/30/2028 (a) | 2,370,000 | 2,168,219 |
5.13%, 4/30/2031 (a) | 400,000 | 342,848 |
9,352,250 | ||
Professional Services — 0.0% ^ | ||
TriNet Group, Inc. 7.13%, 8/15/2031 (a) | 150,000 | 152,796 |
Real Estate Management & Development — 0.0% ^ | ||
Realogy Group LLC | ||
5.75%, 1/15/2029 (a) | 218,000 | 162,159 |
5.25%, 4/15/2030 (a) | 275,000 | 192,619 |
354,778 | ||
Semiconductors & Semiconductor Equipment — 0.3% | ||
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | 365,000 | 366,938 |
Entegris, Inc. | ||
4.38%, 4/15/2028 (a) | 290,000 | 270,983 |
4.75%, 4/15/2029 (a) | 445,000 | 419,603 |
3.63%, 5/1/2029 (a) | 35,000 | 30,975 |
5.95%, 6/15/2030 (a) | 1,355,000 | 1,328,651 |
88 | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Semiconductors & Semiconductor Equipment — continued | ||
ON Semiconductor Corp. 3.88%, 9/1/2028 (a) | 790,000 | 722,479 |
Synaptics, Inc. 4.00%, 6/15/2029 (a) | 150,000 | 134,341 |
3,273,970 | ||
Software — 0.8% | ||
ACI Worldwide, Inc. 5.75%, 8/15/2026 (a) | 175,000 | 171,670 |
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (a) | 975,000 | 872,895 |
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | 1,910,000 | 1,743,516 |
NCR Voyix Corp. 5.13%, 4/15/2029 (a) | 3,630,000 | 3,365,646 |
RingCentral, Inc. 8.50%, 8/15/2030 (a) | 295,000 | 304,998 |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | 2,150,000 | 2,093,670 |
8,552,395 | ||
Specialized REITs — 0.1% | ||
Iron Mountain, Inc. 5.00%, 7/15/2028 (a) | 115,000 | 108,875 |
SBA Communications Corp. 3.88%, 2/15/2027 | 1,065,000 | 1,004,921 |
1,113,796 | ||
Specialty Retail — 1.1% | ||
Asbury Automotive Group, Inc. | ||
4.50%, 3/1/2028 | 65,000 | 60,613 |
4.63%, 11/15/2029 (a) | 1,700,000 | 1,548,605 |
4.75%, 3/1/2030 | 70,000 | 63,702 |
Bath & Body Works, Inc. | ||
7.50%, 6/15/2029 | 105,000 | 108,109 |
6.75%, 7/1/2036 | 115,000 | 113,024 |
Gap, Inc. (The) 3.63%, 10/1/2029 (a) | 660,000 | 557,492 |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | 230,000 | 209,944 |
Lithia Motors, Inc. | ||
3.88%, 6/1/2029 (a) | 1,130,000 | 1,008,525 |
4.38%, 1/15/2031 (a) | 150,000 | 133,092 |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | 304,000 | 269,264 |
PetSmart, Inc. 4.75%, 2/15/2028 (a) | 3,525,000 | 3,303,999 |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | 813,000 | 717,423 |
SRS Distribution, Inc. | ||
4.63%, 7/1/2028 (a) | 1,486,000 | 1,385,962 |
6.13%, 7/1/2029 (a) | 45,000 | 41,963 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Specialty Retail — continued | ||
6.00%, 12/1/2029 (a) | 289,000 | 269,061 |
Staples, Inc. 7.50%, 4/15/2026 (a) | 1,900,000 | 1,826,688 |
11,617,466 | ||
Technology Hardware, Storage & Peripherals — 0.1% | ||
Seagate HDD Cayman | ||
4.09%, 6/1/2029 | 430,000 | 392,386 |
8.25%, 12/15/2029 (a) | 345,000 | 369,670 |
8.50%, 7/15/2031 (a) | 42,000 | 45,411 |
807,467 | ||
Textiles, Apparel & Luxury Goods — 0.0% ^ | ||
William Carter Co. (The) 5.63%, 3/15/2027 (a) | 150,000 | 147,161 |
Tobacco — 0.0% ^ | ||
BAT International Finance plc (United Kingdom) 4.45%, 3/16/2028 | 310,000 | 298,960 |
Trading Companies & Distributors — 0.9% | ||
Air Lease Corp. 5.85%, 12/15/2027 | 540,000 | 546,692 |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | 1,040,000 | 1,017,845 |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | 2,990,000 | 2,770,534 |
United Rentals North America, Inc. 4.88%, 1/15/2028 | 1,616,000 | 1,559,917 |
WESCO Distribution, Inc. | ||
7.13%, 6/15/2025 (a) | 2,070,000 | 2,082,368 |
7.25%, 6/15/2028 (a) | 810,000 | 827,768 |
6.38%, 3/15/2029 (a) (j) | 548,000 | 548,050 |
6.63%, 3/15/2032 (a) (j) | 320,000 | 320,105 |
9,673,279 | ||
Wireless Telecommunication Services — 0.1% | ||
Altice France Holding SA 10.50%, 5/15/2027 (a) | 400,000 | 261,306 |
Millicom International Cellular SA (Guatemala) 5.13%, 1/15/2028 (f) | 180,000 | 171,410 |
Sprint LLC 7.13%, 6/15/2024 | 25,000 | 25,066 |
United States Cellular Corp. 6.70%, 12/15/2033 | 150,000 | 147,586 |
Vodafone Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.13%, 6/4/2081 (g) | 100,000 | 85,406 |
690,774 | ||
Total Corporate Bonds (Cost $385,083,128) | 385,069,574 |
February 29, 2024 | 89 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — 21.8% | ||
1211 Avenue of the Americas Trust Series 2015-1211, Class C, 4.14%, 8/10/2035 (a) (k) | 935,000 | 885,077 |
BAMLL Commercial Mortgage Securities Trust | ||
Series 2015-200P, Class A, 3.22%, 4/14/2033 (a) | 500,000 | 480,827 |
Series 2015-200P, Class C, 3.60%, 4/14/2033 (a) (k) | 1,000,000 | 952,889 |
Series 2015-200P, Class D, 3.60%, 4/14/2033 (a) (k) | 2,507,500 | 2,375,128 |
Banc of America Re-Remic Trust Series 2024-FRR1, Class C, 0.00%, 4/27/2049 ‡ (a) | 3,000,000 | 1,605,426 |
BANK | ||
Series 2022-BNK39, Class XA, IO, 0.42%, 2/15/2055 (k) | 8,054,040 | 209,362 |
Series 2019-BN20, Class D, 2.50%, 9/15/2062 (a) | 700,000 | 460,134 |
Series 2020-BN28, Class XA, IO, 1.76%, 3/15/2063 (k) | 4,123,656 | 355,177 |
Series 2020-BN26, Class E, 2.50%, 3/15/2063 (a) | 320,000 | 169,844 |
BANK5 Series 2023-5YR3, Class A2, 6.26%, 9/15/2056 | 5,799,075 | 5,995,348 |
BBCMS Mortgage Trust | ||
Series 2021-C11, Class XB, IO, 0.96%, 9/15/2054 (k) | 4,500,000 | 272,695 |
Series 2023-C20, Class XA, IO, 0.85%, 7/15/2056 (k) | 13,289,751 | 708,978 |
Series 2023-C21, Class A5, 6.00%, 9/15/2056 (k) | 1,350,000 | 1,433,082 |
Series 2023-C22, Class A5, 6.80%, 11/15/2056 (k) | 2,900,000 | 3,258,524 |
Series 2023-5C23, Class A3, 6.68%, 12/15/2056 (k) | 4,350,000 | 4,603,228 |
Benchmark Mortgage Trust | ||
Series 2021-B26, Class ASB, 2.26%, 6/15/2054 | 800,000 | 718,707 |
Series 2022-B33, Class A5, 3.46%, 3/15/2055 | 800,000 | 706,163 |
Series 2022-B36, Class A5, 4.47%, 7/15/2055 (k) | 800,000 | 761,645 |
Series 2022-B37, Class A5, 5.75%, 11/15/2055 (k) | 604,000 | 631,692 |
Series 2023-V3, Class A3, 6.36%, 7/15/2056 (k) | 200,000 | 208,877 |
Series 2024-V5, Class A3, 5.81%, 1/10/2057 | 440,549 | 452,486 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2024-V5, Class C, 6.97%, 1/10/2057 (k) | 300,000 | 306,470 |
BHMS Series 2018-ATLS, Class A, 6.86%, 7/15/2035 (a) (k) | 2,580,000 | 2,571,787 |
BMO Mortgage Trust | ||
Series 2024-5C3, Class A3, 5.74%, 2/15/2057 | 2,420,000 | 2,472,927 |
Series 2024-5C3, Class C, 6.86%, 2/15/2057 (k) | 700,000 | 702,392 |
BX Series 2021-MFM1, Class A, 6.13%, 1/15/2034 (a) (k) | 536,383 | 532,360 |
BX Commercial Mortgage Trust | ||
Series 2021-21M, Class A, 6.16%, 10/15/2036 (a) (k) | 337,457 | 334,294 |
Series 2021-VINO, Class A, 6.08%, 5/1/2038 (a) (k) | 272,098 | 269,388 |
Series 2021-ACNT, Class A, 6.28%, 11/15/2038 (a) (k) | 837,199 | 831,705 |
BX Trust | ||
Series 2022-LBA6, Class A, 6.32%, 1/15/2039 (a) (k) | 155,000 | 153,838 |
Series 2024-MF, Class A, 6.74%, 2/15/2039 (a) (k) | 1,970,000 | 1,966,297 |
Series 2024-MF, Class B, 6.99%, 2/15/2039 (a) (k) | 800,000 | 797,999 |
CD Mortgage Trust | ||
Series 2018-CD7, Class C, 4.84%, 8/15/2051 (k) | 580,000 | 514,751 |
Series 2019-CD8, Class E, 3.00%, 8/15/2057 (a) | 3,800,000 | 1,889,324 |
Citigroup Commercial Mortgage Trust | ||
Series 2014-GC25, Class B, 4.34%, 10/10/2047 (k) | 3,588,000 | 3,436,270 |
Series 2018-C5, Class XA, IO, 0.67%, 6/10/2051 (k) | 1,475,072 | 35,919 |
Series 2018-C6, Class XA, IO, 0.75%, 11/10/2051 (k) | 2,068,232 | 60,368 |
Series 2015-GC33, Class D, 3.17%, 9/10/2058 | 3,500,000 | 2,088,046 |
Series 2015-GC33, Class B, 4.57%, 9/10/2058 (k) | 4,082,000 | 3,680,336 |
Commercial Mortgage Trust | ||
Series 2014-CR14, Class C, 3.74%, 2/10/2047 (k) | 2,967,820 | 2,709,624 |
Series 2014-CR15, Class C, 4.14%, 2/10/2047 (k) | 1,000,000 | 920,002 |
Series 2014-UBS5, Class C, 4.60%, 9/10/2047 (k) | 2,300,000 | 2,086,222 |
90 | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series 2015-CR22, Class D, 4.07%, 3/10/2048 (a) (k) | 500,000 | 422,097 |
Series 2015-LC23, Class E, 3.55%, 10/10/2048 (a) (k) | 3,000,000 | 2,474,334 |
Series 2015-PC1, Class B, 4.28%, 7/10/2050 (k) | 65,000 | 61,153 |
Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class A, 6.35%, 5/15/2036 (a) (k) | 588,536 | 588,541 |
CSAIL Commercial Mortgage Trust Series 2015-C2, Class C, 4.17%, 6/15/2057 (k) | 4,250,000 | 3,707,807 |
FHLMC | ||
Series K-153, Class X1, IO, 0.44%, 12/25/2032 (k) | 16,499,284 | 561,731 |
Series 2023-MN7, Class M1, 8.92%, 9/25/2043 (a) (k) | 897,896 | 901,131 |
Series 2023-MN7, Class M2, 11.02%, 9/25/2043 (a) (k) | 750,000 | 768,593 |
Series 2023-MN7, Class B1, 14.17%, 9/25/2043 (a) (k) | 500,000 | 489,653 |
FHLMC Multiclass Certificates | ||
Series 2020-RR12, Class X, IO, 2.10%, 10/27/2027 (k) | 2,000,000 | 118,822 |
Series 2020-RR06, Class AX, IO, 1.88%, 10/27/2028 (k) | 2,000,000 | 125,451 |
Series 2020-RR14, Class X, IO, 2.13%, 3/27/2034 (k) | 2,500,000 | 363,348 |
Series 2021-RR16, Class X, IO, 0.96%, 10/27/2034 (k) | 5,600,000 | 409,952 |
Series 2023-RR21, Class X, IO, 3.39%, 4/27/2036 (k) | 18,000,000 | 4,162,500 |
FHLMC, Multi-Family Structured Credit Risk | ||
Series 2021-MN2, Class B1, 10.82%, 7/25/2041 (a) (k) | 200,000 | 158,388 |
Series 2021-MN1, Class M2, 9.07%, 1/25/2051 (a) (k) | 3,000,000 | 2,945,884 |
Series 2021-MN3, Class M2, 9.32%, 11/25/2051 (a) (k) | 4,700,000 | 4,523,917 |
Series 2021-MN3, Class B1, 12.17%, 11/25/2051 (a) (k) | 1,750,000 | 1,558,438 |
FHLMC, Multifamily Structured Pass-Through Certificates | ||
Series K107, Class X1, IO, 1.59%, 1/25/2030 (k) | 10,826,655 | 816,741 |
Series K-1513, Class X3, IO, 2.93%, 12/25/2037 (k) | 4,500,000 | 931,791 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K038, Class X1, IO, 0.92%, 3/25/2024 (k) | 10,193,698 | 519 |
Series KC06, Class X1, IO, 0.88%, 6/25/2026 (k) | 5,531,522 | 46,176 |
Series K738, Class X1, IO, 1.51%, 1/25/2027 (k) | 44,314,104 | 1,527,131 |
Series K063, Class X3, IO, 2.08%, 2/25/2027 (k) | 11,342,000 | 625,999 |
Series K740, Class X1, IO, 0.74%, 9/25/2027 (k) | 15,702,221 | 347,715 |
Series K072, Class X1, IO, 0.36%, 12/25/2027 (k) | 15,255,199 | 188,431 |
Series K742, Class X1, IO, 0.78%, 3/25/2028 (k) | 2,759,686 | 55,963 |
Series K742, Class X3, IO, 2.59%, 4/25/2028 (k) | 5,000,000 | 439,422 |
Series K743, Class X1, IO, 0.92%, 5/25/2028 (k) | 1,647,227 | 53,584 |
Series K078, Class X1, IO, 0.08%, 6/25/2028 (k) | 62,267,710 | 298,231 |
Series K745, Class X1, IO, 0.67%, 8/25/2028 (k) | 15,903,635 | 391,889 |
Series K082, Class X1, IO, 0.01%, 9/25/2028 (k) | 196,488,494 | 518,494 |
Series K083, Class X1, IO, 0.04%, 9/25/2028 (k) | 132,322,498 | 450,571 |
Series K086, Class X1, IO, 0.24%, 11/25/2028 (k) | 51,234,788 | 559,059 |
Series K084, Class X3, IO, 2.24%, 11/25/2028 (k) | 751,485 | 67,570 |
Series K091, Class X1, IO, 0.56%, 3/25/2029 (k) | 8,791,116 | 213,315 |
Series K096, Class X3, IO, 2.04%, 7/25/2029 (k) | 8,380,000 | 736,466 |
Series K100, Class X1, IO, 0.65%, 9/25/2029 (k) | 54,704,358 | 1,639,856 |
Series K090, Class X3, IO, 2.31%, 10/25/2029 (k) | 5,000,000 | 507,853 |
Series K104, Class X1, IO, 1.12%, 1/25/2030 (k) | 9,291,844 | 478,270 |
Series K109, Class X1, IO, 1.58%, 4/25/2030 (k) | 13,841,940 | 1,046,934 |
Series K110, Class X1, IO, 1.70%, 4/25/2030 (k) | 8,834,648 | 697,808 |
Series K115, Class X1, IO, 1.32%, 6/25/2030 (k) | 7,950,381 | 524,117 |
Series K119, Class X1, IO, 0.93%, 9/25/2030 (k) | 7,330,887 | 344,585 |
February 29, 2024 | 91 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series K120, Class X1, IO, 1.04%, 10/25/2030 (k) | 21,699,422 | 1,127,042 |
Series K123, Class X1, IO, 0.77%, 12/25/2030 (k) | 18,385,414 | 741,383 |
Series K129, Class X3, IO, 3.16%, 5/25/2031 (k) | 8,000,000 | 1,396,974 |
Series K131, Class X1, IO, 0.73%, 7/25/2031 (k) | 11,970,163 | 518,509 |
Series K133, Class X1, IO, 0.35%, 9/25/2031 (k) | 7,463,690 | 160,893 |
Series K-152, Class A1, 3.78%, 1/25/2032 | 1,190,318 | 1,130,137 |
Series K-161, Class A1, 5.08%, 7/25/2032 | 3,480,000 | 3,535,544 |
Series K-1514, Class X1, IO, 0.58%, 10/25/2034 (k) | 1,186,677 | 51,219 |
Series Q012, Class X, IO, 4.07%, 9/25/2035 (k) | 404,489 | 69,435 |
Series K-1518, Class X1, IO, 0.86%, 10/25/2035 (k) | 10,503,064 | 690,884 |
Series K-1520, Class X1, IO, 0.47%, 2/25/2036 (k) | 412,265 | 15,590 |
Series K067, Class X3, IO, 2.11%, 9/25/2044 (k) | 15,000,000 | 972,750 |
Series K068, Class X3, IO, 2.06%, 10/25/2044 (k) | 12,000,000 | 771,937 |
Series K060, Class X3, IO, 1.90%, 12/25/2044 (k) | 11,950,000 | 547,128 |
Series K062, Class X3, IO, 2.08%, 1/25/2045 (k) | 15,000,000 | 798,234 |
Series K730, Class X3, IO, 2.03%, 2/25/2045 (k) | 25,000,000 | 433,883 |
Series K065, Class X3, IO, 2.19%, 7/25/2045 (k) | 8,509,531 | 530,421 |
Series K066, Class X3, IO, 2.16%, 8/25/2045 (k) | 25,000,000 | 1,636,260 |
Series K071, Class X3, IO, 2.01%, 11/25/2045 (k) | 8,700,000 | 575,009 |
Series K085, Class X3, IO, 2.31%, 12/25/2045 (k) | 1,850,000 | 164,523 |
Series K097, Class X3, IO, 2.02%, 9/25/2046 (k) | 3,000,000 | 266,465 |
Series K082, Class X3, IO, 2.21%, 10/25/2046 (k) | 10,000,000 | 883,876 |
Series K083, Class X3, IO, 2.29%, 11/25/2046 (k) | 621,062 | 55,989 |
Series K092, Class X3, IO, 2.25%, 5/25/2047 (k) | 43,959,013 | 4,333,150 |
Series K737, Class X3, IO, 1.77%, 1/25/2048 (k) | 11,779,376 | 508,019 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series K109, Class X3, IO, 3.39%, 5/25/2048 (k) | 3,400,000 | 564,117 |
Series K121, Class X3, IO, 2.77%, 11/25/2048 (k) | 5,000,000 | 722,004 |
Series K126, Class X3, IO, 2.63%, 1/25/2049 (k) | 2,950,000 | 414,756 |
Series K124, Class X3, IO, 2.62%, 2/25/2049 (k) | 5,000,000 | 685,479 |
Series K125, Class X3, IO, 2.65%, 2/25/2049 (k) | 16,750,000 | 2,379,574 |
Series K741, Class X3, IO, 2.45%, 3/25/2049 (k) | 13,766,615 | 1,071,909 |
Series K127, Class X3, IO, 2.65%, 3/25/2049 (k) | 4,000,000 | 562,283 |
Series K743, Class X3, IO, 2.95%, 6/25/2049 (k) | 13,000,000 | 1,323,657 |
FIVE Mortgage Trust Series 2023-V1, Class XA, IO, 0.68%, 2/10/2056 (k) | 5,070,501 | 115,353 |
FNMA ACES | ||
Series 2020-M3, Class X1, IO, 0.35%, 2/25/2030 (k) | 3,532,870 | 57,483 |
Series 2022-M2, Class X2, IO, 0.21%, 1/25/2032 (k) | 2,831,408 | 36,079 |
Series 2020-M31, Class AB, 0.50%, 10/25/2032 | 72,854 | 58,251 |
Series 2023-M8, Class A2, 4.47%, 3/25/2033 (k) | 1,500,000 | 1,470,821 |
FREMF Mortgage Trust | ||
Series 2017-KF31, Class B, 8.35%, 4/25/2024 (a) (k) | 145,324 | 144,815 |
Series 2017-KF38, Class B, 7.95%, 9/25/2024 (a) (k) | 828,828 | 818,697 |
Series 2018-KF45, Class B, 7.40%, 3/25/2025 (a) (k) | 675,023 | 654,927 |
Series 2018-KF47, Class B, 7.45%, 5/25/2025 (a) (k) | 243,085 | 237,865 |
Series 2018-KC02, Class B, 4.10%, 7/25/2025 (a) (k) | 25,000 | 23,841 |
Series 2018-KF53, Class B, 7.50%, 10/25/2025 (k) | 24,588 | 23,857 |
Series 2019-KF60, Class B, 7.80%, 2/25/2026 (a) (k) | 726,180 | 701,802 |
Series 2019-KF62, Class B, 7.50%, 4/25/2026 (a) (k) | 5,307 | 4,994 |
Series 2019-K735, Class B, 4.02%, 5/25/2026 (a) (k) | 150,000 | 144,671 |
Series 2019-KF72, Class B, 7.55%, 11/25/2026 (a) (k) | 730,796 | 690,722 |
92 | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series 2017-KF40, Class B, 8.15%, 11/25/2027 (a) (k) | 943,700 | 879,037 |
Series 2018-KF43, Class B, 7.60%, 1/25/2028 (a) (k) | 21,473 | 20,429 |
Series 2018-KF50, Class B, 7.35%, 7/25/2028 (a) (k) | 3,383 | 3,200 |
Series 2018-KF54, Class B, 7.65%, 11/25/2028 (k) | 661,491 | 612,281 |
Series 2019-KF59, Class B, 7.80%, 2/25/2029 (a) (k) | 675,975 | 640,000 |
Series 2019-KW09, Class X2A, IO, 0.10%, 5/25/2029 (a) | 19,699,805 | 67,551 |
Series 2019-KW09, Class C, PO, 6/25/2029 (a) | 790,000 | 495,696 |
Series 2019-KW09, Class X2B, IO, 0.10%, 6/25/2029 (a) | 10,000,000 | 39,868 |
Series 2019-KF67, Class C, 11.45%, 8/25/2029 (a) (k) | 3,245,854 | 2,737,257 |
Series 2020-KF76, Class B, 8.20%, 1/25/2030 (a) (k) | 641,021 | 600,723 |
Series 2018-KW07, Class B, 4.08%, 10/25/2031 (a) (k) | 300,000 | 253,563 |
Series 2023-KF149, Class CS, 11.48%, 12/25/2032 (a) (k) | 499,867 | 513,378 |
Series 19K-1513, Class X2A, IO, 0.10%, 8/25/2034 (a) | 64,831,609 | 419,175 |
Series 2014-K38, Class B, 4.07%, 6/25/2047 (a) (k) | 335,000 | 333,287 |
Series 2015-K46, Class C, 3.70%, 4/25/2048 (a) (k) | 100,000 | 97,420 |
Series 2017-K69, Class D, PO, 10/25/2049 (a) | 3,000,000 | 2,140,396 |
Series 2017-K724, Class D, PO, 12/25/2049 (a) | 68,425 | 67,971 |
Series 2017-K62, Class B, 3.88%, 1/25/2050 (a) (k) | 415,000 | 395,592 |
Series 2018-K730, Class B, 3.79%, 2/25/2050 (a) (k) | 200,000 | 195,589 |
Series 2019-K91, Class C, 4.26%, 4/25/2051 (a) (k) | 250,000 | 230,701 |
Series 2020-K116, Class D, PO, 9/25/2052 (a) | 4,500,000 | 2,420,550 |
Series 2020-K116, Class X2A, IO, 0.10%, 9/25/2052 (a) | 59,521,732 | 259,211 |
Series 2020-K116, Class X2B, IO, 0.10%, 9/25/2052 (a) | 12,768,420 | 59,660 |
Series 2020-K122, Class D, PO, 1/25/2054 (a) | 4,000,000 | 2,114,573 |
Series 2020-K122, Class X2B, IO, 0.10%, 1/25/2054 (a) | 10,972,469 | 54,405 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
GNMA | ||
Series 2015-93, IO, 0.24%, 11/16/2054 (k) | 28,115,521 | 174,710 |
Series 2014-88, Class AJ, 2.99%, 3/16/2055 (k) | 1,071,082 | 933,386 |
Series 2015-33, IO, 0.25%, 2/16/2056 (k) | 47,649,747 | 358,826 |
Series 2017-53, IO, 0.53%, 11/16/2056 (k) | 4,362,585 | 107,150 |
Series 2023-127, IO, 0.42%, 7/16/2057 (k) | 47,681,511 | 771,988 |
Series 2017-158, IO, 0.45%, 9/16/2057 (k) | 3,490,481 | 87,165 |
Series 2018-45, IO, 0.54%, 3/16/2059 (k) | 12,592,133 | 398,739 |
Series 2023-108, IO, 0.70%, 8/16/2059 (k) | 12,604,092 | 445,121 |
Series 2018-9, IO, 0.44%, 1/16/2060 (k) | 8,869,322 | 265,356 |
Series 2019-109, IO, 0.80%, 4/16/2060 (k) | 5,632,781 | 296,146 |
Series 2020-184, IO, 0.91%, 11/16/2060 (k) | 9,292,174 | 590,508 |
Series 2021-17, IO, 1.05%, 1/16/2061 (k) | 13,357,563 | 987,271 |
Series 2021-82, Class TA, IF, IO, 3.64%, 4/16/2061 (k) | 10,397,908 | 491,872 |
Series 2021-90, IO, 0.83%, 5/16/2061 (k) | 17,863,132 | 1,055,845 |
Series 2021-147, IO, 0.99%, 6/16/2061 (k) | 7,731,575 | 548,421 |
Series 2021-153, Class SA, IF, IO, 3.60%, 8/16/2061 (k) | 6,682,000 | 330,653 |
Series 2019-154, IO, 0.58%, 9/16/2061 (k) | 7,245,149 | 287,785 |
Series 2021-218, IO, 0.96%, 10/16/2061 (k) | 329,661 | 20,066 |
Series 2020-2, IO, 0.59%, 3/16/2062 (k) | 10,389,391 | 454,062 |
Series 2020-110, IO, 0.98%, 3/16/2062 (k) | 19,028,379 | 1,234,371 |
Series 2020-38, IO, 0.82%, 4/16/2062 (k) | 14,968,532 | 859,718 |
Series 2020-120, IO, 0.76%, 5/16/2062 (k) | 5,814,115 | 325,613 |
Series 2020-100, IO, 0.78%, 5/16/2062 (k) | 5,702,411 | 321,227 |
Series 2020-91, Class IU, IO, 0.99%, 5/16/2062 (k) | 9,388,650 | 604,724 |
February 29, 2024 | 93 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series 2020-118, IO, 0.88%, 6/16/2062 (k) | 6,437,416 | 385,873 |
Series 2020-194, IO, 1.08%, 6/16/2062 (k) | 8,412,040 | 576,775 |
Series 2020-169, IO, 0.85%, 7/16/2062 (k) | 6,324,056 | 379,175 |
Series 2020-64, IO, 1.17%, 7/16/2062 (k) | 3,840,500 | 293,428 |
Series 2020-161, IO, 1.05%, 8/16/2062 (k) | 4,988,061 | 330,974 |
Series 2021-71, IO, 0.87%, 10/16/2062 (k) | 3,608,554 | 219,986 |
Series 2021-28, IO, 1.04%, 10/16/2062 (k) | 14,012,058 | 1,009,967 |
Series 2020-190, IO, 1.05%, 11/16/2062 (k) | 8,327,020 | 602,318 |
Series 2021-35, IO, 1.03%, 12/16/2062 (k) | 3,205,064 | 224,986 |
Series 2021-11, Class IX, IO, 1.16%, 12/16/2062 (k) | 6,414,203 | 484,677 |
Series 2021-40, IO, 0.82%, 2/16/2063 (k) | 3,135,474 | 187,196 |
Series 2021-120, IO, 0.99%, 2/16/2063 (k) | 6,455,824 | 442,337 |
Series 2021-62, Class SA, IF, IO, 3.37%, 2/16/2063 (k) | 3,276,368 | 176,416 |
Series 2021-106, IO, 0.86%, 4/16/2063 (k) | 4,974,770 | 319,203 |
Series 2021-151, IO, 0.92%, 4/16/2063 (k) | 7,975,047 | 528,329 |
Series 2021-60, IO, 0.83%, 5/16/2063 (k) | 2,242,801 | 130,933 |
Series 2021-126, IO, 0.85%, 5/16/2063 (k) | 9,726,505 | 614,100 |
Series 2021-22, IO, 0.98%, 5/16/2063 (k) | 7,890,952 | 529,301 |
Series 2021-10, IO, 0.99%, 5/16/2063 (k) | 4,924,991 | 330,331 |
Series 2021-170, IO, 0.99%, 5/16/2063 (k) | 12,017,072 | 845,742 |
Series 2024-32, IO, 0.71%, 6/16/2063 (k) | 32,000,000 | 1,439,052 |
Series 2021-141, Class SA, IF, IO, 3.65%, 6/16/2063 (k) | 1,722,562 | 70,152 |
Series 2021-133, IO, 0.88%, 7/16/2063 (k) | 8,999,421 | 581,716 |
Series 2021-61, IO, 1.04%, 8/16/2063 (k) | 1,386,469 | 94,100 |
Series 2023-15, Class AB, 4.00%, 8/16/2063 (k) | 740,653 | 690,239 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2023-179, IO, 0.61%, 9/16/2063 (k) | 75,566,706 | 3,069,671 |
Series 2021-110, IO, 0.87%, 11/16/2063 (k) | 5,727,276 | 366,124 |
Series 2021-200, IO, 0.88%, 11/16/2063 (k) | 1,977,904 | 132,232 |
Series 2021-180, IO, 0.91%, 11/16/2063 (k) | 8,906,969 | 600,792 |
Series 2021-185, IO, 1.10%, 11/16/2063 (k) | 1,505,288 | 119,083 |
Series 2021-220, IO, 0.83%, 12/16/2063 (k) | 11,093,608 | 681,742 |
Series 2021-224, IO, 0.78%, 4/16/2064 (k) | 1,936,071 | 122,373 |
Series 2022-149, IO, 0.45%, 6/16/2064 (k) | 13,260,302 | 582,505 |
Series 2022-134, IO, 0.51%, 6/16/2064 (k) | 2,941,194 | 134,365 |
Series 2022-165, IO, 0.59%, 6/16/2064 (k) | 9,579,776 | 516,228 |
Series 2022-80, IO, 0.59%, 6/16/2064 (k) | 1,162,971 | 56,139 |
Series 2022-62, IO, 0.62%, 6/16/2064 (k) | 1,941,713 | 100,476 |
Series 2022-52, IO, 0.77%, 6/16/2064 (k) | 9,704,284 | 537,062 |
Series 2022-141, IO, 0.78%, 6/16/2064 (k) | 2,957,702 | 203,761 |
Series 2022-210, IO, 0.70%, 7/16/2064 (k) | 2,170,727 | 136,807 |
Series 2022-199, IO, 0.76%, 7/16/2064 (k) | 3,946,321 | 252,283 |
Series 2023-15, IO, 0.92%, 8/16/2064 (k) | 1,781,264 | 131,628 |
Series 2023-36, IO, 0.93%, 10/16/2064 (k) | 4,928 | 341 |
Series 2023-144, Class IB, IO, 0.75%, 12/16/2064 (k) | 4,773,084 | 298,563 |
Series 2023-26, IO, 0.97%, 4/16/2065 (k) | 4,954,687 | 350,010 |
Series 2023-51, IO, 1.12%, 5/16/2065 (k) | 11,576,622 | 968,726 |
Series 2024-17, IO, 1.06%, 6/16/2065 (k) | 12,932,066 | 1,027,890 |
Series 2023-126, IO, 0.88%, 7/16/2065 (k) | 8,152,419 | 597,189 |
Series 2023-46, IO, 1.16%, 7/16/2065 (k) | 4,500,000 | 365,071 |
94 | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
GS Mortgage Securities Corp. II Series 2023-SHIP, Class A, 4.32%, 9/10/2038 (a) (k) | 1,000,000 | 968,186 |
GS Mortgage Securities Trust | ||
Series 2016-GS2, Class D, 2.75%, 5/10/2049 (a) | 750,000 | 638,202 |
Series 2019-GC40, Class E, 3.00%, 7/10/2052 (a) | 800,000 | 463,394 |
ILPT Commercial Mortgage Trust | ||
Series 2022-LPF2, Class A, 7.56%, 10/15/2039 (a) (k) | 104,962 | 104,896 |
Series 2022-LPF2, Class E, 11.26%, 10/15/2039 (a) (k) | 240,000 | 230,742 |
JPMBB Commercial Mortgage Securities Trust | ||
Series 2015-C30, Class C, 4.23%, 7/15/2048 (k) | 5,150,000 | 4,073,305 |
Series 2015-C31, Class B, 4.62%, 8/15/2048 (k) | 3,790,000 | 3,325,748 |
Series 2015-C33, Class C, 4.64%, 12/15/2048 (k) | 150,000 | 132,138 |
JPMCC Commercial Mortgage Securities Trust | ||
Series 2017-JP5, Class C, 3.75%, 3/15/2050 (k) | 1,050,000 | 840,022 |
Series 2017-JP5, Class B, 4.08%, 3/15/2050 (k) | 850,000 | 757,473 |
JPMorgan Chase Commercial Mortgage Securities Trust | ||
Series 2013-C16, Class D, 4.94%, 12/15/2046 (a) (k) | 1,119,341 | 989,218 |
Series 2015-JP1, Class C, 4.72%, 1/15/2049 (k) | 2,900,000 | 2,567,874 |
Series 2016-JP3, Class C, 3.42%, 8/15/2049 (k) | 3,800,000 | 3,118,954 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2014-C15, Class D, 4.90%, 4/15/2047 (a) (k) | 910,537 | 909,909 |
Series 2014-C16, Class AS, 4.09%, 6/15/2047 | 600,000 | 591,153 |
Series 2014-C18, Class B, 4.41%, 10/15/2047 (k) | 100,000 | 97,043 |
Series 2016-C31, Class C, 4.26%, 11/15/2049 (k) | 100,000 | 83,777 |
Series 2015-C23, Class B, 4.14%, 7/15/2050 (k) | 900,000 | 841,008 |
Morgan Stanley Capital I Trust Series 2020-L4, Class D, 2.50%, 2/15/2053 (a) | 500,000 | 337,818 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
MRCD MARK Mortgage Trust Series 2019-PARK, Class E, 2.72%, 12/15/2036 (a) | 400,000 | 224,000 |
MSC Trust Series 2021-ILP, Class A, 6.21%, 11/15/2036 (a) (k) | 239,209 | 236,817 |
MSWF Commercial Mortgage Trust Series 2023-2, Class A5, 6.01%, 12/15/2056 (k) | 9,150,000 | 9,746,465 |
Multi-Family Connecticut Avenue Securities Trust | ||
Series 2019-01, Class M10, 8.69%, 10/25/2049 (a) (k) | 7,613,687 | 7,490,421 |
Series 2020-01, Class M10, 9.19%, 3/25/2050 (a) (k) | 9,170,189 | 9,056,084 |
Series 2023-01, Class M7, 9.32%, 11/25/2053 (a) (k) | 2,496,956 | 2,544,024 |
Series 2023-01, Class M10, 11.82%, 11/25/2053 (a) (k) | 825,000 | 852,878 |
UBS Commercial Mortgage Trust Series 2018-C10, Class D, 3.00%, 5/15/2051 (a) | 1,000,000 | 663,065 |
Velocity Commercial Capital Loan Trust | ||
Series 2018-1, Class A, 3.59%, 4/25/2048 (a) | 136,768 | 130,154 |
Series 2022-3, Class A, 5.22%, 6/25/2052 (a) (k) | 245,623 | 234,768 |
Series 2022-4, Class A, 5.63%, 8/25/2052 (a) (k) | 505,725 | 486,079 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2018-C44, Class D, 3.00%, 5/15/2051 (a) | 250,000 | 175,093 |
Series 2022-C62, Class C, 4.35%, 4/15/2055 (k) | 100,000 | 78,548 |
WFRBS Commercial Mortgage Trust | ||
Series 2014-C21, Class C, 4.23%, 8/15/2047 (k) | 2,150,000 | 1,956,928 |
Series 2014-C22, Class C, 3.75%, 9/15/2057 (k) | 100,000 | 76,817 |
Series 2014-C22, Class B, 4.37%, 9/15/2057 (k) | 100,000 | 90,334 |
Total Commercial Mortgage-Backed Securities (Cost $234,732,633) | 233,832,987 | |
Mortgage-Backed Securities — 19.9% | ||
FHLMC Gold Pools, Other | ||
Pool # WN1250, 4.40%, 5/1/2028 | 1,500,000 | 1,462,505 |
Pool # WN2453, 4.62%, 5/1/2028 | 850,000 | 838,902 |
Pool # WN2492, 4.93%, 6/1/2028 | 1,000,000 | 994,201 |
Pool # WN2493, 4.94%, 9/1/2028 | 900,000 | 894,815 |
February 29, 2024 | 95 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # WN2435, 3.99%, 7/1/2030 | 2,070,000 | 1,981,435 |
Pool # WN2184, 2.50%, 4/1/2032 | 330,000 | 276,653 |
Pool # WN2266, 3.55%, 10/1/2032 | 600,000 | 540,614 |
Pool # WN2270, 3.95%, 10/1/2032 | 600,000 | 549,231 |
Pool # WN2271, 3.95%, 10/1/2032 | 450,000 | 411,927 |
Pool # WN2290, 3.80%, 11/1/2032 | 470,000 | 426,646 |
Pool # WN2298, 4.35%, 11/1/2032 | 580,000 | 542,946 |
Pool # WA3236, 4.75%, 11/1/2032 | 574,985 | 548,504 |
Pool # WN2326, 4.45%, 12/1/2032 | 210,000 | 201,940 |
Pool # WN1205, 4.60%, 1/1/2033 | 390,000 | 368,362 |
Pool # WN1206, 4.60%, 1/1/2033 | 537,000 | 507,927 |
Pool # WN2308, 4.90%, 1/1/2033 | 200,000 | 191,460 |
FNMA UMBS, 30 Year | ||
Pool # MA4894, 6.00%, 1/1/2053 | 873,062 | 877,452 |
Pool # MA5167, 6.50%, 10/1/2053 | 10,439,236 | 10,624,875 |
Pool # MA5192, 6.50%, 11/1/2053 | 14,843,884 | 15,105,389 |
FNMA, Other | ||
Pool # BS9065, 4.62%, 7/1/2028 | 650,000 | 642,305 |
Pool # BS9617, 4.79%, 10/1/2028 | 1,200,000 | 1,196,352 |
Pool # BS7094, 4.78%, 11/1/2029 | 3,520,000 | 3,487,391 |
Pool # BS9607, 5.06%, 9/1/2030 | 162,000 | 163,708 |
Pool # BS9738, 4.97%, 10/1/2030 | 220,000 | 221,208 |
Pool # BS3390, 1.69%, 10/1/2031 | 1,326,679 | 1,082,745 |
Pool # BS3377, 1.72%, 10/1/2031 | 205,000 | 164,534 |
Pool # BS4789, 2.17%, 2/1/2032 | 1,000,000 | 824,243 |
Pool # BS8929, 4.52%, 7/1/2033 | 4,800,000 | 4,708,555 |
Pool # BS4294, 1.97%, 1/1/2034 | 800,000 | 628,957 |
GNMA II, 30 Year | ||
Pool # MA8151, 4.50%, 7/20/2052 | 30 | 29 |
Pool # MA8649, 6.00%, 2/20/2053 | 454,759 | 457,286 |
Pool # MA8651, 7.00%, 2/20/2053 | 160,885 | 164,248 |
Pool # MA9109, 7.00%, 8/20/2053 | 2,118,171 | 2,162,449 |
Pool # MA9110, 7.50%, 8/20/2053 | 552,920 | 566,088 |
Pool # MA9173, 6.50%, 9/20/2053 | 6,294,739 | 6,385,674 |
Pool # MA9174, 7.00%, 9/20/2053 | 8,392,587 | 8,568,028 |
Pool # MA9243, 6.50%, 10/20/2053 | 57,392,746 | 58,221,848 |
Pool # MA9425, 6.50%, 1/20/2054 | 4,914,814 | 4,987,364 |
GNMA II, Other | ||
Pool # CW7529, 7.00%, 9/20/2063 | 119,719 | 121,618 |
Pool # CX4071, 7.00%, 10/20/2063 | 1,981,415 | 2,012,849 |
Pool # CX4083, 7.00%, 10/20/2063 | 694,273 | 705,287 |
Pool # CY0090, 7.00%, 10/20/2063 | 245,627 | 249,524 |
Pool # CY0120, 7.00%, 10/20/2063 | 208,363 | 211,668 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
GNMA II, Single Family, 30 Year | ||
TBA, 5.50%, 3/15/2054 (j) | 33,783,000 | 33,557,340 |
TBA, 6.00%, 3/15/2054 (j) | 43,897,000 | 44,111,044 |
Total Mortgage-Backed Securities (Cost $212,345,497) | 212,948,126 | |
Asset-Backed Securities — 17.2% | ||
ACHV ABS TRUST Series 2023-2PL, Class B, 6.88%, 5/20/2030 (a) | 376,875 | 377,511 |
Affirm Asset Securitization Trust | ||
Series 2022-A, Class 1D, 5.53%, 5/17/2027 (a) | 595,000 | 586,660 |
Series 2023-A, Class 1A, 6.61%, 1/18/2028 (a) | 1,030,000 | 1,036,302 |
Series 2023-A, Class A, 6.61%, 1/18/2028 (a) | 500,000 | 503,058 |
Series 2023-B, Class A, 6.82%, 9/15/2028 (a) | 1,436,000 | 1,456,665 |
AIMCO CLO (Cayman Islands) Series 2015-AA, Class BR2, 7.18%, 10/17/2034 (a) (k) | 1,700,000 | 1,700,017 |
Air Canada Pass-Through Trust (Canada) Series 2020-2, Class B, 9.00%, 10/1/2025 (a) | 4,681 | 4,761 |
American Airlines Pass-Through Trust Series 2021-1, Class B, 3.95%, 7/11/2030 | 43,250 | 39,628 |
American Credit Acceptance Receivables Trust | ||
Series 2023-1, Class A, 5.45%, 9/14/2026 (a) | 106,675 | 106,626 |
Series 2022-3, Class B, 4.55%, 10/13/2026 (a) | 81,284 | 81,250 |
Series 2022-4, Class B, 6.75%, 10/13/2026 (a) | 126,836 | 126,918 |
Series 2024-1, Class B, 5.60%, 11/12/2027 (a) | 2,400,000 | 2,397,866 |
Series 2021-3, Class E, 2.56%, 11/15/2027 (a) | 800,000 | 769,454 |
Series 2023-4, Class B, 6.63%, 2/14/2028 (a) | 2,566,000 | 2,595,729 |
Series 2022-2, Class E, 6.57%, 6/13/2028 (a) | 190,000 | 185,074 |
Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | 267,000 | 266,295 |
Series 2022-4, Class C, 7.86%, 2/15/2029 (a) | 210,000 | 212,344 |
Series 2023-1, Class C, 5.59%, 4/12/2029 (a) | 400,000 | 398,134 |
Series 2023-1, Class D, 6.35%, 4/12/2029 (a) | 395,000 | 395,196 |
96 | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2023-2, Class C, 5.96%, 8/13/2029 (a) | 900,000 | 900,413 |
Series 2023-3, Class C, 6.44%, 10/12/2029 (a) | 1,083,000 | 1,091,643 |
Series 2023-3, Class D, 6.82%, 10/12/2029 (a) | 1,800,000 | 1,813,759 |
Series 2024-1, Class C, 5.63%, 1/14/2030 (a) | 1,950,000 | 1,941,786 |
Series 2024-1, Class D, 5.86%, 5/13/2030 (a) | 2,965,000 | 2,950,235 |
Series 2023-4, Class D, 7.65%, 9/12/2030 (a) | 2,400,000 | 2,474,693 |
AMSR Trust | ||
Series 2020-SFR1, Class H, 5.30%, 4/17/2037 (a) | 100,000 | 96,550 |
Series 2020-SFR3, Class G, 4.99%, 9/17/2037 (a) | 1,050,000 | 1,004,746 |
Series 2020-SFR5, Class F, 2.69%, 11/17/2037 (a) | 1,500,000 | 1,405,413 |
Apidos CLO (Cayman Islands) | ||
Series 2018-29A, Class A2, 7.14%, 7/25/2030 (a) (k) | 1,000,000 | 999,907 |
Series 2019-31A, Class A1R, 6.68%, 4/15/2031 (a) (k) | 1,000,000 | 1,001,708 |
Series 2020-33A, Class BR, 7.18%, 10/24/2034 (a) (k) | 3,460,000 | 3,453,135 |
Ares CLO Ltd. (Cayman Islands) Series 2016-40A, Class A1RR, 6.45%, 1/15/2029 (a) (k) | 580,266 | 580,529 |
ARES CLO Ltd. (Cayman Islands) Series 2018-47A, Class B, 7.03%, 4/15/2030 (a) (k) | 250,000 | 249,513 |
Avis Budget Rental Car Funding AESOP LLC | ||
Series 2020-1A, Class C, 3.02%, 8/20/2026 (a) | 461,000 | 441,875 |
Series 2022-3A, Class A, 4.62%, 2/20/2027 (a) | 943,000 | 928,441 |
Series 2023-1A, Class C, 6.23%, 4/20/2029 (a) | 1,207,000 | 1,210,738 |
Series 2023-4A, Class A, 5.49%, 6/20/2029 (a) | 800,000 | 802,659 |
Bain Capital Credit CLO (Cayman Islands) Series 2020-1A, Class A1, 6.75%, 4/18/2033 (a) (k) | 560,000 | 560,936 |
Ballyrock CLO Ltd. (Cayman Islands) Series 2020-2A, Class A2R, 7.13%, 10/20/2031 (a) (k) | 3,500,000 | 3,497,526 |
Benefit Street Partners CLO Ltd. (Cayman Islands) Series 2019-18A, Class A1R, 6.75%, 10/15/2034 (a) (k) | 1,000,000 | 1,000,444 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Bridgecrest Lending Auto Securitization Trust Series 2023-1, Class B, 6.80%, 8/15/2029 | 442,000 | 450,851 |
British Airways Pass-Through Trust (United Kingdom) Series 2020-1, Class B, 8.38%, 11/15/2028 (a) | 7,585 | 7,893 |
BSPRT Issuer Ltd. (Cayman Islands) | ||
Series 2021-FL7, Class D, 8.18%, 12/15/2038 (a) (k) | 275,000 | 260,128 |
Series 2021-FL7, Class E, 8.83%, 12/15/2038 (a) (k) | 265,000 | 244,987 |
Business Jet Securities LLC Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (a) | 41,030 | 39,774 |
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands) Series 2014-1A, Class A1R2, 6.55%, 4/17/2031 (a) (k) | 840,698 | 842,131 |
CIFC Funding Ltd. (Cayman Islands) | ||
Series 2014-1A, Class BR2, 6.96%, 1/18/2031 (a) (k) | 250,000 | 249,890 |
Series 2018-1A, Class B, 6.96%, 4/18/2031 (a) (k) | 500,000 | 500,069 |
Series 2014-5A, Class A1R2, 6.78%, 10/17/2031 (a) (k) | 595,000 | 595,389 |
Series 2021-4A, Class A, 6.63%, 7/15/2033 (a) (k) | 670,000 | 670,689 |
Conn's Receivables Funding LLC | ||
Series 2022-A, Class B, 9.52%, 12/15/2026 (a) | 244,585 | 245,306 |
Series 2023-A, Class A, 8.01%, 1/17/2028 (a) | 240,333 | 241,150 |
Series 2023-A, Class B, 10.00%, 1/17/2028 (a) | 508,000 | 513,199 |
CoreVest American Finance Trust | ||
Series 2019-1, Class E, 5.59%, 3/15/2052 (a) (k) | 300,000 | 283,540 |
Series 2019-2, Class E, 5.22%, 6/15/2052 (a) (k) | 350,000 | 308,188 |
Series 2019-3, Class E, 4.72%, 10/15/2052 (a) (k) | 350,000 | 300,362 |
Credit Acceptance Auto Loan Trust | ||
Series 2022-3A, Class A, 6.57%, 10/15/2032 (a) | 250,000 | 251,812 |
Series 2023-1A, Class A, 6.48%, 3/15/2033 (a) | 700,000 | 706,892 |
Series 2022-3A, Class D, 9.00%, 4/18/2033 (a) | 300,000 | 303,192 |
Series 2023-2A, Class A, 5.92%, 5/16/2033 (a) | 900,000 | 903,142 |
February 29, 2024 | 97 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2023-3A, Class B, 7.09%, 10/17/2033 (a) | 391,000 | 397,086 |
Series 2023-5A, Class A, 6.13%, 12/15/2033 (a) | 2,250,000 | 2,260,184 |
Series 2023-5A, Class B, 6.71%, 2/15/2034 (a) | 1,467,000 | 1,479,088 |
DB Master Finance LLC Series 2021-1A, Class A23, 2.79%, 11/20/2051 (a) | 293,250 | 244,535 |
Dewolf Park CLO Ltd. Series 2017-1A, Class AR, 6.50%, 10/15/2030 (a) (k) | 1,380,040 | 1,380,768 |
Domino's Pizza Master Issuer LLC Series 2015-1A, Class A2II, 4.47%, 10/25/2045 (a) | 185,500 | 181,605 |
Driven Brands Funding LLC | ||
Series 2019-1A, Class A2, 4.64%, 4/20/2049 (a) | 256,500 | 247,909 |
Series 2021-1A, Class A2, 2.79%, 10/20/2051 (a) | 1,955,000 | 1,695,773 |
Series 2022-1A, Class A2, 7.39%, 10/20/2052 (a) | 592,500 | 600,830 |
Dryden CLO Ltd. (Cayman Islands) | ||
Series 2018-64A, Class A, 6.53%, 4/18/2031 (a) (k) | 942,034 | 943,480 |
Series 2018-58A, Class B, 7.08%, 7/17/2031 (a) (k) | 250,000 | 249,575 |
Series 2019-68A, Class AR, 6.75%, 7/15/2035 (a) (k) | 1,790,000 | 1,791,965 |
Series 2019-68A, Class BR, 7.28%, 7/15/2035 (a) (k) | 1,700,000 | 1,697,467 |
Dryden Senior Loan Fund (Cayman Islands) | ||
Series 2017-47A, Class A1R, 6.56%, 4/15/2028 (a) (k) | 591,382 | 591,626 |
Series 2015-41A, Class AR, 6.55%, 4/15/2031 (a) (k) | 797,227 | 798,218 |
DT Auto Owner Trust | ||
Series 2021-4A, Class D, 1.99%, 9/15/2027 (a) | 1,500,000 | 1,403,526 |
Series 2021-4A, Class E, 3.34%, 7/17/2028 (a) | 1,600,000 | 1,493,057 |
Series 2022-3A, Class C, 7.69%, 7/17/2028 (a) | 374,000 | 381,759 |
Series 2023-1A, Class B, 5.19%, 10/16/2028 (a) | 467,000 | 463,841 |
Series 2023-1A, Class C, 5.55%, 10/16/2028 (a) | 525,000 | 522,339 |
Series 2022-1A, Class E, 5.53%, 3/15/2029 (a) | 2,400,000 | 2,299,551 |
Series 2023-3A, Class C, 6.40%, 5/15/2029 (a) | 1,349,000 | 1,357,459 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Elmwood CLO Ltd. (Cayman Islands) | ||
Series 2020-1A, Class A, 6.82%, 4/15/2033 (a) (k) | 1,200,000 | 1,201,115 |
Series 2021-4A, Class B, 7.18%, 10/20/2034 (a) (k) | 740,000 | 739,990 |
Exeter Automobile Receivables Trust | ||
Series 2020-3A, Class E, 3.44%, 8/17/2026 (a) | 2,000,000 | 1,953,806 |
Series 2021-2A, Class D, 1.40%, 4/15/2027 | 2,000,000 | 1,901,638 |
Series 2023-1A, Class B, 5.72%, 4/15/2027 | 149,000 | 148,800 |
Series 2021-3A, Class D, 1.55%, 6/15/2027 | 500,000 | 470,663 |
Series 2020-3A, Class F, 5.56%, 6/15/2027 (a) | 1,500,000 | 1,482,384 |
Series 2023-1A, Class C, 5.82%, 2/15/2028 | 176,000 | 175,717 |
Series 2023-3A, Class C, 6.21%, 6/15/2028 | 1,827,000 | 1,842,083 |
Series 2021-2A, Class E, 2.90%, 7/17/2028 (a) | 750,000 | 704,869 |
Series 2023-2A, Class C, 5.75%, 7/17/2028 | 500,000 | 498,812 |
Series 2023-4A, Class C, 6.51%, 8/15/2028 | 920,000 | 932,496 |
Series 2022-3A, Class D, 6.76%, 9/15/2028 | 400,000 | 403,604 |
Series 2021-3A, Class E, 3.04%, 12/15/2028 (a) | 900,000 | 834,361 |
Series 2022-4A, Class D, 5.98%, 12/15/2028 | 168,000 | 167,490 |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | 375,000 | 390,796 |
Series 2023-3A, Class D, 6.68%, 4/16/2029 | 954,000 | 966,480 |
Series 2023-1A, Class D, 6.69%, 6/15/2029 | 500,000 | 505,928 |
Series 2023-2A, Class D, 6.32%, 8/15/2029 | 500,000 | 502,913 |
Series 2022-1A, Class E, 5.02%, 10/15/2029 (a) | 1,070,000 | 1,002,770 |
Series 2023-1A, Class E, 12.07%, 9/16/2030 (a) | 900,000 | 1,018,230 |
FirstKey Homes Trust Series 2020-SFR1, Class F1, 3.64%, 8/17/2037 (a) | 500,000 | 475,402 |
Flagship Credit Auto Trust | ||
Series 2019-3, Class E, 3.84%, 12/15/2026 (a) | 800,000 | 776,600 |
98 | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2023-1, Class A3, 5.01%, 8/16/2027 (a) | 133,000 | 132,095 |
Series 2023-1, Class B, 5.05%, 1/18/2028 (a) | 100,000 | 98,905 |
FMC GMSR Issuer Trust Series 2022-GT1, Class B, 7.17%, 4/25/2027 (a) | 300,000 | 279,115 |
Foundation Finance Trust Series 2023-1A, Class D, 9.18%, 12/15/2043 (a) | 438,000 | 441,811 |
FREED ABS Trust | ||
Series 2022-1FP, Class D, 3.35%, 3/19/2029 (a) | 200,000 | 193,003 |
Series 2022-3FP, Class C, 7.05%, 8/20/2029 (a) | 100,000 | 100,081 |
Series 2022-4FP, Class B, 7.58%, 12/18/2029 (a) | 137,816 | 138,099 |
Galaxy CLO Ltd. (Cayman Islands) | ||
Series 2018-25A, Class C, 7.59%, 10/25/2031 (a) (k) | 1,000,000 | 997,470 |
Series 2016-22A, Class ARR, 6.78%, 4/16/2034 (a) (k) | 2,200,000 | 2,200,117 |
GLS Auto Receivables Issuer Trust | ||
Series 2023-1A, Class A2, 5.98%, 8/17/2026 (a) | 258,471 | 258,619 |
Series 2023-1A, Class B, 6.19%, 6/15/2027 (a) | 484,000 | 485,130 |
Series 2021-1A, Class E, 3.14%, 1/18/2028 (a) | 650,000 | 624,151 |
Series 2022-2A, Class D, 6.15%, 4/17/2028 (a) | 420,000 | 418,636 |
Series 2023-1A, Class C, 6.38%, 12/15/2028 (a) | 203,000 | 204,263 |
Series 2023-1A, Class D, 7.01%, 1/16/2029 (a) | 652,000 | 665,599 |
Series 2022-2A, Class E, 5.50%, 6/15/2029 (a) | 2,500,000 | 2,340,532 |
Goldentree Loan Management US CLO Ltd. (Cayman Islands) Series 2017-2A, Class AR, 6.49%, 11/20/2030 (a) (k) | 903,437 | 903,708 |
GoldenTree Loan Opportunities XII Ltd. (Cayman Islands) Series 2016-12A, Class CR, 7.53%, 7/21/2030 (a) (k) | 1,000,000 | 998,104 |
Hertz Vehicle Financing III LLC Series 2023-4A, Class D, 9.44%, 3/25/2030 (a) | 1,500,000 | 1,561,488 |
Hertz Vehicle Financing LLC | ||
Series 2022-3A, Class B, 3.86%, 3/25/2025 (a) | 83,333 | 83,231 |
Series 2022-4A, Class D, 6.56%, 9/25/2026 (a) | 300,000 | 293,825 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2023-1A, Class A, 5.49%, 6/25/2027 (a) | 400,000 | 399,239 |
Series 2023-1A, Class C, 6.91%, 6/25/2027 (a) | 292,000 | 293,388 |
Series 2023-3A, Class A, 5.94%, 2/25/2028 (a) | 595,000 | 601,087 |
Series 2023-3A, Class D, 9.43%, 2/25/2028 (a) | 1,600,000 | 1,648,315 |
Series 2023-2A, Class D, 9.40%, 9/25/2029 (a) | 1,700,000 | 1,771,299 |
HGI CRE CLO Ltd. (Cayman Islands) Series 2022-FL3, Class E, 9.62%, 4/20/2037 (a) (k) | 195,500 | 188,684 |
Hilton Grand Vacations Trust Series 2022-1D, Class D, 6.79%, 6/20/2034 (a) | 223,454 | 213,281 |
HINNT LLC Series 2022-A, Class D, 6.50%, 5/15/2041 (a) | 409,226 | 391,186 |
KKR CLO Ltd. (Cayman Islands) Series 22A, Class B, 7.18%, 7/20/2031 (a) (k) | 250,000 | 249,743 |
KKR CLO Trust (Cayman Islands) Series 39A, Class B1, 7.28%, 10/15/2034 (a) (k) | 2,500,000 | 2,509,673 |
LCM Ltd. (Cayman Islands) Series 26A, Class A1, 6.65%, 1/20/2031 (a) (k) | 416,542 | 416,566 |
LendingClub Loan Certificate Issuer Trust | ||
Series 2022-NP1, Class CERT, 0.00%, 3/16/2037 ‡ (a) | 50,000 | 448,999 |
Series 2022-P1, Class CERT, 0.00%, 3/16/2037 ‡ (a) | 50,000 | 406,969 |
Series 2022-P2, Class CERT, 0.00%, 4/15/2037 ‡ (a) | 50,000 | 439,975 |
Lendingpoint Asset Securitization Trust | ||
Series 2022-A, Class D, 4.54%, 6/15/2029 (a) | 2,250,000 | 1,961,048 |
Series 2022-B, Class A, 4.77%, 10/15/2029 (a) | 64,091 | 63,636 |
Series 2022-C, Class C, 8.68%, 2/15/2030 (a) | 200,000 | 195,898 |
Lendmark Funding Trust Series 2024-1A, Class A, 5.53%, 6/21/2032 (a) | 1,950,000 | 1,946,471 |
Madison Park Funding Ltd. (Cayman Islands) | ||
Series 2016-20A, Class BR, 7.13%, 7/27/2030 (a) (k) | 250,000 | 249,584 |
Series 2017-26A, Class CR, 7.63%, 7/29/2030 (a) (k) | 1,500,000 | 1,497,764 |
Series 2018-32A, Class A1R, 6.58%, 1/22/2031 (a) (k) | 500,000 | 500,131 |
Series 2017-23A, Class AR, 6.55%, 7/27/2031 (a) (k) | 1,203,640 | 1,204,593 |
February 29, 2024 | 99 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2019-34A, Class AR, 6.71%, 4/25/2032 (a) (k) | 530,000 | 530,769 |
Series 2019-33A, Class AR, 6.60%, 10/15/2032 (a) (k) | 1,500,000 | 1,501,157 |
Series 2019-37A, Class AR, 6.65%, 7/15/2033 (a) (k) | 1,150,000 | 1,152,187 |
Magnetite Ltd. (Cayman Islands) | ||
Series 2019-22A, Class AR, 6.64%, 4/15/2031 (a) (k) | 1,000,000 | 1,000,912 |
Series 2015-12A, Class ARR, 6.68%, 10/15/2031 (a) (k) | 693,835 | 694,416 |
Mariner Finance Issuance Trust Series 2023-AA, Class E, 11.12%, 10/22/2035 (a) | 500,000 | 500,014 |
Marlette Funding Trust | ||
Series 2023-1A, Class A, 6.07%, 4/15/2033 (a) | 237,581 | 237,578 |
Series 2023-1A, Class B, 6.50%, 4/15/2033 (a) | 700,000 | 703,515 |
Series 2023-1A, Class C, 7.20%, 4/15/2033 (a) | 350,000 | 354,913 |
Neuberger Berman CLO (Cayman Islands) Series 2013-15A, Class A1R2, 6.50%, 10/15/2029 (a) (k) | 234,599 | 234,938 |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) Series 2017-26A, Class AR, 6.48%, 10/18/2030 (a) (k) | 484,074 | 484,388 |
New Residential Mortgage LLC Series 2020-FNT2, Class A, 5.44%, 7/25/2025 (a) | 463,879 | 454,895 |
New Residential Mortgage Loan Trust Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (a) | 168,000 | 150,114 |
NRZ Excess Spread-Collateralized Notes | ||
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a) | 266,219 | 249,308 |
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a) | 139,536 | 130,936 |
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (a) | 213,626 | 198,824 |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a) | 76,134 | 70,771 |
OCP CLO Ltd. (Cayman Islands) | ||
Series 2018-15A, Class A1, 6.68%, 7/20/2031 (a) (k) | 342,434 | 342,862 |
Series 2015-9A, Class A1R2, 6.57%, 1/15/2033 (a) (k) | 1,500,000 | 1,501,271 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Octagon Investment Partners Ltd. (Cayman Islands) | ||
Series 2018-2A, Class A1B, 6.84%, 7/25/2030 (a) (k) | 4,500,000 | 4,463,663 |
Series 2018-1A, Class A1A, 6.64%, 1/20/2031 (a) (k) | 940,035 | 941,132 |
OnDeck Asset Securitization Trust IV LLC Series 2023-1A, Class A, 7.00%, 8/19/2030 (a) | 468,000 | 468,369 |
OneMain Financial Issuance Trust | ||
Series 2018-2A, Class A, 3.57%, 3/14/2033 (a) | 83,799 | 83,353 |
Series 2023-2A, Class A2, 6.82%, 9/15/2036 (a) (k) | 1,780,000 | 1,802,410 |
Oportun Issuance Trust | ||
Series 2022-2, Class A, 5.94%, 10/9/2029 (a) | 5,239 | 5,237 |
Series 2022-2, Class D, 11.34%, 10/9/2029 | 863,000 | 824,742 |
Series 2022-3, Class A, 7.45%, 1/8/2030 (a) | 112,880 | 113,040 |
Pagaya AI Debt Selection Trust Series 2021-3, Class C, 3.27%, 5/15/2029 (a) | 1,499,918 | 1,270,721 |
Palmer Square CLO Ltd. (Cayman Islands) Series 2015-1A, Class A1A4, 6.71%, 5/21/2034 (a) (k) | 510,000 | 510,536 |
Palmer Square Loan Funding Ltd. (Cayman Islands) Series 2022-1A, Class A1, 6.37%, 4/15/2030 (a) (k) | 459,601 | 459,458 |
PMT Issuer Trust-FMSR | ||
Series 2021-FT1, Class A, 8.44%, 3/25/2026 (a) (k) | 2,600,000 | 2,601,115 |
Series 2022-FT1, Class A, 9.51%, 6/25/2027 (a) (k) | 1,200,000 | 1,212,156 |
PNMAC GMSR ISSUER TRUST Series 2022-GT1, Class A, 9.57%, 5/25/2027 (a) (k) | 343,000 | 347,428 |
Progress Residential Trust Series 2023-SFR1, Class E1, 6.15%, 3/17/2040 (a) | 736,000 | 716,390 |
PRPM LLC Series 2021-11, Class A2, 4.58%, 11/25/2026 (a) (i) | 1,000,000 | 973,100 |
RCO VI Mortgage LLC Series 2022-1, Class A1, 3.00%, 1/25/2027 (a) (i) | 99,230 | 95,984 |
Republic Finance Issuance Trust Series 2021-A, Class D, 5.23%, 12/22/2031 (a) | 800,000 | 724,113 |
Santander Bank Auto Credit-Linked Notes | ||
Series 2022-C, Class B, 6.45%, 12/15/2032 (a) | 178,694 | 178,857 |
100 | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2022-C, Class C, 6.99%, 12/15/2032 (a) | 154,868 | 155,490 |
Series 2022-C, Class D, 8.20%, 12/15/2032 (a) | 142,956 | 144,028 |
Series 2022-C, Class E, 11.37%, 12/15/2032 (a) | 118,522 | 119,955 |
Santander Drive Auto Receivables Trust | ||
Series 2021-3, Class D, 1.33%, 9/15/2027 | 2,000,000 | 1,920,515 |
Series 2024-1, Class B, 5.23%, 12/15/2028 | 2,200,000 | 2,195,158 |
Series 2023-4, Class B, 5.77%, 12/15/2028 | 428,000 | 430,650 |
Series 2022-4, Class C, 5.00%, 11/15/2029 | 1,130,000 | 1,114,822 |
Series 2024-1, Class C, 5.45%, 3/15/2030 | 1,000,000 | 998,336 |
Series 2023-3, Class C, 5.77%, 11/15/2030 | 220,000 | 221,253 |
Series 2022-6, Class D, 5.69%, 2/18/2031 | 3,900,000 | 3,874,924 |
Series 2023-5, Class C, 6.43%, 2/18/2031 | 1,904,000 | 1,962,750 |
Series 2023-6, Class C, 6.40%, 3/17/2031 | 3,171,000 | 3,254,612 |
Series 2022-7, Class C, 6.69%, 3/17/2031 | 174,000 | 177,303 |
SBA Small Business Investment Cos. | ||
Series 2023-10A, Class 1, 5.17%, 3/10/2033 | 1,634,342 | 1,619,332 |
Series 2023-10B, Class 1, 5.69%, 9/10/2033 | 2,000,000 | 2,029,748 |
SoFi Consumer Loan Program Trust Series 2023-1S, Class A, 5.81%, 5/15/2031 (a) | 75,820 | 75,769 |
Symphony CLO Ltd. (Cayman Islands) | ||
Series 2018-19A, Class B, 6.93%, 4/16/2031 (a) (k) | 1,900,000 | 1,889,915 |
Series 2020-23A, Class AR, 6.60%, 1/15/2034 (a) (k) | 595,551 | 595,834 |
Theorem Funding Trust | ||
Series 2022-2A, Class B, 9.27%, 12/15/2028 (a) | 400,000 | 412,132 |
Series 2022-3A, Class A, 7.60%, 4/15/2029 (a) | 121,951 | 122,930 |
Tricon Residential Trust Series 2022-SFR1, Class E2, 5.74%, 4/17/2039 (a) | 101,000 | 97,433 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United Airlines Pass-Through Trust | ||
Series 2016-2, Class B, 3.65%, 10/7/2025 | 29,167 | 27,924 |
Series 2016-1, Class B, 3.65%, 1/7/2026 | 24,306 | 23,084 |
Upstart Pass-Through Trust | ||
Series 2022-PT2, Class A, HB, 21.85%, 2/20/2030 ‡ (a) (k) | 347,578 | 347,578 |
Series 2022-PT3, Class A, HB, 25.11%, 4/20/2030 ‡ (a) (k) | 230,483 | 229,757 |
Upstart Securitization Trust | ||
Series 2021-2, Class C, 3.61%, 6/20/2031 (a) | 3,300,000 | 3,192,801 |
Series 2022-2, Class B, 6.10%, 5/20/2032 (a) | 250,000 | 249,817 |
Voya CLO Ltd. (Cayman Islands) Series 2020-2A, Class A1R, 6.73%, 7/19/2034 (a) (k) | 1,000,000 | 1,001,057 |
Westlake Automobile Receivables Trust | ||
Series 2022-2A, Class D, 5.48%, 9/15/2027 (a) | 432,000 | 428,030 |
Series 2023-1A, Class B, 5.41%, 1/18/2028 (a) | 375,000 | 373,973 |
Series 2021-3A, Class F, 4.25%, 6/15/2028 (a) | 2,000,000 | 1,795,260 |
Series 2023-1A, Class C, 5.74%, 8/15/2028 (a) | 405,000 | 404,491 |
Series 2023-3A, Class C, 6.02%, 9/15/2028 (a) | 920,000 | 924,678 |
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | 437,000 | 443,758 |
Series 2023-3A, Class D, 6.47%, 3/15/2029 (a) | 632,000 | 638,834 |
Total Asset-Backed Securities (Cost $183,303,006) | 183,938,323 | |
Collateralized Mortgage Obligations — 5.9% | ||
Angel Oak Mortgage Trust I LLC Series 2019-4, Class B2, 5.66%, 7/26/2049 (a) (k) | 800,000 | 737,206 |
CHL Mortgage Pass-Through Trust Series 2006-OA5, Class 2A1, 5.84%, 4/25/2046 (k) | 147,031 | 120,525 |
COLT Mortgage Loan Trust Series 2023-2, Class A1, 6.60%, 7/25/2068 (a) (i) | 367,264 | 369,667 |
Connecticut Avenue Securities Trust | ||
Series 2019-R01, Class 2B1, 9.79%, 7/25/2031 (a) (k) | 1,500,000 | 1,612,500 |
Series 2019-R04, Class 2B1, 10.69%, 6/25/2039 (a) (k) | 673,542 | 718,045 |
February 29, 2024 | 101 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 2019-R07, Class 1B1, 8.84%, 10/25/2039 (a) (k) | 663,166 | 684,036 |
Series 2020-R01, Class 1B1, 8.69%, 1/25/2040 (a) (k) | 1,500,000 | 1,541,920 |
Series 2022-R06, Class 1M2, 9.17%, 5/25/2042 (a) (k) | 1,100,000 | 1,164,574 |
Series 2023-R01, Class 1M1, 7.72%, 12/25/2042 (a) (k) | 2,558,398 | 2,620,263 |
Series 2023-R02, Class 1M1, 7.62%, 1/25/2043 (a) (k) | 269,316 | 275,221 |
Series 2023-R02, Class 1M2, 8.67%, 1/25/2043 (a) (k) | 550,000 | 578,552 |
Series 2023-R02, Class 1B1, 10.87%, 1/25/2043 (a) (k) | 350,000 | 384,056 |
Series 2023-R04, Class 1M1, 7.62%, 5/25/2043 (a) (k) | 1,042,991 | 1,068,268 |
Series 2023-R04, Class 1M2, 8.87%, 5/25/2043 (a) (k) | 500,000 | 531,520 |
Series 2023-R06, Class 1M2, 8.02%, 7/25/2043 (a) (k) | 680,000 | 701,273 |
Series 2023-R07, Class 2M2, 8.57%, 9/25/2043 (a) (k) | 1,500,000 | 1,574,003 |
Series 2024-R01, Class 1B1, 8.02%, 1/25/2044 (a) (k) | 2,500,000 | 2,509,481 |
Deephaven Residential Mortgage Trust Series 2022-2, Class A1, 4.30%, 3/25/2067 (a) (k) | 111,130 | 105,210 |
FHLMC STACR REMIC Trust | ||
Series 2021-HQA1, Class M2, 7.57%, 8/25/2033 (a) (k) | 1,735,280 | 1,767,761 |
Series 2022-DNA3, Class M1B, 8.22%, 4/25/2042 (a) (k) | 500,000 | 517,452 |
Series 2023-DNA1, Class M1A, 7.42%, 3/25/2043 (a) (k) | 510,805 | 521,018 |
Series 2023-DNA2, Class M1A, 7.42%, 4/25/2043 (a) (k) | 1,127,125 | 1,148,533 |
FHLMC STACR Trust | ||
Series 2018-DNA3, Class B1, 9.34%, 9/25/2048 (a) (k) | 300,000 | 324,737 |
Series 2019-HQA1, Class B1, 9.84%, 2/25/2049 (a) (k) | 750,000 | 811,828 |
FHLMC STACR, Whole Loan | ||
Series 2017-DNA2, Class B1, 10.59%, 10/25/2029 (k) | 250,000 | 274,980 |
Series 2017-DNA3, Class B1, 9.89%, 3/25/2030 (k) | 1,550,000 | 1,670,043 |
FHLMC, REMIC | ||
Series 5164, Class J, 2.50%, 5/25/2049 | 1,314,844 | 1,126,978 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 5387, Class KB, 6.00%, 3/25/2054 | 2,900,000 | 3,064,937 |
FNMA, Connecticut Avenue Securities | ||
Series 2017-C01, Class 1B1, 11.19%, 7/25/2029 (k) | 2,400,000 | 2,708,733 |
Series 2017-C02, Class 2B1, 10.94%, 9/25/2029 (k) | 2,120,000 | 2,370,889 |
Series 2017-C03, Class 1B1, 10.29%, 10/25/2029 (k) | 780,000 | 850,145 |
Series 2017-C05, Class 1B1, 9.04%, 1/25/2030 (k) | 1,090,558 | 1,147,771 |
Series 2017-C06, Class 1B1, 9.59%, 2/25/2030 (k) | 450,000 | 480,354 |
Series 2017-C07, Class 1B1, 9.44%, 5/25/2030 (k) | 790,000 | 852,001 |
Series 2018-C01, Class 1B1, 8.99%, 7/25/2030 (k) | 1,346,000 | 1,435,117 |
Series 2018-C03, Class 1B1, 9.19%, 10/25/2030 (k) | 3,647,000 | 3,929,479 |
Series 2021-R02, Class 2B1, 8.62%, 11/25/2041 (a) (k) | 64,000 | 65,830 |
Series 2021-R02, Class 2B2, 11.52%, 11/25/2041 (a) (k) | 26,000 | 27,202 |
FNMA, REMIC Series 2021-86, Class T, 2.50%, 9/25/2048 | 1,166,123 | 999,412 |
FWD Securitization Trust Series 2020-INV1, Class A1, 2.24%, 1/25/2050 (a) (k) | 442,229 | 405,160 |
GNMA | ||
Series 2014-181, Class SL, IF, IO, 0.17%, 12/20/2044 (k) | 476,028 | 44,692 |
Series 2021-78, Class IB, IO, 3.00%, 5/20/2051 | 926,118 | 148,018 |
Series 2021-107, Class XI, IO, 3.00%, 6/20/2051 | 1,394,201 | 215,008 |
Series 2021-117, Class ES, IF, IO, 0.87%, 7/20/2051 (k) | 1,627,280 | 214,546 |
Series 2021-142, Class XI, IO, 3.00%, 8/20/2051 | 144,924 | 23,205 |
Series 2021-188, Class IJ, IO, 3.00%, 10/20/2051 | 2,898,522 | 462,712 |
LHOME Mortgage Trust | ||
Series 2023-RTL1, Class A1, 7.87%, 1/25/2028 (a) (i) | 1,160,000 | 1,172,157 |
Series 2023-RTL2, Class A1, 8.00%, 6/25/2028 (a) (i) | 500,000 | 507,075 |
Series 2023-RTL3, Class A1, 8.00%, 8/25/2028 (a) (i) | 1,550,000 | 1,574,077 |
Series 2024-RTL1, Class A1, 7.02%, 1/25/2029 (a) (i) | 750,000 | 748,861 |
102 | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
MFA Trust | ||
Series 2022-RTL1, Class A1, 5.07%, 4/26/2027 (a) (i) | 3,870,000 | 3,796,399 |
Series 2023-RTL1, Class A1, 7.58%, 8/25/2027 (a) (i) | 260,000 | 259,523 |
Series 2021-NQM1, Class A1, 1.15%, 4/25/2065 (a) (k) | 119,234 | 107,481 |
New Residential Mortgage Loan Trust | ||
Series 2018-3A, Class A1C, 3.00%, 5/25/2058 (a) (k) | 257,064 | 234,235 |
Series 2019-NQM5, Class A1, 2.71%, 11/25/2059 (a) (k) | 186,546 | 170,220 |
OBX Trust | ||
Series 2023-NQM3, Class A1, 5.95%, 2/25/2063 (a) (i) | 584,604 | 581,968 |
Series 2023-NQM7, Class A1, 6.84%, 4/25/2063 (a) (i) | 727,206 | 735,577 |
Series 2023-NQM6, Class A1, 6.52%, 7/25/2063 (a) (i) | 356,775 | 359,176 |
PNMAC GMSR Issuer Trust Series 2018-GT2, Class A, 8.84%, 8/25/2025 (a) (k) | 183,077 | 183,951 |
PRET LLC Series 2024-NPL2, Class A1, 7.02%, 2/25/2054 ‡ (a) (i) | 2,500,000 | 2,495,092 |
PRPM LLC | ||
Series 2020-6, Class A1, 5.36%, 11/25/2025 (a) (i) | 605,433 | 603,903 |
Series 2024-1, Class A1, 6.96%, 2/25/2029 ‡ (a) (k) | 1,140,000 | 1,141,766 |
STACR Trust Series 2018-HRP2, Class B1, 9.64%, 2/25/2047 (a) (k) | 600,000 | 655,471 |
Starwood Mortgage Residential Trust Series 2020-INV1, Class B2, 4.26%, 11/25/2055 (a) | 250,000 | 193,418 |
Verus Securitization Trust | ||
Series 2023-1, Class A1, 5.85%, 12/25/2067 (a) (i) | 773,023 | 768,068 |
Series 2023-2, Class A1, 6.19%, 3/25/2068 (a) (i) | 582,650 | 581,718 |
Series 2023-4, Class A1, 5.81%, 5/25/2068 (a) (i) | 856,130 | 851,610 |
VM Master Issuer LLC Series 2022-1, Class B, 6.88%, 5/24/2025 ‡ (a) (k) | 500,000 | 449,061 |
Total Collateralized Mortgage Obligations (Cost $61,866,037) | 63,075,668 | |
Foreign Government Securities — 3.3% | ||
Banque Centrale de Tunisie 5.75%, 1/30/2025 (f) | 200,000 | 184,546 |
Benin Government Bond 7.96%, 2/13/2038 (a) | 680,000 | 658,537 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Dominican Republic Government Bond | ||
5.50%, 2/22/2029 (f) | 350,000 | 338,545 |
7.05%, 2/3/2031 (a) | 510,000 | 524,790 |
7.05%, 2/3/2031 (f) | 500,000 | 514,500 |
6.00%, 2/22/2033 (a) | 150,000 | 144,975 |
6.00%, 2/22/2033 (f) | 500,000 | 483,250 |
6.40%, 6/5/2049 (f) | 750,000 | 700,547 |
5.88%, 1/30/2060 (f) | 450,000 | 380,074 |
Federal Republic of Nigeria | ||
7.63%, 11/21/2025 (f) | 600,000 | 590,437 |
6.50%, 11/28/2027 (f) | 1,100,000 | 1,000,153 |
6.13%, 9/28/2028 (f) | 200,000 | 175,694 |
7.14%, 2/23/2030 (f) | 600,000 | 529,875 |
7.88%, 2/16/2032 (f) | 500,000 | 439,445 |
7.38%, 9/28/2033 (f) | 400,000 | 335,100 |
8.25%, 9/28/2051 (a) | 200,000 | 162,524 |
8.25%, 9/28/2051 (f) | 400,000 | 325,048 |
Federative Republic of Brazil 7.13%, 5/13/2054 | 368,000 | 367,908 |
Gabonese Republic 6.95%, 6/16/2025 (f) | 800,000 | 770,456 |
Hashemite Kingdom of Jordan | ||
4.95%, 7/7/2025 (f) | 600,000 | 583,470 |
5.85%, 7/7/2030 (f) | 400,000 | 361,000 |
7.38%, 10/10/2047 (f) | 400,000 | 344,500 |
Islamic Republic of Pakistan | ||
6.00%, 4/8/2026 (a) | 500,000 | 397,555 |
6.00%, 4/8/2026 (f) | 400,000 | 318,044 |
6.88%, 12/5/2027 (f) | 1,000,000 | 760,110 |
Istanbul Metropolitan Municipality 10.50%, 12/6/2028 (a) | 267,000 | 286,358 |
Kingdom of Bahrain | ||
7.38%, 5/14/2030 (f) | 200,000 | 206,030 |
5.45%, 9/16/2032 (f) | 200,000 | 180,688 |
7.50%, 9/20/2047 (f) | 600,000 | 564,282 |
Kingdom of Morocco 6.50%, 9/8/2033 (f) | 400,000 | 410,428 |
Republic of Angola | ||
9.50%, 11/12/2025 (f) | 400,000 | 399,616 |
8.25%, 5/9/2028 (f) | 800,000 | 736,776 |
8.00%, 11/26/2029 (f) | 400,000 | 355,812 |
8.75%, 4/14/2032 (a) | 200,000 | 175,720 |
9.13%, 11/26/2049 (f) | 800,000 | 642,424 |
Republic of Armenia 3.60%, 2/2/2031 (f) | 400,000 | 323,652 |
Republic of Colombia | ||
4.50%, 3/15/2029 | 200,000 | 182,502 |
3.00%, 1/30/2030 | 200,000 | 164,084 |
8.75%, 11/14/2053 | 579,000 | 619,976 |
February 29, 2024 | 103 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Republic of Costa Rica | ||
6.13%, 2/19/2031 (f) | 200,000 | 202,900 |
6.55%, 4/3/2034 (a) | 920,000 | 949,293 |
7.00%, 4/4/2044 (f) | 400,000 | 410,100 |
7.30%, 11/13/2054 (a) | 565,000 | 595,922 |
Republic of Cote d'Ivoire | ||
6.38%, 3/3/2028 (f) | 1,400,000 | 1,357,125 |
5.75%, 12/31/2032 (f) (i) | 74,099 | 69,391 |
6.13%, 6/15/2033 (f) | 600,000 | 526,320 |
8.25%, 1/30/2037 (a) | 600,000 | 585,750 |
Republic of El Salvador | ||
6.38%, 1/18/2027 (f) | 450,000 | 387,103 |
8.63%, 2/28/2029 (f) | 600,000 | 522,750 |
7.12%, 1/20/2050 (f) | 350,000 | 239,232 |
9.50%, 7/15/2052 (f) | 350,000 | 292,425 |
Republic of Ghana | ||
6.38%, 2/11/2027 (f) (h) | 200,000 | 86,500 |
8.75%, 3/11/2061 (f) (h) | 200,000 | 84,824 |
Republic of Guatemala 6.60%, 6/13/2036 (a) | 700,000 | 707,525 |
Republic of Honduras 6.25%, 1/19/2027 (f) | 350,000 | 335,664 |
Republic of Iraq 5.80%, 1/15/2028 (f) | 975,000 | 909,763 |
Republic of Kenya | ||
7.00%, 5/22/2027 (f) | 400,000 | 383,388 |
9.75%, 2/16/2031 (a) | 235,000 | 235,294 |
8.00%, 5/22/2032 (f) | 200,000 | 180,500 |
Republic of Namibia 5.25%, 10/29/2025 (f) | 200,000 | 197,636 |
Republic of Panama 6.40%, 2/14/2035 | 200,000 | 184,750 |
Republic of Paraguay | ||
5.85%, 8/21/2033 (a) | 200,000 | 198,116 |
6.10%, 8/11/2044 (f) | 400,000 | 380,000 |
5.40%, 3/30/2050 (a) | 500,000 | 429,960 |
Republic of Rwanda 5.50%, 8/9/2031 (a) | 700,000 | 566,699 |
Republic of Senegal | ||
6.25%, 5/23/2033 (f) | 1,000,000 | 832,500 |
6.75%, 3/13/2048 (f) | 1,900,000 | 1,375,125 |
Republic of Serbia 6.50%, 9/26/2033 (a) | 200,000 | 203,400 |
Republic of South Africa | ||
4.30%, 10/12/2028 | 500,000 | 450,312 |
5.88%, 4/20/2032 | 200,000 | 180,438 |
6.25%, 3/8/2041 | 100,000 | 82,375 |
Republic of Turkey | ||
9.88%, 1/15/2028 | 300,000 | 329,064 |
9.38%, 3/14/2029 | 200,000 | 217,188 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
9.38%, 1/19/2033 | 200,000 | 221,540 |
7.63%, 5/15/2034 | 764,000 | 761,135 |
Republic of Uzbekistan 5.38%, 2/20/2029 (f) | 200,000 | 188,146 |
Republic of Uzbekistan International Bond 7.85%, 10/12/2028 (a) | 200,000 | 209,230 |
Romania Government Bond 6.38%, 1/30/2034 (a) | 172,000 | 171,169 |
State of Mongolia | ||
3.50%, 7/7/2027 (f) | 200,000 | 176,974 |
8.65%, 1/19/2028 (a) | 200,000 | 207,350 |
4.45%, 7/7/2031 (f) | 200,000 | 167,218 |
Sultanate of Oman Government Bond | ||
6.25%, 1/25/2031 (f) | 600,000 | 614,812 |
6.50%, 3/8/2047 (f) | 400,000 | 394,360 |
6.75%, 1/17/2048 (f) | 500,000 | 502,870 |
Turkiye Ihracat Kredi Bankasi A/S | ||
9.38%, 1/31/2026 (a) | 400,000 | 418,860 |
9.00%, 1/28/2027 (a) | 400,000 | 417,250 |
Total Foreign Government Securities (Cost $35,717,250) | 35,779,677 | |
SHARES | ||
Exchange-Traded Funds — 1.5% | ||
Fixed Income — 1.5% | ||
Invesco Senior Loan ETF (Cost $15,961,915) | 756,000 | 15,966,720 |
PRINCIPAL AMOUNT($) | ||
Municipal Bonds — 0.1% (a) (k) (l) | ||
California — 0.1% | ||
California Infrastructure and Economic Development Bank, Brightline West Passenger Rail Project Series 2020A-3, Rev., AMT, 8.00%, 8/15/2024 (Cost $600,000) | 600,000 | 610,290 |
Convertible Bonds — 0.0% ^ | ||
Media — 0.0% ^ | ||
DISH Network Corp. 2.38%, 3/15/2024 (Cost $150,000) | 150,000 | 147,570 |
104 | February 29, 2024 |
INVESTMENTS | SHARES | VALUE($) |
Short-Term Investments — 0.1% | ||
Investment Companies — 0.1% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (m) (n) (Cost $1,443,320) | 1,442,615 | 1,443,336 |
Total Investments — 105.7% (Cost $1,131,202,786) | 1,132,812,271 | |
Liabilities in Excess of Other Assets — (5.7)% | (60,828,509 ) | |
NET ASSETS — 100.0% | 1,071,983,762 |
Percentages indicated are based on net assets. |
Abbreviations | |
ABS | Asset-Backed Securities |
ACES | Alternative Credit Enhancement Securities |
AMT | Alternative Minimum Tax |
CIFC | Commercial Industrial Finance Corp. |
CR | Custodial Receipts |
ETF | Exchange Traded Fund |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
HB | High Coupon Bonds (a.k.a. "IOettes") represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO's the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. |
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 29, 2024. 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. |
PIK | Payment In Kind |
PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
Re-REMIC | Combined Real Estate Mortgage Investment Conduit |
Rev. | Revenue |
SCA | Limited partnership with share capital |
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. | |
‡ | 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) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(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 29, 2024 is $2,925,934 or 0.27% of the Fund’s net assets as of February 29, 2024. | |
(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 29, 2024. | |
(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 29, 2024. | |
(h) | Defaulted security. | |
(i) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2024. | |
(j) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(k) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 29, 2024. | |
(l) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
February 29, 2024 | 105 |
(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 29, 2024. |
SECURITY DESCRIPTION | PRINCIPAL AMOUNT($) | VALUE($) |
FNMA / FHLMC UMBS, Single Family, 30 Year TBA, 4.00%, 3/25/2054(a) | (22,600,000 ) | (20,798,501 ) |
GNMA II, Single Family, 30 Year | ||
TBA, 4.00%, 3/15/2054(a) | (35,900,000 ) | (33,419,763 ) |
TBA, 4.50%, 3/15/2054(a) | (9,000,000 ) | (8,596,797 ) |
(Proceeds received of $63,342,176) | (62,815,061 ) |
Abbreviations | |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
TBA | To Be Announced; Security is subject to delayed delivery. |
UMBS | Uniform Mortgage-Backed Securities |
(a) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 10 Year Ultra Note | 325 | 06/18/2024 | USD | 37,126,172 | 235,451 |
U.S. Treasury Ultra Bond | 9 | 06/18/2024 | USD | 1,152,000 | 25,301 |
U.S. Treasury 2 Year Note | 725 | 06/28/2024 | USD | 148,494,726 | 110,936 |
U.S. Treasury 5 Year Note | 2,036 | 06/28/2024 | USD | 217,867,905 | 605,649 |
977,337 | |||||
Short Contracts | |||||
U.S. Treasury 10 Year Note | (426 ) | 06/18/2024 | USD | (47,073,000 ) | (165,690 ) |
U.S. Treasury 10 Year Ultra Note | (193 ) | 06/18/2024 | USD | (22,047,234 ) | (140,624 ) |
U.S. Treasury Long Bond | (187 ) | 06/18/2024 | USD | (22,299,750 ) | (211,870 ) |
U.S. Treasury Ultra Bond | (181 ) | 06/18/2024 | USD | (23,168,000 ) | (509,797 ) |
(1,027,981 ) | |||||
(50,644 ) |
Abbreviations | |
USD | United States Dollar |
106 | February 29, 2024 |
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||
JPY | 110,245,473 | USD | 736,400 | HSBC Bank, NA | 3/15/2024 | 241 |
Total unrealized appreciation | 241 | |||||
JPY | 1,456,083,130 | USD | 9,889,452 | HSBC Bank, NA | 3/15/2024 | (160,155 ) |
Total unrealized depreciation | (160,155 ) | |||||
Net unrealized depreciation | (159,914 ) |
Abbreviations | |
JPY | Japanese Yen |
USD | United States Dollar |
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | COUNTERPARTY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
Bank of America Corp., 3.50%, 4/19/2026 | 1.00 | Quarterly | Morgan Stanley | 6/20/2028 | 0.54 | USD2,200,000 | 15,827 | (59,900 ) | (44,073 ) |
Bank of America Corp., 3.50%, 4/19/2026 | 1.00 | Quarterly | Morgan Stanley | 6/20/2028 | 0.54 | USD5,000,000 | 7,548 | (107,713 ) | (100,165 ) |
23,375 | (167,613 ) | (144,238 ) |
(*) | 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 | |||||||||
USD | United States Dollar |
February 29, 2024 | 107 |
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.41-V2 | 5.00 | Quarterly | 12/20/2028 | 3.38 | USD 6,150,000 | (36,166 ) | (411,068 ) | (447,234 ) |
CDX.NA.HY.41-V2 | 5.00 | Quarterly | 12/20/2028 | 3.38 | USD 60,700,000 | (3,614,218 ) | (799,940 ) | (4,414,158 ) |
(3,650,384 ) | (1,211,008 ) | (4,861,392 ) |
(*) | 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 |
NET UPFRONT PAYMENTS (RECEIPTS) ($) | VALUE ($) | |
Liabilities | ||
OTC Credit default swap contracts outstanding - buy protection | 23,375 | (144,238 ) |
108 | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 59.8% | ||
Australia — 0.6% | ||
APA Infrastructure Ltd. 2.00%, 7/15/2030 (a) | EUR150,000 | 143,981 |
Commonwealth Bank of Australia 2.69%, 3/11/2031 (b) (c) | 1,250,000 | 1,027,667 |
Glencore Funding LLC | ||
5.40%, 5/8/2028 (b) | 450,000 | 452,462 |
6.38%, 10/6/2030 (b) | 185,000 | 194,387 |
2.85%, 4/27/2031 (b) | 450,000 | 383,449 |
2.63%, 9/23/2031 (b) | 398,000 | 330,205 |
2,532,151 | ||
Austria — 0.1% | ||
Benteler International AG | ||
9.38%, 5/15/2028 (b) | EUR116,000 | 134,149 |
9.38%, 5/15/2028 (a) | EUR200,000 | 231,291 |
365,440 | ||
Belgium — 0.9% | ||
Azelis Finance NV 5.75%, 3/15/2028 (a) | EUR500,000 | 556,115 |
KBC Group NV | ||
(EUR Swap Annual 5 Year + 3.59%), 4.25%, 10/24/2025 (a) (c) (d) (e) (f) | EUR400,000 | 408,002 |
(EURIBOR ICE Swap Rate 5 Year + 4.93%), 8.00%, 9/5/2028 (a) (c) (d) (e) (f) | EUR800,000 | 912,074 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (b) (f) | 200,000 | 201,214 |
(EUR Swap Annual 5 Year + 1.25%), 1.63%, 9/18/2029 (a) (f) | EUR300,000 | 319,213 |
Ontex Group NV 3.50%, 7/15/2026 (a) | EUR800,000 | 840,473 |
Telenet Finance Luxembourg Notes SARL 3.50%, 3/1/2028 (a) | EUR600,000 | 601,580 |
3,838,671 | ||
Brazil — 0.3% | ||
Braskem Netherlands Finance BV 7.25%, 2/13/2033 (a) | 350,000 | 318,745 |
Guara Norte SARL 5.20%, 6/15/2034 (b) | 278,457 | 250,959 |
Klabin Austria GmbH 7.00%, 4/3/2049 (a) | 200,000 | 200,790 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Brazil — continued | ||
Suzano Austria GmbH | ||
3.75%, 1/15/2031 | 48,000 | 41,952 |
7.00%, 3/16/2047 (a) | 200,000 | 207,220 |
Vale Overseas Ltd. 6.13%, 6/12/2033 | 305,000 | 308,355 |
1,328,021 | ||
Canada — 0.9% | ||
Bank of Nova Scotia (The) | ||
2.45%, 2/2/2032 | 420,000 | 344,703 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 4.59%, 5/4/2037 (c) (f) | 570,000 | 509,820 |
Canadian Pacific Railway Co. 3.50%, 5/1/2050 | 90,000 | 65,970 |
Emera US Finance LP 2.64%, 6/15/2031 | 1,272,000 | 1,031,431 |
Emera, Inc. Series 16-A, (3-MONTH SOFR + 5.44%), 6.75%, 6/15/2076 (f) | 236,000 | 231,254 |
Enbridge, Inc. Series NC5, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.79%), 8.25%, 1/15/2084 (f) | 775,000 | 803,964 |
Federation des Caisses Desjardins du Quebec (SOFRINDX + 1.09%), 5.28%, 1/23/2026 (b) (f) | 510,000 | 507,154 |
Transcanada Trust Series 16-A, (3-MONTH SOFR + 4.64%), 5.88%, 8/15/2076 (f) | 57,000 | 54,666 |
3,548,962 | ||
Chile — 0.1% | ||
Alfa Desarrollo SpA 4.55%, 9/27/2051 (b) | 337,879 | 250,875 |
China — 0.9% | ||
Country Garden Holdings Co. Ltd. 3.13%, 10/22/2025 (a) (g) | 530,000 | 41,075 |
Huarong Finance 2017 Co. Ltd. 4.25%, 11/7/2027 (a) | 200,000 | 184,950 |
Longfor Group Holdings Ltd. 4.50%, 1/16/2028 (a) | 300,000 | 159,180 |
NXP BV | ||
5.55%, 12/1/2028 | 1,472,000 | 1,485,042 |
2.50%, 5/11/2031 | 1,097,000 | 905,486 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 109 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
China — continued | ||
5.00%, 1/15/2033 | 490,000 | 473,502 |
TI Automotive Finance plc 3.75%, 4/15/2029 (a) | EUR500,000 | 495,096 |
3,744,331 | ||
Colombia — 0.0% ^ | ||
AI Candelaria Spain SA 5.75%, 6/15/2033 (b) | 250,000 | 197,000 |
Denmark — 0.5% | ||
Danske Bank A/S | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (b) (f) | 262,000 | 263,034 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 1.62%, 9/11/2026 (b) (f) | 600,000 | 562,480 |
(EURIBOR ICE Swap Rate 1 Year + 0.88%), 0.75%, 6/9/2029 (a) (f) | EUR500,000 | 472,546 |
(EURIBOR ICE Swap Rate 1 Year + 1.70%), 4.75%, 6/21/2030 (a) (f) | EUR800,000 | 895,048 |
2,193,108 | ||
France — 8.3% | ||
Accor SA 1.75%, 2/4/2026 (a) (h) | EUR400,000 | 416,204 |
Airbus SE | ||
1.63%, 6/9/2030 (a) | EUR1,100,000 | 1,076,586 |
1.38%, 5/13/2031 (a) | EUR300,000 | 284,032 |
Altice France SA 3.38%, 1/15/2028 (a) | EUR1,000,000 | 875,448 |
Autoroutes du Sud de la France SA | ||
1.13%, 4/20/2026 (a) | EUR800,000 | 824,305 |
3.25%, 1/19/2033 (a) | EUR600,000 | 636,217 |
AXA SA (EURIBOR 3 Month + 3.75%), 3.38%, 7/6/2047 (a) (f) | EUR600,000 | 628,577 |
Banijay Entertainment SASU | ||
7.00%, 5/1/2029 (a) | EUR100,000 | 112,944 |
7.00%, 5/1/2029 (b) | EUR218,000 | 246,217 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
France — continued | ||
BNP Paribas SA | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.35%), 8.50%, 8/14/2028 (b) (c) (d) (e) (f) | 1,000,000 | 1,031,222 |
(EURIBOR ICE Swap Rate 5 Year + 4.63%), 7.38%, 6/11/2030 (a) (c) (d) (e) (f) | EUR400,000 | 452,129 |
BPCE SA | ||
5.15%, 7/21/2024 (b) | 600,000 | 597,273 |
4.88%, 4/1/2026 (b) | 450,000 | 440,059 |
(SOFR + 2.10%), 5.98%, 1/18/2027 (b) (f) | 2,038,000 | 2,039,690 |
(EURIBOR 3 Month + 1.00%), 0.50%, 9/15/2027 (a) (f) | EUR400,000 | 396,285 |
4.38%, 7/13/2028 (a) | EUR900,000 | 987,941 |
(SOFR + 1.31%), 2.28%, 1/20/2032 (b) (f) | 480,000 | 384,205 |
(SOFR + 1.73%), 3.12%, 10/19/2032 (b) (f) | 250,000 | 201,614 |
Burger King France SAS (EURIBOR 3 Month + 4.75%), 8.65%, 11/1/2026 (a) (f) | EUR350,000 | 381,550 |
Cerba Healthcare SACA 3.50%, 5/31/2028 (a) | EUR739,000 | 694,503 |
CGG SA 7.75%, 4/1/2027 (a) | EUR304,000 | 292,914 |
Chrome Holdco SAS 5.00%, 5/31/2029 (a) | EUR100,000 | 79,439 |
Credit Agricole SA | ||
(SOFR + 0.89%), 1.25%, 1/26/2027 (b) (f) | 1,000,000 | 923,077 |
(U.K. Government Bonds 1 Year Note Generic Bid Yield + 2.60%), 5.75%, 11/29/2027 (a) (f) | GBP500,000 | 634,811 |
2.00%, 3/25/2029 (a) | EUR200,000 | 195,671 |
(SOFR + 1.86%), 6.32%, 10/3/2029 (b) (f) | 705,000 | 726,590 |
Credit Mutuel Arkea SA (EURIBOR ICE Swap Rate 5 Year + 1.45%), 1.88%, 10/25/2029 (a) (f) | EUR300,000 | 318,275 |
Electricite de France SA | ||
(EUR Swap Annual 6 Year + 3.44%), 4.00%, 7/4/2024 (a) (d) (e) (f) | EUR1,000,000 | 1,070,950 |
110 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
France — continued | ||
(EUR Swap Annual 5 Year + 3.97%), 3.38%, 6/15/2030 (a) (d) (e) (f) | EUR1,000,000 | 956,832 |
6.25%, 5/23/2033 (b) | 500,000 | 522,334 |
Elis SA 1.63%, 4/3/2028 (a) | EUR1,100,000 | 1,090,436 |
Forvia SE | ||
2.63%, 6/15/2025 (a) | EUR300,000 | 320,074 |
3.13%, 6/15/2026 (a) | EUR600,000 | 631,442 |
2.38%, 6/15/2027 (a) | EUR600,000 | 603,133 |
3.75%, 6/15/2028 (a) | EUR700,000 | 723,460 |
iliad SA | ||
5.38%, 6/14/2027 (a) | EUR600,000 | 657,198 |
1.88%, 2/11/2028 (a) | EUR800,000 | 784,851 |
5.63%, 2/15/2030 (a) | EUR700,000 | 773,583 |
Loxam SAS | ||
2.88%, 4/15/2026 (a) | EUR300,000 | 314,408 |
4.50%, 2/15/2027 (b) | EUR288,000 | 309,440 |
Lune Holdings SARL 5.63%, 11/15/2028 (a) | EUR475,000 | 419,945 |
Orange SA (EUR Swap Annual 5 Year + 2.10%), 1.75%, 7/15/2028 (a) (d) (e) (f) | EUR1,100,000 | 1,050,673 |
Paprec Holding SA | ||
3.50%, 7/1/2028 (a) | EUR573,000 | 585,378 |
7.25%, 11/17/2029 (b) | EUR182,000 | 208,264 |
Renault SA | ||
1.25%, 6/24/2025 (a) | EUR500,000 | 519,056 |
2.00%, 9/28/2026 (a) | EUR700,000 | 716,205 |
1.13%, 10/4/2027 (a) | EUR800,000 | 780,597 |
Rexel SA 2.13%, 6/15/2028 (a) | EUR700,000 | 702,059 |
Societe Generale SA | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.93%), 4.75%, 5/26/2026 (b) (c) (d) (e) (f) | 400,000 | 351,889 |
(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 | 423,528 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) (f) | 580,000 | 470,173 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
France — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.34%, 1/21/2033 (b) (f) | 501,000 | 413,701 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.95%), 6.69%, 1/10/2034 (b) (f) | 580,000 | 599,164 |
SPIE SA 2.63%, 6/18/2026 (a) | EUR600,000 | 627,923 |
TotalEnergies Capital International SA 3.13%, 5/29/2050 | 50,000 | 34,843 |
TotalEnergies SE (EUR Swap Annual 5 Year + 1.77%), 1.75%, 4/4/2024 (a) (d) (e) (f) | EUR750,000 | 806,986 |
Vallourec SA 8.50%, 6/30/2026 (a) | EUR500,000 | 541,643 |
Veolia Environnement SA (EURIBOR ICE Swap Rate 5 Year + 2.15%), 1.63%, 6/1/2026 (a) (d) (e) (f) | EUR400,000 | 398,815 |
Vinci SA 1.75%, 9/26/2030 (a) | EUR100,000 | 97,316 |
34,384,077 | ||
Germany — 4.0% | ||
Adler Pelzer Holding GmbH | ||
9.50%, 4/1/2027 (a) | EUR100,000 | 109,269 |
9.50%, 4/1/2027 (b) | EUR308,000 | 336,548 |
Birkenstock Financing SARL 5.25%, 4/30/2029 (a) | EUR800,000 | 855,042 |
Cheplapharm Arzneimittel GmbH | ||
3.50%, 2/11/2027 (a) | EUR300,000 | 313,297 |
4.38%, 1/15/2028 (a) | EUR550,000 | 577,609 |
Commerzbank AG (EUR Swap Annual 5 Year + 4.35%), 4.00%, 12/5/2030 (a) (f) | EUR500,000 | 529,454 |
CT Investment GmbH 5.50%, 4/15/2026 (a) | EUR206,000 | 221,042 |
Deutsche Bank AG (SOFR + 2.26%), 3.74%, 1/7/2033 (f) | 450,000 | 361,650 |
Deutsche Lufthansa AG | ||
2.88%, 2/11/2025 (a) | EUR1,200,000 | 1,279,127 |
3.00%, 5/29/2026 (a) | EUR400,000 | 420,431 |
Douglas GmbH 6.00%, 4/8/2026 (a) | EUR700,000 | 760,036 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 111 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Germany — continued | ||
Evonik Industries AG (EUR Swap Annual 5 Year + 1.84%), 1.38%, 9/2/2081 (a) (f) | EUR300,000 | 291,816 |
Heidelberg Materials Finance Luxembourg SA 4.88%, 11/21/2033 (a) | EUR500,000 | 569,923 |
IHO Verwaltungs GmbH | ||
3.75% (Cash), 9/15/2026 (a) (i) | EUR325,000 | 344,333 |
3.88% (Cash), 5/15/2027 (a) (i) (j) | EUR800,000 | 839,937 |
8.75% (Cash), 5/15/2028 (b) (i) | EUR263,169 | 307,899 |
8.75% (Cash), 5/15/2028 (a) (i) (j) | EUR100,000 | 116,997 |
Kirk Beauty SUN GmbH 8.25% (Cash), 10/1/2026 (a) (i) | EUR100,000 | 109,296 |
Nidda Healthcare Holding GmbH 7.50%, 8/21/2026 (a) | EUR1,000,000 | 1,116,012 |
Schaeffler AG | ||
2.88%, 3/26/2027 (a) | EUR650,000 | 683,201 |
3.38%, 10/12/2028 (a) | EUR200,000 | 207,514 |
Techem Verwaltungsgesellschaft 674 mbH 6.00%, 7/30/2026 (a) | EUR747,318 | 803,986 |
Techem Verwaltungsgesellschaft 675 mbH 2.00%, 7/15/2025 (a) | EUR400,000 | 424,894 |
thyssenkrupp AG 2.50%, 2/25/2025 (a) | EUR400,000 | 426,731 |
TK Elevator Midco GmbH 4.38%, 7/15/2027 (a) | EUR300,000 | 312,892 |
TUI Cruises GmbH 6.50%, 5/15/2026 (a) | EUR350,000 | 379,301 |
Volkswagen International Finance NV | ||
(EUR Swap Annual 5 Year + 3.75%), 3.50%, 6/17/2025 (a) (d) (e) (f) | EUR400,000 | 420,583 |
(EUR Swap Annual 10 Year + 3.98%), 4.63%, 6/27/2028 (a) (d) (e) (f) | EUR500,000 | 519,470 |
3.25%, 11/18/2030 (a) | EUR600,000 | 626,103 |
ZF Europe Finance BV | ||
2.00%, 2/23/2026 (a) | EUR900,000 | 924,288 |
2.50%, 10/23/2027 (a) | EUR500,000 | 501,961 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Germany — continued | ||
ZF Finance GmbH | ||
2.25%, 5/3/2028 (a) | EUR200,000 | 196,084 |
3.75%, 9/21/2028 (a) | EUR600,000 | 620,271 |
16,506,997 | ||
India — 0.2% | ||
Greenko Dutch BV 3.85%, 3/29/2026 (b) | 185,000 | 174,362 |
Greenko Power II Ltd. 4.30%, 12/13/2028 (b) | 382,500 | 350,466 |
NTPC Ltd. 3.75%, 4/3/2024 (a) | 200,000 | 199,492 |
724,320 | ||
Indonesia — 0.2% | ||
Indonesia Asahan Aluminium PT 5.45%, 5/15/2030 (b) | 200,000 | 195,752 |
Pertamina Persero PT 3.65%, 7/30/2029 (b) | 400,000 | 370,532 |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 4.13%, 5/15/2027 (a) | 200,000 | 192,208 |
758,492 | ||
Ireland — 2.2% | ||
AerCap Ireland Capital DAC | ||
2.45%, 10/29/2026 | 300,000 | 276,717 |
6.10%, 1/15/2027 | 635,000 | 642,935 |
5.75%, 6/6/2028 | 342,000 | 344,475 |
3.30%, 1/30/2032 | 258,000 | 218,186 |
AIB Group plc | ||
(EUR Swap Annual 5 Year + 6.63%), 6.25%, 6/23/2025 (a) (c) (d) (e) (f) | EUR700,000 | 748,994 |
(EUR Swap Annual 1 Year + 1.95%), 4.63%, 7/23/2029 (a) (f) | EUR300,000 | 330,862 |
(EUR Swap Annual 5 Year + 2.15%), 1.88%, 11/19/2029 (a) (f) | EUR750,000 | 793,579 |
Avolon Holdings Funding Ltd. | ||
3.95%, 7/1/2024 (b) | 126,000 | 124,810 |
2.88%, 2/15/2025 (b) | 265,000 | 256,562 |
5.50%, 1/15/2026 (b) | 315,000 | 309,724 |
2.13%, 2/21/2026 (b) | 940,000 | 868,269 |
4.25%, 4/15/2026 (b) | 125,000 | 120,543 |
4.38%, 5/1/2026 (b) | 60,000 | 57,748 |
3.25%, 2/15/2027 (b) | 505,000 | 465,610 |
112 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Ireland — continued | ||
6.38%, 5/4/2028 (b) | 110,000 | 111,623 |
5.75%, 3/1/2029 (b) | 900,000 | 887,016 |
Bank of Ireland Group plc | ||
(EUR Swap Annual 5 Year + 7.92%), 7.50%, 5/19/2025 (a) (c) (d) (e) (f) | EUR711,000 | 775,173 |
(EUR Swap Annual 5 Year + 6.43%), 6.00%, 9/1/2025 (a) (c) (d) (e) (f) | EUR600,000 | 635,510 |
eircom Finance DAC 3.50%, 5/15/2026 (a) | EUR1,100,000 | 1,154,390 |
9,122,726 | ||
Israel — 0.1% | ||
Energian Israel Finance Ltd. | ||
4.88%, 3/30/2026 (a) | 156,000 | 146,518 |
5.38%, 3/30/2028 (a) | 150,475 | 134,886 |
Leviathan Bond Ltd. | ||
6.13%, 6/30/2025 (a) | 200,000 | 195,750 |
6.50%, 6/30/2027 (a) | 165,554 | 158,533 |
635,687 | ||
Italy — 5.2% | ||
Assicurazioni Generali SpA | ||
2.43%, 7/14/2031 (a) | EUR200,000 | 187,162 |
(EURIBOR 3 Month + 5.35%), 5.50%, 10/27/2047 (a) (f) | EUR200,000 | 223,760 |
Autostrade per l'Italia SpA | ||
1.88%, 9/26/2029 (a) | EUR900,000 | 866,625 |
5.13%, 6/14/2033 (a) | EUR600,000 | 677,287 |
Enel Finance International NV | ||
1.38%, 7/12/2026 (b) | 1,460,000 | 1,330,243 |
3.50%, 4/6/2028 (b) | 200,000 | 186,442 |
1.88%, 7/12/2028 (b) | 425,000 | 368,389 |
0.50%, 6/17/2030 (a) | EUR200,000 | 178,942 |
0.88%, 1/17/2031 (a) | EUR493,000 | 443,524 |
2.25%, 7/12/2031 (b) | 536,000 | 428,325 |
5.00%, 6/15/2032 (b) | 200,000 | 190,836 |
Enel SpA | ||
Series 63.5, (EUR Swap Annual 5 Year + 2.58%), 3.38%, 8/24/2026 (a) (d) (e) (f) | EUR800,000 | 832,778 |
Series 9.5Y, (EUR Swap Annual 5 Year + 2.01%), 1.88%, 6/8/2030 (a) (d) (e) (f) | EUR300,000 | 264,333 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Italy — continued | ||
Eni SpA 4.25%, 5/9/2029 (b) | 250,000 | 241,234 |
Guala Closures SpA 3.25%, 6/15/2028 (a) | EUR584,000 | 586,302 |
Infrastrutture Wireless Italiane SpA | ||
1.88%, 7/8/2026 (a) | EUR500,000 | 516,265 |
1.63%, 10/21/2028 (a) | EUR200,000 | 197,411 |
Intesa Sanpaolo SpA | ||
(EUR Swap Annual 5 Year + 7.19%), 7.75%, 1/11/2027 (a) (c) (d) (e) (f) | EUR276,000 | 306,131 |
5.25%, 1/13/2030 (a) | EUR845,000 | 976,292 |
6.63%, 6/20/2033 (b) | 1,220,000 | 1,233,383 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (b) (f) | 200,000 | 144,268 |
Lottomatica SpA | ||
7.13%, 6/1/2028 (a) | EUR200,000 | 228,565 |
7.13%, 6/1/2028 (b) | EUR237,000 | 270,850 |
Mundys SpA | ||
1.63%, 2/3/2025 (a) | EUR300,000 | 315,343 |
1.88%, 7/13/2027 (a) | EUR450,000 | 452,315 |
1.88%, 2/12/2028 (a) | EUR800,000 | 787,428 |
Pro-Gest SpA 3.25%, 12/15/2024 (a) | EUR477,000 | 250,553 |
Rossini SARL 6.75%, 10/30/2025 (a) | EUR450,000 | 486,747 |
Saipem Finance International BV 2.63%, 1/7/2025 (a) | EUR700,000 | 745,514 |
Shiba Bidco SpA 4.50%, 10/31/2028 (a) | EUR750,000 | 770,556 |
TeamSystem SpA 3.50%, 2/15/2028 (a) | EUR300,000 | 308,028 |
Telecom Italia Finance SA 7.75%, 1/24/2033 | EUR230,000 | 290,839 |
Telecom Italia SpA | ||
2.88%, 1/28/2026 (a) | EUR200,000 | 209,675 |
3.63%, 5/25/2026 (a) | EUR400,000 | 423,360 |
2.38%, 10/12/2027 (a) | EUR1,350,000 | 1,354,452 |
6.88%, 2/15/2028 (a) | EUR500,000 | 572,668 |
1.63%, 1/18/2029 (a) | EUR600,000 | 557,693 |
UniCredit SpA | ||
(EUR Swap Annual 5 Year + 4.93%), 5.38%, 6/3/2025 (a) (c) (d) (e) (f) | EUR400,000 | 423,923 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 113 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Italy — continued | ||
(EURIBOR ICE Swap Rate 5 Year + 7.33%), 7.50%, 6/3/2026 (a) (c) (d) (e) (f) | EUR400,000 | 443,162 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (f) | 200,000 | 183,544 |
(EURIBOR 3 Month + 0.85%), 0.93%, 1/18/2028 (a) (f) | EUR600,000 | 598,469 |
(EURIBOR 3 Month + 1.90%), 4.80%, 1/17/2029 (a) (f) | EUR1,100,000 | 1,227,144 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 3.13%, 6/3/2032 (b) (f) | 410,000 | 342,836 |
21,623,596 | ||
Japan — 0.6% | ||
Mitsubishi UFJ Financial Group, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (f) | 707,000 | 652,626 |
Takeda Pharmaceutical Co. Ltd. | ||
5.00%, 11/26/2028 | 1,110,000 | 1,108,170 |
1.00%, 7/9/2029 | EUR363,000 | 344,152 |
3.00%, 11/21/2030 (a) | EUR200,000 | 207,325 |
3.03%, 7/9/2040 | 270,000 | 201,120 |
2,513,393 | ||
Kazakhstan — 0.2% | ||
KazMunayGas National Co. JSC | ||
5.38%, 4/24/2030 (a) | 600,000 | 582,528 |
5.75%, 4/19/2047 (a) | 380,000 | 323,570 |
906,098 | ||
Kuwait — 0.0% ^ | ||
MEGlobal Canada ULC 5.00%, 5/18/2025 (b) | 200,000 | 197,650 |
Luxembourg — 1.8% | ||
Altice Finco SA 4.75%, 1/15/2028 (a) | EUR600,000 | 543,102 |
Altice France Holding SA | ||
8.00%, 5/15/2027 (a) | EUR850,000 | 523,647 |
8.00%, 5/15/2027 (b) | EUR123,000 | 75,775 |
4.00%, 2/15/2028 (a) | EUR100,000 | 48,621 |
ARD Finance SA 5.00% (Cash), 6/30/2027 (a) (i) (j) | EUR400,000 | 168,605 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Luxembourg — continued | ||
Herens Midco SARL 5.25%, 5/15/2029 (a) | EUR403,000 | 302,716 |
INEOS Finance plc | ||
3.38%, 3/31/2026 (a) | EUR547,000 | 579,563 |
6.63%, 5/15/2028 (a) | EUR350,000 | 384,964 |
6.38%, 4/15/2029 (b) | EUR348,000 | 375,702 |
Matterhorn Telecom SA | ||
3.13%, 9/15/2026 (a) | EUR775,000 | 813,362 |
4.00%, 11/15/2027 (a) | EUR100,000 | 106,982 |
Monitchem HoldCo 3 SA 8.75%, 5/1/2028 (a) | EUR300,000 | 339,204 |
PLT VII Finance SARL 4.63%, 1/5/2026 (a) | EUR750,000 | 806,547 |
SELP Finance SARL, REIT 0.88%, 5/27/2029 (a) | EUR1,400,000 | 1,287,841 |
SES SA | ||
(EUR Swap Annual 5 Year + 3.19%), 2.88%, 5/27/2026 (a) (d) (e) (f) | EUR400,000 | 405,016 |
0.88%, 11/4/2027 (a) | EUR130,000 | 126,508 |
Summer BC Holdco A SARL 9.25%, 10/31/2027 (a) | EUR90,105 | 95,768 |
Summer BC Holdco B SARL 5.75%, 10/31/2026 (a) | EUR400,000 | 426,375 |
7,410,298 | ||
Malaysia — 0.1% | ||
Petronas Capital Ltd. 3.40%, 4/28/2061 (b) | 436,000 | 297,086 |
Mexico — 0.6% | ||
BBVA Bancomer SA (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%), 5.13%, 1/18/2033 (b) (c) (f) | 200,000 | 182,744 |
Cemex SAB de CV (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.53%), 5.13%, 6/8/2026 (b) (d) (e) (f) | 488,000 | 464,820 |
Fomento Economico Mexicano SAB de CV 3.50%, 1/16/2050 | 150,000 | 111,137 |
Petroleos Mexicanos 6.88%, 8/4/2026 | 1,560,000 | 1,502,904 |
Southern Copper Corp. 5.88%, 4/23/2045 | 140,000 | 139,300 |
2,400,905 |
114 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Morocco — 0.0% ^ | ||
OCP SA 6.88%, 4/25/2044 (a) | 200,000 | 187,500 |
Netherlands — 2.1% | ||
ABN AMRO Bank NV | ||
4.75%, 7/28/2025 (b) | 200,000 | 196,208 |
(EUR Swap Annual 5 Year + 4.67%), 4.38%, 9/22/2025 (a) (c) (d) (e) (f) | EUR200,000 | 209,236 |
4.80%, 4/18/2026 (b) | 200,000 | 195,126 |
(EUR Swap Annual 5 Year + 3.90%), 4.75%, 9/22/2027 (a) (c) (d) (e) (f) | EUR600,000 | 600,655 |
Cooperatieve Rabobank UA | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.00%, 9/24/2026 (b) (f) | 365,000 | 340,116 |
(EUR Swap Annual 5 Year + 3.70%), 3.25%, 12/29/2026 (a) (c) (d) (e) (f) | EUR200,000 | 194,310 |
(EUR Swap Annual 5 Year + 4.68%), 4.38%, 6/29/2027 (a) (c) (d) (e) (f) | EUR800,000 | 807,522 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (b) (f) | 890,000 | 843,223 |
ING Groep NV (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.34%), 5.75%, 11/16/2026 (c) (d) (e) (f) | 495,000 | 465,785 |
Q-Park Holding I BV | ||
2.00%, 3/1/2027 (a) | EUR200,000 | 201,483 |
5.13%, 3/1/2029 (b) | EUR293,000 | 317,466 |
Sigma Holdco BV 5.75%, 5/15/2026 (a) | EUR500,000 | 509,597 |
Sunrise HoldCo IV BV 3.88%, 6/15/2029 (a) | EUR700,000 | 727,030 |
Titan Holdings II BV 5.13%, 7/15/2029 (a) | EUR568,000 | 537,041 |
Trivium Packaging Finance BV 3.75%, 8/15/2026 (a) (h) | EUR550,000 | 573,447 |
VZ Vendor Financing II BV 2.88%, 1/15/2029 (a) | EUR100,000 | 93,548 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Netherlands — continued | ||
Wolters Kluwer NV 3.75%, 4/3/2031 (a) | EUR500,000 | 548,937 |
Ziggo Bond Co. BV 3.38%, 2/28/2030 (a) | EUR1,400,000 | 1,291,875 |
8,652,605 | ||
New Zealand — 0.1% | ||
ANZ New Zealand Int'l Ltd. 2.55%, 2/13/2030 (b) | 490,000 | 423,984 |
Norway — 0.6% | ||
Aker BP ASA 6.00%, 6/13/2033 (b) | 525,000 | 533,833 |
DNB Bank ASA | ||
(U.K. Government Bonds 1 Year Note Generic Bid Yield + 1.35%), 2.63%, 6/10/2026 (a) (f) | GBP1,000,000 | 1,219,508 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.13%, 9/16/2026 (b) (f) | 841,000 | 784,481 |
2,537,822 | ||
Portugal — 0.7% | ||
EDP - Energias de Portugal SA | ||
(EUR Swap Annual 5 Year + 1.84%), 1.70%, 7/20/2080 (a) (f) | EUR1,000,000 | 1,033,515 |
Series NC5., (EUR Swap Annual 5 Year + 1.89%), 1.50%, 3/14/2082 (a) (f) | EUR400,000 | 391,111 |
(EUR Swap Annual 5 Year + 3.18%), 5.94%, 4/23/2083 (a) (f) | EUR200,000 | 223,194 |
EDP Finance BV | ||
3.63%, 7/15/2024 (b) | 675,000 | 669,023 |
1.50%, 11/22/2027 (a) | EUR750,000 | 755,340 |
3,072,183 | ||
South Africa — 0.4% | ||
Anglo American Capital plc | ||
4.00%, 9/11/2027 (b) | 500,000 | 475,755 |
5.50%, 5/2/2033 (b) | 1,170,000 | 1,153,819 |
1,629,574 | ||
Spain — 5.2% | ||
Abertis Infraestructuras Finance BV |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 115 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Spain — continued | ||
(EUR Swap Annual 5 Year + 3.69%), 3.25%, 11/24/2025 (a) (d) (e) (f) | EUR900,000 | 931,409 |
(EUR Swap Annual 5 Year + 3.27%), 2.63%, 1/26/2027 (a) (d) (e) (f) | EUR400,000 | 396,654 |
Banco Bilbao Vizcaya Argentaria SA | ||
Series 9, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.19%), 6.50%, 3/5/2025 (c) (d) (e) (f) | 200,000 | 197,087 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.10%), 9.38%, 3/19/2029 (c) (d) (e) (f) | 1,000,000 | 1,055,240 |
Banco de Sabadell SA (EUR Swap Annual 1 Year + 0.97%), 0.63%, 11/7/2025 (a) (f) | EUR300,000 | 317,100 |
Banco Santander SA | ||
5.15%, 8/18/2025 | 1,400,000 | 1,389,617 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (f) | 800,000 | 723,817 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 9.63%, 11/21/2028 (c) (d) (e) (f) | 1,000,000 | 1,056,977 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.30%), 9.63%, 5/21/2033 (c) (d) (e) (f) | 400,000 | 428,387 |
CaixaBank SA | ||
1.13%, 3/27/2026 (a) | EUR1,000,000 | 1,024,873 |
(EUR Swap Annual 5 Year + 6.35%), 5.88%, 10/9/2027 (a) (c) (d) (e) (f) | EUR400,000 | 420,570 |
(EUR Swap Annual 5 Year + 3.86%), 3.63%, 9/14/2028 (a) (c) (d) (e) (f) | EUR600,000 | 511,845 |
(SOFR + 2.77%), 6.84%, 9/13/2034 (b) (f) | 425,000 | 446,859 |
Cellnex Finance Co. SA 2.25%, 4/12/2026 (a) | EUR500,000 | 521,149 |
Cellnex Telecom SA | ||
1.00%, 4/20/2027 (a) | EUR600,000 | 592,947 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Spain — continued | ||
1.88%, 6/26/2029 (a) | EUR800,000 | 780,358 |
1.75%, 10/23/2030 (a) | EUR800,000 | 754,111 |
Cirsa Finance International Sarl | ||
7.88%, 7/31/2028 (a) | EUR200,000 | 228,006 |
6.50%, 3/15/2029 (b) | EUR149,000 | 162,983 |
eDreams ODIGEO SA | ||
5.50%, 7/15/2027 (b) | EUR307,000 | 327,658 |
5.50%, 7/15/2027 (a) | EUR400,000 | 426,916 |
Grifols SA | ||
1.63%, 2/15/2025 (a) | EUR550,000 | 577,087 |
3.20%, 5/1/2025 (a) | EUR100,000 | 103,839 |
2.25%, 11/15/2027 (a) | EUR1,000,000 | 976,894 |
3.88%, 10/15/2028 (a) | EUR500,000 | 458,448 |
Grupo Antolin-Irausa SA | ||
3.38%, 4/30/2026 (a) | EUR100,000 | 97,812 |
3.50%, 4/30/2028 (a) | EUR300,000 | 248,044 |
Iberdrola International BV | ||
(EUR Swap Annual 5 Year + 2.06%), 2.63%, 3/22/2024 (a) (d) (e) (f) | EUR800,000 | 862,653 |
Series NC5, (EUR Swap Annual 5 Year + 2.32%), 1.87%, 1/28/2026 (a) (d) (e) (f) | EUR300,000 | 306,787 |
Kaixo Bondco Telecom SA 5.13%, 9/30/2029 (a) | EUR392,000 | 415,120 |
Lorca Telecom Bondco SA 4.00%, 9/18/2027 (a) | EUR1,066,000 | 1,128,136 |
Naturgy Finance BV (EUR Swap Annual 9 Year + 3.08%), 3.38%, 4/24/2024 (a) (d) (e) (f) | EUR200,000 | 215,543 |
Repsol International Finance BV (EUR Swap Annual 10 Year + 4.20%), 4.50%, 3/25/2075 (a) (f) | EUR800,000 | 859,885 |
Telefonica Emisiones SA 5.21%, 3/8/2047 | 150,000 | 134,916 |
Telefonica Europe BV | ||
(EUR Swap Annual 8 Year + 2.97%), 3.88%, 6/22/2026 (a) (d) (e) (f) | EUR900,000 | 947,283 |
116 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Spain — continued | ||
(EUR Swap Annual 6 Year + 2.87%), 2.88%, 2/24/2028 (a) (d) (e) (f) | EUR1,000,000 | 985,977 |
(EUR Swap Annual 7 Year + 3.35%), 6.14%, 2/3/2030 (a) (d) (e) (f) | EUR500,000 | 548,640 |
21,561,627 | ||
Sweden — 0.9% | ||
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) | 1,000,000 | 835,510 |
Verisure Holding AB | ||
3.88%, 7/15/2026 (a) | EUR475,000 | 504,637 |
3.25%, 2/15/2027 (a) | EUR1,100,000 | 1,136,479 |
Verisure Midholding AB 5.25%, 2/15/2029 (a) | EUR500,000 | 521,635 |
Volvo Car AB | ||
2.00%, 1/24/2025 (a) | EUR200,000 | 211,297 |
2.50%, 10/7/2027 (a) | EUR400,000 | 406,895 |
3,616,453 | ||
Switzerland — 1.6% | ||
Dufry One BV | ||
2.50%, 10/15/2024 (a) | EUR700,000 | 747,103 |
2.00%, 2/15/2027 (a) | EUR700,000 | 704,018 |
Holcim Finance Luxembourg SA 0.50%, 4/23/2031 (a) | EUR900,000 | 771,525 |
Holcim Sterling Finance Netherlands BV 2.25%, 4/4/2034 (a) | GBP300,000 | 288,901 |
Swiss Re Finance Luxembourg SA (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 5.00%, 4/2/2049 (b) (f) | 200,000 | 193,891 |
UBS Group AG | ||
(SOFR + 3.34%), 6.37%, 7/15/2026 (b) (f) | 300,000 | 302,058 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (b) (f) | 322,000 | 315,621 |
4.28%, 1/9/2028 (b) | 550,000 | 527,816 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Switzerland — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 9.25%, 11/13/2028 (b) (c) (d) (e) (f) | 200,000 | 213,520 |
(SOFR + 3.73%), 4.19%, 4/1/2031 (b) (f) | 274,000 | 251,998 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.10%, 2/11/2032 (b) (f) | 280,000 | 221,074 |
(SOFR + 1.73%), 3.09%, 5/14/2032 (b) (f) | 561,000 | 471,430 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (f) | 430,000 | 346,365 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.40%), 4.99%, 8/5/2033 (b) (f) | 200,000 | 190,651 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.76%), 9.25%, 11/13/2033 (b) (c) (d) (e) (f) | 200,000 | 220,973 |
Zurich Insurance Co. Ltd. (EURIBOR 3 Month + 3.95%), 3.50%, 10/1/2046 (a) (f) | EUR700,000 | 741,169 |
6,508,113 | ||
Taiwan — 0.4% | ||
TSMC Arizona Corp. 4.25%, 4/22/2032 | 380,000 | 365,112 |
TSMC Global Ltd. | ||
1.25%, 4/23/2026 (b) | 700,000 | 645,267 |
2.25%, 4/23/2031 (b) | 700,000 | 586,509 |
1,596,888 | ||
United Kingdom — 9.8% | ||
888 Acquisitions Ltd. | ||
7.56%, 7/15/2027 (b) | EUR230,000 | 241,251 |
7.56%, 7/15/2027 (a) | EUR300,000 | 314,630 |
AstraZeneca plc | ||
0.38%, 6/3/2029 (a) | EUR700,000 | 651,554 |
4.00%, 9/18/2042 | 490,000 | 418,205 |
Barclays plc (SOFR + 2.22%), 6.49%, 9/13/2029 (f) | 270,000 | 278,312 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 117 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
United Kingdom — continued | ||
BAT Capital Corp. | ||
6.34%, 8/2/2030 | 380,000 | 392,425 |
7.08%, 8/2/2043 | 1,005,000 | 1,047,305 |
Bellis Acquisition Co. plc | ||
3.25%, 2/16/2026 (a) | GBP300,000 | 357,892 |
4.50%, 2/16/2026 (a) | GBP200,000 | 243,018 |
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 | 201,015 |
(EUR Swap Annual 5 Year + 3.52%), 3.25%, 3/22/2026 (a) (d) (e) (f) | EUR1,150,000 | 1,199,040 |
(EUR Swap Annual 5 Year + 3.78%), 3.63%, 3/22/2029 (a) (d) (e) (f) | EUR200,000 | 201,859 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (d) (e) (f) | 94,000 | 88,712 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.15%), 6.45%, 12/1/2033 (d) (e) (f) | 380,000 | 380,852 |
Cadent Finance plc 0.63%, 3/19/2030 (a) | EUR800,000 | 717,349 |
Centrica plc 4.38%, 3/13/2029 (a) | GBP200,000 | 243,105 |
CPUK Finance Ltd. 4.50%, 8/28/2027 (a) | GBP400,000 | 452,535 |
EC Finance plc 3.00%, 10/15/2026 (a) | EUR899,000 | 942,490 |
Eversholt Funding plc 2.74%, 6/30/2040 (a) | GBP676,927 | 704,600 |
Gatwick Funding Ltd. 2.50%, 4/15/2030 (a) | GBP700,000 | 759,806 |
Heathrow Funding Ltd. | ||
1.50%, 10/12/2025 (a) | EUR800,000 | 831,289 |
6.75%, 12/3/2026 (a) | GBP300,000 | 391,325 |
1.50%, 2/11/2030 (a) | EUR300,000 | 284,168 |
1.13%, 10/8/2030 (a) | EUR1,000,000 | 913,881 |
1.88%, 3/14/2034 (a) | EUR250,000 | 221,372 |
5.88%, 5/13/2041 (a) | GBP100,000 | 128,848 |
HSBC Holdings plc | ||
(SOFR + 1.54%), 1.65%, 4/18/2026 (f) | 490,000 | 467,662 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United Kingdom — continued | ||
(SOFR + 3.03%), 7.34%, 11/3/2026 (f) | 720,000 | 741,329 |
5.75%, 12/20/2027 (a) | GBP200,000 | 255,528 |
(SOFR + 2.61%), 5.21%, 8/11/2028 (f) | 380,000 | 376,315 |
(SOFR + 1.73%), 2.01%, 9/22/2028 (f) | 3,260,000 | 2,888,228 |
(SOFR + 1.29%), 2.21%, 8/17/2029 (f) | 985,000 | 855,169 |
(3-MONTH CME TERM SOFR + 1.87%), 3.97%, 5/22/2030 (f) | 374,000 | 346,782 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (c) (d) (e) (f) | 695,000 | 576,039 |
(SOFR + 1.41%), 2.87%, 11/22/2032 (f) | 440,000 | 362,953 |
Iceland Bondco plc 10.88%, 12/15/2027 (b) | GBP120,000 | 160,158 |
INEOS Quattro Finance 1 plc 3.75%, 7/15/2026 (a) | EUR400,000 | 415,580 |
INEOS Quattro Finance 2 plc 8.50%, 3/15/2029 (b) | EUR200,000 | 226,240 |
INEOS Styrolution Ludwigshafen GmbH 2.25%, 1/16/2027 (a) | EUR300,000 | 297,382 |
International Consolidated Airlines Group SA | ||
2.75%, 3/25/2025 (a) | EUR100,000 | 106,326 |
1.50%, 7/4/2027 (a) | EUR700,000 | 696,035 |
Jaguar Land Rover Automotive plc | ||
4.50%, 1/15/2026 (a) | EUR500,000 | 540,185 |
4.50%, 7/15/2028 (a) | EUR100,000 | 106,848 |
Lloyds Banking Group plc | ||
4.58%, 12/10/2025 | 200,000 | 195,989 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.48%), 5.99%, 8/7/2027 (f) | 410,000 | 412,874 |
National Grid plc | ||
2.18%, 6/30/2026 (a) | EUR900,000 | 940,081 |
0.25%, 9/1/2028 (a) | EUR800,000 | 744,239 |
NatWest Group plc | ||
(3-MONTH SOFR + 1.76%), 4.27%, 3/22/2025 (f) | 780,000 | 779,327 |
118 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
United Kingdom — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (c) (d) (e) (f) | 650,000 | 631,118 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.27%), 5.52%, 9/30/2028 (f) | 400,000 | 400,083 |
(EURIBOR 3 Month + 0.89%), 0.67%, 9/14/2029 (a) (f) | EUR1,200,000 | 1,120,197 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.78%, 3/1/2035 (f) | 440,000 | 439,125 |
NGG Finance plc (EUR Swap Annual 5 Year + 2.53%), 2.13%, 9/5/2082 (a) (f) | EUR730,000 | 719,948 |
Nomad Foods Bondco plc 2.50%, 6/24/2028 (a) | EUR600,000 | 598,954 |
Pinnacle Bidco plc 8.25%, 10/11/2028 (b) | EUR287,000 | 324,210 |
Punch Finance plc 6.13%, 6/30/2026 (a) | GBP438,000 | 533,597 |
RAC Bond Co. plc 5.25%, 11/4/2027 (a) | GBP554,000 | 649,955 |
RELX Finance BV 0.88%, 3/10/2032 (a) | EUR500,000 | 443,378 |
Rolls-Royce plc | ||
0.88%, 5/9/2024 (a) | EUR600,000 | 644,073 |
4.63%, 2/16/2026 (a) | EUR700,000 | 763,293 |
1.63%, 5/9/2028 (a) | EUR100,000 | 98,364 |
Santander UK Group Holdings plc | ||
(SOFR + 2.75%), 6.83%, 11/21/2026 (f) | 285,000 | 289,346 |
(SOFR + 0.99%), 1.67%, 6/14/2027 (f) | 900,000 | 818,120 |
(SOFR + 2.60%), 6.53%, 1/10/2029 (f) | 665,000 | 681,900 |
South Eastern Power Networks plc 5.63%, 9/30/2030 (a) | GBP400,000 | 521,364 |
Standard Chartered plc | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 3.97%, 3/30/2026 (b) (f) | 395,000 | 386,282 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (b) (f) | 670,000 | 712,016 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United Kingdom — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.85%), 4.64%, 4/1/2031 (b) (f) | 650,000 | 613,704 |
Synthomer plc 3.88%, 7/1/2025 (a) | EUR400,000 | 426,887 |
Thames Water Utilities Finance plc 4.38%, 1/18/2031 (a) | EUR400,000 | 399,352 |
Virgin Media Finance plc 3.75%, 7/15/2030 (a) | EUR800,000 | 756,733 |
Vmed O2 UK Financing I plc 3.25%, 1/31/2031 (a) | EUR500,000 | 478,854 |
Vodafone Group plc | ||
(EUR Swap Annual 5 Year + 3.43%), 4.20%, 10/3/2078 (a) (f) | EUR700,000 | 736,390 |
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (f) | 429,000 | 439,607 |
(EUR Swap Annual 5 Year + 3.48%), 3.00%, 8/27/2080 (a) (f) | EUR925,000 | 886,170 |
40,611,127 | ||
United States — 10.2% | ||
AbbVie, Inc. | ||
5.05%, 3/15/2034 | 740,000 | 743,684 |
4.25%, 11/21/2049 | 530,000 | 454,688 |
5.40%, 3/15/2054 | 110,000 | 111,663 |
AES Corp. (The) | ||
3.30%, 7/15/2025 (b) | 31,000 | 29,891 |
3.95%, 7/15/2030 (b) | 42,000 | 38,159 |
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 | 93,831 |
American Medical Systems Europe BV 1.63%, 3/8/2031 | EUR100,000 | 95,535 |
Amgen, Inc. | ||
5.25%, 3/2/2033 | 329,000 | 328,098 |
4.66%, 6/15/2051 | 150,000 | 130,543 |
Ardagh Packaging Finance plc 2.13%, 8/15/2026 (a) | EUR900,000 | 876,579 |
AT&T, Inc. | ||
3.50%, 9/15/2053 | 130,000 | 89,354 |
3.55%, 9/15/2055 | 99,000 | 67,442 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 119 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
United States — continued | ||
Bank of America Corp. | ||
(SOFR + 1.29%), 5.08%, 1/20/2027 (f) | 210,000 | 208,671 |
(SOFR + 1.05%), 2.55%, 2/4/2028 (f) | 175,000 | 161,952 |
(SOFR + 1.63%), 5.20%, 4/25/2029 (f) | 500,000 | 497,292 |
(SOFR + 1.57%), 5.82%, 9/15/2029 (f) | 1,080,000 | 1,100,604 |
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (f) | 560,000 | 468,657 |
(SOFR + 1.32%), 2.69%, 4/22/2032 (f) | 249,000 | 208,519 |
(SOFR + 1.22%), 2.30%, 7/21/2032 (f) | 470,000 | 380,427 |
(SOFR + 1.84%), 5.87%, 9/15/2034 (f) | 360,000 | 369,148 |
(SOFR + 1.65%), 5.47%, 1/23/2035 (f) | 480,000 | 478,612 |
Baxter International, Inc. 2.54%, 2/1/2032 | 605,000 | 496,039 |
Berkshire Hathaway Energy Co. 4.60%, 5/1/2053 | 47,000 | 40,129 |
Boeing Co. (The) 5.81%, 5/1/2050 | 205,000 | 197,595 |
BP Capital Markets America, Inc. | ||
2.72%, 1/12/2032 | 881,000 | 747,552 |
4.81%, 2/13/2033 | 600,000 | 585,352 |
Bristol-Myers Squibb Co. | ||
5.20%, 2/22/2034 | 530,000 | 534,306 |
5.55%, 2/22/2054 | 230,000 | 232,727 |
5.65%, 2/22/2064 | 155,000 | 156,419 |
Broadcom, Inc. 3.47%, 4/15/2034 (b) | 1,090,000 | 920,570 |
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) | 310,000 | 272,766 |
CCO Holdings LLC 5.13%, 5/1/2027 (b) | 140,000 | 132,323 |
Cencora, Inc. 2.70%, 3/15/2031 | 839,000 | 716,803 |
CenterPoint Energy, Inc. 2.95%, 3/1/2030 | 280,000 | 247,606 |
CF Industries, Inc. 4.95%, 6/1/2043 | 224,000 | 199,178 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United States — continued | ||
Charter Communications Operating LLC | ||
3.70%, 4/1/2051 | 308,000 | 186,970 |
3.90%, 6/1/2052 | 282,000 | 177,293 |
Cheniere Energy Partners LP 5.95%, 6/30/2033 | 540,000 | 543,546 |
Citigroup, Inc. | ||
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 | 151,432 |
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (d) (e) (f) | 686,000 | 644,414 |
(SOFR + 1.17%), 2.56%, 5/1/2032 (f) | 320,000 | 263,464 |
(SOFR + 1.18%), 2.52%, 11/3/2032 (f) | 140,000 | 113,636 |
Columbia Pipelines Operating Co. LLC | ||
5.93%, 8/15/2030 (b) | 800,000 | 814,883 |
6.04%, 11/15/2033 (b) | 200,000 | 205,360 |
Comcast Corp. | ||
2.80%, 1/15/2051 | 130,000 | 81,267 |
5.35%, 5/15/2053 | 1,365,000 | 1,330,223 |
2.94%, 11/1/2056 | 290,000 | 178,446 |
Constellation Energy Generation LLC | ||
5.80%, 3/1/2033 | 200,000 | 204,418 |
5.60%, 6/15/2042 | 210,000 | 204,575 |
6.50%, 10/1/2053 | 140,000 | 153,650 |
Crown Castle, Inc., REIT 4.80%, 9/1/2028 | 190,000 | 185,461 |
CVS Health Corp. 5.25%, 2/21/2033 | 131,000 | 129,665 |
Danaher Corp. 2.80%, 12/10/2051 | 85,000 | 55,257 |
Diamondback Energy, Inc. 3.13%, 3/24/2031 | 277,000 | 242,856 |
Discovery Communications LLC 3.63%, 5/15/2030 | 50,000 | 43,948 |
Duke Energy Indiana LLC 5.40%, 4/1/2053 | 35,000 | 33,756 |
Duke Energy Ohio, Inc. | ||
5.25%, 4/1/2033 | 45,000 | 45,035 |
120 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
United States — continued | ||
5.65%, 4/1/2053 | 15,000 | 15,137 |
Duquesne Light Holdings, Inc. 2.78%, 1/7/2032 (b) | 140,000 | 113,511 |
EMRLD Borrower LP 6.38%, 12/15/2030 (b) | EUR182,000 | 206,541 |
Energy Transfer LP (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.02%), 8.00%, 5/15/2054 (f) | 490,000 | 509,110 |
Entergy Texas, Inc. 1.75%, 3/15/2031 | 115,000 | 92,140 |
Fells Point Funding Trust 3.05%, 1/31/2027 (b) | 274,000 | 256,381 |
FirstEnergy Transmission LLC 2.87%, 9/15/2028 (b) | 705,000 | 636,875 |
Ford Motor Credit Co. LLC | ||
4.27%, 1/9/2027 | 200,000 | 191,593 |
3.63%, 6/17/2031 | 467,000 | 398,113 |
Freeport-McMoRan, Inc. | ||
4.13%, 3/1/2028 | 119,000 | 112,907 |
4.25%, 3/1/2030 | 218,000 | 203,686 |
4.63%, 8/1/2030 | 740,000 | 705,209 |
5.40%, 11/14/2034 | 29,000 | 28,211 |
General Electric Co. 4.13%, 9/19/2035 (a) | EUR100,000 | 110,713 |
Gilead Sciences, Inc. 5.55%, 10/15/2053 | 430,000 | 438,309 |
Global Payments, Inc. 2.90%, 11/15/2031 | 265,000 | 221,173 |
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 | 9,199 |
(SOFR + 0.91%), 1.95%, 10/21/2027 (f) | 355,000 | 324,984 |
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 7.50%, 2/10/2029 (d) (e) (f) | 510,000 | 536,277 |
(SOFR + 1.28%), 2.62%, 4/22/2032 (f) | 290,000 | 241,129 |
(SOFR + 1.25%), 2.38%, 7/21/2032 (f) | 190,000 | 154,619 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United States — continued | ||
(SOFR + 1.26%), 2.65%, 10/21/2032 (f) | 300,000 | 247,432 |
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (b) | 50,000 | 47,568 |
HCA, Inc. | ||
5.88%, 2/15/2026 | 185,000 | 185,767 |
5.20%, 6/1/2028 | 170,000 | 169,367 |
2.38%, 7/15/2031 | 370,000 | 301,113 |
5.50%, 6/15/2047 | 91,000 | 84,727 |
5.25%, 6/15/2049 | 500,000 | 450,225 |
3.50%, 7/15/2051 | 150,000 | 101,354 |
4.63%, 3/15/2052 | 687,000 | 562,490 |
Healthpeak OP LLC, REIT 5.25%, 12/15/2032 | 367,000 | 358,972 |
Hyundai Capital America | ||
3.50%, 11/2/2026 (b) | 555,000 | 529,238 |
3.50%, 11/2/2026 (a) | 150,000 | 143,037 |
6.50%, 1/16/2029 (b) | 110,000 | 115,119 |
International Game Technology plc 2.38%, 4/15/2028 (a) | EUR200,000 | 202,942 |
JBS USA LUX SA | ||
6.75%, 3/15/2034 (b) | 240,000 | 247,199 |
4.38%, 2/2/2052 | 120,000 | 86,331 |
7.25%, 11/15/2053 (b) | 290,000 | 303,841 |
KeyCorp (SOFR + 2.42%), 6.40%, 3/6/2035 (f) | 830,000 | 832,425 |
Kinder Morgan, Inc. 5.20%, 6/1/2033 | 230,000 | 223,924 |
Kraft Heinz Foods Co. 4.88%, 10/1/2049 | 250,000 | 223,036 |
Lowe's Cos., Inc. 4.80%, 4/1/2026 | 225,000 | 223,625 |
Meta Platforms, Inc. 4.45%, 8/15/2052 | 148,000 | 129,308 |
Metropolitan Life Global Funding I 3.30%, 3/21/2029 (b) | 185,000 | 169,864 |
Morgan Stanley | ||
(SOFR + 0.88%), 1.59%, 5/4/2027 (f) | 690,000 | 636,118 |
(SOFR + 1.61%), 4.21%, 4/20/2028 (f) | 315,000 | 304,880 |
(SOFR + 1.73%), 5.12%, 2/1/2029 (f) | 455,000 | 452,019 |
(SOFR + 1.59%), 5.16%, 4/20/2029 (f) | 575,000 | 571,711 |
(SOFR + 1.63%), 5.45%, 7/20/2029 (f) | 870,000 | 873,312 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 121 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
United States — continued | ||
(SOFR + 1.18%), 2.24%, 7/21/2032 (f) | 220,000 | 177,235 |
(SOFR + 1.20%), 2.51%, 10/20/2032 (f) | 173,000 | 141,658 |
(SOFR + 1.88%), 5.42%, 7/21/2034 (f) | 290,000 | 288,278 |
(SOFR + 1.73%), 5.47%, 1/18/2035 (f) | 140,000 | 139,835 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (f) | 125,000 | 124,670 |
Netflix, Inc. 5.38%, 11/15/2029 (b) | 357,000 | 362,521 |
OI European Group BV 6.25%, 5/15/2028 (b) | EUR180,000 | 201,843 |
Oracle Corp. | ||
3.60%, 4/1/2050 | 70,000 | 49,283 |
5.55%, 2/6/2053 | 181,000 | 172,917 |
Pacific Gas and Electric Co. | ||
3.30%, 3/15/2027 | 366,000 | 343,027 |
6.15%, 1/15/2033 | 460,000 | 470,552 |
6.40%, 6/15/2033 | 360,000 | 374,296 |
5.80%, 5/15/2034 | 395,000 | 394,585 |
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (b) (g) (h) | 9,000 | 5,707 |
Pfizer Investment Enterprises Pte. Ltd. 5.34%, 5/19/2063 | 120,000 | 115,590 |
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) | 321,000 | 271,660 |
(SOFR + 1.90%), 5.68%, 1/22/2035 (f) | 110,000 | 110,317 |
Regency Centers LP, REIT 2.95%, 9/15/2029 | 95,000 | 84,093 |
Roper Technologies, Inc. 2.95%, 9/15/2029 | 160,000 | 143,262 |
State Street Corp. Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.61%), 6.70%, 3/15/2029 (d) (e) (f) | 180,000 | 179,513 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United States — continued | ||
Take-Two Interactive Software, Inc. | ||
3.55%, 4/14/2025 | 60,000 | 58,770 |
5.00%, 3/28/2026 | 57,000 | 56,689 |
3.70%, 4/14/2027 | 210,000 | 200,805 |
Texas Instruments, Inc. 5.00%, 3/14/2053 | 90,000 | 87,444 |
Thermo Fisher Scientific, Inc. 0.88%, 10/1/2031 | EUR100,000 | 89,616 |
T-Mobile USA, Inc. | ||
2.63%, 2/15/2029 | 34,000 | 30,147 |
2.55%, 2/15/2031 | 81,000 | 68,294 |
Truist Financial Corp. | ||
(SOFR + 2.30%), 6.12%, 10/28/2033 (f) | 95,000 | 96,673 |
(SOFR + 1.85%), 5.12%, 1/26/2034 (f) | 410,000 | 388,913 |
(SOFR + 2.36%), 5.87%, 6/8/2034 (f) | 336,000 | 335,966 |
(SOFR + 1.92%), 5.71%, 1/24/2035 (f) | 75,000 | 74,252 |
UGI International LLC 2.50%, 12/1/2029 (a) | EUR350,000 | 336,594 |
Union Electric Co. 3.90%, 4/1/2052 | 80,000 | 62,274 |
US Bancorp (SOFR + 1.86%), 5.68%, 1/23/2035 (f) | 110,000 | 109,744 |
Warnermedia Holdings, Inc. | ||
4.28%, 3/15/2032 | 1,452,000 | 1,280,936 |
5.05%, 3/15/2042 | 155,000 | 130,342 |
5.14%, 3/15/2052 | 111,000 | 90,198 |
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 | 319,920 |
(SOFR + 1.74%), 5.57%, 7/25/2029 (f) | 780,000 | 785,108 |
(SOFR + 1.99%), 5.56%, 7/25/2034 (f) | 500,000 | 498,068 |
122 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
United States — continued | ||
(SOFR + 1.78%), 5.50%, 1/23/2035 (f) | 390,000 | 387,424 |
Welltower OP LLC, REIT 2.80%, 6/1/2031 | 220,000 | 186,804 |
42,510,853 | ||
Total Corporate Bonds (Cost $260,519,700) | 248,388,613 | |
Foreign Government Securities — 31.5% | ||
Angola — 0.2% | ||
Republic of Angola | ||
8.00%, 11/26/2029 (a) | 210,000 | 186,801 |
8.75%, 4/14/2032 (b) | 483,000 | 424,364 |
611,165 | ||
Australia — 2.4% | ||
Commonwealth of Australia | ||
1.25%, 5/21/2032 | AUD16,638,000 | 8,696,935 |
3.00%, 3/21/2047 (a) | AUD2,140,000 | 1,090,695 |
9,787,630 | ||
Bahrain — 0.1% | ||
Kingdom of Bahrain 6.00%, 9/19/2044 (a) | 335,000 | 270,311 |
Brazil — 7.1% | ||
Notas do Tesouro Nacional | ||
10.00%, 1/1/2025 (g) | BRL40,000,000 | 8,044,150 |
10.00%, 1/1/2027 (g) | BRL107,300,000 | 21,563,788 |
29,607,938 | ||
Canada — 4.2% | ||
Canada Government Bond | ||
1.50%, 5/1/2024 | CAD4,039,000 | 2,959,781 |
2.75%, 8/1/2024 | CAD7,000,000 | 5,111,808 |
1.50%, 9/1/2024 | CAD8,795,000 | 6,376,610 |
3.00%, 11/1/2024 | CAD4,175,000 | 3,038,953 |
17,487,152 | ||
Colombia — 0.4% | ||
Republic of Colombia | ||
3.13%, 4/15/2031 | 460,000 | 364,067 |
7.50%, 2/2/2034 | 790,000 | 799,172 |
5.20%, 5/15/2049 | 520,000 | 377,619 |
8.75%, 11/14/2053 | 277,000 | 296,603 |
1,837,461 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Costa Rica — 0.2% | ||
Republic of Costa Rica | ||
6.13%, 2/19/2031 (a) | 300,000 | 304,350 |
7.30%, 11/13/2054 (b) | 521,000 | 549,514 |
853,864 | ||
Czech Republic — 1.7% | ||
Czech Republic | ||
4.50%, 11/11/2032 | CZK57,580,000 | 2,583,967 |
4.90%, 4/14/2034 | CZK68,550,000 | 3,169,763 |
1.95%, 7/30/2037 | CZK37,240,000 | 1,256,052 |
7,009,782 | ||
Dominican Republic — 0.3% | ||
Dominican Republic Government Bond | ||
6.88%, 1/29/2026 (b) | 280,000 | 282,975 |
5.30%, 1/21/2041 (b) | 375,000 | 314,812 |
6.85%, 1/27/2045 (a) | 660,000 | 648,120 |
1,245,907 | ||
Germany — 0.3% | ||
Bundesrepublik Deutschland 2.30%, 2/15/2033 (a) | EUR1,090,000 | 1,171,409 |
Hungary — 0.3% | ||
Hungary Government Bond | ||
5.50%, 3/26/2036 (b) | 936,000 | 901,293 |
6.75%, 9/25/2052 (b) | 394,000 | 418,089 |
1,319,382 | ||
Israel — 0.1% | ||
State of Israel Government Bond 3.38%, 1/15/2050 | 570,000 | 382,791 |
Italy — 0.2% | ||
Italian Republic Government Bond 2.88%, 10/17/2029 | 1,135,000 | 999,454 |
Ivory Coast — 0.3% | ||
Republic of Cote d'Ivoire | ||
6.38%, 3/3/2028 (a) | 270,000 | 261,731 |
6.13%, 6/15/2033 (a) | 570,000 | 500,004 |
6.88%, 10/17/2040 (b) | EUR730,000 | 653,871 |
1,415,606 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 123 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Lebanon — 0.0% ^ | ||
Lebanese Republic | ||
6.65%, 4/22/2024 (a) (g) | 227,000 | 13,052 |
6.65%, 11/3/2028 (a) (g) | 226,000 | 12,995 |
26,047 | ||
Mexico — 4.2% | ||
Mex Bonos Desarr Fix Rt | ||
7.75%, 5/29/2031 | MXN125,280,000 | 6,795,572 |
7.50%, 5/26/2033 | MXN92,230,000 | 4,852,177 |
8.00%, 5/24/2035 | MXN72,630,000 | 3,893,674 |
United Mexican States | ||
4.49%, 5/25/2032 | EUR496,000 | 540,414 |
6.35%, 2/9/2035 | 325,000 | 332,615 |
3.77%, 5/24/2061 | 392,000 | 252,271 |
3.75%, 4/19/2071 | 1,433,000 | 903,220 |
17,569,943 | ||
New Zealand — 0.5% | ||
New Zealand Government Bond | ||
4.50%, 4/15/2027 (a) | NZD952,000 | 577,312 |
2.75%, 4/15/2037 (a) | NZD3,201,000 | 1,550,218 |
2,127,530 | ||
Nigeria — 0.1% | ||
Federal Republic of Nigeria | ||
7.63%, 11/21/2025 (a) | 300,000 | 295,219 |
7.38%, 9/28/2033 (b) | 327,000 | 273,944 |
569,163 | ||
Oman — 0.3% | ||
Sultanate of Oman Government Bond | ||
5.63%, 1/17/2028 (a) | 300,000 | 300,000 |
6.25%, 1/25/2031 (a) | 550,000 | 563,578 |
6.75%, 1/17/2048 (a) | 320,000 | 321,837 |
1,185,415 | ||
Paraguay — 0.1% | ||
Republic of Paraguay 4.95%, 4/28/2031 (b) | 550,000 | 527,714 |
Philippines — 0.1% | ||
Republic of Philippines | ||
2.95%, 5/5/2045 | 330,000 | 228,980 |
5.50%, 1/17/2048 | 200,000 | 202,200 |
431,180 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Poland — 0.7% | ||
Republic of Poland 6.00%, 10/25/2033 | PLN10,400,000 | 2,728,206 |
Romania — 0.5% | ||
Romania Government Bond | ||
6.63%, 9/27/2029 (b) | EUR776,000 | 898,508 |
6.38%, 1/30/2034 (b) | 554,000 | 551,324 |
4.63%, 4/3/2049 (b) | EUR276,000 | 249,866 |
7.63%, 1/17/2053 (b) | 148,000 | 161,375 |
1,861,073 | ||
Saudi Arabia — 0.3% | ||
Kingdom of Saudi Arabia 5.00%, 1/18/2053 (b) | 1,246,000 | 1,098,960 |
Senegal — 0.1% | ||
Republic of Senegal 6.25%, 5/23/2033 (a) | 660,000 | 549,450 |
South Africa — 1.1% | ||
Republic of South Africa | ||
4.30%, 10/12/2028 | 490,000 | 441,306 |
8.25%, 3/31/2032 | ZAR29,250,000 | 1,302,944 |
8.88%, 2/28/2035 | ZAR49,822,132 | 2,149,521 |
5.75%, 9/30/2049 | 710,000 | 516,969 |
4,410,740 | ||
Spain — 4.0% | ||
Bonos and Obligaciones del Estado | ||
0.25%, 7/30/2024 | EUR3,000,000 | 3,195,580 |
2.75%, 10/31/2024 (a) | EUR5,480,000 | 5,884,878 |
1.60%, 4/30/2025 (a) | EUR7,070,000 | 7,488,691 |
16,569,149 | ||
Turkey — 0.2% | ||
Republic of Turkey | ||
9.88%, 1/15/2028 | 350,000 | 383,908 |
7.63%, 5/15/2034 | 568,000 | 565,870 |
949,778 | ||
United Arab Emirates — 0.1% | ||
United Arab Emirates Government Bond 4.00%, 7/28/2050 (b) | 400,000 | 253,584 |
United Kingdom — 1.4% | ||
United Kingdom of Great Britain and Northern Ireland 3.75%, 10/22/2053 (a) | GBP5,390,000 | 5,921,345 |
124 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Uruguay — 0.0% ^ | ||
Oriental Republic of Uruguay 5.10%, 6/18/2050 | 88,906 | 85,328 |
Total Foreign Government Securities (Cost $135,178,623) | 130,864,457 | |
U.S. Treasury Obligations — 1.1% | ||
United States — 1.1% | ||
U.S. Treasury Inflation Linked Notes , 1.38%, 7/15/2033 (Cost $4,342,087) | 4,484,400 | 4,292,712 |
Asset-Backed Securities — 1.0% | ||
Cayman Islands — 0.2% | ||
Bain Capital Credit CLO Ltd. Series 2021-7A, Class A1, 6.72%, 1/22/2035 (b) (j) | 250,000 | 250,123 |
Dryden CLO Ltd. Series 2019-68A, Class AR, 6.75%, 7/15/2035 (b) (j) | 290,000 | 290,318 |
Galaxy CLO Ltd. Series 2013-15A, Class ARR, 6.55%, 10/15/2030 (b) (j) | 191,578 | 191,617 |
Neuberger Berman CLO Series 2013-15A, Class A1R2, 6.50%, 10/15/2029 (b) (j) | 234,599 | 234,938 |
966,996 | ||
United States — 0.8% | ||
Accelerated Assets LLC Series 2018-1, Class C, 6.65%, 12/2/2033 (b) | 63,661 | 62,446 |
American Credit Acceptance Receivables Trust | ||
Series 2023-1, Class A, 5.45%, 9/14/2026 (b) | 64,005 | 63,975 |
Series 2023-1, Class C, 5.59%, 4/12/2029 (b) | 267,000 | 265,754 |
BMW Vehicle Lease Trust Series 2023-1, Class A3, 5.16%, 11/25/2025 | 81,000 | 80,809 |
Chase Funding Trust Series 2003-6, Class 1A7, 5.28%, 11/25/2034 (h) | 55,444 | 53,564 |
Credit-Based Asset Servicing and Securitization LLC Series 2004-CB5, Class M1, 6.35%, 1/25/2034 (j) | 67,073 | 68,168 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United States — continued | ||
Flagship Credit Auto Trust | ||
Series 2023-1, Class A3, 5.01%, 8/16/2027 (b) | 88,000 | 87,401 |
Series 2023-1, Class B, 5.05%, 1/18/2028 (b) | 66,000 | 65,278 |
FREED ABS Trust Series 2022-3FP, Class B, 5.79%, 8/20/2029 (b) | 114,600 | 114,561 |
GM Financial Automobile Leasing Trust | ||
Series 2023-1, Class A2B, 5.87%, 6/20/2025 (j) | 52,123 | 52,156 |
Series 2023-1, Class A3, 5.16%, 4/20/2026 | 172,000 | 171,669 |
GoldenTree Loan Opportunities Ltd. Series 2015-10A, Class AR, 6.70%, 7/20/2031 (b) (j) | 238,337 | 238,637 |
JetBlue Pass-Through Trust | ||
Series 2019-1, Class B, 8.00%, 11/15/2027 | 115,970 | 117,019 |
Series 2019-1, Class A, 2.95%, 5/15/2028 | 40,855 | 35,651 |
Series 2020-1, Class B, 7.75%, 11/15/2028 | 32,288 | 32,999 |
Progress Residential Series 2021-SFR1, Class E, 2.11%, 4/17/2038 (b) | 250,000 | 227,314 |
Santander Revolving Auto Loan Trust Series 2019-A, Class D, 3.45%, 1/26/2032 (b) | 650,000 | 633,753 |
Structured Asset Investment Loan Trust Series 2005-HE3, Class M1, 6.16%, 9/25/2035 (j) | 12,992 | 12,730 |
US Auto Funding Series 2021-1A, Class C, 2.20%, 5/15/2026 (b) | 938,326 | 859,933 |
3,243,817 | ||
Total Asset-Backed Securities (Cost $4,315,886) | 4,210,813 | |
Commercial Mortgage-Backed Securities — 0.8% | ||
United States — 0.8% | ||
BANK Series 2018-BN13, Class C, 4.54%, 8/15/2061 (j) | 118,000 | 102,308 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 125 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
United States — continued | ||
Benchmark Mortgage Trust Series 2019-B11, Class C, 3.75%, 5/15/2052 (j) | 315,000 | 237,637 |
BHMS Series 2018-ATLS, Class A, 6.86%, 7/15/2035 (b) (j) | 130,000 | 129,586 |
BX Trust Series 2024-MF, Class B, 6.99%, 2/15/2039 (b) (j) | 320,000 | 319,200 |
Cascade Funding Mortgage Trust Series 2021-FRR1, Class BK45, 2.05%, 2/28/2025 (b) (j) | 1,000,000 | 939,936 |
CCUBS Commercial Mortgage Trust Series 2017-C1, Class C, 4.43%, 11/15/2050 (j) | 28,000 | 24,822 |
CD Mortgage Trust Series 2016-CD2, Class C, 3.98%, 11/10/2049 (j) | 21,000 | 17,199 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K739, Class X1, IO, 1.20%, 9/25/2027 (j) | 2,084,763 | 67,224 |
Series K072, Class X3, IO, 2.14%, 12/25/2045 (j) | 400,000 | 28,401 |
Series K089, Class X3, IO, 2.30%, 1/25/2046 (j) | 850,000 | 80,527 |
Series K078, Class X3, IO, 2.21%, 6/25/2046 (j) | 1,820,000 | 144,826 |
Series K088, Class X3, IO, 2.35%, 2/25/2047 (j) | 880,000 | 84,616 |
FREMF Series 2018-KF46, Class B, 7.40%, 3/25/2028 (b) (j) | 241,539 | 222,879 |
FREMF Mortgage Trust | ||
Series 2017-KF31, Class B, 8.35%, 4/25/2024 (b) (j) | 38,243 | 38,109 |
Series 2017-KF38, Class B, 7.95%, 9/25/2024 (b) (j) | 19,725 | 19,484 |
Series 2018-KF47, Class B, 7.45%, 5/25/2025 (b) (j) | 9,422 | 9,220 |
Series 2018-KF49, Class B, 7.35%, 6/25/2025 (b) (j) | 133,319 | 129,324 |
Series 2017-K728, Class C, 3.72%, 11/25/2050 (b) (j) | 105,000 | 103,152 |
GS Mortgage Securities Trust | ||
Series 2012-GCJ9, Class D, 4.75%, 11/10/2045 (b) (j) | 263,512 | 240,302 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United States — continued | ||
Series 2015-GC30, Class C, 4.07%, 5/10/2050 (j) | 36,000 | 31,623 |
JPMBB Commercial Mortgage Securities Trust | ||
Series 2015-C30, Class C, 4.23%, 7/15/2048 (j) | 62,000 | 49,038 |
Series 2015-C31, Class C, 4.62%, 8/15/2048 (j) | 23,000 | 18,778 |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-JP4, Class C, 3.38%, 12/15/2049 (j) | 28,000 | 22,627 |
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 (j) | 134,898 | 51,352 |
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24, Class C, 4.32%, 5/15/2048 (j) | 36,000 | 31,705 |
Morgan Stanley Capital I Trust Series 2015-MS1, Class B, 4.02%, 5/15/2048 (j) | 28,000 | 25,987 |
UBS Commercial Mortgage Trust Series 2017-C7, Class B, 4.29%, 12/15/2050 (j) | 106,000 | 96,307 |
Velocity Commercial Capital Loan Trust | ||
Series 2018-2, Class A, 4.05%, 10/26/2048 (b) (j) | 67,961 | 64,744 |
Series 2019-1, Class M1, 3.94%, 3/25/2049 (b) (j) | 74,805 | 66,343 |
Total Commercial Mortgage-Backed Securities (Cost $3,772,280) | 3,397,256 | |
Collateralized Mortgage Obligations — 0.6% | ||
United States — 0.6% | ||
Alternative Loan Trust | ||
Series 2004-25CB, Class A1, 6.00%, 12/25/2034 | 72,619 | 63,275 |
Series 2005-6CB, Class 1A6, 5.50%, 4/25/2035 | 50,723 | 42,045 |
Series 2005-80CB, Class 5A1, 6.00%, 2/25/2036 | 56,586 | 52,611 |
Series 2007-2CB, Class 1A6, 5.75%, 3/25/2037 | 110,439 | 58,722 |
126 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
United States — continued | ||
Chase Mortgage Finance Trust Series 2007-A1, Class 1A5, 5.59%, 2/25/2037 (j) | 9,299 | 8,913 |
CHL Mortgage Pass-Through Trust Series 2007-16, Class A1, 6.50%, 10/25/2037 | 39,689 | 16,140 |
Connecticut Avenue Securities Trust Series 2023-R02, Class 1M1, 7.62%, 1/25/2043 (b) (j) | 307,791 | 314,539 |
FHLMC, REMIC | ||
Series 4305, Class SK, IF, IO, 1.16%, 2/15/2044 (j) | 359,579 | 40,711 |
Series 4689, Class SD, IF, IO, 0.71%, 6/15/2047 (j) | 239,036 | 28,257 |
Series 5022, IO, 3.00%, 9/25/2050 | 368,954 | 59,674 |
Series 5023, Class MI, IO, 3.00%, 10/25/2050 | 652,736 | 103,441 |
Series 4839, Class WS, IF, IO, 0.66%, 8/15/2056 (j) | 1,666,739 | 202,570 |
FNMA, REMIC | ||
Series 2012-146, Class AI, IO, 3.00%, 1/25/2028 | 360,625 | 11,879 |
Series 2016-68, Class BI, IO, 3.00%, 10/25/2031 | 370,882 | 24,751 |
Series 2012-93, Class SE, IF, IO, 0.66%, 9/25/2042 (j) | 72,098 | 7,590 |
Series 2012-124, Class UI, IO, 4.00%, 11/25/2042 | 73,052 | 12,979 |
Series 2015-40, Class LS, IF, IO, 0.73%, 6/25/2045 (j) | 186,743 | 17,913 |
Series 2017-31, Class SG, IF, IO, 0.66%, 5/25/2047 (j) | 614,003 | 69,575 |
Series 2017-39, Class ST, IF, IO, 0.66%, 5/25/2047 (j) | 169,708 | 20,994 |
FNMA, STRIPS Series 409, Class 27, IO, 4.00%, 4/25/2027 (j) | 35,637 | 846 |
GNMA Series 2015-H13, Class GI, IO, 1.53%, 4/20/2065 (j) | 60,625 | 1,291 |
Merrill Lynch Mortgage Investors Trust Series 2004-C, Class A1, 6.00%, 7/25/2029 (j) | 6,973 | 6,647 |
MFA Trust Series 2023-RTL1, Class A1, 7.58%, 8/25/2027 (b) (h) | 230,000 | 229,578 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United States — continued | ||
Structured Adjustable Rate Mortgage Loan Trust Series 2004-8, Class 3A, 6.50%, 7/25/2034 (j) | 9,566 | 9,017 |
VM Master Issuer LLC Series 2022-1, Class A1, 5.16%, 5/24/2025 ‡ (b) (j) | 1,200,000 | 1,184,032 |
Total Collateralized Mortgage Obligations (Cost $2,960,147) | 2,587,990 | |
SHARES | ||
Common Stocks — 0.0% ^ | ||
United States — 0.0% ^ | ||
Windstream Holdings, Inc. ‡ *(Cost $—) | 16 | 168 |
Short-Term Investments — 2.9% | ||
Investment Companies — 2.9% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (k) (l)(Cost $12,140,460) | 12,140,460 | 12,140,460 |
Total Investments — 97.7% (Cost $423,229,183) | 405,882,469 | |
Other Assets Less Liabilities — 2.3% | 9,763,984 | |
NET ASSETS — 100.0% | 415,646,453 |
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 |
CME | Chicago Mercantile Exchange |
CZK | Czech Republic Koruna |
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 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 127 |
IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of February 29, 2024. 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 |
MXN | Mexican Peso |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
PT | Limited liability company |
REIT | Real Estate Investment Trust |
REMIC | 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. |
(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 29, 2024 is $17,056,742 or 4.10% of the Fund’s net assets as of February 29, 2024. | |
(d) | Security is an interest bearing note with preferred security characteristics. | |
(e) | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of February 29, 2024. | |
(f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2024. | |
(g) | Defaulted security. | |
(h) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2024. | |
(i) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(j) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 29, 2024. | |
(k) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(l) | The rate shown is the current yield as of February 29, 2024. |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
Euro-Bund | 159 | 03/07/2024 | EUR | 22,783,502 | (215,570 ) |
U.S. Treasury 10 Year Note | 230 | 06/18/2024 | USD | 25,415,000 | 92,689 |
U.S. Treasury 10 Year Ultra Note | 42 | 06/18/2024 | USD | 4,797,844 | 6,584 |
U.S. Treasury 2 Year Note | 309 | 06/28/2024 | USD | 63,289,476 | 47,287 |
U.S. Treasury 5 Year Note | 172 | 06/28/2024 | USD | 18,405,344 | 51,163 |
(17,847 ) |
128 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Short Contracts | |||||
Euro-Bobl | (67 ) | 03/07/2024 | EUR | (8,412,288 ) | 104,053 |
Euro-Buxl 30 Year Bond | (23 ) | 03/07/2024 | EUR | (3,304,676 ) | (52,316 ) |
Euro-Schatz | (250 ) | 03/07/2024 | EUR | (28,403,424 ) | 218,772 |
3 Month Euro Euribor | (192 ) | 06/17/2024 | EUR | (49,982,245 ) | (1,580 ) |
U.S. Treasury 10 Year Note | (26 ) | 06/18/2024 | USD | (2,873,000 ) | (10,164 ) |
U.S. Treasury 10 Year Ultra Note | (163 ) | 06/18/2024 | USD | (18,620,203 ) | (114,002 ) |
U.S. Treasury Long Bond | (2 ) | 06/18/2024 | USD | (238,500 ) | (2,262 ) |
U.S. Treasury Ultra Bond | (111 ) | 06/18/2024 | USD | (14,208,000 ) | (312,322 ) |
Long Gilt | (26 ) | 06/26/2024 | GBP | (3,219,294 ) | (7,857 ) |
U.S. Treasury 2 Year Note | (11 ) | 06/28/2024 | USD | (2,253,023 ) | (2,060 ) |
U.S. Treasury 5 Year Note | (162 ) | 06/28/2024 | USD | (17,335,266 ) | (50,832 ) |
(230,570 ) | |||||
(248,417 ) |
Abbreviations | |
EUR | Euro |
GBP | British Pound |
USD | United States Dollar |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 129 |
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||
EUR | 96,362 | USD | 104,125 | BNP Paribas | 3/5/2024 | 28 |
EUR | 1,100,882 | USD | 1,185,413 | Citibank, NA | 3/5/2024 | 4,467 |
EUR | 1,830,000 | USD | 1,972,601 | Morgan Stanley | 3/5/2024 | 5,340 |
USD | 124,736,173 | EUR | 115,167,696 | Morgan Stanley | 3/5/2024 | 258,090 |
USD | 7,431,147 | GBP | 5,863,812 | TD Bank Financial Group | 3/5/2024 | 29,218 |
CLP | 1,541,819,740 | USD | 1,563,632 | Citibank, NA** | 3/26/2024 | 30,509 |
CZK | 17,497,078 | USD | 739,696 | Barclays Bank plc | 3/26/2024 | 6,384 |
INR | 39,690,540 | USD | 477,449 | Citibank, NA** | 3/26/2024 | 787 |
INR | 477,449,198 | USD | 5,742,423 | Merrill Lynch International** | 3/26/2024 | 10,415 |
JPY | 570,610,548 | USD | 3,810,009 | BNP Paribas | 3/26/2024 | 9,634 |
PLN | 1,730,049 | USD | 431,432 | Goldman Sachs International | 3/26/2024 | 1,713 |
PLN | 12,220,552 | USD | 3,009,460 | HSBC Bank, NA | 3/26/2024 | 50,143 |
THB | 103,311,565 | USD | 2,860,628 | Citibank, NA | 3/26/2024 | 25,173 |
USD | 14,416,479 | CAD | 19,536,780 | Citibank, NA | 3/26/2024 | 16,243 |
USD | 3,017,720 | CAD | 4,057,304 | State Street Corp. | 3/26/2024 | 27,149 |
USD | 2,853,357 | IDR | 44,560,870,283 | Goldman Sachs International** | 3/26/2024 | 17,993 |
USD | 4,015,656 | JPY | 594,417,400 | Citibank, NA | 3/26/2024 | 36,650 |
USD | 3,020,367 | KRW | 3,998,815,206 | Citibank, NA** | 3/26/2024 | 21,648 |
USD | 5,605,731 | PHP | 314,526,338 | Goldman Sachs International** | 3/26/2024 | 6,511 |
USD | 429,822 | PHP | 24,109,157 | Merrill Lynch International** | 3/26/2024 | 629 |
USD | 3,115,159 | THB | 111,136,398 | Standard Chartered Bank | 3/26/2024 | 10,787 |
USD | 3,629,993 | ZAR | 69,739,945 | Citibank, NA | 3/26/2024 | 805 |
USD | 1,568,040 | ZAR | 30,110,450 | Goldman Sachs International | 3/26/2024 | 1,126 |
USD | 128,671,772 | EUR | 118,658,753 | Barclays Bank plc | 4/2/2024 | 269,060 |
USD | 2,033,887 | EUR | 1,870,933 | HSBC Bank, NA | 4/2/2024 | 9,318 |
USD | 7,433,670 | GBP | 5,863,812 | Barclays Bank plc | 4/2/2024 | 30,437 |
Total unrealized appreciation | 880,257 | |||||
EUR | 118,658,753 | USD | 128,524,278 | Barclays Bank plc | 3/5/2024 | (272,915 ) |
GBP | 5,863,812 | USD | 7,432,417 | Barclays Bank plc | 3/5/2024 | (30,488 ) |
USD | 4,354,407 | EUR | 4,039,415 | BNP Paribas | 3/5/2024 | (11,562 ) |
USD | 2,151,979 | EUR | 1,998,523 | Citibank, NA | 3/5/2024 | (8,109 ) |
USD | 516,116 | EUR | 480,364 | Morgan Stanley | 3/5/2024 | (3,081 ) |
CLP | 2,683,068,321 | USD | 2,780,713 | HSBC Bank, NA** | 3/26/2024 | (6,595 ) |
JPY | 589,573,002 | USD | 4,015,782 | Morgan Stanley | 3/26/2024 | (69,204 ) |
KRW | 11,930,118,812 | USD | 8,952,916 | Citibank, NA** | 3/26/2024 | (6,496 ) |
KRW | 4,167,987,620 | USD | 3,129,120 | Citigorup Global Markets, Inc.** | 3/26/2024 | (3,538 ) |
USD | 12,570,181 | AUD | 19,393,605 | Barclays Bank plc | 3/26/2024 | (44,612 ) |
USD | 22,217,769 | BRL | 110,833,785 | Goldman Sachs International** | 3/26/2024 | (24,961 ) |
USD | 5,053,299 | CZK | 119,685,011 | BNP Paribas | 3/26/2024 | (50,098 ) |
USD | 25,779,724 | EUR | 24,054,239 | HSBC Bank, NA | 3/26/2024 | (241,955 ) |
USD | 5,879,876 | GBP | 4,688,317 | State Street Corp. | 3/26/2024 | (38,985 ) |
USD | 2,773,830 | HUF | 1,011,129,313 | Goldman Sachs International | 3/26/2024 | (4,465 ) |
USD | 15,456,637 | MXN | 266,674,080 | Morgan Stanley | 3/26/2024 | (132,853 ) |
USD | 2,161,760 | NZD | 3,557,996 | Morgan Stanley | 3/26/2024 | (4,556 ) |
USD | 2,841,184 | SGD | 3,828,522 | TD Bank Financial Group | 3/26/2024 | (6,980 ) |
USD | 3,133,733 | THB | 112,375,652 | Citibank, NA | 3/26/2024 | (5,255 ) |
EUR | 296,910 | USD | 321,476 | Barclays Bank plc | 4/2/2024 | (184 ) |
EUR | 363,223 | USD | 394,688 | Morgan Stanley | 4/2/2024 | (1,638 ) |
Total unrealized depreciation | (968,530 ) | |||||
Net unrealized depreciation | (88,273 ) |
130 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CLP | Chile Peso |
CZK | Czech Republic Koruna |
EUR | Euro |
GBP | British Pound |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | Korean Republic Won |
MXN | Mexican Peso |
NZD | New Zealand Dollar |
PHP | Philippines Peso |
PLN | Polish Zloty |
SGD | Singapore Dollar |
THB | Thai Baht |
USD | United States Dollar |
ZAR | South African Rand |
** | Non-deliverable forward. |
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 ($) |
iTraxx.Europe.Crossover.40-V1 | 5.00 | Quarterly | 12/20/2028 | 3.05 | EUR 3,419,071 | (78,469 ) | (249,929 ) | (328,398 ) |
(*) | 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). |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 131 |
FLOATING RATE INDEX (a) | FIXED RATE | PAY/ RECEIVE FLOATING RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
1 day SOFR annually | 2.95 annually | Receive | 12/17/2035 | USD3,750,000 | — | 215,999 | 215,999 |
1 day SOFR annually | 3.03 annually | Receive | 12/4/2035 | USD7,500,000 | — | 383,858 | 383,858 |
— | 599,857 | 599,857 | |||||
1 day SOFR annually | 2.74 annually | Pay | 12/17/2027 | USD17,000,000 | — | (267,026 ) | (267,026 ) |
1 day SOFR annually | 2.87 annually | Pay | 12/4/2027 | USD34,000,000 | — | (460,109 ) | (460,109 ) |
1 day SOFR annually | 3.60 annually | Pay | 7/14/2028 | USD53,000,000 | (144 ) | (6,862 ) | (7,006 ) |
1 day SOFR annually | 3.71 annually | Receive | 7/14/2036 | USD12,000,000 | 3,806 | (8,862 ) | (5,056 ) |
3,662 | (742,859 ) | (739,197 ) | |||||
3,662 | (143,002 ) | (139,340 ) |
(a) | Value of floating rate index at February 29, 2024 was as follows: |
FLOATING RATE INDEX | VALUE |
1 day SOFR | 5.32% |
Abbreviations | |
EUR | Euro |
SOFR | Secured Overnight Financing Rate |
USD | United States Dollar |
132 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — 86.7% (a) | ||
Alabama — 2.8% | ||
Alabama Federal Aid Highway Finance Authority Series 2015, Rev., 4.00%, 9/1/2024 (b) | 3,000,000 | 3,007,767 |
Black Belt Energy Gas District, Gas Project | ||
Series 2023A, Rev., 5.25%, 10/1/2030 (c) | 2,000,000 | 2,130,178 |
Series 2023B-2, Rev., LIQ : Royal Bank of Canada, 5.25%, 12/1/2030 (c) | 1,000,000 | 1,083,757 |
Black Belt Energy Gas District, Gas Project No. 8 Series 2022A, Rev., 4.00%, 12/1/2029 (c) | 820,000 | 807,551 |
City of Pell City, Warrants Series 2015A, GO, 5.00%, 2/1/2025 | 100,000 | 101,584 |
County of Jefferson | ||
Series 2024, Rev., 5.00%, 10/1/2035 | 1,000,000 | 1,142,845 |
Series 2024, Rev., 5.00%, 10/1/2038 | 2,000,000 | 2,225,324 |
Series 2024, Rev., 5.00%, 10/1/2039 | 2,000,000 | 2,210,898 |
Series 2024, Rev., 5.25%, 10/1/2042 | 1,000,000 | 1,106,010 |
Series 2024, Rev., 5.25%, 10/1/2043 | 1,000,000 | 1,099,755 |
Series 2024, Rev., 5.25%, 10/1/2049 | 1,000,000 | 1,073,991 |
Energy Southeast A Cooperative District Series 2023A-1, Rev., 5.50%, 1/1/2031 (c) | 5,000,000 | 5,437,054 |
Lower Alabama Gas District (The), Gas Project Series 2016A, Rev., 5.00%, 9/1/2031 | 1,250,000 | 1,327,600 |
Selma Industrial Development Board, International Paper Co. Project Series 2020A, Rev., 1.38%, 6/16/2025 (c) | 100,000 | 96,710 |
Southeast Alabama Gas Supply District (The), Project No. 1 Series 2018A, Rev., 4.00%, 4/1/2024 (c) | 25,000 | 25,007 |
Southeast Alabama Gas Supply District (The), Project No. 2 Series 2024 B, Rev., 5.00%, 5/1/2032 (c) (d) | 1,500,000 | 1,595,383 |
Southeast Energy Authority A Cooperative District Project No.06 Series 2023B, Rev., LIQ : Royal Bank of Canada, 5.00%, 6/1/2030 (c) | 5,870,000 | 6,233,188 |
Southeast Energy Authority A Cooperative District, Project No. 2 Series 2021B, Rev., 4.00%, 12/1/2031 (c) | 2,115,000 | 2,124,766 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Alabama — continued | ||
Southeast Energy Authority A Cooperative District, Project No. 3 Series 2022A-1, Rev., 5.50%, 12/1/2029 (c) | 1,000,000 | 1,070,288 |
University of Alabama (The), Huntsville General Fee Series 2018B-2, Rev., 5.00%, 9/1/2031 | 95,000 | 104,050 |
Total Alabama | 34,003,706 | |
Arizona — 2.3% | ||
Arizona Board of Regents | ||
Series 2020A, Rev., 5.00%, 7/1/2030 | 105,000 | 119,527 |
Series 2020A, Rev., 5.00%, 7/1/2033 | 430,000 | 486,994 |
Arizona Industrial Development Authority, Academies of Math and Science Projects Rev., 4.50%, 7/1/2033 (e) | 510,000 | 507,285 |
Arizona Industrial Development Authority, Cadence Campus Project Series 2020A, Rev., 4.00%, 7/15/2030 (e) | 105,000 | 102,288 |
Arizona Industrial Development Authority, Great Lakes Senior Living Communities LLC Project Series 2019A, Rev., 5.00%, 1/1/2036 | 250,000 | 180,837 |
Arizona Industrial Development Authority, KIPP Nashville Project | ||
Series 2022A, Rev., 5.00%, 7/1/2028 | 225,000 | 237,800 |
Series 2022A, Rev., 5.00%, 7/1/2029 | 235,000 | 251,204 |
Arizona Industrial Development Authority, National Charter School Revolving Loan Fund | ||
Series 2020A, Rev., 4.00%, 11/1/2038 | 200,000 | 200,978 |
Series 2023A, Rev., 5.00%, 11/1/2038 | 1,000,000 | 1,098,220 |
Series 2023A, Rev., 5.00%, 11/1/2040 | 1,950,000 | 2,124,363 |
Series 2023A, Rev., 5.25%, 11/1/2048 | 1,000,000 | 1,076,657 |
City of Phoenix Civic Improvement Corp., Junior Lien, Airport System Series 2019A, Rev., 5.00%, 7/1/2044 | 2,000,000 | 2,136,803 |
City of Phoenix Civic Improvement Corp., Junior Lien, Wastewater System | ||
Series 2023, Rev., 5.00%, 7/1/2041 | 2,000,000 | 2,266,424 |
Series 2023, Rev., 5.00%, 7/1/2043 | 4,000,000 | 4,491,921 |
City of Phoenix Civic Improvement Corp., Senior Lien, Airport System | ||
Series 2023, Rev., AMT, 5.00%, 7/1/2024 | 375,000 | 376,336 |
Series 2023, Rev., AMT, 5.00%, 7/1/2025 | 500,000 | 508,813 |
Gilbert Water Resource Municipal Property Corp. Series 2022, Rev., 4.00%, 7/15/2047 | 2,035,000 | 2,021,804 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 133 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Arizona — continued | ||
Industrial Development Authority of the County of Pima (The), La Posada at Pusch Ridge Project Series 2022B-3, Rev., 5.13%, 11/15/2029 (e) | 750,000 | 756,312 |
Maricopa County Industrial Development Authority, Banner Health | ||
Series 2023A-1, Rev., 5.00%, 5/15/2026 (c) | 1,235,000 | 1,278,218 |
Series A, Rev., 4.00%, 1/1/2041 | 1,500,000 | 1,502,917 |
Maricopa County Industrial Development Authority, Valley Christian Schools Project Series 2023A, Rev., 6.00%, 7/1/2043 (e) | 945,000 | 964,803 |
Maricopa County School District No. 3, Tempe Elementary, School Improvement, Project of 2016 Series 2017A, GO, 5.00%, 7/1/2027 | 30,000 | 32,159 |
Maricopa County Unified School District No. 60 Higley COP, AGM, 5.00%, 6/1/2036 | 200,000 | 227,599 |
Salt River Project Agricultural Improvement and Power District, Arizona Electric System | ||
Series 2023 A, Rev., 5.00%, 1/1/2050 | 4,045,000 | 4,431,092 |
Series 2023B, Rev., 5.25%, 1/1/2053 | 1,000,000 | 1,118,339 |
Salt Verde Financial Corp. Series 2007-1, Rev., 5.25%, 12/1/2026 | 100,000 | 103,384 |
Total Arizona | 28,603,077 | |
Arkansas — 0.1% | ||
City of Fort Smith, Water and Sewer Construction Rev., 5.00%, 10/1/2024 | 75,000 | 75,619 |
County of Pulaski, Arkansas Children's Hospital Rev., 5.00%, 3/1/2037 | 500,000 | 565,000 |
Total Arkansas | 640,619 | |
California — 5.0% | ||
Azusa Unified School District, Election of 2014 | ||
Series 2022D, GO, 5.00%, 8/1/2029 | 125,000 | 141,500 |
Series 2022D, GO, 5.00%, 8/1/2032 | 175,000 | 206,359 |
California Community Choice Financing Authority, Clean Energy Project | ||
Series 2023B-1, Rev., 5.00%, 8/1/2029 (c) | 2,565,000 | 2,704,118 |
Series 2023 G-1, Rev., 5.25%, 4/1/2030 (c) | 1,000,000 | 1,067,146 |
Series 2021B-1, Rev., 4.00%, 8/1/2031 (c) | 6,750,000 | 6,784,234 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
California — continued | ||
Series 2024 A, Rev., 5.00%, 4/1/2032 (c) | 5,000,000 | 5,366,543 |
California Enterprise Development Authority, Riverside County, Rocketship Public Schools-Obligated Group No. 2 Series 2022A, Rev., 4.00%, 6/1/2027 (e) | 260,000 | 253,200 |
California Health Facilities Financing Authority, On Lok Senior Health Service Rev., 5.00%, 8/1/2040 | 100,000 | 106,188 |
California Infrastructure and Economic Development Bank, Brightline West Passenger Rail Project | ||
Series 2020A-3, Rev., AMT, 8.00%, 8/15/2024 (c) (e) | 1,000,000 | 1,017,151 |
Series 2020A, Rev., AMT, 3.95%, 1/30/2025 (c) (e) | 5,140,000 | 5,139,286 |
California Infrastructure and Economic Development Bank, California Academy of Science Series 2024A, Rev., 3.25%, 8/1/2029 (d) | 5,000,000 | 5,045,084 |
California Municipal Finance Authority, Aymium Williams Project Series 2022, Rev., AMT, 4.00%, 6/26/2024 (c) (e) | 4,000,000 | 3,995,676 |
California Municipal Finance Authority, Community Health System Series 2021A, Rev., 5.00%, 2/1/2033 | 800,000 | 880,978 |
California Municipal Finance Authority, San Antonio Gardens Project Rev., 5.00%, 11/15/2039 | 150,000 | 150,579 |
California Municipal Finance Authority, Waste Management, Inc. Project Series 2022A, Rev., AMT, 4.13%, 10/1/2025 (c) | 1,500,000 | 1,500,409 |
California Pollution Control Financing Authority, Poseidon Resources Channelside LP Desalination Project Rev., AMT, 5.00%, 7/1/2036 (e) | 770,000 | 829,400 |
California Public Finance Authority, Enso Village Project Series 2021B-3, Rev., 2.13%, 11/15/2027 (e) | 355,000 | 353,429 |
California School Finance Authority, Kipp SoCal Public Schools Series 2019A, Rev., 5.00%, 7/1/2039 (e) | 500,000 | 513,768 |
City of Aliso Viejo COP, 4.00%, 11/1/2028 | 175,000 | 186,625 |
City of Los Angeles Department of Airports, International Airport Subordinate Series 2021A, Rev., AMT, 5.00%, 5/15/2039 | 1,740,000 | 1,873,399 |
City of Santa Rosa, Courthouse Square Project and Lease COP, 4.00%, 10/1/2024 | 90,000 | 90,332 |
134 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
California — continued | ||
CSCDA Community Improvement Authority, Essential Housing, Pasadena Portfolio Series 2021A-1, Rev., 2.65%, 12/1/2046 (e) | 255,000 | 197,137 |
CSCDA Community Improvement Authority, Essential Housing, Towne at Glendale Apartments Series 2022B, Rev., 5.00%, 9/1/2037 (e) | 100,000 | 102,362 |
El Centro Financing Authority, Police Station Project | ||
Series 2023A, Rev., 5.00%, 10/1/2024 | 260,000 | 262,353 |
Series 2023A, Rev., 5.00%, 10/1/2025 | 545,000 | 560,200 |
Golden State Tobacco Securitization Corp., Enhanced Tobacco Settlement | ||
Series 2018A-1, Rev., 5.00%, 6/1/2028 (b) | 250,000 | 274,448 |
Series 2021B-2, Rev., Zero Coupon, 6/1/2066 | 9,000,000 | 1,020,285 |
Indio Finance Authority, City of Indio | ||
Series 2022A, Rev., 5.00%, 11/1/2028 | 275,000 | 303,764 |
Series 2022A, Rev., 5.00%, 11/1/2029 | 325,000 | 366,009 |
Series 2022A, Rev., 5.00%, 11/1/2030 | 400,000 | 458,218 |
Series 2022A, Rev., 5.00%, 11/1/2034 | 200,000 | 236,953 |
Los Angeles County Development Authority, West LA Building 156 and 157 Apartments Series 2023C, Rev., 3.75%, 12/1/2026 (c) | 3,000,000 | 3,004,968 |
Los Angeles Department of Water and Power, Power System Series 2022A, Rev., 5.00%, 7/1/2030 | 235,000 | 273,766 |
Ontario Public Financing Authority, Civic Center Improvements Series 2022A, Rev., AGM, 5.00%, 11/1/2033 | 140,000 | 166,867 |
Petaluma Public Financing Authority, Road Improvement Projects Rev., 5.00%, 5/1/2026 | 150,000 | 157,178 |
Redding Joint Powers Financing Authority Series 2019A, Rev., 5.00%, 4/1/2026 | 150,000 | 156,030 |
River Islands Public Financing Authority, Facilities District No. 2003 | ||
Series 2022A-1, AGM, 5.00%, 9/1/2029 | 210,000 | 234,706 |
Series 2022A-1, AGM, 5.00%, 9/1/2030 | 330,000 | 376,110 |
Salinas Union High School District, Election of 2020 Series A, GO, 4.00%, 8/1/2047 | 1,000,000 | 1,012,497 |
San Diego County Regional Airport Authority | ||
Series 2023B, Rev., AMT, 5.25%, 7/1/2038 | 2,000,000 | 2,251,304 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
California — continued | ||
Series 2023B, Rev., AMT, 5.00%, 7/1/2048 | 5,460,000 | 5,765,941 |
San Dieguito Union High School District, Election of 2012 Series A-2, GO, 5.00%, 8/1/2024 | 150,000 | 150,138 |
San Jose Evergreen Community College District Series C, GO, 4.00%, 9/1/2043 | 2,000,000 | 2,054,170 |
Solano Irrigation District, Water COP, 4.00%, 8/1/2031 | 285,000 | 299,911 |
South San Francisco Public Facilities Financing Authority, Community Civic Campus and Multiple Capital Projects Series 2021A, Rev., 4.00%, 6/1/2029 | 220,000 | 236,136 |
South San Francisco Public Facilities Financing Authority, Multiple Capital Project Series 2022A, Rev., 5.00%, 6/1/2029 | 270,000 | 305,258 |
State of California, Various Purpose GO, 5.00%, 11/1/2032 | 335,000 | 386,908 |
Tobacco Securitization Authority of Northern California, Sacramento County Tobacco Securitization Corp. Series 2021A, Class 1, Rev., 5.00%, 6/1/2032 | 110,000 | 123,404 |
Tracy Public Financing Authority, Legacy Fields Series 2022A, Rev., 5.00%, 11/1/2036 | 1,035,000 | 1,188,082 |
University of California Series 2018AZ, Rev., 4.00%, 5/15/2029 | 130,000 | 138,257 |
Vallecito Union School District Series A, GO, 5.00%, 8/1/2031 | 595,000 | 683,732 |
Yucaipa Valley Water District Financing Authority, Water and Sewer Series 2022A, Rev., 5.00%, 9/1/2034 | 500,000 | 590,763 |
Total California | 61,543,259 | |
Colorado — 2.3% | ||
Adams County Housing Authority, Maiker Housing Partners Multifamily Housing, Overlook At Thornton Series 2023, Rev., 4.50%, 5/1/2026 (c) | 3,300,000 | 3,302,301 |
Boulder Valley School District No. Re-2 Boulder GO, 4.13%, 12/1/2046 | 1,000,000 | 1,013,584 |
City and County of Denver Series 2020B, GO, 5.00%, 8/1/2029 | 220,000 | 247,612 |
City and County of Denver, Airport System | ||
Series 2018 A, Rev., AMT, 5.00%, 12/1/2028 | 2,845,000 | 3,058,607 |
Series 2022A, Rev., AMT, 5.00%, 11/15/2032 | 1,000,000 | 1,130,605 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 135 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Colorado — continued | ||
Series 2018A, Rev., AMT, 5.00%, 12/1/2035 | 505,000 | 535,178 |
Series 2022A, Rev., AMT, 5.50%, 11/15/2042 | 1,500,000 | 1,688,268 |
City of Colorado Springs, Utilities System Improvement Series 2007A, Rev., VRDO, LIQ : TD Bank NA, 3.20%, 3/11/2024 (c) | 9,170,000 | 9,170,000 |
Colorado Educational and Cultural Facilities Authority, Vega Collegiate Academy Project Series 2021A, Rev., 5.00%, 2/1/2051 (e) | 150,000 | 131,896 |
Colorado Higher Education, Capital Construction, Lease Purchase Financing Program COP, 4.00%, 9/1/2034 | 335,000 | 351,509 |
Colorado Housing and Finance Authority Series 2023L, Class III, Rev., GNMA COLL, 5.75%, 11/1/2053 | 3,000,000 | 3,206,939 |
County of Adams COP, 5.00%, 12/1/2024 | 150,000 | 151,953 |
Dominion Water and Sanitation District Rev., 5.00%, 12/1/2027 | 500,000 | 500,933 |
San Miguel County School District R-1 Telluride | ||
Series 2024, GO, 5.00%, 12/1/2037 (d) | 1,000,000 | 1,163,072 |
Series 2024, GO, 5.00%, 12/1/2042 (d) | 1,000,000 | 1,130,667 |
State of Colorado, Building Excellent Schools Today Series S, COP, 4.00%, 3/15/2037 | 1,000,000 | 1,037,127 |
University of Colorado, Enterprise System Series 2017A-2, Rev., 5.00%, 6/1/2026 | 40,000 | 41,866 |
Total Colorado | 27,862,117 | |
Connecticut — 0.7% | ||
City of Meriden | ||
Series 2023, GO, 4.00%, 6/15/2041 | 890,000 | 897,084 |
GO, 4.00%, 6/15/2043 | 1,080,000 | 1,080,067 |
City of Norwalk | ||
Series 2023, GO, 4.00%, 8/15/2042 | 700,000 | 711,249 |
Series 2023, GO, 4.00%, 8/15/2043 | 500,000 | 506,120 |
Stamford Housing Authority, The Dogwoods Project Rev., BAN, 11.00%, 12/1/2027 (e) | 1,000,000 | 971,244 |
State of Connecticut Series A, GO, 5.00%, 4/15/2033 | 135,000 | 143,312 |
State of Connecticut Special Tax | ||
Series 2023A, Rev., 5.00%, 7/1/2037 | 2,000,000 | 2,348,520 |
Series 2023A, Rev., 5.00%, 7/1/2038 | 1,000,000 | 1,164,655 |
University of Connecticut Series 2017A, Rev., 5.00%, 1/15/2028 | 125,000 | 132,507 |
Total Connecticut | 7,954,758 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Delaware — 0.2% | ||
Delaware State Economic Development Authority, St. Andrews School Project Rev., 4.00%, 7/1/2041 | 2,190,000 | 2,209,665 |
District of Columbia — 1.7% | ||
District of Columbia Series 2023A, GO, 5.00%, 1/1/2036 | 3,000,000 | 3,547,591 |
District of Columbia, Income Tax | ||
Series 2019A, Rev., 5.00%, 3/1/2029 | 100,000 | 111,694 |
Series 2023 A, Rev., 5.00%, 5/1/2043 | 1,500,000 | 1,692,976 |
Series 2023 A, Rev., 5.25%, 5/1/2048 | 2,500,000 | 2,814,153 |
District of Columbia, Kipp DC Project Rev., 4.00%, 7/1/2039 | 100,000 | 96,514 |
District of Columbia, Water and Sewer Authority, Public Utility, Senior Lien Series B, Rev., 5.00%, 10/1/2025 | 65,000 | 67,086 |
District of Columbia, Water and Sewer Authority, Public Utility, Subordinate Lien Series 2022C1, Rev., 4.00%, 10/1/2040 | 2,000,000 | 2,049,924 |
Metropolitan Washington Airports Authority Aviation | ||
Series 2010D, Rev., VRDO, LOC : TD Bank NA, 3.30%, 3/11/2024 (c) | 5,000,000 | 5,000,000 |
Series 2023A, Rev., AMT, 5.00%, 10/1/2025 | 875,000 | 894,258 |
Series 2021A, Rev., AMT, 5.00%, 10/1/2031 | 1,360,000 | 1,518,404 |
Series 2020A, Rev., AMT, 4.00%, 10/1/2035 | 1,750,000 | 1,790,459 |
Washington Metropolitan Area Transit Authority Dedicated, Sustainability Climate Transition Bonds Series 2023A, Rev., 5.00%, 7/15/2037 | 1,500,000 | 1,746,115 |
Total District of Columbia | 21,329,174 | |
Florida — 3.6% | ||
Capital Trust Authority, IPS Enterprises, Inc., Projects | ||
Series 2023 A, Rev., 5.13%, 6/15/2033 (e) | 1,250,000 | 1,283,299 |
Series 2023 A, Rev., 6.00%, 6/15/2043 (e) | 2,060,000 | 2,126,002 |
Central Florida Tourism Oversight District Series 2016A, GO, 5.00%, 6/1/2026 | 50,000 | 51,945 |
City of Cape Coral, Florida Special Obligation Rev., 5.00%, 10/1/2024 | 110,000 | 111,134 |
City of Kissimmee, Sales Tax Rev., 4.00%, 10/1/2025 | 170,000 | 172,885 |
136 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Florida — continued | ||
City of Orlando, Capital Improvement Series B, Rev., 5.00%, 10/1/2024 | 60,000 | 60,594 |
City of Tampa, H. Lee Moffitt Cancer Center Project Series 2016B, Rev., 5.00%, 7/1/2024 | 35,000 | 35,136 |
Cobb County Kennestone Hospital Authority, Wellstar Health System, Inc., Project Series 2023, Rev., 5.00%, 6/1/2027 | 1,930,000 | 1,965,836 |
County of Hillsborough, Communications Services Tax Rev., 5.00%, 10/1/2024 | 40,000 | 40,424 |
County of Lee, Airport | ||
Series 2021 B, Rev., AMT, 5.00%, 10/1/2031 | 1,840,000 | 2,024,471 |
Series 2021A, Rev., AMT, 5.00%, 10/1/2031 | 400,000 | 439,543 |
County of Manatee Series 2023, Rev., 5.50%, 10/1/2053 | 5,000,000 | 5,661,704 |
County of Miami-Dade, Aviation System Series A, Rev., AMT, 5.00%, 10/1/2034 | 1,000,000 | 1,004,204 |
County of Miami-Dade, Jackson Health System Series 2015A, Rev., 5.00%, 6/1/2025 | 140,000 | 142,918 |
County of Okaloosa, Sales Tax Rev., 5.00%, 10/1/2024 | 30,000 | 30,272 |
County of Pasco, H Lee Moffitt Cancer Center and Research Institutes | ||
Series 2023A, Rev., AGM, 5.25%, 9/1/2026 | 275,000 | 288,671 |
Series 2023A, Rev., AGM, 5.25%, 9/1/2027 | 300,000 | 320,715 |
Series 2023A, Rev., AGM, 5.25%, 9/1/2028 | 300,000 | 325,813 |
Duval County Public Schools Series 2022-A, COP, AGM, 5.00%, 7/1/2034 | 500,000 | 563,003 |
East Central Regional Wastewater Treatment Facilities Operation Board, Biosolids Project Rev., 5.00%, 10/1/2024 | 30,000 | 30,309 |
Florida Atlantic University Finance Corp., Student Housing Project Series 2019B, Rev., 5.00%, 7/1/2032 | 250,000 | 273,664 |
Florida Department of Children and Families, Evaluation Treatment Center Financing Corp. Project Series 2021B, COP, 5.00%, 10/1/2028 | 210,000 | 231,843 |
Florida Development Finance Corp., Educational Facilities, River City Science Academy Projects | ||
Series 2022A-1, Rev., 4.00%, 7/1/2031 | 175,000 | 175,766 |
Series 2021A, Rev., 4.00%, 7/1/2035 | 325,000 | 323,230 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Florida — continued | ||
Florida Development Finance Corp., Idea Florida, Inc., Jacksonville IV Project Rev., 5.25%, 6/15/2029 (e) | 150,000 | 152,881 |
Florida Housing Finance Corp., Culmer Apartments Series 2023C, Rev., 5.00%, 12/1/2025 (c) | 1,410,000 | 1,439,034 |
Florida Housing Finance Corp., Hampton Point Apartments Series 2023E, Rev., 5.00%, 5/1/2025 (c) | 1,320,000 | 1,338,519 |
Florida Housing Finance Corp., Northside Transit Village III Series 2023B, Rev., GNMA COLL, 5.00%, 2/1/2026 (c) | 1,000,000 | 1,024,098 |
Florida Municipal Loan Council, Village of Palmetto Bay Series 2021A, Rev., 4.00%, 10/1/2028 | 75,000 | 78,396 |
Florida Municipal Power Agency, All-Requirements Power Supply Project Series 2016A, Rev., 5.00%, 10/1/2024 | 130,000 | 131,213 |
Florida State Board of Governors University of North Florida Dormitory | ||
Series 2023A, Rev., 5.00%, 11/1/2041 | 2,205,000 | 2,451,102 |
Series 2023A, Rev., 5.00%, 11/1/2042 | 2,675,000 | 2,963,223 |
Florida State Board of Governors, University of Florida Mandatory Student Fee Series 2021A, Rev., AGM, 5.00%, 11/1/2028 | 100,000 | 109,219 |
JEA Water and Sewer System Series 2024A, Rev., 5.25%, 10/1/2049 | 6,280,000 | 7,043,183 |
Lee County School Board (The) Series 2023A, COP, 4.00%, 8/1/2048 | 1,500,000 | 1,461,381 |
Miami-Dade County Housing Finance Authority, Running Brook Apartments Series 202, Rev., 3.55%, 1/1/2026 (c) | 1,500,000 | 1,490,844 |
Middleton Community Development District A, City of Wildwood, Florida Special Assessment 5.85%, 5/1/2037 | 250,000 | 262,800 |
Orange County Health Facilities Authority, Orlando Health Obligated Group Series 2023A, Rev., 5.00%, 10/1/2036 | 750,000 | 861,026 |
Orange County Health Facilities Authority, The Nemours Foundation Project Series 2009C-2, Rev., VRDO, LOC : TD Bank NA, 3.25%, 3/11/2024 (c) | 1,020,000 | 1,020,000 |
Palm Beach County Health Facilities Authority, Acts Retirement Life Communities, Inc., Obligated Group Rev., 5.00%, 11/15/2032 | 240,000 | 248,051 |
Palm Beach County School District Series 2024A, COP, 5.00%, 8/1/2039 | 2,085,000 | 2,390,909 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 137 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Florida — continued | ||
Polk County Housing Finance Authority, Episcopal Catholic Apartments Series 2023, Rev., 4.15%, 6/1/2026 (c) | 750,000 | 759,330 |
State of Florida Board of Education, Public Education Capital Outlay | ||
Series 2015B, GO, 5.00%, 6/1/2024 | 30,000 | 30,126 |
Series 2017B, GO, 5.00%, 6/1/2031 | 75,000 | 80,240 |
State of Florida, State Board of Education, Lottery Series 2016A, Rev., 5.00%, 7/1/2026 | 75,000 | 78,703 |
Tampa Bay Water, Regional Water Supply Authority, Utility System Series 2016C, Rev., 5.00%, 10/1/2025 | 55,000 | 56,662 |
Tampa-Hillsborough County Expressway Authority Series 2017B, Rev., 5.00%, 7/1/2031 | 40,000 | 43,565 |
University of Florida, Department of Housing and Residence Education Housing System Series 2021A, Rev., 5.00%, 7/1/2026 | 125,000 | 130,884 |
Village Community Development District No. 15 4.25%, 5/1/2028 (e) | 350,000 | 351,852 |
Total Florida | 43,680,622 | |
Georgia — 4.0% | ||
Augusta Development Authority, AU Health System, Inc. Project Series 2018, Rev., 4.00%, 7/1/2038 | 3,995,000 | 3,979,956 |
Bartow County Development Authority, Georgia Power Co. Plant Series 2009-1, Rev., 3.95%, 3/8/2028 (c) | 2,000,000 | 2,005,623 |
City of Atlanta, Airport Passenger Facility Charge, Subordinate Lien Series 2019D, Rev., AMT, 4.00%, 7/1/2037 | 2,350,000 | 2,367,392 |
City of Atlanta, Georgia Airport Series 2019B, Rev., AMT, 5.00%, 7/1/2031 | 1,810,000 | 1,955,389 |
Columbia County Hospital Authority, Wellstart Health System Inc., Project Series 2023B, Rev., 5.00%, 4/1/2042 | 2,000,000 | 2,201,813 |
County of DeKalb, Water and Sewerage Series 2006B, Rev., 5.25%, 10/1/2026 | 25,000 | 26,527 |
Development Authority of Monroe County (The), Georgia Power Co. Plant Scherer Project Series 2009-2, Rev., 3.88%, 3/6/2026 (c) | 1,250,000 | 1,252,542 |
Georgia Higher Education Facilities Authority, USG Real Estate Foundation II LLC Projects Rev., 4.00%, 6/15/2038 | 1,425,000 | 1,451,157 |
Georgia Ports Authority Series 2021, Rev., 4.00%, 7/1/2051 | 5,000,000 | 4,910,371 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Georgia — continued | ||
Glynn-Brunswick Memorial Hospital Authority, Southeast Georgia Health System Project Rev., 4.00%, 8/1/2037 | 255,000 | 250,481 |
Main Street Natural Gas, Inc., Gas Supply | ||
Series 2022B, Rev., 5.00%, 6/1/2029 (c) | 1,750,000 | 1,839,113 |
Series 2023B, Rev., 5.00%, 3/1/2030 (c) | 4,785,000 | 5,075,592 |
Series 2023A, Rev., 5.00%, 6/1/2030 (c) | 4,000,000 | 4,209,798 |
Series 2023C, Rev., 5.00%, 9/1/2030 (c) | 2,500,000 | 2,660,330 |
Series 2023D, Rev., 5.00%, 12/1/2030 (c) | 3,500,000 | 3,690,905 |
Series 2023E SUB E1, Rev., 5.00%, 6/1/2031 (c) | 4,230,000 | 4,516,291 |
Series 2024 A, Rev., 5.00%, 9/1/2031 (c) | 3,000,000 | 3,208,472 |
Metropolitan Atlanta Rapid Transit Authority, Sales Tax | ||
Series 2017D, Rev., 4.00%, 7/1/2028 | 35,000 | 36,383 |
Series 2023A, Rev., 5.00%, 7/1/2036 | 490,000 | 580,540 |
Series 2023A, Rev., 5.00%, 7/1/2039 | 900,000 | 1,041,251 |
Rome Building Authority, Rome City School Project Series 2023, Rev., 5.00%, 3/1/2036 | 1,000,000 | 1,184,475 |
Walton County Water and Sewer Authority, Hard Labor Creek Reservoir Water Treatment Facility Project | ||
Rev., 5.25%, 2/1/2034 | 100,000 | 120,360 |
Rev., 5.25%, 2/1/2035 | 135,000 | 161,998 |
Total Georgia | 48,726,759 | |
Hawaii — 0.0% ^ | ||
City and County of Honolulu Series D, GO, 5.00%, 9/1/2032 | 45,000 | 48,058 |
State of Hawaii Series FK, GO, 5.00%, 5/1/2033 | 30,000 | 31,832 |
Total Hawaii | 79,890 | |
Idaho — 0.0% ^ | ||
Idaho Health Facilities Authority, St. Luke's Health System Project Series 2021A, Rev., 5.00%, 3/1/2029 | 35,000 | 38,183 |
Idaho Housing and Finance Association, Transportation Expansion and Congestion Mitigation Fund Series 2022A, Rev., 5.00%, 8/15/2035 | 500,000 | 584,883 |
Total Idaho | 623,066 |
138 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Illinois — 4.2% | ||
Champaign County Community Unit School District No. 4 Champaign, School Building GO, 5.00%, 1/1/2027 | 45,000 | 46,509 |
Chicago Midway International Airport, Senior Lien | ||
Series 2023A, Rev., AMT, 5.00%, 1/1/2029 | 1,175,000 | 1,262,175 |
Series 2023A, Rev., AMT, 5.00%, 1/1/2030 | 1,545,000 | 1,683,624 |
Series 2023 C, Rev., AMT, 5.00%, 1/1/2034 | 3,500,000 | 3,963,060 |
Series 2023 C, Rev., AMT, 5.00%, 1/1/2039 | 2,500,000 | 2,732,619 |
Series 2023A, Rev., AMT, 5.75%, 1/1/2048 | 1,335,000 | 1,496,161 |
Series 2023A, Rev., AMT, 5.50%, 1/1/2053 | 1,100,000 | 1,201,498 |
Chicago O'Hare International Airport, Customer Facility Charge Senior Lien | ||
Series 2023, Rev., 5.00%, 1/1/2036 | 1,265,000 | 1,422,945 |
Series 2023, Rev., 5.00%, 1/1/2037 | 825,000 | 919,895 |
Chicago O'Hare International Airport, General Airport, Senior Lien | ||
Series 2020A, Rev., 5.00%, 1/1/2034 | 200,000 | 223,333 |
Series B, Rev., 5.00%, 1/1/2034 | 40,000 | 41,968 |
City of Chicago, Waterworks, Second Lien | ||
Series 2023B, Rev., 5.00%, 11/1/2024 | 625,000 | 630,517 |
Series 2023A, Rev., AGM, 5.25%, 11/1/2053 | 365,000 | 397,776 |
City of Decatur GO, 5.00%, 3/1/2027 | 130,000 | 134,628 |
City of Highland Park GO, 4.00%, 12/30/2028 | 35,000 | 37,121 |
Cook County School District No. 87 Berkeley GO, AGM, 4.00%, 12/1/2030 | 35,000 | 37,308 |
County of Cook, Sales Tax Rev., 5.00%, 11/15/2034 | 2,000,000 | 2,118,927 |
County of Lake, Sales Tax GO, 4.00%, 11/30/2027 | 100,000 | 104,462 |
Illinois Finance Authority, Clark-Lindsey Village Series 2022A, Rev., 5.13%, 6/1/2032 | 185,000 | 178,772 |
Illinois Finance Authority, Clean Water Initiative Revolving Fund Rev., 5.00%, 7/1/2032 | 35,000 | 36,820 |
Illinois Finance Authority, DePaul College Prep Project Series 2023A, Rev., 4.50%, 8/1/2033 (e) | 500,000 | 511,824 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Illinois — continued | ||
Illinois Finance Authority, Lake Forest College | ||
Series 2022A, Rev., 5.00%, 10/1/2029 | 320,000 | 335,844 |
Series 2022A, Rev., 5.00%, 10/1/2030 | 205,000 | 216,454 |
Series 2022A, Rev., 5.00%, 10/1/2031 | 235,000 | 249,393 |
Illinois Finance Authority, Plymouth Place, Inc. | ||
Series 2022B-2, Rev., 5.25%, 3/25/2024 | 85,000 | 84,627 |
Series 2022B-1, Rev., 6.00%, 11/15/2027 | 100,000 | 100,022 |
Illinois Finance Authority, Smith Crossing Rev., 4.00%, 10/15/2028 | 350,000 | 323,860 |
Illinois Finance Authority, Uchicago Medicine Series 2022B-2, Rev., 5.00%, 8/15/2027 (c) | 1,000,000 | 1,060,475 |
Illinois Finance Authority, University of Chicago Series 2015A, Rev., 5.00%, 10/1/2025 (b) | 3,250,000 | 3,343,169 |
Illinois Housing Development Authority | ||
Rev., FHA, 4.00%, 6/1/2025 (c) | 2,815,000 | 2,819,970 |
Series 2024 A, Rev., GNMA / FNMA / FHLMC, 6.00%, 10/1/2054 (d) | 1,000,000 | 1,090,612 |
Illinois State Toll Highway Authority | ||
Series 2019A, Rev., 5.00%, 1/1/2036 | 250,000 | 274,795 |
Series 2024 A, Rev., 5.00%, 1/1/2038 | 2,000,000 | 2,344,829 |
Lake County Community Consolidated School District No. 3 Beach Park GO, AGM, 4.00%, 2/1/2032 | 175,000 | 181,455 |
Sales Tax Securitization Corp., Second Lien Series 2020A, Rev., 4.00%, 1/1/2040 | 1,750,000 | 1,761,796 |
Sales Tax Securitization Corp., Senior Lien Series 2023C, Rev., 5.00%, 1/1/2033 | 1,000,000 | 1,115,635 |
Southern Illinois University | ||
Series 2022A, Rev., 5.00%, 4/1/2029 | 675,000 | 726,509 |
Series 2022A, Rev., 5.00%, 4/1/2030 | 800,000 | 871,053 |
Series 2022A, Rev., 5.00%, 4/1/2031 | 575,000 | 633,264 |
Series 2022A, Rev., 5.00%, 4/1/2032 | 510,000 | 566,529 |
State of Illinois | ||
GO, 5.00%, 4/1/2024 | 30,000 | 30,030 |
Series 2018A, GO, 5.00%, 10/1/2024 | 30,000 | 30,250 |
Series 2023D, GO, 5.00%, 7/1/2025 | 1,145,000 | 1,168,420 |
Series 2017D, GO, 5.00%, 11/1/2025 | 2,550,000 | 2,616,431 |
Series 2017 A, GO, 5.00%, 12/1/2026 | 1,000,000 | 1,045,536 |
Series 2022A, GO, 5.00%, 3/1/2029 | 500,000 | 543,913 |
Series 2018B, GO, 5.00%, 10/1/2029 | 2,000,000 | 2,163,221 |
GO, 4.00%, 6/1/2032 | 1,000,000 | 1,007,934 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 139 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Illinois — continued | ||
Series 2020B, GO, 4.00%, 10/1/2033 | 2,400,000 | 2,469,493 |
Series 2018A, GO, 5.00%, 10/1/2033 | 1,000,000 | 1,072,374 |
Series 2023B, GO, 5.50%, 5/1/2047 | 375,000 | 411,071 |
Series 2023B, GO, 4.50%, 5/1/2048 | 65,000 | 64,616 |
University of Illinois, Auxiliary Facilities System Series 2021A, Rev., 5.00%, 4/1/2029 | 450,000 | 497,381 |
Village of Bolingbrook Series 2018A, GO, AGM, 5.00%, 1/1/2033 | 125,000 | 132,333 |
Village of Wilmette Series 2020B, GO, 5.00%, 12/1/2026 | 140,000 | 148,360 |
Will County School District No. 86 Joliet Series 2024, GO, 5.00%, 3/1/2043 | 1,000,000 | 1,081,483 |
Total Illinois | 51,765,079 | |
Indiana — 0.9% | ||
Ball State University, Student Fee Series R, Rev., 5.00%, 7/1/2024 | 35,000 | 35,186 |
City of Goshen, Multi-Family, Green Oaks of Goshen Project Series 2021A, Rev., 5.00%, 8/1/2041 (e) | 250,000 | 203,808 |
City of Valparaiso Rev., 5.38%, 12/1/2041 (e) | 200,000 | 157,011 |
Decatur County, Jail Building Corp. Rev., 5.00%, 7/15/2028 | 250,000 | 269,985 |
Indiana Finance Authority Series 2016C, Rev., 5.00%, 12/1/2025 | 35,000 | 36,248 |
Indiana Finance Authority, CHF- Tippecanoe LLC- Student Housing Project | ||
Series 2023A, Rev., 5.00%, 6/1/2038 | 400,000 | 428,688 |
Series 2023A, Rev., 5.00%, 6/1/2043 | 430,000 | 452,859 |
Series 2023A, Rev., 5.00%, 6/1/2053 | 790,000 | 816,818 |
Indiana Finance Authority, CWA Authority Project Series 2023A, Rev., 5.00%, 10/1/2037 | 800,000 | 925,606 |
Indiana Finance Authority, DePauw University Series 2022A, Rev., 5.00%, 7/1/2031 | 730,000 | 788,912 |
Indiana Finance Authority, Franciscan Alliance, Inc., Obligated Group | ||
Series 2008-J, Rev., VRDO, LOC : Barclays Bank plc, 2.85%, 3/1/2024 (c) | 2,720,000 | 2,720,000 |
Series 2017C, Rev., 4.00%, 11/1/2034 | 115,000 | 117,566 |
Indiana Finance Authority, Rose-Hulman Institute of Technology Project Rev., 5.00%, 6/1/2030 | 200,000 | 220,550 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Indiana — continued | ||
Indiana Housing and Community Development Authority, Vita of New Whiteland Project Rev., 6.75%, 1/1/2043 | 1,000,000 | 1,000,530 |
Indiana State University, Housing and Dining System Rev., 5.00%, 4/1/2031 | 75,000 | 78,479 |
Perry Township Multi School Building Corp., Ad Valorem Property Tax First Mortgage Rev., 5.00%, 7/15/2025 | 35,000 | 35,841 |
Vinton-Tecumseh School Building Corp., Ad Valorem Property Tax | ||
Rev., 5.00%, 1/15/2030 | 1,125,000 | 1,251,982 |
Rev., 5.00%, 7/15/2030 | 1,150,000 | 1,289,919 |
Wheeler-Union Township School Building Corp. Rev., 4.00%, 7/15/2034 | 400,000 | 417,983 |
Total Indiana | 11,247,971 | |
Iowa — 0.3% | ||
Cedar Rapids Community School District Infrastructure Sales Services and Use Tax | ||
Series 2023, Rev., AGM, 5.00%, 7/1/2035 | 1,045,000 | 1,179,768 |
Series 2023, Rev., AGM, 5.00%, 7/1/2036 | 1,060,000 | 1,187,295 |
City of West Des Moines, Urban Renewal Series 2016B, GO, 5.00%, 6/1/2024 | 35,000 | 35,148 |
Des Moines Independent Community School District, Sales Services and Use Tax Rev., 5.00%, 6/1/2028 | 175,000 | 190,569 |
Iowa Finance Authority, State Revolving Fund Rev., 5.00%, 8/1/2027 | 30,000 | 32,371 |
Iowa Student Loan Liquidity Corp., Student Loan | ||
Series 2023B, Rev., AMT, 5.00%, 12/1/2026 | 600,000 | 618,808 |
Series 2023B, Rev., AMT, 5.00%, 12/1/2027 | 900,000 | 937,754 |
Total Iowa | 4,181,713 | |
Kansas — 0.5% | ||
City of Topeka, Kansas Health Care Facilities | ||
Series 2022B, Rev., 5.13%, 12/1/2026 | 250,000 | 249,317 |
Series 2022A, Rev., 5.75%, 12/1/2033 | 250,000 | 252,162 |
Johnson County Community College Foundation, Inc. COP, 5.00%, 10/1/2024 | 105,000 | 106,106 |
Johnson County Water District No. 1 Series 2017A, Rev., 5.00%, 1/1/2025 | 50,000 | 50,719 |
140 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Kansas — continued | ||
Kansas Development Finance Authority, AdventHealth Series 2021B, Rev., 5.00%, 11/15/2031 (c) | 200,000 | 226,514 |
University of Kansas Hospital Authority, Health System Rev., VRDO, LOC : US Bank NA, 2.95%, 3/1/2024 (c) | 4,660,000 | 4,660,000 |
Total Kansas | 5,544,818 | |
Kentucky — 0.8% | ||
County of Boone, Duke Energy Kentucky, Inc. Series 2008A, Rev., 3.70%, 8/1/2027 | 500,000 | 494,573 |
Kentucky Economic Development Finance Authority, Baptist Healthcare System Obligated Group Series 2017B, Rev., 5.00%, 8/15/2029 | 165,000 | 174,360 |
Kentucky Public Energy Authority Series 2023 A-1, Rev., 5.25%, 2/1/2032 (c) | 3,330,000 | 3,589,384 |
Louisville and Jefferson County Metropolitan Government, Norton Healthcare, Inc. Series 2016A, Rev., 4.00%, 10/1/2036 | 65,000 | 64,932 |
Louisville and Jefferson County Metropolitan Sewer District, Sewer and Drainage System Series 2017B, Rev., 5.00%, 5/15/2024 | 25,000 | 25,087 |
University of Kentucky, General Receipts Series 2015A, Rev., 4.00%, 4/1/2038 | 5,000,000 | 4,974,900 |
Total Kentucky | 9,323,236 | |
Louisiana — 1.9% | ||
Louisiana Local Government Environmental Facilities and Community Development Authority, Calcasieu Parish Projects Rev., 5.00%, 12/1/2030 | 250,000 | 275,888 |
Louisiana Public Facilities Authority, Materra Campus Project Series 2021C, Rev., 4.00%, 6/1/2031 (e) | 245,000 | 227,851 |
Parish of St. John the Baptist, Marathon Oil Corp., Project Series 2017A-1, Rev., 4.05%, 7/1/2026 (c) | 2,750,000 | 2,727,613 |
State of Louisiana Series 2016-B, GO, 4.00%, 8/1/2026 | 30,000 | 30,723 |
State of Louisiana Gasoline and Fuels Tax Series A, Rev., 4.50%, 5/1/2025 (b) | 5,000,000 | 5,075,625 |
State of Louisiana Gasoline and Fuels Tax, Second Lien Series 2023A-1, Rev., VRDO, LOC : TD Bank NA, 3.65%, 3/1/2024 (c) | 15,000,000 | 15,000,000 |
Total Louisiana | 23,337,700 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Maine — 0.2% | ||
Maine Health and Higher Educational Facilities Authority, Mainehealth | ||
Series 2023A, Rev., AGM, 5.00%, 7/1/2038 | 250,000 | 278,393 |
Series 2023A, Rev., AGM, 5.00%, 7/1/2039 | 295,000 | 324,685 |
Maine Municipal Bond Bank Series C, Rev., 5.00%, 11/1/2024 | 75,000 | 75,853 |
Maine Turnpike Authority Rev., 4.00%, 7/1/2040 | 2,100,000 | 2,128,397 |
Total Maine | 2,807,328 | |
Maryland — 2.5% | ||
County of Anne Arundel Series 2022, GO, 5.00%, 10/1/2035 | 2,565,000 | 3,010,411 |
County of Baltimore, Consolidated Public Improvement Series 2020, GO, 5.00%, 3/1/2025 | 4,000,000 | 4,077,912 |
County of St. Mary's, Public Improvement GO, 4.00%, 7/15/2027 | 70,000 | 72,982 |
Maryland Health and Higher Educational Facilities Authority, Pooled Loan Program Series 1985B, Rev., VRDO, LOC : TD Bank NA, 3.40%, 3/11/2024 (c) | 10,000,000 | 10,000,000 |
Maryland Health and Higher Educational Facilities Authority, University of Maryland Medical System Series 2008D, Rev., VRDO, LOC : TD Bank NA, 3.65%, 3/1/2024 (c) | 9,300,000 | 9,300,000 |
State of Maryland, Department of Transportation Rev., 5.00%, 9/1/2026 | 75,000 | 79,112 |
State of Maryland, State and Local Facilities Loan of 2017 | ||
Series 2017A, GO, 5.00%, 8/1/2025 | 45,000 | 46,285 |
Series 2017B, GO, 5.00%, 8/1/2026 | 205,000 | 215,943 |
State of Maryland, State and Local Facilities Loan of 2021 Series 2021A, GO, 5.00%, 3/1/2031 | 400,000 | 464,712 |
State of Maryland, State and Local Facilities Loan of 2022 Series 2022A, GO, 5.00%, 6/1/2033 | 1,000,000 | 1,185,323 |
Town of Ocean City Series 2023, GO, 4.00%, 1/15/2043 | 1,500,000 | 1,522,783 |
Total Maryland | 29,975,463 | |
Massachusetts — 4.4% | ||
City of Brockton GO, 4.00%, 8/1/2047 | 2,000,000 | 1,967,089 |
Commonwealth of Massachusetts | ||
Series 2024A, GO, 5.00%, 1/1/2041 | 1,000,000 | 1,143,773 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 141 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Massachusetts — continued | ||
Series 2024 A, GO, 5.00%, 3/1/2041 | 5,000,000 | 5,729,404 |
Series 2024B, GO, 5.00%, 11/1/2041 | 3,000,000 | 3,443,683 |
Series 2020 E, GO, 5.00%, 11/1/2050 | 3,210,000 | 3,419,635 |
Series 2023 D, GO, 5.00%, 10/1/2051 | 10,000,000 | 10,897,093 |
Series 2023A, GO, 5.00%, 5/1/2053 | 8,440,000 | 9,158,897 |
Massachusetts Development Finance Agency, Boston Medical Center Issue | ||
Series 2023G, Rev., 5.00%, 7/1/2029 | 750,000 | 821,515 |
Series 2023G, Rev., 4.38%, 7/1/2052 | 700,000 | 694,883 |
Series 2023G, Rev., 5.25%, 7/1/2052 | 1,000,000 | 1,078,652 |
Massachusetts Development Finance Agency, Mass General Brigham Series 2024 E-2, Rev., VRDO, LOC : Royal Bank of Canada, 2.75%, 3/1/2024 (c) | 10,000,000 | 10,000,000 |
Massachusetts Development Finance Agency, Milford Regional Medical Center Series 2020G, Rev., 5.00%, 7/15/2037 (e) | 245,000 | 248,065 |
Massachusetts Development Finance Agency, Salem Community Corp. Rev., 5.00%, 1/1/2030 | 235,000 | 228,851 |
Massachusetts State College Building Authority Series 2017D, Rev., 5.00%, 5/1/2027 | 45,000 | 48,290 |
Town of Andover | ||
Series 2023, GO, 4.00%, 12/1/2045 | 1,515,000 | 1,544,576 |
Series 2023, GO, 4.00%, 12/1/2046 | 1,615,000 | 1,635,183 |
Series 2023, GO, 4.00%, 12/1/2051 | 1,350,000 | 1,343,315 |
Town of Hopkinton, Municipal Purpose Loan GO, 5.00%, 11/15/2024 | 30,000 | 30,405 |
Total Massachusetts | 53,433,309 | |
Michigan — 2.0% | ||
Berrien Springs Public Schools, School Building and Site, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2030 | 250,000 | 277,575 |
City of Ann Arbor | ||
Rev., 4.00%, 4/1/2042 | 1,515,000 | 1,538,186 |
Rev., 4.00%, 4/1/2045 | 1,705,000 | 1,697,938 |
City of Detroit, Unlimited Tax | ||
Series 2021A, GO, 5.00%, 4/1/2031 | 480,000 | 514,890 |
Series 2023C, GO, 6.00%, 5/1/2043 | 1,200,000 | 1,337,036 |
Series 2021A, GO, 5.00%, 4/1/2046 | 1,015,000 | 1,031,292 |
City of Holland | ||
Series 2023, GO, 5.00%, 5/1/2041 | 1,070,000 | 1,181,883 |
Series 2023, GO, 5.00%, 5/1/2042 | 1,000,000 | 1,098,403 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Michigan — continued | ||
Grand Traverse County Hospital Finance Authority, Munson Healthcare Obligated Group Rev., 5.00%, 7/1/2026 | 175,000 | 181,996 |
Great Lakes Water Authority Sewage Disposal System, Second Lien Series 2023A, Rev., 5.00%, 7/1/2038 | 1,000,000 | 1,161,888 |
Lansing Board of Water and Light Series 2024 A, Rev., 5.00%, 7/1/2049 | 12,000,000 | 13,206,454 |
Michigan State Building Authority, Facilities Program Series 2023-II, Rev., 4.00%, 10/15/2047 | 675,000 | 674,806 |
State of Michigan Trunk Line Series 2021A, Rev., 4.00%, 11/15/2036 | 395,000 | 421,590 |
Total Michigan | 24,323,937 | |
Minnesota — 0.9% | ||
City of Mankato | ||
Series 2022B, GO, 5.00%, 2/1/2027 | 250,000 | 266,172 |
Series 2022B, GO, 5.00%, 2/1/2029 | 755,000 | 837,321 |
City of Minneapolis, Health Care System, Fairview Health Services Series 2018A, Rev., 5.00%, 11/15/2033 | 180,000 | 189,737 |
County of Hennepin Series 2023 A, GO, 5.00%, 12/1/2034 | 2,000,000 | 2,402,648 |
Duluth Economic Development Authority, Benedictine Health System Series 2021A, Rev., 3.00%, 7/1/2024 | 100,000 | 99,307 |
Metropolitan Council, Minneapolis St. Paul Metropolitan Area Series 2023C, GO, 4.00%, 3/1/2041 | 2,800,000 | 2,851,637 |
Minnesota Housing Finance Agency Series 2023F, Rev., GNMA / FNMA / FHLMC, 5.75%, 7/1/2053 | 2,480,000 | 2,650,033 |
Minnesota Municipal Gas Agency Subseries, 2022A, Rev., LIQ : Royal Bank of Canada, 4.00%, 6/1/2027 | 1,000,000 | 1,007,302 |
State of Minnesota, Various Purpose Series 2020A, GO, 5.00%, 8/1/2030 | 350,000 | 403,237 |
Total Minnesota | 10,707,394 | |
Mississippi — 0.0% ^ | ||
Mississippi Development Bank, Ranking County Project Rev., 5.00%, 3/1/2026 | 205,000 | 213,549 |
142 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Mississippi — continued | ||
Mississippi State University Educational Building Corp., New Facilities and Refinancing Project Rev., 5.00%, 8/1/2025 | 35,000 | 35,819 |
State of Mississippi Series 2016B, GO, 5.00%, 12/1/2025 | 20,000 | 20,723 |
Total Mississippi | 270,091 | |
Missouri — 0.7% | ||
Bi-State Development Agency of the Missouri-Illinois Metropolitan District, St. Clair County Metrolink Project Rev., AGM, 5.25%, 7/1/2024 | 40,000 | 40,246 |
City of Excelsior Springs Series 2020B, COP, 4.00%, 3/1/2030 | 115,000 | 121,523 |
Health and Educational Facilities Authority of the State of Missouri | ||
Rev., 4.00%, 2/15/2035 | 390,000 | 379,874 |
Rev., 4.00%, 2/15/2036 | 580,000 | 562,059 |
Health and Educational Facilities Authority of the State of Missouri, Lake Regional Health System Rev., 5.00%, 2/15/2027 | 225,000 | 230,156 |
Health and Educational Facilities Authority of the State of Missouri, Lutheran Senior Services Projects Series 2016A, Rev., 5.00%, 2/1/2036 | 1,000,000 | 1,002,658 |
Health and Educational Facilities Authority of the State of Missouri, Mercy Health Series 2018A, Rev., 5.00%, 6/1/2028 | 180,000 | 194,963 |
Health and Educational Facilities Authority of the State of Missouri, St. Luke's Episcopal-Presbyterian Hospitals Series 2015B, Rev., 5.00%, 12/1/2026 | 165,000 | 168,387 |
Health and Educational Facilities Authority of the State of Missouri, Wright Memorial Hospital Rev., 5.00%, 9/1/2026 | 200,000 | 202,616 |
Metropolitan St. Louis Sewer District, Wastewater System Improvement Series 2017A, Rev., 5.00%, 5/1/2027 | 45,000 | 48,092 |
Missouri Housing Development Commission, Single Family, First Place Homeownership Loan Program Series 2024 A, Rev., GNMA / FNMA / FHLMC, 5.75%, 5/1/2055 (d) | 3,000,000 | 3,276,375 |
Springfield School District No. R-12 GO, 4.00%, 3/1/2042 | 1,800,000 | 1,826,883 |
Total Missouri | 8,053,832 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Montana — 0.2% | ||
Yellowstone and Carbon Counties School District No. 7-70 Laurel Series 2023, GO, 5.00%, 7/1/2039 | 1,675,000 | 1,885,735 |
Nebraska — 0.3% | ||
Central Plains Energy Project, Gas Project No. 3 Series 2017A, Rev., 5.00%, 9/1/2030 | 320,000 | 337,700 |
Central Plains Energy Project, Gas Project No. 5 Series 2022-1, Rev., 5.00%, 10/1/2029 (c) | 1,335,000 | 1,401,073 |
City of Lincoln, Electric System | ||
Rev., 5.00%, 9/1/2026 | 85,000 | 89,409 |
Rev., 5.00%, 9/1/2028 | 50,000 | 53,254 |
Omaha Public Power District, Electric System | ||
Series 2016A, Rev., 5.00%, 2/1/2026 | 40,000 | 41,609 |
Series 2016A, Rev., 5.00%, 2/1/2027 | 30,000 | 31,179 |
Series 2016A, Rev., 5.00%, 2/1/2028 | 1,075,000 | 1,117,048 |
Total Nebraska | 3,071,272 | |
Nevada — 0.5% | ||
Clark County School District, Limited Tax | ||
Series 2018A, GO, 5.00%, 6/15/2032 | 95,000 | 102,528 |
Series 2018A, GO, 4.00%, 6/15/2035 | 90,000 | 92,752 |
Clark County Water Reclamation District Series 2023, GO, 5.00%, 7/1/2043 | 4,000,000 | 4,441,364 |
County of Clark Department of Aviation, Jet Aviation Fuel tax Series 2022A, Rev., AMT, 5.00%, 7/1/2026 | 500,000 | 517,487 |
County of Clark, Limited Tax Series 2018B, GO, 5.00%, 12/1/2027 | 120,000 | 130,043 |
County of Clark, Passenger Facility Charge, Las Vegas-McCarran International Airport Passenger Facility Series 2019E, Rev., 5.00%, 7/1/2033 | 155,000 | 171,687 |
Nye County School District Series 2023, GO, PSF-GTD, 5.00%, 5/1/2036 | 1,000,000 | 1,174,909 |
Truckee Meadows Water Authority Rev., 5.00%, 7/1/2029 | 50,000 | 53,568 |
Total Nevada | 6,684,338 | |
New Hampshire — 0.6% | ||
New Hampshire Business Finance Authority, Springpoint Senior Living Project Rev., 4.00%, 1/1/2025 | 290,000 | 287,185 |
New Hampshire Business Finance Authority, University of Nevada Reno Project | ||
Series 2023A, Rev., 5.00%, 12/1/2036 | 715,000 | 816,367 |
Series 2023A, Rev., 5.00%, 12/1/2037 | 860,000 | 973,277 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 143 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New Hampshire — continued | ||
Series 2023A, Rev., 5.00%, 12/1/2038 | 665,000 | 746,943 |
Series 2023A, Rev., 5.25%, 12/1/2039 | 790,000 | 896,128 |
Series 2023A, Rev., 5.25%, 6/1/2051 | 2,400,000 | 2,631,765 |
Series 2023A, Rev., 4.50%, 6/1/2053 | 1,075,000 | 1,075,735 |
Total New Hampshire | 7,427,400 | |
New Jersey — 1.7% | ||
Borough of North Haledon GO, BAN, 4.50%, 6/26/2024 | 5,000,000 | 5,011,692 |
Burlington County Bridge Commission, Government Leasing Program Series C, Rev., 4.50%, 8/7/2024 | 1,750,000 | 1,758,018 |
City of New Brunswick GO, 4.00%, 3/15/2024 | 10,000 | 10,002 |
New Jersey Economic Development Authority, School Facilities Construction Series 2024SSS, Rev., 5.00%, 6/15/2026 (d) | 1,000,000 | 1,040,512 |
New Jersey Transportation Trust Fund Authority, Transportation Program Series 2023 BB, Rev., 5.25%, 6/15/2050 | 3,500,000 | 3,834,169 |
New Jersey Transportation Trust Fund Authority, Transportation System | ||
Series 2018A, Rev., 4.00%, 12/15/2031 | 250,000 | 260,085 |
Series 2018A, Rev., 5.00%, 12/15/2033 | 2,000,000 | 2,172,387 |
New Jersey Turnpike Authority Series 2022B, Rev., 5.00%, 1/1/2042 | 1,500,000 | 1,682,726 |
Township of Raritan GO, BAN, 4.50%, 4/29/2024 | 5,000,000 | 5,005,743 |
Total New Jersey | 20,775,334 | |
New Mexico — 0.4% | ||
Albuquerque Municipal School District No. 12 Series 2023B, GO, 5.00%, 8/1/2024 | 590,000 | 593,803 |
City of Albuquerque Series 2015A, Rev., 5.00%, 7/1/2026 | 240,000 | 246,049 |
Loving Municipal School District No. 10 Series 2023, GO, 5.00%, 9/15/2024 | 3,875,000 | 3,905,793 |
New Mexico Finance Authority, Senior Lien Public Project Revolving Fund Series 2016E, Rev., 5.00%, 6/1/2024 | 25,000 | 25,105 |
New Mexico Finance Authority, State Transportation, Subordinate Lien Series 2018A, Rev., 5.00%, 6/15/2027 | 100,000 | 107,419 |
State of New Mexico, Capital Projects GO, 5.00%, 3/1/2024 | 305,000 | 305,000 |
Total New Mexico | 5,183,169 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New York — 12.8% | ||
Build NYC Resource Corp., Kipp NYC Public School Facilities - Canal West Project | ||
Rev., 5.00%, 7/1/2033 | 585,000 | 639,102 |
Rev., 5.00%, 7/1/2034 | 205,000 | 223,207 |
City of New York, Fiscal Year 2006 Series 2006, Subseries I-4, GO, VRDO, LOC : TD Bank NA, 3.65%, 3/1/2024 (c) | 10,000,000 | 10,000,000 |
City of New York, Fiscal Year 2018 | ||
Series 2018E, GO, VRDO, LOC : TD Bank NA, 3.65%, 3/1/2024 (c) | 4,400,000 | 4,400,000 |
Series 2018F-1, GO, 5.00%, 4/1/2033 | 105,000 | 113,769 |
City of New York, Fiscal Year 2019 Series 2019E, GO, 5.00%, 8/1/2033 | 100,000 | 110,314 |
City of New York, Fiscal Year 2020 Series 2020C-1, GO, 5.00%, 8/1/2033 | 160,000 | 181,929 |
City of New York, Fiscal Year 2021 | ||
Series 2021A-1, GO, 5.00%, 8/1/2031 | 185,000 | 210,689 |
Series 2021-1, GO, 5.00%, 4/1/2033 | 235,000 | 270,316 |
Series 2021F, Subseries F-1, GO, 5.00%, 3/1/2037 | 1,000,000 | 1,126,910 |
City of New York, Fiscal Year 2022 Series 2022B,Subseries B-1, GO, 5.00%, 8/1/2033 | 1,650,000 | 1,939,239 |
City of New York, Fiscal Year 2023 Series 2023E, Subseries E-1, GO, 4.00%, 4/1/2050 | 1,290,000 | 1,259,956 |
City of New York, Fiscal Year 2024 Series 2024A, GO, 4.13%, 8/1/2053 | 1,225,000 | 1,204,424 |
Malone Central School District GO, BAN, 4.50%, 6/27/2024 | 5,000,000 | 5,010,516 |
Metropolitan Transportation Authority Series 2015 E-1, Rev., VRDO, LOC : Barclays Bank plc, 3.78%, 3/1/2024 (c) | 2,300,000 | 2,300,000 |
New York City Municipal Water Finance Authority, Water and Sewer System Series 2019FF-1, Rev., 4.00%, 6/15/2049 | 1,530,000 | 1,496,579 |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution Series DD-1, Rev., VRDO, LIQ : TD Bank NA, 3.65%, 3/1/2024 (c) | 2,100,000 | 2,100,000 |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2020 Series 2022FF, Rev., 4.00%, 6/15/2041 | 1,760,000 | 1,780,871 |
144 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New York — continued | ||
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2023 | ||
Series 2023CC, Rev., VRDO, LIQ : Barclays Bank plc, 2.85%, 3/1/2024 (c) | 2,105,000 | 2,105,000 |
Series 2023, Subseries AA-3, Rev., 5.00%, 6/15/2047 | 725,000 | 797,930 |
Series 2023AA Subseries AA-1, Rev., 5.25%, 6/15/2052 | 3,000,000 | 3,326,702 |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2024 Series 2024, Subseries AA-1, Rev., 5.25%, 6/15/2053 | 2,700,000 | 3,015,967 |
New York City Transitional Finance Authority Building Aid, Subordinate Series 2019 S-2A, Rev., 5.00%, 7/15/2025 (b) | 45,000 | 46,155 |
New York City Transitional Finance Authority Building Aid, Subordinate, Fiscal Year 2020 Series 2020S1, Subseries S-1B, Rev., 4.00%, 7/15/2042 | 1,500,000 | 1,505,456 |
New York City Transitional Finance Authority Building Aid, Subordinate, Fiscal Year 2023 Series 2023, Subseries S-1A, Rev., 5.00%, 7/15/2035 | 800,000 | 942,582 |
New York City Transitional Finance Authority, Building Aid, Fiscal Year 2018 Series 2018S-4A, Rev., 5.00%, 7/15/2033 | 105,000 | 114,710 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2014 Series D-3, Rev., VRDO, LIQ : Mizuho Bank Ltd., 2.85%, 3/1/2024 (c) | 15,700,000 | 15,700,000 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2017 Series 2017F-1, Rev., 5.00%, 5/1/2030 | 550,000 | 586,981 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2020 Series 2020A, Subseries A-2, Rev., 5.00%, 5/1/2039 | 265,000 | 287,600 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2021 Series 2021C, Subseries C-1, Rev., 4.00%, 5/1/2035 | 750,000 | 796,297 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2022 Series 2022B, Subseries B-1, Rev., 4.00%, 8/1/2045 | 13,370,000 | 13,135,549 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New York — continued | ||
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2023 Series 2023F, Subseries F-1, Rev., 4.00%, 2/1/2051 | 1,250,000 | 1,204,502 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2024 | ||
Series 2024C, Rev., 5.25%, 5/1/2048 | 2,000,000 | 2,230,005 |
Series 2024F, Subseries F-1, Rev., 5.25%, 2/1/2053 | 1,000,000 | 1,103,537 |
Series 2024C, Rev., 5.00%, 5/1/2053 | 2,500,000 | 2,697,468 |
Series 2024F, Subseries F-1, Rev., 4.25%, 2/1/2054 | 1,000,000 | 981,133 |
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2022 Series 2022F, SubseriesF-1, Rev., 5.00%, 2/1/2036 | 525,000 | 608,416 |
New York Power Authority, Green Transmission Project | ||
Series 2023 A, Rev., AGM, 5.00%, 11/15/2053 | 1,000,000 | 1,100,853 |
Series 2023 A, Rev., AGM, 5.13%, 11/15/2058 | 2,750,000 | 3,039,607 |
New York State Dormitory Authority, Cornell University Series 2019D, Rev., 5.00%, 7/1/2033 | 135,000 | 163,683 |
New York State Dormitory Authority, Northwell Health Obligated Group Series 2019A, Rev., 5.00%, 5/1/2029 | 70,000 | 75,773 |
New York State Dormitory Authority, Personal Income Tax | ||
Series 2019D, Rev., 5.00%, 2/15/2034 | 2,000,000 | 2,264,616 |
Series 2015B, Rev., 5.00%, 2/15/2035 | 4,000,000 | 4,060,874 |
Series 2021A, Rev., 4.00%, 3/15/2037 | 990,000 | 1,035,586 |
Series 2021E, Rev., 4.00%, 3/15/2040 | 3,000,000 | 3,053,061 |
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2021 E, Rev., 4.00%, 3/15/2042 | 1,000,000 | 1,007,165 |
New York State Dormitory Authority, State Supported Debt University Facilities Series 2019A, Rev., 5.00%, 7/1/2024 | 25,000 | 25,146 |
New York State Housing Finance Agency, 160 Madison Avenue LLC Series 2013A, Rev., VRDO, LOC : Landesbank Hessen-Thuringen Girozentrale, 3.55%, 3/1/2024 (c) | 5,000,000 | 5,000,000 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 145 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New York — continued | ||
New York State Urban Development Corp., State Personal Income Tax, General Purpose | ||
Series 2017A, Rev., 5.00%, 3/15/2027 (b) | 150,000 | 160,434 |
Series 2020A, Rev., 4.00%, 3/15/2045 | 500,000 | 495,305 |
Series 2023A, Rev., 5.00%, 3/15/2057 | 5,000,000 | 5,370,422 |
New York State Urban Development Corp., State Sales Tax Series 2021A, Rev., 4.00%, 3/15/2046 | 2,500,000 | 2,463,311 |
New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project | ||
Series 2018, Rev., AMT, 5.00%, 1/1/2030 | 2,065,000 | 2,135,233 |
Series 2018, Rev., AMT, 5.00%, 1/1/2031 | 1,430,000 | 1,476,941 |
Series 2023, Rev., AMT, 6.00%, 4/1/2035 | 3,000,000 | 3,382,113 |
Series 2023, Rev., AMT, 5.63%, 4/1/2040 | 3,000,000 | 3,253,886 |
New York Transportation Development Corp., JFK International Airport New Terminal One Project Series 2023, Rev., AMT, AGM, 5.00%, 6/30/2049 | 1,000,000 | 1,049,360 |
Onondaga Civic Development Corp., Le Moyne College Project | ||
Rev., 5.00%, 7/1/2027 | 100,000 | 103,900 |
Series 2020B, Rev., 5.00%, 7/1/2032 | 250,000 | 264,992 |
Port Authority of New York and New Jersey, Consolidated | ||
Series 214, Rev., AMT, 5.00%, 9/1/2036 | 1,975,000 | 2,110,447 |
Series 223, Rev., AMT, 4.00%, 7/15/2037 | 510,000 | 514,311 |
Port Washington Union Free School District GO, 4.00%, 8/1/2036 | 1,370,000 | 1,453,426 |
Smithtown Central School District | ||
GO, 4.00%, 6/1/2035 | 2,465,000 | 2,647,404 |
GO, 4.00%, 6/1/2036 | 2,125,000 | 2,254,384 |
GO, 4.00%, 6/1/2037 | 2,000,000 | 2,099,067 |
Suffolk Tobacco Asset Securitization Corp. Series 2021 A-2, Rev., 5.00%, 6/1/2033 | 2,375,000 | 2,652,471 |
Syracuse Industrial Development Agency, Syracuse City School District Project Series 2020A, Rev., 4.00%, 5/1/2036 | 1,275,000 | 1,321,289 |
Town of Stony Point GO, 5.00%, 8/15/2027 | 75,000 | 80,462 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New York — continued | ||
Triborough Bridge and Tunnel Authority Sales Tax Series 2024ASUB A-1, Rev., 5.00%, 5/15/2046 | 4,000,000 | 4,441,824 |
Triborough Bridge and Tunnel Authority Sales Tax, TBTA Capital Lockbox Series 2023A, Rev., 4.13%, 5/15/2053 | 2,250,000 | 2,196,028 |
Triborough Bridge and Tunnel Authority, Payroll Mobility Tax Series 2022D-1A, Rev., 5.00%, 11/15/2037 | 1,000,000 | 1,161,457 |
Tully Central School District GO, BAN, 4.50%, 6/27/2024 | 5,000,000 | 5,011,958 |
Westchester County Local Development Corp., Kendal on Hudson Project Series 2022B, Rev., 5.00%, 1/1/2032 | 240,000 | 251,132 |
Westchester County Local Development Corp., Purchase Senior Learning Community, Inc. Project | ||
Series 2021D, Rev., 2.88%, 4/1/2024 (e) | 250,000 | 247,187 |
Series 2021C-EFRB, Rev., 3.20%, 7/1/2028 (e) | 250,000 | 244,925 |
Yonkers Industrial Development Agency, New Community School Project Rev., 5.00%, 5/1/2042 | 1,445,000 | 1,580,273 |
Total New York | 156,804,117 | |
North Carolina — 0.7% | ||
City of Charlotte Series 2023B, Rev., AMT, 5.00%, 7/1/2048 | 570,000 | 604,191 |
City of Charlotte, North Carolina Government Facilities | ||
Series 2023B, COP, 5.00%, 6/1/2026 | 400,000 | 419,281 |
Series 2023B, COP, 5.00%, 6/1/2027 | 460,000 | 493,985 |
City of Sanford | ||
Series 2023, Rev., 5.00%, 4/1/2034 | 250,000 | 294,268 |
Series 2023, Rev., 5.00%, 4/1/2036 | 140,000 | 163,205 |
City of Wilson | ||
Series 2024, Rev., 5.00%, 10/1/2035 (d) | 1,000,000 | 1,179,719 |
Series 2024, Rev., 5.00%, 10/1/2036 (d) | 1,320,000 | 1,547,439 |
County of Davidson GO, 5.00%, 6/1/2027 | 35,000 | 37,541 |
County of Wayne, Limited Obligation Rev., 5.00%, 6/1/2024 | 25,000 | 25,101 |
State of North Carolina, Build NC Programs, Limited Obligation | ||
Series 2014C, Rev., 5.00%, 5/1/2024 | 25,000 | 25,068 |
Series 2020B, Rev., 5.00%, 5/1/2029 | 100,000 | 111,872 |
146 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
North Carolina — continued | ||
University of North Carolina, Hospital at Chapel Hill Series A, Rev., VRDO, LIQ : TD Bank NA, 3.65%, 3/1/2024 (c) | 2,800,000 | 2,800,000 |
Water and Sewer Authority of Cabarrus County Series 2024, Rev., 4.00%, 6/1/2049 | 1,000,000 | 987,615 |
Total North Carolina | 8,689,285 | |
North Dakota — 0.4% | ||
City of Grand Forks | ||
Series 2023A, Rev., AGM, 5.00%, 12/1/2039 | 400,000 | 441,058 |
Series 2023A, Rev., AGM, 5.00%, 12/1/2040 | 350,000 | 383,348 |
North Dakota Housing Finance Agency, Home Mortgage Finance Program | ||
Series 2017H, Rev., VRDO, LIQ : Royal Bank of Canada, 3.30%, 3/11/2024 (c) | 1,725,000 | 1,725,000 |
Series 2023A, Rev., 5.75%, 7/1/2053 | 2,235,000 | 2,374,908 |
Total North Dakota | 4,924,314 | |
Ohio — 3.0% | ||
Bowling Green State University, General Receipts Series 2016A, Rev., 5.00%, 6/1/2024 | 25,000 | 25,091 |
Buckeye Tobacco Settlement Financing Authority Series 2020B-2, Class 2, Rev., 5.00%, 6/1/2055 | 5,250,000 | 5,002,689 |
City of Cleveland Series 2022A, GO, 5.00%, 12/1/2035 | 460,000 | 532,040 |
County of Franklin, Ohio Hospital Facilities Series 2009A, Rev., VRDO, LIQ : Barclays Bank plc, 3.40%, 3/11/2024 (c) | 5,000,000 | 5,000,000 |
County of Summit, Various Purpose Improvement Series 2022, GO, 5.00%, 12/1/2031 | 100,000 | 117,079 |
County of Warren, Healthcare Facilities, Otterbein Homes Obligated Group Series 2019A, Rev., 4.00%, 7/1/2033 | 205,000 | 208,352 |
Jefferson County Port Authority, JSW Steel USA Ohio, Inc., Project Series 2023, Rev., 5.00%, 12/1/2028 (c) (e) | 3,795,000 | 3,852,916 |
Northeast Ohio Medical University Series 2022, Rev., 5.00%, 12/1/2035 | 1,000,000 | 1,110,008 |
Ohio Air Quality Development Authority, Duke Energy Corp. | ||
Series 2022B, Rev., 4.00%, 6/1/2027 (c) | 2,000,000 | 2,012,173 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Ohio — continued | ||
Series 2022A, Rev., AMT, 4.25%, 6/1/2027 (c) | 1,500,000 | 1,514,075 |
Ohio Higher Educational Facility Commission, Denison University 2017 Project Series 2017A, Rev., 5.00%, 11/1/2025 | 75,000 | 77,159 |
Ohio Higher Educational Facility Commission, John Carroll university Rev., 4.00%, 10/1/2034 | 440,000 | 445,845 |
Ohio State University (The), General Receipts Series 2023A-2, Rev., VRDO, 3.40%, 3/11/2024 (c) | 10,000,000 | 10,000,000 |
Ohio Turnpike and Infrastructure Commission, Junior Lien Series 2018A, Rev., 5.00%, 2/15/2027 | 135,000 | 143,996 |
Ohio Water Development Authority | ||
Series 2016B, Rev., 5.00%, 6/1/2026 | 30,000 | 31,433 |
Series 2023A, Rev., 5.00%, 12/1/2036 | 1,335,000 | 1,584,588 |
Ohio Water Development Authority, Drinking Water Assistance Fund Series 2022A, Rev., 5.00%, 12/1/2041 | 1,000,000 | 1,134,015 |
Ohio Water Development Authority, Water Pollution Control Loan Fund | ||
Series 2017A, Rev., 5.00%, 12/1/2026 | 45,000 | 47,724 |
Series 2023B, Rev., 5.00%, 12/1/2038 | 1,500,000 | 1,733,682 |
Series 2020 A, Rev., 5.00%, 12/1/2050 | 1,000,000 | 1,075,628 |
State of Ohio Series 2021B, GO, 5.00%, 9/15/2031 | 210,000 | 245,329 |
State of Ohio, Capital Facilities Lease Appropriation, Administrative Building Fund Projects, Tax Exempt Series 2018A, Rev., 5.00%, 10/1/2034 | 220,000 | 240,722 |
State of Ohio, Natural Resources Series 2017V, GO, 5.00%, 10/1/2027 | 35,000 | 37,888 |
Youngstown State University, General Receipts Rev., AGM, 4.00%, 12/15/2030 | 490,000 | 521,541 |
Total Ohio | 36,693,973 | |
Oklahoma — 0.5% | ||
Oklahoma Capitol Improvement Authority Series 2014A, Rev., 5.00%, 7/1/2025 | 1,000,000 | 1,005,792 |
Oklahoma Capitol Improvement Authority, State Highway, Capital Improvement Rev., 5.00%, 7/1/2024 | 100,000 | 100,503 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 147 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Oklahoma — continued | ||
Oklahoma Water Resources Board, State Loan Program | ||
Series 2024 A, Rev., 5.00%, 10/1/2037 | 1,000,000 | 1,138,037 |
Series 2023A, Rev., 4.00%, 10/1/2043 | 3,720,000 | 3,769,690 |
Total Oklahoma | 6,014,022 | |
Oregon — 0.2% | ||
Salem Hospital Facility Authority, Multi Model, Salem Health Project Series 2019A, Rev., 5.00%, 5/15/2028 | 75,000 | 80,399 |
Tri-County Metropolitan Transportation District of Oregon, Senior Lien Payroll Tax | ||
Series 2018A, Rev., 5.00%, 9/1/2027 (b) | 45,000 | 48,573 |
Series 2021A, Rev., 5.00%, 9/1/2035 | 1,060,000 | 1,221,307 |
Union County Hospital Facility Authority, Grande Ronde Hospital, Inc. | ||
Series 2022, Rev., 5.00%, 7/1/2026 | 300,000 | 307,317 |
Series 2022, Rev., 5.00%, 7/1/2028 | 400,000 | 419,159 |
Total Oregon | 2,076,755 | |
Pennsylvania — 4.8% | ||
Aliquippa School District, Limited Tax GO, 3.88%, 12/1/2037 | 200,000 | 196,080 |
Allegheny County Airport Authority, Pittsburgh International Airport | ||
Series 2023A, Rev., AMT, AGM, 5.50%, 1/1/2048 | 1,500,000 | 1,653,555 |
Series 2023A, Rev., AMT, AGM, 5.50%, 1/1/2053 | 1,000,000 | 1,092,271 |
Allegheny County Higher Education Building Authority, Carnegie Mellon University Series 2008A, Rev., VRDO, LIQ : Bank of New York Mellon (The), 3.00%, 3/1/2024 (c) | 6,000,000 | 6,000,000 |
Allegheny County Higher Education Building Authority, University Refunding Duquesne University | ||
Series 2014A, Rev., 5.00%, 3/1/2024 | 1,095,000 | 1,095,000 |
Series 2024, Rev., 5.00%, 3/1/2043 | 3,500,000 | 3,896,946 |
Berks County Industrial Development Authority, The Highlands at Wyomissing Series 2017A, Rev., 5.00%, 5/15/2037 | 250,000 | 251,595 |
Bucks County Water and Sewer Authority | ||
Series 2022A, Rev., AGM, 5.00%, 12/1/2032 | 115,000 | 135,736 |
Series 2022A, Rev., AGM, 5.00%, 12/1/2033 | 105,000 | 124,313 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pennsylvania — continued | ||
Series 2022A, Rev., AGM, 5.00%, 12/1/2036 | 380,000 | 441,082 |
City of Philadelphia, Airport System Series 2017B, Rev., AMT, 5.00%, 7/1/2035 | 2,000,000 | 2,071,668 |
Commonwealth Financing Authority, Tobacco Master Settlement Payment Rev., 5.00%, 6/1/2035 | 225,000 | 240,724 |
Commonwealth of Pennsylvania Series 1, GO, 4.00%, 3/19/2024 | 2,000,000 | 2,000,470 |
County of Lehigh, Lehigh Valley Health Network Hospital Series 2016A, Rev., 4.00%, 7/1/2035 | 175,000 | 175,570 |
Delaware Valley Regional Finance Authority, Local Government Series 2022D, Rev., 4.00%, 3/1/2029 | 1,000,000 | 1,038,331 |
Geisinger Authority, Health System Series 2020B, Rev., 5.00%, 2/15/2027 (c) | 250,000 | 258,792 |
Montgomery County Higher Education and Health Authority, Thomas Jefferson University | ||
Rev., 5.00%, 9/1/2027 | 265,000 | 278,882 |
Series 2018A, Rev., 4.00%, 9/1/2038 | 135,000 | 135,763 |
Montgomery County Industrial Development Authority, Constellation Energy Generation Series 2023A, Rev., 4.10%, 4/3/2028 (c) | 2,250,000 | 2,306,034 |
Pennsylvania Economic Development Financing Authority, Junior Guaranteed, Capitol Region Parking System | ||
Series 2024 B, Rev., GTD, 4.25%, 1/1/2050 (d) | 1,500,000 | 1,451,820 |
Series 2024 B, Rev., GTD, 4.38%, 7/1/2053 (d) | 2,500,000 | 2,424,825 |
Pennsylvania Economic Development Financing Authority, Senior Insured, Capitol Region Parking System Series 2024 A, Rev., AGM, 4.00%, 1/1/2042 (d) | 1,250,000 | 1,212,638 |
Pennsylvania Economic Development Financing Authority, The Penndot Major Bridges Rev., AMT, AGM, 5.00%, 12/31/2057 | 425,000 | 447,589 |
Pennsylvania Economic Development Financing Authority, Waste Management, Inc. Project Series 2021A-2, Rev., 4.60%, 10/1/2026 (c) | 5,000,000 | 5,051,445 |
Pennsylvania Housing Finance Agency, Single Family Mortgage Series 2023-141A, Rev., 5.75%, 10/1/2053 | 4,960,000 | 5,265,504 |
148 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Pennsylvania — continued | ||
Pennsylvania Turnpike Commission | ||
Series A-1, Rev., 5.00%, 12/1/2029 | 105,000 | 113,144 |
Series A-1, Rev., 5.00%, 12/1/2031 | 60,000 | 64,525 |
Series 2016B, Rev., 4.00%, 6/1/2033 | 575,000 | 585,721 |
Series 2022A, Rev., 5.00%, 12/1/2033 | 1,000,000 | 1,165,242 |
Series 2022B, Rev., 5.25%, 12/1/2041 | 1,000,000 | 1,158,073 |
Pennsylvania Turnpike Commission, Subordinate Series 2023-1, Rev., 5.00%, 12/1/2036 | 750,000 | 865,066 |
Philadelphia Authority for Industrial Development, Holy Family University Project Rev., 5.00%, 9/1/2027 | 610,000 | 637,658 |
Philadelphia Energy Authority (The), Philadelphia Street Lighting Project | ||
Series 2023A, Rev., 5.00%, 11/1/2037 | 835,000 | 948,904 |
Series 2023A, Rev., 5.00%, 11/1/2038 | 850,000 | 955,770 |
Series 2023A, Rev., 5.00%, 11/1/2041 | 1,265,000 | 1,397,499 |
School District of Philadelphia (The) Series 2024A, Rev., RAN, 5.00%, 6/28/2024 | 4,750,000 | 4,770,752 |
Swarthmore Borough Authority Series 2023, Rev., 5.00%, 9/15/2053 | 1,500,000 | 1,647,168 |
Township of Hampton | ||
GO, 5.00%, 1/1/2035 | 150,000 | 171,268 |
GO, 5.00%, 1/1/2037 | 175,000 | 197,876 |
GO, 4.00%, 1/1/2042 | 970,000 | 983,047 |
GO, 4.00%, 1/1/2047 | 700,000 | 691,538 |
University of Pittsburgh-of the Commonwealth System of Higher Education Series 2023 A, Rev., 5.00%, 2/15/2034 | 3,000,000 | 3,644,554 |
Total Pennsylvania | 59,244,438 | |
Puerto Rico — 0.2% | ||
Puerto Rico Sales Tax Financing Corp. Sales Tax Series A-2, Rev., 4.78%, 7/1/2058 | 2,500,000 | 2,487,505 |
Rhode Island — 0.4% | ||
Rhode Island Health and Educational Building Corp., Lifespan Obligated Group | ||
Series 2024, Rev., 5.00%, 5/15/2036 | 960,000 | 1,077,792 |
Series 2024, Rev., 5.00%, 5/15/2038 | 1,150,000 | 1,267,017 |
Series 2024, Rev., 5.00%, 5/15/2042 | 1,000,000 | 1,075,929 |
Series 2024, Rev., 5.00%, 5/15/2043 | 1,000,000 | 1,071,223 |
State of Rhode Island and Providence Plantations Consolidated Capital Development Loan Series 2018A, GO, 5.00%, 4/1/2029 | 75,000 | 81,905 |
Total Rhode Island | 4,573,866 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
South Carolina — 0.9% | ||
Charleston County Airport District Rev., 5.00%, 7/1/2035 | 250,000 | 275,982 |
County of Dorchester, Waterworks and Sewer System Series 2023, Rev., 4.25%, 10/1/2048 | 2,320,000 | 2,348,250 |
Horry County School District Series 2015A, GO, SCSDE, 4.00%, 3/1/2028 | 5,000,000 | 5,039,963 |
Patriots Energy Group Financing Agency Series 2023 SUB B-1, Rev., 5.25%, 3/1/2031 (c) | 2,670,000 | 2,884,202 |
Total South Carolina | 10,548,397 | |
South Dakota — 0.2% | ||
South Dakota Housing Development Authority Series 2023J, Rev., GNMA / FNMA / FHLMC, 3.88%, 12/12/2024 (c) | 2,000,000 | 2,005,430 |
Tennessee — 2.8% | ||
City of Clarksville | ||
Series 2021A, Rev., 4.00%, 2/1/2041 | 3,950,000 | 3,986,452 |
Series 2021A, Rev., 4.00%, 2/1/2051 | 1,000,000 | 977,458 |
City of Knoxville, Wastewater System Series 2022B, Rev., 4.00%, 4/1/2045 | 2,765,000 | 2,782,870 |
City of Lenoir City, Electric System Series 2022, Rev., 5.00%, 6/1/2033 | 165,000 | 191,972 |
County of Coffee, Rural High School Series 2021A, GO, 5.00%, 6/1/2028 | 125,000 | 136,960 |
County of Sullivan GO, 5.00%, 5/1/2026 | 30,000 | 31,378 |
Johnson City Health and Educational Facilities Board, Ballad Health Series 2023A, Rev., 5.00%, 7/1/2024 | 625,000 | 626,922 |
Knox County Health Educational and Housing Facility Board, University of Tennessee Project | ||
Series 2024A-1, Rev., 5.00%, 7/1/2037 | 435,000 | 484,897 |
Series 2024A-1, Rev., 5.00%, 7/1/2038 | 430,000 | 475,598 |
Series 2024A-1, Rev., 5.00%, 7/1/2039 | 500,000 | 550,728 |
Series 2024A-1, Rev., 5.25%, 7/1/2049 | 1,250,000 | 1,347,459 |
Memphis-Shelby County Airport Authority Series 2021A, Rev., AMT, 5.00%, 7/1/2045 | 1,000,000 | 1,045,731 |
Metropolitan Government Nashville and Davidson County, Health and Educational Facilities Board, Belmont University | ||
Rev., 5.00%, 5/1/2026 | 450,000 | 467,404 |
Series 2023, Rev., 5.00%, 5/1/2038 | 400,000 | 443,487 |
Metropolitan Government of Nashville and Davidson County | ||
GO, 5.00%, 7/1/2031 | 2,000,000 | 2,190,800 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 149 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Tennessee — continued | ||
Series 2024 A, Rev., 5.00%, 5/15/2038 | 1,000,000 | 1,173,857 |
Series 2024 A, Rev., 5.00%, 5/15/2039 | 1,500,000 | 1,751,361 |
Series 2024 A, Rev., 5.25%, 5/15/2049 | 1,000,000 | 1,135,278 |
Metropolitan Government of Nashville and Davidson County, Electric System Series 2014A, Rev., 5.00%, 5/15/2024 | 10,000 | 10,034 |
Metropolitan Nashville Airport Authority (The) | ||
Series 2022B, Rev., AMT, 5.25%, 7/1/2047 | 630,000 | 677,410 |
Series 2022B, Rev., AMT, 5.00%, 7/1/2052 | 500,000 | 519,980 |
Shelby County Health Educational and Housing Facilities Board, Methodist Le Bonheur Healthcare | ||
Series 2017A, Rev., 5.00%, 5/1/2024 | 155,000 | 155,294 |
Series 2017A, Rev., 5.00%, 5/1/2027 | 200,000 | 210,699 |
Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station Project | ||
Series 2019A, Rev., 5.00%, 10/1/2029 | 150,000 | 135,056 |
Series 2019A, Rev., 5.50%, 10/1/2034 | 150,000 | 128,843 |
State of Tennessee | ||
Series A, GO, 5.00%, 9/1/2024 (b) | 25,000 | 25,222 |
Series 2023A, GO, 5.00%, 5/1/2038 | 10,000,000 | 11,648,501 |
Tennessee Energy Acquisition Corp., Gas Project Series 2023A-1, Rev., 5.00%, 5/1/2028 (c) | 1,250,000 | 1,292,779 |
Total Tennessee | 34,604,430 | |
Texas — 6.7% | ||
Aledo Independent School District, Unlimited Tax | ||
GO, PSF-GTD, 5.00%, 2/15/2042 | 500,000 | 555,319 |
GO, PSF-GTD, 5.00%, 2/15/2048 | 5,615,000 | 6,092,044 |
Arlington Higher Education Finance Corp., Trinity Basin Preparatory, Inc. | ||
Rev., PSF-GTD, 5.00%, 8/15/2026 | 160,000 | 167,311 |
Rev., PSF-GTD, 5.00%, 8/15/2027 | 145,000 | 154,478 |
Rev., PSF-GTD, 5.00%, 8/15/2028 | 150,000 | 162,457 |
Rev., PSF-GTD, 5.00%, 8/15/2029 | 130,000 | 143,299 |
Rev., PSF-GTD, 5.00%, 8/15/2030 | 100,000 | 112,061 |
Belton Independent School District, Unlimited Tax Series 2022, GO, PSF-GTD, 4.00%, 2/15/2052 | 3,000,000 | 2,882,982 |
Board of Regents of the University of Texas System, Financing System Series 2016D, Rev., 5.00%, 8/15/2024 | 50,000 | 50,405 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Texas — continued | ||
Brushy Creek Regional Utility Authority, Inc., Brushy Creek Regional Water Treatment and Distribution Project Rev., 5.00%, 8/1/2026 | 85,000 | 88,768 |
City of Austin, Airport System | ||
Rev., AMT, 5.00%, 11/15/2035 | 1,000,000 | 1,113,780 |
Series 2017B, Rev., AMT, 5.00%, 11/15/2046 | 1,000,000 | 1,009,218 |
City of Corpus Christi, Utility System Series 2022B, Rev., 5.00%, 7/15/2032 | 325,000 | 378,248 |
City of Dallas Housing Finance Corp., Rosemont at Ash Creek Apartments Series 2023, Rev., FHA, 5.00%, 12/1/2025 (c) | 1,375,000 | 1,405,179 |
City of Georgetown Series 2022, GO, 4.00%, 8/15/2041 | 2,410,000 | 2,429,951 |
City of Georgetown, Utilities System | ||
Series 2023, Rev., 5.00%, 8/15/2025 | 520,000 | 533,010 |
Series 2023, Rev., 5.00%, 8/15/2038 | 1,375,000 | 1,537,206 |
City of Grand Prairie Series 2023, GO, 4.00%, 2/15/2037 | 600,000 | 623,233 |
City of Houston, Combined Utility System, First Lien Series 2018D, Rev., 5.00%, 11/15/2030 | 45,000 | 49,413 |
City of San Antonio, Electric and Gas Systems Series 2023B, Rev., 5.25%, 2/1/2041 | 1,560,000 | 1,780,394 |
City of San Marcos, Combination Tax GO, 5.00%, 8/15/2031 | 170,000 | 181,338 |
Clifton Higher Education Finance Corp., Yes Prep Public School, Inc. | ||
Series 2023, Rev., PSF-GTD, 5.00%, 4/1/2025 | 195,000 | 198,418 |
Series 2023, Rev., PSF-GTD, 5.00%, 4/1/2026 | 250,000 | 259,488 |
Series 2023, Rev., PSF-GTD, 5.00%, 4/1/2038 | 265,000 | 292,563 |
Series 2023, Rev., PSF-GTD, 4.25%, 4/1/2048 | 1,000,000 | 995,850 |
County of Hays, Limited Tax GO, 5.00%, 2/15/2026 | 20,000 | 20,755 |
County of Williamson, Limited Tax GO, 5.00%, 2/15/2026 | 40,000 | 41,656 |
Crandall Independent School District, Unlimited Tax | ||
Series 2023, GO, PSF-GTD, 5.00%, 2/1/2039 | 2,800,000 | 3,184,206 |
Series 2023, GO, PSF-GTD, 5.00%, 2/1/2041 | 5,100,000 | 5,734,725 |
150 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Texas — continued | ||
Series 2023, GO, PSF-GTD, 5.00%, 8/15/2053 | 595,000 | 642,894 |
Cypress-Fairbanks Independent School District, Unlimited Tax Series 2015A, GO, PSF-GTD, 5.00%, 2/15/2025 | 20,000 | 20,368 |
Dallas Area Rapid Transit, Sales Tax, Senior Lien Series 2014A, Rev., 5.00%, 12/1/2024 (b) | 200,000 | 202,678 |
Denton Independent School District Series 2023, GO, PSF-GTD, 5.00%, 8/15/2043 | 1,805,000 | 2,023,311 |
Garland Independent School District, Unlimited Tax, School Building Series 2023A, GO, PSF-GTD, 5.00%, 2/15/2040 | 1,000,000 | 1,135,005 |
Glen Rose Independent School District, Unlimited Tax | ||
Series 2023, GO, PSF-GTD, 5.00%, 8/15/2035 | 1,000,000 | 1,127,637 |
Series 2023, GO, PSF-GTD, 5.00%, 8/15/2036 | 1,000,000 | 1,116,653 |
Laredo Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/1/2024 | 25,000 | 25,176 |
Lower Colorado River Authority, LCRA Transmission Services Corp. Project Rev., 5.00%, 5/15/2035 | 155,000 | 167,112 |
Melissa Independent School District, Unlimited Tax Series 2023, GO, PSF-GTD, 5.00%, 2/1/2041 | 1,000,000 | 1,125,638 |
Montgomery Independent School District, Unlimited Tax Series 2023, GO, PSF-GTD, 4.00%, 2/15/2053 | 1,190,000 | 1,149,526 |
North Texas Tollway Authority, First Tier Series 2023 A, Rev., 5.00%, 1/1/2026 | 3,740,000 | 3,869,263 |
Northside Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2024 | 65,000 | 65,477 |
Northwest Independent School District, Unlimited Tax Series 2023, GO, PSF-GTD, 5.00%, 2/15/2039 | 2,500,000 | 2,824,838 |
Permanent University Fund - University of Texas System Series 2016A, Rev., 5.00%, 7/1/2024 | 85,000 | 85,497 |
State of Texas Series 2015-A, GO, 5.00%, 10/1/2024 | 50,000 | 50,532 |
Tarrant County Cultural Education Facilities Finance Corp., Baylor Scott & White Health Project Series 2022F, Rev., 5.00%, 11/15/2030 (c) | 2,000,000 | 2,217,216 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Texas — continued | ||
Tarrant County Cultural Education Facilities Finance Corp., Texas Health Resources System Series 2008A, Rev., VRDO, 3.30%, 3/11/2024 (c) | 5,000,000 | 5,000,000 |
Tarrant Regional Water District Water Supply System Series 2022, Rev., 5.00%, 3/1/2048 | 4,930,000 | 5,282,500 |
Texas A&M University, Financing System Series 2017E, Rev., 5.00%, 5/15/2030 | 155,000 | 165,043 |
Texas Municipal Gas Acquisition & Supply Corp. IV Series 2023B, Rev., 5.50%, 1/1/2034 (c) | 5,000,000 | 5,552,010 |
Texas Private Activity Bond Surface Transportation Corp., NTE Mobility Partners Segments 3 LLC Project Series 2023, Rev., AMT, 5.25%, 12/31/2036 | 2,700,000 | 2,899,723 |
Texas Public Finance Authority, Texas Southern University | ||
Series 2023, Rev., 5.00%, 5/1/2026 | 500,000 | 516,270 |
Series 2023, Rev., 5.00%, 5/1/2027 | 625,000 | 656,707 |
Texas State Affordable Housing Corp., Juniper Creek Apartments Project Series 2023, Rev., 3.75%, 7/1/2026 (c) | 3,000,000 | 2,995,240 |
Texas Water Development Board | ||
Series 2023 A, Rev., 5.00%, 10/15/2024 | 1,000,000 | 1,011,533 |
Series 2023 A, Rev., 5.00%, 10/15/2037 | 1,700,000 | 1,979,418 |
Series 2023 A, Rev., 5.00%, 10/15/2058 | 1,725,000 | 1,876,584 |
Trinity River Authority of Texas, Livingston Regional Water Supply System Project | ||
Series 2023, Rev., 5.00%, 8/1/2036 | 1,120,000 | 1,306,274 |
Series 2023, Rev., 5.00%, 8/1/2037 | 1,175,000 | 1,357,647 |
Trinity River Authority, Tarrant County Water Project | ||
Series 2023, Rev., 5.00%, 2/1/2041 | 700,000 | 786,589 |
Series 2023, Rev., 5.00%, 2/1/2042 | 675,000 | 757,052 |
Trinity River Authority, Water Project Rev., 5.00%, 2/1/2026 | 60,000 | 62,322 |
Total Texas | 82,231,488 | |
Utah — 0.8% | ||
City of Salt Lake City, Airport System | ||
Series 2021A, Rev., AMT, 5.00%, 7/1/2029 | 2,350,000 | 2,541,647 |
Series 2023A, Rev., AMT, 5.25%, 7/1/2040 | 1,060,000 | 1,179,784 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 151 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Utah — continued | ||
Series 2023A, Rev., AMT, 5.25%, 7/1/2048 | 1,750,000 | 1,889,815 |
City of Salt Lake City, Sales and Excise Tax Series 2022A, Rev., 4.00%, 10/1/2030 | 155,000 | 167,122 |
Utah Charter School Finance Authority, The Freedom Academy Foundation, St. George Campus Project Series 2021A, Rev., 5.00%, 6/15/2041 (e) | 150,000 | 129,347 |
Utah Infrastructure Agency, Tax-Exempt Telecommunications Rev., 5.00%, 10/15/2032 | 310,000 | 329,917 |
Utah Telecommunication Open Infrastructure Agency, Sales Tax and Telecommunications | ||
Rev., 5.25%, 6/1/2033 | 250,000 | 291,583 |
Rev., 5.25%, 6/1/2034 | 325,000 | 378,753 |
Rev., 5.25%, 6/1/2035 | 580,000 | 676,233 |
Utah Transit Authority, Sales Tax | ||
Series 2007A, Rev., BHAC - CR, MBIA, 5.00%, 6/15/2035 | 295,000 | 349,398 |
Series 2023, Rev., 5.00%, 12/15/2041 | 1,235,000 | 1,406,327 |
Total Utah | 9,339,926 | |
Vermont — 0.2% | ||
Vermont Municipal Bond Bank | ||
Series 2024 1, Rev., 5.00%, 12/1/2035 (d) | 1,000,000 | 1,164,090 |
Series 2024 1, Rev., 5.00%, 12/1/2036 (d) | 1,000,000 | 1,156,848 |
Total Vermont | 2,320,938 | |
Virginia — 1.3% | ||
City of Richmond, Public Improvement Series 2017B, GO, 5.00%, 7/15/2027 | 175,000 | 188,399 |
County of Fairfax | ||
Series 2023A, GO, 4.00%, 10/1/2038 | 2,000,000 | 2,103,147 |
Series 2023A, GO, 4.00%, 10/1/2039 | 2,000,000 | 2,090,281 |
County of Spotsylvania, Public Improvement GO, 5.00%, 7/15/2029 | 85,000 | 93,973 |
Loudoun County Economic Development Authority, Howard Hughes Medical Institute Series E, Rev., VRDO, 3.39%, 3/11/2024 (c) | 4,000,000 | 4,000,000 |
Northern Virginia Transportation Commission, Transforming Rail in Virginia Program Rev., 5.00%, 6/1/2040 | 640,000 | 723,415 |
Virginia College Building Authority Series 2023A, Rev., 4.00%, 9/1/2040 | 1,485,000 | 1,534,406 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Virginia — continued | ||
Virginia Commonwealth Transportation Board Rev., 4.00%, 5/15/2045 | 2,000,000 | 1,998,590 |
Virginia Small Business Financing Authority, Environmental Facilities Series 2022, Rev., 5.00%, 11/15/2024 (c) | 1,500,000 | 1,501,475 |
Virginia Small Business Financing Authority, Senior Lien | ||
Rev., AMT, 4.00%, 7/1/2032 | 250,000 | 254,036 |
Rev., AMT, 4.00%, 1/1/2036 | 2,000,000 | 2,011,521 |
Total Virginia | 16,499,243 | |
Washington — 3.9% | ||
Auburn School District No. 408 of King and Pierce Counties, Unlimited Tax GO, 4.00%, 12/1/2036 | 1,000,000 | 1,032,238 |
Central Puget Sound Regional Transit Authority, Sales and Use Tax | ||
Series 2015S-1, Rev., 5.00%, 11/1/2024 | 30,000 | 30,363 |
Series 2021S-1, Rev., 4.00%, 11/1/2040 | 2,000,000 | 2,049,807 |
City of Seattle, Municipal Light and Power Series 2021 A, Rev., 4.00%, 7/1/2047 | 5,000,000 | 4,938,846 |
City of Seattle, Water System Rev., 5.00%, 8/1/2024 | 35,000 | 35,256 |
Clark County School District No. 101 La Center, Unlimited Tax GO, 5.00%, 12/1/2029 | 50,000 | 54,482 |
County of King Series 2016A, Rev., 4.00%, 7/1/2038 | 5,000,000 | 4,990,250 |
County of King, Limited Tax | ||
Series 2013B, GO, 5.00%, 3/5/2024 | 20,000 | 20,001 |
Series 2023 B, GO, 5.00%, 12/1/2053 | 6,055,000 | 6,608,082 |
County of Spokane, Limited Tax Series 2022A, GO, 5.00%, 12/1/2042 | 900,000 | 1,003,361 |
Energy Northwest, Columbia Generating Station Series 2021A, Rev., 4.00%, 7/1/2042 | 3,760,000 | 3,785,998 |
Energy Northwest, Project 1 Series 2017A, Rev., 5.00%, 7/1/2028 | 55,000 | 58,961 |
Franklin County School District No. 1 Pasco, Unlimited Tax GO, 5.00%, 12/1/2030 | 35,000 | 37,658 |
King County Public Hospital District No. 2, Evergreen Healthcare, Limited Tax GO, 5.00%, 12/1/2024 (b) | 105,000 | 106,406 |
King County School District No. 411 Issaquah, Unlimited Tax GO, 5.00%, 12/1/2024 | 35,000 | 35,481 |
152 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Washington — continued | ||
Mason County School District No. 309 Shelton, Unlimited Tax GO, 5.00%, 12/1/2029 | 45,000 | 48,044 |
North Thurston Public Schools, Unlimited Tax GO, 4.00%, 12/1/2036 | 2,100,000 | 2,192,254 |
Pierce County School District No. 416 White River, Unlimited Tax GO, 5.00%, 12/1/2025 | 50,000 | 51,782 |
Snohomish County School District No. 4 Lake Stevens, Unlimited Tax GO, 5.00%, 12/1/2024 | 25,000 | 25,348 |
Spokane County School District No. 354 Mead, Unlimited Tax GO, 5.00%, 12/1/2024 | 20,000 | 20,268 |
State of Washington Series 2024 C, GO, 5.00%, 2/1/2049 | 10,000,000 | 11,044,760 |
State of Washington, State and Local Agency Real and Personal Property Series 2015-C, COP, 5.00%, 1/1/2029 | 55,000 | 56,805 |
State of Washington, Various Purpose | ||
Series 2020C, GO, 5.00%, 2/1/2043 | 700,000 | 759,800 |
Series 2023B, GO, 5.00%, 2/1/2043 | 2,000,000 | 2,243,968 |
Series 2022A, GO, 5.00%, 8/1/2043 | 1,170,000 | 1,293,016 |
Series 2024B, GO, 5.00%, 6/1/2044 | 3,000,000 | 3,355,869 |
Washington State Housing Finance Commission | ||
Series 2023A, Rev., 5.00%, 7/1/2026 | 285,000 | 292,719 |
Series 2023A, Rev., 5.00%, 7/1/2027 | 350,000 | 364,095 |
Washington State Housing Finance Commission, Seattle Academy of Arts and Science Project Series 2023, Rev., 5.63%, 7/1/2038 (e) | 1,215,000 | 1,344,167 |
Total Washington | 47,880,085 | |
West Virginia — 0.3% | ||
State of West Virginia Series 2019 A, GO, 5.00%, 12/1/2035 | 1,055,000 | 1,170,989 |
West Virginia Hospital Finance Authority, University Health System Series 2023 A, Rev., 5.00%, 6/1/2040 | 1,800,000 | 1,971,915 |
West Virginia Hospital Finance Authority, Vandalia Health Group Series 2023B, Rev., AGM, 5.00%, 9/1/2040 | 300,000 | 324,514 |
Total West Virginia | 3,467,418 | |
Wisconsin — 0.9% | ||
City of Oshkosh, Sewer | ||
Series 2022E, Rev., 5.00%, 5/1/2027 | 550,000 | 587,272 |
Series 2022E, Rev., 5.00%, 5/1/2029 | 605,000 | 670,649 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Wisconsin — continued | ||
City of Oshkosh, Water | ||
Series 2022D, Rev., 5.00%, 1/1/2027 | 165,000 | 174,843 |
Series 2022D, Rev., 5.00%, 1/1/2028 | 180,000 | 194,613 |
Public Finance Authority, AFCO Airport Real Estate Group | ||
Series 2023, Rev., AMT, 5.00%, 7/1/2025 | 265,000 | 267,105 |
Series 2023, Rev., AMT, 5.00%, 7/1/2026 | 450,000 | 458,167 |
Series 2023, Rev., AMT, 5.00%, 7/1/2027 | 790,000 | 813,824 |
Public Finance Authority, Eastern Michigan University Student Housing Project Series 2022A-1, Rev., 5.00%, 7/1/2032 | 500,000 | 570,818 |
Public Finance Authority, Piedmont Community Charter School Rev., 5.00%, 6/15/2039 | 200,000 | 200,051 |
Public Finance Authority, Triad Educational Services, Inc. Rev., 5.00%, 6/15/2032 | 365,000 | 375,561 |
Public Finance Authority, Ultimate Medical Academy Project Series 2019A, Rev., 5.00%, 10/1/2029 (e) | 150,000 | 156,815 |
State of Wisconsin | ||
Series 2016-1, GO, 5.00%, 11/1/2024 | 40,000 | 40,497 |
Series 2016-2, GO, 5.00%, 11/1/2026 | 50,000 | 52,098 |
Series 2015-1, GO, 5.00%, 5/1/2027 | 2,330,000 | 2,380,434 |
Series 2023B, GO, 5.00%, 5/1/2035 | 1,280,000 | 1,500,644 |
State of Wisconsin, Environmental Improvement Fund Series 2018A, Rev., 5.00%, 6/1/2025 | 35,000 | 35,867 |
Village of Pleasant Prairie GO, 4.00%, 8/1/2024 | 10,000 | 10,023 |
Wisconsin Department of Transportation Series 2017 2, Rev., 5.00%, 7/1/2031 | 180,000 | 191,932 |
Wisconsin Health and Educational Facilities Authority, Forensic science and Protective Medicine Collaboration, Inc. Project Series 2024, Rev., 5.00%, 8/1/2027 (d) (e) | 1,000,000 | 1,024,489 |
Wisconsin Health and Educational Facilities Authority, St. Camillus Health System Series 2019A, Rev., 5.00%, 11/1/2029 | 150,000 | 144,690 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 153 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Wisconsin — continued | ||
Wisconsin Housing and Economic Development Authority Home Ownership Series 2024 A, Rev., GNMA / FNMA / FHLMC, 6.00%, 9/1/2054 | 1,000,000 | 1,094,091 |
WPPI Energy Series 2016A, Rev., 5.00%, 7/1/2024 | 170,000 | 170,882 |
Total Wisconsin | 11,115,365 | |
Total Municipal Bonds (Cost $1,039,670,345) | 1,058,776,826 | |
U.S. Treasury Obligations — 0.3% | ||
U.S. Treasury Notes 3.88%, 4/30/2025 (Cost $3,990,398) | 4,000,000 | 3,951,406 |
SHARES | ||
Short-Term Investments — 14.6% | ||
Investment Companies — 14.6% | ||
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.37% (f) (g) (Cost $178,358,585) | 178,345,313 | 178,363,148 |
Total Investments — 101.6% (Cost $1,222,019,328) | 1,241,091,380 | |
Liabilities in Excess of Other Assets — (1.6)% | (19,603,990 ) | |
NET ASSETS — 100.0% | 1,221,487,390 |
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. |
COLL | Collateral |
COP | Certificate of Participation |
CR | Custodial Receipts |
FHA | Federal Housing Administration |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
GO | General Obligation |
GTD | Guaranteed |
LIQ | Liquidity Agreement |
LOC | Letter of Credit |
MBIA | Insured by Municipal Bond Insurance Corp. |
PSF-GTD | Permanent School Fund Guaranteed |
Q-SBLF | Qualified School Bond Loan Fund |
RAN | Revenue Anticipation Note |
Rev. | Revenue |
SCSDE | South Carolina School District Enhancement |
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) | 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 29, 2024. | |
(d) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(e) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(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 29, 2024. |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 2 Year Note | 24 | 06/28/2024 | USD | 4,915,687 | 3,672 |
U.S. Treasury 5 Year Note | 61 | 06/28/2024 | USD | 6,527,477 | 18,143 |
21,815 |
Abbreviations | |
USD | United States Dollar |
154 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 36.9% | ||
Aerospace & Defense — 0.3% | ||
Bombardier, Inc. (Canada) | ||
7.88%, 4/15/2027 (a) | 41,000 | 41,052 |
6.00%, 2/15/2028 (a) | 109,000 | 105,815 |
RTX Corp. 5.75%, 11/8/2026 | 850,000 | 862,156 |
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a) | 29,000 | 31,359 |
TransDigm, Inc. 6.38%, 3/1/2029 (a) | 135,000 | 135,610 |
1,175,992 | ||
Automobile Components — 0.2% | ||
Adient Global Holdings Ltd. | ||
4.88%, 8/15/2026 (a) | 200,000 | 193,852 |
7.00%, 4/15/2028 (a) | 50,000 | 50,975 |
Allison Transmission, Inc. 5.88%, 6/1/2029 (a) | 89,000 | 87,667 |
American Axle & Manufacturing, Inc. | ||
6.50%, 4/1/2027 | 68,000 | 67,165 |
6.88%, 7/1/2028 | 44,000 | 42,518 |
Clarios Global LP | ||
6.25%, 5/15/2026 (a) | 137,000 | 136,628 |
6.75%, 5/15/2028 (a) | 35,000 | 35,424 |
Dana, Inc. | ||
5.38%, 11/15/2027 | 62,000 | 59,847 |
4.50%, 2/15/2032 | 23,000 | 19,318 |
Goodyear Tire & Rubber Co. (The) 5.25%, 4/30/2031 | 167,000 | 151,243 |
Icahn Enterprises LP 5.25%, 5/15/2027 | 80,000 | 73,476 |
918,113 | ||
Automobiles — 0.3% | ||
Ford Motor Co. 9.63%, 4/22/2030 | 36,000 | 42,056 |
Hyundai Capital America | ||
1.80%, 10/15/2025 (a) | 200,000 | 188,512 |
5.25%, 1/8/2027 (a) | 965,000 | 961,554 |
Volkswagen Group of America Finance LLC (Germany) 3.35%, 5/13/2025 (a) | 200,000 | 194,824 |
1,386,946 | ||
Banks — 17.4% | ||
ABN AMRO Bank NV (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.54%, 6/16/2027 (a) (b) | 400,000 | 362,519 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 6.34%, 9/18/2027 (a) (b) | 500,000 | 508,490 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
AIB Group plc (Ireland) | ||
(3-MONTH SOFR + 1.87%), 4.26%, 4/10/2025 (a) (b) | 645,000 | 643,453 |
(SOFR + 2.33%), 6.61%, 9/13/2029 (a) (b) | 1,750,000 | 1,815,854 |
ASB Bank Ltd. (New Zealand) | ||
5.35%, 6/15/2026 (a) | 1,000,000 | 999,607 |
5.40%, 11/29/2027 (a) | 1,000,000 | 1,006,483 |
Banco Bilbao Vizcaya Argentaria SA (Spain) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.86%, 9/14/2026 (b) | 800,000 | 799,586 |
Banco Continental SAECA (Paraguay) 2.75%, 12/10/2025 (a) | 350,000 | 328,262 |
Banco Santander SA (Spain) | ||
2.75%, 5/28/2025 | 600,000 | 578,968 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (b) | 200,000 | 180,954 |
5.59%, 8/8/2028 | 800,000 | 807,091 |
6.61%, 11/7/2028 | 200,000 | 210,137 |
Bank of America Corp. | ||
(3-MONTH CME TERM SOFR + 0.90%), 2.02%, 2/13/2026 (b) | 585,000 | 565,171 |
(SOFR + 1.33%), 3.38%, 4/2/2026 (b) | 380,000 | 370,913 |
(SOFR + 0.96%), 1.73%, 7/22/2027 (b) | 230,000 | 210,906 |
(SOFR + 1.34%), 5.93%, 9/15/2027 (b) | 1,000,000 | 1,013,378 |
(SOFR + 1.05%), 2.55%, 2/4/2028 (b) | 345,000 | 319,277 |
(SOFR + 2.04%), 4.95%, 7/22/2028 (b) | 475,000 | 470,283 |
(SOFR + 1.99%), 6.20%, 11/10/2028 (b) | 400,000 | 412,683 |
(SOFR + 1.63%), 5.20%, 4/25/2029 (b) | 870,000 | 865,288 |
(SOFR + 1.57%), 5.82%, 9/15/2029 (b) | 1,000,000 | 1,019,078 |
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) (b) | 335,000 | 336,770 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (a) (b) | 245,000 | 222,854 |
Bank of Montreal (Canada) 5.20%, 2/1/2028 | 585,000 | 587,280 |
Bank of New Zealand (New Zealand) 5.08%, 1/30/2029 (a) | 395,000 | 393,071 |
Bank of Nova Scotia (The) (Canada) | ||
5.35%, 12/7/2026 | 720,000 | 722,617 |
5.25%, 6/12/2028 | 500,000 | 502,382 |
Banque Federative du Credit Mutuel SA (France) | ||
5.90%, 7/13/2026 (a) | 500,000 | 506,513 |
4.75%, 7/13/2027 (a) | 530,000 | 523,116 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 155 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
5.79%, 7/13/2028 (a) | 750,000 | 766,951 |
Barclays plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.28%, 11/24/2027 (b) | 820,000 | 749,442 |
BNP Paribas SA (France) | ||
(SOFR + 2.07%), 2.22%, 6/9/2026 (a) (b) | 795,000 | 761,049 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.34%, 6/12/2029 (a) (b) | 500,000 | 499,770 |
(SOFR + 1.59%), 5.50%, 5/20/2030 (a) (b) | 630,000 | 627,176 |
BPCE SA (France) | ||
5.15%, 7/21/2024 (a) | 285,000 | 283,705 |
(SOFR + 1.52%), 1.65%, 10/6/2026 (a) (b) | 750,000 | 701,135 |
(SOFR + 2.10%), 5.98%, 1/18/2027 (a) (b) | 500,000 | 500,415 |
(SOFR + 1.98%), 6.61%, 10/19/2027 (a) (b) | 1,525,000 | 1,555,548 |
(SOFR + 2.27%), 6.71%, 10/19/2029 (a) (b) | 375,000 | 389,304 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.96%), 5.72%, 1/18/2030 (a) (b) | 460,000 | 458,048 |
CaixaBank SA (Spain) (SOFR + 2.08%), 6.68%, 9/13/2027 (a) (b) | 805,000 | 820,577 |
Canadian Imperial Bank of Commerce (Canada) 5.00%, 4/28/2028 | 505,000 | 503,187 |
Citigroup, Inc. | ||
(SOFR + 0.67%), 0.98%, 5/1/2025 (b) | 85,000 | 84,257 |
(SOFR + 0.69%), 2.01%, 1/25/2026 (b) | 455,000 | 439,604 |
(SOFR + 2.84%), 3.11%, 4/8/2026 (b) | 200,000 | 194,662 |
(SOFR + 1.55%), 5.61%, 9/29/2026 (b) | 1,750,000 | 1,752,220 |
(SOFR + 0.77%), 1.12%, 1/28/2027 (b) | 85,000 | 78,335 |
(3-MONTH CME TERM SOFR + 1.82%), 3.89%, 1/10/2028 (b) | 370,000 | 355,615 |
(SOFR + 1.28%), 3.07%, 2/24/2028 (b) | 500,000 | 468,344 |
(SOFR + 1.36%), 5.17%, 2/13/2030 (b) | 2,130,000 | 2,108,245 |
Cooperatieve Rabobank UA (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (a) (b) | 535,000 | 506,881 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.56%, 2/28/2029 (a) (b) | 1,075,000 | 1,078,746 |
Credit Agricole SA (France) | ||
(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (b) | 765,000 | 728,881 |
5.59%, 7/5/2026 (a) | 1,825,000 | 1,840,159 |
(SOFR + 1.69%), 5.34%, 1/10/2030 (a) (b) | 645,000 | 639,839 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
Danske Bank A/S (Denmark) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.98%, 9/10/2025 (a) (b) | 805,000 | 783,883 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.18%), 6.26%, 9/22/2026 (a) (b) | 805,000 | 813,299 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (a) (b) | 350,000 | 350,743 |
DNB Bank ASA (Norway) (SOFRINDX + 1.95%), 5.90%, 10/9/2026 (a) (b) | 500,000 | 502,618 |
Federation des Caisses Desjardins du Quebec (Canada) | ||
4.40%, 8/23/2025 (a) | 200,000 | 197,185 |
5.70%, 3/14/2028 (a) | 325,000 | 328,577 |
5.25%, 4/26/2029 (a) | 710,000 | 703,584 |
HSBC Holdings plc (United Kingdom) | ||
(3-MONTH CME TERM SOFR + 1.21%), 3.80%, 3/11/2025 (b) | 250,000 | 249,874 |
(SOFR + 0.71%), 0.98%, 5/24/2025 (b) | 350,000 | 346,043 |
(SOFR + 1.29%), 1.59%, 5/24/2027 (b) | 569,000 | 520,941 |
(SOFR + 1.57%), 5.89%, 8/14/2027 (b) | 855,000 | 860,672 |
(SOFR + 1.10%), 2.25%, 11/22/2027 (b) | 385,000 | 352,677 |
(SOFR + 2.61%), 5.21%, 8/11/2028 (b) | 420,000 | 415,927 |
(SOFR + 1.97%), 6.16%, 3/9/2029 (b) | 1,750,000 | 1,788,001 |
ING Groep NV (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.40%, 7/1/2026 (a) (b) | 500,000 | 473,476 |
(SOFR + 1.01%), 1.73%, 4/1/2027 (b) | 200,000 | 185,142 |
KBC Group NV (Belgium) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (a) (b) | 1,030,000 | 1,036,254 |
Lloyds Banking Group plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.44%, 2/5/2026 (b) | 200,000 | 193,744 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.48%), 5.99%, 8/7/2027 (b) | 1,000,000 | 1,007,009 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.38%), 5.46%, 1/5/2028 (b) | 740,000 | 736,833 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.70%), 5.87%, 3/6/2029 (b) | 755,000 | 762,174 |
156 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.13%), 3.84%, 4/17/2026 (b) | 258,000 | 253,027 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (b) | 512,000 | 468,428 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (b) | 400,000 | 369,237 |
Mizuho Financial Group, Inc. (Japan) | ||
(3-MONTH CME TERM SOFR + 1.24%), 2.84%, 7/16/2025 (b) | 200,000 | 197,847 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 2.65%, 5/22/2026 (b) | 470,000 | 453,697 |
National Bank of Canada (Canada) 5.60%, 12/18/2028 | 1,620,000 | 1,636,409 |
NatWest Group plc (United Kingdom) | ||
4.80%, 4/5/2026 | 500,000 | 493,820 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 5.85%, 3/2/2027 (b) | 1,100,000 | 1,104,518 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 5.58%, 3/1/2028 (b) | 580,000 | 580,501 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.95%), 5.81%, 9/13/2029 (b) | 500,000 | 505,084 |
Nordea Bank Abp (Finland) 1.50%, 9/30/2026 (a) | 500,000 | 453,408 |
Santander UK Group Holdings plc (United Kingdom) | ||
(SOFR + 0.79%), 1.09%, 3/15/2025 (b) | 645,000 | 643,964 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (b) | 655,000 | 613,971 |
Skandinaviska Enskilda Banken AB (Sweden) 5.38%, 3/5/2029 (a) | 940,000 | 936,652 |
Societe Generale SA (France) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.23%, 1/21/2026 (a) (b) | 365,000 | 352,741 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (b) | 570,000 | 525,701 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 6.45%, 1/10/2029 (a) (b) | 2,055,000 | 2,099,127 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 5.63%, 1/19/2030 (a) (b) | 1,000,000 | 985,443 |
Standard Chartered plc (United Kingdom) | ||
(3-MONTH SOFR + 1.21%), 2.82%, 1/30/2026 (a) (b) | 200,000 | 193,960 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 3.97%, 3/30/2026 (a) (b) | 310,000 | 303,158 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.85%), 6.19%, 7/6/2027 (a) (b) | 470,000 | 473,440 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
5.88%, 7/13/2026 | 585,000 | 593,529 |
5.52%, 1/13/2028 | 775,000 | 787,420 |
Sumitomo Mitsui Trust Bank Ltd. (Japan) | ||
0.85%, 3/25/2024 (a) | 200,000 | 199,455 |
5.20%, 3/7/2029 (a) | 820,000 | 821,834 |
Svenska Handelsbanken AB (Sweden) 5.50%, 6/15/2028 (a) | 750,000 | 753,997 |
Toronto-Dominion Bank (The) (Canada) | ||
5.10%, 1/9/2026 | 575,000 | 575,804 |
5.53%, 7/17/2026 | 620,000 | 625,404 |
Wells Fargo & Co. | ||
(3-MONTH CME TERM SOFR + 1.01%), 2.16%, 2/11/2026 (b) | 150,000 | 145,086 |
(SOFR + 1.51%), 3.53%, 3/24/2028 (b) | 285,000 | 270,215 |
(SOFR + 1.98%), 4.81%, 7/25/2028 (b) | 945,000 | 928,058 |
(SOFR + 1.74%), 5.57%, 7/25/2029 (b) | 975,000 | 981,385 |
(SOFR + 1.79%), 6.30%, 10/23/2029 (b) | 210,000 | 217,661 |
(SOFR + 1.50%), 5.20%, 1/23/2030 (b) | 1,585,000 | 1,571,386 |
Westpac New Zealand Ltd. (New Zealand) 5.20%, 2/28/2029 (a) | 715,000 | 714,506 |
71,613,608 | ||
Beverages — 0.0% ^ | ||
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a) | 60,000 | 52,379 |
Biotechnology — 0.0% ^ | ||
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) | 39,000 | 15,795 |
Broadline Retail — 0.0% ^ | ||
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a) | 72,000 | 70,620 |
Nordstrom, Inc. 4.38%, 4/1/2030 | 44,000 | 38,874 |
109,494 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 157 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Building Products — 0.2% | ||
Builders FirstSource, Inc. 4.25%, 2/1/2032 (a) | 64,000 | 56,232 |
EMRLD Borrower LP 6.63%, 12/15/2030 (a) | 90,000 | 90,315 |
Griffon Corp. 5.75%, 3/1/2028 | 125,000 | 120,937 |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | 79,000 | 75,149 |
PGT Innovations, Inc. 4.38%, 10/1/2029 (a) | 49,000 | 49,329 |
Smyrna Ready Mix Concrete LLC 8.88%, 11/15/2031 (a) | 70,000 | 74,185 |
Standard Industries, Inc. 4.75%, 1/15/2028 (a) | 64,000 | 60,380 |
Summit Materials LLC 5.25%, 1/15/2029 (a) | 114,000 | 110,354 |
636,881 | ||
Capital Markets — 4.4% | ||
Bank of New York Mellon Corp. (The) (SOFR + 1.03%), 4.95%, 4/26/2027 (b) | 380,000 | 377,935 |
Credit Suisse AG (Switzerland) 7.50%, 2/15/2028 | 270,000 | 290,612 |
Deutsche Bank AG (Germany) | ||
(SOFR + 1.87%), 2.13%, 11/24/2026 (b) | 350,000 | 328,016 |
(SOFR + 2.52%), 7.15%, 7/13/2027 (b) | 350,000 | 359,500 |
(SOFR + 1.22%), 2.31%, 11/16/2027 (b) | 150,000 | 136,267 |
(SOFR + 2.51%), 6.82%, 11/20/2029 (b) | 1,995,000 | 2,063,107 |
Goldman Sachs Group, Inc. (The) | ||
(SOFR + 0.91%), 1.95%, 10/21/2027 (b) | 423,000 | 387,235 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (b) | 390,000 | 361,192 |
(SOFR + 1.85%), 3.62%, 3/15/2028 (b) | 720,000 | 686,471 |
(SOFR + 1.73%), 4.48%, 8/23/2028 (b) | 1,000,000 | 975,023 |
(SOFR + 1.77%), 6.48%, 10/24/2029 (b) | 1,750,000 | 1,833,567 |
Macquarie Bank Ltd. (Australia) 5.21%, 6/15/2026 (a) | 1,000,000 | 998,352 |
Macquarie Group Ltd. (Australia) | ||
6.21%, 11/22/2024 (a) | 490,000 | 491,449 |
(SOFR + 0.91%), 1.63%, 9/23/2027 (a) (b) | 140,000 | 126,458 |
(SOFR + 2.13%), 4.10%, 6/21/2028 (a) (b) | 380,000 | 362,253 |
Morgan Stanley | ||
(SOFR + 0.72%), 0.99%, 12/10/2026 (b) | 150,000 | 138,396 |
(SOFR + 0.86%), 1.51%, 7/20/2027 (b) | 335,000 | 306,470 |
(SOFR + 1.00%), 2.48%, 1/21/2028 (b) | 400,000 | 370,038 |
(SOFR + 2.24%), 6.30%, 10/18/2028 (b) | 985,000 | 1,018,185 |
(SOFR + 1.59%), 5.16%, 4/20/2029 (b) | 565,000 | 561,769 |
(SOFR + 1.63%), 5.45%, 7/20/2029 (b) | 600,000 | 602,284 |
(SOFR + 1.45%), 5.17%, 1/16/2030 (b) | 1,550,000 | 1,540,268 |
Nomura Holdings, Inc. (Japan) 1.85%, 7/16/2025 | 200,000 | 189,942 |
State Street Corp. (SOFR + 1.48%), 5.68%, 11/21/2029 (b) | 715,000 | 730,492 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Capital Markets — continued | ||
UBS Group AG (Switzerland) | ||
(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (b) | 250,000 | 245,707 |
(SOFR + 3.34%), 6.37%, 7/15/2026 (a) (b) | 405,000 | 407,779 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.71%, 1/12/2027 (a) (b) | 297,000 | 296,905 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (a) (b) | 410,000 | 401,878 |
(SOFR + 3.70%), 6.44%, 8/11/2028 (a) (b) | 870,000 | 894,153 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.52%), 5.43%, 2/8/2030 (a) (b) | 750,000 | 744,986 |
18,226,689 | ||
Chemicals — 0.2% | ||
Avient Corp. 5.75%, 5/15/2025 (a) | 44,000 | 43,743 |
Braskem Netherlands Finance BV (Brazil) 4.50%, 1/31/2030 (c) | 200,000 | 163,540 |
Chemours Co. (The) 5.75%, 11/15/2028 (a) | 160,000 | 140,328 |
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | 62,000 | 56,192 |
INEOS Finance plc (Luxembourg) 6.75%, 5/15/2028 (a) | 200,000 | 195,580 |
NOVA Chemicals Corp. (Canada) | ||
8.50%, 11/15/2028 (a) | 50,000 | 52,793 |
4.25%, 5/15/2029 (a) | 67,000 | 55,418 |
Scotts Miracle-Gro Co. (The) 4.50%, 10/15/2029 | 173,000 | 153,537 |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a) | 11,000 | 8,940 |
WR Grace Holdings LLC 4.88%, 6/15/2027 (a) | 64,000 | 60,799 |
930,870 | ||
Commercial Services & Supplies — 0.4% | ||
ACCO Brands Corp. 4.25%, 3/15/2029 (a) | 122,000 | 108,156 |
Allied Universal Holdco LLC | ||
6.63%, 7/15/2026 (a) | 13,000 | 12,961 |
4.63%, 6/1/2028 (a) | 200,000 | 177,170 |
APi Group DE, Inc. 4.13%, 7/15/2029 (a) | 50,000 | 45,000 |
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | 59,000 | 56,541 |
Brink's Co. (The) 4.63%, 10/15/2027 (a) | 31,000 | 29,295 |
Element Fleet Management Corp. (Canada) | ||
1.60%, 4/6/2024 (a) | 145,000 | 144,367 |
3.85%, 6/15/2025 (a) | 200,000 | 194,541 |
Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a) | 85,000 | 81,188 |
158 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Commercial Services & Supplies — continued | ||
GFL Environmental, Inc. (Canada) | ||
4.00%, 8/1/2028 (a) | 160,000 | 146,699 |
4.75%, 6/15/2029 (a) | 71,000 | 66,480 |
Madison IAQ LLC 4.13%, 6/30/2028 (a) | 126,000 | 114,781 |
Prime Security Services Borrower LLC | ||
5.75%, 4/15/2026 (a) | 130,000 | 129,017 |
6.25%, 1/15/2028 (a) | 145,000 | 143,069 |
1,449,265 | ||
Communications Equipment — 0.0% ^ | ||
CommScope, Inc. | ||
6.00%, 3/1/2026 (a) | 85,000 | 76,500 |
4.75%, 9/1/2029 (a) | 95,000 | 65,075 |
141,575 | ||
Construction & Engineering — 0.1% | ||
Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (c) | 173,548 | 125,758 |
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | 44,000 | 40,490 |
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | 84,000 | 75,976 |
Pike Corp. 5.50%, 9/1/2028 (a) | 35,000 | 33,200 |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | 59,000 | 54,757 |
330,181 | ||
Consumer Finance — 2.0% | ||
AerCap Ireland Capital DAC (Ireland) | ||
6.45%, 4/15/2027 (a) | 695,000 | 711,374 |
5.75%, 6/6/2028 | 500,000 | 503,619 |
5.10%, 1/19/2029 | 605,000 | 594,685 |
Ally Financial, Inc. 5.75%, 11/20/2025 | 65,000 | 64,676 |
American Express Co. (SOFR + 1.33%), 6.34%, 10/30/2026 (b) | 910,000 | 923,847 |
Avolon Holdings Funding Ltd. (Ireland) | ||
5.50%, 1/15/2026 (a) | 875,000 | 860,344 |
5.75%, 3/1/2029 (a) | 970,000 | 956,006 |
Capital One Financial Corp. | ||
(SOFR + 2.08%), 5.47%, 2/1/2029 (b) | 345,000 | 343,092 |
(SOFR + 1.91%), 5.70%, 2/1/2030 (b) | 1,940,000 | 1,944,361 |
Ford Motor Credit Co. LLC 4.27%, 1/9/2027 | 425,000 | 407,136 |
General Motors Financial Co., Inc. 5.40%, 5/8/2027 | 515,000 | 515,231 |
OneMain Finance Corp. | ||
7.13%, 3/15/2026 | 67,000 | 68,088 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Consumer Finance — continued | ||
6.63%, 1/15/2028 | 83,000 | 82,529 |
5.38%, 11/15/2029 | 58,000 | 53,820 |
8,028,808 | ||
Consumer Staples Distribution & Retail — 0.1% | ||
Albertsons Cos., Inc. | ||
4.63%, 1/15/2027 (a) | 216,000 | 208,233 |
3.50%, 3/15/2029 (a) | 59,000 | 52,566 |
Performance Food Group, Inc. 5.50%, 10/15/2027 (a) | 22,000 | 21,545 |
Rite Aid Corp. 8.00%, 11/15/2026 (a) (d) | 85,000 | 61,413 |
343,757 | ||
Containers & Packaging — 0.2% | ||
Ardagh Packaging Finance plc 4.13%, 8/15/2026 (a) | 200,000 | 184,508 |
Graphic Packaging International LLC 1.51%, 4/15/2026 (a) | 70,000 | 63,987 |
LABL, Inc. 6.75%, 7/15/2026 (a) | 100,000 | 96,985 |
Mauser Packaging Solutions Holding Co. 7.88%, 8/15/2026 (a) | 173,000 | 175,304 |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | 152,000 | 151,664 |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | 104,000 | 96,876 |
TriMas Corp. 4.13%, 4/15/2029 (a) | 60,000 | 54,692 |
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (e) | 200,000 | 195,040 |
1,019,056 | ||
Diversified Consumer Services — 0.0% ^ | ||
Service Corp. International 5.13%, 6/1/2029 | 41,000 | 40,008 |
Diversified Telecommunication Services — 0.4% | ||
Altice France SA (France) 5.13%, 7/15/2029 (a) | 200,000 | 151,029 |
CCO Holdings LLC | ||
5.00%, 2/1/2028 (a) | 197,000 | 181,781 |
4.75%, 3/1/2030 (a) | 362,000 | 307,948 |
4.50%, 8/15/2030 (a) | 715,000 | 593,107 |
4.75%, 2/1/2032 (a) | 13,000 | 10,488 |
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a) | 77,000 | 74,421 |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | 187,000 | 173,981 |
Lumen Technologies, Inc. | ||
5.13%, 12/15/2026 (a) | 41,000 | 27,016 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 159 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Diversified Telecommunication Services — continued | ||
4.00%, 2/15/2027 ‡ (a) | 216,000 | 140,400 |
Telecom Italia Capital SA (Italy) 6.38%, 11/15/2033 | 31,000 | 29,753 |
1,689,924 | ||
Electric Utilities — 1.9% | ||
Enel Finance America LLC (Italy) 7.10%, 10/14/2027 (a) | 200,000 | 210,447 |
Enel Finance International NV (Italy) 4.63%, 6/15/2027 (a) | 445,000 | 436,274 |
EnfraGen Energia Sur SA (Colombia) 5.38%, 12/30/2030 (c) | 200,000 | 160,000 |
Eskom Holdings SOC Ltd. (South Africa) 7.13%, 2/11/2025 (c) | 200,000 | 199,008 |
Exelon Corp. 5.15%, 3/15/2028 | 305,000 | 304,170 |
Fells Point Funding Trust 3.05%, 1/31/2027 (a) | 2,535,000 | 2,371,996 |
Instituto Costarricense de Electricidad (Costa Rica) 6.75%, 10/7/2031 (a) | 200,000 | 199,370 |
ITC Holdings Corp. 3.65%, 6/15/2024 | 745,000 | 740,435 |
Metropolitan Edison Co. 5.20%, 4/1/2028 (a) | 240,000 | 239,512 |
NextEra Energy Capital Holdings, Inc. 5.75%, 9/1/2025 | 445,000 | 447,377 |
NRG Energy, Inc. | ||
3.38%, 2/15/2029 (a) | 46,000 | 40,150 |
5.25%, 6/15/2029 (a) | 232,000 | 219,862 |
Pacific Gas and Electric Co. 5.55%, 5/15/2029 | 685,000 | 686,414 |
Pennsylvania Electric Co. 5.15%, 3/30/2026 (a) | 225,000 | 222,926 |
PG&E Corp. 5.00%, 7/1/2028 | 145,000 | 138,298 |
Southern California Edison Co. 5.15%, 6/1/2029 | 820,000 | 820,189 |
Vistra Operations Co. LLC | ||
3.55%, 7/15/2024 (a) | 350,000 | 346,855 |
5.00%, 7/31/2027 (a) | 90,000 | 86,266 |
4.38%, 5/1/2029 (a) | 27,000 | 24,628 |
7.75%, 10/15/2031 (a) | 100,000 | 103,440 |
7,997,617 | ||
Electrical Equipment — 0.0% ^ | ||
EnerSys 6.63%, 1/15/2032 (a) | 95,000 | 95,393 |
Vertiv Group Corp. 4.13%, 11/15/2028 (a) | 44,000 | 40,596 |
135,989 | ||
Electronic Equipment, Instruments & Components — 0.0% ^ | ||
Coherent Corp. 5.00%, 12/15/2029 (a) | 91,000 | 84,857 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Energy Equipment & Services — 0.2% | ||
Archrock Partners LP 6.88%, 4/1/2027 (a) | 95,000 | 94,522 |
Diamond Foreign Asset Co. 8.50%, 10/1/2030 (a) | 50,000 | 51,201 |
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a) | 171,358 | 154,436 |
Nabors Industries, Inc. 7.38%, 5/15/2027 (a) | 85,000 | 84,687 |
Noble Finance II LLC 8.00%, 4/15/2030 (a) | 80,000 | 82,252 |
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a) | 50,000 | 49,936 |
Transocean, Inc. 8.75%, 2/15/2030 (a) | 31,500 | 32,345 |
USA Compression Partners LP 6.88%, 9/1/2027 | 75,000 | 74,615 |
Valaris Ltd. 8.38%, 4/30/2030 (a) | 50,000 | 51,269 |
675,263 | ||
Entertainment — 0.1% | ||
Cinemark USA, Inc. | ||
5.88%, 3/15/2026 (a) | 31,000 | 30,536 |
5.25%, 7/15/2028 (a) | 90,000 | 84,069 |
Live Nation Entertainment, Inc. | ||
6.50%, 5/15/2027 (a) | 135,000 | 136,162 |
4.75%, 10/15/2027 (a) | 120,000 | 114,890 |
Take-Two Interactive Software, Inc. 5.00%, 3/28/2026 | 103,000 | 102,438 |
468,095 | ||
Financial Services — 0.7% | ||
Block, Inc. | ||
2.75%, 6/1/2026 | 15,000 | 13,993 |
3.50%, 6/1/2031 | 38,000 | 32,417 |
Global Payments, Inc. | ||
1.20%, 3/1/2026 | 415,000 | 382,013 |
4.95%, 8/15/2027 | 335,000 | 331,926 |
Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (a) | 157,000 | 154,358 |
Nationwide Building Society (United Kingdom) (SOFR + 1.29%), 2.97%, 2/16/2028 (a) (b) | 1,850,000 | 1,711,692 |
NCR Atleos Corp. 9.50%, 4/1/2029 (a) | 100,000 | 105,779 |
Rocket Mortgage LLC | ||
2.88%, 10/15/2026 (a) | 57,000 | 52,440 |
3.63%, 3/1/2029 (a) | 44,000 | 39,030 |
4.00%, 10/15/2033 (a) | 5,000 | 4,151 |
2,827,799 | ||
Food Products — 0.2% | ||
Post Holdings, Inc. | ||
5.63%, 1/15/2028 (a) | 63,000 | 61,844 |
160 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Food Products — continued | ||
4.63%, 4/15/2030 (a) | 91,000 | 82,799 |
Viterra Finance BV (Netherlands) | ||
2.00%, 4/21/2026 (a) | 200,000 | 185,130 |
4.90%, 4/21/2027 (a) | 570,000 | 557,974 |
887,747 | ||
Gas Utilities — 0.0% ^ | ||
AmeriGas Partners LP | ||
5.88%, 8/20/2026 | 49,000 | 47,488 |
9.38%, 6/1/2028 (a) | 45,000 | 45,675 |
Superior Plus LP (Canada) 4.50%, 3/15/2029 (a) | 70,000 | 63,350 |
156,513 | ||
Ground Transportation — 0.2% | ||
Avis Budget Car Rental LLC | ||
5.75%, 7/15/2027 (a) | 144,000 | 137,210 |
4.75%, 4/1/2028 (a) | 31,000 | 28,082 |
EquipmentShare.com, Inc. 9.00%, 5/15/2028 (a) | 70,000 | 71,731 |
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | 109,000 | 94,830 |
Hertz Corp. (The) 4.63%, 12/1/2026 (a) | 153,000 | 135,437 |
RXO, Inc. 7.50%, 11/15/2027 (a) | 50,000 | 51,625 |
Uber Technologies, Inc. 7.50%, 9/15/2027 (a) | 40,000 | 40,920 |
XPO, Inc. | ||
6.25%, 6/1/2028 (a) | 20,000 | 20,045 |
7.13%, 6/1/2031 (a) | 45,000 | 45,958 |
625,838 | ||
Health Care Equipment & Supplies — 0.1% | ||
Medline Borrower LP | ||
3.88%, 4/1/2029 (a) | 135,000 | 121,045 |
5.25%, 10/1/2029 (a) | 90,000 | 83,249 |
204,294 | ||
Health Care Providers & Services — 0.9% | ||
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (a) | 41,000 | 39,634 |
AdaptHealth LLC 4.63%, 8/1/2029 (a) | 54,000 | 44,955 |
Cardinal Health, Inc. 5.13%, 2/15/2029 | 1,595,000 | 1,587,954 |
Community Health Systems, Inc. | ||
8.00%, 3/15/2026 (a) | 129,000 | 127,718 |
5.63%, 3/15/2027 (a) | 173,000 | 158,282 |
6.00%, 1/15/2029 (a) | 67,000 | 57,620 |
4.75%, 2/15/2031 (a) | 77,000 | 58,594 |
DaVita, Inc. 4.63%, 6/1/2030 (a) | 148,000 | 130,188 |
Encompass Health Corp. 4.75%, 2/1/2030 | 136,000 | 126,165 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Health Care Providers & Services — continued | ||
HCA, Inc. 5.20%, 6/1/2028 | 520,000 | 518,064 |
Owens & Minor, Inc. 4.50%, 3/31/2029 (a) | 70,000 | 62,542 |
Star Parent, Inc. 9.00%, 10/1/2030 (a) | 105,000 | 110,814 |
Tenet Healthcare Corp. | ||
5.13%, 11/1/2027 | 59,000 | 57,753 |
4.25%, 6/1/2029 | 553,000 | 508,587 |
3,588,870 | ||
Hotel & Resort REITs — 0.0% ^ | ||
RHP Hotel Properties LP | ||
4.75%, 10/15/2027 | 67,000 | 63,985 |
4.50%, 2/15/2029 (a) | 60,000 | 55,772 |
119,757 | ||
Hotels, Restaurants & Leisure — 0.5% | ||
1011778 BC ULC (Canada) 3.88%, 1/15/2028 (a) | 46,000 | 42,908 |
Boyd Gaming Corp. 4.75%, 12/1/2027 | 59,000 | 56,675 |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | 85,000 | 78,147 |
Caesars Entertainment, Inc. | ||
4.63%, 10/15/2029 (a) | 190,000 | 173,469 |
6.50%, 2/15/2032 (a) | 105,000 | 105,786 |
Carnival Corp. | ||
4.00%, 8/1/2028 (a) | 100,000 | 92,236 |
6.00%, 5/1/2029 (a) | 110,000 | 107,493 |
10.50%, 6/1/2030 (a) | 110,000 | 120,014 |
Cedar Fair LP 5.25%, 7/15/2029 | 85,000 | 80,289 |
Hilton Domestic Operating Co., Inc. 4.88%, 1/15/2030 | 72,000 | 68,457 |
Marriott Ownership Resorts, Inc. | ||
4.75%, 1/15/2028 | 75,000 | 69,700 |
4.50%, 6/15/2029 (a) | 49,000 | 44,448 |
MGM Resorts International | ||
5.50%, 4/15/2027 | 78,000 | 76,393 |
4.75%, 10/15/2028 | 75,000 | 70,398 |
Royal Caribbean Cruises Ltd. | ||
11.63%, 8/15/2027 (a) | 25,000 | 27,041 |
8.25%, 1/15/2029 (a) | 105,000 | 111,300 |
9.25%, 1/15/2029 (a) | 125,000 | 134,461 |
Sands China Ltd. (Macau) 5.12%, 8/8/2025 (e) | 200,000 | 196,750 |
Six Flags Entertainment Corp. 5.50%, 4/15/2027 (a) | 56,000 | 54,810 |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | 22,000 | 22,051 |
Station Casinos LLC 4.50%, 2/15/2028 (a) | 89,000 | 82,985 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 161 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Hotels, Restaurants & Leisure — continued | ||
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a) | 160,000 | 150,929 |
Yum! Brands, Inc. | ||
4.75%, 1/15/2030 (a) | 28,000 | 26,562 |
4.63%, 1/31/2032 | 8,000 | 7,344 |
2,000,646 | ||
Household Durables — 0.1% | ||
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | 179,000 | 178,293 |
Newell Brands, Inc. 6.38%, 9/15/2027 | 125,000 | 121,088 |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | 140,000 | 125,488 |
424,869 | ||
Household Products — 0.1% | ||
Central Garden & Pet Co. | ||
4.13%, 10/15/2030 | 59,000 | 52,414 |
4.13%, 4/30/2031 (a) | 31,000 | 27,124 |
Energizer Holdings, Inc. | ||
4.75%, 6/15/2028 (a) | 101,000 | 92,349 |
4.38%, 3/31/2029 (a) | 44,000 | 38,983 |
Spectrum Brands, Inc. 5.00%, 10/1/2029 (a) | 90,000 | 87,300 |
298,170 | ||
Independent Power and Renewable Electricity Producers — 0.1% | ||
Calpine Corp. 4.50%, 2/15/2028 (a) | 85,000 | 80,065 |
Constellation Energy Generation LLC 5.60%, 3/1/2028 | 355,000 | 359,712 |
Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029 (c) | 140,000 | 137,480 |
577,257 | ||
Insurance — 0.8% | ||
Athene Global Funding | ||
0.91%, 8/19/2024 (a) | 295,000 | 287,725 |
2.50%, 1/14/2025 (a) | 308,000 | 298,908 |
Corebridge Global Funding 5.90%, 9/19/2028 (a) | 645,000 | 657,511 |
Equitable Financial Life Global Funding 0.80%, 8/12/2024 (a) | 230,000 | 225,083 |
HUB International Ltd. 7.25%, 6/15/2030 (a) | 80,000 | 81,608 |
Jackson National Life Global Funding | ||
3.88%, 6/11/2025 (a) | 150,000 | 145,911 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Insurance — continued | ||
5.50%, 1/9/2026 (a) | 575,000 | 572,391 |
Met Tower Global Funding 5.40%, 6/20/2026 (a) | 1,000,000 | 1,005,010 |
3,274,147 | ||
IT Services — 0.0% ^ | ||
Ahead DB Holdings LLC 6.63%, 5/1/2028 (a) | 120,000 | 107,036 |
Arches Buyer, Inc. 4.25%, 6/1/2028 (a) | 49,000 | 41,861 |
Presidio Holdings, Inc. 4.88%, 2/1/2027 (a) | 52,000 | 49,979 |
198,876 | ||
Leisure Products — 0.0% ^ | ||
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) | 59,000 | 58,263 |
Machinery — 0.1% | ||
Chart Industries, Inc. | ||
7.50%, 1/1/2030 (a) | 92,000 | 94,899 |
9.50%, 1/1/2031 (a) | 50,000 | 53,718 |
Hillenbrand, Inc. 6.25%, 2/15/2029 | 85,000 | 85,012 |
Terex Corp. 5.00%, 5/15/2029 (a) | 41,000 | 38,286 |
271,915 | ||
Media — 1.0% | ||
Altice Financing SA (Luxembourg) 5.00%, 1/15/2028 (a) | 200,000 | 176,948 |
Charter Communications Operating LLC 6.15%, 11/10/2026 | 700,000 | 706,118 |
Clear Channel Outdoor Holdings, Inc. | ||
5.13%, 8/15/2027 (a) | 201,000 | 187,943 |
7.75%, 4/15/2028 (a) | 26,000 | 22,476 |
9.00%, 9/15/2028 (a) | 60,000 | 62,580 |
CSC Holdings LLC | ||
11.25%, 5/15/2028 (a) | 200,000 | 206,354 |
6.50%, 2/1/2029 (a) | 400,000 | 348,668 |
Directv Financing LLC 5.88%, 8/15/2027 (a) | 89,000 | 84,004 |
DISH DBS Corp. | ||
5.88%, 11/15/2024 | 119,000 | 112,455 |
7.75%, 7/1/2026 | 76,000 | 48,450 |
5.25%, 12/1/2026 (a) | 98,000 | 78,278 |
DISH Network Corp. 11.75%, 11/15/2027 (a) | 314,000 | 327,370 |
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | 91,000 | 82,231 |
Gray Television, Inc. | ||
7.00%, 5/15/2027 (a) | 55,000 | 49,704 |
5.38%, 11/15/2031 (a) | 90,000 | 58,221 |
iHeartCommunications, Inc. | ||
6.38%, 5/1/2026 | 100,000 | 85,149 |
8.38%, 5/1/2027 | 22,500 | 13,500 |
162 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Media — continued | ||
5.25%, 8/15/2027 (a) | 195,000 | 144,544 |
News Corp. 3.88%, 5/15/2029 (a) | 46,000 | 41,575 |
Nexstar Media, Inc. 5.63%, 7/15/2027 (a) | 147,000 | 139,309 |
Outfront Media Capital LLC 4.25%, 1/15/2029 (a) | 95,000 | 85,324 |
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a) | 36,000 | 28,475 |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | 18,000 | 14,611 |
Sinclair Television Group, Inc. | ||
5.13%, 2/15/2027 (a) | 60,000 | 55,174 |
4.13%, 12/1/2030 (a) | 59,000 | 43,114 |
Sirius XM Radio, Inc. | ||
5.00%, 8/1/2027 (a) | 49,000 | 46,679 |
5.50%, 7/1/2029 (a) | 285,000 | 269,512 |
4.13%, 7/1/2030 (a) | 95,000 | 81,734 |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | 117,000 | 104,458 |
TEGNA, Inc. 4.63%, 3/15/2028 | 115,000 | 103,247 |
Univision Communications, Inc. | ||
6.63%, 6/1/2027 (a) | 71,000 | 68,827 |
8.00%, 8/15/2028 (a) | 40,000 | 40,214 |
7.38%, 6/30/2030 (a) | 45,000 | 43,464 |
Videotron Ltd. (Canada) 5.13%, 4/15/2027 (a) | 41,000 | 40,174 |
4,000,884 | ||
Metals & Mining — 0.2% | ||
ATI, Inc. 5.88%, 12/1/2027 | 108,000 | 105,808 |
Big River Steel LLC 6.63%, 1/31/2029 (a) | 41,000 | 41,244 |
Carpenter Technology Corp. 6.38%, 7/15/2028 | 67,000 | 66,708 |
Cleveland-Cliffs, Inc. | ||
6.75%, 3/15/2026 (a) | 62,000 | 62,466 |
5.88%, 6/1/2027 | 8,000 | 7,915 |
4.63%, 3/1/2029 (a) | 13,000 | 11,935 |
CSN Inova Ventures (Brazil) 6.75%, 1/28/2028 (c) | 200,000 | 193,508 |
FMG Resources August 2006 Pty. Ltd. (Australia) 4.50%, 9/15/2027 (a) | 62,000 | 59,347 |
Novelis Corp. 4.75%, 1/30/2030 (a) | 77,000 | 70,317 |
619,248 | ||
Multi-Utilities — 0.4% | ||
DTE Energy Co. 5.10%, 3/1/2029 | 1,455,000 | 1,442,727 |
Oil, Gas & Consumable Fuels — 1.8% | ||
Antero Midstream Partners LP | ||
7.88%, 5/15/2026 (a) | 48,000 | 49,030 |
5.38%, 6/15/2029 (a) | 26,000 | 24,729 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
Antero Resources Corp. | ||
7.63%, 2/1/2029 (a) | 27,000 | 27,808 |
5.38%, 3/1/2030 (a) | 59,000 | 56,227 |
APA Infrastructure Ltd. (Australia) 4.20%, 3/23/2025 (a) | 350,000 | 344,584 |
Ascent Resources Utica Holdings LLC 8.25%, 12/31/2028 (a) | 95,000 | 96,461 |
Baytex Energy Corp. (Canada) 8.75%, 4/1/2027 (a) | 89,000 | 92,324 |
Blue Racer Midstream LLC 6.63%, 7/15/2026 (a) | 27,000 | 26,796 |
Buckeye Partners LP 4.13%, 12/1/2027 | 80,000 | 74,456 |
California Resources Corp. 7.13%, 2/1/2026 (a) | 35,000 | 35,184 |
Chesapeake Energy Corp. 6.75%, 4/15/2029 (a) | 72,000 | 72,269 |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 36,000 | 36,045 |
Civitas Resources, Inc. | ||
8.38%, 7/1/2028 (a) | 88,000 | 92,085 |
8.75%, 7/1/2031 (a) | 90,000 | 95,712 |
CNX Resources Corp. 6.00%, 1/15/2029 (a) | 54,000 | 51,902 |
Comstock Resources, Inc. 6.75%, 3/1/2029 (a) | 147,000 | 135,599 |
Crescent Energy Finance LLC 9.25%, 2/15/2028 (a) | 115,000 | 120,347 |
DT Midstream, Inc. 4.13%, 6/15/2029 (a) | 170,000 | 155,337 |
Ecopetrol SA (Colombia) | ||
5.38%, 6/26/2026 | 150,000 | 147,615 |
8.63%, 1/19/2029 | 50,000 | 52,950 |
8.38%, 1/19/2036 | 70,000 | 70,140 |
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a) | 85,000 | 84,864 |
Energian Israel Finance Ltd. (Israel) 4.88%, 3/30/2026 (c) | 180,000 | 169,060 |
Energy Transfer LP | ||
5.63%, 5/1/2027 (a) | 614,000 | 608,486 |
8.00%, 4/1/2029 (a) | 16,000 | 16,596 |
EQM Midstream Partners LP | ||
4.00%, 8/1/2024 | 10,000 | 9,926 |
7.50%, 6/1/2027 (a) | 65,000 | 66,502 |
5.50%, 7/15/2028 | 135,000 | 132,403 |
Genesis Energy LP | ||
8.00%, 1/15/2027 | 66,000 | 66,457 |
7.75%, 2/1/2028 | 80,000 | 80,001 |
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (a) | 475,000 | 451,894 |
Greenko Dutch BV (India) 3.85%, 3/29/2026 (a) | 185,000 | 174,362 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 163 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | 146,436 | 149,022 |
Hilcorp Energy I LP 5.75%, 2/1/2029 (a) | 72,000 | 69,630 |
KazMunayGas National Co. JSC (Kazakhstan) 5.38%, 4/24/2030 (c) | 200,000 | 194,176 |
Kinetik Holdings LP 5.88%, 6/15/2030 (a) | 120,000 | 116,930 |
Leviathan Bond Ltd. (Israel) | ||
6.13%, 6/30/2025 (c) | 50,000 | 48,938 |
6.50%, 6/30/2027 (c) | 150,000 | 143,639 |
MEG Energy Corp. (Canada) 5.88%, 2/1/2029 (a) | 54,000 | 52,648 |
NGL Energy Operating LLC 8.13%, 2/15/2029 (a) | 85,000 | 85,801 |
Northriver Midstream Finance LP (Canada) 5.63%, 2/15/2026 (a) | 45,000 | 44,115 |
NuStar Logistics LP 5.63%, 4/28/2027 | 55,000 | 54,434 |
Permian Resources Operating LLC 7.00%, 1/15/2032 (a) | 135,000 | 138,615 |
Peru LNG Srl (Peru) 5.38%, 3/22/2030 (c) | 200,000 | 170,714 |
Petroleos Mexicanos (Mexico) | ||
4.25%, 1/15/2025 | 200,000 | 194,872 |
4.50%, 1/23/2026 | 100,000 | 93,100 |
6.88%, 8/4/2026 | 280,000 | 269,752 |
6.49%, 1/23/2027 | 420,000 | 392,570 |
5.35%, 2/12/2028 | 300,000 | 260,493 |
Range Resources Corp. | ||
8.25%, 1/15/2029 | 54,000 | 56,336 |
4.75%, 2/15/2030 (a) | 24,000 | 22,296 |
Rockies Express Pipeline LLC 4.95%, 7/15/2029 (a) | 85,000 | 79,486 |
SM Energy Co. | ||
6.75%, 9/15/2026 | 26,000 | 25,855 |
6.63%, 1/15/2027 | 54,000 | 53,782 |
Southwestern Energy Co. | ||
8.38%, 9/15/2028 | 31,000 | 32,240 |
5.38%, 3/15/2030 | 45,000 | 43,010 |
Sunoco LP 5.88%, 3/15/2028 | 149,000 | 147,400 |
Tallgrass Energy Partners LP | ||
6.00%, 3/1/2027 (a) | 44,000 | 43,428 |
6.00%, 12/31/2030 (a) | 102,000 | 94,852 |
Venture Global LNG, Inc. 8.13%, 6/1/2028 (a) | 340,000 | 345,408 |
Vital Energy, Inc. 10.13%, 1/15/2028 | 135,000 | 141,294 |
7,282,987 | ||
Passenger Airlines — 0.1% | ||
American Airlines, Inc. | ||
5.50%, 4/20/2026 (a) | 147,000 | 145,652 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Passenger Airlines — continued | ||
5.75%, 4/20/2029 (a) | 156,750 | 153,293 |
United Airlines, Inc. | ||
4.38%, 4/15/2026 (a) | 47,000 | 45,236 |
4.63%, 4/15/2029 (a) | 110,000 | 101,465 |
VistaJet Malta Finance plc (Switzerland) 9.50%, 6/1/2028 (a) | 150,000 | 126,375 |
572,021 | ||
Personal Care Products — 0.0% ^ | ||
Edgewell Personal Care Co. 5.50%, 6/1/2028 (a) | 108,000 | 105,436 |
Prestige Brands, Inc. 5.13%, 1/15/2028 (a) | 54,000 | 52,194 |
157,630 | ||
Pharmaceuticals — 0.2% | ||
Bausch Health Americas, Inc. 9.25%, 4/1/2026 (a) | 88,000 | 82,730 |
Bausch Health Cos., Inc. | ||
5.50%, 11/1/2025 (a) | 299,000 | 278,252 |
4.88%, 6/1/2028 (a) | 257,000 | 146,420 |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (e) | 54,000 | 54,403 |
Organon & Co. 4.13%, 4/30/2028 (a) | 200,000 | 182,972 |
744,777 | ||
Real Estate Management & Development — 0.0% ^ | ||
Kennedy-Wilson, Inc. 4.75%, 3/1/2029 | 67,000 | 54,270 |
Realogy Group LLC 5.75%, 1/15/2029 (a) | 134,000 | 99,676 |
153,946 | ||
Semiconductors & Semiconductor Equipment — 0.3% | ||
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | 54,000 | 54,287 |
ams-OSRAM AG (Austria) 12.25%, 3/30/2029 (a) | 200,000 | 202,875 |
Entegris, Inc. 5.95%, 6/15/2030 (a) | 90,000 | 88,250 |
Marvell Technology, Inc. 5.75%, 2/15/2029 | 670,000 | 682,601 |
Synaptics, Inc. 4.00%, 6/15/2029 (a) | 35,000 | 31,346 |
1,059,359 | ||
Software — 0.1% | ||
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | 64,000 | 58,422 |
NCR Voyix Corp. | ||
5.00%, 10/1/2028 (a) | 132,000 | 122,678 |
5.13%, 4/15/2029 (a) | 48,000 | 44,504 |
RingCentral, Inc. 8.50%, 8/15/2030 (a) | 70,000 | 72,372 |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | 70,000 | 68,166 |
366,142 |
164 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Specialized REITs — 0.0% ^ | ||
Iron Mountain, Inc. 4.88%, 9/15/2027 (a) | 52,000 | 49,873 |
Specialty Retail — 0.3% | ||
Asbury Automotive Group, Inc. 4.50%, 3/1/2028 | 59,000 | 55,018 |
Bath & Body Works, Inc. | ||
5.25%, 2/1/2028 | 41,000 | 39,807 |
7.50%, 6/15/2029 | 76,000 | 78,250 |
6.75%, 7/1/2036 | 23,000 | 22,605 |
Gap, Inc. (The) 3.63%, 10/1/2029 (a) | 85,000 | 71,798 |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | 49,000 | 44,727 |
Lithia Motors, Inc. | ||
4.63%, 12/15/2027 (a) | 31,000 | 29,535 |
4.38%, 1/15/2031 (a) | 31,000 | 27,506 |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | 64,000 | 56,687 |
PetSmart, Inc. 4.75%, 2/15/2028 (a) | 250,000 | 234,326 |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | 84,000 | 74,125 |
SRS Distribution, Inc. 4.63%, 7/1/2028 (a) | 104,000 | 96,999 |
Staples, Inc. | ||
7.50%, 4/15/2026 (a) | 155,000 | 149,019 |
10.75%, 4/15/2027 (a) | 85,000 | 77,775 |
1,058,177 | ||
Technology Hardware, Storage & Peripherals — 0.0% ^ | ||
Seagate HDD Cayman | ||
8.25%, 12/15/2029 (a) | 18,000 | 19,287 |
8.50%, 7/15/2031 (a) | 6,000 | 6,487 |
9.63%, 12/1/2032 | 44,000 | 49,725 |
75,499 | ||
Trading Companies & Distributors — 0.1% | ||
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | 74,000 | 72,423 |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | 76,000 | 70,422 |
United Rentals North America, Inc. 4.88%, 1/15/2028 | 64,000 | 61,779 |
WESCO Distribution, Inc. 7.25%, 6/15/2028 (a) | 68,000 | 69,492 |
274,116 | ||
Wireless Telecommunication Services — 0.2% | ||
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | 67,000 | 44,154 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Wireless Telecommunication Services — continued | ||
T-Mobile USA, Inc. | ||
3.50%, 4/15/2025 | 150,000 | 146,640 |
3.38%, 4/15/2029 | 600,000 | 550,093 |
740,887 | ||
Total Corporate Bonds (Cost $153,350,012) | 151,584,396 | |
Asset-Backed Securities — 19.2% | ||
Accelerated LLC Series 2021-1H, Class B, 1.90%, 10/20/2040 (a) | 134,632 | 122,958 |
ACHV ABS TRUST Series 2023-4CP, Class B, 7.24%, 11/25/2030 (a) | 500,000 | 504,085 |
ACM Auto Trust Series 2023-1A, Class B, 7.26%, 1/22/2030 (a) | 383,000 | 383,914 |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (a) | 263,000 | 237,684 |
American Credit Acceptance Receivables Trust | ||
Series 2022-1, Class D, 2.46%, 3/13/2028 (a) | 1,500,000 | 1,449,820 |
Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | 584,000 | 582,457 |
Series 2023-1, Class D, 6.35%, 4/12/2029 (a) | 375,000 | 375,186 |
AMSR Trust | ||
Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 (a) | 300,000 | 268,579 |
Series 2021-SFR4, Class E1, 2.97%, 12/17/2038 (a) | 400,000 | 356,195 |
Series 2023-SFR2, Class B, 3.95%, 6/17/2040 (a) | 1,500,000 | 1,392,861 |
Aqua Finance Trust Series 2021-A, Class B, 2.40%, 7/17/2046 (a) | 313,000 | 258,918 |
AREIT Trust Series 2021-CRE5, Class C, 7.68%, 11/17/2038 ‡ (a) (f) | 336,000 | 321,954 |
Atlas Senior Loan Fund (Cayman Islands) Series 2019-13A, Class A1NR, 6.66%, 4/22/2031 (a) (f) | 165,227 | 165,268 |
Bain Capital Credit CLO Ltd. (Cayman Islands) Series 2017-1A, Class A1R, 6.55%, 7/20/2030 (a) (f) | 242,404 | 242,778 |
Bayview Opportunity Master Fund Trust Series 2024-SN1, Class D, 6.36%, 7/16/2029 (a) | 1,000,000 | 1,001,720 |
BOF Funding Trust Series 2023-CAR3, Class C, 4.50%, 7/26/2032 (a) | 377,104 | 366,159 |
Bridgecrest Lending Auto Securitization Trust Series 2024-1, Class C, 5.65%, 4/16/2029 | 1,500,000 | 1,499,284 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 165 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
BSPRT Issuer Ltd. (Cayman Islands) Series 2021-FL7, Class B, 7.48%, 12/15/2038 (a) (f) | 475,000 | 465,539 |
Business Jet Securities LLC | ||
Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (a) | 164,122 | 159,098 |
Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (a) | 437,155 | 408,978 |
CarNow Auto Receivables Trust | ||
Series 2021-2A, Class C, 1.69%, 3/15/2027 (a) | 244,238 | 243,208 |
Series 2022-1A, Class D, 5.79%, 9/15/2027 (a) | 397,000 | 364,887 |
Carvana Auto Receivables Trust | ||
Series 2019-3A, Class E, 4.60%, 7/15/2026 (a) | 502,126 | 499,609 |
Series 2023-N3, Class C, 6.55%, 12/10/2029 (a) | 1,600,000 | 1,623,480 |
Series 2023-N4, Class B, 6.46%, 2/11/2030 (a) | 1,435,000 | 1,456,060 |
Series 2024-N1, Class C, 5.80%, 5/10/2030 (a) | 1,250,000 | 1,250,500 |
Continental Finance Credit Card ABS Master Trust Series 2021-A, Class A, 2.55%, 12/17/2029 (a) | 400,000 | 382,062 |
CPS Auto Receivables Trust | ||
Series 2019-B, Class E, 5.00%, 3/17/2025 (a) | 130,575 | 130,519 |
Series 2021-D, Class D, 2.31%, 12/15/2027 (a) | 200,000 | 191,816 |
Series 2022-A, Class D, 2.84%, 4/16/2029 (a) | 1,021,000 | 966,673 |
Series 2023-A, Class D, 6.44%, 4/16/2029 (a) | 750,000 | 754,722 |
Series 2023-C, Class C, 6.27%, 10/15/2029 (a) | 881,000 | 886,619 |
Series 2022-C, Class D, 6.45%, 4/15/2030 (a) | 240,000 | 240,609 |
Credit Acceptance Auto Loan Trust | ||
Series 2021-3A, Class C, 1.63%, 9/16/2030 (a) | 250,000 | 242,251 |
Series 2022-1A, Class C, 5.70%, 10/15/2032 (a) | 467,000 | 458,969 |
Series 2023-5A, Class C, 7.30%, 4/17/2034 (a) | 350,000 | 354,465 |
Crossroads Asset Trust Series 2021-A, Class C, 1.44%, 1/20/2026 (a) | 4,422 | 4,416 |
Dext ABS LLC Series 2021-1, Class A, 1.12%, 2/15/2028 (a) | 81,583 | 79,864 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
DT Auto Owner Trust | ||
Series 2021-1A, Class D, 1.16%, 11/16/2026 (a) | 250,000 | 241,003 |
Series 2021-3A, Class D, 1.31%, 5/17/2027 (a) | 750,000 | 701,616 |
Series 2023-3A, Class B, 6.07%, 3/15/2028 (a) | 500,000 | 502,189 |
Series 2023-1A, Class C, 5.55%, 10/16/2028 (a) | 300,000 | 298,480 |
Series 2023-1A, Class D, 6.44%, 11/15/2028 (a) | 307,000 | 306,335 |
Series 2023-3A, Class C, 6.40%, 5/15/2029 (a) | 1,606,000 | 1,616,071 |
Elara HGV Timeshare Issuer LLC | ||
Series 2023-A, Class A, 6.16%, 2/25/2038 (a) | 467,079 | 474,100 |
Series 2023-A, Class C, 7.30%, 2/25/2038 (a) | 775,592 | 787,605 |
Equify ABS LLC Series 2023-1A, Class A, 7.20%, 9/15/2031 (a) | 608,507 | 610,122 |
Exeter Automobile Receivables Trust | ||
Series 2019-3A, Class D, 3.11%, 8/15/2025 (a) | 20,524 | 20,458 |
Series 2020-1A, Class E, 3.74%, 1/15/2027 (a) | 635,000 | 626,138 |
Series 2021-2A, Class D, 1.40%, 4/15/2027 | 210,000 | 199,672 |
Series 2022-5A, Class C, 6.51%, 12/15/2027 | 345,000 | 347,014 |
Series 2021-4A, Class D, 1.96%, 1/17/2028 | 480,000 | 455,195 |
Series 2023-3A, Class C, 6.21%, 6/15/2028 | 1,410,000 | 1,421,640 |
Series 2022-2A, Class D, 4.56%, 7/17/2028 | 800,000 | 779,043 |
Series 2022-5A, Class D, 7.40%, 2/15/2029 | 500,000 | 510,976 |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | 500,000 | 521,062 |
Series 2023-4A, Class D, 6.95%, 12/17/2029 | 800,000 | 816,880 |
Series 2023-5A, Class D, 7.13%, 2/15/2030 | 700,000 | 721,117 |
FCI Funding LLC Series 2021-1A, Class A, 1.13%, 4/15/2033 ‡ (a) | 14,375 | 14,196 |
FHF Trust | ||
Series 2021-2A, Class A, 0.83%, 12/15/2026 (a) | 96,153 | 93,283 |
Series 2021-1A, Class A, 1.27%, 3/15/2027 (a) | 31,986 | 31,227 |
FirstKey Homes Trust | ||
Series 2021-SFR3, Class E1, 2.99%, 12/17/2038 (a) | 500,000 | 453,048 |
Series 2022-SFR2, Class D, 4.50%, 7/17/2039 (a) | 615,000 | 581,344 |
166 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Flagship Credit Auto Trust | ||
Series 2021-1, Class D, 1.27%, 3/15/2027 (a) | 225,000 | 209,757 |
Series 2021-3, Class C, 1.46%, 9/15/2027 (a) | 1,568,000 | 1,483,760 |
Series 2022-1, Class D, 3.64%, 3/15/2028 (a) | 536,000 | 499,781 |
Series 2022-2, Class C, 5.30%, 4/17/2028 (a) | 750,000 | 736,394 |
Series 2022-3, Class C, 4.99%, 7/17/2028 (a) | 858,000 | 840,279 |
Series 2022-3, Class D, 6.00%, 7/17/2028 (a) | 600,000 | 585,533 |
Series 2023-3, Class C, 6.01%, 7/16/2029 (a) | 900,000 | 905,857 |
Foundation Finance Trust Series 2021-1A, Class A, 1.27%, 5/15/2041 (a) | 68,124 | 61,832 |
FRTKL | ||
Series 2021-SFR1, Class B, 1.72%, 9/17/2038 (a) | 650,000 | 589,799 |
Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (a) | 238,000 | 213,521 |
Galaxy CLO Ltd. (Cayman Islands) Series 2015-19A, Class A1RR, 6.53%, 7/24/2030 (a) (f) | 204,943 | 204,827 |
GLS Auto Receivables Issuer Trust | ||
Series 2019-4A, Class C, 3.06%, 8/15/2025 (a) | 12,586 | 12,566 |
Series 2021-3A, Class D, 1.48%, 7/15/2027 (a) | 200,000 | 188,987 |
Series 2020-4A, Class E, 3.51%, 10/15/2027 (a) | 1,000,000 | 972,269 |
Series 2022-1A, Class D, 3.97%, 1/18/2028 (a) | 750,000 | 723,838 |
Series 2023-3A, Class C, 6.01%, 5/15/2029 (a) | 900,000 | 903,181 |
GLS Auto Select Receivables Trust | ||
Series 2023-1A, Class A3, 5.96%, 10/16/2028 (a) | 757,000 | 764,826 |
Series 2023-1A, Class B, 6.09%, 3/15/2029 (a) | 722,000 | 732,580 |
Goldman Home Improvement Trust Issuer Trust Series 2021-GRN2, Class A, 1.15%, 6/25/2051 (a) | 56,540 | 52,776 |
Hilton Grand Vacations Trust Series 2023-1A, Class A, 5.72%, 1/25/2038 (a) | 915,983 | 920,921 |
Home Partners of America Trust Series 2021-3, Class E1, 3.20%, 1/17/2041 (a) | 458,308 | 392,255 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
LCM LP (Cayman Islands) Series 14A, Class AR, 6.62%, 7/20/2031 (a) (f) | 338,333 | 339,060 |
LCM Ltd. (Cayman Islands) Series 26A, Class A1, 6.65%, 1/20/2031 (a) (f) | 165,295 | 165,304 |
Lendbuzz Securitization Trust Series 2021-1A, Class A, 1.46%, 6/15/2026 (a) | 46,248 | 44,935 |
Lendingpoint Asset Securitization Trust Series 2022-A, Class C, 2.82%, 6/15/2029 (a) | 218,222 | 216,149 |
LendingPoint Asset Securitization Trust Series 2020-REV1, Class B, 4.49%, 10/15/2028 (a) | 154,458 | 153,728 |
LendingPoint Pass-Through Trust Series 2022-ST1, Class A, 2.50%, 3/15/2028 (a) | 56,602 | 55,037 |
Lendmark Funding Trust | ||
Series 2021-1A, Class A, 1.90%, 11/20/2031 (a) | 950,000 | 866,895 |
Series 2023-1A, Class D, 8.69%, 5/20/2033 (a) | 400,000 | 413,277 |
LL ABS Trust Series 2021-1A, Class A, 1.07%, 5/15/2029 (a) | 9,956 | 9,910 |
LP LMS Asset Securitization Trust Series 2023-1A, Class A, 8.18%, 10/17/2033 (a) | 228,308 | 229,137 |
Mariner Finance Issuance Trust | ||
Series 2023-AA, Class A, 6.70%, 10/22/2035 (a) | 750,000 | 761,065 |
Series 2021-AA, Class A, 1.86%, 3/20/2036 (a) | 192,000 | 175,847 |
Merchants Fleet Funding LLC Series 2023-1A, Class A, 7.21%, 5/20/2036 (a) | 345,000 | 347,540 |
Mercury Financial Credit Card Master Trust Series 2023-1A, Class A, 8.04%, 9/20/2027 (a) | 808,000 | 816,137 |
Mission Lane Credit Card Master Trust Series 2023-A, Class A, 7.23%, 7/17/2028 (a) | 200,000 | 201,224 |
MVW LLC | ||
Series 2023-2A, Class C, 7.06%, 11/20/2040 (a) | 571,900 | 579,850 |
Series 2021-1WA, Class A, 1.14%, 1/22/2041 (a) | 81,279 | 75,382 |
Series 2021-1WA, Class B, 1.44%, 1/22/2041 (a) | 34,884 | 32,366 |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) Series 2020-37A, Class AR, 6.55%, 7/20/2031 (a) (f) | 349,486 | 349,383 |
New Residential Mortgage Loan Trust | ||
Series 2022-SFR1, Class B, 2.85%, 2/17/2039 (a) | 650,000 | 600,250 |
Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (a) | 520,000 | 464,638 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 167 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
NMEF Funding LLC Series 2021-A, Class B, 1.85%, 12/15/2027 (a) | 54,028 | 53,664 |
NRZ Excess Spread-Collateralized Notes Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a) | 73,927 | 69,231 |
Octane Receivables Trust Series 2023-1A, Class D, 7.76%, 3/20/2030 (a) | 500,000 | 509,289 |
Oportun Funding XIV LLC Series 2021-A, Class A, 1.21%, 3/8/2028 (a) | 73,133 | 70,126 |
Oportun Issuance Trust | ||
Series 2021-B, Class B, 1.96%, 5/8/2031 (a) | 600,000 | 563,552 |
Series 2022-A, Class B, 5.25%, 6/9/2031 (a) | 600,000 | 582,210 |
Pagaya AI Debt Selection Trust Series 2021-HG1, Class A, 1.22%, 1/16/2029 (a) | 65,761 | 64,053 |
Palmer Square Loan Funding Ltd. (Cayman Islands) Series 2021-2A, Class A1, 6.38%, 5/20/2029 (a) (f) | 65,216 | 65,226 |
PFP Ltd. (Cayman Islands) Series 2021-7, Class C, 7.09%, 4/14/2038 (a) (f) | 18,224 | 17,806 |
PRET LLC | ||
Series 2021-NPL3, Class A1, 1.87%, 7/25/2051 (a) (e) | 1,032,324 | 994,472 |
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (e) | 143,942 | 141,814 |
Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (a) (f) | 370,523 | 361,679 |
Pretium Mortgage Credit Partners I LLC | ||
Series 2021-NPL2, Class A1, 1.99%, 6/27/2060 (a) (e) | 160,889 | 155,667 |
Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (a) (e) | 109,171 | 107,265 |
Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 (a) (e) | 758,569 | 739,272 |
Progress Residential Series 2021-SFR3, Class E1, 2.54%, 5/17/2026 (a) | 200,000 | 182,550 |
Progress Residential Trust | ||
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a) | 350,000 | 313,411 |
Series 2022-SFR3, Class D, 4.45%, 4/17/2039 (a) | 562,000 | 532,567 |
Series 2024-SFR1, Class D, 3.75%, 2/17/2041 (a) | 1,125,000 | 1,004,781 |
PRPM LLC | ||
Series 2021-2, Class A1, 2.12%, 3/25/2026 (a) (f) | 85,796 | 84,776 |
Series 2021-5, Class A1, 1.79%, 6/25/2026 (a) (e) | 689,135 | 672,729 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2021-6, Class A1, 1.79%, 7/25/2026 (a) (e) | 200,664 | 194,459 |
Series 2021-7, Class A1, 1.87%, 8/25/2026 (a) (e) | 184,384 | 178,057 |
Series 2021-8, Class A1, 1.74%, 9/25/2026 (a) (f) | 988,603 | 947,791 |
Series 2021-11, Class A1, 2.49%, 11/25/2026 (a) (e) | 182,157 | 178,385 |
Purchasing Power Funding LLC Series 2024-A, Class B, 6.43%, 8/15/2028 (a) | 1,250,000 | 1,250,390 |
Reach ABS Trust Series 2023-1A, Class A, 7.05%, 2/18/2031 (a) | 488,316 | 490,309 |
Republic Finance Issuance Trust Series 2021-A, Class A, 2.30%, 12/22/2031 (a) | 500,000 | 475,277 |
Santander Drive Auto Receivables Trust | ||
Series 2021-3, Class D, 1.33%, 9/15/2027 | 300,000 | 288,077 |
Series 2022-3, Class C, 4.49%, 8/15/2029 | 985,000 | 964,835 |
Series 2022-4, Class C, 5.00%, 11/15/2029 | 1,250,000 | 1,233,211 |
Series 2022-6, Class D, 5.69%, 2/18/2031 | 500,000 | 496,785 |
Series 2023-6, Class C, 6.40%, 3/17/2031 | 928,000 | 952,469 |
Series 2023-4, Class C, 6.04%, 12/15/2031 | 2,000,000 | 2,029,759 |
SCF Equipment Leasing LLC Series 2021-1A, Class D, 1.93%, 9/20/2030 (a) | 535,000 | 502,257 |
Sierra Timeshare Receivables Funding LLC Series 2023-2A, Class A, 5.80%, 4/20/2040 (a) | 900,499 | 906,583 |
Skopos Auto Receivables Trust Series 2019-1A, Class D, 5.24%, 4/15/2025 (a) | 37,790 | 37,782 |
Sound Point CLO Ltd. (Cayman Islands) Series 2019-1A, Class AR, 6.66%, 1/20/2032 (a) (f) | 400,000 | 400,279 |
Stratus CLO Ltd. (Cayman Islands) Series 2021-1A, Class A, 6.38%, 12/29/2029 (a) (f) | 294,904 | 295,072 |
Symphony CLO Ltd. (Cayman Islands) Series 2016-18A, Class A1RR, 6.68%, 7/23/2033 (a) (f) | 250,000 | 250,398 |
Tricon Residential Trust | ||
Series 2021-SFR1, Class E1, 2.79%, 7/17/2038 (a) | 240,000 | 218,870 |
Series 2023-SFR1, Class B, 5.10%, 7/17/2040 (a) | 800,000 | 784,729 |
Upstart Pass-Through Trust | ||
Series 2021-ST4, Class A, 2.00%, 7/20/2027 (a) | 47,055 | 45,293 |
Series 2021-ST5, Class A, 2.00%, 7/20/2027 (a) | 48,762 | 47,437 |
Series 2021-ST8, Class A, 1.75%, 10/20/2029 (a) | 49,380 | 48,763 |
168 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2021-ST9, Class A, 1.70%, 11/20/2029 (a) | 42,885 | 42,289 |
Series 2021-ST10, Class A, 2.25%, 1/20/2030 (a) | 93,101 | 90,984 |
Series 2022-ST1, Class A, 2.60%, 3/20/2030 (a) | 159,750 | 157,023 |
Upstart Securitization Trust | ||
Series 2021-2, Class B, 1.75%, 6/20/2031 (a) | 20,512 | 20,466 |
Series 2021-4, Class B, 1.84%, 9/20/2031 (a) | 203,901 | 200,019 |
Series 2021-5, Class B, 2.49%, 11/20/2031 (a) | 225,000 | 220,245 |
Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | 236,906 | 236,046 |
US Auto Funding Trust Series 2022-1A, Class B, 5.13%, 12/15/2025 (a) | 574,000 | 221,805 |
VCAT LLC | ||
Series 2021-NPL2, Class A1, 2.12%, 3/27/2051 (a) (e) | 92,533 | 91,456 |
Series 2021-NPL3, Class A1, 1.74%, 5/25/2051 (a) (e) | 115,217 | 111,304 |
Series 2021-NPL4, Class A1, 1.87%, 8/25/2051 (a) (e) | 148,668 | 143,484 |
Venture CLO Ltd. (Cayman Islands) Series 2018-32A, Class A2A, 6.63%, 7/18/2031 (a) (f) | 148,277 | 148,252 |
Veros Auto Receivables Trust | ||
Series 2022-1, Class A, 3.47%, 12/15/2025 (a) | 41,197 | 41,047 |
Series 2023-1, Class C, 8.32%, 11/15/2028 (a) | 1,250,000 | 1,296,305 |
VOLT CIII LLC Series 2021-CF1, Class A1, 1.99%, 8/25/2051 (a) (e) | 207,739 | 199,576 |
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (a) (e) | 337,341 | 311,488 |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (a) (e) | 95,936 | 93,163 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 5.12%, 3/27/2051 (a) (e) | 70,047 | 68,529 |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (e) | 98,449 | 96,404 |
Westlake Automobile Receivables Trust | ||
Series 2021-1A, Class D, 1.23%, 4/15/2026 (a) | 250,000 | 243,570 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2021-3A, Class D, 2.12%, 1/15/2027 (a) | 1,000,000 | 953,160 |
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | 500,000 | 507,732 |
Total Asset-Backed Securities (Cost $79,420,005) | 78,714,385 | |
U.S. Treasury Obligations — 18.7% | ||
U.S. Treasury Notes | ||
4.63%, 2/28/2025 | 32,500 | 32,364 |
3.88%, 3/31/2025 | 125,000 | 123,525 |
2.88%, 6/15/2025 | 4,520,000 | 4,405,941 |
3.00%, 7/15/2025 | 2,847,800 | 2,778,051 |
3.13%, 8/15/2025 | 195,000 | 190,392 |
3.50%, 9/15/2025 | 167,700 | 164,471 |
5.00%, 9/30/2025 | 135,000 | 135,432 |
4.25%, 10/15/2025 | 2,935,000 | 2,911,382 |
4.50%, 11/15/2025 | 5,285,000 | 5,264,768 |
0.50%, 2/28/2026 | 15,000 | 13,829 |
4.63%, 3/15/2026 | 586,100 | 586,123 |
3.75%, 4/15/2026 | 425,000 | 417,778 |
0.75%, 5/31/2026 | 290,000 | 266,596 |
4.13%, 6/15/2026 | 1,480,000 | 1,466,241 |
4.38%, 8/15/2026 | 3,345,000 | 3,333,894 |
0.75%, 8/31/2026 | 1,180,000 | 1,076,381 |
4.63%, 9/15/2026 | 705,000 | 706,955 |
4.63%, 10/15/2026 | 6,375,000 | 6,395,918 |
4.63%, 11/15/2026 | 410,000 | 411,538 |
4.38%, 12/15/2026 | 650,000 | 648,680 |
4.00%, 1/15/2027 | 15,410,000 | 15,229,414 |
4.13%, 2/15/2027 | 25,990,000 | 25,776,801 |
4.00%, 2/29/2028 | 172,700 | 170,575 |
3.63%, 3/31/2028 | 3,040,000 | 2,960,556 |
3.63%, 5/31/2028 | 420,000 | 408,860 |
4.63%, 9/30/2028 | 150,000 | 152,033 |
4.25%, 2/28/2029 | 960,000 | 960,150 |
Total U.S. Treasury Obligations (Cost $77,289,679) | 76,988,648 | |
Mortgage-Backed Securities — 12.5% | ||
FHLMC Pool # 841368 ARM, 6.73%, 9/1/2047 (f) | 1,387,522 | 1,414,879 |
FHLMC Gold Pools, 30 Year Pool # G08878, 4.50%, 5/1/2049 | 238,100 | 229,364 |
FHLMC UMBS, 10 Year Pool # RD5034, 2.00%, 9/1/2030 | 380,105 | 353,313 |
FHLMC UMBS, 15 Year | ||
Pool # ZS6689, 2.50%, 4/1/2028 | 125,586 | 120,142 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 169 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # SB0725, 4.00%, 8/1/2037 | 896,988 | 867,457 |
Pool # SB8184, 4.00%, 10/1/2037 | 678,566 | 653,565 |
Pool # SB8189, 4.00%, 11/1/2037 | 1,885,886 | 1,817,698 |
Pool # SB8222, 4.50%, 4/1/2038 | 1,274,817 | 1,247,031 |
Pool # SB8229, 4.50%, 5/1/2038 | 1,750,479 | 1,712,324 |
Pool # SB8261, 5.50%, 10/1/2038 (g) | 1,195,454 | 1,198,633 |
FHLMC UMBS, 30 Year | ||
Pool # ZT1703, 4.00%, 1/1/2049 | 785,387 | 736,937 |
Pool # SD8231, 4.50%, 7/1/2052 | 815,566 | 772,227 |
Pool # SD8246, 5.00%, 9/1/2052 | 629,210 | 610,868 |
Pool # SD8343, 6.00%, 7/1/2053 | 6,864,428 | 6,894,840 |
FNMA Pool # BM4562 ARM, 6.34%, 5/1/2047 (f) | 1,007,501 | 1,028,689 |
FNMA UMBS, 15 Year | ||
Pool # FM1156, 2.50%, 4/1/2033 | 675,842 | 632,255 |
Pool # MA4361, 2.50%, 6/1/2036 | 333,422 | 302,874 |
Pool # FM7767, 2.00%, 7/1/2036 | 3,812,131 | 3,396,909 |
Pool # CB1216, 2.50%, 7/1/2036 | 613,232 | 557,037 |
Pool # FS1563, 2.50%, 7/1/2036 | 463,974 | 421,447 |
Pool # FS1329, 2.00%, 2/1/2037 | 851,418 | 756,776 |
Pool # MA4640, 3.50%, 6/1/2037 | 625,663 | 592,003 |
Pool # MA4944, 4.50%, 3/1/2038 | 2,530,657 | 2,475,497 |
Pool # MA5093, 5.00%, 7/1/2038 | 7,972,578 | 7,904,076 |
FNMA UMBS, 20 Year | ||
Pool # FM3933, 3.00%, 6/1/2037 | 1,437,733 | 1,323,941 |
Pool # FM3075, 3.50%, 11/1/2039 | 931,463 | 864,582 |
Pool # CA8310, 2.50%, 12/1/2040 | 239,609 | 207,748 |
Pool # MA4780, 4.50%, 10/1/2042 | 2,397,944 | 2,320,298 |
FNMA UMBS, 30 Year | ||
Pool # FM2972, 4.00%, 12/1/2044 | 813,092 | 765,819 |
Pool # FS2237, 4.00%, 10/1/2046 | 1,915,912 | 1,803,830 |
Pool # BM1285, 4.50%, 5/1/2047 | 130,197 | 126,343 |
Pool # FS1847, 4.00%, 1/1/2049 | 239,721 | 225,284 |
Pool # FS1891, 4.00%, 1/1/2050 | 796,456 | 747,004 |
Pool # FS0085, 4.00%, 11/1/2050 | 859,356 | 804,980 |
Pool # MA4733, 4.50%, 9/1/2052 | 822,676 | 778,958 |
Pool # MA5039, 5.50%, 6/1/2053 | 2,967,040 | 2,936,702 |
GNMA II, 30 Year | ||
Pool # MA8201, 4.50%, 8/20/2052 | 690,411 | 659,977 |
Pool # MA8429, 5.50%, 11/20/2052 | 1,193,259 | 1,186,884 |
Total Mortgage-Backed Securities (Cost $52,293,083) | 51,449,191 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — 4.5% | ||
BAMLL Commercial Mortgage Securities Trust | ||
Series 2015-200P, Class C, 3.60%, 4/14/2033 (a) (f) | 1,000,000 | 952,889 |
Series 2015-200P, Class D, 3.60%, 4/14/2033 (a) (f) | 400,000 | 378,884 |
Beast Mortgage Trust Series 2021-1818, Class B, 6.88%, 3/15/2036 (a) (f) | 179,000 | 129,529 |
Benchmark Mortgage Trust Series 2024-V5, Class C, 6.97%, 1/10/2057 (f) | 300,000 | 306,470 |
BMO Mortgage Trust Series 2024-5C3, Class C, 6.86%, 2/15/2057 (f) | 300,000 | 301,025 |
BX Commercial Mortgage Trust Series 2021-VOLT, Class D, 7.08%, 9/15/2036 (a) (f) | 275,000 | 270,359 |
BX Trust | ||
Series 2021-RISE, Class D, 7.18%, 11/15/2036 (a) (f) | 330,132 | 326,212 |
Series 2022-LBA6, Class D, 7.32%, 1/15/2039 (a) (f) | 525,000 | 518,437 |
Series 2024-MF, Class B, 6.99%, 2/15/2039 (a) (f) | 1,200,000 | 1,196,999 |
Citigroup Commercial Mortgage Trust | ||
Series 2021-PRM2, Class F, 9.18%, 10/15/2038 (a) (f) | 275,000 | 267,994 |
Series 2015-GC27, Class B, 3.77%, 2/10/2048 | 200,000 | 193,697 |
Series 2015-GC27, Class C, 4.42%, 2/10/2048 (f) | 440,000 | 416,097 |
Series 2015-GC29, Class C, 4.14%, 4/10/2048 (f) | 400,000 | 369,195 |
Series 2015-GC31, Class C, 4.03%, 6/10/2048 (f) | 250,000 | 174,954 |
Commercial Mortgage Trust | ||
Series 2019-WCM, Class G, 8.13%, 10/15/2034 (a) (f) | 385,000 | 385,120 |
Series 2014-UBS5, Class C, 4.60%, 9/10/2047 (f) | 2,200,000 | 1,995,517 |
Series 2014-CR20, Class C, 4.45%, 11/10/2047 (f) | 100,000 | 94,203 |
Series 2015-CR26, Class B, 4.46%, 10/10/2048 (f) | 200,000 | 189,854 |
Series 2015-PC1, Class B, 4.28%, 7/10/2050 (f) | 200,000 | 188,164 |
CSAIL Commercial Mortgage Trust | ||
Series 2015-C4, Class E, 3.56%, 11/15/2048 (f) | 325,000 | 277,003 |
Series 2015-C2, Class C, 4.17%, 6/15/2057 (f) | 700,000 | 610,698 |
170 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K068, Class X1, IO, 0.42%, 8/25/2027 (f) | 3,509,193 | 44,304 |
Series K111, Class X3, IO, 3.18%, 4/25/2048 (f) | 405,000 | 62,934 |
Series K110, Class X3, IO, 3.40%, 6/25/2048 (f) | 380,000 | 61,784 |
Series K115, Class X3, IO, 2.96%, 9/25/2048 (f) | 430,000 | 62,484 |
Series K125, Class X3, IO, 2.65%, 2/25/2049 (f) | 460,000 | 65,349 |
FREMF Mortgage Trust | ||
Series 2018-K732, Class C, 4.06%, 5/25/2025 (a) (f) | 200,000 | 194,088 |
Series 2014-K41, Class C, 3.83%, 11/25/2047 (a) (f) | 100,000 | 98,020 |
Series 2016-K57, Class C, 3.92%, 8/25/2049 (a) (f) | 185,000 | 175,905 |
Series 2016-K58, Class C, 3.74%, 9/25/2049 (a) (f) | 110,000 | 104,071 |
GS Mortgage Securities Trust | ||
Series 2016-GS2, Class B, 3.76%, 5/10/2049 (f) | 100,000 | 93,419 |
Series 2017-GS5, Class D, 3.51%, 3/10/2050 (a) (f) | 250,000 | 123,274 |
Independence Plaza Trust Series 2018-INDP, Class C, 4.16%, 7/10/2035 (a) | 150,000 | 140,815 |
JPMBB Commercial Mortgage Securities Trust | ||
Series 2015-C31, Class C, 4.62%, 8/15/2048 (f) | 150,000 | 122,466 |
Series 2016-C1, Class D1, 4.20%, 3/17/2049 (a) (f) | 400,000 | 340,606 |
JPMCC Commercial Mortgage Securities Trust | ||
Series 2017-JP5, Class C, 3.75%, 3/15/2050 (f) | 800,000 | 640,016 |
Series 2017-JP5, Class D, 4.50%, 3/15/2050 (a) (f) | 275,000 | 207,482 |
JPMorgan Chase Commercial Mortgage Securities Trust | ||
Series 2013-C16, Class D, 4.94%, 12/15/2046 (a) (f) | 149,246 | 131,896 |
Series 2016-JP3, Class C, 3.42%, 8/15/2049 (f) | 1,000,000 | 820,777 |
Life Mortgage Trust Series 2021-BMR, Class C, 6.53%, 3/15/2038 (a) (f) | 191,679 | 188,325 |
MHC Commercial Mortgage Trust Series 2021-MHC, Class D, 7.03%, 4/15/2038 (a) (f) | 209,719 | 207,950 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2015-C24, Class D, 3.26%, 5/15/2048 (a) | 220,000 | 189,278 |
Series 2015-C25, Class B, 4.52%, 10/15/2048 (f) | 500,000 | 469,710 |
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048 | 225,000 | 201,819 |
SMRT Series 2022-MINI, Class E, 8.02%, 1/15/2039 (a) (f) | 350,000 | 337,750 |
STWD Mortgage Trust (Cayman Islands) Series 2021-LIH, Class B, 7.09%, 11/15/2036 (a) (f) | 400,000 | 394,375 |
Velocity Commercial Capital Loan Trust Series 2021-2, Class A, 1.52%, 8/25/2051 (a) (f) | 118,902 | 99,151 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2015-NXS4, Class B, 4.22%, 12/15/2048 (f) | 500,000 | 476,540 |
Series 2015-LC22, Class D, 4.54%, 9/15/2058 (f) | 205,000 | 183,827 |
WFRBS Commercial Mortgage Trust | ||
Series 2013-C11, Class C, 4.00%, 3/15/2045 (f) | 117,000 | 101,278 |
Series 2014-C21, Class C, 4.23%, 8/15/2047 (f) | 1,000,000 | 910,199 |
Series 2014-C25, Class B, 4.24%, 11/15/2047 (f) | 160,000 | 154,639 |
Series 2014-C22, Class C, 3.75%, 9/15/2057 (f) | 725,000 | 556,925 |
Series 2014-C22, Class AS, 4.07%, 9/15/2057 (f) | 1,000,000 | 905,732 |
Total Commercial Mortgage-Backed Securities (Cost $19,453,343) | 18,410,488 | |
Collateralized Mortgage Obligations — 4.4% | ||
Connecticut Avenue Securities Trust | ||
Series 2022-R01, Class 1M2, 7.22%, 12/25/2041 (a) (f) | 521,000 | 524,597 |
Series 2022-R02, Class 2M2, 8.32%, 1/25/2042 (a) (f) | 225,000 | 230,748 |
FHLMC STACR REMIC Trust | ||
Series 2021-DNA2, Class M2, 7.62%, 8/25/2033 (a) (f) | 85,846 | 87,606 |
Series 2022-DNA1, Class M1A, 6.32%, 1/25/2042 (a) (f) | 605,047 | 603,863 |
Series 2023-HQA3, Class M2, 8.67%, 11/25/2043 (a) (f) | 725,000 | 757,060 |
Series 2020-HQA3, Class B1, 11.19%, 7/25/2050 (a) (f) | 165,223 | 183,398 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 171 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
FHLMC, REMIC | ||
Series 2673, Class PE, 5.50%, 9/15/2033 | 80,730 | 81,631 |
Series 4754, Class VG, 4.00%, 12/15/2036 | 625,000 | 608,554 |
Series 3878, Class PL, 4.50%, 11/15/2040 | 334,300 | 326,628 |
Series 4376, Class A, 4.00%, 7/15/2041 | 964,436 | 946,231 |
Series 4583, Class UP, 3.00%, 7/15/2045 | 1,826,777 | 1,660,052 |
Series 4599, Class PA, 3.00%, 9/15/2045 | 1,873,145 | 1,715,950 |
Series 4718, Class DA, 3.00%, 2/15/2047 | 233,662 | 212,429 |
Series 5194, Class H, 2.50%, 10/25/2047 | 6,308,877 | 5,575,989 |
Series 5021, Class MI, IO, 3.00%, 10/25/2050 | 412,570 | 63,417 |
FNMA, REMIC | ||
Series 2012-136, Class DL, 3.50%, 12/25/2042 | 215,340 | 202,169 |
Series 2022-42, Class EA, 3.75%, 6/25/2052 | 2,073,083 | 1,949,943 |
Series 2022-43, Class P, 4.00%, 7/25/2052 | 497,676 | 470,266 |
GNMA Series 2021-9, Class MI, IO, 2.50%, 1/20/2051 | 219,970 | 29,501 |
Legacy Mortgage Asset Trust Series 2021-GS3, Class A1, 1.75%, 7/25/2061 (a) (e) | 105,380 | 101,712 |
LHOME Mortgage Trust Series 2024-RTL1, Class A1, 7.02%, 1/25/2029 (a) (e) | 1,225,000 | 1,223,139 |
NYMT Loan Trust Series 2021-SP1, Class A1, 1.67%, 8/25/2061 (a) (e) | 236,839 | 225,732 |
Verus Securitization Trust Series 2021-2, Class M1, 2.19%, 2/25/2066 (a) (f) | 144,000 | 104,412 |
Total Collateralized Mortgage Obligations (Cost $18,275,257) | 17,885,027 | |
Foreign Government Securities — 1.1% | ||
Benin Government Bond 7.96%, 2/13/2038 (a) | 200,000 | 193,687 |
Dominican Republic Government Bond | ||
6.00%, 7/19/2028 (c) | 300,000 | 299,175 |
4.50%, 1/30/2030 (a) | 150,000 | 136,232 |
4.50%, 1/30/2030 (c) | 150,000 | 136,232 |
7.05%, 2/3/2031 (c) | 200,000 | 205,800 |
Federal Republic of Nigeria | ||
7.63%, 11/21/2025 (c) | 200,000 | 196,812 |
6.50%, 11/28/2027 (c) | 400,000 | 363,692 |
Gabonese Republic 6.95%, 6/16/2025 (c) | 200,000 | 192,614 |
Hashemite Kingdom of Jordan | ||
4.95%, 7/7/2025 (c) | 200,000 | 194,490 |
6.13%, 1/29/2026 (c) | 200,000 | 196,672 |
Istanbul Metropolitan Municipality 10.50%, 12/6/2028 (a) | 200,000 | 214,500 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Republic of Angola | ||
9.50%, 11/12/2025 (c) | 200,000 | 199,808 |
8.25%, 5/9/2028 (c) | 200,000 | 184,194 |
Republic of Cote d'Ivoire | ||
6.38%, 3/3/2028 (c) | 600,000 | 581,625 |
5.75%, 12/31/2032 (c) (e) | 53,694 | 50,283 |
7.63%, 1/30/2033 (a) | 200,000 | 193,750 |
Republic of El Salvador 8.63%, 2/28/2029 (c) | 170,000 | 148,113 |
Republic of Iraq 5.80%, 1/15/2028 (c) | 250,000 | 233,272 |
Republic of Kenya 9.75%, 2/16/2031 (a) | 200,000 | 200,250 |
Republic of Senegal 6.25%, 5/23/2033 (c) | 200,000 | 166,500 |
Republic of Turkey 9.88%, 1/15/2028 | 200,000 | 219,376 |
Turkiye Ihracat Kredi Bankasi A/S 9.38%, 1/31/2026 (a) | 200,000 | 209,430 |
Total Foreign Government Securities (Cost $4,767,726) | 4,716,507 | |
Municipal Bonds — 0.0% (f) (h) ^ | ||
California — 0.0% ^ | ||
California Housing Finance Agency Series 2021-1, Class X, Rev., 0.80%, 11/20/2035 (Cost $103,392) | 2,115,109 | 103,235 |
SHARES | ||
Short-Term Investments — 6.6% | ||
Investment Companies — 6.3% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (i) (j) (Cost $25,963,821) | 25,951,986 | 25,964,962 |
PRINCIPAL AMOUNT($) | ||
U.S. Treasury Obligations — 0.3% | ||
U.S. Treasury Bills, 5.19%, 8/8/2024 (k) (l) (Cost $955,993) | 978,000 | 955,695 |
Total Short-Term Investments (Cost $26,919,814) | 26,920,657 | |
Total Investments — 103.9% (Cost $431,872,311) | 426,772,534 | |
Liabilities in Excess of Other Assets — (3.9)% | (16,214,684 ) | |
NET ASSETS — 100.0% | 410,557,850 |
Percentages indicated are based on net assets. |
Abbreviations | |
ABS | Asset-Backed Securities |
172 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 29, 2024. |
CLO | Collateralized Loan Obligations |
CME | Chicago Mercantile Exchange |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
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 |
REIT | Real Estate Investment Trust |
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 |
^ | 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 29, 2024. | |
(c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(d) | Defaulted security. | |
(e) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2024. | |
(f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 29, 2024. | |
(g) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(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 29, 2024. | |
(k) | The rate shown is the effective yield as of February 29, 2024. | |
(l) | 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) ($) |
Long Contracts | |||||
U.S. Treasury 2 Year Note | 5 | 06/28/2024 | USD | 1,024,102 | 826 |
U.S. Treasury 5 Year Note | 423 | 06/28/2024 | USD | 45,264,304 | 103,911 |
104,737 | |||||
Short Contracts | |||||
U.S. Treasury 10 Year Note | (118 ) | 06/18/2024 | USD | (13,039,000 ) | (46,107 ) |
U.S. Treasury 10 Year Ultra Note | (70 ) | 06/18/2024 | USD | (7,996,406 ) | (51,006 ) |
U.S. Treasury Long Bond | (17 ) | 06/18/2024 | USD | (2,027,250 ) | (19,263 ) |
(116,376 ) | |||||
(11,639 ) |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 173 |
Abbreviations | |
USD | United States Dollar |
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CDX.NA.HY.41-V2 | 5.00 | Quarterly | 12/20/2028 | 3.38 | USD1,400,000 | 79,167 | 22,642 | 101,809 |
(**) | 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 |
174 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 55.4% | ||
Aerospace & Defense — 0.1% | ||
BAE Systems Holdings, Inc. (United Kingdom) 3.80%, 10/7/2024 (a) | 117,000 | 115,602 |
L3Harris Technologies, Inc. | ||
3.83%, 4/27/2025 | 4,550,000 | 4,466,528 |
3.85%, 12/15/2026 | 2,902,000 | 2,803,044 |
RTX Corp. 3.20%, 3/15/2024 | 20,734,000 | 20,716,744 |
28,101,918 | ||
Automobile Components — 0.1% | ||
Magna International, Inc. (Canada) 3.63%, 6/15/2024 | 16,015,000 | 15,914,571 |
Automobiles — 2.0% | ||
BMW US Capital LLC (Germany) | ||
(SOFRINDX + 0.53%), 5.89%, 4/1/2024 (a) (b) | 22,838,000 | 22,845,674 |
(SOFRINDX + 0.62%), 5.94%, 8/11/2025 (a) (b) | 9,237,000 | 9,252,872 |
Hyundai Capital America | ||
0.88%, 6/14/2024 (a) | 47,002,000 | 46,343,163 |
1.00%, 9/17/2024 (a) | 5,566,000 | 5,421,742 |
2.65%, 2/10/2025 (a) | 8,000,000 | 7,776,361 |
5.80%, 6/26/2025 (a) | 24,390,000 | 24,481,574 |
6.00%, 7/11/2025 (a) | 28,960,000 | 29,110,874 |
1.80%, 10/15/2025 (a) | 1,792,000 | 1,689,073 |
(SOFR + 1.32%), 6.65%, 11/3/2025 (a) (b) | 7,000,000 | 7,031,899 |
5.50%, 3/30/2026 (a) | 1,961,000 | 1,962,534 |
1.50%, 6/15/2026 (a) (c) | 2,659,000 | 2,433,354 |
1.65%, 9/17/2026 (a) | 1,451,000 | 1,322,499 |
5.25%, 1/8/2027 (a) | 44,239,000 | 44,081,007 |
Kia Corp. (South Korea) 1.00%, 4/16/2024 (a) | 12,580,000 | 12,501,123 |
Mercedes-Benz Finance North America LLC (Germany) | ||
0.75%, 3/1/2024 (a) | 1,065,000 | 1,065,000 |
4.90%, 1/9/2026 (a) | 84,449,000 | 84,142,089 |
1.45%, 3/2/2026 (a) | 6,330,000 | 5,883,015 |
Volkswagen Group of America Finance LLC (Germany) | ||
2.85%, 9/26/2024 (a) | 6,760,000 | 6,648,897 |
(SOFR + 0.93%), 6.30%, 9/12/2025 (a) (b) | 119,020,000 | 119,211,116 |
4.63%, 11/13/2025 (a) (c) | 5,008,000 | 4,941,558 |
1.25%, 11/24/2025 (a) | 12,208,000 | 11,367,896 |
3.20%, 9/26/2026 (a) | 9,504,000 | 9,027,408 |
458,540,728 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — 22.4% | ||
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 6.34%, 9/18/2027 (a) (b) | 30,000,000 | 30,509,393 |
ASB Bank Ltd. (New Zealand) 3.13%, 5/23/2024 (a) (c) | 6,755,000 | 6,715,044 |
Australia & New Zealand Banking Group Ltd. (Australia) | ||
4.83%, 2/3/2025 (a) | 23,413,000 | 23,316,737 |
5.38%, 7/3/2025 | 72,769,000 | 72,992,642 |
Banco Santander SA (Spain) | ||
3.89%, 5/24/2024 | 24,600,000 | 24,505,732 |
2.71%, 6/27/2024 | 13,555,000 | 13,422,189 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 5.74%, 6/30/2024 (b) | 66,257,000 | 66,267,846 |
3.50%, 3/24/2025 | 10,215,000 | 10,006,723 |
2.75%, 5/28/2025 | 30,937,000 | 29,852,532 |
Bank of America Corp. | ||
(SOFR + 0.41%), 5.78%, 6/14/2024 (b) | 85,060,000 | 85,038,735 |
(3-MONTH CME TERM SOFR + 0.97%), 3.46%, 3/15/2025 (b) | 2,992,000 | 2,989,618 |
(SOFR + 0.69%), 0.98%, 4/22/2025 (b) | 46,148,000 | 45,809,963 |
(SOFR + 1.11%), 3.84%, 4/25/2025 (b) | 75,312,000 | 75,081,951 |
(3-MONTH CME TERM SOFR + 1.35%), 3.09%, 10/1/2025 (b) | 2,383,000 | 2,347,300 |
(3-MONTH CME TERM SOFR + 0.90%), 2.02%, 2/13/2026 (b) | 15,000,000 | 14,491,567 |
(SOFR + 1.29%), 5.08%, 1/20/2027 (b) | 95,000,000 | 94,398,748 |
Bank of America NA (SOFR + 0.78%), 6.10%, 8/18/2025 (b) | 5,320,000 | 5,348,634 |
Bank of Montreal (Canada) | ||
5.30%, 6/5/2026 | 79,200,000 | 79,402,297 |
(SOFRINDX + 1.16%), 6.53%, 12/11/2026 (b) | 79,051,000 | 80,046,154 |
Bank of New Zealand (New Zealand) 4.85%, 2/7/2028 (a) | 75,000,000 | 74,206,535 |
Bank of Nova Scotia (The) (Canada) | ||
0.65%, 7/31/2024 | 7,304,000 | 7,159,867 |
1.45%, 1/10/2025 | 500,000 | 483,101 |
(SOFR + 0.46%), 5.81%, 1/10/2025 (b) | 32,900,000 | 32,927,522 |
5.45%, 6/12/2025 | 74,090,000 | 74,122,871 |
4.75%, 2/2/2026 | 67,362,000 | 66,829,080 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 175 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
1.05%, 3/2/2026 | 2,000,000 | 1,844,281 |
1.30%, 9/15/2026 | 8,539,000 | 7,778,342 |
Banque Federative du Credit Mutuel SA (France) | ||
4.94%, 1/26/2026 (a) | 84,097,000 | 83,488,768 |
5.90%, 7/13/2026 (a) | 106,402,000 | 107,788,041 |
5.09%, 1/23/2027 (a) (c) | 26,779,000 | 26,728,990 |
Barclays plc (United Kingdom) (3-MONTH SOFR + 1.61%), 3.93%, 5/7/2025 (b) | 34,200,000 | 34,067,391 |
BNP Paribas SA (France) 3.38%, 1/9/2025 (a) | 16,441,000 | 16,136,970 |
BPCE SA (France) | ||
4.00%, 4/15/2024 | 44,075,000 | 43,973,757 |
5.03%, 1/15/2025 (a) (c) | 119,399,000 | 118,547,228 |
(SOFR + 0.96%), 6.31%, 9/25/2025 (a) (b) | 113,486,000 | 114,257,024 |
5.10%, 1/26/2026 (a) | 66,344,000 | 66,062,250 |
5.20%, 1/18/2027 (a) | 18,677,000 | 18,667,866 |
Canadian Imperial Bank of Commerce (Canada) | ||
(SOFR + 0.94%), 6.29%, 4/7/2025 (b) | 95,598,000 | 96,150,512 |
5.14%, 4/28/2025 | 80,000,000 | 79,720,801 |
3.95%, 8/4/2025 | 226,000 | 221,568 |
Citigroup, Inc. | ||
(SOFR + 0.69%), 6.02%, 10/30/2024 (b) | 24,674,000 | 24,701,388 |
(SOFR + 0.67%), 0.98%, 5/1/2025 (b) | 18,466,000 | 18,304,590 |
(SOFR + 1.37%), 4.14%, 5/24/2025 (b) | 5,000,000 | 4,976,979 |
(SOFR + 0.53%), 1.28%, 11/3/2025 (b) | 37,295,000 | 36,144,872 |
3.70%, 1/12/2026 | 1,045,000 | 1,017,292 |
(SOFR + 0.69%), 2.01%, 1/25/2026 (b) | 20,768,000 | 20,065,272 |
(SOFR + 1.53%), 3.29%, 3/17/2026 (b) | 7,796,000 | 7,610,430 |
(3-MONTH CME TERM SOFR + 1.51%), 6.84%, 7/1/2026 (b) | 23,987,000 | 24,288,586 |
Citizens Bank NA (SOFR + 1.02%), 5.28%, 1/26/2026 (b) | 163,697,000 | 160,997,787 |
Commonwealth Bank of Australia (Australia) (SOFR + 0.74%), 6.11%, 3/14/2025 (a) (b) | 11,628,000 | 11,681,779 |
Credit Agricole SA (France) | ||
5.57%, 2/28/2025 (a) | 112,332,000 | 112,339,735 |
5.59%, 7/5/2026 (a) | 74,257,000 | 74,873,816 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
DNB Bank ASA (Norway) | ||
(SOFRINDX + 0.81%), 2.97%, 3/28/2025 (a) (b) | 1,400,000 | 1,397,181 |
(SOFRINDX + 1.95%), 5.90%, 10/9/2026 (a) (b) | 17,680,000 | 17,772,570 |
Federation des Caisses Desjardins du Quebec (Canada) | ||
0.70%, 5/21/2024 (a) (c) | 26,044,000 | 25,766,850 |
(SOFR + 0.43%), 5.75%, 5/21/2024 (a) (b) | 41,345,000 | 41,363,489 |
2.05%, 2/10/2025 (a) | 12,410,000 | 12,027,456 |
(SOFRINDX + 1.09%), 5.28%, 1/23/2026 (a) (b) | 203,120,000 | 201,986,468 |
Fifth Third Bancorp 2.55%, 5/5/2027 | 7,223,000 | 6,632,785 |
HSBC Holdings plc (United Kingdom) | ||
(3-MONTH CME TERM SOFR + 1.47%), 3.80%, 3/11/2025 (b) | 5,000,000 | 4,997,487 |
(SOFR + 0.71%), 0.98%, 5/24/2025 (b) | 82,670,000 | 81,735,264 |
(3-MONTH CME TERM SOFR + 1.40%), 2.63%, 11/7/2025 (b) | 84,049,000 | 82,199,687 |
HSBC USA, Inc. 5.63%, 3/17/2025 | 1,560,000 | 1,561,895 |
ING Groep NV (Netherlands) | ||
3.55%, 4/9/2024 | 34,170,000 | 34,088,697 |
(SOFR + 1.56%), 6.08%, 9/11/2027 (b) | 55,000,000 | 55,727,058 |
KeyBank NA | ||
(SOFRINDX + 0.32%), 5.69%, 6/14/2024 (b) | 68,003,000 | 67,764,799 |
5.85%, 11/15/2027 | 1,510,000 | 1,491,318 |
Lloyds Banking Group plc (United Kingdom) | ||
3.90%, 3/12/2024 | 11,510,000 | 11,504,887 |
4.45%, 5/8/2025 | 12,004,000 | 11,850,139 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.44%, 2/5/2026 (b) | 16,000,000 | 15,499,495 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.38%), 5.46%, 1/5/2028 (b) | 58,422,000 | 58,171,989 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
3.41%, 3/7/2024 | 1,191,000 | 1,190,781 |
2.19%, 2/25/2025 | 21,549,000 | 20,870,006 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.95%, 7/19/2025 (b) | 66,270,000 | 65,053,312 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.06%, 9/12/2025 (b) | 4,499,000 | 4,480,056 |
176 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 0.96%, 10/11/2025 (b) | 34,169,000 | 33,157,331 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 5.72%, 2/20/2026 (b) | 62,690,000 | 62,726,707 |
Mizuho Financial Group, Inc. (Japan) | ||
3.48%, 4/12/2026 (a) (c) | 1,565,000 | 1,506,718 |
(3-MONTH CME TERM SOFR + 1.09%), 2.23%, 5/25/2026 (b) | 8,000,000 | 7,672,951 |
Morgan Stanley Bank NA (SOFR + 1.08%), 4.95%, 1/14/2028 (b) | 34,562,000 | 34,387,225 |
National Australia Bank Ltd. (Australia) | ||
4.75%, 12/10/2025 | 23,828,000 | 23,714,520 |
(SOFR + 0.65%), 6.00%, 12/10/2025 (a) (b) | 44,601,000 | 44,767,059 |
(SOFR + 0.55%), 5.88%, 1/29/2026 (a) (b) | 104,000,000 | 103,984,547 |
National Bank of Canada (Canada) | ||
0.75%, 8/6/2024 | 7,390,000 | 7,232,849 |
5.25%, 1/17/2025 | 258,971,000 | 258,333,647 |
(SOFR + 1.01%), 3.75%, 6/9/2025 (b) | 68,074,000 | 67,657,434 |
NatWest Group plc (United Kingdom) | ||
(3-MONTH SOFR + 1.76%), 4.27%, 3/22/2025 (b) | 10,045,000 | 10,036,328 |
4.80%, 4/5/2026 | 3,350,000 | 3,308,593 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 5.85%, 3/2/2027 (b) (c) | 50,000,000 | 50,205,380 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 5.58%, 3/1/2028 (b) | 49,426,000 | 49,468,724 |
NatWest Markets plc (United Kingdom) | ||
0.80%, 8/12/2024 (a) | 14,463,000 | 14,151,686 |
(SOFR + 0.53%), 5.85%, 8/12/2024 (a) (b) | 30,695,000 | 30,708,614 |
PNC Financial Services Group, Inc. (The) (SOFRINDX + 1.09%), 4.76%, 1/26/2027 (b) | 81,210,000 | 80,233,135 |
Royal Bank of Canada (Canada) 4.88%, 1/19/2027 | 42,563,000 | 42,367,164 |
Societe Generale SA (France) | ||
3.88%, 3/28/2024 (a) | 21,608,000 | 21,572,347 |
2.63%, 10/16/2024 (a) | 10,595,000 | 10,387,762 |
2.63%, 1/22/2025 (a) | 77,079,000 | 74,887,425 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.23%, 1/21/2026 (a) (b) | 4,450,000 | 4,300,536 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.52%, 1/19/2028 (a) (b) | 99,000,000 | 97,901,693 |
Standard Chartered plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.88%), 1.21%, 3/23/2025 (a) (b) | 12,200,000 | 12,111,794 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.10%), 7.78%, 11/16/2025 (a) (b) | 2,850,000 | 2,887,449 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.95%), 1.82%, 11/23/2025 (a) (b) | 18,463,000 | 17,886,770 |
(SOFR + 1.74%), 7.10%, 3/30/2026 (a) (b) | 10,609,000 | 10,678,747 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.85%), 6.19%, 7/6/2027 (a) (b) | 45,000,000 | 45,329,400 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
2.35%, 1/15/2025 | 14,650,000 | 14,267,543 |
5.46%, 1/13/2026 | 25,879,000 | 25,973,562 |
Sumitomo Mitsui Trust Bank Ltd. (Japan) | ||
0.85%, 3/25/2024 (a) | 48,302,000 | 48,170,380 |
(SOFR + 0.44%), 5.81%, 9/16/2024 (a) (b) | 33,827,000 | 33,852,418 |
5.65%, 3/9/2026 (a) | 20,516,000 | 20,653,743 |
5.20%, 3/7/2027 (a) | 45,107,000 | 45,044,391 |
Svenska Handelsbanken AB (Sweden) 5.25%, 6/15/2026 (a) | 137,014,000 | 136,814,501 |
Toronto-Dominion Bank (The) (Canada) 1.20%, 6/3/2026 | 6,456,000 | 5,923,367 |
Wells Fargo & Co. | ||
(SOFR + 0.51%), 0.81%, 5/19/2025 (b) | 19,800,000 | 19,563,628 |
(SOFR + 1.32%), 3.91%, 4/25/2026 (b) | 24,500,000 | 24,022,784 |
(SOFR + 2.00%), 2.19%, 4/30/2026 (b) | 7,656,000 | 7,346,174 |
(SOFR + 1.56%), 4.54%, 8/15/2026 (b) | 500,000 | 493,092 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 177 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
Wells Fargo Bank NA | ||
4.81%, 1/15/2026 | 70,583,000 | 70,227,137 |
(SOFR + 1.07%), 6.44%, 12/11/2026 (b) | 37,507,000 | 37,933,860 |
Westpac Banking Corp. (Australia) (SOFR + 0.55%), 5.88%, 1/29/2026 (a) (b) | 103,539,000 | 103,532,658 |
Westpac New Zealand Ltd. (New Zealand) | ||
5.13%, 2/26/2027 (a) | 38,013,000 | 37,971,618 |
4.90%, 2/15/2028 (a) | 30,000,000 | 29,668,435 |
5,040,866,591 | ||
Beverages — 0.2% | ||
Constellation Brands, Inc. | ||
3.60%, 5/9/2024 | 22,819,000 | 22,726,657 |
4.75%, 11/15/2024 | 18,877,000 | 18,769,516 |
3.70%, 12/6/2026 | 3,941,000 | 3,795,929 |
Suntory Holdings Ltd. (Japan) 2.25%, 10/16/2024 (a) | 4,200,000 | 4,104,544 |
49,396,646 | ||
Biotechnology — 1.1% | ||
AbbVie, Inc. | ||
2.60%, 11/21/2024 | 56,357,000 | 55,190,497 |
3.80%, 3/15/2025 | 102,864,000 | 101,283,801 |
Amgen, Inc. | ||
1.90%, 2/21/2025 | 983,000 | 949,509 |
5.25%, 3/2/2025 | 92,163,000 | 91,934,436 |
2.60%, 8/19/2026 | 631,000 | 595,558 |
Gilead Sciences, Inc. 3.70%, 4/1/2024 | 4,950,000 | 4,941,084 |
254,894,885 | ||
Capital Markets — 3.9% | ||
Bank of New York Mellon Corp. (The) (SOFR + 1.35%), 4.41%, 7/24/2026 (b) | 11,494,000 | 11,336,016 |
Credit Suisse AG (Switzerland) | ||
4.75%, 8/9/2024 | 8,640,000 | 8,600,500 |
3.63%, 9/9/2024 | 16,089,000 | 15,929,369 |
Goldman Sachs Group, Inc. (The) | ||
4.00%, 3/3/2024 | 14,349,000 | 14,349,000 |
3.00%, 3/15/2024 | 64,873,000 | 64,812,664 |
3.85%, 7/8/2024 | 10,908,000 | 10,839,550 |
(SOFR + 0.49%), 5.83%, 10/21/2024 (b) | 38,732,000 | 38,750,591 |
3.50%, 1/23/2025 | 12,257,000 | 12,045,860 |
(3-MONTH CME TERM SOFR + 1.46%), 3.27%, 9/29/2025 (b) | 3,700,000 | 3,648,344 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Capital Markets — continued | ||
(SOFR + 0.61%), 0.86%, 2/12/2026 (b) | 2,575,000 | 2,457,565 |
3.75%, 2/25/2026 | 13,456,000 | 13,114,140 |
(SOFR + 1.07%), 6.39%, 8/10/2026 (b) | 34,982,000 | 35,151,282 |
(SOFR + 0.79%), 1.09%, 12/9/2026 (b) | 7,025,000 | 6,507,555 |
3.85%, 1/26/2027 | 50,000,000 | 48,286,413 |
Intercontinental Exchange, Inc. 3.65%, 5/23/2025 | 5,000,000 | 4,898,820 |
Macquarie Bank Ltd. (Australia) | ||
2.30%, 1/22/2025 (a) | 18,309,000 | 17,805,980 |
5.39%, 12/7/2026 (a) | 27,007,000 | 27,058,075 |
(SOFR + 1.20%), 6.58%, 12/7/2026 (a) (b) | 15,000,000 | 15,172,500 |
Morgan Stanley | ||
(SOFR + 0.51%), 5.85%, 1/22/2025 (b) | 2,958,000 | 2,960,603 |
(SOFR + 1.16%), 3.62%, 4/17/2025 (b) | 85,300,000 | 85,044,008 |
(SOFR + 0.53%), 0.79%, 5/30/2025 (b) | 76,634,000 | 75,555,424 |
(SOFR + 0.56%), 1.16%, 10/21/2025 (b) | 12,000,000 | 11,644,458 |
(SOFR + 0.72%), 0.99%, 12/10/2026 (b) | 6,000,000 | 5,535,836 |
(SOFR + 1.30%), 5.05%, 1/28/2027 (b) | 50,000,000 | 49,825,649 |
Nomura Holdings, Inc. (Japan) 5.10%, 7/3/2025 | 1,000,000 | 990,288 |
State Street Corp. (SOFR + 0.94%), 2.35%, 11/1/2025 (b) | 2,335,000 | 2,283,399 |
UBS AG (Switzerland) | ||
(SOFR + 0.45%), 5.78%, 8/9/2024 (a) (b) | 30,423,000 | 30,450,381 |
(SOFR + 0.93%), 6.30%, 9/11/2025 (b) | 70,430,000 | 70,840,889 |
UBS Group AG (Switzerland) | ||
3.75%, 3/26/2025 | 64,600,000 | 63,268,380 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 4.49%, 8/5/2025 (a) (b) | 110,199,000 | 109,488,649 |
(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (b) | 19,100,000 | 18,772,004 |
877,424,192 |
178 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Chemicals — 0.3% | ||
LyondellBasell Industries NV 5.75%, 4/15/2024 | 39,471,000 | 39,468,796 |
Nutrien Ltd. (Canada) 5.90%, 11/7/2024 | 726,000 | 726,960 |
Sherwin-Williams Co. (The) | ||
3.13%, 6/1/2024 | 1,881,000 | 1,868,110 |
4.05%, 8/8/2024 | 13,400,000 | 13,298,584 |
Westlake Corp. | ||
0.88%, 8/15/2024 | 6,993,000 | 6,834,542 |
3.60%, 8/15/2026 | 2,915,000 | 2,804,602 |
65,001,594 | ||
Commercial Services & Supplies — 0.5% | ||
Element Fleet Management Corp. (Canada) | ||
1.60%, 4/6/2024 (a) | 44,978,000 | 44,781,673 |
6.27%, 6/26/2026 (a) (c) | 67,601,000 | 68,204,794 |
112,986,467 | ||
Communications Equipment — 0.1% | ||
Cisco Systems, Inc. 4.80%, 2/26/2027 | 16,103,000 | 16,116,398 |
Consumer Finance — 5.4% | ||
AerCap Ireland Capital DAC (Ireland) 1.65%, 10/29/2024 | 172,797,000 | 168,125,357 |
American Express Co. | ||
3.38%, 5/3/2024 | 13,210,000 | 13,153,668 |
4.90%, 2/13/2026 | 1,000,000 | 996,804 |
(SOFR + 1.00%), 4.99%, 5/1/2026 (b) | 1,038,000 | 1,031,910 |
3.30%, 5/3/2027 | 39,917,000 | 37,837,683 |
5.85%, 11/5/2027 | 19,076,000 | 19,585,389 |
(SOFR + 1.00%), 5.10%, 2/16/2028 (b) | 24,600,000 | 24,507,246 |
American Honda Finance Corp. | ||
(SOFRINDX + 0.62%), 5.95%, 6/7/2024 (b) | 19,056,000 | 19,073,302 |
0.75%, 8/9/2024 | 5,630,000 | 5,515,706 |
(SOFRINDX + 0.70%), 6.02%, 11/22/2024 (b) | 35,646,000 | 35,732,620 |
(SOFR + 0.55%), 5.87%, 2/12/2025 (b) | 21,064,000 | 21,100,066 |
Series A, 4.60%, 4/17/2025 | 17,885,000 | 17,761,379 |
(SOFRINDX + 0.78%), 6.12%, 4/23/2025 (b) | 8,400,000 | 8,434,399 |
5.00%, 5/23/2025 | 134,270,000 | 133,893,581 |
Avolon Holdings Funding Ltd. (Ireland) | ||
3.95%, 7/1/2024 (a) | 1,500,000 | 1,485,832 |
2.88%, 2/15/2025 (a) | 23,617,000 | 22,865,035 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Consumer Finance — continued | ||
Capital One Financial Corp. | ||
3.20%, 2/5/2025 | 4,903,000 | 4,794,072 |
(SOFR + 1.29%), 2.64%, 3/3/2026 (b) | 27,974,000 | 27,129,122 |
(SOFR + 2.16%), 4.99%, 7/24/2026 (b) | 8,298,000 | 8,222,220 |
(SOFR + 0.86%), 1.88%, 11/2/2027 (b) | 21,014,000 | 19,073,181 |
Caterpillar Financial Services Corp. (SOFR + 0.45%), 5.77%, 11/14/2024 (b) | 127,335,000 | 127,548,543 |
General Motors Financial Co., Inc. | ||
1.05%, 3/8/2024 | 18,436,000 | 18,426,390 |
3.95%, 4/13/2024 | 15,000,000 | 14,962,038 |
1.20%, 10/15/2024 | 11,003,000 | 10,699,269 |
John Deere Capital Corp. | ||
(SOFR + 0.50%), 5.84%, 7/3/2025 (b) | 52,201,000 | 52,322,064 |
(SOFR + 0.48%), 5.81%, 10/22/2025 (b) | 102,324,000 | 102,514,016 |
Toyota Motor Credit Corp. | ||
(SOFR + 0.52%), 5.83%, 8/22/2024 (b) | 112,607,000 | 112,783,568 |
(SOFR + 0.55%), 5.87%, 10/16/2024 (b) | 114,534,000 | 114,796,283 |
(SOFR + 0.65%), 6.00%, 1/5/2026 (b) | 75,000,000 | 75,182,335 |
1,219,553,078 | ||
Consumer Staples Distribution & Retail — 0.0% ^ | ||
7-Eleven, Inc. 0.95%, 2/10/2026 (a) | 2,469,000 | 2,275,335 |
Dollar General Corp. 3.88%, 4/15/2027 | 519,000 | 499,299 |
2,774,634 | ||
Containers & Packaging — 0.1% | ||
Avery Dennison Corp. 0.85%, 8/15/2024 | 15,000,000 | 14,663,532 |
Sonoco Products Co. 1.80%, 2/1/2025 | 2,000,000 | 1,928,798 |
16,592,330 | ||
Diversified REITs — 0.3% | ||
WP Carey, Inc. | ||
4.60%, 4/1/2024 | 3,353,000 | 3,347,771 |
4.00%, 2/1/2025 | 61,782,000 | 60,772,055 |
64,119,826 | ||
Diversified Telecommunication Services — 0.2% | ||
AT&T, Inc. 0.90%, 3/25/2024 | 13,381,000 | 13,341,869 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 179 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Diversified Telecommunication Services — continued | ||
Bell Canada (The) (Canada) Series US-3, 0.75%, 3/17/2024 | 9,947,000 | 9,924,123 |
NBN Co. Ltd. (Australia) 0.88%, 10/8/2024 (a) | 750,000 | 728,790 |
Telstra Corp. Ltd. (Australia) 3.13%, 4/7/2025 (a) | 14,950,000 | 14,588,261 |
Verizon Communications, Inc. 3.38%, 2/15/2025 | 631,000 | 618,666 |
39,201,709 | ||
Electric Utilities — 3.1% | ||
American Electric Power Co., Inc. Series N, 1.00%, 11/1/2025 | 1,461,000 | 1,357,871 |
Arizona Public Service Co. 2.55%, 9/15/2026 | 1,170,000 | 1,092,453 |
Cleveland Electric Illuminating Co. (The) 5.50%, 8/15/2024 | 26,109,000 | 26,082,821 |
Duke Energy Corp. | ||
5.00%, 12/8/2025 | 1,004,000 | 1,000,590 |
2.65%, 9/1/2026 | 747,000 | 702,743 |
4.85%, 1/5/2027 | 82,342,000 | 81,724,650 |
Emera US Finance LP (Canada) 0.83%, 6/15/2024 | 11,121,000 | 10,941,868 |
Enel Finance International NV (Italy) | ||
2.65%, 9/10/2024 (a) | 9,700,000 | 9,541,842 |
4.25%, 6/15/2025 (a) (c) | 14,133,000 | 13,888,989 |
6.80%, 10/14/2025 (a) | 27,022,000 | 27,547,492 |
1.38%, 7/12/2026 (a) | 3,005,000 | 2,737,932 |
Entergy Corp. | ||
0.90%, 9/15/2025 | 1,163,000 | 1,087,033 |
2.95%, 9/1/2026 | 699,000 | 663,354 |
Evergy, Inc. 2.45%, 9/15/2024 | 80,026,000 | 78,527,836 |
Eversource Energy | ||
4.20%, 6/27/2024 | 44,805,000 | 44,588,495 |
5.00%, 1/1/2027 | 18,266,000 | 18,146,610 |
Exelon Corp. | ||
3.40%, 4/15/2026 | 5,956,000 | 5,734,492 |
2.75%, 3/15/2027 | 3,246,000 | 3,019,518 |
Georgia Power Co. | ||
Series A, 2.20%, 9/15/2024 | 37,878,000 | 37,157,485 |
(SOFRINDX + 0.75%), 6.08%, 5/8/2025 (b) | 52,192,000 | 52,337,555 |
5.00%, 2/23/2027 | 10,752,000 | 10,731,752 |
Interstate Power and Light Co. 3.25%, 12/1/2024 | 6,238,000 | 6,130,863 |
ITC Holdings Corp. 3.65%, 6/15/2024 | 4,775,000 | 4,745,741 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Electric Utilities — continued | ||
NextEra Energy Capital Holdings, Inc. | ||
4.20%, 6/20/2024 | 1,088,000 | 1,082,744 |
4.26%, 9/1/2024 | 34,871,000 | 34,602,916 |
6.05%, 3/1/2025 | 19,458,000 | 19,527,977 |
5.75%, 9/1/2025 | 35,823,000 | 36,014,349 |
4.95%, 1/29/2026 | 96,815,000 | 96,059,171 |
1.88%, 1/15/2027 | 1,424,000 | 1,299,315 |
3.55%, 5/1/2027 | 944,000 | 898,349 |
Niagara Mohawk Power Corp. 3.51%, 10/1/2024 (a) | 9,869,000 | 9,729,077 |
Pinnacle West Capital Corp. 1.30%, 6/15/2025 | 190,000 | 180,341 |
PPL Capital Funding, Inc. 3.10%, 5/15/2026 | 1,308,000 | 1,246,923 |
Southwestern Electric Power Co. Series K, 2.75%, 10/1/2026 | 460,000 | 431,845 |
Tampa Electric Co. 3.88%, 7/12/2024 | 16,877,000 | 16,767,110 |
Virginia Power Fuel Securitization LLC Series A-1, 5.09%, 5/1/2027 | 45,553,000 | 45,388,881 |
702,718,983 | ||
Electronic Equipment, Instruments & Components — 0.3% | ||
Amphenol Corp. 3.20%, 4/1/2024 | 15,475,000 | 15,446,448 |
TD SYNNEX Corp. 1.25%, 8/9/2024 | 24,822,000 | 24,326,155 |
Teledyne Technologies, Inc. 0.95%, 4/1/2024 | 31,122,000 | 30,988,245 |
70,760,848 | ||
Energy Equipment & Services — 0.0% ^ | ||
Schlumberger Holdings Corp. 4.00%, 12/21/2025 (a) | 5,937,000 | 5,812,939 |
Entertainment — 0.1% | ||
Netflix, Inc. 5.88%, 2/15/2025 | 2,001,000 | 2,006,982 |
Take-Two Interactive Software, Inc. | ||
3.30%, 3/28/2024 | 968,000 | 966,312 |
3.55%, 4/14/2025 | 15,997,000 | 15,669,031 |
5.00%, 3/28/2026 | 8,706,000 | 8,658,473 |
27,300,798 | ||
Financial Services — 1.4% | ||
Citigroup Global Markets Holdings, Inc. 0.75%, 6/7/2024 | 29,285,000 | 28,860,460 |
Corebridge Financial, Inc. 3.50%, 4/4/2025 | 6,835,000 | 6,675,590 |
EDP Finance BV (Portugal) 3.63%, 7/15/2024 (a) | 61,376,000 | 60,832,509 |
180 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Financial Services — continued | ||
Fidelity National Information Services, Inc. 0.60%, 3/1/2024 | 961,000 | 961,000 |
Fiserv, Inc. | ||
2.75%, 7/1/2024 | 27,532,000 | 27,257,565 |
3.85%, 6/1/2025 | 5,718,000 | 5,603,335 |
3.20%, 7/1/2026 | 10,000,000 | 9,555,043 |
Global Payments, Inc. 2.65%, 2/15/2025 | 98,038,000 | 95,137,628 |
National Rural Utilities Cooperative Finance Corp. (SOFR + 0.70%), 6.03%, 5/7/2025 (b) | 38,872,000 | 39,033,638 |
NTT Finance Corp. (Japan) | ||
0.58%, 3/1/2024 (a) | 320,000 | 320,000 |
1.16%, 4/3/2026 (a) | 776,000 | 714,850 |
Siemens Financieringsmaatschappij NV (Germany) (SOFR + 0.43%), 5.80%, 3/11/2024 (a) (b) | 34,774,000 | 34,775,136 |
309,726,754 | ||
Food Products — 0.2% | ||
Campbell Soup Co. | ||
3.95%, 3/15/2025 | 7,004,000 | 6,891,753 |
3.30%, 3/19/2025 | 1,695,000 | 1,654,523 |
Conagra Brands, Inc. 4.30%, 5/1/2024 | 4,409,000 | 4,398,910 |
General Mills, Inc. | ||
4.00%, 4/17/2025 | 1,271,000 | 1,250,699 |
4.70%, 1/30/2027 | 14,835,000 | 14,692,367 |
Mondelez International Holdings Netherlands BV | ||
2.25%, 9/19/2024 (a) | 628,000 | 616,028 |
0.75%, 9/24/2024 (a) | 5,991,000 | 5,826,048 |
Tyson Foods, Inc. 4.00%, 3/1/2026 | 3,004,000 | 2,932,837 |
38,263,165 | ||
Ground Transportation — 0.5% | ||
Canadian Pacific Railway Co. (Canada) 1.35%, 12/2/2024 | 5,933,000 | 5,747,551 |
Penske Truck Leasing Co. LP | ||
3.45%, 7/1/2024 (a) | 4,000,000 | 3,968,540 |
2.70%, 11/1/2024 (a) | 15,544,000 | 15,227,351 |
3.95%, 3/10/2025 (a) | 7,034,000 | 6,900,609 |
5.75%, 5/24/2026 (a) | 54,563,000 | 54,846,195 |
3.40%, 11/15/2026 (a) | 4,558,000 | 4,315,688 |
5.35%, 1/12/2027 (a) | 24,679,000 | 24,610,049 |
115,615,983 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Health Care Equipment & Supplies — 0.1% | ||
Baxter International, Inc. 2.60%, 8/15/2026 | 5,000,000 | 4,690,587 |
Becton Dickinson & Co. | ||
3.36%, 6/6/2024 | 1,072,000 | 1,065,033 |
3.73%, 12/15/2024 | 25,882,000 | 25,519,756 |
Zimmer Biomet Holdings, Inc. 1.45%, 11/22/2024 | 585,000 | 567,527 |
31,842,903 | ||
Health Care Providers & Services — 0.8% | ||
Cardinal Health, Inc. 3.08%, 6/15/2024 | 44,340,000 | 43,978,054 |
Cigna Group (The) | ||
3.50%, 6/15/2024 | 17,569,000 | 17,442,368 |
3.25%, 4/15/2025 | 3,050,000 | 2,977,006 |
4.50%, 2/25/2026 | 3,047,000 | 3,004,623 |
1.25%, 3/15/2026 | 1,663,000 | 1,536,276 |
CVS Health Corp. 5.00%, 2/20/2026 | 4,792,000 | 4,770,252 |
Elevance Health, Inc. | ||
3.35%, 12/1/2024 | 11,000,000 | 10,813,150 |
2.38%, 1/15/2025 | 82,584,000 | 80,340,098 |
1.50%, 3/15/2026 | 3,000,000 | 2,786,954 |
Laboratory Corp. of America Holdings 3.25%, 9/1/2024 | 1,356,000 | 1,338,567 |
168,987,348 | ||
Health Care REITs — 0.2% | ||
Healthpeak OP LLC 3.40%, 2/1/2025 | 4,510,000 | 4,416,975 |
Ventas Realty LP 3.50%, 2/1/2025 | 20,015,000 | 19,611,110 |
Welltower OP LLC 3.63%, 3/15/2024 | 13,150,000 | 13,138,427 |
37,166,512 | ||
Hotels, Restaurants & Leisure — 0.2% | ||
Marriott International, Inc. | ||
Series EE, 5.75%, 5/1/2025 | 2,000,000 | 2,007,216 |
5.45%, 9/15/2026 | 42,438,000 | 42,626,517 |
44,633,733 | ||
Insurance — 5.0% | ||
Aon North America, Inc. 5.13%, 3/1/2027 | 24,376,000 | 24,358,320 |
Athene Global Funding | ||
1.00%, 4/16/2024 (a) | 21,061,000 | 20,934,468 |
(SOFRINDX + 0.70%), 6.01%, 5/24/2024 (a) (b) | 55,521,000 | 55,562,022 |
2.75%, 6/25/2024 (a) | 1,094,000 | 1,082,630 |
Brighthouse Financial Global Funding | ||
1.00%, 4/12/2024 (a) | 7,007,000 | 6,968,390 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 181 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Insurance — continued | ||
1.75%, 1/13/2025 (a) | 18,888,000 | 18,212,312 |
CNA Financial Corp. 4.50%, 3/1/2026 | 3,750,000 | 3,690,017 |
Corebridge Global Funding | ||
0.65%, 6/17/2024 (a) | 24,278,000 | 23,917,437 |
5.75%, 7/2/2026 (a) | 34,554,000 | 34,580,202 |
(SOFR + 1.30%), 6.66%, 9/25/2026 (a) (b) | 88,857,000 | 89,251,322 |
Equitable Financial Life Global Funding 1.10%, 11/12/2024 (a) | 4,277,000 | 4,138,009 |
Jackson National Life Global Funding | ||
2.65%, 6/21/2024 (a) | 8,651,000 | 8,562,909 |
1.75%, 1/12/2025 (a) | 4,116,000 | 3,975,524 |
MassMutual Global Funding II (SOFR + 0.98%), 6.33%, 7/10/2026 (a) (b) | 113,952,000 | 114,656,223 |
Met Tower Global Funding 4.85%, 1/16/2027 (a) (c) | 36,092,000 | 36,006,121 |
New York Life Global Funding | ||
3.86%, 8/26/2024 (a) | 179,360,000 | 177,927,014 |
(SOFRINDX + 0.58%), 5.92%, 1/16/2026 (a) (b) | 134,932,000 | 135,323,438 |
Pacific Life Global Funding II | ||
(SOFRINDX + 0.86%), 6.23%, 6/16/2025 (a) (b) | 7,205,000 | 7,248,230 |
1.20%, 6/24/2025 (a) | 1,500,000 | 1,423,469 |
(SOFRINDX + 1.05%), 6.38%, 7/28/2026 (a) (b) | 55,983,000 | 56,273,155 |
Principal Life Global Funding II | ||
1.25%, 6/23/2025 (a) | 3,500,000 | 3,319,957 |
(SOFR + 0.90%), 6.21%, 8/28/2025 (a) (b) | 64,631,000 | 64,899,058 |
5.00%, 1/16/2027 (a) | 14,849,000 | 14,879,588 |
Protective Life Global Funding 4.99%, 1/12/2027 (a) | 37,334,000 | 37,228,915 |
Reliance Standard Life Global Funding II | ||
2.50%, 10/30/2024 (a) | 3,544,000 | 3,460,468 |
5.24%, 2/2/2026 (a) | 169,725,000 | 166,861,396 |
1,114,740,594 | ||
Life Sciences Tools & Services — 0.1% | ||
Thermo Fisher Scientific, Inc. 1.22%, 10/18/2024 | 33,740,000 | 32,853,827 |
Machinery — 0.9% | ||
Daimler Truck Finance North America LLC (Germany) | ||
(SOFR + 1.00%), 6.35%, 4/5/2024 (a) (b) | 58,479,000 | 58,512,073 |
1.63%, 12/13/2024 (a) | 3,099,000 | 3,005,091 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Machinery — continued | ||
5.20%, 1/17/2025 (a) | 38,702,000 | 38,586,402 |
3.50%, 4/7/2025 (a) | 12,489,000 | 12,220,491 |
5.60%, 8/8/2025 (a) | 17,943,000 | 17,984,315 |
5.15%, 1/16/2026 (a) | 10,998,000 | 10,964,283 |
2.00%, 12/14/2026 (a) | 10,000,000 | 9,173,129 |
5.00%, 1/15/2027 (a) | 18,892,000 | 18,819,835 |
3.65%, 4/7/2027 (a) | 2,950,000 | 2,830,148 |
Otis Worldwide Corp. 2.06%, 4/5/2025 | 2,000,000 | 1,927,302 |
Parker-Hannifin Corp. 3.65%, 6/15/2024 | 18,763,000 | 18,655,437 |
Stanley Black & Decker, Inc. 2.30%, 2/24/2025 | 5,000,000 | 4,844,501 |
197,523,007 | ||
Media — 0.1% | ||
Cox Communications, Inc. 3.35%, 9/15/2026 (a) | 515,000 | 489,867 |
Omnicom Group, Inc. 3.65%, 11/1/2024 | 15,058,000 | 14,862,864 |
15,352,731 | ||
Metals & Mining — 0.4% | ||
Anglo American Capital plc (South Africa) 3.63%, 9/11/2024 (a) | 5,501,000 | 5,419,090 |
Glencore Funding LLC (Australia) | ||
4.13%, 3/12/2024 (a) | 30,550,000 | 30,537,484 |
4.63%, 4/29/2024 (a) | 45,008,000 | 44,908,521 |
80,865,095 | ||
Multi-Utilities — 1.1% | ||
Ameren Corp. | ||
2.50%, 9/15/2024 | 21,911,000 | 21,553,201 |
1.95%, 3/15/2027 | 2,702,000 | 2,469,098 |
CenterPoint Energy, Inc. | ||
(SOFRINDX + 0.65%), 5.97%, 5/13/2024 (b) | 17,869,000 | 17,871,822 |
2.50%, 9/1/2024 | 25,000,000 | 24,591,730 |
DTE Energy Co. | ||
Series C, 2.53%, 10/1/2024 (d) | 41,505,000 | 40,706,221 |
4.22%, 11/1/2024 (d) | 39,195,000 | 38,771,425 |
2.85%, 10/1/2026 | 3,215,000 | 3,027,898 |
NiSource, Inc. 3.49%, 5/15/2027 | 4,155,000 | 3,948,750 |
Public Service Enterprise Group, Inc. 2.88%, 6/15/2024 | 41,291,000 | 40,934,016 |
WEC Energy Group, Inc. 0.80%, 3/15/2024 | 53,348,000 | 53,264,906 |
247,139,067 |
182 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — 2.1% | ||
ConocoPhillips Co. 2.40%, 3/7/2025 | 547,000 | 531,401 |
Enbridge, Inc. (Canada) | ||
3.50%, 6/10/2024 | 28,069,000 | 27,894,509 |
2.50%, 1/15/2025 | 39,608,000 | 38,602,735 |
Energy Transfer LP 4.75%, 1/15/2026 | 103,000 | 101,809 |
Enterprise Products Operating LLC 4.60%, 1/11/2027 | 71,564,000 | 71,045,508 |
Kinder Morgan Energy Partners LP 4.30%, 5/1/2024 | 3,463,000 | 3,452,038 |
Magellan Midstream Partners LP 5.00%, 3/1/2026 | 3,435,000 | 3,408,746 |
Marathon Petroleum Corp. 3.63%, 9/15/2024 | 9,400,000 | 9,294,304 |
MPLX LP 4.88%, 12/1/2024 | 37,000,000 | 36,788,027 |
ONEOK, Inc. 2.75%, 9/1/2024 | 17,009,000 | 16,741,899 |
Phillips 66 3.85%, 4/9/2025 | 392,000 | 385,313 |
Pioneer Natural Resources Co. 5.10%, 3/29/2026 | 28,294,000 | 28,263,217 |
Sabine Pass Liquefaction LLC 5.75%, 5/15/2024 | 5,107,000 | 5,103,959 |
Spectra Energy Partners LP | ||
4.75%, 3/15/2024 | 24,217,000 | 24,197,635 |
3.50%, 3/15/2025 | 3,762,000 | 3,687,226 |
TransCanada PipeLines Ltd. (Canada) 1.00%, 10/12/2024 | 53,742,000 | 52,193,640 |
Williams Cos., Inc. (The) | ||
4.30%, 3/4/2024 | 28,883,000 | 28,883,000 |
4.55%, 6/24/2024 | 89,955,000 | 89,552,636 |
3.90%, 1/15/2025 | 31,273,000 | 30,812,855 |
470,940,457 | ||
Paper & Forest Products — 0.0% ^ | ||
Georgia-Pacific LLC | ||
0.63%, 5/15/2024 (a) | 4,670,000 | 4,623,628 |
0.95%, 5/15/2026 (a) (c) | 3,897,000 | 3,562,851 |
8,186,479 | ||
Personal Care Products — 0.1% | ||
Haleon UK Capital plc 3.13%, 3/24/2025 | 16,322,000 | 15,917,098 |
Pharmaceuticals — 0.2% | ||
Bayer US Finance II LLC (Germany) | ||
3.38%, 7/15/2024 (a) | 3,651,000 | 3,613,740 |
4.25%, 12/15/2025 (a) | 6,140,000 | 5,969,952 |
Bayer US Finance LLC (Germany) 3.38%, 10/8/2024 (a) | 3,000,000 | 2,950,045 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pharmaceuticals — continued | ||
Bristol-Myers Squibb Co. (SOFR + 0.49%), 5.81%, 2/20/2026 (b) | 33,658,000 | 33,778,212 |
EMD Finance LLC (Germany) 3.25%, 3/19/2025 (a) | 3,730,000 | 3,645,985 |
49,957,934 | ||
Professional Services — 0.1% | ||
Equifax, Inc. 2.60%, 12/1/2024 | 18,677,000 | 18,256,614 |
Semiconductors & Semiconductor Equipment — 0.4% | ||
Microchip Technology, Inc. | ||
0.98%, 9/1/2024 | 3,859,000 | 3,766,349 |
4.25%, 9/1/2025 | 13,591,000 | 13,337,256 |
NXP BV (China) | ||
4.88%, 3/1/2024 | 64,066,000 | 64,066,000 |
3.88%, 6/18/2026 | 168,000 | 162,501 |
81,332,106 | ||
Software — 0.1% | ||
Oracle Corp. 2.50%, 4/1/2025 | 11,687,000 | 11,314,084 |
Roper Technologies, Inc. 2.35%, 9/15/2024 | 5,680,000 | 5,577,874 |
VMware LLC 1.00%, 8/15/2024 | 7,113,000 | 6,959,715 |
23,851,673 | ||
Specialized REITs — 0.1% | ||
American Tower Corp. | ||
2.95%, 1/15/2025 | 2,868,000 | 2,802,665 |
2.40%, 3/15/2025 | 12,201,000 | 11,795,120 |
4.40%, 2/15/2026 | 5,314,000 | 5,225,766 |
1.60%, 4/15/2026 | 6,221,000 | 5,760,954 |
Crown Castle, Inc. 4.45%, 2/15/2026 | 8,426,000 | 8,267,817 |
33,852,322 | ||
Specialty Retail — 0.0% ^ | ||
AutoZone, Inc. | ||
3.25%, 4/15/2025 | 1,643,000 | 1,604,631 |
3.63%, 4/15/2025 | 534,000 | 524,202 |
3.75%, 6/1/2027 | 3,204,000 | 3,077,700 |
Lowe's Cos., Inc. | ||
3.13%, 9/15/2024 | 2,974,000 | 2,934,705 |
3.38%, 9/15/2025 | 2,000,000 | 1,946,319 |
10,087,557 | ||
Technology Hardware, Storage & Peripherals — 0.6% | ||
Dell International LLC | ||
4.00%, 7/15/2024 | 2,000,000 | 1,986,495 |
5.85%, 7/15/2025 | 3,351,000 | 3,365,799 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 183 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Technology Hardware, Storage & Peripherals — continued | ||
6.02%, 6/15/2026 | 3,129,000 | 3,163,322 |
4.90%, 10/1/2026 | 1,941,000 | 1,923,207 |
Hewlett Packard Enterprise Co. | ||
1.45%, 4/1/2024 | 37,209,000 | 37,079,132 |
5.90%, 10/1/2024 | 86,671,000 | 86,767,922 |
134,285,877 | ||
Tobacco — 0.3% | ||
Altria Group, Inc. 2.35%, 5/6/2025 | 4,665,000 | 4,504,713 |
BAT Capital Corp. (United Kingdom) | ||
3.22%, 8/15/2024 | 55,242,000 | 54,590,106 |
2.79%, 9/6/2024 | 9,067,000 | 8,927,678 |
68,022,497 | ||
Trading Companies & Distributors — 0.2% | ||
Air Lease Corp. 0.80%, 8/18/2024 | 39,030,000 | 38,119,779 |
TTX Co. 5.50%, 9/25/2026 (a) | 3,705,000 | 3,715,083 |
41,834,862 | ||
Transportation Infrastructure — 0.0% ^ | ||
Sydney Airport Finance Co. Pty. Ltd. (Australia) 3.63%, 4/28/2026 (a) | 6,970,000 | 6,705,755 |
Water Utilities — 0.0% ^ | ||
American Water Capital Corp. 3.40%, 3/1/2025 | 2,434,000 | 2,385,761 |
Wireless Telecommunication Services — 0.0% ^ | ||
T-Mobile USA, Inc. 3.50%, 4/15/2025 | 6,762,000 | 6,610,509 |
Total Corporate Bonds (Cost $12,487,388,839) | 12,475,017,355 | |
Asset-Backed Securities — 11.2% | ||
522 Funding CLO Ltd. (Cayman Islands) Series 2019-4A, Class AR, 6.66%, 4/20/2030 (a) (e) | 25,004,604 | 25,004,254 |
AIMCO CLO (Cayman Islands) | ||
Series 2018-AA, Class A, 6.60%, 4/17/2031 (a) (e) | 18,017,792 | 18,057,431 |
Series 2018-BA, Class AR, 6.68%, 1/15/2032 (a) (e) | 5,750,000 | 5,748,563 |
AIMCO CLO Ltd. (Cayman Islands) | ||
Series 2020-12A, Class XR, 6.17%, 1/17/2032 (a) (e) | 2,533,333 | 2,532,153 |
Series 2020-12A, Class AR, 6.49%, 1/17/2032 (a) (e) | 3,689,000 | 3,690,151 |
Series 2019-10A, Class AR, 6.64%, 7/22/2032 (a) (e) | 10,000,000 | 10,006,590 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Ally Auto Receivables Trust Series 2022-3, Class A3, 5.07%, 4/15/2027 | 6,250,000 | 6,230,479 |
Anchorage Capital CLO Ltd. (Cayman Islands) Series 2016-9A, Class XR, 6.53%, 7/15/2032 (a) (e) | 250,000 | 249,948 |
Apidos CLO (Cayman Islands) | ||
Series 2016-24A, Class A1AL, 6.53%, 10/20/2030 (a) (e) | 47,360,053 | 47,403,198 |
Series 2018-18A, Class AR, 0.00%, 10/22/2030 (a) (e) (f) | 40,000,000 | 40,021,520 |
Series 2019-31A, Class A1R, 6.68%, 4/15/2031 (a) (e) | 28,565,000 | 28,613,789 |
Ares CLO Ltd. (Cayman Islands) | ||
Series 2016-40A, Class A1RR, 6.45%, 1/15/2029 (a) (e) | 15,488,616 | 15,495,632 |
Series 2013-2A, Class XR2, 6.53%, 10/28/2034 (a) (e) | 2,750,000 | 2,749,747 |
ARI Fleet Lease Trust Series 2023-A, Class A2, 5.41%, 2/17/2032 (a) | 10,296,510 | 10,271,751 |
Atlas Senior Loan Fund Ltd. (Cayman Islands) Series 2021-18A, Class X, 6.41%, 1/18/2035 (a) (e) | 1,066,667 | 1,066,044 |
Bain Capital Credit CLO (Cayman Islands) Series 2019-1A, Class X, 6.40%, 4/19/2034 (a) (e) | 2,700,000 | 2,698,855 |
Bain Capital Credit CLO Ltd. (Cayman Islands) Series 2020-3A, Class X, 6.43%, 10/23/2034 (a) (e) | 1,760,000 | 1,759,426 |
Ballyrock CLO Ltd. (Cayman Islands) | ||
Series 2020-2A, Class A1R, 6.59%, 10/20/2031 (a) (e) | 20,442,347 | 20,445,087 |
Series 2019-1A, Class A1R, 6.61%, 7/15/2032 (a) (e) | 42,764,000 | 42,850,512 |
Bank of America Auto Trust Series 2023-2A, Class A2, 5.85%, 8/17/2026 (a) | 76,409,000 | 76,659,461 |
Barings CLO Ltd. (Cayman Islands) Series 2018-3A, Class A1, 6.53%, 7/20/2029 (a) (e) | 551,799 | 551,880 |
BMW Vehicle Lease Trust Series 2024-1, Class A2A, 5.10%, 7/27/2026 | 54,063,000 | 53,962,583 |
BMW Vehicle Owner Trust Series 2023-A, Class A2A, 5.72%, 4/27/2026 | 38,810,322 | 38,845,814 |
Buckhorn Park CLO Ltd. (Cayman Islands) Series 2019-1A, Class XR, 6.21%, 7/18/2034 (a) (e) | 833,330 | 833,096 |
Capital One Prime Auto Receivables Trust Series 2021-1, Class A3, 0.77%, 9/15/2026 | 10,427,724 | 10,120,260 |
184 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands) | ||
Series 2015-1A, Class AR3, 6.56%, 7/20/2031 (a) (e) | 6,954,527 | 6,964,826 |
Series 2015-4A, Class A1R, 6.92%, 7/20/2032 (a) (e) | 5,000,000 | 5,017,500 |
CCG Receivables Trust Series 2023-2, Class A2, 6.28%, 4/14/2032 (a) | 12,000,000 | 12,145,955 |
Cedar Funding II CLO Ltd. (Cayman Islands) Series 2013-1A, Class AXR, 6.43%, 4/20/2034 (a) (e) | 1,151,786 | 1,149,763 |
Chesapeake Funding LLC (Canada) Series 2023-2A, Class A1, 6.16%, 10/15/2035 (a) | 12,574,750 | 12,650,929 |
CIFC Funding Ltd. (Cayman Islands) | ||
Series 2017-5A, Class A1, 6.76%, 11/16/2030 (a) (e) | 21,234,111 | 21,261,461 |
Series 2018-4A, Class A1, 6.73%, 10/17/2031 (a) (e) | 12,018,730 | 12,024,331 |
Citibank Credit Card Issuance Trust Series 2023-A2, Class A2, 5.96%, 12/8/2027 (e) | 65,328,000 | 65,536,860 |
CNH Equipment Trust Series 2024-A, Class A2, 5.19%, 7/15/2027 | 42,055,000 | 41,985,189 |
Dell Equipment Finance Trust | ||
Series 2022-1, Class A3, 2.49%, 8/23/2027 (a) | 6,315,953 | 6,271,273 |
Series 2023-1, Class A3, 5.65%, 9/22/2028 (a) | 9,224,000 | 9,252,086 |
Series 2023-2, Class A2, 5.84%, 1/22/2029 (a) | 23,413,000 | 23,438,382 |
Series 2023-3, Class A2, 6.10%, 4/23/2029 (a) | 38,840,000 | 38,991,484 |
Dewolf Park CLO Ltd. Series 2017-1A, Class AR, 6.50%, 10/15/2030 (a) (e) | 21,649,370 | 21,660,801 |
Dryden CLO Ltd. (Cayman Islands) Series 2018-58A, Class A1, 6.58%, 7/17/2031 (a) (e) | 6,516,806 | 6,522,424 |
Dryden Senior Loan Fund (Cayman Islands) | ||
Series 2017-47A, Class A1R, 6.56%, 4/15/2028 (a) (e) | 26,758,855 | 26,769,907 |
Series 2013-30A, Class AR, 6.39%, 11/15/2028 (a) (e) | 1,281,314 | 1,280,338 |
Series 2013-26A, Class AR, 6.48%, 4/15/2029 (a) (e) | 5,462,412 | 5,461,456 |
Series 2014-36A, Class AR3, 6.60%, 4/15/2029 (a) (e) | 27,666,386 | 27,700,084 |
Series 2015-41A, Class AR, 6.55%, 4/15/2031 (a) (e) | 4,787,672 | 4,793,623 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Elmwood CLO Ltd. (Cayman Islands) | ||
Series 2022-5A, Class AR, 6.97%, 7/17/2033 (a) (e) | 39,000,000 | 39,140,010 |
Series 2021-3A, Class A, 6.62%, 10/20/2034 (a) (e) | 10,000,000 | 10,011,840 |
Enterprise Fleet Financing LLC | ||
Series 2022-4, Class A2, 5.76%, 10/22/2029 (a) | 28,942,084 | 29,001,591 |
Series 2023-3, Class A2, 6.40%, 3/20/2030 (a) | 17,232,000 | 17,497,183 |
Enterprise Fleet Funding LLC Series 2021-1, Class A2, 0.44%, 12/21/2026 (a) | 4,996,082 | 4,961,313 |
Flatiron CLO Ltd. (Cayman Islands) Series 2018-1A, Class A, 6.53%, 4/17/2031 (a) (e) | 3,245,388 | 3,248,069 |
Ford Credit Auto Lease Trust Series 2023-A, Class A2A, 5.19%, 6/15/2025 | 4,735,206 | 4,732,409 |
Galaxy CLO Ltd. (Cayman Islands) | ||
Series 2015-19A, Class A1RR, 6.53%, 7/24/2030 (a) (e) | 8,197,707 | 8,193,099 |
Series 2013-15A, Class ARR, 6.55%, 10/15/2030 (a) (e) | 24,582,226 | 24,587,167 |
Series 2018-28A, Class A1, 6.68%, 7/15/2031 (a) (e) | 20,638,283 | 20,658,921 |
Series 2016-22A, Class XRR, 6.48%, 4/16/2034 (a) (e) | 1,894,737 | 1,893,937 |
GM Financial Consumer Automobile Receivables Trust | ||
Series 2023-3, Class A2A, 5.74%, 9/16/2026 | 44,776,971 | 44,825,263 |
Series 2024-1, Class A2A, 5.12%, 2/16/2027 | 36,515,000 | 36,444,657 |
Goldentree Loan Management US CLO Ltd. (Cayman Islands) | ||
Series 2022-12A, Class X, 6.32%, 4/20/2034 (a) (e) | 1,800,000 | 1,799,248 |
Series 2022-14A, Class X, 6.52%, 7/20/2035 (a) (e) | 922,500 | 922,440 |
GoldenTree Loan Opportunities Ltd. (Cayman Islands) Series 2015-11A, Class AR2, 6.63%, 1/18/2031 (a) (e) | 5,334,247 | 5,341,982 |
Greenwood Park CLO Ltd. | ||
Series 2018-1A, Class A2, 6.59%, 4/15/2031 (a) (e) | 3,380,610 | 3,385,972 |
Series 2018-1A, Class A1, 6.61%, 4/15/2031 (a) (e) | 2,027,231 | 2,027,176 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 185 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Harriman Park CLO Ltd. (Cayman Islands) Series 2020-1A, Class XR, 6.18%, 4/20/2034 (a) (e) | 416,663 | 416,578 |
Honda Auto Receivables Owner Trust Series 2023-1, Class A2, 5.22%, 10/21/2025 | 42,665,556 | 42,604,971 |
Hyundai Auto Lease Securitization Trust Series 2022-C, Class A2A, 4.34%, 1/15/2025 (a) | 8,425,996 | 8,420,591 |
Hyundai Auto Receivables Trust | ||
Series 2021-A, Class A3, 0.38%, 9/15/2025 | 4,018,466 | 3,978,831 |
Series 2023-B, Class A2A, 5.77%, 5/15/2026 | 64,068,816 | 64,152,105 |
Series 2021-A, Class A4, 0.62%, 5/17/2027 | 12,390,000 | 11,948,653 |
ICG US CLO Ltd. (Cayman Islands) | ||
Series 2016-1A, Class XRR, 6.48%, 4/29/2034 (a) (e) | 1,684,214 | 1,684,051 |
Series 2014-1A, Class XR, 6.38%, 10/20/2034 (a) (e) | 700,000 | 699,818 |
KKR CLO Ltd. (Cayman Islands) | ||
Series 23, Class A1, 6.73%, 10/20/2031 (a) (e) | 4,471,282 | 4,476,844 |
Series 32A, Class A1, 6.90%, 1/15/2032 (a) (e) | 18,000,000 | 17,998,002 |
Series 24, Class A1R, 6.66%, 4/20/2032 (a) (e) | 10,000,000 | 10,015,000 |
Kubota Credit Owner Trust Series 2022-1A, Class A3, 2.67%, 10/15/2026 (a) | 75,000,000 | 73,047,465 |
LCM LP (Cayman Islands) Series 14A, Class AR, 6.62%, 7/20/2031 (a) (e) | 17,745,591 | 17,783,691 |
LCM Ltd. (Cayman Islands) | ||
Series 24A, Class AR, 6.56%, 3/20/2030 (a) (e) | 19,193,839 | 19,227,832 |
Series 25A, Class AR, 6.42%, 7/20/2030 (a) (e) | 17,531,394 | 17,537,986 |
Series 26A, Class A1, 6.65%, 1/20/2031 (a) (e) | 10,082,966 | 10,083,531 |
Series 29A, Class AR, 6.65%, 4/15/2031 (a) (e) | 10,000,000 | 9,998,810 |
Madison Park Funding Ltd. (Cayman Islands) | ||
Series 2015-17A, Class AR2, 6.58%, 7/21/2030 (a) (e) | 4,548,216 | 4,556,444 |
Series 2015-18A, Class ARR, 6.52%, 10/21/2030 (a) (e) | 47,619,177 | 47,677,510 |
Series 2021-52A, Class X, 6.48%, 1/22/2035 (a) (e) | 1,447,368 | 1,442,078 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Magnetite Ltd. (Cayman Islands) | ||
Series 2016-18A, Class AR2, 6.45%, 11/15/2028 (a) (e) | 18,131,368 | 18,132,492 |
Series 2014-8A, Class AR2, 6.56%, 4/15/2031 (a) (e) | 8,942,496 | 8,943,935 |
Series 2016-17A, Class AR, 6.68%, 7/20/2031 (a) (e) | 13,558,959 | 13,583,365 |
Series 2015-15A, Class AR, 6.60%, 7/25/2031 (a) (e) | 3,832,709 | 3,840,033 |
Series 2020-25A, Class A, 6.79%, 1/25/2032 (a) (e) | 26,250,000 | 26,280,004 |
Mercedes-Benz Auto Receivables Trust Series 2023-1, Class A2, 5.09%, 1/15/2026 | 18,538,141 | 18,516,617 |
Neuberger Berman CLO (Cayman Islands) Series 2013-15A, Class A1R2, 6.50%, 10/15/2029 (a) (e) | 33,405,390 | 33,453,627 |
Neuberger Berman CLO Ltd. (Cayman Islands) | ||
Series 2013-14A, Class AR2, 6.61%, 1/28/2030 (a) (e) | 13,057,435 | 13,060,673 |
Series 2017-16SA, Class XR, 6.38%, 4/15/2034 (a) (e) | 2,500,000 | 2,498,603 |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) | ||
Series 2017-26A, Class AR, 6.48%, 10/18/2030 (a) (e) | 26,258,421 | 26,275,489 |
Series 2019-31A, Class AR, 6.62%, 4/20/2031 (a) (e) | 2,150,000 | 2,151,552 |
Series 2020-37A, Class AR, 6.55%, 7/20/2031 (a) (e) | 25,703,975 | 25,696,418 |
Newark BSL CLO Ltd. (Cayman Islands) | ||
Series 2016-1A, Class A1R, 6.68%, 12/21/2029 (a) (e) | 16,910,509 | 16,919,911 |
Series 2017-1A, Class A1R, 6.56%, 7/25/2030 (a) (e) | 25,783,326 | 25,816,999 |
OCP CLO Ltd. (Cayman Islands) | ||
Series 2017-13A, Class A1AR, 6.54%, 7/15/2030 (a) (e) | 40,162,075 | 40,200,992 |
Series 2018-15A, Class A1, 6.68%, 7/20/2031 (a) (e) | 1,677,929 | 1,680,026 |
Series 2020-8RA, Class A1, 6.80%, 1/17/2032 (a) (e) | 35,000,000 | 34,992,615 |
Series 2019-17A, Class A1R, 6.62%, 7/20/2032 (a) (e) | 13,000,000 | 13,006,695 |
Series 2020-18A, Class AR, 6.67%, 7/20/2032 (a) (e) | 8,953,500 | 8,959,615 |
Series 2015-9A, Class X, 6.07%, 1/15/2033 (a) (e) | 1,000,000 | 999,485 |
186 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Octagon Investment Partners Ltd. (Cayman Islands) | ||
Series 2017-1A, Class A1R, 6.58%, 3/17/2030 (a) (e) | 28,397,446 | 28,436,890 |
Series 2018-1A, Class A1A, 6.64%, 1/20/2031 (a) (e) | 8,331,963 | 8,341,695 |
OHA Credit Partners Ltd. (Cayman Islands) Series 2016-13A, Class XR, 6.43%, 10/25/2034 (a) (e) | 875,000 | 874,185 |
OSD CLO Ltd. (Cayman Islands) | ||
Series 2021-23A, Class A, 6.45%, 4/17/2031 (a) (e) | 7,627,223 | 7,622,784 |
Series 2023-27A, Class A, 6.91%, 4/16/2035 (a) (e) | 11,995,226 | 11,908,704 |
Palmer Square CLO Ltd. (Cayman Islands) Series 2018-2A, Class A1A, 6.68%, 7/16/2031 (a) (e) | 10,421,162 | 10,434,678 |
Palmer Square Loan Funding Ltd. (Cayman Islands) | ||
Series 2021-1A, Class A1, 6.48%, 4/20/2029 (a) (e) | 548,378 | 548,182 |
Series 2021-2A, Class A1, 6.38%, 5/20/2029 (a) (e) | 13,938,666 | 13,940,715 |
Series 2021-4A, Class A1, 6.38%, 10/15/2029 (a) (e) | 17,756,759 | 17,724,246 |
Series 2022-1A, Class A1, 6.37%, 4/15/2030 (a) (e) | 26,072,574 | 26,064,413 |
Series 2022-3A, Class A1A, 7.13%, 4/15/2031 (a) (e) | 48,739,951 | 48,869,453 |
Porsche Financial Auto Securitization Trust Series 2023-1A, Class A2, 5.42%, 12/22/2026 (a) | 23,322,163 | 23,309,814 |
Rad CLO Ltd. (Cayman Islands) Series 2020-7A, Class A1R, 0.00%, 4/17/2036 (a) (e) (f) | 22,750,000 | 22,750,000 |
Santander Drive Auto Receivables Trust Series 2023-1, Class A2, 5.36%, 5/15/2026 | 2,677,920 | 2,677,832 |
Sculptor CLO Ltd. (Cayman Islands) Series 27A, Class X, 6.63%, 7/20/2034 (a) (e) | 3,333,333 | 3,329,067 |
Sound Point CLO II Ltd. (Cayman Islands) Series 2013-1A, Class A1R, 6.66%, 1/26/2031 (a) (e) | 1,880,580 | 1,883,096 |
Sound Point CLO Ltd. (Cayman Islands) Series 2019-1A, Class AR, 6.66%, 1/20/2032 (a) (e) | 7,268,000 | 7,273,066 |
Stratus CLO Ltd. (Cayman Islands) Series 2021-1A, Class A, 6.38%, 12/29/2029 (a) (e) | 3,686,298 | 3,688,403 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Symphony CLO Ltd. (Cayman Islands) | ||
Series 2018-19A, Class A, 6.54%, 4/16/2031 (a) (e) | 10,160,512 | 10,171,373 |
Series 2020-24A, Class AR, 0.00%, 1/23/2032 (a) (e) (f) | 45,893,000 | 45,893,000 |
Series 2020-24A, Class A, 6.78%, 1/23/2032 (a) (e) | 28,550,000 | 28,542,862 |
Symphony Static CLO Ltd. (Cayman Islands) Series 2021-1A, Class A, 6.42%, 10/25/2029 (a) (e) | 26,989,315 | 26,999,868 |
TCI-Symphony CLO Ltd. (Cayman Islands) Series 2017-1A, Class AR, 6.51%, 7/15/2030 (a) (e) | 16,981,161 | 16,996,902 |
Venture CLO Ltd. (Cayman Islands) | ||
Series 2019-36A, Class XR, 6.28%, 4/20/2032 (a) (e) | 458,333 | 457,135 |
Series 2021-43A, Class X, 6.63%, 4/15/2034 (a) (e) | 3,750,000 | 3,748,414 |
Verizon Master Trust Series 2024-1, Class A1A, 5.00%, 12/20/2028 | 78,273,000 | 78,056,012 |
Volkswagen Auto Loan Enhanced Trust | ||
Series 2023-1, Class A2A, 5.50%, 12/21/2026 | 88,407,084 | 88,405,042 |
Series 2023-2, Class A2A, 5.72%, 3/22/2027 | 116,992,000 | 117,357,296 |
Voya CLO Ltd. (Cayman Islands) | ||
Series 2015-1A, Class A1R, 6.46%, 1/18/2029 (a) (e) | 2,207,857 | 2,207,714 |
Series 2017-3A, Class XR, 6.43%, 4/20/2034 (a) (e) | 1,714,285 | 1,713,557 |
World Omni Auto Receivables Trust | ||
Series 2021-A, Class A3, 0.30%, 1/15/2026 | 9,425,500 | 9,279,681 |
Series 2024-A, Class A2A, 5.05%, 4/15/2027 | 80,097,000 | 79,958,280 |
Total Asset-Backed Securities (Cost $2,522,323,423) | 2,527,643,469 | |
U.S. Treasury Obligations — 2.3% | ||
U.S. Treasury Notes 0.38%, 7/15/2024 (Cost $520,194,226) | 528,400,000 | 518,802,111 |
Commercial Mortgage-Backed Securities — 0.1% | ||
Benchmark Mortgage Trust Series 2018-B3, Class A2, 3.85%, 4/10/2051 | 925,488 | 906,728 |
Citigroup Commercial Mortgage Trust Series 2018-B2, Class A2, 3.79%, 3/10/2051 | 3,054,458 | 3,046,578 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 187 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Wells Fargo Commercial Mortgage Trust Series 2018-C46, Class A2, 4.06%, 8/15/2051 | 2,770,147 | 2,763,190 |
Total Commercial Mortgage-Backed Securities (Cost $6,987,247) | 6,716,496 | |
Short-Term Investments — 31.8% | ||
Certificates of Deposits — 11.5% | ||
Bank of Montreal (Canada) , 5.85%, 7/12/2024 | 101,536,000 | 101,657,283 |
Bank of Nova Scotia (The) (Canada) | ||
(SOFR + 0.64%), 5.95%, 5/31/2024 (b) | 10,116,000 | 10,129,681 |
6.05%, 6/28/2024 | 3,636,000 | 3,640,978 |
Barclays Bank plc (United Kingdom) , 6.00%, 8/8/2024 | 103,000,000 | 103,179,153 |
BNP Paribas SA (France) | ||
5.95%, 9/12/2024 | 108,749,000 | 108,984,513 |
5.95%, 10/3/2024 | 36,792,000 | 36,883,774 |
5.34%, 10/8/2024 | 88,055,000 | 88,006,873 |
(SOFR + 0.56%), 5.87%, 8/8/2025 (b) | 38,432,000 | 38,439,355 |
Canadian Imperial Bank of Commerce (Canada) | ||
5.60%, 3/7/2024 | 31,908,000 | 31,907,834 |
6.01%, 6/28/2024 | 89,201,000 | 89,294,421 |
Citibank NA | ||
5.63%, 3/1/2024 | 75,569,000 | 75,569,159 |
5.80%, 3/5/2024 | 16,352,000 | 16,352,539 |
5.84%, 4/30/2024 | 101,301,000 | 101,339,111 |
Cooperatieve Rabobank UA (Netherlands) | ||
5.57%, 3/1/2024 | 65,572,000 | 65,571,968 |
5.95%, 9/12/2024 | 34,713,000 | 34,804,216 |
Credit Agricole Corporate and Investment Bank (France) (SOFR + 0.60%), 5.91%, 8/1/2025 (b) | 30,536,000 | 30,561,707 |
First Abu Dhabi Bank USA NV (SOFR + 5.67%), 5.58%, 3/1/2024 (b) | 64,341,000 | 64,339,010 |
Kookmin Bank (South Korea) , 6.00%, 5/20/2024 | 111,963,000 | 112,052,709 |
Lloyds Bank Corporate Markets plc (United Kingdom) | ||
(SOFR + 0.66%), 5.97%, 8/15/2024 (b) | 28,414,000 | 28,478,127 |
6.07%, 10/2/2024 | 110,821,000 | 111,177,517 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Certificates of Deposits — continued | ||
Mitsubishi UFJ Trust & Banking Corp. (Japan) (SOFR + 0.50%), 5.81%, 7/5/2024 (b) | 28,650,000 | 28,685,845 |
MUFG Bank Ltd. (Japan) , 5.71%, 5/24/2024 | 31,350,000 | 31,365,719 |
National Australia Bank Ltd. (Australia) (SOFR + 5.93%), 5.83%, 10/16/2024 (b) | 122,345,000 | 122,593,719 |
Natixis SA (France) (SOFR + 0.59%), 5.90%, 8/8/2025 (b) | 31,855,000 | 31,939,211 |
Nordea Bank Abp (Finland) (SOFR + 0.27%), 5.58%, 2/27/2025 (b) | 53,902,000 | 53,886,559 |
Norinchukin Bank (The) (Japan) (SOFR + 5.61%), 5.52%, 7/19/2024 (b) | 159,306,000 | 159,339,830 |
Sumitomo Mitsui Banking Corp. (Japan) | ||
(SOFR + 6.11%), 6.01%, 6/6/2024 (b) | 226,669,000 | 227,025,902 |
(SOFR + 6.13%), 6.03%, 8/7/2024 (b) | 48,274,000 | 48,390,953 |
Svenska Handelsbanken AB (Sweden) | ||
(SOFR + 5.63%), 5.54%, 10/31/2024 (b) | 26,011,000 | 26,011,000 |
(SOFR + 5.76%), 5.66%, 1/23/2025 (b) | 61,725,000 | 61,763,563 |
(SOFR + 5.68%), 5.59%, 2/26/2025 (b) | 95,628,000 | 95,610,302 |
Toronto-Dominion Bank (The) (Canada) | ||
5.95%, 9/13/2024 | 100,000,000 | 100,242,188 |
6.00%, 9/20/2024 | 41,785,000 | 41,902,713 |
Wells Fargo Bank NA (SOFR + 0.60%), 5.91%, 11/4/2024 (b) | 123,732,000 | 124,019,801 |
Westpac Banking Corp. (Australia) (SOFR + 0.27%), 5.58%, 2/21/2025 (b) | 173,820,000 | 173,752,292 |
Total Certificates of Deposit (Cost $2,576,058,286) | 2,578,899,525 | |
Commercial Paper — 14.3% | ||
ANZ New Zealand Int'l Ltd. (New Zealand) 5.24%, 10/22/2024 (a) | 49,466,000 | 47,804,902 |
Australia & New Zealand Banking Group Ltd. (Australia) | ||
5.66%, 6/7/2024 (g) | 112,000,000 | 110,386,142 |
5.94%, 8/16/2024 (a) | 2,883,000 | 2,811,797 |
Banco Santander SA (Spain) | ||
5.79%, 5/7/2024 (a) | 60,124,000 | 59,511,038 |
5.27%, 10/11/2024 (a) | 69,900,000 | 67,606,406 |
Bank of Montreal (Canada) (SOFR + 0.55%), 5.86%, 11/5/2024 (b) | 82,000,000 | 82,142,096 |
188 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Short-Term Investments — continued | ||
Commercial Paper — continued | ||
Bell Canada (The) (Canada) | ||
5.79%, 4/2/2024 (a) (g) | 29,074,000 | 28,928,991 |
5.80%, 4/16/2024 (a) (g) | 46,139,000 | 45,810,969 |
BofA Securities, Inc. 5.38%, 2/26/2025 (g) | 3,500,000 | 3,319,218 |
Brookfield Corporate Treasury Ltd. (Canada) | ||
5.92%, 3/13/2024 (a) (g) | 13,428,000 | 13,400,447 |
5.91%, 3/18/2024 (a) (g) | 54,846,000 | 54,690,114 |
5.89%, 3/26/2024 (a) (g) | 23,700,000 | 23,602,637 |
6.02%, 3/28/2024 (a) | 78,184,000 | 77,838,047 |
Canadian National Railway Co. (Canada) 5.65%, 4/4/2024 (a) | 101,152,000 | 100,623,411 |
Commonwealth Bank of Australia (Australia) 5.93%, 7/22/2024 (a) | 132,398,000 | 129,628,234 |
Credit Agricole Corporate and Investment Bank (France) 5.30%, 10/4/2024 (g) | 116,606,000 | 112,910,857 |
Credit Industriel et Commercial (France) 5.17%, 2/6/2025 (a) (g) | 73,221,000 | 69,499,943 |
CRH America Finance, Inc. | ||
5.87%, 4/5/2024 (g) | 13,600,000 | 13,524,302 |
6.01%, 6/18/2024 (a) | 10,387,000 | 10,209,404 |
5.68%, 6/21/2024 (a) (g) | 5,500,000 | 5,403,411 |
DNB Bank ASA (Norway) 5.14%, 2/7/2025 (a) (g) | 142,168,000 | 135,296,736 |
First Abu Dhabi Bank PJSC (United Arab Emirates) | ||
5.39%, 8/8/2024 (a) | 22,621,000 | 22,084,651 |
5.33%, 10/8/2024 (a) (g) | 193,918,000 | 187,665,496 |
General Motors Financial Co., Inc. | ||
6.01%, 5/29/2024 (g) | 8,695,000 | 8,570,661 |
6.00%, 5/30/2024 (g) | 40,000,000 | 39,421,813 |
6.00%, 6/5/2024 (g) | 16,800,000 | 16,541,603 |
Glencore Funding LLC (Australia) | ||
5.74%, 7/8/2024 (a) (g) | 14,792,000 | 14,498,214 |
5.76%, 8/30/2024 (a) | 73,700,000 | 71,666,708 |
HSBC USA, Inc. | ||
6.25%, 6/6/2024 (g) | 52,663,000 | 51,880,119 |
6.50%, 8/1/2024 (g) | 2,870,000 | 2,802,942 |
6.51%, 9/27/2024 (g) | 24,750,000 | 23,950,154 |
5.65%, 2/7/2025 (a) | 30,000,000 | 28,408,885 |
ING US Funding LLC (Netherlands) | ||
5.89%, 6/14/2024 (g) | 95,379,000 | 93,876,010 |
5.91%, 7/19/2024 (g) | 94,619,000 | 92,656,165 |
L3Harris Technologies, Inc. | ||
5.68%, 3/25/2024 (a) (g) | 12,000,000 | 11,954,162 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Paper — continued | ||
5.88%, 5/31/2024 (a) (g) | 7,905,000 | 7,791,838 |
6.32%, 8/27/2024 (g) | 33,020,000 | 32,067,373 |
6.22%, 8/29/2024 (g) | 12,500,000 | 12,135,650 |
Lloyds Bank plc (United Kingdom) 5.90%, 4/22/2024 (g) | 121,445,000 | 120,470,989 |
LVMH Moet Hennessy Louis Vuitton, Inc. (France) | ||
5.83%, 7/23/2024 (g) | 11,200,000 | 10,964,144 |
5.81%, 11/7/2024 (a) | 6,955,000 | 6,707,963 |
Macquarie Bank Ltd. (Australia) | ||
5.15%, 4/5/2024 (g) | 100,000,000 | 99,460,800 |
5.82%, 4/26/2024 (g) | 1,500,000 | 1,487,139 |
5.93%, 5/17/2024 (a) | 58,200,000 | 57,511,999 |
6.00%, 8/20/2024 (g) | 19,877,000 | 19,367,719 |
5.77%, 11/20/2024 (a) | 83,000,000 | 79,784,555 |
NatWest Markets plc (United Kingdom) 5.31%, 10/23/2024 (a) | 40,100,000 | 38,686,958 |
Nordea Bank Abp (Finland) 5.78%, 4/11/2024 (g) | 66,450,000 | 66,039,629 |
Nutrien Ltd. (Canada) | ||
5.76%, 3/14/2024 (a) | 17,000,000 | 16,963,658 |
5.76%, 3/15/2024 (a) | 47,615,000 | 47,505,863 |
Philip Morris International, Inc. 5.51%, 6/4/2024 (a) (g) | 1,200,000 | 1,182,624 |
Skandinaviska Enskilda Banken AB (Sweden) 5.79%, 4/1/2024 (g) | 180,259,000 | 179,417,834 |
Societe Generale SA (France) | ||
6.00%, 5/13/2024 (g) | 33,394,000 | 33,026,017 |
5.90%, 6/21/2024 (g) | 31,600,000 | 31,074,352 |
Standard Chartered Bank (United Kingdom) | ||
6.05%, 8/13/2024 (g) | 40,071,000 | 39,097,819 |
6.08%, 8/27/2024 (a) | 6,290,000 | 6,125,265 |
5.36%, 2/14/2025 (a) (g) | 85,143,000 | 80,881,538 |
Suncorp-Metway Ltd. (Australia) 5.44%, 7/2/2024 (a) (g) | 17,895,000 | 17,567,680 |
Svenska Handelsbanken AB (Sweden) 6.00%, 8/22/2024 (g) | 67,788,000 | 66,063,651 |
Swedbank AB (Sweden) 5.33%, 7/1/2024 (g) | 3,200,000 | 3,142,144 |
Telstra Group Ltd. (Australia) | ||
5.86%, 3/8/2024 (g) | 12,000,000 | 11,985,652 |
5.87%, 3/12/2024 (g) | 65,000,000 | 64,883,393 |
6.14%, 9/6/2024 (g) | 22,200,000 | 21,554,295 |
TELUS Corp. (Canada) 5.82%, 6/12/2024 (a) | 14,887,000 | 14,646,282 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 189 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Short-Term Investments — continued | ||
Commercial Paper — continued | ||
Toronto-Dominion Bank (The) (Canada) 5.98%, 8/23/2024 (g) | 93,960,000 | 91,565,816 |
VW Credit, Inc. (Germany) 5.96%, 4/19/2024 (g) | 18,284,000 | 18,142,299 |
Westpac Banking Corp. (Australia) 5.91%, 9/13/2024 (g) | 57,366,000 | 55,733,880 |
Total Commercial Paper (Cost $3,213,531,285) | 3,213,963,503 | |
SHARES | ||
Investment Companies — 4.9% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (h) (i) (Cost $1,101,895,063) | 1,101,895,063 | 1,101,895,063 |
Investment of Cash Collateral from Securities Loaned — 0.1% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.48% (h) (i) | 27,702,971 | 27,711,282 |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (h) (i) | 4,046,410 | 4,046,410 |
Total Investment of Cash Collateral from Securities Loaned (Cost $31,757,692) | 31,757,692 | |
PRINCIPAL AMOUNT($) | ||
Repurchase Agreements — 1.0% | ||
Wells Fargo Securities LLC, 5.88%, dated 2/29/2024, due 3/12/2024, repurchase price $230,450,800, collateralized by Collateralized Mortgage Obligations, 0.20% - 10.79%, due 5/28/2029 - 12/25/2068, with the value of $252,010,908. (Cost $230,000,000) | 230,000,000 | 230,000,000 |
Total Short-Term Investments (Cost $7,153,242,326) | 7,156,515,783 | |
Total Investments — 100.8% (Cost $22,690,136,061) | 22,684,695,214 | |
Liabilities in Excess of Other Assets — (0.8)% | (170,186,186 ) | |
NET ASSETS — 100.0% | 22,514,509,028 |
Percentages indicated are based on net assets. |
Abbreviations | |
CIFC | Commercial Industrial Finance Corp. |
CLO | Collateralized Loan Obligations |
CME | Chicago Mercantile Exchange |
PJSC | Public Joint Stock Company |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
^ | 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) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2024. | |
(c) | The security or a portion of this security is on loan at February 29, 2024. The total value of securities on loan at February 29, 2024 is $30,637,237. | |
(d) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2024. | |
(e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 29, 2024. | |
(f) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(g) | The rate shown is the effective yield as of February 29, 2024. | |
(h) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(i) | The rate shown is the current yield as of February 29, 2024. |
190 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Short Contracts | |||||
U.S. Treasury 2 Year Note | (331 ) | 06/28/2024 | USD | (67,795,523 ) | (61,893 ) |
Abbreviations | |
USD | United States Dollar |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 191 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — 92.6% (a) | ||
Alabama — 4.0% | ||
Alabama Federal Aid Highway Finance Authority | ||
Series 2015, Rev., 4.00%, 9/1/2024 (b) | 46,810,000 | 46,931,191 |
Series 2015, Rev., 5.00%, 9/1/2024 (b) | 365,000 | 367,709 |
Alabama Public School and College Authority, Capital improvement | ||
Series 2014B, Rev., 5.00%, 1/1/2026 | 310,000 | 311,730 |
Series 2014-B, Rev., 5.00%, 1/1/2027 | 45,000 | 45,216 |
Alabama Public School and College Authority, Capital Improvement | ||
Series 2013A, Rev., 3.25%, 6/1/2024 | 40,000 | 39,963 |
Series 2014-B, Rev., 5.00%, 1/1/2025 | 75,000 | 75,383 |
Series 2014-A, Rev., 5.00%, 2/1/2025 | 35,000 | 35,041 |
Alabama Special Care Facilities Financing Authority-Birmingham Series 2015, Rev., 5.00%, 6/1/2024 | 385,000 | 386,428 |
Auburn University | ||
Series 2014A, Rev., 5.00%, 6/1/2024 | 220,000 | 220,912 |
Series 2014A, Rev., 5.00%, 6/1/2024 (b) | 60,000 | 60,234 |
Autauga County Board of Education Rev., 5.00%, 4/1/2024 | 30,000 | 30,025 |
Birmingham Airport Authority | ||
Rev., 5.00%, 7/1/2024 | 60,000 | 60,321 |
Rev., 5.00%, 7/1/2026 | 20,000 | 20,969 |
Black Belt Energy Gas District, Gas Prepay Project No. 4 Series 2019A-1, Rev., 4.00%, 12/1/2025 (c) | 25,000,000 | 25,049,393 |
Black Belt Energy Gas District, Gas Project No. 6 Series 2021B, Rev., 4.00%, 12/1/2026 (c) | 60,000 | 60,074 |
Black Belt Energy Gas District, Gas Supply Series 2022D-2, Rev., LIQ : Royal Bank of Canada, (SOFR + 1.40%), 4.96%, 3/7/2024 (d) | 25,575,000 | 25,811,896 |
City of Hoover, Warrants GO, 2.00%, 3/1/2025 | 30,000 | 29,435 |
City of Huntsville, Warrants Series 2016D, GO, 5.00%, 5/1/2025 | 25,000 | 25,559 |
City of Huntsville, Warrants, Water Revenue Series 2015, Rev., 5.00%, 5/1/2025 (b) | 1,400,000 | 1,431,481 |
City of Tuscaloosa Series 2019A, GO, 4.00%, 7/1/2024 | 35,000 | 35,092 |
County of Jefferson Series 2024, Rev., 5.00%, 10/1/2026 | 800,000 | 837,240 |
County of Mobile, Warrants GO, 5.00%, 8/1/2025 (b) | 25,000 | 25,665 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Alabama — continued | ||
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 | 96,569 |
Montgomery County Public Building Authority, Facilities Project Rev., 5.00%, 3/1/2024 (b) | 220,000 | 220,000 |
Montgomery Water Works and Sanitary Sewer Board Series 2019-A, Rev., 5.00%, 9/1/2025 | 35,000 | 36,010 |
Southeast Alabama Gas Supply District (The), Project No. 1 Series 2018A, Rev., 4.00%, 4/1/2024 (c) | 245,000 | 245,067 |
Southeast Energy Authority A Cooperative District, Project No. 4 Series 2022B-1, Rev., 5.00%, 8/1/2024 | 1,160,000 | 1,164,602 |
University of Alabama (The) | ||
Series 2012-A, Rev., 5.00%, 7/1/2024 | 310,000 | 310,377 |
Series 2014B, Rev., 5.00%, 7/1/2024 (b) | 50,000 | 50,276 |
Series 2017A, Rev., 5.00%, 7/1/2024 | 50,000 | 50,268 |
Total Alabama | 104,064,126 | |
Alaska — 1.7% | ||
Alaska Housing Finance Corp., General Mortgage Series 2019A, Rev., 1.50%, 6/1/2024 | 305,000 | 302,110 |
Alaska Housing Finance Corp., Home Mortgage Series 2007A, Rev., VRDO, LIQ : FHLB, 3.30%, 3/11/2024 (c) | 30,000,000 | 30,000,000 |
Alaska Housing Finance Corp., State Capital Project | ||
Series II 2015A, Rev., 5.00%, 6/1/2024 | 20,000 | 20,071 |
Series 2014D-II, Rev., 5.00%, 12/1/2024 | 2,800,000 | 2,832,131 |
Alaska Municipal Bond Bank Authority | ||
Series 2012-2, Rev., 5.00%, 9/1/2024 | 60,000 | 60,072 |
Series 1, Rev., 5.00%, 12/1/2024 | 190,000 | 192,055 |
Series 1, Rev., 5.00%, 12/1/2025 | 220,000 | 226,329 |
Series 3, Rev., 5.00%, 12/1/2026 | 25,000 | 26,276 |
Borough of Matanuska-Susitna, Goose Creek Correctional Center Project | ||
Rev., 5.00%, 9/1/2024 | 560,000 | 564,156 |
Rev., 5.00%, 9/1/2025 | 325,000 | 333,041 |
Rev., 5.25%, 9/1/2026 | 185,000 | 190,368 |
Rev., 5.25%, 9/1/2027 | 1,845,000 | 1,897,715 |
Series 2015, Rev., 5.25%, 9/1/2028 | 3,030,000 | 3,114,789 |
192 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Alaska — continued | ||
Borough of North Slope Series 2020A, GO, 5.00%, 6/30/2025 | 60,000 | 61,525 |
City of Anchorage, Electric Utilities, Senior Lien Series 2014A, Rev., 5.00%, 12/1/2024 (b) | 4,900,000 | 4,965,606 |
Municipality of Anchorage | ||
Series 2019 B, GO, 5.00%, 4/1/2024 | 30,000 | 30,038 |
Series 2020 E, GO, 5.00%, 4/1/2024 | 20,000 | 20,026 |
State of Alaska Series 2016B, GO, 5.00%, 8/1/2028 | 40,000 | 41,026 |
University of Alaska Series 2015T, Rev., 5.00%, 10/1/2025 | 500,000 | 510,850 |
Total Alaska | 45,388,184 | |
Arizona — 2.7% | ||
Arizona Department of Transportation State Highway Fund Series 2015, Rev., 5.00%, 7/1/2024 (b) | 50,000 | 50,252 |
Arizona Health Facilities Authority, Banner Health | ||
Series 2015 B, Rev., (SIFMA Municipal Swap Index Yield + 0.25%), 3.55%, 3/7/2024 (b) (d) | 1,500,000 | 1,495,034 |
Series 2015 B, Rev., (SIFMA Municipal Swap Index Yield + 0.25%), 3.55%, 3/7/2024 (d) | 7,900,000 | 7,782,762 |
Arizona Health Facilities Authority, Phoenix Children's Hospital Series 2013B, Rev., 5.00%, 2/1/2026 | 1,065,000 | 1,065,550 |
Arizona Health Facilities Authority, Scottsdale Lincoln Hospitals Series 2014A, Rev., 5.00%, 12/1/2026 | 50,000 | 50,518 |
Arizona Industrial Development Authority, Equitable School Revolving Fund LLC Series 2019A, Rev., 5.00%, 11/1/2024 | 95,000 | 95,851 |
Arizona State University Series 2015B, Rev., 5.00%, 7/1/2026 | 45,000 | 46,195 |
Arizona Transportation Board, Excise Tax, Maricopa County Regional Area Road Fund | ||
Rev., 5.00%, 7/1/2025 | 40,000 | 41,050 |
Series 2014, Rev., 5.00%, 7/1/2025 | 45,000 | 45,291 |
Chandler Industrial Development Authority, Intel Corp. Project Series 2019, Rev., AMT, 5.00%, 6/3/2024 (c) | 9,800,000 | 9,815,556 |
City of Buckeye, Excise Tax Series 2015, Rev., 5.00%, 7/1/2024 | 25,000 | 25,138 |
City of Goodyear, Water and Sewer Series 2020, Rev., AGM, 5.00%, 7/1/2024 | 25,000 | 25,134 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Arizona — continued | ||
City of Mesa | ||
Series 2006, Rev., AGM - CR, 5.00%, 7/1/2024 | 25,000 | 25,138 |
Series 2013, Rev., 5.00%, 7/1/2024 | 110,000 | 110,571 |
City of Phoenix Series 2014, GO, 4.00%, 7/1/2024 | 35,000 | 35,092 |
City of Phoenix Civic Improvement Corp., Junior Lien, Wastewater System | ||
Rev., 5.00%, 7/1/2024 | 230,000 | 230,253 |
Series 2016, Rev., 5.00%, 7/1/2024 | 20,000 | 20,110 |
City of Scottsdale Series 2015, GO, 4.00%, 7/1/2024 | 35,000 | 35,087 |
County of Maricopa Series 2018A, COP, 5.00%, 7/1/2024 | 795,000 | 799,359 |
County of Navajo Rev., 4.00%, 7/1/2025 | 20,000 | 20,218 |
County of Pima, Sewer System | ||
Series 2016, Rev., 5.00%, 7/1/2024 (b) | 25,000 | 25,134 |
Series 2019, Rev., 5.00%, 7/1/2024 | 25,000 | 25,148 |
County of Yuma Series 2022, Rev., 5.00%, 7/15/2024 | 100,000 | 100,612 |
Maricopa County Elementary School District No. 45 Fowler Series 2019D, GO, 5.00%, 7/1/2024 | 125,000 | 125,669 |
Maricopa County Industrial Development Authority, Banner Health | ||
Series C, Rev., 5.00%, 10/18/2024 (c) | 350,000 | 353,057 |
Series 2019 D, Rev., 5.00%, 5/15/2026 (c) | 715,000 | 740,471 |
Series 2023A-1, Rev., 5.00%, 5/15/2026 (c) | 5,340,000 | 5,526,871 |
Maricopa County Unified School District No. 41 Gilbert Series 2019C, GO, 5.00%, 7/1/2024 | 65,000 | 65,397 |
Maricopa County Unified School District No. 69 Paradise Valley Series 2018D, GO, 5.00%, 7/1/2024 | 85,000 | 85,466 |
Maricopa County Unified School District No. 95 Queen Creek Series 2018, GO, 5.00%, 7/1/2024 | 25,000 | 25,146 |
Maricopa County Unified School District No. 97-Deer Valley Series 2020A, GO, 5.00%, 7/1/2024 | 25,000 | 25,134 |
Pima County Regional Transportation Authority, Excise Tax | ||
Rev., 5.00%, 6/1/2024 | 60,000 | 60,258 |
Series 2014, Rev., 5.00%, 6/1/2025 | 330,000 | 330,468 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 193 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Arizona — continued | ||
RBC Municipal Products, Inc. Trust, Floater Certificates Series E-147, Rev., VRDO, LOC : Royal Bank of Canada, 3.33%, 3/11/2024 (c) (e) | 11,000,000 | 11,000,000 |
Salt River Project Agricultural Improvement and Power District, Arizona Electric System Series 2015A, Rev., 5.00%, 12/1/2045 | 30,000,000 | 30,654,801 |
Scottsdale Municipal Property Corp. Series 2015, Rev., 5.00%, 7/1/2025 (b) | 30,000 | 30,799 |
State of Arizona Series 2019A, COP, 5.00%, 10/1/2025 (b) | 40,000 | 41,271 |
Total Arizona | 71,029,861 | |
Arkansas — 0.2% | ||
City of Springdale Series 2018, Rev., 5.00%, 4/1/2024 (b) | 100,000 | 100,116 |
University of Arkansas, Various Facilities Fayetteville Series 2015A, Rev., 5.00%, 11/1/2024 (b) | 6,060,000 | 6,125,352 |
University of Central Arkansas, Student Fee Series 2020A, Rev., 5.00%, 11/1/2026 | 75,000 | 78,414 |
Total Arkansas | 6,303,882 | |
California — 1.8% | ||
Antelope Valley Community College District GO, 5.00%, 2/15/2025 (b) | 70,000 | 71,288 |
Brentwood Infrastructure Financing Authority, Civic Center Project Rev., 5.00%, 10/1/2024 | 40,000 | 40,385 |
California County Tobacco Securitization Agency, Gold Country Settlement Funding Corp. Series 2020A, Rev., 5.00%, 6/1/2026 | 1,090,000 | 1,132,755 |
California Health Facilities Financing Authority Series 2019 C, Rev., 5.00%, 10/1/2025 (b) (c) | 25,000 | 25,775 |
California Health Facilities Financing Authority, Adventist Health System | ||
Series 2011A, Rev., VRDO, 3.00%, 3/1/2024 (c) | 480,000 | 480,000 |
Series 2013A, Rev., 5.00%, 3/1/2024 | 110,000 | 110,000 |
California Health Facilities Financing Authority, Cedars-Sinai Medical Center Rev., 5.00%, 11/15/2024 | 375,000 | 380,347 |
California Health Facilities Financing Authority, EL Camino Hospital Series 2017, Rev., 5.00%, 2/1/2025 | 30,000 | 30,454 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
California — continued | ||
California Health Facilities Financing Authority, St. Joseph Health System | ||
Series 2016B-2, Rev., 4.00%, 10/1/2024 (c) | 275,000 | 274,911 |
Series 2013 A, Rev., 5.00%, 7/1/2025 | 105,000 | 105,066 |
Series 2019C, Rev., 5.00%, 10/1/2025 (c) | 520,000 | 529,206 |
Series 2013A, Rev., 5.00%, 7/1/2026 | 80,000 | 80,096 |
California Infrastructure and Economic Development Bank, Brightline West Passenger Rail Project Series 2020A, Rev., AMT, 3.95%, 1/30/2025 (c) (e) | 7,580,000 | 7,578,947 |
California Infrastructure and Economic Development Bank, Colburn School (The) Rev., (SIFMA Municipal Swap Index Yield + 0.90%), 4.20%, 3/7/2024 (d) | 28,500,000 | 28,070,494 |
California Infrastructure and Economic Development Bank, The Broad Sustainability Bonds Series 2018C, Rev., (SIFMA Municipal Swap Index Yield + 0.35%), 3.65%, 3/6/2024 (d) | 5,250,000 | 5,249,649 |
California Infrastructure and Economic Development Bank, UCSF 2130 Third Street Series 2017, Rev., 5.00%, 5/15/2024 | 20,000 | 20,065 |
Chula Vista Municipal Financing Authority Rev., 5.00%, 5/1/2024 | 10,000 | 10,027 |
City of Long Beach Harbor, Private Activity Series 2020A, Rev., 4.00%, 5/15/2024 | 45,000 | 45,077 |
City of Los Angeles Department of Airports, International Airport Subordinate Series 2018E, Rev., 5.00%, 5/15/2024 | 15,000 | 15,056 |
City of Los Angeles, Wastewater System | ||
Series 2013-A, Rev., 5.00%, 6/1/2025 | 75,000 | 75,117 |
Series 2013A, Rev., 5.00%, 6/1/2026 | 50,000 | 50,095 |
Series 2013A, Rev., 5.00%, 6/1/2027 | 75,000 | 75,143 |
City of Petaluma Series 2019, Rev., 5.00%, 5/1/2024 | 30,000 | 30,078 |
City of San Francisco, Public Utilities Commission Water Series 2017A, Rev., 5.00%, 11/1/2024 (b) | 30,000 | 30,382 |
City of Vernon, Electric System Series 2021A, Rev., 5.00%, 10/1/2025 | 200,000 | 203,051 |
Colton Joint Unified School District, Election of 2008 Series 2010B, GO, AGM, 5.80%, 8/21/2026 (b) | 25,000 | 26,770 |
Contra Costa County Transportation Authority, Sales Tax Series 2015A, Rev., 5.00%, 3/1/2024 | 200,000 | 200,000 |
194 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
California — continued | ||
County of Sacramento Airport System Series 2020, Rev., 5.00%, 7/1/2024 (b) | 25,000 | 25,130 |
El Dorado Irrigation District Series 2014A, Rev., AGM, 5.00%, 3/1/2024 (b) | 80,000 | 80,000 |
Grossmont Healthcare District Series C, GO, 5.00%, 7/15/2024 | 25,000 | 25,149 |
Hermosa Beach Public Financing Authority Rev., 4.00%, 11/1/2024 | 25,000 | 25,133 |
Merced Union High School District GO, AGM, Zero Coupon, 2/18/2025 (b) | 350,000 | 109,222 |
Orange County Water District Series 2021A, COP, 4.00%, 2/15/2025 | 175,000 | 176,459 |
Padre Dam Municipal Water District Series 2017A, COP, 5.00%, 10/1/2024 | 50,000 | 50,510 |
Palomar Community College District GO, 5.00%, 5/1/2024 | 50,000 | 50,152 |
Poway Public Financing Authority Series 2023 A, Rev., 5.00%, 6/1/2024 | 50,000 | 50,240 |
Sacramento Municipal Utility District, Electric Series 2019B, Rev., 5.00%, 10/15/2025 (c) | 335,000 | 341,300 |
San Francisco City and County Airport Commission, San Francisco International Airport | ||
Series 2019D, Rev., 5.00%, 5/1/2024 (b) | 45,000 | 45,124 |
Series 2016A, Rev., 4.00%, 5/1/2025 | 25,000 | 25,314 |
San Francisco Municipal Transportation Agency Series 2014, Rev., 5.00%, 3/1/2024 (b) | 40,000 | 40,000 |
San Joaquin Hills Transportation Corridor Agency, Toll Road, Senior Lien Series 1993, Rev., Zero Coupon, 1/1/2025 (b) | 120,000 | 116,866 |
San Juan Water District Rev., 5.00%, 2/1/2025 | 45,000 | 45,733 |
Sanger Public Financing Authority Series 2014, Rev., AGM, 4.00%, 6/15/2024 (b) | 20,000 | 20,438 |
Santa Clara Valley Transportation Authority Series 2023 A, Rev., 5.00%, 4/1/2024 | 50,000 | 50,070 |
Sequoia Union High School District GO, 5.00%, 7/1/2024 (b) | 40,000 | 40,247 |
State of California GO, 5.00%, 12/1/2025 | 75,000 | 75,097 |
State of California, Various Purpose GO, 5.00%, 10/1/2025 | 1,705,000 | 1,761,057 |
Tahoe-Truckee Sanitation Agency, Wastewater Rev., 5.00%, 7/1/2024 | 30,000 | 30,180 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
California — continued | ||
Tobacco Securitization Authority of Southern California, San Diego County Tobacco Asset Securitization Corp. Series 2019A, Class 1, Rev., 5.00%, 6/1/2025 | 55,000 | 56,120 |
Tustin Unified School District, School Facilities Improvement Districts No. 2002-1 and 2008-1 GO, 5.00%, 8/1/2025 | 30,000 | 30,911 |
University of California Series 2014AM, Rev., 5.00%, 5/15/2024 | 55,000 | 55,200 |
Ventura County Public Financing Authority Series 2016A, Rev., 5.00%, 11/1/2024 | 25,000 | 25,310 |
West Hollywood Public Financing Authority, Hollywood Park Phase II Rev., 5.00%, 4/1/2024 | 75,000 | 75,090 |
Total California | 48,366,286 | |
Colorado — 1.1% | ||
Adams 12 Five Star Schools, The City and County of Broomfield | ||
GO, 5.00%, 12/15/2024 | 30,000 | 30,042 |
Series 2014B, GO, 5.00%, 12/15/2024 | 20,000 | 20,298 |
Apex Park and Recreation District GO, 3.00%, 12/1/2024 | 50,000 | 49,805 |
Board of Governors of Colorado State University System Series 2015A, Rev., 5.00%, 3/1/2025 (b) | 45,000 | 45,854 |
City and County of Broomfield, Sales and Use Tax | ||
Series 2017, Rev., 5.00%, 12/1/2024 | 40,000 | 40,536 |
Series A, Rev., 5.00%, 12/1/2024 | 180,000 | 180,247 |
City and County of Denver, Airport System | ||
Series B, Rev., 5.00%, 11/15/2024 | 125,000 | 126,574 |
Series 2016 A, Rev., 5.00%, 11/15/2025 | 30,000 | 31,018 |
Series 2023B, Rev., AMT, 5.00%, 11/15/2026 | 4,700,000 | 4,898,062 |
Series 2023B, Rev., AMT, 5.00%, 11/15/2027 | 2,000,000 | 2,119,564 |
City of Arvada, Sales and Use Tax Series 2019, Rev., 5.00%, 12/1/2024 | 25,000 | 25,329 |
City of Colorado Springs, Utilities System Improvement Series 2020 C, Rev., 5.00%, 11/15/2024 | 20,000 | 20,257 |
City of Northglenn Series 2017, COP, 5.00%, 12/1/2024 | 70,000 | 70,911 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 195 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Colorado — continued | ||
Colorado Health Facilities Authority, Adventhealth Obligated Group | ||
Series 2019B, Rev., 5.00%, 11/19/2026 (b) (c) | 590,000 | 620,313 |
Series 2019B, Rev., 5.00%, 11/19/2026 (c) | 1,280,000 | 1,340,312 |
Colorado Health Facilities Authority, Adventist Health System | ||
Series 2018B, Rev., 5.00%, 11/20/2025 (c) | 570,000 | 584,722 |
Series 2016C, Rev., 5.00%, 11/15/2026 (c) | 165,000 | 172,735 |
Colorado Health Facilities Authority, Children's Hospital Colorado Project | ||
Series C, Rev., 5.00%, 12/1/2024 | 75,000 | 75,795 |
Series C, Rev., 5.00%, 12/1/2026 | 65,000 | 67,573 |
Colorado Health Facilities Authority, CommonSpirit Health | ||
Series 2019A-1, Rev., 5.00%, 8/1/2025 | 175,000 | 178,440 |
Series 2019A-1, Rev., 5.00%, 8/1/2026 | 340,000 | 352,429 |
Series 2019B-2, Rev., 5.00%, 8/1/2026 (c) | 1,195,000 | 1,228,912 |
Series 2019A-2, Rev., 5.00%, 8/1/2027 | 5,000,000 | 5,274,520 |
Colorado Health Facilities Authority, CommonSpirit Health Obligated Group | ||
Series 2022A, Rev., 5.00%, 11/1/2024 | 190,000 | 191,554 |
Series 2022A, Rev., 5.00%, 11/1/2028 | 700,000 | 750,009 |
Colorado Health Facilities Authority, NCMC, Inc., Project | ||
Rev., 4.00%, 5/15/2026 (b) | 350,000 | 356,248 |
Series 2016, Rev., 4.00%, 5/15/2026 (b) | 20,000 | 20,357 |
Colorado Health Facilities Authority, Sanford Health Series 2019A, Rev., 5.00%, 11/1/2029 | 75,000 | 82,800 |
Colorado Health Facilities Authority, School Health System Series 2019A, Rev., 5.00%, 1/1/2025 | 1,210,000 | 1,226,718 |
Colorado Health Facilities Authority, The Evangelical Lutheran Good Samaritan Society Project Series 2015A, Rev., 5.00%, 6/1/2024 (b) | 200,000 | 200,659 |
Colorado Higher Education, Capital Construction, Lease Purchase Financing Program Series 2020, COP, 5.00%, 9/1/2024 | 65,000 | 65,562 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Colorado — continued | ||
Colorado State Education Loan Program Series 2023A, Rev., TRAN, 5.00%, 6/28/2024 | 490,000 | 492,571 |
County of Boulder, Flood Reconstruction Project Series 2021A, COP, 5.00%, 12/1/2024 | 25,000 | 25,346 |
E-470 Public Highway Authority Series 2020 A, Rev., 5.00%, 9/1/2026 | 75,000 | 78,687 |
El Paso County School District No. 38 Lewis-Palmer Series 2012, GO, 5.00%, 12/1/2024 | 375,000 | 380,159 |
Metro Wastewater Reclamation District Series 2019 A, Rev., 5.00%, 4/1/2024 | 85,000 | 85,106 |
Regional Transportation District, Denver Transit Partners | ||
Series 2020A, Rev., 5.00%, 7/15/2024 | 300,000 | 301,215 |
Series 2020A, Rev., 5.00%, 7/15/2025 | 205,000 | 208,742 |
State of Colorado | ||
Series 2013I, COP, 5.00%, 3/15/2024 | 30,000 | 30,015 |
Series 2013I, COP, 5.00%, 3/15/2024 (b) | 25,000 | 25,013 |
Series 2019O, COP, 5.00%, 3/15/2024 | 20,000 | 20,010 |
Series 2022, COP, 6.00%, 12/15/2024 | 35,000 | 35,782 |
Series 2018L, COP, 5.00%, 3/15/2027 | 25,000 | 26,591 |
State of Colorado Department of Transportation Series 2016, COP, 5.00%, 6/15/2024 | 40,000 | 40,183 |
Town of Castle Rock, Sales and Use Tax Rev., 5.00%, 6/1/2025 | 25,000 | 25,573 |
University of Colorado, Enterprise System | ||
Series B-1, Rev., 4.00%, 6/1/2024 (b) | 25,000 | 25,044 |
Series A, Rev., 5.00%, 6/1/2024 (b) | 60,000 | 60,249 |
Series A, Rev., 5.00%, 6/1/2025 (b) | 30,000 | 30,729 |
Series 2021C-3B, Rev., 2.00%, 10/15/2026 (c) | 6,250,000 | 5,986,494 |
University of Colorado, Hospital Authority Series 2019C, Rev., 5.00%, 11/15/2024 (c) | 50,000 | 50,117 |
Total Colorado | 28,375,781 | |
Connecticut — 0.8% | ||
City of Danbury Series 2024, GO, BAN, 5.00%, 9/24/2024 (e) | 11,600,000 | 11,685,092 |
City of Groton Series A, GO, 5.00%, 4/1/2024 | 100,000 | 100,113 |
Connecticut State Health and Educational Facilities Authority, Stamford Hospital Series L-1, Rev., 4.00%, 7/1/2024 | 650,000 | 649,261 |
196 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Connecticut — continued | ||
Connecticut State Health and Educational Facilities Authority, University System Issue Series L, Rev., 3.00%, 11/1/2026 | 120,000 | 119,697 |
Connecticut State Health and Educational Facilities Authority., Yale New Heaven Health Series A, Rev., 5.00%, 7/1/2026 | 75,000 | 75,339 |
Metropolitan District (The) Series 2015, GO, 5.00%, 3/1/2024 | 130,000 | 130,000 |
South Central Connecticut Regional Water Authority Series 29, Rev., 5.00%, 8/1/2024 | 65,000 | 65,081 |
State of Connecticut | ||
Series 2018 D, GO, 5.00%, 4/15/2024 | 175,000 | 175,333 |
Series A, GO, 5.00%, 4/15/2024 | 85,000 | 85,162 |
Series F, GO, 5.00%, 11/15/2024 | 25,000 | 25,322 |
Series 2014E, GO, 4.00%, 9/1/2027 | 75,000 | 75,229 |
State of Connecticut Special Tax | ||
Series 2021 A, Rev., 4.00%, 5/1/2024 | 20,000 | 20,018 |
Series 2020 A, Rev., 5.00%, 5/1/2024 | 75,000 | 75,186 |
State of Connecticut, SIFMA Index Series 2013A, GO, (SIFMA Municipal Swap Index Yield + 0.99%), 4.29%, 3/7/2024 (d) | 175,000 | 175,764 |
State of Connecticut, Special Tax Transportation Infrastructure Purposes | ||
Series 2018 B, Rev., 5.00%, 10/1/2024 | 75,000 | 75,734 |
Series 2018C, Rev., 5.00%, 10/1/2024 | 85,000 | 85,832 |
Town of Darien GO, BAN, 4.00%, 4/25/2024 | 50,000 | 50,038 |
Town of Mansfield GO, BAN, 4.00%, 5/15/2024 | 1,000,000 | 1,001,488 |
Town of Monroe Series 2019, GO, 5.00%, 5/1/2024 | 105,000 | 105,280 |
Town of Southington Series 2023, GO, 5.00%, 5/1/2024 | 20,000 | 20,053 |
Town of Wolcott GO, BAN, 4.25%, 2/11/2025 | 6,500,000 | 6,548,977 |
University of Connecticut | ||
Series 2016 A, Rev., 5.00%, 3/15/2024 | 305,000 | 305,146 |
Series 2015A, Rev., 5.00%, 2/15/2026 | 25,000 | 25,423 |
Total Connecticut | 21,674,568 | |
Delaware — 0.0% ^ | ||
County of New Castle GO, 5.00%, 4/1/2024 | 25,000 | 25,030 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Delaware — continued | ||
Delaware River and Bay Authority Series C, Rev., 5.00%, 5/1/2024 | 120,000 | 120,282 |
Delaware State Economic Development Authority, Delmarva Power and Light Co. Project Series 2020A, Rev., 1.05%, 7/1/2025 (c) | 715,000 | 687,575 |
Total Delaware | 832,887 | |
District of Columbia — 1.3% | ||
District of Columbia Housing Finance Agency, Multifamily Housing Edgewood Apartments Project Series 2023, Rev., FHA, 5.00%, 6/1/2026 (c) | 5,900,000 | 6,027,606 |
District of Columbia Housing Finance Agency, Paxton Project Series 2022, Rev., 4.00%, 9/1/2025 (c) | 4,045,000 | 4,053,892 |
District of Columbia, Children's Hospital Obligated Group | ||
Series 2015, Rev., 5.00%, 7/15/2024 | 675,000 | 677,880 |
Series 2015, Rev., 5.00%, 7/15/2025 | 110,000 | 112,229 |
Series 2015, Rev., 5.00%, 7/15/2027 | 155,000 | 160,089 |
Series 2015, Rev., 5.00%, 7/15/2028 | 100,000 | 102,957 |
Series 2015, Rev., 5.00%, 7/15/2029 | 80,000 | 82,368 |
District of Columbia, Federal Highway Rev., 5.00%, 12/1/2024 | 320,000 | 320,407 |
District of Columbia, Gallery Place Project Rev., 5.00%, 6/1/2024 | 100,000 | 100,131 |
District of Columbia, National Public Radio, Inc. Rev., 5.00%, 4/1/2024 (b) | 100,000 | 100,120 |
District of Columbia, Water and Sewer Authority, Public Utility, Subordinate Lien Series 2014C, Rev., 5.00%, 10/1/2024 | 25,000 | 25,262 |
Metropolitan Washington Airports Authority Aviation | ||
Series 2010C-2, Rev., VRDO, LOC : TD Bank NA, 3.30%, 3/11/2024 (c) | 20,000,000 | 20,000,000 |
Series 2019 B, Rev., 5.00%, 10/1/2026 | 30,000 | 31,648 |
Series 2014A, Rev., AMT, 5.00%, 10/1/2028 | 365,000 | 367,178 |
Series 2021A, Rev., AMT, 5.00%, 10/1/2028 | 1,355,000 | 1,457,117 |
Washington Metropolitan Area Transit Authority | ||
Series 2017B, Rev., 5.00%, 7/1/2024 | 95,000 | 95,524 |
Series A-1, Rev., 5.00%, 7/1/2024 | 40,000 | 40,220 |
Series A-1, Rev., 5.00%, 7/1/2027 | 50,000 | 53,401 |
Total District of Columbia | 33,808,029 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 197 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Florida — 5.6% | ||
Alachua County School Board Series 2020, COP, AGM, 5.00%, 7/1/2027 | 20,000 | 21,393 |
Brevard County Health Facilities Authority, Health First, Inc., Project Rev., 5.00%, 4/1/2024 | 500,000 | 500,353 |
Brevard County School District | ||
Series C, COP, 5.00%, 7/1/2026 | 75,000 | 76,726 |
Series 2014, COP, 5.00%, 7/1/2027 | 260,000 | 261,205 |
Series 2014, COP, 5.00%, 7/1/2028 | 165,000 | 165,733 |
Capital Trust Agency, Inc., Sustainability Bonds -The Marie | ||
Rev., 4.00%, 6/15/2024 (e) | 1,000,000 | 997,140 |
Rev., 4.00%, 6/15/2025 (e) | 340,000 | 335,647 |
Central Florida Expressway Authority, Senior Lien | ||
Series 2017, Rev., 5.00%, 7/1/2024 | 75,000 | 75,401 |
Series 2016B, Rev., 5.00%, 7/1/2025 | 80,000 | 81,985 |
Series 2016 B, Rev., 5.00%, 7/1/2026 | 35,000 | 36,583 |
Series 2016 B, Rev., 5.00%, 7/1/2027 | 105,000 | 109,499 |
Series 2016 B, Rev., 5.00%, 7/1/2028 | 160,000 | 166,527 |
Central Florida Tourism Oversight District Series 2017A, GO, 5.00%, 6/1/2025 | 100,000 | 102,121 |
City of Gainesville, Utilities System | ||
Series 2017A, Rev., 5.00%, 10/1/2024 | 95,000 | 95,952 |
Series 2017 A, Rev., 5.00%, 10/1/2028 | 20,000 | 21,545 |
City of Jacksonville | ||
Series 2016, Rev., 5.00%, 10/1/2025 | 25,000 | 25,810 |
Series B, Rev., 5.00%, 10/1/2025 (b) | 105,000 | 108,092 |
City of Jacksonville, Health Care Facilities, Baptist Health Series 2019C, Rev., VRDO, 3.30%, 3/11/2024 (c) | 20,000,000 | 20,000,000 |
City of Lakeland, Department of Electric Utilities Rev., 5.00%, 10/1/2026 | 20,000 | 20,737 |
City of Miami Gardens, Florida General Series 2014, GO, 5.00%, 7/1/2024 (b) | 50,000 | 50,268 |
City of Orlando, Capital Improvement | ||
Series 2016B, Rev., 5.00%, 10/1/2024 | 125,000 | 126,238 |
Series 2018 B, Rev., 5.00%, 10/1/2024 | 35,000 | 35,347 |
City of Orlando, Florida Contract Tourist Development Tax Payments | ||
Series 2014A, Rev., 5.00%, 5/1/2024 (b) | 20,000 | 20,050 |
Series 2014A, Rev., 5.25%, 5/1/2024 (b) | 165,000 | 165,478 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Florida — continued | ||
City of South Miami Health Facilities Authority, Inc., Baptist Health South Florida Obligated Group Rev., 5.00%, 8/15/2028 | 45,000 | 48,000 |
City of Tallahassee, Energy System | ||
Series 2020, Rev., 5.00%, 10/1/2025 | 50,000 | 51,597 |
Series 2020, Rev., 5.00%, 10/1/2027 | 65,000 | 69,833 |
County of Broward, Airport System | ||
Series Q-1, Rev., 5.00%, 10/1/2024 | 430,000 | 430,412 |
Series Q-1, Rev., 5.00%, 10/1/2025 | 195,000 | 195,205 |
Series 2013C, Rev., 5.25%, 10/1/2026 | 100,000 | 100,080 |
County of Hillsborough, Communications Services Tax Rev., 5.00%, 10/1/2024 | 35,000 | 35,371 |
County of Hillsborough, Community Investment Tax Rev., 5.00%, 11/1/2025 | 25,000 | 25,797 |
County of Hillsborough, Wastewater Impact Fee Series 2021, Rev., 5.00%, 5/1/2024 | 250,000 | 250,587 |
County of Lee, Tourist Development Tax Series 2019A, Rev., 5.00%, 10/1/2024 | 25,000 | 25,252 |
County of Lee, Transportation Facilities | ||
Rev., AGM, 5.00%, 10/1/2024 | 1,500,000 | 1,512,291 |
Series 2014, Rev., AGM, 5.00%, 10/1/2027 | 2,550,000 | 2,568,716 |
County of Lee, Water and Sewer Series A, Rev., 5.00%, 10/1/2024 | 145,000 | 145,186 |
County of Miami-Dade | ||
Series 2016 B, Rev., 5.00%, 4/1/2024 | 280,000 | 280,337 |
Series 2019B, Rev., 5.00%, 4/1/2024 | 115,000 | 115,138 |
Series 2016B, Rev., 5.00%, 4/1/2027 | 175,000 | 181,918 |
County of Miami-Dade, Aviation System | ||
Series 2020A, Rev., 5.00%, 10/1/2024 | 400,000 | 403,620 |
Series B, Rev., 5.00%, 10/1/2024 | 400,000 | 400,459 |
Series A, Rev., 5.00%, 10/1/2025 | 320,000 | 328,925 |
Series B, Rev., 5.00%, 10/1/2026 | 260,000 | 265,702 |
Series A, Rev., 5.00%, 10/1/2027 | 145,000 | 151,401 |
Series A, Rev., 5.00%, 10/1/2028 | 155,000 | 161,509 |
County of Miami-Dade, Building Better Communities Program | ||
Series 2016A, GO, 5.00%, 7/1/2024 | 30,000 | 30,165 |
Series 2015B, GO, 5.00%, 7/1/2026 | 270,000 | 271,595 |
Series 2015-D, GO, 5.00%, 7/1/2028 | 20,000 | 20,900 |
County of Miami-Dade, Transit System Rev., 5.00%, 7/1/2026 | 25,000 | 25,543 |
County of Miami-Dade, Water and Sewer System | ||
Series 2015, Rev., 5.00%, 10/1/2024 | 250,000 | 252,633 |
198 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Florida — continued | ||
Series 2015, Rev., 5.00%, 10/1/2026 | 100,000 | 102,709 |
County of Polk Utility System Series 2013, Rev., 5.00%, 10/1/2024 | 65,000 | 65,092 |
County of St. Lucie Series 2017, Rev., 5.00%, 10/1/2024 | 25,000 | 25,233 |
County of St. Lucie, Power and Light Co., Project Rev., VRDO, 3.85%, 3/1/2024 (c) | 45,750,000 | 45,750,000 |
Duval County Public Schools | ||
Series 2022A, COP, 5.00%, 7/1/2024 | 150,000 | 150,705 |
Series 2022A, COP, AGM, 5.00%, 7/1/2026 | 340,000 | 356,161 |
Series 2015B, COP, 5.00%, 7/1/2027 | 20,000 | 20,465 |
Escambia County School Board Series 2020A, COP, 5.00%, 2/1/2026 | 175,000 | 180,359 |
Florida Department of Environmental Protection | ||
Series 2014A, Rev., 5.00%, 7/1/2024 | 60,000 | 60,325 |
Series 2015A, Rev., 5.00%, 7/1/2024 | 65,000 | 65,352 |
Series 2016A, Rev., 5.00%, 7/1/2024 | 65,000 | 65,352 |
Series 2016A, Rev., 5.00%, 7/1/2027 | 720,000 | 753,713 |
Florida Department of Environmental Protection, Everglades Restoration Series 2022A, Rev., 5.00%, 7/1/2024 | 30,000 | 30,163 |
Florida Department of Management Services | ||
Series 2015A, COP, 5.00%, 8/1/2024 | 140,000 | 140,948 |
Series 2017A, Rev., 5.00%, 9/1/2024 | 200,000 | 201,777 |
Series 2018A, COP, 5.00%, 11/1/2024 | 25,000 | 25,283 |
Series 2018A, COP, 5.00%, 11/1/2026 | 20,000 | 21,114 |
Florida Development Finance Corp., Nova Southeastern University Project Series 2020A, Rev., 5.00%, 4/1/2024 | 225,000 | 225,255 |
Florida Gulf Coast University Financing Corp., Housing Project Series 2008A, Rev., VRDO, LOC : TD Bank NA, 3.31%, 3/11/2024 (c) | 9,325,000 | 9,325,000 |
Florida Higher Educational Facilities Financial Authority, Rollins College Project Series 2012B, Rev., 3.13%, 12/1/2025 | 100,000 | 98,904 |
Florida Housing Finance Corp., Culmer Apartments Series 2023C, Rev., 5.00%, 12/1/2025 (c) | 4,665,000 | 4,761,059 |
Florida Housing Finance Corp., Hampton Point Apartments Series 2023E, Rev., 5.00%, 5/1/2025 (c) | 2,530,000 | 2,565,495 |
Florida Municipal Power Agency, All-Requirements Power Supply Project | ||
Series 2016A, Rev., 5.00%, 10/1/2024 | 100,000 | 100,933 |
Series 2017A, Rev., 5.00%, 10/1/2025 | 195,000 | 200,439 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Florida — continued | ||
Series 2015B, Rev., 5.00%, 10/1/2026 | 25,000 | 25,625 |
Series 2016A, Rev., 5.00%, 10/1/2026 | 650,000 | 682,727 |
Series 2017 A, Rev., 5.00%, 10/1/2026 | 30,000 | 31,510 |
Series 2016A, Rev., 5.00%, 10/1/2027 | 60,000 | 62,907 |
Series 2017 A, Rev., 5.00%, 10/1/2027 | 100,000 | 107,013 |
Series 2018A, Rev., 4.00%, 10/1/2028 | 25,000 | 25,835 |
Series 2016A, Rev., 5.00%, 10/1/2028 | 370,000 | 387,648 |
FSU Financial Assistance, Inc. Series 2012C, Rev., 3.00%, 10/1/2025 | 100,000 | 99,346 |
Hillsborough County Aviation Authority, Tampa International Airport Series 2022A, Rev., AMT, 5.00%, 10/1/2027 | 3,000,000 | 3,173,771 |
Hillsborough County, Aviation Authority, Tampa International Airport Series 2015B, Rev., 5.00%, 10/1/2024 (b) | 5,160,000 | 5,211,110 |
Jacksonville Transportation Authority, Senior Lien Gas Tax Rev., 5.00%, 8/1/2024 | 25,000 | 25,167 |
JEA Water and Sewer System | ||
Series 2008A-1, Rev., VRDO, LIQ : US Bank NA, 3.45%, 3/1/2024 (c) | 12,700,000 | 12,700,000 |
Series 2014A, Rev., 5.00%, 4/1/2024 (b) | 75,000 | 75,087 |
Series 2017A, Rev., 5.00%, 10/1/2024 | 100,000 | 101,059 |
Lee County School Board (The) | ||
Series 2014B, COP, 5.00%, 8/1/2024 | 25,000 | 25,146 |
Series 2014B, COP, 5.00%, 8/1/2026 | 25,000 | 25,135 |
Series 2019A, COP, 5.00%, 8/1/2026 | 35,000 | 36,710 |
Lee Memorial Health System Series A-1, Rev., 5.00%, 4/1/2024 | 215,000 | 215,168 |
Miami Beach Redevelopment Agency Series A, Rev., 5.00%, 2/1/2028 | 575,000 | 576,974 |
Miami-Dade County Educational Facilities Authority Series B, Rev., AMBAC, 5.25%, 4/1/2024 | 505,000 | 505,565 |
Miami-Dade County Expressway Authority | ||
Series 2014B, Rev., 5.00%, 7/1/2024 | 185,000 | 185,707 |
Series 2014 A, Rev., 5.00%, 7/1/2027 | 375,000 | 376,592 |
Series 2014B, Rev., 5.00%, 7/1/2027 | 1,000,000 | 1,004,245 |
Series 2016A, Rev., 5.00%, 7/1/2028 | 20,000 | 20,684 |
Series 2014 A, Rev., 5.00%, 7/1/2029 | 150,000 | 150,695 |
Miami-Dade County Housing Finance Authority, Quail Roost Transit Village Series 2023, Rev., 5.00%, 9/1/2025 (c) | 2,250,000 | 2,286,615 |
Miami-Dade County Housing Finance Authority, Santa Clara II Apartments Series 2023, Rev., 5.00%, 10/1/2025 (c) | 4,975,000 | 5,091,403 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 199 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Florida — continued | ||
Orange County Health Facilities Authority, Orlando Health Obligated Group Series 2019B, Rev., 5.00%, 10/1/2025 | 1,010,000 | 1,038,954 |
Orange County School Board | ||
Series 2015D, COP, 5.00%, 8/1/2024 | 100,000 | 100,677 |
Series 2015C, COP, 5.00%, 8/1/2025 (b) | 40,000 | 41,092 |
Series 2015D, COP, 5.00%, 8/1/2025 (b) | 80,000 | 82,183 |
Orlando Utilities Commission, Utility System | ||
Series 2013A, Rev., 5.00%, 10/1/2024 | 260,000 | 262,679 |
Series 2013A, Rev., 5.00%, 10/1/2025 | 500,000 | 515,424 |
Palm Beach County Health Facilities Authority, Baptist Health South Florida Obligated Group Rev., 5.00%, 8/15/2024 | 1,195,000 | 1,202,716 |
Palm Beach County School District | ||
Series 2015B, COP, 5.00%, 8/1/2024 | 150,000 | 150,973 |
Series 2015D, COP, 5.00%, 8/1/2024 | 85,000 | 85,551 |
Series 2018B, COP, 5.00%, 8/1/2024 | 50,000 | 50,324 |
Series 2014B, COP, 5.00%, 8/1/2025 | 45,000 | 46,141 |
Series 2017B, COP, 5.00%, 8/1/2025 | 180,000 | 184,562 |
Series 2015B, COP, 5.00%, 8/1/2027 | 25,000 | 25,634 |
Pasco County School Board | ||
Series 2013A, COP, 5.00%, 8/1/2024 | 1,315,000 | 1,316,368 |
Series 2013, Rev., 5.00%, 10/1/2024 | 520,000 | 524,943 |
Series 2022A, COP, 5.00%, 8/1/2025 | 330,000 | 337,630 |
Polk County School District Series 2019B, COP, 5.00%, 1/1/2025 | 150,000 | 151,962 |
Polk County School District, Sales Tax Rev., 5.00%, 10/1/2024 | 30,000 | 30,306 |
Sarasota County Public Hospital District, Sarasota Memorial Hospital Series 1998B, Rev., NATL - RE, 5.25%, 7/1/2024 | 345,000 | 346,886 |
School Board of Miami-Dade County (The), Florida Certificates Of Participation | ||
Series 2014A, COP, 5.00%, 5/1/2024 (b) (c) | 1,805,000 | 1,809,238 |
Series 2015A, COP, 5.00%, 5/1/2024 | 25,000 | 25,055 |
Series 2014D, COP, 5.00%, 11/1/2024 | 170,000 | 171,722 |
Series 2015D, COP, 5.00%, 2/1/2025 | 895,000 | 907,974 |
Series 2015A, COP, 5.00%, 5/1/2025 | 180,000 | 183,428 |
Series 2015C, COP, 5.00%, 5/1/2025 | 150,000 | 152,857 |
Series 2014D, COP, 5.00%, 11/1/2025 | 585,000 | 591,616 |
Series 2015D, COP, 5.00%, 2/1/2026 | 385,000 | 397,582 |
Series 2015A, COP, 5.00%, 5/1/2026 | 265,000 | 269,881 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Florida — continued | ||
Series 2015A, COP, 5.00%, 7/1/2026 | 225,000 | 230,032 |
Series 2014D, COP, 5.00%, 11/1/2026 | 275,000 | 277,877 |
Series 2015D, COP, 5.00%, 2/1/2027 | 150,000 | 155,331 |
Series 2015A, COP, AGM, 5.00%, 5/1/2027 | 330,000 | 336,386 |
Series 2016B, COP, 5.00%, 8/1/2027 | 95,000 | 99,375 |
Series 2015A, COP, 5.00%, 5/1/2028 | 110,000 | 111,900 |
Series 2015D, COP, 5.00%, 5/1/2028 | 345,000 | 350,960 |
School District of Broward County, Florida Certificates Of Participation | ||
Series 2015A, COP, 5.00%, 7/1/2024 | 255,000 | 256,290 |
Series 2015B, COP, 5.00%, 7/1/2024 | 215,000 | 216,123 |
Series C, COP, 5.00%, 7/1/2024 | 285,000 | 286,442 |
Series 2015B, COP, 5.00%, 7/1/2025 | 220,000 | 225,198 |
Series A, COP, 5.00%, 7/1/2025 | 80,000 | 81,890 |
Series A, COP, 5.00%, 7/1/2026 | 40,000 | 41,947 |
Series C, COP, 5.00%, 7/1/2026 | 20,000 | 20,974 |
Series 2015B, COP, 5.00%, 7/1/2027 | 25,000 | 25,598 |
Series A, COP, 5.00%, 7/1/2027 | 25,000 | 26,079 |
Series B, COP, 5.00%, 7/1/2027 | 150,000 | 156,473 |
Series 2015A, COP, 5.00%, 7/1/2028 | 405,000 | 414,111 |
Series 2015A, COP, AGM, 5.00%, 7/1/2028 | 270,000 | 276,180 |
Series A, COP, 5.00%, 7/1/2028 | 310,000 | 323,946 |
Seacoast Utility Authority Series B, Rev., 5.00%, 3/1/2024 | 135,000 | 135,000 |
South Broward Hospital District, Memorial Healthcare System | ||
Series 2016, Rev., 5.00%, 5/1/2024 | 160,000 | 160,430 |
Rev., 4.00%, 5/1/2026 | 215,000 | 219,676 |
South Florida Water Management District Series 2015, COP, 5.00%, 10/1/2024 | 40,000 | 40,405 |
St. Johns County School Board, Sales Tax Rev., 5.00%, 10/1/2024 | 70,000 | 70,673 |
State of Florida Series 2023A, GO, 5.00%, 6/1/2026 | 125,000 | 131,109 |
State of Florida Board of Education, Public Education Capital Outlay Series 2015A, GO, 5.00%, 6/1/2026 | 35,000 | 35,174 |
State of Florida Department of Education | ||
Series 2021A, Rev., 5.00%, 7/1/2024 | 1,000,000 | 1,004,636 |
Series 2018A, Rev., 5.00%, 7/1/2025 | 1,000,000 | 1,022,712 |
State of Florida Department of Transportation Rev., 5.00%, 7/1/2024 | 75,000 | 75,438 |
200 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Florida — continued | ||
State of Florida Department of Transportation Turnpike System | ||
Series 2023 A, Rev., 5.00%, 7/1/2024 | 45,000 | 45,250 |
Series 2016B, Rev., 2.50%, 7/1/2026 | 20,000 | 19,632 |
State of Florida, Public Education Capital Outlay Series 2015 A, GO, 5.00%, 6/1/2025 | 210,000 | 210,907 |
State of Florida, State Board of Education, Lottery Series 2014A, Rev., 3.00%, 7/1/2025 | 70,000 | 69,934 |
Total Florida | 148,607,728 | |
Georgia — 0.1% | ||
Braselton Urban Redevelopment Agency, Municipal Facilities Project Rev., GTD, 4.00%, 7/1/2024 | 30,000 | 30,045 |
Carroll County School District, Sales Tax Series 2020, GO, 5.00%, 4/1/2024 | 80,000 | 80,102 |
City of Atlanta, Public Improvement GO, 4.75%, 12/1/2024 (b) | 30,000 | 30,376 |
City of Atlanta, Water and Wastewater Rev., 5.00%, 11/1/2026 | 25,000 | 25,590 |
Cobb County Kennestone Hospital Authority Rev., 5.00%, 4/1/2024 | 80,000 | 80,087 |
Cobb County Kennestone Hospital Authority, Wellstar Health System, Inc., Project Series 2020B, Rev., 5.00%, 4/1/2025 | 500,000 | 509,296 |
Columbus Medical Center Hospital Authority, Piedmont Healthcare Inc., Project Series 2019A, Rev., 5.00%, 7/1/2026 (c) | 235,000 | 241,225 |
County of DeKalb, Special Transportation, Parks and Greenspace and Libraries Tax GO, 5.00%, 12/1/2025 | 40,000 | 41,426 |
DeKalb Private Hospital Authority, Children's Healthcare Of Atlanta Series 2019B, Rev., 5.00%, 7/1/2024 | 75,000 | 75,377 |
Downtown Marietta Development Authority, Marietta School Project Series 2018, Rev., 5.00%, 3/1/2024 | 100,000 | 100,000 |
Forsyth County Water and Sewerage Authority Series 2012, Rev., GTD, 5.00%, 4/1/2024 (b) | 125,000 | 125,155 |
Gainesville and Hall County Development Authority, Hall County Facilities Project Rev., 5.00%, 5/1/2024 | 20,000 | 20,053 |
Gainesville and Hall County Hospital Authority, Northeast Georgia Health System, Inc., Project Series 2014A, Rev., GTD, 5.25%, 2/15/2025 (b) | 330,000 | 336,682 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Georgia — continued | ||
Henry County School District Series 2016, GO, 5.00%, 8/1/2025 | 25,000 | 25,689 |
Houston Healthcare System, Inc. Series 2016 A, Rev., 5.00%, 4/1/2024 (b) | 140,000 | 140,131 |
Municipal Electric Authority of Georgia Project Series 2016 A, Rev., 5.00%, 1/1/2026 | 65,000 | 67,153 |
Paulding County School District GO, 5.00%, 2/1/2025 (b) | 50,000 | 50,837 |
Richmond County Board of Education Series 2021, GO, 5.00%, 10/1/2024 | 430,000 | 434,259 |
Walton County School District Series 2012, GO, 5.25%, 8/1/2025 | 50,000 | 51,501 |
Total Georgia | 2,464,984 | |
Hawaii — 0.0% ^ | ||
City and County Honolulu, Wastewater System Series B, Rev., 5.00%, 7/1/2024 | 25,000 | 25,143 |
City and County of Honolulu | ||
Series C, GO, 5.00%, 10/1/2024 | 25,000 | 25,263 |
Series 2012C, GO, 3.00%, 11/1/2025 | 175,000 | 174,570 |
County of Maui Series 2020, GO, 5.00%, 3/1/2024 | 25,000 | 25,000 |
State of Hawaii | ||
Series FG, GO, 5.00%, 10/1/2024 | 25,000 | 25,268 |
Series FH, GO, 5.00%, 10/1/2024 | 105,000 | 106,124 |
Series ET, GO, 5.00%, 10/1/2028 | 25,000 | 25,689 |
Series EO, GO, 5.00%, 8/1/2029 | 40,000 | 40,279 |
Total Hawaii | 447,336 | |
Idaho — 0.4% | ||
Ada & Canyon Counties Joint School District No. 2 Meridian Series 2015, GO, 5.00%, 8/15/2025 (b) | 2,515,000 | 2,585,531 |
Idaho Housing and Finance Association, Federal Highway Trust | ||
Series 2015A, Rev., 5.00%, 7/15/2025 | 75,000 | 77,126 |
Series 2015A, Rev., 5.00%, 7/15/2026 | 70,000 | 73,394 |
Idaho Housing and Finance Association, Single Family Mortgage Series 2009A, Class I, Rev., VRDO, 3.48%, 3/11/2024 (c) | 1,995,000 | 1,995,000 |
Twin Falls County School District No. 411 Twin Falls | ||
Series A, GO, 4.25%, 9/15/2024 (b) | 4,025,000 | 4,046,738 |
Series A, GO, 4.50%, 9/15/2024 (b) | 2,235,000 | 2,249,986 |
Total Idaho | 11,027,775 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 201 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Illinois — 5.4% | ||
Champaign County Community Unit School District No. 4 Champaign Series 2017, GO, 5.00%, 1/1/2025 | 25,000 | 25,358 |
Chicago Board of Education, Unlimited Tax Series 2018A, GO, AGM, 5.00%, 12/1/2024 | 275,000 | 277,189 |
Chicago Midway International Airport Series 2014A, Rev., AMT, 5.00%, 4/3/2024 | 3,000,000 | 3,003,506 |
Chicago O'Hare International Airport, Customer Facility Charge Senior Lien Series B, Rev., 5.00%, 1/1/2027 | 130,000 | 131,738 |
Chicago O'Hare International Airport, General Airport, Senior Lien | ||
Series B, Rev., 5.00%, 1/1/2025 | 185,000 | 187,783 |
Series C, Rev., 5.00%, 1/1/2025 | 20,000 | 20,301 |
Series 2020B, Rev., 5.00%, 1/1/2026 | 40,000 | 41,469 |
Series 2022D, Rev., 5.00%, 1/1/2026 | 215,000 | 222,897 |
Series B, Rev., 5.00%, 1/1/2026 | 235,000 | 237,703 |
Series E, Rev., 5.00%, 1/1/2026 | 225,000 | 233,264 |
Series 2022D, Rev., 5.00%, 1/1/2027 | 30,000 | 31,773 |
Series A, Rev., 5.00%, 1/1/2027 | 70,000 | 74,137 |
Series C, Rev., 5.00%, 1/1/2027 | 175,000 | 180,886 |
Series B, Rev., 5.00%, 1/1/2028 | 775,000 | 785,421 |
Series C, Rev., 5.00%, 1/1/2028 | 20,000 | 21,087 |
Chicago Transit Authority Capital Grant Receipts Series 2017, Rev., 5.00%, 6/1/2024 | 1,565,000 | 1,568,632 |
City of Chicago, Sales Tax Series 2002, Rev., 5.00%, 1/1/2025 (b) | 150,000 | 152,072 |
City of Decatur | ||
GO, 4.00%, 3/1/2024 | 120,000 | 120,000 |
GO, 4.00%, 3/1/2025 | 195,000 | 196,299 |
GO, 4.00%, 3/1/2026 | 340,000 | 346,184 |
GO, 4.00%, 3/1/2027 | 200,000 | 206,214 |
City of Springfield, Electric System, Senior Lien | ||
Series 2015, Rev., 5.00%, 3/1/2025 | 130,000 | 131,895 |
Rev., 5.00%, 3/1/2028 | 60,000 | 60,746 |
County of Cook | ||
Series 2022A, GO, 5.00%, 11/15/2024 | 1,250,000 | 1,263,059 |
Series 2022 A, GO, 5.00%, 11/15/2025 | 95,000 | 97,731 |
Series 2021B, GO, 4.00%, 11/15/2026 | 120,000 | 123,331 |
Series 2021A, GO, 5.00%, 11/15/2028 | 110,000 | 120,484 |
Du Page and Will Counties Community School District No. 204 Indian Prairie GO, 4.00%, 12/30/2024 | 100,000 | 100,573 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Illinois — continued | ||
DuPage County Community Unit School District No. 200 Wheaton-Warrenville Series 2019, GO, 5.00%, 10/1/2024 | 75,000 | 75,662 |
Illinois Finance Authority, Advocate Health Care | ||
Series 2013A, Rev., 5.00%, 6/1/2024 | 50,000 | 50,033 |
Series 2014, Rev., 5.00%, 8/1/2024 (b) | 19,525,000 | 19,650,844 |
Illinois Finance Authority, Advocate Health Care Network Series 2014, Rev., 5.00%, 8/1/2024 (b) | 115,000 | 115,741 |
Illinois Finance Authority, Edward Elmhurst Healthcare Series 2017 A, Rev., 5.00%, 1/1/2027 (b) | 25,000 | 26,533 |
Illinois Finance Authority, Northwestern University Series 2015, Rev., 5.00%, 12/1/2026 | 80,000 | 82,555 |
Illinois Finance Authority, OSF Healthcare System | ||
Series 2015A, Rev., 5.00%, 11/15/2024 | 140,000 | 141,269 |
Series 2020 B-1, Rev., 5.00%, 11/15/2024 (c) | 2,660,000 | 2,665,102 |
Illinois Finance Authority, Presbyterian Homes Obligated Group Series 2021B, Rev., (SIFMA Municipal Swap Index Yield + 0.70%), 4.00%, 3/7/2024 (d) | 5,790,000 | 5,678,735 |
Illinois Finance Authority, Riverside Health System Rev., 5.00%, 11/15/2024 | 1,680,000 | 1,682,173 |
Illinois Finance Authority, Rush University Medical Center Obligated Group | ||
Series 2015A, Rev., 5.00%, 11/15/2024 | 860,000 | 868,391 |
Series 2015A, Rev., 5.00%, 11/15/2025 | 440,000 | 448,467 |
Series 2015A, Rev., 5.00%, 11/15/2027 | 70,000 | 71,331 |
Series 2015A, Rev., 5.00%, 11/15/2028 | 125,000 | 127,320 |
Illinois Finance Authority, State Clean Water Initiative | ||
Series 2017, Rev., 5.00%, 7/1/2024 | 100,000 | 100,535 |
Series 2019, Rev., 5.00%, 7/1/2024 | 50,000 | 50,268 |
Series 2016, Rev., 4.00%, 7/1/2026 | 60,000 | 61,230 |
Series 2016, Rev., 5.00%, 1/1/2028 | 160,000 | 165,877 |
Illinois Finance Authority, Swedish Covenant Hospital | ||
Series 2016A, Rev., 5.00%, 8/15/2026 (b) | 355,000 | 370,731 |
Series 2016 A, Rev., 5.25%, 8/15/2026 (b) | 60,000 | 63,010 |
Illinois Finance Authority, The Carle Foundation | ||
Series 2021A, Rev., 5.00%, 8/15/2025 | 40,000 | 40,938 |
202 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Illinois — continued | ||
Series 2021A, Rev., 5.00%, 8/15/2028 | 270,000 | 293,596 |
Illinois Finance Authority, The University of Chicago Medical Center Series A, Rev., 5.00%, 8/15/2024 | 505,000 | 507,925 |
Illinois Finance Authority, University of Chicago Series 2015A, Rev., 5.00%, 10/1/2025 (b) | 27,000,000 | 27,774,020 |
Illinois Finance Authority, University Of Chicago Series 2014A, Rev., 5.00%, 10/1/2026 | 65,000 | 65,547 |
Illinois Housing Development Authority Rev., FHA, 4.00%, 6/1/2025 (c) | 2,785,000 | 2,789,917 |
Illinois Municipal Electric Agency, Power Supply System | ||
Series 2015A, Rev., 5.00%, 2/1/2025 | 45,000 | 45,600 |
Series 2015A, Rev., 5.00%, 2/1/2026 | 300,000 | 306,967 |
Illinois State Toll Highway Authority | ||
Series 2013A, Rev., 5.00%, 4/2/2024 | 2,340,000 | 2,342,825 |
Series 2014B, Rev., 5.00%, 4/2/2024 | 1,640,000 | 1,641,915 |
Series 2019 B, Rev., 5.00%, 1/1/2026 | 20,000 | 20,745 |
Kankakee & Will Counties Community Unit School District No. 5 Series 2015, GO, 4.00%, 5/1/2025 | 100,000 | 99,997 |
Lake Cook Kane & McHenry Counties Community Unit School District 220 Barrington Series 2022, GO, 5.00%, 12/1/2024 | 170,000 | 172,214 |
Lake County School District No. 112 North Shore Series 2022, GO, 5.00%, 12/1/2024 | 335,000 | 339,313 |
Northern Illinois Municipal Power Agency Series 2016 A, Rev., 5.00%, 12/1/2026 | 45,000 | 47,455 |
Public Building Commission of Chicago Series 2006, Rev., AMBAC, 5.25%, 3/1/2024 | 1,000,000 | 1,000,000 |
Railsplitter Tobacco Settlement Authority | ||
Rev., 5.00%, 6/1/2025 (b) | 330,000 | 337,000 |
Series 2017, Rev., 5.00%, 6/1/2026 (b) | 645,000 | 672,229 |
Regional Transportation Authority Series 2017A, Rev., 5.00%, 7/1/2024 | 70,000 | 70,372 |
Southwestern Illinois Development Authority Series 2020, Rev., 5.00%, 4/15/2024 | 120,000 | 120,207 |
State of Illinois | ||
Series 2021C, GO, 4.00%, 3/1/2024 | 1,075,000 | 1,075,000 |
Series 2021A, GO, 5.00%, 3/1/2024 | 1,375,000 | 1,375,000 |
Series 2021B, GO, 5.00%, 3/1/2024 | 360,000 | 360,000 |
Series 2022A, GO, 5.00%, 3/1/2024 | 5,840,000 | 5,840,000 |
Series 2022B, GO, 5.00%, 3/1/2024 | 5,760,000 | 5,760,000 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Illinois — continued | ||
Series 2018A, GO, 4.00%, 5/1/2024 | 50,000 | 50,028 |
Series 2018A, GO, 5.00%, 10/1/2024 | 50,000 | 50,417 |
Series 2022B, GO, 5.00%, 3/1/2025 | 1,400,000 | 1,421,284 |
Series 2014, GO, 5.00%, 5/1/2025 | 2,165,000 | 2,169,862 |
Series 2018B, GO, 5.00%, 10/1/2025 | 35,000 | 35,867 |
Series 2020B, GO, 5.00%, 10/1/2025 | 40,000 | 40,991 |
Series 2020D, GO, 5.00%, 10/1/2025 | 45,000 | 46,115 |
Series 2017D, GO, 5.00%, 11/1/2025 | 4,050,000 | 4,155,507 |
Series 2017A, GO, 5.00%, 12/1/2025 | 250,000 | 256,842 |
GO, 5.00%, 2/1/2026 | 25,000 | 25,755 |
Series 2014, GO, 5.00%, 2/1/2026 | 2,000,000 | 2,002,175 |
Series 2021A, GO, 5.00%, 3/1/2026 | 150,000 | 154,745 |
Series 2016-6, GO, 5.00%, 6/1/2026 | 585,000 | 606,125 |
Series 2018B, GO, 5.00%, 10/1/2026 | 125,000 | 130,296 |
Series 2020B, GO, 5.00%, 10/1/2026 | 1,305,000 | 1,360,286 |
Series 2017D, GO, 5.00%, 11/1/2026 | 19,635,000 | 20,501,294 |
Series 2019 A, GO, 5.00%, 11/1/2026 | 50,000 | 52,197 |
Series 2022A, GO, 5.00%, 3/1/2027 | 50,000 | 52,494 |
Series 2023D, GO, 5.00%, 7/1/2028 | 75,000 | 80,702 |
Series 2020B, GO, 5.00%, 10/1/2028 | 175,000 | 188,994 |
Series 2017D, GO, 5.00%, 11/1/2028 | 330,000 | 350,973 |
Series 2021A, GO, 5.00%, 12/1/2028 | 50,000 | 54,154 |
State of Illinois Sales Tax Series 2013, Rev., 5.00%, 6/15/2026 | 1,865,000 | 1,867,717 |
State of Illinois, Sales Tax | ||
Rev., 5.00%, 6/15/2024 | 550,000 | 551,100 |
Series 2016A, Rev., 5.00%, 6/15/2024 | 115,000 | 115,795 |
Series 2002-4, Rev., NATL - RE, 6.00%, 6/15/2024 | 425,000 | 429,117 |
Tender Option Bond Trust Receipts/ Certificates Series 2017-XF2500, Rev., VRDO, LIQ : Wells Fargo Bank NA, 3.35%, 3/11/2024 (c) (e) | 1,840,000 | 1,840,000 |
University of Illinois, Auxiliary Facilities System | ||
Series 2018A, Rev., 5.00%, 4/1/2024 | 120,000 | 120,131 |
Series 2021 A, Rev., 5.00%, 4/1/2024 | 435,000 | 435,473 |
Village of Midlothian GO, AGM, 4.00%, 1/1/2025 | 40,000 | 40,165 |
Village of Rantoul GO, 4.00%, 1/1/2025 | 350,000 | 351,871 |
Will County School District No. 86 Joliet Series 2015C, GO, AGM - CR, 5.00%, 3/1/2024 | 6,005,000 | 6,005,000 |
Total Illinois | 141,099,793 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 203 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Indiana — 0.1% | ||
Avon Community School Building Corp., Ad Valorem Property Tax First Mortgage Rev., 4.00%, 7/15/2024 | 25,000 | 25,053 |
Brownsburg 1999 School Building Corp., Ad Valorem Property Tax First Mortgage Series 2015B, Rev., 5.00%, 7/15/2024 | 30,000 | 30,156 |
Carmel Local Public Improvement Bond Bank Series 2021A, Rev., 4.00%, 7/15/2025 | 65,000 | 65,684 |
Carmel Redevelopment Authority, Option Income Tax Lease Rental Series 2014B, Rev., 5.00%, 7/1/2024 | 70,000 | 70,363 |
City of Indianapolis, Department of Public Utilities Water System Series 2018A, Rev., 5.00%, 10/1/2026 | 25,000 | 26,367 |
Clark Pleasant Middle School Corp., Ad Valorem Property Tax First Mortgage Rev., 4.00%, 1/15/2025 | 35,000 | 35,184 |
Fishers Industrial Redevelopment District, Income Tax Rev., 4.00%, 7/15/2024 | 35,000 | 35,048 |
Fort Wayne Redevelopment Authority Lease Rental Series 2014A, Rev., 3.00%, 8/1/2024 | 50,000 | 49,865 |
Franklin Township-Marion County Multiple School Building Corp. Series 2015B, Rev., 5.00%, 7/15/2024 | 45,000 | 45,053 |
GCS School Building Corp. One, Unlimited Ad Valorem Property Tax First Mortgage Rev., 5.00%, 1/15/2026 | 45,000 | 46,446 |
Indiana Finance Authority Series 2016C, Rev., 5.00%, 12/1/2024 | 40,000 | 40,550 |
Indiana Finance Authority, Community Foundation Of Northern Indiana Obligated Group | ||
Series 2015, Rev., 5.00%, 3/1/2024 | 45,000 | 45,000 |
Series 2016, Rev., 5.00%, 9/1/2026 | 40,000 | 41,760 |
Indiana Finance Authority, CWA Authority Project | ||
Series 2021-2, Rev., 5.00%, 10/1/2024 | 25,000 | 25,240 |
Series 2021-2, Rev., 5.00%, 10/1/2025 | 70,000 | 72,061 |
Indiana Finance Authority, Deaconess Health System Series 2015A, Rev., 4.00%, 3/1/2025 (b) | 90,000 | 90,617 |
Indiana Finance Authority, Franciscan Alliance, Inc., Obligated Group Series 2016B, Rev., 5.00%, 11/1/2024 | 345,000 | 348,721 |
Indiana Finance Authority, Goshen Health Series 2019B, Rev., 2.10%, 11/1/2026 (c) | 60,000 | 57,196 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Indiana — continued | ||
Indiana Finance Authority, Indiana University Health Obligated Group | ||
Series 2019C, Rev., 5.00%, 12/1/2024 | 450,000 | 454,900 |
Series 2019B, Rev., 2.25%, 7/1/2025 (c) | 150,000 | 147,339 |
Indiana Health Facility Financing Authority, Ascension Health Credit Group Series 2005A-7, Rev., 4.00%, 10/1/2025 | 30,000 | 30,477 |
Indiana Municipal Power Agency, Power Supply System | ||
Series 2014A, Rev., 5.00%, 1/1/2027 | 25,000 | 25,341 |
Series 2016C, Rev., 5.00%, 1/1/2027 | 205,000 | 213,502 |
Series 2016C, Rev., 5.00%, 1/1/2028 | 120,000 | 124,922 |
Indianapolis Local Public Improvement Bond Bank Series 2021A, Rev., 5.00%, 6/1/2024 | 395,000 | 396,397 |
Indianapolis Local Public Improvement Bond Bank, Stormwater Project Series 2013D, Rev., 3.25%, 1/1/2025 | 100,000 | 99,930 |
IPS Multi-School Building Corp., First Mortgage Series 2015, Rev., 5.00%, 7/15/2026 | 20,000 | 20,283 |
Ivy Tech Community College of Indiana, Student Fee | ||
Series T, Rev., 5.00%, 7/1/2024 | 70,000 | 70,354 |
Series W, Rev., 5.00%, 7/1/2024 | 30,000 | 30,152 |
Series W, Rev., 5.00%, 7/1/2025 | 25,000 | 25,587 |
Jackson County Building Corp. Rev., 2.00%, 1/15/2025 | 125,000 | 122,887 |
New Prairie United School District Building Corp., First Mortgage Rev., 4.00%, 1/15/2025 | 35,000 | 35,223 |
Pike Township Multi-School Building Corp., First Mortgage Rev., 5.00%, 7/15/2024 | 350,000 | 351,926 |
South Bend Community School Building Corp. Series 2017, Rev., 4.00%, 7/15/2024 | 30,000 | 30,069 |
South Gibson School Building Corp., First Mortgage Rev., 4.00%, 1/10/2025 | 40,000 | 40,256 |
Southmont School Building Corp., Ad Valorem Property Tax, First Mortgage Rev., 5.00%, 1/15/2025 | 20,000 | 20,300 |
Twin Lakes School Building Corp., First Mortgage Rev., 4.00%, 7/15/2024 | 35,000 | 35,042 |
Winfield Building Corp., Indiana Lease Rental, Sewage Works Treatment Plant Project | ||
Series 2020B, Rev., 4.00%, 7/15/2024 | 35,000 | 35,055 |
204 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Indiana — continued | ||
Series 2020B, Rev., 4.00%, 1/15/2025 | 40,000 | 40,193 |
Series 2020B, Rev., 4.00%, 7/15/2025 | 40,000 | 40,362 |
Series 2020A, Rev., 4.00%, 1/15/2026 | 110,000 | 111,561 |
Series 2020B, Rev., 4.00%, 1/15/2026 | 40,000 | 40,568 |
Zionsville Community Schools Building Corp., First Mortgage, Capital Appreciation Series 2003Z, Rev., NATL - RE, Zero Coupon, 1/15/2025 | 25,000 | 24,249 |
Total Indiana | 3,717,239 | |
Iowa — 1.8% | ||
City of Davenport Series 2023, GO, 5.00%, 6/1/2024 | 50,000 | 50,198 |
County of Linn Series 2019, COP, 5.00%, 6/1/2024 | 90,000 | 90,345 |
Iowa Finance Authority, Midwestern Disaster Area, Archer-Daniels-Midland Co. Project Rev., VRDO, 3.55%, 3/11/2024 (c) | 21,600,000 | 21,600,000 |
State of Iowa | ||
Series 2016A, Rev., 5.00%, 6/1/2024 | 60,000 | 60,227 |
Series 2016A, Rev., 5.00%, 6/1/2025 | 40,000 | 40,898 |
State of Iowa Board of Regents, University of Iowa, Hospitals and Clinics Series S, Rev., 5.00%, 9/1/2025 | 25,000 | 25,758 |
University of Iowa (The), Parking System Bond Anticipation Project Series 2023, Rev., BAN, 3.50%, 7/1/2026 | 24,140,000 | 24,075,020 |
Waukee Community School District Series 2019B, GO, 5.00%, 6/1/2024 | 500,000 | 501,890 |
Waukee Community School District Infrastructure Sales Services & Use Tax Series 2017A, Rev., 4.00%, 6/1/2024 | 1,220,000 | 1,221,418 |
Total Iowa | 47,665,754 | |
Kansas — 0.2% | ||
City of Derby Series 2024-1, GO, 4.00%, 12/1/2026 (f) | 4,180,000 | 4,239,839 |
City of Lawrence Series I, GO, 5.00%, 5/1/2024 | 455,000 | 455,878 |
City of Manhattan, Temporary Notes Series 2020-03, GO, 0.75%, 6/15/2024 | 100,000 | 98,808 |
County of Shawnee COP, 3.00%, 9/1/2024 | 35,000 | 34,894 |
Franklin County Unified School District No. 290 Ottawa Series A, GO, 4.00%, 9/1/2025 (b) | 55,000 | 55,767 |
Johnson County Unified School District No. 233 Olathe Series 2016A, GO, 4.00%, 9/1/2024 (b) | 25,000 | 25,095 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Kansas — continued | ||
Kansas Development Finance Authority, University of Kansas Project Series 2020 B, Rev., 5.00%, 5/1/2024 | 55,000 | 55,134 |
Rice County Unified School District No. 376 Sterling Series 2015, GO, AGM, 4.00%, 9/1/2025 (b) | 1,200,000 | 1,215,858 |
Sedgwick County Unified School District No. 266 Maize Series 2017, GO, 5.00%, 9/1/2024 | 100,000 | 100,810 |
Total Kansas | 6,282,083 | |
Kentucky — 0.8% | ||
Campbell Kenton & Boone Counties Sanitation District No. 1 Series 2020, Rev., 5.00%, 8/1/2024 | 25,000 | 25,176 |
Johnson County School District Finance Corp. Series 2023, Rev., 4.00%, 4/1/2024 | 1,000,000 | 1,000,099 |
Kenton County Public Properties Corp., Court Facilities Project Rev., 3.00%, 3/1/2024 | 500,000 | 500,000 |
Kentucky Asset Liability Commission, Federal Highway Trust Fund | ||
Series 2021A, Rev., 5.00%, 11/1/2024 | 615,000 | 621,231 |
Series 2015A, Rev., 5.00%, 9/1/2025 | 165,000 | 169,204 |
Series 2023A, Rev., 5.00%, 9/1/2025 | 130,000 | 133,312 |
Series 2015A, Rev., 5.00%, 9/1/2026 | 260,000 | 266,280 |
Series A, Rev., 5.00%, 9/1/2026 | 40,000 | 40,270 |
Kentucky Economic Development Finance Authority, Catholic Health Initiatives Series 2011B-3, Rev., (SIFMA Municipal Swap Index Yield + 1.40%), 4.70%, 3/7/2024 (d) | 12,715,000 | 12,721,370 |
Kentucky Economic Development Finance Authority, CommonSpirit Health Obligated Group Series 2019A-1, Rev., 5.00%, 8/1/2025 | 685,000 | 698,467 |
Kentucky Municipal Power Agency, Prairie State Project Series 2015A, Rev., NATL - RE, 5.00%, 9/1/2024 | 310,000 | 312,210 |
Kentucky Public Energy Authority, Gas Supply | ||
Series 2018A, Rev., 4.00%, 3/15/2024 (c) | 265,000 | 265,204 |
Series 2020A, Rev., 4.00%, 6/1/2026 (c) | 710,000 | 709,410 |
Kentucky State Property and Building Commission, Project No. 108 | ||
Series B, Rev., 5.00%, 8/1/2024 | 50,000 | 50,284 |
Series B, Rev., 5.00%, 8/1/2026 | 45,000 | 47,241 |
Series A, Rev., 5.00%, 8/1/2028 | 75,000 | 76,825 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 205 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Kentucky — continued | ||
Kentucky State Property and Building Commission, Project No. 112 | ||
Series B, Rev., 5.00%, 11/1/2025 | 100,000 | 102,731 |
Series B, Rev., 5.00%, 11/1/2026 | 75,000 | 79,159 |
Kentucky State Property and Building Commission, Project No. 115 Rev., 5.00%, 4/1/2028 | 20,000 | 21,284 |
Kentucky State Property and Building Commission, Project No. 122 Series A, Rev., 5.00%, 11/1/2027 | 50,000 | 53,830 |
Kentucky State Property and Building Commission, Project No.119 Rev., 5.00%, 5/1/2024 | 700,000 | 701,430 |
Kentucky Turnpike Authority, Revitalization Projects | ||
Series 2014A, Rev., 5.00%, 7/1/2024 | 105,000 | 105,535 |
Series B, Rev., 5.00%, 7/1/2025 | 265,000 | 271,297 |
Series B, Rev., 4.00%, 7/1/2027 | 205,000 | 211,696 |
Series 2016A, Rev., 5.00%, 7/1/2027 | 90,000 | 94,049 |
Lexington-Fayette Urban County Government Sewer System Series 2014A, Rev., 5.00%, 9/1/2024 | 155,000 | 156,339 |
Lexington-Fayette Urban County Government, Various Purpose | ||
Series 2012B, GO, 3.00%, 7/1/2024 | 100,000 | 99,769 |
Series 2017A, GO, 5.00%, 9/1/2024 | 235,000 | 237,031 |
Louisville and Jefferson County Metropolitan Government, Norton Healthcare, Inc. | ||
Series 2016 A, Rev., 5.00%, 10/1/2026 | 25,000 | 26,139 |
Series 2016A, Rev., 5.00%, 10/1/2027 | 25,000 | 25,928 |
Louisville and Jefferson County Metropolitan Sewer District Green Bond Certified Series 2022 A, Rev., 5.00%, 5/15/2024 | 75,000 | 75,260 |
Oldham County School District Finance Corp. Series 2023, Rev., 4.00%, 5/1/2024 | 20,000 | 20,014 |
Scott County School District Finance Corp. Rev., 5.00%, 6/1/2025 | 20,000 | 20,412 |
University of Kentucky, General Receipts | ||
Series 2014A, Rev., 4.00%, 4/1/2024 (b) | 175,000 | 175,061 |
Series 2014A, Rev., 5.00%, 4/1/2024 | 200,000 | 200,222 |
Series 2015B, Rev., 5.00%, 10/1/2024 | 20,000 | 20,190 |
Total Kentucky | 20,333,959 | |
Louisiana — 2.4% | ||
Ascension Parish School Board | ||
Series 2013A, GO, 4.00%, 3/1/2024 (b) | 25,000 | 25,000 |
Series 2020, GO, 4.00%, 3/1/2024 | 280,000 | 280,000 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Louisiana — continued | ||
City of New Orleans, Water System Series 2014, Rev., 5.00%, 12/1/2024 (b) | 45,000 | 45,569 |
East Baton Rouge Sewerage Commission Series 2014B, Rev., 5.00%, 2/1/2025 (b) | 270,000 | 274,740 |
Ernest N Morial New Orleans Exhibition Hall Authority Series 2022, Rev., 5.00%, 7/15/2024 | 375,000 | 376,586 |
Housing And Redevelopment Authority of The City of St. Paul Minnesota, Healtheast care System Series 2014, GO, 5.00%, 3/1/2024 | 25,000 | 25,000 |
Jefferson Parish School Board Series 2015, GO, 5.00%, 3/1/2024 | 50,000 | 50,000 |
Louisiana Local Government Environmental Facilities and Community Development Authority, City Of Lake Charles Public Improvement Projects Series 2017, Rev., 5.00%, 5/1/2024 | 25,000 | 25,061 |
Louisiana Local Government Environmental Facilities and Community Development Authority, LCTCS Act 360 Project Series 2014, Rev., 5.00%, 10/1/2024 (b) | 140,000 | 141,347 |
Louisiana Local Government Environmental Facilities and Community Development Authority, LCTCS Act 391 Project Series 2017, Rev., 5.00%, 10/1/2024 | 1,250,000 | 1,260,029 |
Louisiana Public Facilities Authority, Elementus Minerals, LLC Project Series 2023, Rev., 5.00%, 11/1/2025 (c) (e) | 12,400,000 | 12,560,514 |
Louisiana Public Facilities Authority, Hurricane Recovery Program Series 2014, Rev., 5.00%, 6/1/2024 | 120,000 | 120,462 |
Louisiana Public Facilities Authority, Tulane University of Louisiana Project Series 2016A, Rev., 5.00%, 12/15/2026 | 70,000 | 73,790 |
Louisiana State University and Agricultural and Mechanical College, Auxiliary Facilities System Series 2016A, Rev., 5.00%, 7/1/2024 | 75,000 | 75,299 |
St Charles Parish School District No. 1 Series 2015, GO, 5.00%, 3/1/2024 | 45,000 | 45,000 |
State of Louisiana | ||
Series A, GO, 5.00%, 5/1/2024 | 50,000 | 50,137 |
Series 2014C, GO, 5.00%, 8/1/2025 | 65,000 | 65,480 |
State of Louisiana Gasoline & Fuels Tax | ||
Series 2014B, Rev., 4.00%, 5/1/2024 (b) | 40,000 | 40,044 |
Series 2014B, Rev., 5.00%, 5/1/2024 (b) | 70,000 | 70,187 |
206 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Louisiana — continued | ||
State of Louisiana Gasoline and Fuels Tax | ||
Series 2014B, Rev., 5.00%, 5/1/2024 (b) | 30,000 | 30,080 |
Series A, Rev., 4.50%, 5/1/2025 (b) | 31,500,000 | 31,976,438 |
State of Louisiana Gasoline and Fuels Tax, Second Lien | ||
Series 2023 A-2, Rev., VRDO, LOC : TD Bank NA, 2.95%, 3/1/2024 (c) | 9,000,000 | 9,000,000 |
Series 2022A, Rev., (SOFR + 0.50%), 4.22%, 3/7/2024 (d) | 7,880,000 | 7,732,665 |
Terrebonne Parish Consolidated Government Series 2015, GO, 5.00%, 3/1/2024 | 30,000 | 30,000 |
Total Louisiana | 64,373,428 | |
Maine — 0.0% ^ | ||
Maine Health and Higher Educational Facilities Authority, Mainehealth Series 2020A, Rev., 5.00%, 7/1/2026 | 35,000 | 36,304 |
Maine Municipal Bond Bank Series 2014C, Rev., 5.00%, 11/1/2024 | 25,000 | 25,284 |
Maine School Administrative District No. 51 GO, 4.00%, 8/1/2025 | 50,000 | 50,612 |
University of Maine System Rev., 5.00%, 3/1/2025 | 55,000 | 55,936 |
Total Maine | 168,136 | |
Maryland — 1.1% | ||
County of Baltimore GO, 5.00%, 3/1/2024 | 50,000 | 50,000 |
County of Baltimore, Consolidated Public Improvement GO, 5.00%, 2/1/2025 | 25,000 | 25,441 |
County of Baltimore, Equipment Acquisition Program Series 2022, COP, 5.00%, 3/1/2024 | 430,000 | 430,000 |
County of Charles Series 2016, GO, 5.00%, 10/1/2024 | 100,000 | 101,030 |
County of Montgomery | ||
Series 2020B, COP, 4.00%, 4/1/2024 | 100,000 | 100,035 |
Series 2014A, GO, 5.00%, 11/1/2024 | 45,000 | 45,559 |
Series 2014A, GO, 5.00%, 11/1/2024 (b) | 25,000 | 25,309 |
Series 2015 B, GO, 5.00%, 12/1/2024 | 150,000 | 150,188 |
County of Montgomery, Trinity Health Credit Group Series 2013MD, Rev., VRDO, 3.75%, 6/3/2024 (c) | 14,675,000 | 14,675,000 |
County of Prince George's, Consolidated Public Improvement | ||
Series 2013A, GO, 3.00%, 3/1/2024 | 30,000 | 30,000 |
Series 2014A, GO, 4.00%, 9/1/2024 | 30,000 | 30,110 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Maryland — continued | ||
County of Prince George's, Maryland Chesapeake Lighthouse Charter School Project Series A, Rev., 7.00%, 12/1/2024 (b) | 1,000,000 | 1,044,802 |
County of Worcester Series 2014A, GO, 5.00%, 3/1/2024 | 225,000 | 225,000 |
Maryland Community Development Administration, Housing and Community Development Series 2019A, Rev., 2.10%, 3/1/2024 | 20,000 | 20,000 |
Maryland Health and Higher Educational Facilities Authority, Lifebridge Health Issue Rev., 5.00%, 7/1/2025 | 45,000 | 45,904 |
Maryland Health and Higher Educational Facilities Authority, Medstar Health Issue | ||
Rev., 5.00%, 8/15/2024 | 85,000 | 85,485 |
Series 2013A, Rev., 5.00%, 8/15/2024 | 570,000 | 570,282 |
Series 2020B-1, Rev., 5.00%, 7/1/2025 (c) | 900,000 | 910,671 |
Maryland Health and Higher Educational Facilities Authority, Peninsula Regional Medical Center Series 2015, Rev., 5.00%, 7/1/2024 (b) | 9,320,000 | 9,354,714 |
Maryland Health and Higher Educational Facilities Authority, Western Maryland Health System Series 2014, Rev., 5.25%, 7/1/2024 (b) | 55,000 | 55,320 |
Maryland Stadium Authority, Construction and Revitalization Program Series 2018A, Rev., 5.00%, 5/1/2024 | 25,000 | 25,068 |
Maryland Water Infrastructure Financing Administration Bay Restoration Fund Series 2016, Rev., 5.00%, 3/1/2024 | 220,000 | 220,000 |
State of Maryland | ||
Series 2019 FIRST SERIES, GO, 5.00%, 3/15/2024 | 130,000 | 130,067 |
Series 2020A-1, GO, 5.00%, 3/15/2024 | 515,000 | 515,266 |
Series 2016, GO, 4.00%, 6/1/2028 | 25,000 | 25,009 |
State of Maryland Department of Transportation Series 2015 THIRD ISSUE, Rev., 4.00%, 12/15/2024 | 195,000 | 195,057 |
State of Maryland Department of Transportation, Second Issue Rev., 5.00%, 6/1/2025 | 65,000 | 65,052 |
State of Maryland, State and Local Facilities Loan of 2017 Series A, GO, 5.00%, 3/15/2024 | 100,000 | 100,052 |
Total Maryland | 29,250,421 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 207 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Massachusetts — 1.6% | ||
City of Attleboro Series 2016, GO, 4.00%, 3/15/2024 | 210,000 | 210,038 |
City of Boston | ||
Series 2014A, GO, 4.00%, 3/1/2024 (b) | 40,000 | 40,000 |
Series 2015B, GO, 5.00%, 4/1/2024 | 55,000 | 55,075 |
City of Chicopee Series 2016, GO, 4.00%, 8/15/2024 | 30,000 | 30,110 |
City of Marlborough Series 2020, GO, 5.00%, 5/15/2024 | 20,000 | 20,069 |
City of Springfield Series 2019, GO, 5.00%, 3/1/2024 | 50,000 | 50,000 |
City of Woburn, Municipal Purpose Loan GO, 2.63%, 11/15/2025 | 100,000 | 98,674 |
Commonwealth of Massachusetts | ||
Series B, GO, 5.00%, 4/1/2024 | 20,000 | 20,026 |
Series 2018 C, GO, 5.00%, 4/19/2024 | 1,485,000 | 1,487,326 |
Series 2015A, GO, 5.00%, 5/1/2024 | 80,000 | 80,094 |
Series E, GO, 5.00%, 9/1/2024 | 125,000 | 125,156 |
Commonwealth of Massachusetts Federal Highway, Accelerated Bridge Program Series 2014A, Rev., GAN, 5.00%, 6/15/2024 | 25,000 | 25,120 |
Commonwealth of Massachusetts Federal Highway, Grant Anticipation Note Series 2014A, Rev., GAN, 5.00%, 6/15/2025 | 25,000 | 25,128 |
Massachusetts Development Finance Agency, Caregroup | ||
Series 2015 H-1, Rev., 5.00%, 7/1/2024 (b) | 210,000 | 211,090 |
Series 2015 H-1, Rev., 5.00%, 7/1/2024 | 330,000 | 331,390 |
Series 2015 H-1, Rev., 5.00%, 7/1/2025 (b) | 60,000 | 61,449 |
Series 2015 H-1, Rev., 5.00%, 7/1/2025 | 20,000 | 20,405 |
Massachusetts Development Finance Agency, Children's Hospital Corp Obligated Group Series 2014P, Rev., 5.00%, 10/1/2024 (b) | 17,000,000 | 17,173,242 |
Massachusetts Development Finance Agency, Partners Healthcare System Issue | ||
Series 2019T-1, Rev., (SIFMA Municipal Swap Index Yield + 0.60%), 3.90%, 3/7/2024 (d) (e) | 1,075,000 | 1,071,021 |
Series 2017S-2, Rev., 5.00%, 1/30/2025 (c) | 395,000 | 400,741 |
Massachusetts School Building Authority, Dedicated Sales Tax Series 2018A, Rev., 5.00%, 2/15/2028 | 30,000 | 30,035 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Massachusetts — continued | ||
Massachusetts State College Building Authority | ||
Series 2017D, Rev., 5.00%, 5/1/2024 | 45,000 | 45,127 |
Series 2016A, Rev., 4.00%, 5/1/2025 | 20,000 | 20,224 |
Massachusetts Water Resources Authority | ||
Series 2014F, Rev., 5.00%, 8/1/2024 (b) | 30,000 | 30,218 |
Series 2014F, Rev., 5.00%, 8/1/2024 | 5,000 | 5,038 |
Montachusett Regional Transit Authority Rev., RAN, GTD, 4.50%, 7/26/2024 | 11,000,000 | 11,029,934 |
Nauset Regional School District GO, BAN, 5.00%, 5/16/2024 | 1,000,000 | 1,003,306 |
Southeastern Massachusetts Regional 911 District GO, BAN, 5.00%, 10/10/2024 | 1,739,855 | 1,752,779 |
Springfield Water and Sewer Commission Series 2019 E, Rev., 4.00%, 4/15/2024 | 45,000 | 45,035 |
Town of Hatfield GO, BAN, 4.50%, 5/16/2024 | 2,290,000 | 2,294,779 |
Town of Marshfield, Municipal Purpose Loan GO, 5.00%, 11/1/2024 | 25,000 | 25,036 |
Town of Middleton, Municipal Purpose Loan GO, 2.50%, 8/15/2025 | 40,000 | 39,333 |
Town of Randolph GO, BAN, 4.75%, 6/27/2024 | 3,303,800 | 3,313,941 |
Town of Tewksbury, Municipal Purpose Loan GO, 4.00%, 1/15/2025 | 25,000 | 25,231 |
Town of West Springfield GO, BAN, 4.75%, 6/20/2024 | 1,430,000 | 1,433,671 |
University of Massachusetts Building Authority Series 1, Rev., 5.00%, 11/1/2024 (b) | 45,000 | 45,529 |
Total Massachusetts | 42,675,370 | |
Michigan — 3.5% | ||
Caledonia Community Schools Series 2014, GO, Q-SBLF, 5.00%, 5/1/2024 | 65,000 | 65,175 |
City of Battle Creek Series 2018, GO, 5.00%, 5/1/2024 | 25,000 | 25,056 |
City of Brighton Series 2021, GO, 4.00%, 10/1/2024 | 80,000 | 80,341 |
City of Detroit, Unlimited Tax Series 2004A, Rev., AGM, 5.25%, 7/1/2024 | 25,000 | 25,154 |
City of Grand Rapids, Capital Improvement, Limited Tax GO, 5.00%, 4/1/2024 | 50,000 | 50,056 |
City of Lathrup Village, Limited Tax GO, 5.00%, 10/1/2025 | 45,000 | 46,346 |
County of Jackson, Transportation GO, 2.00%, 5/1/2024 | 250,000 | 249,084 |
208 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Michigan — continued | ||
County of Macomb, Limited Tax Series 2015, GO, 4.00%, 5/1/2024 | 205,000 | 205,189 |
Grand Valley State University | ||
Series 2016A, Rev., 5.00%, 12/1/2024 | 670,000 | 678,231 |
Series 2016A, Rev., 5.00%, 12/1/2027 | 1,625,000 | 1,666,913 |
Great Lakes Water Authority, Water Supply System, Second Lien Series 2018A, Rev., 5.00%, 7/1/2024 | 55,000 | 55,280 |
Kalamazoo Hospital Finance Authority, Bronson Healthcare Group, Inc. Rev., 5.00%, 5/15/2024 (b) | 5,000 | 5,015 |
Karegnondi Water Authority, Water Supply System Series 2014A, Rev., 5.00%, 11/1/2026 | 125,000 | 125,085 |
Kent Hospital Finance Authority, Mary Free Bed Rehabilitation Hospital | ||
Series 2021A, Rev., 5.00%, 4/1/2024 | 540,000 | 540,278 |
Series 2021A, Rev., 5.00%, 4/1/2025 | 565,000 | 571,142 |
L'Anse Creuse Public Schools Series 2015, GO, Q-SBLF, 5.00%, 5/1/2025 (b) | 50,000 | 51,096 |
Linden Community School District, School Building and Site, Unlimited Tax Series 2021I, GO, Q-SBLF, 4.00%, 5/1/2025 | 30,000 | 30,257 |
Livonia Municipal Building Authority, Limited Tax Rev., 4.00%, 5/1/2024 | 40,000 | 40,037 |
Michigan Finance Authority | ||
Series 2016C-3, Rev., 5.00%, 4/1/2024 | 285,000 | 285,299 |
Series 2015A, Rev., 5.00%, 8/1/2024 (b) | 160,000 | 160,999 |
Michigan Finance Authority, Ascension Senior Credit Group Series 2016E-1, Rev., 4.00%, 8/15/2024 (c) | 60,000 | 60,073 |
Michigan Finance Authority, Beaumont Health Credit Group | ||
Series 2022A, Rev., 5.00%, 4/15/2024 | 645,000 | 646,144 |
Series 2015A, Rev., 5.00%, 8/1/2024 (b) | 440,000 | 442,745 |
Series D-2, Rev., AGM, 5.00%, 7/1/2028 | 1,560,000 | 1,569,164 |
Michigan Finance Authority, Clean Water Revolving Fund | ||
Series 2016B, Rev., 5.00%, 10/1/2024 | 150,000 | 151,572 |
Series 2018B, Rev., 5.00%, 10/1/2024 | 70,000 | 70,733 |
Michigan Finance Authority, Detroit Regional Convention Facility Authority Series 2014H-1, Rev., 5.00%, 10/1/2024 | 305,000 | 305,350 |
Michigan Finance Authority, Henry Ford Health System | ||
Series 2016, Rev., 5.00%, 11/15/2025 | 240,000 | 246,498 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Michigan — continued | ||
Rev., 5.00%, 11/15/2027 | 20,000 | 20,884 |
Michigan Finance Authority, Hospital Trinity Health Credit Group | ||
Series 2015MI, Rev., 5.50%, 12/1/2026 | 635,000 | 651,923 |
Series 2017A-MI, Rev., 5.00%, 12/1/2027 | 60,000 | 64,357 |
Series 2015MI, Rev., 5.50%, 12/1/2027 | 1,935,000 | 1,986,094 |
Michigan Finance Authority, Local Government Loan Program, Detroit Water and Sewerage Department, Sewage Disposal | ||
Series 2014C-3, Rev., AGM, 5.00%, 7/1/2027 | 175,000 | 175,988 |
Series 2014C-7, Rev., NATL - RE, 5.00%, 7/1/2028 | 1,000,000 | 1,003,985 |
Michigan Finance Authority, Midmichigan Health Series 2014, Rev., 5.00%, 6/1/2024 (b) | 600,000 | 602,342 |
Michigan Finance Authority, Trinity Health Credit Group | ||
Series 2013MI-1, Rev., VRDO, 3.81%, 6/1/2024 (c) | 5,000,000 | 5,000,000 |
Series 2017A-MI, Rev., 5.00%, 12/1/2024 | 755,000 | 763,720 |
Series 2019MI-2, Rev., 5.00%, 2/1/2025 (c) | 6,910,000 | 6,999,626 |
Series 2017A-MI, Rev., 5.00%, 12/1/2026 | 25,000 | 26,310 |
Michigan State Building Authority, Facilities Program | ||
Series 2023-I, Rev., VRDO, 3.40%, 3/11/2024 (c) | 20,000,000 | 20,000,000 |
Series 2019 I, Rev., 5.00%, 4/15/2024 | 125,000 | 125,202 |
Michigan State Building Authority, Multi Modal Program Series III, Rev., VRDO, 3.40%, 3/11/2024 (c) | 8,635,000 | 8,635,000 |
Michigan State Hospital Finance Authority, Ascension Health Credit Group | ||
Series 2010F-3, Rev., 4.00%, 7/1/2024 (c) | 275,000 | 275,219 |
Series 1999B-4, Rev., 5.00%, 11/15/2027 | 770,000 | 784,123 |
Michigan State Hospital Finance Authority, Trinity Health Credit Group Series 2008C, Rev., 5.00%, 12/1/2024 | 610,000 | 617,045 |
Michigan State University Series 2015A, Rev., 5.00%, 8/15/2028 | 25,000 | 25,654 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 209 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Michigan — continued | ||
Michigan Strategic Fund Limited Obligation, Facility For Rare Isotope Beams Projects At Michigan State University Series 2014, Rev., 5.00%, 3/1/2024 | 280,000 | 280,000 |
Michigan Strategic Fund, Rare Isotope Beams Projects Series 2014, Rev., 5.00%, 3/1/2024 (b) | 35,000 | 35,000 |
North Gratiot Interceptor Drain Drainage District Series 2015, GTD, 5.00%, 5/1/2024 | 30,000 | 30,069 |
North Kent Sewer Authority Series 2016, Rev., 5.00%, 11/1/2024 | 755,000 | 763,734 |
Portage Public Schools Series 2016, GO, 5.00%, 11/1/2024 | 25,000 | 25,294 |
RIB Floater Trust Various States Series 46, Rev., VRDO, LOC : Barclays Bank plc, 3.90%, 3/1/2024 (c) (e) | 30,000,000 | 30,000,000 |
Royal Oak Hospital Finance Authority, William Beaumont Hospital Obligated Group Series 2014D, Rev., 5.00%, 3/1/2024 (b) | 2,240,000 | 2,240,000 |
Saginaw City School District, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2024 | 35,000 | 35,085 |
Schoolcraft Community College District, Limited Tax GO, 3.00%, 5/1/2024 | 115,000 | 114,852 |
South Lake Schools, School Building and Site GO, Q-SBLF, 4.00%, 11/1/2024 | 25,000 | 25,024 |
State of Michigan | ||
Series 2016, Rev., GAN, 5.00%, 3/15/2024 | 760,000 | 760,392 |
Series 2016, Rev., GAN, 5.00%, 3/15/2025 | 25,000 | 25,505 |
Series 2016, Rev., GAN, 5.00%, 3/15/2026 | 35,000 | 36,443 |
Troy School District Series 2015, GO, Q-SBLF, 5.00%, 5/1/2024 | 40,000 | 40,109 |
University of Michigan Series 2014A, Rev., 5.00%, 4/1/2024 | 20,000 | 20,025 |
Wayne County Airport Authority Series C, Rev., 5.00%, 12/1/2026 | 210,000 | 221,969 |
Wayne State University Series 2019A, Rev., 5.00%, 11/15/2024 | 210,000 | 212,281 |
Western Michigan University Series 2015A, Rev., 5.00%, 11/15/2024 | 40,000 | 40,459 |
Total Michigan | 91,112,025 | |
Minnesota — 1.6% | ||
City of St. Cloud, Centracare Health System | ||
Series 2014B, Rev., 5.00%, 5/1/2024 | 1,375,000 | 1,377,456 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Minnesota — continued | ||
Series 2016A, Rev., 5.00%, 5/1/2026 | 55,000 | 57,011 |
City of St. Cloud, Infrastructure Management Fund Series 2013A, GO, 3.00%, 2/1/2025 | 45,000 | 44,830 |
City of West St. Paul Series 2017A, GO, 4.00%, 2/1/2025 | 30,000 | 30,209 |
County of Clay Series 2017A, GO, 5.00%, 2/1/2025 | 50,000 | 50,882 |
Duluth Independent School District No. 709 | ||
Series A, COP, 4.00%, 2/1/2027 | 50,000 | 50,687 |
Series A, COP, 4.00%, 2/1/2028 | 2,750,000 | 2,786,942 |
Series 2019B, COP, 5.00%, 2/1/2028 | 395,000 | 424,956 |
Housing And Redevelopment Authority of The City of St. Paul Minnesota, Healtheast care System Series 2015A, Rev., 5.00%, 11/15/2025 (b) | 1,285,000 | 1,322,822 |
Metropolitan Council, Minneapolis St. Paul Metropolitan Area | ||
Series 2015 A, GO, 5.00%, 3/1/2024 | 50,000 | 50,000 |
Series 2019A, GO, 5.00%, 3/1/2024 | 150,000 | 150,000 |
Series 2022C, GO, 5.00%, 3/1/2024 | 100,000 | 100,000 |
Minneapolis-St. Paul Metropolitan Airports Commission Series A, Rev., 4.00%, 1/1/2026 | 60,000 | 61,145 |
Minnesota Higher Education Facilities Authority, Cartleton College Series 2017, Rev., 5.00%, 3/1/2024 | 45,000 | 45,000 |
Minnesota Housing Finance Agency Series 2020D, Rev., 4.00%, 8/1/2024 | 125,000 | 125,289 |
Minnesota Municipal Gas Agency Series 2022B, Rev., LIQ : Royal Bank of Canada, (SOFR + 1.00%), 4.56%, 3/7/2024 (d) | 35,000,000 | 34,899,442 |
Rosemount-Apple Valley-Eagan Independent School District No. 196 Series 2016A, GO, 5.00%, 2/1/2025 | 35,000 | 35,608 |
Sauk Rapids-Rice Independent School District No. 47 Series 2015 A, GO, 5.00%, 4/25/2024 | 175,000 | 175,387 |
St Paul Port Authority, State of Minnesota Freeman Office Building Series 2013-3, Rev., 5.00%, 12/1/2024 | 125,000 | 125,176 |
St. Cloud Independent School District No. 742 Series 2021A, COP, 3.00%, 2/1/2025 | 125,000 | 124,227 |
St. Paul Port Authority, State of Minnesota Freeman Office Building Series 2013-2, Rev., 5.00%, 12/1/2024 | 20,000 | 20,028 |
210 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Minnesota — continued | ||
State of Minnesota Series 2014B, GO, 4.00%, 8/1/2025 | 75,000 | 75,292 |
University of Minnesota Series 2016A, Rev., 5.00%, 4/1/2024 | 100,000 | 100,130 |
Total Minnesota | 42,232,519 | |
Mississippi — 0.2% | ||
City of Ridgeland GO, 4.00%, 8/1/2024 | 25,000 | 25,076 |
Jackson State University Educational Building Corp. Series 2015A, Rev., 5.00%, 3/1/2024 | 50,000 | 50,000 |
Madison County School District GO, 5.00%, 3/1/2024 | 25,000 | 25,000 |
Mississippi Business Finance Corp., Waste Management, Inc., Project Rev., 0.70%, 9/1/2026 (c) | 1,250,000 | 1,149,464 |
Mississippi Development Bank, Department of Corrections Walnut Grove Correctional Facility Refunding Bonds Project Series A, Rev., 5.00%, 8/1/2026 | 35,000 | 36,486 |
Mississippi Development Bank, Harrison County Series 2013A, Rev., 5.00%, 1/1/2026 | 2,190,000 | 2,265,691 |
Mississippi Development Bank, Rankin County School District Project | ||
Rev., 5.00%, 6/1/2024 | 30,000 | 30,102 |
Rev., 5.00%, 6/1/2025 | 35,000 | 35,700 |
Rankin County School District, Limited Tax GO, 5.00%, 8/1/2025 | 25,000 | 25,665 |
State of Mississippi | ||
Series 2020B, GO, 5.00%, 9/1/2024 | 150,000 | 151,443 |
Series 2015F, GO, 5.00%, 11/1/2025 (b) | 70,000 | 72,359 |
State of Mississippi, Tax-Exempt Series 2017A, GO, 5.00%, 10/1/2024 | 25,000 | 25,283 |
University of Mississippi Educational Building Corp., Facilities Refinancing Project Rev., 5.00%, 10/1/2024 | 195,000 | 197,043 |
University of Southern Mississippi (The) Series 2015A, Rev., 5.00%, 3/1/2024 | 75,000 | 75,000 |
Total Mississippi | 4,164,312 | |
Missouri — 1.3% | ||
Cape Girardeau School District No. 63 GO, 4.00%, 3/1/2025 | 25,000 | 25,179 |
City of Kansas City Series 2017C, Rev., 5.00%, 9/1/2027 | 60,000 | 64,040 |
City of Kansas City, Downtown Arena Project Series E, Rev., 5.00%, 4/1/2028 | 30,000 | 30,535 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Missouri — continued | ||
City of Kansas City, Missouri Special Obligation Refunding and Improvement, Main Streetcar Extension Project Series 2022C, Rev., 5.00%, 9/1/2025 | 210,000 | 215,597 |
City of St. Louis Airport Series 2005, Rev., NATL - RE, 5.50%, 7/1/2027 | 75,000 | 81,458 |
County of Clay Series 2018A, COP, 4.00%, 5/1/2024 (b) | 55,000 | 55,061 |
County of Dunklin Rev., 3.00%, 12/1/2026 | 400,000 | 399,015 |
County of Greene, Missouri Capital Project Series 2022A, COP, 5.00%, 3/1/2024 | 25,000 | 25,000 |
Fort Zumwalt School District Series 2022, GO, 5.00%, 3/1/2024 | 100,000 | 100,000 |
Health and Educational Facilities Authority of the State of Missouri Series 2021 C, Rev., 5.00%, 5/1/2028 (c) | 18,210,000 | 19,515,509 |
Health and Educational Facilities Authority of the State of Missouri, BJC Health System Series 2021B, Rev., 4.00%, 5/1/2026 (c) | 5,510,000 | 5,579,085 |
Health and Educational Facilities Authority of the State of Missouri, Children's Mercy Hospital Obligated Group | ||
Series 2016, Rev., 5.00%, 5/15/2024 | 740,000 | 742,215 |
Rev., 5.00%, 5/15/2025 | 60,000 | 61,080 |
Health and Educational Facilities Authority of the State of Missouri, Mercy Health | ||
Series 2018A, Rev., 5.00%, 6/1/2027 | 25,000 | 26,575 |
Series 2018A, Rev., 5.00%, 6/1/2029 | 45,000 | 48,771 |
Health and Educational Facilities Authority of the State of Missouri, SSM Health Care Obligated Group | ||
Series 2014A, Rev., 5.00%, 6/1/2024 (b) | 115,000 | 115,463 |
Series 2022A, Rev., 5.00%, 6/1/2026 | 100,000 | 103,693 |
Health and Educational Facilities Authority of the State of Missouri, St. Louis University Rev., 5.00%, 11/15/2028 | 220,000 | 228,896 |
Health and Educational Facilities Authority of the State of Missouri, St. Luke's Health System, Inc. Rev., 5.00%, 11/15/2029 | 30,000 | 31,201 |
Jasper County Reorganized School District No. R-IX Carthage, Missouri Direct Deposit Program Series 2013, GO, 4.00%, 3/1/2024 | 2,625,000 | 2,625,000 |
Jefferson City School District Series 2018, GO, 4.00%, 3/1/2024 | 160,000 | 160,000 |
Joplin Schools, Missouri Direct Deposit Program GO, 4.00%, 3/1/2025 | 100,000 | 100,031 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 211 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Missouri — continued | ||
Liberty Public School District No. 53 Series 2023, GO, 5.00%, 3/1/2024 | 50,000 | 50,000 |
Missouri Highway and Transportation Commission Series A, Rev., 5.00%, 5/1/2024 | 75,000 | 75,210 |
Missouri Joint Municipal Electric Utility Commission, Plum Point Project Series 2014A, Rev., 5.00%, 1/1/2025 | 75,000 | 75,828 |
Missouri Joint Municipal Electric Utility Commission, Prairie State Project | ||
Series 2015A, Rev., 5.00%, 12/1/2024 | 20,000 | 20,238 |
Series 2015A, Rev., 5.00%, 6/1/2028 | 100,000 | 101,733 |
Missouri State Board of Public Buildings | ||
Series 2016 A, Rev., 4.00%, 4/1/2024 | 50,000 | 50,027 |
Series 2017 A, Rev., 5.00%, 4/1/2024 | 25,000 | 25,032 |
Missouri State Environmental Improvement and Energy Resources Authority, Water Pollution Control and Drinking Water Series 2013A, Rev., 5.00%, 7/1/2024 | 360,000 | 360,478 |
Park Hill School District of Platte County Series 2020, GO, 5.00%, 3/1/2024 | 115,000 | 115,000 |
Springfield School District No. R-12, Missouri Direct Deposit Program Series B, GO, 5.00%, 3/1/2024 | 55,000 | 55,000 |
St. Louis County Library District COP, 4.00%, 4/1/2027 | 2,010,000 | 2,010,798 |
Total Missouri | 33,272,748 | |
Nebraska — 0.8% | ||
City of Omaha | ||
Series 2021, GO, 5.00%, 4/15/2024 | 50,000 | 50,089 |
Series 2022, GO, 5.00%, 4/15/2024 | 375,000 | 375,670 |
Series 2023, GO, 5.00%, 4/15/2024 | 100,000 | 100,179 |
City of Omaha, Sanitary Sewerage System Series 2020A, Rev., 4.00%, 4/1/2025 | 35,000 | 35,321 |
County of Douglas, Creighton University Projects Series 2021B, Rev., (SIFMA Municipal Swap Index Yield + 0.53%), 3.83%, 3/7/2024 (d) | 15,935,000 | 15,696,620 |
Douglas County Hospital Authority No. 2, Children's Obligated Group Series 2020B, Rev., 5.00%, 11/15/2025 (c) | 2,100,000 | 2,139,106 |
Nebraska Public Power District | ||
Series 2012B, Rev., 5.00%, 1/1/2025 | 10,000 | 10,013 |
Series A-1, Rev., 5.00%, 1/1/2025 | 35,000 | 35,535 |
Series 2016A, Rev., 5.00%, 1/1/2026 | 185,000 | 191,895 |
Series B, Rev., 5.00%, 1/1/2026 | 20,000 | 20,745 |
Series 2016A, Rev., 5.00%, 1/1/2027 | 35,000 | 36,314 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Nebraska — continued | ||
Series 2023 A, Rev., 5.00%, 7/1/2028 | 100,000 | 108,711 |
Public Power Generation Agency, Whelan Energy Center Unit 2 | ||
Series 2015A, Rev., 5.00%, 1/1/2025 | 165,000 | 167,010 |
Series 2015A, Rev., 5.00%, 1/1/2026 | 845,000 | 855,088 |
Southern Public Power District Series 2015, Rev., 5.00%, 12/15/2024 (b) | 1,615,000 | 1,637,749 |
State of Nebraska Series 2023A, COP, 5.00%, 4/1/2024 | 175,000 | 175,190 |
University of Nebraska, OMAHA Student Housing Project Rev., 3.25%, 5/15/2024 (b) | 60,000 | 59,981 |
Total Nebraska | 21,695,216 | |
Nevada — 0.1% | ||
Clark County School District, Limited Tax | ||
Series 2015D, GO, 5.00%, 6/15/2024 | 115,000 | 115,536 |
Series 2016A, GO, 5.00%, 6/15/2024 | 45,000 | 45,210 |
Series 2016B, GO, 5.00%, 6/15/2024 | 165,000 | 165,769 |
Series 2016E, GO, 5.00%, 6/15/2024 | 105,000 | 105,489 |
Series 2018A, GO, 5.00%, 6/15/2024 | 220,000 | 221,025 |
Series 2015C, GO, 5.00%, 6/15/2025 | 410,000 | 419,946 |
Series 2015 C, GO, 5.00%, 6/15/2026 | 75,000 | 77,656 |
Series 2016B, GO, 5.00%, 6/15/2026 | 150,000 | 156,971 |
Series 2017A, GO, 5.00%, 6/15/2026 | 65,000 | 68,021 |
Series 2021C, GO, 5.00%, 6/15/2026 | 55,000 | 57,556 |
Series 2015C, GO, 5.00%, 6/15/2028 | 260,000 | 268,749 |
Series 2017C, GO, 5.00%, 6/15/2028 | 150,000 | 160,809 |
Clark County School District, Limited Tax, Various Purpose Series 2016F, GO, 3.00%, 6/15/2026 | 100,000 | 99,999 |
County of Clark Passenger Facility Charge, Harry Reid International Airport Passenger Facility Series 2022B, Rev., 5.00%, 7/1/2024 | 20,000 | 20,101 |
County of Clark, Department of Aviation, Nevada Airport System, Subordinate Lien | ||
Series 2019D, Rev., 5.00%, 7/1/2024 | 735,000 | 738,718 |
Series 2019D, Rev., 5.00%, 7/1/2025 | 40,000 | 40,945 |
County of Clark, Indexed Fuel and Subordinate Motor Vehicle Tax Series 2014, Rev., 5.00%, 7/1/2028 | 20,000 | 20,097 |
County of Clark, Limited Tax Series 2016B, GO, 5.00%, 11/1/2024 | 45,000 | 45,515 |
County of Clark, Park Improvement, Limited Tax GO, 5.00%, 12/1/2024 | 25,000 | 25,326 |
212 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Nevada — continued | ||
County of Clark, Passenger Facility Charge, Las Vegas-McCarran International Airport Passenger Facility Series 2019E, Rev., 5.00%, 7/1/2026 | 45,000 | 47,191 |
County of Clark, Transportation Improvement, Limited Tax Series 2018B, GO, 5.00%, 12/1/2025 | 35,000 | 36,187 |
State of Nevada Series 2015D, GO, 5.00%, 4/1/2024 | 75,000 | 75,095 |
State of Nevada, Capital Improvement and Cultural Affairs | ||
Series 2015B, GO, 5.00%, 11/1/2024 | 25,000 | 25,307 |
Series 2015B, GO, 5.00%, 11/1/2025 | 20,000 | 20,462 |
State of Nevada, Limited Tax Series 2012-A, GO, 4.00%, 11/1/2024 | 55,000 | 55,036 |
Total Nevada | 3,112,716 | |
New Hampshire — 0.0% ^ | ||
Windham School District Series 2014A, GO, 5.00%, 7/15/2024 | 60,000 | 60,348 |
New Jersey — 9.9% | ||
Bergen County Improvement Authority (The) Series 2023, Rev., GTD, 4.50%, 5/31/2024 | 3,983,229 | 3,994,060 |
Borough of Bellmawr County of Camden, New Jersey Bond, General Improvement Water Utility Note Series 2023A, GO, BAN, 4.50%, 8/6/2024 | 6,693,506 | 6,721,326 |
Borough of Carteret Series 2023, GO, BAN, 4.75%, 5/31/2024 | 18,334,000 | 18,393,881 |
Borough of Chatham GO, BAN, 4.50%, 5/17/2024 | 4,571,630 | 4,581,907 |
Borough of Emerson GO, BAN, 4.50%, 7/26/2024 | 3,701,000 | 3,708,050 |
Borough of Englewood Cliffs GO, BAN, 4.50%, 8/8/2024 | 1,885,830 | 1,891,943 |
Borough of Glen Ridge GO, BAN, 4.50%, 7/11/2024 | 2,380,625 | 2,386,454 |
Borough of High Bridge GO, BAN, 5.00%, 6/13/2024 | 1,272,625 | 1,276,721 |
Borough of Kenilworth GO, BAN, 4.50%, 3/1/2024 | 7,632,000 | 7,632,000 |
Borough of Montvale GO, BAN, 4.50%, 4/11/2024 | 5,080,000 | 5,083,944 |
Borough of Mountainside GO, BAN, 5.00%, 7/19/2024 | 3,568,000 | 3,582,242 |
Borough of North Caldwell GO, BAN, 4.50%, 7/12/2024 | 2,885,000 | 2,895,652 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New Jersey — continued | ||
Borough of Northvale GO, BAN, 5.00%, 9/13/2024 | 4,498,109 | 4,520,542 |
Borough of Ogdensburg GO, BAN, 4.50%, 7/26/2024 | 1,475,000 | 1,477,506 |
Borough of Palisades Park GO, BAN, 4.50%, 3/15/2024 | 5,363,000 | 5,363,804 |
Borough of Ramsey GO, BAN, 4.50%, 2/28/2025 (f) | 6,300,000 | 6,339,451 |
Borough of Sussex GO, BAN, 4.50%, 7/19/2024 | 3,034,000 | 3,040,863 |
Borough of Union Beach GO, BAN, 4.50%, 4/23/2024 | 3,901,509 | 3,903,862 |
Brick Township Board of Education GO, 4.00%, 1/1/2025 | 35,000 | 35,216 |
Burlington County Bridge Commission, Government Leasing Program Series 2018, Rev., 5.00%, 4/15/2024 | 25,000 | 25,048 |
Camden County Improvement Authority (The) Series 2015A, Rev., GTD, 5.00%, 9/1/2024 | 25,000 | 25,231 |
Camden County Improvement Authority (The), City Hall Project Rev., GTD, 5.00%, 12/1/2025 | 30,000 | 31,106 |
City of Linwood GO, BAN, 4.50%, 7/26/2024 | 1,862,600 | 1,866,449 |
City of Long Branch Series 2020A, GO, 5.00%, 9/15/2025 | 30,000 | 30,846 |
City of Ocean City, General Improvement GO, 4.00%, 9/15/2025 | 40,000 | 40,541 |
City of Ventnor City GO, BAN, 4.50%, 7/10/2024 | 7,225,000 | 7,244,387 |
County of Atlantic GO, 0.50%, 6/1/2024 | 1,805,000 | 1,785,292 |
County of Gloucester Series 2021, GO, 5.00%, 3/1/2024 | 45,000 | 45,000 |
County of Hudson Series B, GO, 4.00%, 7/1/2025 | 40,000 | 40,529 |
Gloucester County Improvement Authority (The) Series 2013A, Rev., GTD, 5.00%, 9/1/2024 | 15,000 | 15,019 |
Hopewell Valley Regional School District GO, 3.25%, 1/15/2025 | 25,000 | 24,977 |
Hudson County Improvement Authority, Courthouse Project Rev., 4.00%, 10/1/2025 | 40,000 | 40,592 |
Jersey City Municipal Utilities Authority, Sewer Project Notes Series 2023A, Rev., 4.00%, 5/3/2024 | 34,300,000 | 34,325,495 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 213 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New Jersey — continued | ||
Jersey City Municipal Utilities Authority, Water Project Notes Series 2023B, Rev., 4.00%, 5/3/2024 | 23,500,000 | 23,518,299 |
Middletown Township Board of Education GO, 2.25%, 8/1/2024 | 720,000 | 715,054 |
Monmouth County Improvement Authority (The) Series 2023, Rev., GTD, 4.00%, 3/15/2024 | 145,000 | 145,034 |
Montgomery Township Board of Education GO, 5.00%, 4/1/2024 | 20,000 | 20,025 |
New Jersey Building Authority Series 2016A, Rev., 5.00%, 6/15/2024 (b) | 75,000 | 75,341 |
New Jersey Economic Development Authority | ||
Series 2015A, Rev., 5.00%, 6/15/2024 | 400,000 | 401,696 |
Series 2014PP, Rev., 5.00%, 6/15/2026 | 25,000 | 25,092 |
Series A, Rev., 4.00%, 11/1/2027 | 25,000 | 25,886 |
New Jersey Economic Development Authority, School Facilities Construction | ||
Series 2012-II, Rev., 3.00%, 3/1/2024 | 350,000 | 350,000 |
Series 2023 RRR, Rev., 5.00%, 3/1/2024 | 1,430,000 | 1,430,000 |
Series 2014PP, Rev., 5.00%, 6/15/2024 (b) | 60,000 | 60,222 |
Series 2018FFF, Rev., 5.00%, 6/15/2024 | 50,000 | 50,212 |
Series XX, Rev., 5.00%, 6/15/2024 | 800,000 | 803,392 |
Series 2019GGG, Rev., 5.25%, 9/1/2024 (e) | 7,000,000 | 7,062,688 |
Series 2014PP, Rev., AGM - CR, 5.00%, 6/15/2025 | 3,500,000 | 3,514,407 |
Series 2005N-1, Rev., AGM, 5.50%, 9/1/2025 | 195,000 | 201,909 |
Series 2023RRR, Rev., 5.00%, 3/1/2026 | 40,000 | 41,480 |
Series 2024SSS, Rev., 5.00%, 6/15/2026 (f) | 2,730,000 | 2,840,596 |
Series XX, Rev., 4.38%, 6/15/2027 | 25,000 | 25,336 |
Series 2024SSS, Rev., 5.00%, 6/15/2027 (f) | 1,600,000 | 1,697,409 |
New Jersey Educational Facilities Authority, College of New Jersey | ||
Series 2015G, Rev., 5.00%, 7/1/2024 (b) | 25,000 | 25,134 |
Series 2015G, Rev., 5.00%, 7/1/2025 (b) | 35,000 | 35,868 |
New Jersey Educational Facilities Authority, Higher Education Facilities Trust Series 2014, Rev., 5.00%, 6/15/2024 | 120,000 | 120,498 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New Jersey — continued | ||
New Jersey Educational Facilities Authority, Higher Educational Capital Improvement Series 2014A, Rev., 5.00%, 9/1/2024 | 75,000 | 75,575 |
New Jersey Health Care Facilities Financing Authority, Barnabas Health Obligated Group | ||
Series 2019B-2, Rev., 5.00%, 7/1/2025 (c) | 235,000 | 240,061 |
Series 2019B-3, Rev., 5.00%, 7/1/2026 (c) | 200,000 | 206,995 |
New Jersey Health Care Facilities Financing Authority, Hospital Asset Transformation Program Series 2017, Rev., 5.00%, 10/1/2024 | 1,000,000 | 1,009,049 |
New Jersey Health Care Facilities Financing Authority, RWJ Barnabas Health Obligated Group | ||
Series 2019B-1, Rev., 5.00%, 7/1/2024 (c) | 1,260,000 | 1,266,046 |
Series 2016A, Rev., 5.00%, 7/1/2026 | 55,000 | 57,513 |
New Jersey Health Care Facilities Financing Authority, Valley Health System Obligated Rev., 5.00%, 7/1/2026 | 50,000 | 51,976 |
New Jersey Health Care Facilities Financing Authority, Virtua Health Obligated Group | ||
Rev., 5.00%, 7/1/2024 | 440,000 | 441,236 |
Rev., 5.00%, 7/1/2025 | 220,000 | 220,332 |
Rev., 5.00%, 7/1/2026 | 1,125,000 | 1,129,885 |
Series 2013, Rev., 5.00%, 7/1/2027 | 190,000 | 190,772 |
New Jersey Higher Education Student Assistance Authority, Senior Student Loan Series 2019A, Rev., 5.00%, 12/1/2024 | 40,000 | 40,465 |
New Jersey Housing and Mortgage Finance Agency, NBA-New Brunswick LLC Series 2022C-2, Rev., 3.13%, 8/1/2024 (c) | 5,100,000 | 5,067,654 |
New Jersey Infrastructure Bank, Environmental Infrastructure Series 2015A-R1, Rev., GTD, 5.00%, 9/1/2024 | 35,000 | 35,325 |
New Jersey Sports and Exposition Authority Series 2018A, Rev., 5.00%, 9/1/2024 | 210,000 | 211,324 |
New Jersey Transportation Trust Fund Authority, Capital Appreciation Series 2010A, Rev., Zero Coupon, 12/15/2028 | 400,000 | 343,930 |
New Jersey Transportation Trust Fund Authority, Transportation Program | ||
Series 2014AA, Rev., 5.00%, 6/15/2025 | 650,000 | 652,586 |
Series 2023AA, Rev., 5.00%, 6/15/2025 | 2,000,000 | 2,044,240 |
214 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New Jersey — continued | ||
New Jersey Transportation Trust Fund Authority, Transportation System | ||
Series 2013A, Rev., 5.00%, 6/15/2024 | 150,000 | 150,623 |
Series 2006C, Rev., AMBAC, Zero Coupon, 12/15/2024 | 2,515,000 | 2,447,741 |
Series 2021 A, Rev., 5.00%, 6/15/2026 | 100,000 | 104,310 |
Series 2019 A, Rev., 5.00%, 12/15/2026 | 150,000 | 158,120 |
Series 2018 A, Rev., 5.00%, 12/15/2027 | 20,000 | 21,523 |
Series 2019 A, Rev., 5.00%, 12/15/2027 | 30,000 | 32,285 |
Series 2021 A, Rev., 5.00%, 6/15/2028 | 25,000 | 27,178 |
New Jersey Turnpike Authority | ||
Series 2014A, Rev., 5.00%, 1/1/2027 | 2,310,000 | 2,320,697 |
Series 2014A, Rev., 5.00%, 1/1/2028 | 125,000 | 125,599 |
Passaic County Utilities Authority, Solid Waste Disposal Rev., GTD, 4.50%, 3/1/2024 | 75,000 | 75,000 |
Penns Grove-Carneys Point Regional School District GO, GAN, 4.50%, 7/3/2024 | 3,713,000 | 3,720,848 |
Pequannock Township Board of Education GO, 4.00%, 1/15/2025 | 50,000 | 50,348 |
Ridgewood Board of Education Series 2016 A, GO, 4.00%, 3/15/2024 | 100,000 | 100,020 |
Rutgers The State University of New Jersey Series 2016M, Rev., 5.00%, 5/1/2024 | 25,000 | 25,061 |
South Brunswick Township Board of Education GO, 5.00%, 8/1/2024 | 45,000 | 45,059 |
State of New Jersey, COVID-19 Emergency Bonds Series 2020 A, GO, 5.00%, 6/1/2028 | 270,000 | 295,606 |
State of New Jersey, Various Purpose | ||
GO, 5.00%, 6/1/2024 | 20,000 | 20,076 |
GO, 5.00%, 6/1/2025 (b) | 65,000 | 66,459 |
Tobacco Settlement Financing Corp. | ||
Series 2018A, Rev., 5.00%, 6/1/2024 | 1,340,000 | 1,344,639 |
Series 2018A, Rev., 5.00%, 6/1/2026 | 265,000 | 274,993 |
Town of Dover, General Improvement Water Utility Series 2024, GO, BAN, 4.50%, 1/23/2025 | 6,302,000 | 6,357,110 |
Town of Westfield GO, BAN, 4.75%, 11/8/2024 | 2,445,000 | 2,460,290 |
Township of Colts Neck GO, 4.00%, 11/15/2025 | 40,000 | 40,694 |
Township of Eastampton GO, BAN, 4.50%, 7/24/2024 | 3,232,000 | 3,240,395 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New Jersey — continued | ||
Township of Hamilton Series 2013, GO, 4.00%, 8/1/2024 | 50,000 | 50,024 |
Township of Harrison GO, 4.00%, 8/1/2025 | 50,000 | 50,577 |
Township of Lacey Series 2023A, GO, BAN, 5.00%, 5/9/2024 | 100,000 | 100,272 |
Township of Lawrence GO, BAN, 5.00%, 6/7/2024 | 2,710,000 | 2,717,370 |
Township of Little Falls, General Improvement GO, 4.00%, 8/15/2025 | 30,000 | 30,338 |
Township of Mahwah Series 2023, GO, BAN, 5.00%, 5/31/2024 | 50,000 | 50,186 |
Township of Middle, General Improvement Sewer Utility GO, BAN, 4.50%, 9/5/2024 | 6,155,000 | 6,180,232 |
Township of Mount Holly Series 2023A, GO, BAN, 4.50%, 9/26/2024 | 2,568,000 | 2,579,559 |
Township of North Bergen GO, BAN, 4.00%, 4/24/2024 | 30,000 | 30,031 |
Township of Parsippany-Troy Hills Series 2023, GO, BAN, 5.00%, 10/31/2024 | 8,250,000 | 8,334,613 |
Township of Pennsauken Series 2023A, GO, BAN, 4.50%, 7/12/2024 | 2,089,900 | 2,095,060 |
Township of Readington, General Improvement GO, 5.00%, 1/15/2025 | 25,000 | 25,387 |
Township of Rochelle Park GO, BAN, 4.50%, 8/9/2024 | 3,024,000 | 3,032,397 |
Township of Scotch Plains GO, BAN, 4.50%, 1/17/2025 | 5,800,000 | 5,840,232 |
Township of South Brunswick Series 2020, GO, 4.00%, 10/1/2024 | 200,000 | 200,455 |
Township of Stafford Series 2017, GO, 5.00%, 5/1/2024 | 30,000 | 30,073 |
Township of Tewksbury Series 2023A, GO, 4.50%, 5/14/2024 | 2,595,000 | 2,599,999 |
Township of Toms River Series 2012, GO, 5.00%, 3/1/2024 | 50,000 | 50,000 |
Township of Washington GO, 4.00%, 3/1/2025 | 30,000 | 30,211 |
Township of West Deptford GO, 3.00%, 9/1/2026 | 100,000 | 100,035 |
Township of West Orange Series 203A, GO, 5.00%, 11/7/2024 | 15,000,000 | 15,174,099 |
Township of Woodbridge GO, BAN, 4.50%, 3/15/2024 | 150,000 | 150,073 |
Total New Jersey | 261,796,375 | |
New Mexico — 0.1% | ||
Albuquerque Bernalillo County Water Utility Authority Series 2018, Rev., 5.00%, 7/1/2024 | 55,000 | 55,300 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 215 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New Mexico — continued | ||
Albuquerque Municipal School District No. 12, School Building Series 2018, GO, 5.00%, 8/1/2024 | 100,000 | 100,644 |
City of Santa Fe, Wastewater Utility System Series 2019, Rev., 5.00%, 6/1/2024 | 125,000 | 125,534 |
New Mexico Finance Authority, Senior Lien Public Project Revolving Fund Series 2016C, Rev., 5.00%, 6/1/2024 | 25,000 | 25,105 |
New Mexico Finance Authority, State Transportation, Subordinate Lien Series B-2, Rev., 5.00%, 6/15/2024 | 20,000 | 20,097 |
New Mexico Finance Authority, Subordinate Lien Public Project Revolving Fund, Tax-Exempt | ||
Series 2017B, Rev., 3.50%, 6/15/2024 | 50,000 | 50,015 |
Series 2018C-1, Rev., 4.00%, 6/15/2024 | 30,000 | 30,065 |
New Mexico Hospital Equipment Loan Council, Presbyterian Health Care Services Series 2019B, Rev., 5.00%, 8/1/2025 (c) | 100,000 | 102,049 |
Santa Fe Public School District Series 2022A, GO, 5.00%, 8/1/2025 | 75,000 | 76,890 |
State of New Mexico | ||
Series 2021, GO, 5.00%, 3/1/2024 | 115,000 | 115,000 |
Series 2023, GO, 5.00%, 3/1/2024 | 100,000 | 100,000 |
Series B, GO, 5.00%, 3/1/2024 | 120,000 | 120,000 |
State of New Mexico Severance Tax Permanent Fund | ||
Series B, Rev., 4.00%, 7/1/2024 | 75,000 | 75,186 |
Series 2018A, Rev., 5.00%, 7/1/2024 | 20,000 | 20,113 |
State of New Mexico, Capital Projects GO, 5.00%, 3/1/2025 | 55,000 | 56,017 |
University of New Mexico (The), Subordinate Lien System Series 2014C, Rev., 5.00%, 6/1/2024 | 25,000 | 25,099 |
Total New Mexico | 1,097,114 | |
New York — 17.4% | ||
Canton Central School District Series 2023B, GO, BAN, 4.50%, 7/5/2024 | 14,850,000 | 14,891,311 |
Chenango Forks Central School District Series B, GO, BAN, 4.50%, 6/28/2024 | 14,065,000 | 14,095,686 |
City of Albany Series 2023, GO, BAN, 4.50%, 3/22/2024 | 300,000 | 300,186 |
City of Long Beach Series 2024A, GO, BAN, 4.50%, 9/27/2024 | 10,767,000 | 10,808,515 |
City of New York | ||
Series 2014J, GO, 5.00%, 8/1/2028 | 40,000 | 40,219 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New York — continued | ||
Series G, GO, 4.00%, 8/1/2029 | 50,000 | 50,011 |
City of New York, Fiscal Year 2004 Series 2004A-6, GO, 5.00%, 8/1/2024 | 50,000 | 50,057 |
City of New York, Fiscal Year 2014 | ||
Series 2014I-1, GO, 5.00%, 3/1/2024 | 100,000 | 100,000 |
Series 2014 I-1, GO, 5.00%, 3/1/2025 | 45,000 | 45,058 |
Series 2014J, GO, 5.00%, 8/1/2025 | 60,000 | 60,448 |
Series 2014I-1, GO, 5.00%, 3/1/2026 | 50,000 | 50,060 |
City of New York, Fiscal Year 2015 Series 2015A, GO, 5.00%, 8/1/2026 | 30,000 | 30,187 |
City of New York, Fiscal Year 2016 Series E, GO, 5.00%, 8/1/2024 | 90,000 | 90,694 |
City of New York, Fiscal Year 2017 Series C, GO, 5.00%, 8/1/2025 | 40,000 | 41,064 |
City of New York, Fiscal Year 2018 Series 2018F-1, GO, 4.00%, 4/1/2025 | 30,000 | 30,307 |
City of New York, Fiscal Year 2019 | ||
Series G, GO, 5.00%, 8/1/2024 | 35,000 | 35,040 |
Series G, GO, 5.00%, 8/1/2026 | 225,000 | 225,267 |
City of New York, Tax-Exempt Series 2015C, GO, 5.00%, 8/1/2025 | 30,000 | 30,497 |
City of Oneida Series 2023, GO, BAN, 4.00%, 3/29/2024 | 50,000 | 50,010 |
City of Troy GO, BAN, 4.50%, 7/26/2024 | 5,971,812 | 5,988,052 |
Clarence Central School District GO, BAN, 4.50%, 6/20/2024 | 14,200,000 | 14,236,647 |
County of Albany Series 2018, GO, 5.00%, 4/1/2024 | 110,000 | 110,134 |
County of Nassau Series 2014A, GO, AGM, 5.00%, 4/1/2024 (b) | 30,000 | 30,032 |
County of Nassau, General Improvement | ||
Series 2015B, GO, 5.00%, 4/1/2024 (b) | 170,000 | 170,199 |
Series 2016A, GO, 5.00%, 1/1/2025 | 50,000 | 50,797 |
County of Oneida Series 2023, GO, BAN, 5.00%, 3/1/2024 | 500,000 | 500,000 |
County of Ontario Series 2016, GO, 5.00%, 4/15/2024 | 25,000 | 25,051 |
County of Rockland Series 2014A, GO, AGM, 5.00%, 3/1/2024 | 75,000 | 75,000 |
County of Washington Series 2023, GO, BAN, 4.50%, 3/22/2024 | 2,496,000 | 2,496,899 |
Deposit Central School District Series A, GO, BAN, 4.75%, 6/28/2024 | 2,497,050 | 2,503,819 |
East Islip Union Free School District GO, BAN, 4.50%, 6/26/2024 | 21,379,277 | 21,437,612 |
216 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New York — continued | ||
Erie County Industrial Development Agency (The), School District Buffalo Project Series 2015A, Rev., 5.00%, 5/1/2024 | 190,000 | 190,504 |
Evans-Brant Central School District Series B, GO, BAN, 4.50%, 6/20/2024 | 23,608,239 | 23,664,049 |
Fonda-Fultonville Central School District GO, BAN, 4.50%, 7/12/2024 | 3,750,000 | 3,761,754 |
Frewsburg Central School District GO, BAN, 4.50%, 7/9/2024 | 3,545,000 | 3,553,412 |
Greenwich Central School District GO, BAN, 4.50%, 6/25/2024 | 2,000,000 | 2,004,250 |
Guilderland Central School District GO, BAN, 4.50%, 7/26/2024 | 14,683,569 | 14,731,903 |
Hempstead Union Free School District | ||
Series 2023A, GO, BAN, 4.00%, 4/19/2024 | 600,000 | 600,382 |
GO, RAN, 5.00%, 6/28/2024 | 10,500,000 | 10,546,560 |
Horseheads Central School District Series 2023, GO, BAN, 4.75%, 6/21/2024 | 205,000 | 205,813 |
Hudson Yards Infrastructure Corp., Second Indenture Series 2017A, Rev., 5.00%, 2/15/2025 | 20,000 | 20,380 |
Iroquois Central School District GO, 5.00%, 6/15/2025 | 25,000 | 25,549 |
Lafayette Central School District | ||
GO, RAN, 5.00%, 6/14/2024 | 2,330,000 | 2,337,713 |
GO, BAN, 4.50%, 6/28/2024 | 4,375,000 | 4,383,715 |
Lakeland Central School District GO, BAN, 4.50%, 8/16/2024 | 3,416,000 | 3,428,684 |
Le Roy Central School District Series B, GO, BAN, 4.75%, 6/28/2024 | 6,290,000 | 6,310,538 |
Letchworth Central School District of Gainesville GO, BAN, 4.75%, 6/21/2024 | 8,820,000 | 8,846,712 |
Long Island Power Authority, Electric System | ||
Series 2020B, Rev., 0.85%, 9/1/2025 (c) | 125,000 | 119,342 |
Rev., 1.00%, 9/1/2025 | 315,000 | 299,932 |
Lyncourt Union Free School District GO, BAN, 4.50%, 6/27/2024 | 2,825,000 | 2,830,853 |
Malone Central School District GO, BAN, 4.50%, 6/27/2024 | 10,335,250 | 10,356,986 |
Massena Central School District GO, BAN, 4.50%, 6/28/2024 | 14,070,000 | 14,107,232 |
Metropolitan Transportation Authority | ||
Series 2005D-2, Rev., VRDO, LOC : Bank of Montreal, 3.50%, 3/1/2024 (c) | 15,950,000 | 15,950,000 |
Series 2014B, Rev., 5.00%, 5/15/2024 (b) | 175,000 | 175,534 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New York — continued | ||
Series 2016D, Rev., 4.00%, 11/15/2024 | 125,000 | 125,669 |
Series 2014B, Rev., 5.00%, 11/15/2024 | 100,000 | 100,348 |
Series 2014C, Rev., 5.00%, 11/15/2024 | 160,000 | 161,949 |
Series 2014D-1, Rev., 5.00%, 11/15/2024 (b) | 30,000 | 30,386 |
Series 2016B, Rev., 5.00%, 11/15/2024 | 100,000 | 101,218 |
Series 2017B, Rev., 5.00%, 11/15/2024 | 275,000 | 278,354 |
Series D-1, Rev., 5.00%, 11/15/2024 | 30,000 | 30,365 |
Series A-1, Rev., 5.00%, 11/15/2025 | 20,000 | 20,457 |
Metropolitan Transportation Authority, Dedicated Tax Fund Series 2013B-1, Rev., 5.00%, 11/15/2024 | 175,000 | 175,410 |
Monroe County Industrial Development Corp., Rochester Schools Modernization Project | ||
Series 2015, Rev., 5.00%, 5/1/2024 | 50,000 | 50,135 |
Series 2017, Rev., 5.00%, 5/1/2024 | 40,000 | 40,108 |
New York City Health and Hospitals Corp., Health System Series 2008C, Rev., VRDO, LOC : TD Bank NA, 3.40%, 3/11/2024 (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 | 1,339,265 |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2021 Series 2021, Subseries EE2, Rev., VRDO, LIQ : State Street Bank & Trust Co., 3.45%, 3/1/2024 (c) | 25,000,000 | 25,000,000 |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2023 Series 2023, Subseries B-1, Rev., VRDO, LIQ : Mizuho Bank Ltd., 3.78%, 3/1/2024 (c) | 20,000,000 | 20,000,000 |
New York City Transitional Finance Authority Building Aid, Subordinate Series 2016 S-1, Rev., 5.00%, 7/15/2028 | 30,000 | 31,054 |
New York City Transitional Finance Authority, Building Aid, Fiscal Year 2018 Series S-2, Rev., 5.00%, 7/15/2028 | 35,000 | 37,332 |
New York City Transitional Finance Authority, Future Tax Secured | ||
Series B-1, Rev., 5.00%, 8/1/2024 | 25,000 | 25,187 |
Series C, Rev., 5.00%, 11/1/2027 | 30,000 | 32,082 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 217 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New York — continued | ||
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2014 | ||
Series D-3, Rev., VRDO, LIQ : Mizuho Bank Ltd., 2.85%, 3/1/2024 (c) | 20,000,000 | 20,000,000 |
Series 2014A-1, Rev., 5.00%, 4/2/2024 | 250,000 | 250,305 |
Series 2014D-1, Rev., 5.00%, 4/2/2024 | 170,000 | 170,193 |
Series 2014B-1, Rev., 5.00%, 11/1/2024 | 25,000 | 25,066 |
Series 2014 C, Rev., 5.00%, 11/1/2025 | 45,000 | 45,127 |
Series 2014B-1, Rev., 5.00%, 11/1/2026 | 60,000 | 60,144 |
Series 2014C, Rev., 5.00%, 11/1/2026 | 100,000 | 100,240 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2017 Series 2017F-1, Rev., 5.00%, 5/1/2024 | 120,000 | 120,330 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2018 | ||
Series 2018B-1, Rev., 5.00%, 8/1/2024 (b) | 50,000 | 50,334 |
Series 2018B-1, Rev., 5.00%, 8/1/2024 | 10,000 | 10,075 |
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 | 25,069 |
Series 2021-1, Rev., 5.00%, 11/1/2025 | 40,000 | 41,374 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2022 Series 2022B,Subseries B-1, Rev., 5.00%, 8/1/2024 | 530,000 | 533,956 |
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2016 Series 2016, Subseries E-1, Rev., 5.00%, 2/1/2025 | 125,000 | 127,206 |
New York State Dormitory Authority Series F, Rev., 5.00%, 10/1/2024 | 25,000 | 25,259 |
New York State Dormitory Authority, Hospitals Center, Langone Hospitals Obligated Group Series 2016A, Rev., 5.00%, 7/1/2024 | 140,000 | 140,635 |
New York State Dormitory Authority, Icahn School of Medicine at Mount Sinai | ||
Series 2015A, Rev., 5.00%, 7/1/2024 | 90,000 | 90,306 |
Series 2015A, Rev., 5.00%, 7/1/2025 | 240,000 | 244,106 |
New York State Dormitory Authority, Northwell Health Obligated Group Series 2019B2, Rev., 5.00%, 5/1/2024 (c) | 240,000 | 240,228 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New York — continued | ||
New York State Dormitory Authority, Personal Income Tax | ||
Series 2019A, Rev., 5.00%, 3/15/2024 (b) | 1,145,000 | 1,145,634 |
Series 2021 E, Rev., 5.00%, 3/15/2024 | 40,000 | 40,021 |
New York State Dormitory Authority, Pratt institute Series 2015A, Rev., 5.00%, 7/1/2024 (b) | 150,000 | 150,759 |
New York State Dormitory Authority, Pratt Institute Series 2015A, Rev., 5.00%, 7/1/2024 (b) | 160,000 | 160,810 |
New York State Dormitory Authority, Sales Tax Series 2017 A, Rev., 5.00%, 3/15/2024 (b) | 320,000 | 320,168 |
New York State Dormitory Authority, School Districts Financing Program | ||
Series 2018D, Rev., 5.00%, 4/1/2024 | 145,000 | 145,165 |
Series 2017G, Rev., 5.00%, 10/1/2024 | 65,000 | 65,662 |
Series 2018A, Rev., 5.00%, 10/1/2024 | 175,000 | 176,783 |
Series C, Rev., 5.00%, 10/1/2024 | 15,000 | 15,018 |
Series H, Rev., 5.00%, 10/1/2025 | 10,000 | 10,014 |
New York State Dormitory Authority, State Personal Income Tax Series 2014C, Rev., 5.00%, 3/15/2024 (b) | 240,000 | 240,133 |
New York State Dormitory Authority, State Personal Income Tax, General Purpose | ||
Series 2014C, Rev., 5.00%, 3/15/2024 (b) | 100,000 | 100,055 |
Series 2015 E, Rev., 5.00%, 3/15/2024 (b) | 20,000 | 20,011 |
New York State Dormitory Authority, State Sales Tax | ||
Series A, Rev., 4.00%, 3/15/2024 (b) | 35,000 | 35,008 |
Series 2016A, Rev., 5.00%, 3/15/2024 (b) | 50,000 | 50,026 |
Series 2018E, Rev., 5.00%, 3/15/2024 (b) | 125,000 | 125,069 |
Series A, Rev., 5.00%, 3/15/2024 (b) | 415,000 | 415,222 |
Series 2015A, Rev., 5.00%, 3/15/2025 (b) | 25,000 | 25,534 |
New York State Dormitory Authority, State University Education Facility Series 2005 A, Rev., NATL - RE, 5.50%, 5/15/2024 | 235,000 | 236,011 |
New York State Environmental Facilities Corp., State Revolving Funds, Master Financing Program Series 2012E, Rev., 5.00%, 5/15/2024 | 15,000 | 15,020 |
218 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New York — continued | ||
New York State Housing Finance Agency, Historic Front Street Series 2003A, Rev., VRDO, LOC : Landesbank Hessen-Thuringen Girozentrale, 3.37%, 3/11/2024 (c) | 22,000,000 | 22,000,000 |
New York State Thruway Authority | ||
Series J, Rev., 5.00%, 5/14/2024 | 925,000 | 927,875 |
Series K, Rev., 5.00%, 1/1/2028 | 35,000 | 35,527 |
New York State Urban Development Corp., State Personal Income Tax | ||
Series 2017C, Rev., 5.00%, 3/15/2024 | 125,000 | 125,065 |
Series 2020 C, Rev., 5.00%, 3/15/2024 | 400,000 | 400,208 |
Series 2016A, Rev., 5.00%, 3/15/2025 (b) | 30,000 | 30,607 |
New York State Urban Development Corp., State Personal Income Tax, General Purpose | ||
Series 2014A, Rev., 5.00%, 3/15/2024 (b) | 50,000 | 50,025 |
Series 2014A-B, Rev., 5.00%, 3/15/2024 (b) | 75,000 | 75,034 |
Series A-2, Rev., NATL - RE, 5.50%, 3/15/2024 | 385,000 | 385,258 |
Onondaga Central School District GO, BAN, 4.50%, 6/28/2024 | 11,160,000 | 11,180,296 |
Oriskany Central School District Series B, GO, BAN, 4.50%, 7/5/2024 | 4,870,000 | 4,880,300 |
Otego-Unadilla Central School District, New York General Obligation Anticipation GO, BAN, 4.50%, 7/18/2024 | 7,500,000 | 7,519,727 |
Owego Apalachin Central School District GO, BAN, 4.50%, 7/5/2024 | 5,765,000 | 5,781,284 |
Pleasantville Union Free School District Series 2016, GO, 5.00%, 5/1/2024 | 55,000 | 55,151 |
Port Authority of New York and New Jersey, Consolidated | ||
Series 189, Rev., 5.00%, 5/1/2025 | 45,000 | 45,981 |
Series 175, Rev., 5.00%, 12/1/2025 | 100,000 | 100,146 |
Series 183, Rev., 5.00%, 12/15/2025 | 20,000 | 20,098 |
Series 175, Rev., 4.00%, 12/1/2026 | 200,000 | 200,187 |
Sales Tax Asset Receivable Corp., Fiscal Year 2015 Series 2015A, Rev., 5.00%, 10/15/2024 (b) | 45,000 | 45,522 |
Saranac Lake Central School District GO, BAN, 4.50%, 6/21/2024 | 2,855,000 | 2,860,831 |
Schenectady City School District GO, BAN, 4.50%, 7/19/2024 | 11,220,000 | 11,257,618 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New York — continued | ||
Shenendehowa Central School District GO, BAN, 4.50%, 6/28/2024 | 10,100,000 | 10,126,376 |
South Country Central School District at Brookhaven Series 2016, GO, 4.00%, 7/15/2024 | 50,000 | 50,140 |
Spencer Van Etten Central School GO, BAN, 4.50%, 6/28/2024 | 8,752,842 | 8,770,210 |
Syracuse Industrial Development Agency | ||
Series 2018 B, Rev., 5.00%, 5/1/2024 | 70,000 | 70,182 |
Series 2019A, Rev., 5.00%, 5/1/2024 | 25,000 | 25,065 |
Three Village Central School District Brookhaven and Smithtown | ||
Series 2019, GO, 5.00%, 5/15/2024 | 40,000 | 40,132 |
GO, 5.00%, 5/15/2025 | 30,000 | 30,668 |
Town of Brookhaven Series 2016, GO, 4.00%, 3/15/2028 | 60,000 | 60,106 |
Town of Dryden Series 2024, GO, BAN, 4.50%, 1/23/2025 | 3,400,000 | 3,422,005 |
Town of Hempstead Series 2017, GO, AGM, 4.00%, 4/1/2024 | 50,000 | 50,031 |
Town of Lancaster Series A, GO, BAN, 4.50%, 7/19/2024 | 6,469,500 | 6,487,420 |
Town of Monroe GO, BAN, 4.50%, 8/2/2024 | 2,700,000 | 2,712,854 |
Town of North Hempstead | ||
Series 2023A, GO, BAN, 4.00%, 3/22/2024 | 380,000 | 380,085 |
Series 2020 B, GO, 5.00%, 5/1/2024 | 40,000 | 40,120 |
Town of Orchard Park GO, BAN, 4.50%, 8/16/2024 | 3,658,000 | 3,673,618 |
Town of Oyster Bay Series 2023, GO, 5.00%, 3/8/2024 | 250,000 | 250,073 |
Town of Riverhead Series 2023B, GO, BAN, 4.50%, 8/15/2024 | 2,850,000 | 2,861,028 |
Town of Stillwater Series 2023, GO, BAN, 4.50%, 5/31/2024 | 2,940,000 | 2,947,919 |
Town of Wawarsing GO, BAN, 4.50%, 7/25/2024 | 4,200,000 | 4,210,816 |
Triborough Bridge and Tunnel Authority, Payroll Mobility Tax | ||
Series 2022A, Rev., BAN, 5.00%, 8/15/2024 | 55,000 | 55,411 |
Series 2022B, Rev., BAN, 5.00%, 12/16/2024 | 90,000 | 91,279 |
Tully Central School District GO, BAN, 4.50%, 6/27/2024 | 1,519,528 | 1,523,162 |
Village of Farmingdale Series l, GO, BAN, 4.25%, 1/30/2025 | 4,900,000 | 4,935,293 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 219 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New York — continued | ||
Village of Lancaster Series 2023, GO, BAN, 4.50%, 5/24/2024 | 1,400,000 | 1,403,110 |
Village of Skaneateles GO, BAN, 5.00%, 6/14/2024 | 1,550,000 | 1,555,131 |
Warwick Valley Central School District Series 2023A, GO, BAN, 4.75%, 6/28/2024 | 5,017,154 | 5,034,370 |
Wayne Central School District GO, BAN, 4.50%, 7/26/2024 | 2,900,000 | 2,906,815 |
Westchester County Local Development Corp., Purchase Senior Learning Community, Inc. Project Series 2021D, Rev., 2.88%, 4/1/2024 (e) | 1,885,000 | 1,863,789 |
Westfield Central School District GO, BAN, 5.00%, 6/13/2024 | 2,245,000 | 2,252,360 |
Windsor Central School District GO, BAN, 4.50%, 7/26/2024 | 6,464,000 | 6,480,786 |
Yorktown Central School District Series 2019, GO, 5.00%, 3/1/2024 | 120,000 | 120,000 |
Total New York | 457,879,145 | |
North Carolina — 0.3% | ||
Charlotte-Mecklenburg Hospital Authority (The), Atrium Health Variable Rate, Health Care Series 2021B, Rev., 5.00%, 12/2/2024 (c) | 1,430,000 | 1,444,377 |
City of Charlotte, Airport Special Facilities Series A, Rev., 5.00%, 7/1/2024 | 35,000 | 35,204 |
City of Charlotte, Convention Facility Project Series 2019A, COP, 5.00%, 6/1/2024 | 60,000 | 60,244 |
City of Durham Series 2018, Rev., 5.00%, 4/1/2024 | 70,000 | 70,091 |
City of Fayetteville, Public Works Commission | ||
Series 2014, Rev., 5.00%, 3/1/2024 | 100,000 | 100,000 |
Series 2016, Rev., 5.00%, 3/1/2024 | 85,000 | 85,000 |
City of Greensboro Series 2014, Rev., 5.00%, 4/1/2024 (b) | 90,000 | 90,112 |
City of High Point Series 2016, GO, 5.00%, 3/1/2024 | 50,000 | 50,000 |
City of Sanford, Utility Systems Series 2019, Rev., 5.00%, 6/1/2024 | 70,000 | 70,265 |
County of Buncombe Series A, Rev., 5.00%, 6/1/2024 (b) | 40,000 | 40,156 |
County of Durham Series 2014, GO, 5.00%, 4/1/2024 (b) | 25,000 | 25,031 |
County of Forsyth Series 2019 A, GO, 5.00%, 3/1/2024 | 125,000 | 125,000 |
County of Lee, Community College Series 2017, GO, 5.00%, 4/1/2024 | 35,000 | 35,045 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
North Carolina — continued | ||
County of New Hanover Series 2017, Rev., 5.00%, 10/1/2025 (b) | 75,000 | 77,092 |
County of Wake | ||
Series 2010-C, GO, 5.00%, 3/1/2024 | 60,000 | 60,000 |
Series 2016 A, Rev., 5.00%, 12/1/2024 | 20,000 | 20,280 |
County of Wake, Hospital System Rev., NATL - RE, 5.13%, 10/1/2026 (b) | 75,000 | 76,924 |
County of Wake, Public Improvement Series 2019 A, GO, 5.00%, 3/1/2024 | 75,000 | 75,000 |
Greenville Utilities Commission Series 2016, Rev., 5.00%, 4/1/2024 | 45,000 | 45,057 |
North Carolina Capital Facilities Finance Agency, Duke University Project Series 2015B, Rev., 5.00%, 10/1/2025 (b) | 20,000 | 20,589 |
North Carolina Housing Finance Agency, Homeownership Series 44, Rev., 1.50%, 7/1/2024 | 230,000 | 227,115 |
North Carolina Medical Care Commission, Caromont Health Series 2021B, Rev., 5.00%, 2/1/2026 (c) | 325,000 | 334,952 |
North Carolina Medical Care Commission, Novant Health Series 2013A, Rev., 5.00%, 11/1/2024 | 160,000 | 160,192 |
North Carolina Municipal Power Agency No. 1 | ||
Series A, Rev., 5.00%, 1/1/2026 | 75,000 | 77,417 |
Series 2016 A, Rev., 5.00%, 1/1/2028 | 110,000 | 114,804 |
Raleigh Durham Airport Authority | ||
Series 2020A, Rev., AMT, 5.00%, 5/1/2025 | 940,000 | 955,220 |
Series 2020B, Rev., 5.00%, 5/1/2025 | 20,000 | 20,461 |
State of North Carolina | ||
Rev., 5.00%, 3/1/2024 | 170,000 | 170,000 |
Series 2017 B, Rev., 5.00%, 5/1/2024 | 80,000 | 80,219 |
Series 2022A, Rev., 5.00%, 5/1/2025 | 435,000 | 444,882 |
State of North Carolina, Limited Obligation Series 2013A, Rev., 2.25%, 5/1/2026 | 10,000 | 9,739 |
Town of Cary, Public Improvement | ||
Series 2014, GO, 4.00%, 3/1/2024 (b) | 610,000 | 610,000 |
Series 2014, GO, 5.00%, 3/1/2024 | 150,000 | 150,000 |
University of North Carolina at Charlotte (The) Series 2014, Rev., 5.00%, 4/1/2024 (b) | 685,000 | 685,850 |
University of North Carolina at Greensboro Series 2014, Rev., 4.00%, 4/1/2024 | 200,000 | 200,040 |
Total North Carolina | 6,846,358 |
220 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
North Dakota — 0.0% ^ | ||
Minot Public School District No. 1 GO, 4.00%, 8/1/2025 | 25,000 | 25,323 |
North Dakota Housing Finance Agency, Home Mortgage Finance Program Series 2020B, Rev., 1.05%, 7/1/2026 | 125,000 | 115,314 |
University of North Dakota Series 2021A, COP, AGM, 5.00%, 6/1/2024 | 580,000 | 582,122 |
West Fargo Public School District No. 6, School Building GO, 4.00%, 8/1/2024 | 40,000 | 40,113 |
Total North Dakota | 762,872 | |
Ohio — 6.0% | ||
Akron Bath Copley Joint Township Hospital District, Children's Hospital Medical Center of Akron | ||
Series 2022A, Rev., 5.00%, 11/15/2024 | 75,000 | 75,794 |
Series 2022A, Rev., 5.00%, 11/15/2026 | 355,000 | 373,334 |
Series 2022A, Rev., 5.00%, 11/15/2027 | 470,000 | 504,709 |
American Municipal Power, Inc., AMP Fremont Energy Center Project | ||
Series 2017A, Rev., 5.00%, 2/15/2026 | 25,000 | 25,871 |
Series 2017A, Rev., 5.00%, 2/15/2028 | 20,000 | 21,542 |
American Municipal Power, Inc., Electric System Improvement, City of Wapakoneta Project Rev., BAN, 4.50%, 6/21/2024 | 1,970,000 | 1,973,163 |
Athens City School District, Unlimited Tax Series 2023, GO, BAN, 4.75%, 6/3/2024 | 3,700,000 | 3,712,529 |
Big Walnut Local School District, Unlimited Tax Series 2015, GO, 5.00%, 6/1/2025 (b) | 670,000 | 685,447 |
Bowling Green City School District, Ohio Wood County School Facilities General Obligation Unlimited Tax GO, BAN, 4.75%, 6/3/2024 | 2,350,000 | 2,357,958 |
Central Ohio Solid Waste Authority Series 2016, GO, 5.00%, 12/1/2024 | 1,000,000 | 1,012,873 |
Cincinnati City School District Series 2014, COP, 5.00%, 12/15/2024 (b) | 3,260,000 | 3,303,393 |
City of Blue Ash, Town Square Renovation Project GO, BAN, 4.25%, 3/28/2024 | 5,400,000 | 5,401,243 |
City of Columbus, Unlimited Tax, General Obligation | ||
Series 2017-1, GO, 5.00%, 4/1/2024 | 260,000 | 260,332 |
Series 2021 A, GO, 5.00%, 4/1/2024 | 30,000 | 30,038 |
City of Columbus, Various Purpose, Unlimited Tax | ||
Series 2018 A, GO, 5.00%, 4/1/2024 | 230,000 | 230,294 |
Series 2014A, GO, 4.00%, 2/15/2028 | 145,000 | 145,073 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Ohio — continued | ||
City of Dublin, Various Purpose Series 2018 B, GO, 5.00%, 12/1/2024 | 75,000 | 75,103 |
City of Gahanna, Ohio Capital Facilities Series 2023, GO, BAN, 5.13%, 10/24/2024 | 3,750,000 | 3,761,990 |
City of Hamilton Series 2023, GO, BAN, 4.50%, 12/19/2024 | 3,000,000 | 3,021,594 |
City of Lebanon Series 2024, GO, BAN, 4.13%, 2/5/2025 | 3,800,000 | 3,815,810 |
City of Sandusky, Various Purpose Limited Tax GO, BAN, 4.50%, 9/6/2024 | 12,270,000 | 12,316,125 |
City of Springfield GO, BAN, 4.25%, 4/3/2024 | 4,480,000 | 4,481,147 |
City of Strongsville Series 2023, GO, BAN, 4.50%, 6/7/2024 | 2,740,000 | 2,747,904 |
Columbus Metropolitan Library, Ohio Library Facilities, Special Obligation Series 2020, Rev., 4.00%, 12/1/2024 | 20,000 | 20,111 |
County of Allen | ||
Series 2017A, Rev., 5.00%, 8/1/2025 | 115,000 | 117,659 |
Series 2017 A, Rev., 5.00%, 8/1/2027 | 25,000 | 26,639 |
County of Allen, Hospital Facilities, Bon Secours Mercy Health, Inc. | ||
Series 2017A, Rev., 5.00%, 8/1/2024 | 900,000 | 905,251 |
Series 2017 A, Rev., 5.00%, 8/1/2026 | 20,000 | 20,872 |
County of Cuyahoga, Ohio Economic Development Series 2020D, Rev., 4.00%, 12/1/2024 | 1,850,000 | 1,860,383 |
County of Franklin, Hospital Facilities, Nationwide Children's Hospital Project Series 2016C, Rev., 5.00%, 11/1/2024 | 45,000 | 45,485 |
County of Hamilton, Hospital Facility Cincinnati Children's Hospital | ||
Series 2014S, Rev., 5.00%, 5/15/2025 | 40,000 | 40,118 |
Series 2014S, Rev., 5.00%, 5/15/2026 | 1,690,000 | 1,694,879 |
Series 2014S, Rev., 5.00%, 5/15/2027 | 2,000,000 | 2,006,144 |
County of Hamilton, Metropolotan Sewer district of Greater Cincinnati | ||
Series 2014A, Rev., 5.00%, 12/1/2027 | 370,000 | 374,517 |
Series 2014A, Rev., 5.00%, 12/1/2028 | 2,420,000 | 2,447,942 |
County of Hamilton, Sales Tax | ||
Series 2016A, Rev., 5.00%, 12/1/2024 | 35,000 | 35,443 |
Series 2016A, Rev., 5.00%, 12/1/2026 | 620,000 | 655,843 |
County of Hamilton, Trihealth, Inc. Group Project Series 2020 A, Rev., 5.00%, 8/15/2027 | 25,000 | 26,668 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 221 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Ohio — continued | ||
County of Montgomery, Dayton Children's Hospital Series 2021, Rev., 5.00%, 8/1/2026 | 170,000 | 176,894 |
Cuyahoga Metropolitan Housing Authority, Carver Park Phase III Project Rev., FHA, 4.00%, 6/1/2025 (c) | 7,638,000 | 7,651,486 |
Cuyahoga Metropolitan Housing Authority, Wade Park Apartments Rev., FHA, 4.75%, 12/1/2025 (c) | 4,590,000 | 4,648,332 |
Dayton Metro Library, Unlimited Tax GO, 4.00%, 12/1/2024 | 40,000 | 40,201 |
Dublin City School District GO, BAN, 5.00%, 12/18/2024 | 2,225,000 | 2,246,148 |
Dublin City School District, School Facilities Construction and Improvement Series 2019C, GO, 4.00%, 12/1/2024 | 20,000 | 20,130 |
Franklin County Convention Facilities Authority, Tax Lease | ||
Rev., 5.00%, 12/1/2024 (b) | 75,000 | 75,894 |
Series 2014, Rev., 5.00%, 12/1/2024 (b) | 20,000 | 20,238 |
Lucas-Plaza Housing Development Corp. Series B, Rev., FHA, Zero Coupon, 6/1/2024 (b) | 970,000 | 961,175 |
Miamisburg City School District Series 2016, GO, 5.00%, 12/1/2025 (b) | 390,000 | 403,566 |
Ohio Higher Educational Facility Commission, Case Western Reserve University Project Series 2021B, Rev., (SIFMA Municipal Swap Index Yield + 0.23%), 3.53%, 3/7/2024 (d) | 5,500,000 | 5,392,127 |
Ohio Housing Finance Agency, Marianna Terrace Apartments Series 2022A, Rev., VRDO, 1.30%, 3/1/2024 (c) | 1,000,000 | 1,000,000 |
Ohio Housing Finance Agency, RAD Post Oak LLC Series 2022, Rev., 3.35%, 7/1/2024 (c) | 4,740,000 | 4,718,967 |
Ohio Housing Finance Agency, Riverview San Macro LLC Series 2023, Rev., FHA, 5.00%, 8/1/2025 (c) | 3,916,000 | 3,974,119 |
Ohio Water Development Authority Series 2016B, Rev., 5.00%, 6/1/2024 | 35,000 | 35,149 |
Salem City School District Series 2023, GO, BAN, 5.25%, 6/3/2024 | 4,000,000 | 4,018,408 |
State of Ohio | ||
Series 2017 A, GO, 5.00%, 3/15/2024 | 25,000 | 25,012 |
Series 2019A, Rev., 5.00%, 4/1/2024 | 20,000 | 20,025 |
Series A, Rev., 5.00%, 4/1/2024 | 25,000 | 25,031 |
Series 2018A, Rev., 5.00%, 6/1/2024 | 25,000 | 25,104 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Ohio — continued | ||
Series A, Rev., 5.00%, 6/1/2024 | 25,000 | 25,104 |
Series 1A, Rev., 5.00%, 12/15/2024 | 75,000 | 76,091 |
Series 2016A, Rev., 5.00%, 2/1/2025 | 50,000 | 50,860 |
Series 2021A, Rev., 5.00%, 2/1/2025 | 25,000 | 25,430 |
Series 2017B, GO, 5.00%, 9/15/2025 | 450,000 | 463,990 |
Series 2016-1, Rev., 5.00%, 12/15/2025 | 25,000 | 25,914 |
State of Ohio, Adult Correctional Building Fund Projects Series 2013A, Rev., 5.00%, 10/1/2024 | 35,000 | 35,367 |
State of Ohio, Capital Facilities Lease Appropriation Series 2017A, Rev., 5.00%, 12/1/2024 | 55,000 | 55,757 |
State of Ohio, Cleveland Clinic Health System | ||
Series 2019F, Rev., VRDO, LIQ : US Bank NA, 3.45%, 3/1/2024 (c) | 10,000,000 | 10,000,000 |
Series 2019D-2, Rev., VRDO, 3.16%, 3/11/2024 (c) | 20,890,000 | 20,890,000 |
State of Ohio, Higher Education Series 2014A, GO, 4.00%, 5/1/2024 | 80,000 | 80,097 |
State of Ohio, Infrastructure Improvement Series 2017B, GO, 5.00%, 9/1/2025 | 30,000 | 30,906 |
State of Ohio, Major New Infrastructure Project Series 2018-1, Rev., 5.00%, 12/15/2024 | 65,000 | 65,946 |
State of Ohio, University Hospitals Health System, Inc. | ||
Series 2021B, Rev., VRDO, 3.60%, 3/1/2024 (c) | 15,500,000 | 15,500,000 |
Series 2014B, Rev., VRDO, 3.60%, 3/11/2024 (c) | 14,000,000 | 14,000,000 |
Series 2020B, Rev., 5.00%, 1/15/2025 (c) | 295,000 | 298,436 |
Series 2016A, Rev., 5.00%, 1/15/2027 | 70,000 | 72,071 |
University of Cincinnati Series D, Rev., 5.00%, 6/1/2024 | 255,000 | 255,933 |
Wright State University Series 2021A, Rev., 4.00%, 5/1/2024 | 700,000 | 699,995 |
Total Ohio | 158,741,123 | |
Oklahoma — 0.8% | ||
Canadian County Educational Facilities Authority, Mustang Public Schools Project Series 2017, Rev., 4.00%, 9/1/2025 | 105,000 | 105,883 |
Canadian County Independent School District No. 69 Mustang Series 2023, GO, 4.00%, 6/1/2027 | 3,530,000 | 3,638,458 |
222 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Oklahoma — continued | ||
Grand River Dam Authority | ||
Series 2016A, Rev., 4.00%, 6/1/2024 | 50,000 | 50,073 |
Series 2014A, Rev., 5.00%, 6/1/2025 | 135,000 | 135,514 |
Series 2014A, Rev., 5.00%, 6/1/2026 | 310,000 | 311,006 |
Series 2016A, Rev., 5.00%, 6/1/2026 | 75,000 | 78,299 |
Series 2014A, Rev., 5.00%, 6/1/2028 | 115,000 | 115,340 |
Oklahoma Capitol Improvement Authority, Oklahoma Department of Transportation Project Series 2020 A, Rev., 5.00%, 7/1/2025 | 50,000 | 51,175 |
Oklahoma County Finance Authority, Educational Facilities, Lease Midwest City-Del City Public Schools Project | ||
Rev., 5.00%, 10/1/2024 | 780,000 | 786,614 |
Rev., 5.00%, 10/1/2025 | 30,000 | 30,790 |
Oklahoma Development Finance Authority, Health System, Integris Obligated Group | ||
Series 2020C, Rev., VRDO, 3.75%, 3/11/2024 (c) | 15,610,000 | 15,610,000 |
Series 2015A, Rev., 5.00%, 8/15/2024 | 70,000 | 70,297 |
Oklahoma Development Finance Authority, State System Higher Education Master Real Property Series 2014A, Rev., 5.00%, 6/1/2024 | 50,000 | 50,161 |
Oklahoma Turnpike Authority, Turnpike System, Second Senior | ||
Series 2017 D, Rev., 5.00%, 1/1/2025 | 215,000 | 218,428 |
Series 2020A, Rev., 5.00%, 1/1/2025 | 145,000 | 147,312 |
Tulsa County Industrial Authority Educational Facilities Lease, Broken Arrow Public Schools Project Rev., 5.00%, 9/1/2025 | 35,000 | 35,045 |
Total Oklahoma | 21,434,395 | |
Oregon — 0.1% | ||
City of Eugene, Electric Utility System Rev., 4.00%, 8/1/2024 | 140,000 | 140,065 |
City of Portland Water System, Second Lien Series 2013 A, Rev., 5.00%, 10/1/2025 | 250,000 | 250,622 |
City of Tualatin Series 2018, GO, 5.00%, 6/15/2024 | 95,000 | 95,408 |
Hospital Facilities Authority of Multnomah County Oregon, Adventist Health System Rev., 5.00%, 3/1/2025 (c) | 260,000 | 261,260 |
Metro, Oregon Convention Center Hotel Project Rev., 5.00%, 6/15/2025 | 20,000 | 20,478 |
Oregon State Facilities Authority, Providence Health and Services Series 2013A, Rev., 5.00%, 10/1/2024 | 110,000 | 110,042 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oregon — continued | ||
Oregon State Lottery | ||
Series B, Rev., 5.00%, 4/1/2024 | 35,000 | 35,043 |
Series C, Rev., 5.00%, 4/1/2024 | 30,000 | 30,037 |
Series C, Rev., 5.00%, 4/1/2025 | 105,000 | 105,150 |
State of Oregon, Article XI-Q State Projects Series 2023 A, GO, 5.00%, 5/1/2024 | 25,000 | 25,068 |
State of Oregon, Housing and Community Services Department, Single-Family Mortgage Program Series 2020A, Rev., 0.90%, 7/1/2024 | 435,000 | 430,933 |
Tri-County Metropolitan Transportation District of Oregon Series 2017A, Rev., 5.00%, 10/1/2025 | 85,000 | 87,437 |
Total Oregon | 1,591,543 | |
Pennsylvania — 6.4% | ||
Allegheny County Higher Education Building Authority, University Refunding Duquesne University Series 2016, Rev., 5.00%, 3/1/2027 | 70,000 | 72,221 |
Allegheny County Hospital Development Authority, Allegheny Health Network Obligated Group Series 2018A, Rev., 5.00%, 4/1/2025 | 135,000 | 137,009 |
Allegheny County Hospital Development Authority, Pittsburgh Medical Center | ||
Series 2019A, Rev., 5.00%, 7/15/2024 | 1,335,000 | 1,342,345 |
Series 2019 A, Rev., 5.00%, 7/15/2025 | 20,000 | 20,472 |
Series 2019 A, Rev., 5.00%, 7/15/2026 | 110,000 | 114,871 |
Allegheny County Hospital Development Authority, UPMC Health Center Series 1997B, Rev., NATL - RE, 6.00%, 7/1/2024 | 50,000 | 50,403 |
Allegheny County Sanitary Authority, Sewer | ||
Series 2015, Rev., 5.00%, 12/1/2024 | 955,000 | 966,661 |
Rev., 5.00%, 12/1/2026 | 65,000 | 65,064 |
Ambridge Borough Water Authority Series 2019, Rev., 4.00%, 11/15/2024 | 25,000 | 25,092 |
Berks County Industrial Development Authority, The Highlands at Wyomissing Series 2018, Rev., 5.00%, 5/15/2025 (b) | 2,250,000 | 2,338,880 |
Bethel Park School District GO, 5.00%, 8/1/2025 | 35,000 | 35,941 |
Borough of Hanover Series 2020B, GO, 4.00%, 10/1/2024 | 25,000 | 25,085 |
Carlisle Area School District, Limited Tax GO, 3.00%, 9/1/2024 | 25,000 | 24,924 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 223 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Pennsylvania — continued | ||
Centennial School District Bucks County | ||
Series 2017 B, GO, 5.00%, 12/15/2024 | 25,000 | 25,315 |
Series 2017A, GO, 5.00%, 12/15/2024 | 25,000 | 25,315 |
Central Dauphin School District Series 2016, GO, 5.00%, 2/1/2026 | 25,000 | 25,902 |
Chambersburg Area School District Series A, GO, 5.00%, 3/1/2025 | 150,000 | 150,172 |
Cheltenham Township School District Series 2019A, GO, 4.00%, 2/15/2025 | 20,000 | 20,120 |
City of Philadelphia | ||
Series 2017, GO, 5.00%, 8/1/2024 | 50,000 | 50,332 |
Series 2017A, GO, 5.00%, 8/1/2024 | 250,000 | 251,662 |
Series 2019A, GO, 5.00%, 8/1/2024 | 125,000 | 125,831 |
Series 2019 A, GO, 5.00%, 8/1/2025 | 100,000 | 102,590 |
Series 2021 A, GO, 5.00%, 5/1/2026 | 50,000 | 52,029 |
Series 2017 A, GO, 5.00%, 8/1/2026 | 85,000 | 88,930 |
Series 2021A, GO, 5.00%, 5/1/2028 | 40,000 | 43,437 |
City of Philadelphia Water And Wastewater Series 2016, Rev., 5.00%, 10/1/2025 | 105,000 | 108,206 |
City of Philadelphia, Airport System | ||
Series 2017A, Rev., 5.00%, 7/1/2024 | 795,000 | 799,152 |
Series 2020A, Rev., 5.00%, 7/1/2024 | 125,000 | 125,653 |
Commonwealth Financing Authority | ||
Series B-1, Rev., 5.00%, 6/1/2024 | 120,000 | 120,454 |
Series B-1, Rev., AGM, 5.00%, 6/1/2025 | 50,000 | 51,171 |
Series 2019B, Rev., 5.00%, 6/1/2027 | 20,000 | 21,317 |
Commonwealth Financing Authority, Tobacco Master Settlement Payment | ||
Rev., 5.00%, 6/1/2024 | 2,490,000 | 2,497,292 |
Rev., 5.00%, 6/1/2025 | 400,000 | 407,261 |
Rev., 5.00%, 6/1/2026 | 80,000 | 82,902 |
Rev., 5.00%, 6/1/2027 | 90,000 | 94,926 |
Rev., 5.00%, 6/1/2028 | 125,000 | 134,099 |
Commonwealth of Pennsylvania | ||
Series 2013, GO, 4.00%, 3/19/2024 | 290,000 | 290,056 |
Series 2ND, GO, 4.38%, 3/19/2024 | 2,705,000 | 2,705,936 |
Series 2ND, GO, 5.00%, 3/19/2024 | 300,000 | 300,181 |
Series 2014-1, GO, 5.00%, 6/15/2024 | 40,000 | 40,190 |
Series 1ST, GO, 5.00%, 7/1/2024 | 25,000 | 25,139 |
Series 2016, GO, 5.00%, 9/15/2024 | 635,000 | 640,982 |
Series 1ST, GO, 5.00%, 9/15/2026 | 20,000 | 21,097 |
Series 2018A, COP, 5.00%, 7/1/2028 | 420,000 | 455,207 |
Council Rock School District Series 2019A, GO, 4.00%, 11/15/2025 | 35,000 | 35,543 |
County of Allegheny Series C-75, GO, 5.00%, 11/1/2027 | 20,000 | 21,061 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pennsylvania — continued | ||
Cumberland County Municipal Authority Series 2015, Rev., 5.00%, 1/1/2025 (b) | 1,780,000 | 1,803,139 |
Daniel Boone Area School District | ||
Series 2017, GO, 5.00%, 4/1/2024 | 40,000 | 40,043 |
Series 2017, GO, 5.00%, 4/1/2024 (b) | 20,000 | 20,024 |
Delaware County Authority, Villanova University Rev., 5.00%, 8/1/2024 | 55,000 | 55,375 |
Delaware County Industrial Development Authority, United Parcel Service Project Rev., VRDO, 3.00%, 3/1/2024 (c) | 40,000,000 | 40,000,000 |
Delaware Valley Regional Finance Authority, Local Government Series 2020B, Rev., 5.00%, 11/1/2024 | 100,000 | 101,118 |
East Hempfield Township Industrial Development Authority, Student Services, Inc. Student Housing Project At Millerville University Of Pennsylvania Series 2014, Rev., 5.00%, 7/1/2024 (b) | 605,000 | 607,549 |
Easton Area School District Series 2020A, GO, 4.00%, 4/1/2025 | 20,000 | 20,198 |
Exeter Township School District Series 2020 A, GO, 5.00%, 5/15/2024 | 150,000 | 150,398 |
Garnet Valley School District Series 2017, GO, 4.00%, 4/1/2027 | 135,000 | 136,587 |
Geisinger Authority, Health System Series 2020B, Rev., 5.00%, 2/15/2027 (c) | 745,000 | 771,201 |
General Authority of Southcentral Pennsylvania, Wellspan Health Obligated Group Series 2019E, Rev., VRDO, LIQ : US Bank NA, 2.80%, 3/1/2024 (c) | 10,000,000 | 10,000,000 |
Hamburg Area School District Series 2020A, GO, 4.00%, 4/1/2024 | 95,000 | 95,037 |
Methacton School District GO, 4.00%, 9/15/2025 | 75,000 | 76,048 |
Monroeville Finance Authority, University of Pittsburg Medical Center Rev., 5.00%, 2/15/2026 | 120,000 | 124,045 |
North Allegheny School District, Unlimited Tax Series 2019A, GO, 4.00%, 5/1/2024 | 50,000 | 50,044 |
North Penn School District Series 2019A, GO, 3.00%, 1/15/2025 | 30,000 | 29,876 |
North Penn Water Authority Rev., (SIFMA Municipal Swap Index Yield + 0.56%), 3.86%, 3/7/2024 (d) | 1,225,000 | 1,225,020 |
Pennsylvania Economic Development Financing Authority, Solid Waste Disposal, Republic Services, Inc., Project Series 2010 B, Rev., 3.75%, 4/1/2024 (c) | 1,225,000 | 1,224,824 |
224 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Pennsylvania — continued | ||
Pennsylvania Economic Development Financing Authority, University of Pittsburgh Medical Center | ||
Series 2014A, Rev., 5.00%, 2/1/2025 | 115,000 | 115,672 |
Series 2017A, Rev., 5.00%, 11/15/2026 | 25,000 | 26,298 |
Pennsylvania Economic Development Financing Authority, UPMC | ||
Series 2016, Rev., 5.00%, 3/15/2024 | 210,000 | 210,089 |
Rev., 5.00%, 3/15/2026 | 255,000 | 264,440 |
Pennsylvania Economic Development Financing Authority, Waste Management, Inc., Project Series 2013, Rev., AMT, 4.10%, 5/1/2024 (c) | 9,000,000 | 8,997,036 |
Pennsylvania Higher Educational Facilities Authority | ||
Series AW, Rev., 5.00%, 6/15/2024 (b) | 5,000 | 5,021 |
Series AW, Rev., 5.00%, 6/15/2024 | 315,000 | 316,326 |
Series AQ, Rev., 5.00%, 6/15/2025 (b) | 15,000 | 15,356 |
Series AQ, Rev., 5.00%, 6/15/2025 | 80,000 | 81,778 |
Series AT-1, Rev., 5.00%, 6/15/2025 | 145,000 | 148,223 |
Pennsylvania Higher Educational Facilities Authority, BRYN MAWR College Rev., 5.00%, 12/1/2024 | 70,000 | 70,886 |
Pennsylvania Higher Educational Facilities Authority, University of Pennsylvania Health System | ||
Series 2016 A, Rev., 5.00%, 8/15/2027 | 75,000 | 78,690 |
Series 2019, Rev., 5.00%, 8/15/2028 | 30,000 | 32,832 |
Pennsylvania Housing Finance Agency, Single Family Mortgage Series 2019-130A, Rev., 1.40%, 4/1/2024 | 260,000 | 259,182 |
Pennsylvania Turnpike Commission | ||
Rev., VRDO, LOC : TD Bank NA, 3.30%, 3/11/2024 (c) | 38,000,000 | 38,000,000 |
Series A-1, Rev., 5.00%, 12/1/2025 | 750,000 | 766,878 |
Series B-2, Rev., 5.00%, 6/1/2026 | 275,000 | 286,792 |
Series 2016B, Rev., 5.00%, 6/1/2027 | 20,000 | 20,817 |
Series 2016A-1, Rev., 5.00%, 12/1/2027 | 70,000 | 72,829 |
Series 2016A-3, Rev., 5.00%, 12/1/2027 | 55,000 | 57,858 |
Series 2021A, Rev., 5.00%, 12/1/2028 | 20,000 | 22,150 |
Series 2014C, Rev., 5.00%, 12/1/2030 | 50,000 | 50,577 |
Series 2014, Rev., 5.00%, 12/1/2031 | 3,800,000 | 3,835,523 |
Series 2014A, Rev., 5.00%, 12/1/2038 | 2,685,000 | 2,715,823 |
Series 2014C, Rev., 5.00%, 12/1/2039 | 6,660,000 | 6,731,898 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pennsylvania — continued | ||
Pennsylvania Turnpike Commission Oil Franchise Tax Series B, Rev., 5.00%, 12/1/2028 | 20,000 | 21,061 |
Pennsylvania Turnpike Commission, Motor License Fund, Enhanced, Subordinate Series 2017, Rev., 5.00%, 12/1/2028 | 120,000 | 128,838 |
Perkiomen Valley School District GO, 5.00%, 3/1/2024 | 75,000 | 75,000 |
Peters Township School District Washington County GO, 5.00%, 1/15/2026 | 20,000 | 20,701 |
Philadelphia Authority for Industrial Development | ||
Series B-2, Rev., VRDO, LOC : TD Bank NA, 3.30%, 3/11/2024 (c) | 22,300,000 | 22,300,000 |
Series 2019, Rev., 5.00%, 10/1/2026 | 55,000 | 57,602 |
Series 2016, Rev., 5.00%, 4/1/2028 | 475,000 | 483,419 |
Series 2019, Rev., 5.00%, 10/1/2029 | 125,000 | 137,813 |
Philadelphia Gas Works Co. | ||
Series 13, Rev., 5.00%, 8/1/2024 | 810,000 | 814,825 |
Series 13TH, Rev., 5.00%, 8/1/2025 | 20,000 | 20,471 |
Philadelphia Gas Works Co., 1998 General Ordinance Series 14TH, Rev., 5.00%, 10/1/2026 | 175,000 | 183,102 |
School District of Philadelphia (The) | ||
Series F, GO, 5.00%, 9/1/2024 | 5,800,000 | 5,838,811 |
Series F, GO, 5.00%, 9/1/2025 | 50,000 | 51,164 |
Series F, GO, 5.00%, 9/1/2026 | 50,000 | 52,262 |
Southeastern Pennsylvania Transportation Authority | ||
Rev., 5.00%, 3/1/2025 | 45,000 | 45,823 |
Series 2020, Rev., 5.00%, 6/1/2026 | 215,000 | 224,362 |
Series 2020, Rev., 5.00%, 6/1/2028 | 30,000 | 32,283 |
Southeastern Pennsylvania Transportation Authority, Capital Grant Receipts Rev., 5.00%, 6/1/2024 | 20,000 | 20,073 |
State College Area School District Series 2017, GO, 5.00%, 5/15/2024 | 35,000 | 35,121 |
State Public School Building Authority Series 2016 A, Rev., 5.00%, 6/1/2024 | 30,000 | 30,099 |
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 | 15,474 |
Township of Hampden Series 2020, GO, 4.00%, 5/15/2024 | 25,000 | 25,021 |
Township of Lower Paxton GO, 4.00%, 4/1/2024 | 30,000 | 30,012 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 225 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Pennsylvania — continued | ||
Union County Higher Educational Facilities Financing Authority, Bucknell University Series B, Rev., 5.00%, 4/1/2024 | 25,000 | 25,028 |
Upper Dublin School District Series 2017, GO, 5.00%, 11/15/2024 | 25,000 | 25,303 |
West Jefferson Hills School District | ||
GO, 3.00%, 8/1/2024 | 25,000 | 24,932 |
Series 2017A, GO, 5.00%, 8/1/2024 | 25,000 | 25,170 |
West View Municipal Authority Water Series 2014, Rev., 5.00%, 11/15/2024 (b) | 2,995,000 | 3,030,214 |
Total Pennsylvania | 168,645,912 | |
Rhode Island — 0.1% | ||
Rhode Island Commerce Corp., Department of Transportation | ||
Series 2016A, Rev., 5.00%, 6/15/2024 | 210,000 | 210,949 |
Series 2016 B, Rev., 5.00%, 6/15/2025 | 140,000 | 143,307 |
Series 2016 B, Rev., 5.00%, 6/15/2026 | 65,000 | 68,079 |
Series 2016B, Rev., 5.00%, 6/15/2027 | 230,000 | 240,952 |
Series 2016B, Rev., 5.00%, 6/15/2028 | 100,000 | 104,536 |
Rhode Island Health and Educational Building Corp. Series 2016A, Rev., 5.00%, 5/15/2024 | 675,000 | 677,196 |
Rhode Island Infrastructure Bank Water Pollution Control Revolving Fund Series 2015A, Rev., 5.00%, 10/1/2024 (b) | 150,000 | 151,486 |
State of Rhode Island and Providence Plantations Capital Development Series 2019 E, GO, 5.00%, 1/15/2025 | 60,000 | 61,002 |
Total Rhode Island | 1,657,507 | |
South Carolina — 0.8% | ||
Aiken County Consolidated School District Series 2018A, GO, SCSDE, 5.00%, 3/1/2024 | 100,000 | 100,000 |
Anderson County School District No. 5 Series 2016 B, GO, SCSDE, 5.00%, 3/1/2024 | 150,000 | 150,000 |
Beaufort County School District | ||
Series 2015A, GO, SCSDE, 5.00%, 3/1/2024 | 285,000 | 285,000 |
Series 2015B, GO, SCSDE, 5.00%, 3/1/2024 | 30,000 | 30,000 |
Beaufort-Jasper Water and Sewer Authority Series B, Rev., 5.00%, 3/1/2024 | 50,000 | 50,000 |
Charleston Educational Excellence Finance Corp., Installment Purchase, Charleston County School District, South Carolina Project Series 2014, Rev., 5.00%, 12/1/2024 | 50,000 | 50,651 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
South Carolina — continued | ||
City of Hanahan Series 2021, GO, 5.00%, 3/1/2024 | 25,000 | 25,000 |
County of Newberry Series 2017, GO, 5.00%, 5/1/2024 (b) | 30,000 | 30,078 |
County Square Redevelopment Corp., South Carolina Project Series 2024, Rev., BAN, 5.00%, 2/9/2025 | 8,200,000 | 8,326,965 |
Dorchester County School District No. 2 Series 2014 A, GO, SCSDE, 4.00%, 3/1/2024 (b) | 350,000 | 350,000 |
Horry County School District Series 2016, GO, SCSDE, 5.00%, 3/1/2024 | 185,000 | 185,000 |
Lexington County School District No 2 Series 2017 C, GO, SCSDE, 5.00%, 3/1/2024 | 100,000 | 100,000 |
Oconee County School District GO, SCSDE, 5.00%, 3/1/2024 | 125,000 | 125,000 |
Piedmont Municipal Power Agency | ||
Rev., NATL - RE, 5.38%, 1/1/2025 | 105,000 | 106,699 |
Series 2015A, Rev., 5.00%, 1/1/2026 | 1,700,000 | 1,722,607 |
SCAGO Educational Facilities Corp. for Pickens School District Rev., 5.00%, 12/1/2027 | 85,000 | 86,807 |
South Carolina Jobs-Economic Development Authority, Bon Secours Mercy Health, Inc. Series 2020B, Rev., 5.00%, 10/1/2025 (c) | 990,000 | 1,011,636 |
South Carolina Jobs-Economic Development Authority, York Preparatory Academy Project Series 2014A, Rev., 7.25%, 11/1/2024 (b) (e) | 5,250,000 | 5,372,394 |
South Carolina Public Service Authority | ||
Series 2014C, Rev., 5.00%, 12/1/2024 | 750,000 | 756,517 |
Series 2022A, Rev., 5.00%, 12/1/2026 | 465,000 | 485,744 |
South Carolina Public Service Authority, Santee Cooper Series A, Rev., 5.00%, 12/1/2026 | 1,170,000 | 1,188,465 |
South Carolina Transportation Infrastructure Bank Series 2015A, Rev., 5.00%, 10/1/2024 | 125,000 | 126,324 |
Spartanburg County School District No. 5 Series 2015B, GO, SCSDE, 5.00%, 3/1/2024 | 20,000 | 20,000 |
State of South Carolina Series 2016A, GO, 5.00%, 4/1/2024 | 30,000 | 30,038 |
226 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
South Carolina — continued | ||
University of South Carolina, Higher Education Facilities Rev., 5.00%, 5/1/2025 | 70,000 | 71,622 |
York County School District No. 1 Series 2016, GO, SCSDE, 5.00%, 3/1/2024 | 25,000 | 25,000 |
Total South Carolina | 20,811,547 | |
South Dakota — 0.0% ^ | ||
South Dakota Board of Regents Housing and Auxiliary Facilities System Series 2015, Rev., 5.00%, 4/1/2024 | 20,000 | 20,022 |
South Dakota State Building Authority | ||
Series 2019A, Rev., 4.00%, 6/1/2024 | 30,000 | 30,042 |
Series 2018 A, Rev., 5.00%, 6/1/2024 | 90,000 | 90,340 |
Series E, Rev., 5.00%, 6/1/2024 | 50,000 | 50,189 |
Series D, Rev., 5.00%, 9/1/2024 | 25,000 | 25,204 |
Total South Dakota | 215,797 | |
Tennessee — 0.2% | ||
City of Chattanooga GO, 3.13%, 10/1/2025 | 140,000 | 139,904 |
City of Johnson City Series 2019, GO, 5.00%, 6/1/2024 | 30,000 | 30,132 |
City of Knoxville, Wastewater System Series 2020A, Rev., 5.00%, 4/1/2024 | 35,000 | 35,042 |
City of Memphis | ||
Series 2014B, GO, 4.13%, 4/1/2024 (b) | 150,000 | 150,072 |
Series 2014B, GO, 5.00%, 4/1/2024 | 30,000 | 30,037 |
Series 2014B, GO, 5.00%, 4/1/2024 (b) | 1,300,000 | 1,301,464 |
Series 2015C, GO, 5.00%, 4/1/2024 (b) | 115,000 | 115,143 |
County of Maury GO, 5.00%, 4/1/2024 | 30,000 | 30,037 |
County of Shelby Series 2012A, GO, 5.00%, 3/1/2024 | 150,000 | 150,000 |
County of Wilson | ||
Series 2015, GO, 5.00%, 4/1/2024 | 175,000 | 175,224 |
Series 2016, GO, 5.00%, 4/1/2024 | 200,000 | 200,256 |
GO, 4.00%, 4/1/2025 | 750,000 | 750,547 |
Harpeth Valley Utilities District of Davidson and Williamson Counties Series 2015, Rev., 5.00%, 9/1/2024 | 20,000 | 20,178 |
Johnson City Health and Educational Facilities Board, Ballad Health Series 2023A, Rev., 5.00%, 7/1/2025 | 755,000 | 766,838 |
Knox County Health Educational and Housing Facility Board, Covenant Health Series 2012A, Rev., 5.00%, 1/1/2026 | 25,000 | 25,216 |
Memphis-Shelby County Industrial Development Board | ||
Series 2017B, Rev., 5.00%, 11/1/2025 | 55,000 | 56,700 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Tennessee — continued | ||
Series 2017B, Rev., 5.00%, 11/1/2026 | 45,000 | 47,389 |
State of Tennessee Series A, GO, 5.00%, 8/1/2025 (b) | 610,000 | 627,076 |
Tennessee Energy Acquisition Corp., Commodity Project | ||
Series 2021A, Rev., 5.00%, 11/1/2025 | 350,000 | 355,986 |
Series 2021A, Rev., 5.00%, 11/1/2026 | 500,000 | 514,644 |
Tennessee State School Bond Authority, Higher Educational Facilities Second Program | ||
Series 2014B, Rev., 5.00%, 11/1/2024 (b) | 50,000 | 50,572 |
Series B, Rev., 5.00%, 11/1/2024 | 20,000 | 20,235 |
Series 2015B, Rev., 5.00%, 11/1/2025 (b) | 25,000 | 25,843 |
Town of Smyrna GO, 5.00%, 4/1/2024 | 30,000 | 30,037 |
Total Tennessee | 5,648,572 | |
Texas — 7.2% | ||
Arlington Higher Education Finance Corp., Lifeschool of Dallas Series 2014A, Rev., PSF-GTD, 5.00%, 8/15/2024 (b) | 1,000,000 | 1,006,634 |
Austin Independent School District, Unlimited Tax Series A, GO, PSF-GTD, 4.00%, 8/1/2025 (b) | 1,905,000 | 1,930,931 |
Bay City Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2025 | 40,000 | 40,703 |
Bexar County Hospital District, Limited Tax GO, 5.00%, 2/15/2025 | 55,000 | 55,930 |
Brazosport Water Authority Series 2015C, Rev., 5.00%, 9/1/2024 | 40,000 | 40,314 |
Camino Real Regional Mobility Authority, Senior Lien Series 2014, Rev., 5.00%, 6/1/2024 | 25,000 | 25,092 |
Central Texas Regional Mobility Authority, Senior Lien Series A, Rev., 5.00%, 7/1/2025 (b) | 20,000 | 20,496 |
Central Texas Regional Mobility Authority, Subordinate Lien | ||
Series 2020F, Rev., BAN, 5.00%, 1/1/2025 | 185,000 | 185,854 |
Series 2021C, Rev., BAN, 5.00%, 1/1/2027 | 50,000 | 51,439 |
Central Texas Turnpike System Series C, Rev., 5.00%, 8/15/2025 | 750,000 | 754,272 |
City of Austin, Airport System Series 2017A, Rev., 5.00%, 11/15/2027 | 205,000 | 215,545 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 227 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Texas — continued | ||
City of Austin, Electric Utility System Series 2019B, Rev., 5.00%, 11/15/2024 | 100,000 | 101,225 |
City of Austin, Water and Wastewater System Series 2014, Rev., 5.00%, 11/15/2028 | 30,000 | 30,084 |
City of Beaumont Series 2015, GO, 5.00%, 3/1/2024 | 50,000 | 50,000 |
City of Brownsville, Utilities System | ||
Series 2013A, Rev., 5.00%, 9/1/2024 | 275,000 | 275,280 |
Rev., AGM, 5.00%, 9/1/2025 | 1,265,000 | 1,297,600 |
Series 2013A, Rev., 5.00%, 9/1/2025 | 200,000 | 200,238 |
City of Buda GO, 5.00%, 8/15/2024 | 50,000 | 50,367 |
City of Cedar Hill, Refunding and Improvement GO, 5.00%, 2/15/2025 | 40,000 | 40,718 |
City of Conroe | ||
Series 2018B, GO, 5.00%, 11/15/2024 | 110,000 | 111,294 |
Series 2019A, GO, 5.00%, 3/1/2025 | 35,000 | 35,609 |
City of Copperas Cove GO, 4.00%, 8/15/2025 | 25,000 | 25,282 |
City of Dallas | ||
Series 2013A, GO, 5.00%, 2/15/2025 | 25,000 | 25,033 |
Series 2014, GO, 5.00%, 2/15/2026 | 235,000 | 235,231 |
Series 2014, GO, 5.00%, 2/15/2027 | 200,000 | 200,155 |
Series 2014, GO, 5.00%, 2/15/2028 | 100,000 | 100,079 |
City of Deer Park GO, 3.00%, 3/15/2024 | 25,000 | 24,993 |
City of Denton, Utility System Series 2017, Rev., 5.00%, 12/1/2027 | 50,000 | 52,436 |
City of El Paso Water and Sewer | ||
Series 2014, Rev., 5.00%, 3/1/2024 (b) | 300,000 | 300,000 |
Series 2015, Rev., 5.00%, 3/1/2024 | 25,000 | 25,000 |
City of Farmers Branch GO, 4.00%, 2/15/2025 | 35,000 | 35,258 |
City of Fort Worth, Texas Combination Tax Series 2023, GO, 5.00%, 3/1/2024 | 175,000 | 175,000 |
City of Friendswood, Waterworks and Sewer System Series 2018, Rev., 5.00%, 3/1/2024 | 25,000 | 25,000 |
City of Frisco, Collin and Denton Counties GO, 5.00%, 2/15/2025 | 35,000 | 35,641 |
City of Garland, Electric Utility System Series 2016B, Rev., 5.00%, 3/1/2025 | 415,000 | 421,860 |
City of Garland, Water and Sewer System Series 2019 A, Rev., 5.00%, 3/1/2024 | 85,000 | 85,000 |
City of Georgetown Series 2018, GO, 5.00%, 8/15/2024 | 40,000 | 40,299 |
City of Granbury Series 2016A, GO, 4.00%, 8/15/2025 | 35,000 | 35,479 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Texas — continued | ||
City of Heath, Combination Tax and Surplus GO, 5.00%, 2/15/2025 | 40,000 | 40,729 |
City of Houston, Airport System, Subordinate Lien | ||
Series 2018D, Rev., 5.00%, 7/1/2026 | 45,000 | 47,108 |
Series 2020B, Rev., 5.00%, 7/1/2026 | 100,000 | 104,684 |
Series 2020B, Rev., 5.00%, 7/1/2027 | 50,000 | 53,549 |
Series 2023B, Rev., AGM, 5.00%, 7/1/2028 | 35,000 | 38,327 |
City of Houston, Combined Utility System, First Lien | ||
Series 2014 C, Rev., 5.00%, 5/15/2024 | 50,000 | 50,153 |
Series 2017 B, Rev., 5.00%, 11/15/2025 | 20,000 | 20,642 |
Series 2014 C, Rev., 5.00%, 5/15/2026 | 135,000 | 135,463 |
City of Houston, Combined Utility System, Junior Lien Series A, Rev., AGM, Zero Coupon, 12/1/2024 | 85,000 | 82,857 |
City of Houston, Public Improvement | ||
Series 2014A, GO, 4.00%, 3/1/2024 (b) | 20,000 | 20,000 |
Series 2014A, GO, 5.00%, 3/1/2024 (b) | 90,000 | 90,000 |
Series 2016A, GO, 5.00%, 3/1/2024 | 620,000 | 620,000 |
Series 2021 A, GO, 5.00%, 3/1/2024 | 60,000 | 60,000 |
Series 2021A, GO, 5.00%, 3/1/2026 | 20,000 | 20,830 |
City of Kenedy, Combination Tax GO, 4.00%, 5/1/2025 | 25,000 | 25,237 |
City of Laredo, Combination Tax GO, 5.00%, 2/15/2025 | 40,000 | 40,617 |
City of Lubbock GO, 5.00%, 2/15/2027 | 20,000 | 20,301 |
City of Lubbock, Electric Light and Power System | ||
Rev., 5.00%, 4/15/2024 | 425,000 | 425,769 |
Series 2018, Rev., 5.00%, 4/15/2024 | 560,000 | 561,013 |
Series 2021, Rev., 5.00%, 4/15/2028 | 35,000 | 37,903 |
City of McKinney GO, 5.00%, 8/15/2025 | 25,000 | 25,661 |
City of McKinney, Waterworks and Sewer System Series 2016, Rev., 5.00%, 3/15/2024 | 50,000 | 50,024 |
City of Midland Series 2018A, GO, 5.00%, 3/1/2025 | 70,000 | 71,336 |
City of Midland, Certificates of Obligation GO, 5.00%, 3/1/2025 | 40,000 | 40,763 |
City of Midlothian, Combination Tax, Navarro College District GO, 3.00%, 8/15/2024 | 25,000 | 24,912 |
City of Missouri City GO, 5.00%, 6/15/2024 | 110,000 | 110,472 |
228 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Texas — continued | ||
City of Missouri City, Combination Tax, Certificates of Obligation | ||
Series 2018A, GO, 5.00%, 6/15/2024 | 25,000 | 25,107 |
Series 2018B, GO, 4.00%, 6/15/2025 | 25,000 | 25,257 |
City of Mont Belvieu Series 2017A, GO, 5.00%, 8/15/2024 | 25,000 | 25,184 |
City of New Braunfels Series 2016, Rev., 5.00%, 7/1/2024 | 150,000 | 150,857 |
City of New Braunfels, Combination Tax GO, 5.00%, 2/1/2025 | 40,000 | 40,627 |
City of Odessa Series 2015, GO, 5.00%, 3/1/2024 | 250,000 | 250,000 |
City of Pearland, Permanent Improvement | ||
GO, 5.00%, 3/1/2024 | 40,000 | 40,000 |
Series 2016B, GO, 5.00%, 3/1/2024 | 25,000 | 25,000 |
City of Plano Series 2022, GO, 4.00%, 9/1/2024 | 1,370,000 | 1,375,010 |
City of Port Aransas Series 2024, GO, 5.00%, 3/1/2024 | 135,000 | 135,000 |
City of Port Aransas, Combination Tax, Certificates of Obligation GO, 4.00%, 2/1/2025 | 25,000 | 25,194 |
City of Rockwall, General Obligation Series 2013, GO, 5.00%, 8/1/2024 | 55,000 | 55,070 |
City of Round Rock Series 2017, GO, 5.00%, 8/15/2024 | 30,000 | 30,240 |
City of Sachse, Combination Tax and Limited Surplus Series 2017A, GO, 4.00%, 2/15/2025 | 65,000 | 65,534 |
City of San Antonio, Drainage Utility System Rev., 5.00%, 2/1/2027 | 50,000 | 50,061 |
City of San Antonio, Electric and Gas Systems Series 2012, Rev., 5.25%, 2/1/2025 | 45,000 | 45,882 |
City of San Marcos, Combination Tax GO, 5.00%, 8/15/2024 | 35,000 | 35,243 |
City of Sherman, Combination Tax GO, 5.00%, 8/15/2024 | 25,000 | 25,187 |
City of Socorro GO, 5.00%, 3/1/2024 (b) | 300,000 | 300,000 |
City of Victoria Series 2017, GO, 5.00%, 8/15/2024 | 25,000 | 25,177 |
City of Waco GO, 5.00%, 2/1/2026 | 90,000 | 90,111 |
City of Waco, Combination Tax GO, 5.00%, 2/1/2025 | 30,000 | 30,475 |
City of Waxahachie | ||
Series 2016 B, GO, 5.00%, 8/1/2024 | 25,000 | 25,154 |
Series 2016A, GO, 5.00%, 8/1/2024 | 60,000 | 60,370 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Texas — continued | ||
City of Waxahachie, Combination Tax GO, 4.00%, 8/1/2024 | 45,000 | 45,097 |
City of Weatherford GO, 4.00%, 3/1/2025 | 30,000 | 30,235 |
City of Weslaco Series 2016, GO, 5.00%, 2/15/2025 | 50,000 | 50,855 |
Collin County Community College District Series 2018, GO, 5.00%, 8/15/2025 | 70,000 | 72,022 |
Columbia-Brazoria Independent School District, Unlimited Tax GO, PSF-GTD, 3.00%, 2/1/2025 | 200,000 | 199,030 |
Comal Independent School District, Unlimited Tax | ||
GO, PSF-GTD, 5.00%, 2/1/2025 | 55,000 | 55,946 |
Series B, GO, PSF-GTD, 5.00%, 2/1/2025 | 25,000 | 25,033 |
County of Bexar, Combination Tax Series 2014, GO, 5.00%, 6/15/2024 (b) | 125,000 | 125,568 |
County of Bexar, Flood Control Tax GO, 5.00%, 6/15/2024 | 45,000 | 45,225 |
County of Bexar, Limited Tax Series 2016, GO, 4.00%, 6/15/2025 (b) | 25,000 | 25,299 |
County of Brazoria, Limited Tax Series 2021, GO, 5.00%, 3/1/2024 | 100,000 | 100,000 |
County of Comal, Limited Tax GO, 4.00%, 2/1/2025 | 35,000 | 35,269 |
County of Denton | ||
Series 2014, GO, 5.00%, 7/15/2024 | 25,000 | 25,158 |
Series 2019, GO, 5.00%, 7/15/2024 | 30,000 | 30,190 |
County of Fort Bend | ||
Series 2014, GO, 4.50%, 3/1/2024 | 35,000 | 35,000 |
Series B, GO, 5.00%, 3/1/2025 | 60,000 | 61,092 |
County of Galveston, Limited Tax GO, 5.00%, 2/1/2025 | 30,000 | 30,478 |
County of Harris Series 2022A, GO, 5.00%, 10/1/2024 | 2,240,000 | 2,263,211 |
County of Harris, Senior Lien | ||
Series 2016 A, Rev., 5.00%, 8/15/2024 | 100,000 | 100,788 |
Series 2015 B, Rev., 5.00%, 8/15/2026 | 40,000 | 40,967 |
Series 2015 B, Rev., 5.00%, 8/15/2027 | 90,000 | 92,176 |
Series 2016 A, Rev., 5.00%, 8/15/2027 | 35,000 | 36,503 |
County of Harris, Unlimited Tax Series 2022A, GO, 5.00%, 10/1/2024 | 220,000 | 222,280 |
County of Hays, Limited Tax GO, 5.00%, 2/15/2025 | 35,000 | 35,582 |
County of La Salle Series 2018 A, GO, AGM, 5.00%, 3/1/2024 | 125,000 | 125,000 |
County of Montgomery Series 2014A, GO, 5.00%, 3/1/2027 | 1,410,000 | 1,411,781 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 229 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Texas — continued | ||
County of Nueces, Combination Tax | ||
GO, 4.00%, 2/15/2025 (b) | 15,000 | 15,095 |
GO, 4.00%, 2/15/2025 | 10,000 | 10,070 |
County of Taylor, Limited Tax GO, 5.00%, 2/15/2025 | 30,000 | 30,505 |
County of Tom Green, Combination Tax and Limited Surplus GO, 5.00%, 2/1/2025 | 35,000 | 35,542 |
County of Travis Series A, GO, 5.00%, 3/1/2024 | 50,000 | 50,000 |
County of Williamson, Unlimited Tax Series 2014, GO, 5.00%, 2/15/2025 | 405,000 | 405,583 |
Dallas Area Rapid Transit, Sales Tax, Senior Lien | ||
Rev., 5.00%, 12/1/2024 | 105,000 | 106,328 |
Series 2014A, Rev., 5.00%, 12/1/2024 | 210,000 | 212,657 |
Series 2014A, Rev., 5.00%, 12/1/2024 (b) | 400,000 | 405,356 |
Dallas County Park Cities Municipal Utility District Rev., 4.00%, 8/1/2025 | 25,000 | 25,309 |
Dallas County Utility and Reclamation District, Unlimited Tax | ||
Series 2016, GO, 5.00%, 2/15/2025 | 100,000 | 101,597 |
Series 2016, GO, 5.00%, 2/15/2028 | 385,000 | 411,710 |
Dallas Fort Worth International Airport | ||
Series 2021B, Rev., 5.00%, 11/1/2024 | 50,000 | 50,585 |
Series 2020B, Rev., 5.00%, 11/1/2025 | 30,000 | 30,981 |
Series 2020 A, Rev., 5.00%, 11/1/2026 | 30,000 | 31,656 |
Series 2023B, Rev., 5.00%, 11/1/2026 | 1,600,000 | 1,688,307 |
Series 2023B, Rev., 5.00%, 11/1/2027 | 1,500,000 | 1,618,148 |
Series 2023B, Rev., 5.00%, 11/1/2028 | 1,000,000 | 1,101,364 |
Dallas Independent School District, Unlimited Tax | ||
Series 2014A, GO, PSF-GTD, 5.00%, 8/15/2024 (b) | 30,000 | 30,226 |
Series 2016A, GO, PSF-GTD, 4.00%, 2/15/2025 (b) | 25,000 | 25,159 |
GO, PSF-GTD, 5.00%, 2/15/2025 | 50,000 | 50,902 |
Denton County Housing Finance Corp., THF Pathway on Woodrow LP Series 2022, Rev., 5.00%, 2/1/2025 (c) | 3,925,000 | 3,963,978 |
DeSoto Independent School District Series 2013, GO, PSF-GTD, Zero Coupon, 8/15/2025 | 500,000 | 471,641 |
El Paso Housing Finance Corp., Columbia Housing Partners LP Rev., 4.50%, 3/1/2025 (c) | 3,500,000 | 3,517,460 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Texas — continued | ||
El Paso Independent School District Series 2015A, GO, PSF-GTD, 5.00%, 8/15/2025 (b) | 90,000 | 92,331 |
Floresville Independent School District, Unlimited Tax GO, PSF-GTD, 3.00%, 2/1/2025 | 35,000 | 34,830 |
Fort Bend Grand Parkway Toll Road Authority Series 2021 A, Rev., GTD, 5.00%, 3/1/2024 | 100,000 | 100,000 |
Frisco Independent School District Series 2016A, GO, PSF-GTD, 5.00%, 8/15/2025 | 2,500,000 | 2,574,001 |
Galveston Public Facility Corp., The Oleanders at Broadway Rev., 0.47%, 8/1/2024 (c) | 3,775,000 | 3,704,081 |
Garland Independent School District, Unlimited Tax, School Building | ||
Series 2016, GO, PSF-GTD, 5.00%, 2/15/2025 | 20,000 | 20,351 |
Series A, GO, PSF-GTD, 5.00%, 2/15/2025 | 50,000 | 50,879 |
Hallsville Independent School District Series 2020, GO, PSF-GTD, 5.00%, 2/15/2025 | 100,000 | 101,710 |
Harris County Cultural Education Facilities Finance Corp., Memorial Hermann Health System | ||
Series 2019C-2, Rev., (SIFMA Municipal Swap Index Yield + 0.57%), 3.87%, 3/7/2024 (d) | 575,000 | 573,611 |
Series 2014A, Rev., 5.00%, 12/1/2024 | 25,000 | 25,303 |
Series 2019A, Rev., 5.00%, 12/1/2024 | 385,000 | 389,673 |
Series 2020C-2, Rev., 5.00%, 12/1/2024 (c) | 595,000 | 600,867 |
Series 2014A, Rev., 5.00%, 12/1/2025 | 70,000 | 70,851 |
Series 2014A, Rev., 5.00%, 12/1/2027 | 25,000 | 25,310 |
Harris County Health Facilities Development Corp., Sisters of Charity of the Incarnate Word Series 1997B, Rev., 5.75%, 7/1/2027 (b) | 5,995,000 | 6,252,926 |
Housing Options, Inc., Brooks Manor - The Oaks Project Rev., 0.50%, 3/1/2025 (c) | 6,250,000 | 5,965,421 |
Houston Community College System Series 2019, Rev., 5.00%, 4/15/2024 | 125,000 | 125,239 |
Houston Housing Finance Corp. Multi Family Housing Sunset Garden Apartments Series 2022, Rev., FHA, 4.00%, 10/1/2024 (c) | 300,000 | 299,886 |
Houston Independent School District, Limited Tax Series 2014B, GO, PSF-GTD, 4.00%, 2/15/2027 | 25,000 | 25,001 |
230 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Texas — continued | ||
Houston Independent School District, Limited Tax Schoolhouse GO, PSF-GTD, 5.00%, 2/15/2025 | 155,000 | 157,796 |
Humble Independent School District, Unlimited Tax School Building Series 2020A, GO, PSF-GTD, 5.00%, 2/15/2025 | 35,000 | 35,622 |
Joshua Independent School District Series 2015, GO, PSF-GTD, 5.00%, 8/15/2024 (b) | 65,000 | 65,446 |
Keller Independent School District, Unlimited Tax Series 2015, GO, PSF-GTD, 5.00%, 2/15/2025 (b) | 20,000 | 20,361 |
Klein Independent School District, Unlimited Tax | ||
Series 2015A, GO, PSF-GTD, 5.00%, 8/1/2024 | 65,000 | 65,451 |
GO, PSF-GTD, 5.00%, 2/1/2025 | 50,000 | 50,824 |
Leander Independent School District, Unlimited Tax | ||
Series 2014 C, GO, PSF-GTD, Zero Coupon, 8/15/2024 (b) | 35,000,000 | 11,800,558 |
Series 2014D, GO, PSF-GTD, Zero Coupon, 8/15/2024 (b) | 10,560,000 | 5,073,528 |
Lewisville Independent School District, Unlimited Tax | ||
Series 2023, GO, PSF-GTD, 5.00%, 8/15/2024 | 8,500,000 | 8,567,366 |
Series 2023, GO, PSF-GTD, 5.00%, 8/15/2026 | 925,000 | 973,304 |
Series 2016 A, GO, PSF-GTD, 4.00%, 8/15/2027 | 100,000 | 101,279 |
Lower Colorado River Authority, LCRA Transmission Services Corp. Project | ||
Series 2016, Rev., 5.00%, 5/15/2024 | 100,000 | 100,295 |
Series 2018, Rev., 5.00%, 5/15/2024 | 30,000 | 30,089 |
Series 2019, Rev., 5.00%, 5/15/2024 | 115,000 | 115,340 |
Series 2022, Rev., 5.00%, 5/15/2024 | 285,000 | 285,842 |
Series 2022A, Rev., 5.00%, 5/15/2024 | 800,000 | 802,363 |
Rev., 5.00%, 5/15/2025 | 170,000 | 173,562 |
Rev., 5.00%, 5/15/2026 | 1,225,000 | 1,228,179 |
Series 2019A, Rev., 5.00%, 5/15/2026 | 150,000 | 156,706 |
Series 2018, Rev., 5.00%, 5/15/2027 | 165,000 | 165,455 |
Series 2019, Rev., 5.00%, 5/15/2028 | 105,000 | 114,326 |
Series 2023, Rev., AGM, 5.00%, 5/15/2028 | 80,000 | 87,272 |
Metropolitan Transit Authority of Harris County, Sales and Use Tax | ||
Series 2017B, Rev., 5.00%, 11/1/2025 | 3,040,000 | 3,138,948 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Texas — continued | ||
Series 2018, Rev., 5.00%, 11/1/2026 | 550,000 | 580,645 |
Mission Economic Development Corp., Republic Services, Inc., Project Series 2012, Rev., AMT, 4.10%, 5/1/2024 (c) | 14,000,000 | 13,995,390 |
New Hope Cultural Education Facilities Finance Corp., Collegiate Housing Galveston LLC Series A, Rev., 5.00%, 4/1/2024 (b) | 25,000 | 25,027 |
New Hope Cultural Education Facilities Finance Corp., Collegiate Housing Stephenville LLC Tarleton State University Project Series A, Rev., 5.00%, 4/1/2024 (b) | 90,000 | 90,084 |
New Hope Cultural Education Facilities Finance Corp., Student Housing CHF Collegiate Housing Stephenville Tarleton State University Project Series A, Rev., 5.00%, 4/1/2025 (b) | 1,700,000 | 1,728,896 |
New Hope Cultural Education Facilities Finance Corp., Student Housing Texas A&M University Series 2017A, Rev., 5.00%, 4/1/2025 (b) | 1,105,000 | 1,124,956 |
North Harris County Regional Water Authority, Senior Lien Rev., 4.00%, 12/15/2024 | 125,000 | 125,786 |
North Texas Municipal Water District Water System | ||
Series 2015, Rev., 5.00%, 6/1/2024 | 230,000 | 230,870 |
Series 2019A, Rev., 3.00%, 9/1/2024 | 40,000 | 39,864 |
Rev., 5.00%, 9/1/2024 | 30,000 | 30,245 |
Series 2014, Rev., 5.00%, 9/1/2024 | 200,000 | 200,265 |
Series 2015, Rev., 5.00%, 9/1/2027 | 40,000 | 41,054 |
North Texas Tollway Authority, First Tier | ||
Series 2016A, Rev., 5.00%, 1/1/2025 | 180,000 | 180,222 |
Series A, Rev., 5.00%, 1/1/2025 | 235,000 | 235,519 |
Series 2020A, Rev., 5.00%, 1/1/2026 | 70,000 | 72,419 |
Series A, Rev., 5.00%, 1/1/2028 | 55,000 | 57,073 |
North Texas Tollway Authority, Second Tier | ||
Series B, Rev., 5.00%, 1/1/2025 | 50,000 | 50,060 |
Series B, Rev., 5.00%, 1/1/2026 | 260,000 | 260,254 |
Series 2019 B, Rev., 5.00%, 1/1/2027 | 235,000 | 249,085 |
Series B, Rev., 5.00%, 1/1/2027 | 100,000 | 103,246 |
Series 2019 B, Rev., 5.00%, 1/1/2028 | 25,000 | 27,049 |
Northwest Independent School District, Unlimited Tax Series 2016A, GO, PSF-GTD, 5.00%, 2/15/2026 (b) | 600,000 | 623,691 |
Pasadena Independent School District Series 2023B, GO, 5.00%, 2/15/2027 | 1,500,000 | 1,596,878 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 231 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Texas — continued | ||
Permanent University Fund - University of Texas System | ||
Series 2008A, Rev., VRDO, LIQ : University of Texas Investment Management Co. (The), 3.33%, 3/11/2024 (c) | 20,000,000 | 20,000,000 |
Series 2014 B, Rev., 5.00%, 7/1/2024 | 25,000 | 25,146 |
Red River Education Finance Corp., Christian University Project Series 2016A, Rev., 5.00%, 3/15/2025 | 50,000 | 50,862 |
Richardson Independent School District, Unlimited Tax Series 2015B, GO, 5.00%, 2/15/2025 | 30,000 | 30,541 |
Robstown Independent School District Series 2016, GO, PSF-GTD, 4.00%, 2/15/2026 | 305,000 | 307,142 |
Rockwall Independent School District, Unlimited Tax GO, PSF-GTD, Zero Coupon, 2/15/2025 | 50,000 | 48,405 |
Round Rock Independent School District | ||
Series 2019 A, GO, PSF-GTD, 5.00%, 8/1/2025 | 60,000 | 61,696 |
Series 2016, GO, PSF-GTD, 5.00%, 8/1/2027 | 30,000 | 31,473 |
San Antonio Housing Trust Finance Corp. Series 2010, Rev., FHLMC COLL, LIQ : FHLMC, 3.50%, 10/1/2024 (b) (c) | 2,270,000 | 2,270,792 |
San Antonio Independent School District GO, PSF-GTD, 5.00%, 8/15/2024 | 100,000 | 100,775 |
San Antonio Public Facilities Corp., Convention Center Facility Project | ||
Series 2022, Rev., 5.00%, 9/15/2024 | 25,000 | 25,228 |
Series 2022, Rev., 5.00%, 9/15/2028 | 25,000 | 27,228 |
San Antonio Water System, Junior Lien | ||
Series 2016A, Rev., 5.00%, 5/15/2024 | 25,000 | 25,083 |
Series 2018A, Rev., 5.00%, 5/15/2024 | 35,000 | 35,117 |
San Elizario Independent School District, Unlimited Tax Series 2015, GO, PSF-GTD, 5.00%, 5/1/2025 (b) | 310,000 | 316,615 |
San Jacinto Community College District, Limited Tax GO, 5.00%, 2/15/2025 | 30,000 | 30,544 |
Southwest Higher Education Authority, Inc., Southern Methodist University Project Series 2016A, Rev., 5.00%, 10/1/2024 | 120,000 | 121,120 |
Spring Independent School District Series 2017 A, GO, 5.00%, 8/15/2028 | 20,000 | 20,934 |
State of Texas | ||
Series 2014, GO, 4.00%, 4/1/2024 (b) | 25,000 | 25,011 |
Series 2014, GO, 5.00%, 4/1/2024 (b) | 670,000 | 670,805 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Texas — continued | ||
State of Texas, Transportation Commission Highway improvement General Obligation Series 2014, GO, 5.00%, 4/1/2024 | 350,000 | 350,442 |
State of Texas, Transportation Commission Mobility Fund | ||
GO, 5.00%, 4/1/2024 (b) | 110,000 | 110,128 |
Series 2014, GO, 5.00%, 4/1/2024 (b) | 555,000 | 555,646 |
GO, 5.00%, 10/1/2024 | 20,000 | 20,025 |
State of Texas, Veterans | ||
Series 2015A, GO, VRDO, LIQ : State Street Bank & Trust Co., 3.40%, 3/7/2024 (c) | 16,060,000 | 16,060,000 |
Series 2013A, GO, VRDO, LIQ : State Street Bank & Trust Co., 3.50%, 3/11/2024 (c) | 9,770,000 | 9,770,000 |
Tarrant Regional Water District Water Supply System | ||
Series 2014, Rev., 5.00%, 3/1/2024 (b) | 355,000 | 355,000 |
Series 2015, Rev., 5.00%, 3/1/2024 | 125,000 | 125,000 |
Texas A&M University Series 2022, Rev., 5.00%, 5/15/2024 | 220,000 | 220,716 |
Texas A&M University, Financing System Series 2017C, Rev., 5.00%, 5/15/2028 | 80,000 | 85,451 |
Texas Department of Housing and Community Affairs, Fishpond at Corpus Christi Apartments Series 2020, Rev., VRDO, 4.00%, 3/1/2024 (c) | 1,800,000 | 1,800,000 |
Texas Department of Housing and Community Affairs, North Grand Villas Series 2023, Rev., FHA, 5.00%, 8/1/2025 (c) | 1,444,000 | 1,465,827 |
Texas Department of Housing and Community Affairs, Socorro Village | ||
Series 2022, Rev., 4.00%, 8/1/2024 (c) | 3,175,000 | 3,176,680 |
Series 2023, Rev., 4.75%, 8/1/2024 (c) | 940,000 | 943,665 |
Texas Home Collaborative, 1518 Apartments Series 2023, Rev., 5.00%, 10/1/2026 (c) | 4,025,000 | 4,158,925 |
Texas Public Finance Authority Rev., 5.00%, 2/1/2025 | 25,000 | 25,396 |
Texas State Technical College Series 2022 A, Rev., AGM, 5.00%, 8/1/2028 | 85,000 | 93,022 |
Texas State University System | ||
Series 2019A, Rev., 5.00%, 3/15/2024 | 35,000 | 35,016 |
Series 2017A, Rev., 5.00%, 3/15/2025 | 115,000 | 117,089 |
Series 2019A, Rev., 5.00%, 3/15/2025 | 190,000 | 193,509 |
Texas Transportation Commission State Highway Fund, First Tier |
232 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Texas — continued | ||
Series 2014-A, Rev., 5.00%, 4/1/2024 (b) | 715,000 | 715,750 |
Series 2014-A, Rev., 5.00%, 6/14/2024 | 405,000 | 405,595 |
Series 2016B, Rev., 0.56%, 4/1/2026 | 10,135,000 | 9,430,352 |
Texas Water Development Board, State Revolving Fund Series 2020, Rev., 5.00%, 8/1/2025 | 100,000 | 102,813 |
Texas Water Development Board, State Water Implementation Fund | ||
Series 2017 A, Rev., 5.00%, 4/15/2024 | 175,000 | 175,359 |
Series 2018 A, Rev., 5.00%, 4/15/2024 | 20,000 | 20,041 |
Series 2018A, Rev., 5.00%, 10/15/2024 | 50,000 | 50,577 |
Tomball Independent School District, Unlimited Tax School Building GO, PSF-GTD, 5.00%, 2/15/2025 | 35,000 | 35,648 |
Trinity River Authority, Water Project Rev., 5.00%, 2/1/2025 | 75,000 | 76,229 |
Trinity River Public Facility Corp., Cowan Place Apartments Series 2021, Rev., 4.40%, 4/1/2024 (c) | 4,775,000 | 4,774,989 |
University of Houston | ||
Series 2017A, Rev., 5.00%, 2/15/2025 | 45,000 | 45,833 |
Series 2016A, Rev., 4.00%, 2/15/2027 | 75,000 | 75,747 |
University of North Texas System, Financing System Series 2017A, Rev., 5.00%, 4/15/2025 | 25,000 | 25,511 |
University of North Texas, Financing System Series 2020A, Rev., 5.00%, 4/15/2025 | 500,000 | 510,221 |
Weatherford Independent School District, Unlimited Tax GO, PSF-GTD, Zero Coupon, 2/15/2025 | 50,000 | 48,464 |
Total Texas | 190,235,349 | |
Utah — 0.2% | ||
Alpine School District, Utah School Bond Guaranty Program | ||
Series 2017 B, GO, 5.00%, 3/15/2024 | 175,000 | 175,091 |
Series 2019 B, GO, 5.00%, 3/15/2024 | 175,000 | 175,091 |
Central Utah Water Conservancy District Series 2021 A, GO, 5.00%, 4/1/2024 | 605,000 | 605,737 |
City of American Fork Series 2016, GO, 5.00%, 5/1/2024 | 125,000 | 125,313 |
City of Sandy City, Sales Tax Rev., 5.00%, 3/1/2024 | 75,000 | 75,000 |
County of Utah, IHC Health Services, Inc. | ||
Series 2020B-1, Rev., 5.00%, 8/1/2024 (c) | 3,825,000 | 3,847,007 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Utah — continued | ||
Series 2020B-2, Rev., 5.00%, 8/1/2026 (c) | 100,000 | 103,773 |
State of Utah GO, 5.00%, 7/1/2024 | 75,000 | 75,421 |
University of Utah (The) Series 2017A, Rev., 5.00%, 8/1/2024 | 45,000 | 45,329 |
Utah Associated Municipal Power Systems, Horse Butte Wind Project Series 2017A, Rev., 5.00%, 9/1/2026 | 825,000 | 863,530 |
Utah State Building Ownership Authority, Master Lease Program Series 2012A, Rev., 3.00%, 5/15/2025 | 35,000 | 34,947 |
Utah Transit Authority, Sales Tax Series 2015 A, Rev., 5.00%, 6/15/2025 | 75,000 | 76,696 |
Utah Water Finance Agency, Loan Financing Program Series 2019 B, Rev., 5.00%, 3/1/2024 | 45,000 | 45,000 |
Total Utah | 6,247,935 | |
Virginia — 0.2% | ||
Caroline County Economic Development Authority Series 2021, Rev., 5.00%, 4/1/2024 | 165,000 | 165,177 |
City of Alexandria Series 2017 C, GO, 5.00%, 7/1/2025 | 45,000 | 46,205 |
City of Chesapeake Series A, Rev., AGM - CR, 4.00%, 7/15/2024 | 25,000 | 25,014 |
City of Hampton | ||
Series 2019 A, GO, 5.00%, 3/1/2024 | 45,000 | 45,000 |
Series 2015B, GO, 5.00%, 9/1/2024 (b) | 30,000 | 30,237 |
City of Norfolk Rev., 5.00%, 11/1/2024 | 100,000 | 101,189 |
City of Richmond, Public Improvement Series 2014A, GO, 5.00%, 3/1/2024 (b) | 25,000 | 25,000 |
Commonwealth of Virginia Series 2013B, GO, 4.00%, 6/3/2024 | 20,000 | 20,031 |
County of Fairfax Series 2012 B, GO, 5.00%, 4/1/2024 | 25,000 | 25,034 |
Culpeper County Economic Development Authority, Capital Projects Rev., 5.00%, 6/1/2024 | 355,000 | 356,472 |
Fairfax County Industrial Development Authority, Virginia Health Care, Inova Health System Project Series 2018 A, Rev., 5.00%, 5/15/2024 | 305,000 | 306,023 |
Fairfax County Water Authority Series 2017, Rev., 5.00%, 4/1/2024 | 75,000 | 75,096 |
Loudoun County Economic Development Authority Series 2022A, Rev., 5.00%, 12/1/2024 | 30,000 | 30,415 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 233 |
INVESTMENTS | PRINCIPAL AMOUNT($) | 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 | 93,402 |
Upper Occoquan Sewage Authority Series 2014, Rev., 5.00%, 7/1/2025 (b) | 45,000 | 46,146 |
Virginia Beach Development Authority | ||
Series 2020 A, Rev., 5.00%, 4/15/2024 | 25,000 | 25,051 |
Series B, Rev., 4.00%, 5/1/2024 | 30,000 | 30,039 |
Virginia College Building Authority Educational Facilities, 21St Century College and Equipment Programs Series 2015A, Rev., 5.00%, 2/1/2025 (b) | 100,000 | 101,674 |
Virginia Commonwealth Transportation Board Series 2017, Rev., GAN, 5.00%, 3/15/2024 | 35,000 | 35,018 |
Virginia Commonwealth Transportation Board, Capital Projects | ||
Rev., 5.00%, 5/15/2024 | 150,000 | 150,512 |
Series 2017A, Rev., 5.00%, 5/15/2025 | 40,000 | 40,947 |
Virginia Commonwealth Transportation Board, Federal Highway Transportation Rev., GAN, 5.00%, 3/15/2028 | 20,000 | 21,048 |
Virginia Commonwealth Transportation Board, Federal Transportation Rev., GAN, 5.00%, 3/15/2025 | 30,000 | 30,603 |
Virginia Commonwealth University Health System Authority Series B, Rev., 5.00%, 7/1/2025 | 45,000 | 46,040 |
Virginia Housing Development Authority Series 2020B, Rev., 0.99%, 3/1/2024 | 28,406 | 28,406 |
Virginia Public Building Authority, Public Facilities Series C, Rev., 4.00%, 8/1/2026 | 25,000 | 25,110 |
Virginia Public School Authority, School Financing 1997 Resolution Series 2015A, Rev., 5.00%, 8/1/2024 | 25,000 | 25,189 |
Virginia Resources Authority, Infrastructure Moral Obligation Series 2012B, Rev., 4.00%, 11/1/2024 | 15,000 | 15,009 |
Wise County Industrial Development Authority, Electric and Power Co. Project Series 2010A, Rev., 1.20%, 5/31/2024 (c) | 2,110,000 | 2,093,037 |
Total Virginia | 4,058,124 | |
Washington — 1.7% | ||
Auburn School District No. 408 of King and Pierce Counties, Unlimited Tax GO, 5.00%, 12/1/2024 | 25,000 | 25,338 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Washington — continued | ||
Central Washington University Rev., 4.00%, 5/1/2026 | 270,000 | 270,045 |
City of Olympia, Limited Tax GO, 5.00%, 12/1/2024 | 25,000 | 25,340 |
City of Redmond, Utility System Series 2014, Rev., 5.00%, 12/1/2024 (b) | 1,600,000 | 1,620,833 |
City of Seattle, Municipal Light and Power Series 2015A, Rev., 5.00%, 5/1/2024 | 85,000 | 85,234 |
City of Seattle, Solid Waste Series 2014, Rev., 5.00%, 5/1/2027 | 285,000 | 285,687 |
Clark County School District No. 114 Evergreen Series 2019, GO, 5.00%, 12/1/2025 | 20,000 | 20,713 |
County of King, Limited Tax Series 2015A, GO, 5.00%, 1/1/2025 (b) | 100,000 | 101,545 |
County of King, Sewer, Junior Lien Series 2020B, Rev., 0.88%, 1/1/2026 (c) | 60,000 | 55,666 |
County of Pierce Series A, GO, 5.00%, 8/1/2024 | 20,000 | 20,144 |
County of Skagit, Limited Tax GO, 5.00%, 12/1/2024 | 60,000 | 60,781 |
Energy Northwest, Columbia Generating Station | ||
Series 2018 A, Rev., 5.00%, 7/1/2024 | 25,000 | 25,148 |
Series A, Rev., 5.00%, 7/1/2024 | 85,000 | 85,502 |
Energy Northwest, Project 1 | ||
Series 2014-C, Rev., 5.00%, 7/1/2025 | 50,000 | 50,264 |
Series 2014C, Rev., 5.00%, 7/1/2026 | 90,000 | 90,403 |
Series 2014-C, Rev., 5.00%, 7/1/2027 | 135,000 | 135,591 |
Series 2015-A, Rev., 5.00%, 7/1/2027 | 30,000 | 30,765 |
Energy Northwest, Project 3 Electric Series 2018C, Rev., 5.00%, 7/1/2025 | 25,000 | 25,676 |
Franklin County School District No. 1 Pasco, Unlimited Tax Series 2015, GO, 5.00%, 12/1/2025 | 5,015,000 | 5,073,641 |
FYI Properties, State of Washington District Project Series 2019, Rev., 5.00%, 6/1/2024 | 110,000 | 110,416 |
King and Snohomish Counties School District No. 417 Northshore, Unlimited Tax GO, 5.00%, 12/1/2024 | 25,000 | 25,348 |
King County Fire Protection District No. 39, Unlimited Tax Series 2015A, GO, 5.00%, 12/1/2024 | 40,000 | 40,550 |
King County Public Hospital District No. 2, Evergreen Healthcare, Limited Tax Series 2015B, GO, 5.00%, 12/1/2024 (b) | 45,000 | 45,553 |
234 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Washington — continued | ||
King County School District No. 403 Renton, Unlimited Tax GO, 4.00%, 12/1/2024 | 65,000 | 65,431 |
King County School District No. 405 Bellevue, Unlimited Tax GO, 5.00%, 12/1/2024 | 160,000 | 162,166 |
King County School District No. 411 Issaquah, Unlimited Tax Series 2022, GO, 5.00%, 12/1/2025 | 110,000 | 113,826 |
Port of Seattle, Intermediate Lien | ||
Series 2016, Rev., 5.00%, 2/1/2026 | 130,000 | 134,419 |
Series 2022A, Rev., 5.00%, 8/1/2026 | 35,000 | 36,610 |
Series 2016, Rev., 5.00%, 2/1/2027 | 30,000 | 31,043 |
Rev., 5.00%, 2/1/2028 | 80,000 | 82,767 |
Series 2022A, Rev., 5.00%, 8/1/2028 | 70,000 | 76,363 |
Public Utility District No. 1 of Lewis County, Cowlitz Falls Hydroelec Project Series 2013, Rev., 5.25%, 10/1/2028 | 2,290,000 | 2,292,128 |
RBC Municipal Products, Inc. Trust, Floater Certificates Series G-123, Rev., VRDO, LOC : Royal Bank of Canada, 3.50%, 3/7/2024 (c) (e) | 5,860,000 | 5,860,000 |
Snohomish County School District No. 6 Mukilteo Series 2022, GO, 5.00%, 12/1/2024 | 55,000 | 55,777 |
State of Washington | ||
Series 2019B, COP, 5.00%, 7/1/2024 | 20,000 | 20,115 |
Series 2020B, COP, 5.00%, 7/1/2024 | 45,000 | 45,259 |
Series R-2022C, GO, 4.00%, 7/1/2027 | 15,000,000 | 15,630,201 |
State of Washington, State and Local Agency Personal Property Series 2014B, COP, 5.00%, 7/1/2024 | 50,000 | 50,287 |
State of Washington, State and Local Agency Real and Personal Property Series 2018C, COP, 5.00%, 7/1/2024 | 35,000 | 35,201 |
State of Washington, Various Purpose | ||
Series R-2015E, GO, 5.00%, 7/1/2024 | 25,000 | 25,149 |
Series 2018A, GO, 5.00%, 8/1/2024 | 40,000 | 40,304 |
Series R-2018C, GO, 5.00%, 8/1/2024 | 35,000 | 35,266 |
Series 2021C, COP, 5.00%, 1/1/2025 | 1,000,000 | 1,015,618 |
University of Washington Series 2020C, Rev., 5.00%, 4/1/2026 | 25,000 | 26,149 |
Washington Economic Development Finance Authority, Washington Biomedical Research Properties Series A, Rev., 5.00%, 6/1/2024 | 50,000 | 50,171 |
Washington Health Care Facilities Authority | ||
Series 2014A, Rev., 5.00%, 5/15/2024 (b) | 80,000 | 80,211 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Washington — continued | ||
Series 2012A, Rev., 5.00%, 10/1/2025 | 25,000 | 25,012 |
Washington Health Care Facilities Authority, Multicare Health System Series B, Rev., 5.00%, 8/15/2026 | 560,000 | 571,610 |
Washington Health Care Facilities Authority, Providence Health and Services | ||
Series 2012A, Rev., 5.00%, 10/1/2024 | 1,055,000 | 1,055,407 |
Series 2012A, Rev., 5.00%, 10/1/2026 | 1,030,000 | 1,033,439 |
Washington Health Care Facilities Authority, Seattle Cancer Care Alliance Rev., 5.00%, 3/1/2026 | 500,000 | 507,334 |
Washington State Housing Finance Commission Series A, Rev., 7.00%, 7/1/2025 (b) (e) | 1,100,000 | 1,145,981 |
Washington State Housing Finance Commission, Herons Key Senior Living Series A, Rev., 7.00%, 7/1/2025 (b) (e) | 6,530,000 | 6,802,957 |
Washington State University Series 2014, Rev., 5.00%, 4/1/2024 (b) | 30,000 | 30,036 |
Whitman County School District No. 267 Pullman, Unlimited Tax Series 2016, GO, 5.00%, 12/1/2024 | 35,000 | 35,487 |
Total Washington | 45,481,907 | |
West Virginia — 0.1% | ||
West Virginia Economic Development Authority, Appalachian Power Co. Series 2015A, Rev., 2.55%, 4/1/2024 (c) | 135,000 | 134,735 |
West Virginia Economic Development Authority, Correctional Juvenile and Public Safety Facilities | ||
Series 2012A, Rev., 5.00%, 6/1/2024 | 125,000 | 125,135 |
Series 2012A, Rev., 5.00%, 6/1/2025 | 805,000 | 808,416 |
West Virginia Economic Development Authority, Solid Waste Disposal Facilities, Appalachian Power Co. Amos Project Series 2010A, Rev., 0.63%, 12/15/2025 (c) | 100,000 | 92,721 |
West Virginia Hospital Finance Authority Series 2016A, Rev., 5.00%, 6/1/2025 | 25,000 | 25,490 |
Total West Virginia | 1,186,497 | |
Wisconsin — 0.5% | ||
Berlin Area School District GO, 4.00%, 3/1/2024 (b) | 25,000 | 25,000 |
City of De Pere Series 2013A, GO, 3.38%, 12/1/2026 | 460,000 | 457,977 |
City of Madison, Water Utility Rev., BAN, 1.50%, 11/1/2024 | 820,000 | 804,556 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 235 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Wisconsin — continued | ||
City of Milwaukee, Promissory Notes Series N4, GO, 5.00%, 4/1/2024 | 25,000 | 25,019 |
County of Milwaukee, Corporate Purpose Series 2018D, GO, 3.00%, 8/1/2024 | 100,000 | 99,699 |
Howard-Suamico School District Series 2021, GO, 5.00%, 3/1/2024 | 30,000 | 30,000 |
Onalaska School District GO, 5.00%, 4/1/2024 | 230,000 | 230,287 |
Parkview School District GO, 4.00%, 4/1/2024 (b) | 25,000 | 25,013 |
Public Finance Authority Lease Development, Ku Campus Development Corp. Project Series 2016, Rev., 5.00%, 3/1/2024 | 355,000 | 355,000 |
Public Finance Authority, Rose Villa Project Series 2014A, Rev., 5.75%, 11/15/2024 (b) (e) | 2,550,000 | 2,584,201 |
State of Wisconsin | ||
Series 2022A, COP, 4.00%, 3/1/2024 | 80,000 | 80,000 |
Series 2023-1, GO, 5.00%, 5/1/2024 | 35,000 | 35,096 |
Series 2016-2, GO, 5.00%, 11/1/2024 | 20,000 | 20,248 |
Series 2014-4, GO, 5.00%, 5/1/2025 | 90,000 | 91,098 |
State of Wisconsin Clean Water Fund Leveraged Loan Portfolio | ||
Series 2015-1, Rev., 5.00%, 6/1/2024 (b) | 560,000 | 561,981 |
Series 20161, Rev., 5.00%, 6/1/2024 (b) | 155,000 | 155,548 |
Village of Fox Crossing, Corporate Purpose GO, 3.00%, 4/1/2024 | 185,000 | 184,872 |
Wauwatosa School District Series 2019B, GO, 5.00%, 9/1/2024 | 30,000 | 30,245 |
Western Technical College District Series 2017 E, GO, 5.00%, 4/1/2024 | 40,000 | 40,045 |
Wisconsin Health and Educational Facilities Authority, Advocate Aurora Health Credit Series 2018B-4, Rev., 5.00%, 1/29/2025 (c) | 640,000 | 647,616 |
Wisconsin Health and Educational Facilities Authority, Advocate Aurora Health Credit Group | ||
Series 2018B-2, Rev., 5.00%, 6/24/2026 (c) | 450,000 | 465,580 |
Series 2018C1, Rev., 5.00%, 7/29/2026 (c) | 1,005,000 | 1,041,162 |
Wisconsin Health and Educational Facilities Authority, Ascension Health Credit Series 2013B-5, Rev., 5.00%, 12/3/2024 (c) | 1,085,000 | 1,095,474 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Wisconsin — continued | ||
Wisconsin Health and Educational Facilities Authority, Ascension Health Credit Group Series 2016 A, Rev., 5.00%, 11/15/2029 | 85,000 | 88,202 |
Wisconsin Health and Educational Facilities Authority, Ascension Senior Credit Group | ||
Series 2016A, Rev., 5.00%, 11/15/2024 | 385,000 | 389,848 |
Series 2019A, Rev., 5.00%, 11/15/2024 | 300,000 | 303,778 |
Series 2016A, Rev., 5.00%, 11/15/2026 | 2,000,000 | 2,079,000 |
Series 2016A, Rev., 5.00%, 11/15/2028 | 95,000 | 98,677 |
Wisconsin Health and Educational Facilities Authority, Mercy Alliance, Inc. Rev., 5.00%, 6/1/2026 | 160,000 | 160,123 |
Wisconsin Health and Educational Facilities Authority, Milwaukee Regional Medical Center Thermal Service | ||
Series 2018, Rev., 5.00%, 4/1/2024 | 25,000 | 25,027 |
Series 2018, Rev., 5.00%, 4/1/2028 | 65,000 | 70,130 |
Wisconsin Health and Educational Facilities Authority, The Monroe Clinic, Inc. | ||
Rev., 3.00%, 8/15/2025 (b) | 25,000 | 24,796 |
Rev., 4.00%, 8/15/2025 (b) | 605,000 | 608,764 |
Wisconsin Health and Educational Facilities Authority, Unity Point Health | ||
Series 2014A, Rev., 5.00%, 12/1/2024 | 270,000 | 272,332 |
Series 2014A, Rev., 5.00%, 12/1/2025 | 825,000 | 832,319 |
Total Wisconsin | 14,038,713 | |
Total Municipal Bonds (Cost $2,443,738,385) | 2,441,984,279 | |
SHARES | ||
Short-Term Investments — 7.1% | ||
Investment Companies — 7.1% | ||
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.37% (g) (h) (Cost $186,997,054) | 186,989,552 | 187,008,251 |
Total Investments — 99.7% (Cost $2,630,735,439) | 2,628,992,530 | |
Other Assets Less Liabilities — 0.3% | 7,624,389 | |
NET ASSETS — 100.0% | 2,636,616,919 |
Percentages indicated are based on net assets. |
Abbreviations | |
AGM | Insured by Assured Guaranty Municipal Corp. |
236 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
AMBAC | Insured by American Municipal Bond Assurance Corp. |
AMT | Alternative Minimum Tax |
BAN | Bond Anticipation Note |
COLL | Collateral |
COP | Certificate of Participation |
CR | Custodial Receipts |
FHA | Federal Housing Administration |
FHLB | Federal Home Loan Bank |
FHLMC | Federal Home Loan Mortgage Corp. |
GAN | Grant Anticipation Notes |
GO | General Obligation |
GTD | Guaranteed |
LIQ | Liquidity Agreement |
LOC | Letter of Credit |
NATL | Insured by National Public Finance Guarantee Corp. |
PSF-GTD | Permanent School Fund Guaranteed |
Q-SBLF | Qualified School Bond Loan Fund |
RAN | Revenue Anticipation Note |
RE | Reinsured |
Rev. | Revenue |
SCSDE | South Carolina School District Enhancement |
SIFMA | The Securities Industry and Financial Markets Association |
SOFR | Secured Overnight Financing Rate |
TRAN | Tax & Revenue Anticipation Note |
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) | 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 29, 2024. | |
(d) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2024. | |
(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 29, 2024. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 237 |
JPMorgan Active Bond ETF | JPMorgan Core Plus Bond ETF | JPMorgan Income ETF | JPMorgan International Bond Opportunities ETF | |
ASSETS: | ||||
Investments in non-affiliates, at value | $190,627,035 | $2,480,416,854 | $1,131,368,935 | $393,742,009 |
Investments in affiliates, at value | 20,630,652 | 304,836,673 | 1,443,336 | 12,140,460 |
Cash | 55,368 | 1,045,966 | — | 14,867 |
Foreign currency, at value | — | — | 168 | 1,653,585 |
Deposits at broker for futures contracts | 183,000 | 10,731,000 | 3,104,000 | 2,219,730 |
Deposits at broker for centrally cleared swaps | — | 1,028,000 | 3,320,000 | 1,111,000 |
Receivables: | ||||
Due from custodian | — | — | — | 440,000 |
Investment securities sold | 33,142 | 1,415,101 | 397,001 | 37 |
Investment securities sold — delayed delivery securities | — | — | 63,342,176 | — |
Fund shares sold | — | 13,893,754 | 6,799,821 | — |
Interest from non-affiliates | 1,038,259 | 15,549,344 | 9,370,795 | 4,848,837 |
Dividends from affiliates | 2,967 | 43,839 | 215 | 1,746 |
Tax reclaims | — | — | — | 84,999 |
Variation margin on futures contracts | 19,375 | 1,269,231 | 65,365 | 473,009 |
Variation margin on centrally cleared swaps | — | — | 2,367 | — |
Unrealized appreciation on forward foreign currency exchange contracts | — | 35,892 | 241 | 880,257 |
Total Assets | 212,589,798 | 2,830,265,654 | 1,219,214,420 | 417,610,536 |
LIABILITIES: | ||||
Payables: | ||||
Due to custodian | — | — | 57,789 | — |
Foreign currency due to custodian, at value | — | 7,508 | — | — |
TBA short commitments, at value | — | — | 62,815,061 | — |
Investment securities purchased | 3,184,504 | 16,816,874 | 4,560,608 | 820,000 |
Investment securities purchased — delayed delivery securities | 13,985,360 | 181,872,746 | 79,174,968 | — |
Unrealized depreciation on forward foreign currency exchange contracts | — | 18,310 | 160,155 | 968,530 |
Variation margin on centrally cleared swaps | — | 523,469 | — | 1,564 |
Outstanding OTC swap contracts, at value | — | 168,478 | 144,238 | — |
Accrued liabilities: | ||||
Management fees (See Note 3.A.) | 43,513 | 761,776 | 317,839 | 160,805 |
Deferred foreign capital gains tax | — | — | — | 13,184 |
Total Liabilities | 17,213,377 | 200,169,161 | 147,230,658 | 1,964,083 |
Net Assets | $195,376,421 | $2,630,096,493 | $1,071,983,762 | $415,646,453 |
238 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan Active Bond ETF | JPMorgan Core Plus Bond ETF | JPMorgan Income ETF | JPMorgan International Bond Opportunities ETF | |
NET ASSETS: | ||||
Paid-in-Capital | $189,745,544 | $2,662,340,350 | $1,083,717,917 | $443,016,799 |
Total distributable earnings (loss) | 5,630,877 | (32,243,857 ) | (11,734,155 ) | (27,370,346 ) |
Total Net Assets | $195,376,421 | $2,630,096,493 | $1,071,983,762 | $415,646,453 |
Outstanding number of shares (unlimited number of shares authorized - par value $0.0001) | 3,750,000 | 56,900,000 | 23,730,000 | 8,800,000 |
Net asset value, per share | $52.10 | $46.22 | $45.17 | $47.23 |
Cost of investments in non-affiliates | $186,143,358 | $2,495,967,544 | $1,129,759,466 | $411,088,723 |
Cost of investments in affiliates | 20,630,652 | 304,836,673 | 1,443,320 | 12,140,460 |
Cost of foreign currency | — | — | 169 | 1,659,110 |
Proceeds from short TBAs | — | — | 63,342,176 | — |
Net upfront payments/(receipts) on centrally cleared swaps | — | 59,640 | (3,650,384 ) | (74,807 ) |
Net upfront payments on OTC swap contracts | — | 46,503 | 23,375 | — |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 239 |
JPMorgan Municipal ETF | JPMorgan Short Duration Core Plus ETF | JPMorgan Ultra-Short Income ETF | JPMorgan Ultra-Short Municipal Income ETF | |
ASSETS: | ||||
Investments in non-affiliates, at value | $1,062,728,232 | $400,807,572 | $21,321,042,459 | $2,441,984,279 |
Investments in affiliates, at value | 178,363,148 | 25,964,962 | 1,101,895,063 | 187,008,251 |
Investments of cash collateral received from securities loaned, at value (See Note 2.F.) | — | — | 31,757,692 | — |
Repurchase agreements, at value | — | — | 230,000,000 | — |
Cash | 2,045 | 1,924,289 | 8,477,080 | 397,262 |
Foreign currency, at value | — | 50 | — | — |
Deposits at broker for futures contracts | 210,000 | — | 498,400 | — |
Receivables: | ||||
Due from custodian | — | — | 17,860,501 | — |
Investment securities sold | — | 1,260,242 | 29,492,050 | — |
Fund shares sold | 12,703,401 | — | 42,872,666 | 4,943 |
Interest from non-affiliates | 10,312,682 | 2,822,006 | 159,448,873 | 32,492,320 |
Dividends from affiliates | 354,727 | 3,867 | 158,463 | 363,411 |
Securities lending income (See Note 2.F.) | — | 356 | 8,255 | — |
Variation margin on futures contracts | 8,645 | — | — | — |
Total Assets | 1,264,682,880 | 432,783,344 | 22,943,511,502 | 2,662,250,466 |
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 17,633,423 | 20,922,637 | 285,591,145 | 10,246,283 |
Investment securities purchased — delayed delivery securities | 25,409,690 | 1,198,816 | 108,643,000 | 15,039,996 |
Collateral received on securities loaned (See Note 2.F.) | — | — | 31,757,692 | — |
Variation margin on futures contracts | — | 4,140 | 20,679 | — |
Variation margin on centrally cleared swaps | — | 50 | — | — |
Accrued liabilities: | ||||
Management fees (See Note 3.A.) | 152,377 | 99,851 | 2,989,958 | 347,268 |
Total Liabilities | 43,195,490 | 22,225,494 | 429,002,474 | 25,633,547 |
Net Assets | $1,221,487,390 | $410,557,850 | $22,514,509,028 | $2,636,616,919 |
NET ASSETS: | ||||
Paid-in-Capital | $1,209,009,169 | $424,687,147 | $22,546,136,113 | $2,652,514,483 |
Total distributable earnings (loss) | 12,478,221 | (14,129,297 ) | (31,627,085 ) | (15,897,564 ) |
Total Net Assets | $1,221,487,390 | $410,557,850 | $22,514,509,028 | $2,636,616,919 |
Outstanding number of shares (unlimited number of shares authorized - par value $0.0001) | 24,050,000 | 8,870,000 | 446,600,000 | 51,900,000 |
Net asset value, per share | $50.79 | $46.29 | $50.41 | $50.80 |
Cost of investments in non-affiliates | $1,043,660,743 | $405,908,490 | $21,326,483,306 | $2,443,738,385 |
Cost of investments in affiliates | 178,358,585 | 25,963,821 | 1,101,895,063 | 186,997,054 |
Cost of repurchase agreements | — | — | 230,000,000 | — |
Cost of foreign currency | — | 49 | — | — |
Investment securities on loan, at value (See Note 2.F.) | — | — | 30,637,237 | — |
Cost of investment of cash collateral (See Note 2.F.) | — | — | 31,757,692 | — |
Net upfront payments on centrally cleared swaps | — | 79,167 | — | — |
240 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan Active Bond ETF (a) | JPMorgan Core Plus Bond ETF | JPMorgan Income ETF | JPMorgan International Bond Opportunities ETF | |
INVESTMENT INCOME: | ||||
Interest income from non-affiliates | $2,845,446 | $72,089,887 | $42,213,344 | $17,352,119 |
Interest income from affiliates | 125 | 41 | 2,809 | 3,154 |
Dividend income from non-affiliates | — | 1,175 | 195,194 | — |
Dividend income from affiliates | 304,020 | 10,558,821 | 837,596 | 386,002 |
Foreign taxes withheld (net) | — | (17,929 ) | — | (4,846 ) |
Total investment income | 3,149,591 | 82,631,995 | 43,248,943 | 17,736,429 |
EXPENSES: | ||||
Management fees (See Note 3.A.) | 171,056 | 5,949,316 | 2,545,434 | 1,737,828 |
Interest expense to non-affiliates | 263 | 44,517 | 6,414 | 4,966 |
Interest expense to affiliates | — | 1,257 | 178 | 9,511 |
Total expenses | 171,319 | 5,995,090 | 2,552,026 | 1,752,305 |
Net investment income (loss) | 2,978,272 | 76,636,905 | 40,696,917 | 15,984,124 |
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | 304,845 | (10,972,657 ) | (3,600,337 ) | (6,039,536 )(b) |
Investments in affiliates | — | — | 5,027 | — |
Futures contracts | 5,129 | (10,384,492 ) | (5,748,889 ) | (2,208,130 ) |
Foreign currency transactions | — | (18,386 ) | 4 | (4,503,428 ) |
Forward foreign currency exchange contracts | — | (375,468 ) | (956,316 ) | 4,457,953 |
Swaps | — | 119,417 | (2,233,596 ) | (1,166,985 ) |
Net realized gain (loss) | 309,974 | (21,631,586 ) | (12,534,107 ) | (9,460,126 ) |
Change in net unrealized appreciation/depreciation on: | ||||
Investments in non-affiliates | 4,483,677 | 25,785,820 | 16,146,611 | 19,183,842 |
Investments in affiliates | — | — | 30 | — |
Futures contracts | 59,284 | 3,777,531 | 83,392 | (1,514,660 ) |
Foreign currency translations | — | (1,079 ) | (1 ) | 620,561 |
Forward foreign currency exchange contracts | — | 127,462 | 69,166 | (3,898,521 ) |
Swaps | — | 108,835 | (1,219,791 ) | (272,675 ) |
Change in net unrealized appreciation/depreciation | 4,542,961 | 29,798,569 | 15,079,407 | 14,118,547 |
Net realized/unrealized gains (losses) | 4,852,935 | 8,166,983 | 2,545,300 | 4,658,421 |
Change in net assets resulting from operations | $7,831,207 | $84,803,888 | $43,242,217 | $20,642,545 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 241 |
JPMorgan Municipal ETF | JPMorgan Short Duration Core Plus ETF | JPMorgan Ultra-Short Income ETF | JPMorgan Ultra-Short Municipal Income ETF | |
INVESTMENT INCOME: | ||||
Interest income from non-affiliates | $23,162,086 | $11,910,094 | $1,075,403,406 | $81,293,779 |
Interest income from affiliates | — | 1,135 | 9,130 | 83 |
Dividend income from affiliates | 2,181,699 | 445,704 | 126,512,071 | 5,383,733 |
Income from securities lending (net) (See Note 2.F.) | — | 10,690 | 127,765 | — |
Total investment income | 25,343,785 | 12,367,623 | 1,202,052,372 | 86,677,595 |
EXPENSES: | ||||
Management fees (See Note 3.A.) | 1,140,487 | 855,357 | 38,918,174 | 4,324,067 |
Interest expense to non-affiliates | 55 | 2,134 | — | 3,744 |
Interest expense to affiliates | 3,006 | 416 | 56,348 | 28,281 |
Total expenses | 1,143,548 | 857,907 | 38,974,522 | 4,356,092 |
Net investment income (loss) | 24,200,237 | 11,509,716 | 1,163,077,850 | 82,321,503 |
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | (4,106,694 ) | (1,686,756 ) | (62,588,048 ) | (3,081,996 ) |
Investments in affiliates | (4,022 ) | (646 ) | — | (2,233 ) |
Futures contracts | (208,718 ) | (742,382 ) | (42,505,711 ) | (1,776,264 ) |
Foreign currency transactions | — | 114 | — | — |
Forward foreign currency exchange contracts | — | (113 ) | — | — |
Swaps | (1,327,540 ) | (141,812 ) | — | — |
Net realized gain (loss) | (5,646,974 ) | (2,571,595 ) | (105,093,759 ) | (4,860,493 ) |
Change in net unrealized appreciation/depreciation on: | ||||
Investments in non-affiliates | 23,868,591 | 4,550,950 | 136,150,824 | 11,880,089 |
Investments in affiliates | 2,787 | 1,141 | 1,000 | 486 |
Futures contracts | 21,502 | 2,264 | (61,893 ) | 325,334 |
Foreign currency translations | — | (2 ) | — | — |
Swaps | 562,868 | 66,850 | — | — |
Change in net unrealized appreciation/depreciation | 24,455,748 | 4,621,203 | 136,089,931 | 12,205,909 |
Net realized/unrealized gains (losses) | 18,808,774 | 2,049,608 | 30,996,172 | 7,345,416 |
Change in net assets resulting from operations | $43,009,011 | $13,559,324 | $1,194,074,022 | $89,666,919 |
242 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan Active Bond ETF | JPMorgan Core Plus Bond ETF | ||
Period Ended February 29, 2024 (a) | Year Ended February 29, 2024 | Year Ended February 28, 2023 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||
Net investment income (loss) | $2,978,272 | $76,636,905 | $15,449,243 |
Net realized gain (loss) | 309,974 | (21,631,586 ) | (8,263,378 ) |
Change in net unrealized appreciation/depreciation | 4,542,961 | 29,798,569 | (34,402,057 ) |
Change in net assets resulting from operations | 7,831,207 | 84,803,888 | (27,216,192 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Total distributions to shareholders | (2,200,330 ) | (67,705,618 ) | (13,633,852 ) |
CAPITAL TRANSACTIONS: | |||
Change in net assets resulting from capital transactions | 189,745,544 | 1,850,324,642 | 526,669,693 |
NET ASSETS: | |||
Change in net assets | 195,376,421 | 1,867,422,912 | 485,819,649 |
Beginning of period | — | 762,673,581 | 276,853,932 |
End of period | $195,376,421 | $2,630,096,493 | $762,673,581 |
CAPITAL TRANSACTIONS: | |||
Proceeds from shares issued | $189,745,544 | $1,850,324,642 | $526,669,693 |
Total change in net assets resulting from capital transactions | $189,745,544 | $1,850,324,642 | $526,669,693 |
SHARE TRANSACTIONS: | |||
Issued | 3,750,000 | 40,400,000 | 11,200,000 |
Net increase in shares from transactions | 3,750,000 | 40,400,000 | 11,200,000 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 243 |
JPMorgan Income ETF | JPMorgan International Bond Opportunities ETF | |||
Year Ended February 29, 2024 | Year Ended February 28, 2023 | Year Ended February 29, 2024 | Year Ended February 28, 2023 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $40,696,917 | $9,509,946 | $15,984,124 | $10,187,081 |
Net realized gain (loss) | (12,534,107 ) | (5,053,206 ) | (9,460,126 ) | (4,176,011 ) |
Change in net unrealized appreciation/depreciation | 15,079,407 | (10,704,366 ) | 14,118,547 | (12,105,884 ) |
Change in net assets resulting from operations | 43,242,217 | (6,247,626 ) | 20,642,545 | (6,094,814 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Total distributions to shareholders | (36,944,460 ) | (8,447,314 ) | (15,982,342 ) | (9,201,940 ) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | 716,775,115 | 225,744,829 | 126,478,814 | (23,314,375 ) |
NET ASSETS: | ||||
Change in net assets | 723,072,872 | 211,049,889 | 131,139,017 | (38,611,129 ) |
Beginning of period | 348,910,890 | 137,861,001 | 284,507,436 | 323,118,565 |
End of period | $1,071,983,762 | $348,910,890 | $415,646,453 | $284,507,436 |
CAPITAL TRANSACTIONS: | ||||
Proceeds from shares issued | $716,775,115 | $225,744,829 | $126,478,814 | $37,437,091 |
Cost of shares redeemed | — | — | — | (60,751,466 ) |
Total change in net assets resulting from capital transactions | $716,775,115 | $225,744,829 | $126,478,814 | $(23,314,375 ) |
SHARE TRANSACTIONS: | ||||
Issued | 15,960,000 | 4,950,000 | 2,700,000 | 800,000 |
Redeemed | — | — | — | (1,300,000 ) |
Net increase (decrease) in shares from share transactions | 15,960,000 | 4,950,000 | 2,700,000 | (500,000 ) |
244 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan Municipal ETF | JPMorgan Short Duration Core Plus ETF | |||
Year Ended February 29, 2024 | Year Ended February 28, 2023 | Year Ended February 29, 2024 | Year Ended February 28, 2023 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $24,200,237 | $6,193,320 | $11,509,716 | $5,819,211 |
Net realized gain (loss) | (5,646,974 ) | (4,252,858 ) | (2,571,595 ) | (7,004,929 ) |
Distributions of capital gains received from investment company affiliates | — | 1,815 | — | — |
Change in net unrealized appreciation/depreciation | 24,455,748 | (4,719,224 ) | 4,621,203 | (4,603,014 ) |
Change in net assets resulting from operations | 43,009,011 | (2,776,947 ) | 13,559,324 | (5,788,732 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Total distributions to shareholders | (21,710,674 ) | (5,243,802 ) | (10,842,777 ) | (5,562,119 ) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | 792,046,510 | 315,520,744 | 217,419,306 | 9,311,169 |
NET ASSETS: | ||||
Change in net assets | 813,344,847 | 307,499,995 | 220,135,853 | (2,039,682 ) |
Beginning of period | 408,142,543 | 100,642,548 | 190,421,997 | 192,461,679 |
End of period | $1,221,487,390 | $408,142,543 | $410,557,850 | $190,421,997 |
CAPITAL TRANSACTIONS: | ||||
Proceeds from shares issued | $801,786,305 | $346,910,716 | $217,419,306 | $74,909,941 |
Cost of shares redeemed | (9,739,795 ) | (31,389,972 ) | — | (65,598,772 ) |
Total change in net assets resulting from capital transactions | $792,046,510 | $315,520,744 | $217,419,306 | $9,311,169 |
SHARE TRANSACTIONS: | ||||
Issued | 16,050,000 | 6,950,000 | 4,720,000 | 1,620,000 |
Redeemed | (200,000 ) | (650,000 ) | — | (1,430,000 ) |
Net increase in shares from transactions | 15,850,000 | 6,300,000 | 4,720,000 | 190,000 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 245 |
JPMorgan Ultra-Short Income ETF | JPMorgan Ultra-Short Municipal Income ETF | |||
Year Ended February 29, 2024 | Year Ended February 28, 2023 | Year Ended February 29, 2024 | Year Ended February 28, 2023 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $1,163,077,850 | $495,099,163 | $82,321,503 | $42,193,863 |
Net realized gain (loss) | (105,093,759 ) | 18,789,084 | (4,860,493 ) | (16,769,517 ) |
Distributions of capital gains received from investment company affiliates | — | — | — | 13,700 |
Change in net unrealized appreciation/depreciation | 136,089,931 | (52,916,345 ) | 12,205,909 | (2,836,541 ) |
Change in net assets resulting from operations | 1,194,074,022 | 460,971,902 | 89,666,919 | 22,601,505 |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Total distributions to shareholders | (1,144,625,684 ) | (471,003,120 ) | (80,461,934 ) | (37,164,875 ) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | (2,679,440,077 ) | 6,468,357,505 | 106,950,433 | (581,594,995 ) |
NET ASSETS: | ||||
Change in net assets | (2,629,991,739 ) | 6,458,326,287 | 116,155,418 | (596,158,365 ) |
Beginning of period | 25,144,500,767 | 18,686,174,480 | 2,520,461,501 | 3,116,619,866 |
End of period | $22,514,509,028 | $25,144,500,767 | $2,636,616,919 | $2,520,461,501 |
CAPITAL TRANSACTIONS: | ||||
Proceeds from shares issued | $2,934,297,175 | $9,164,313,805 | $478,569,416 | $980,178,647 |
Cost of shares redeemed | (5,613,737,252 ) | (2,695,956,300 ) | (371,618,983 ) | (1,561,773,642 ) |
Total change in net assets resulting from capital transactions | $(2,679,440,077 ) | $6,468,357,505 | $106,950,433 | $(581,594,995 ) |
SHARE TRANSACTIONS: | ||||
Issued | 58,450,000 | 182,650,000 | 9,450,000 | 19,300,000 |
Redeemed | (111,900,000 ) | (53,750,000 ) | (7,350,000 ) | (30,900,000 ) |
Net increase (decrease) in shares from share transactions | (53,450,000 ) | 128,900,000 | 2,100,000 | (11,600,000 ) |
246 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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 Active Bond ETF | |||||||
October 11, 2023 (f) through February 29, 2024 | $49.87 | $1.01 | $1.95 | $2.96 | $(0.73 ) | $— | $(0.73 ) |
JPMorgan Core Plus Bond ETF | |||||||
Year Ended February 29, 2024 | 46.22 | 2.27 | (0.21 ) | 2.06 | (2.06 ) | — | (2.06 ) |
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 (g) | 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 ) |
JPMorgan Income ETF | |||||||
Year Ended February 29, 2024 | 44.90 | 2.84 | 0.06 | 2.90 | (2.63 ) | — | (2.63 ) |
Year Ended February 28, 2023 | 48.89 | 2.36 | (4.24 ) | (1.88 ) | (2.10 ) | (0.01 ) | (2.11 ) |
October 28, 2021 (f) through February 28, 2022 | 50.00 | 0.58 | (1.24 ) | (0.66 ) | (0.45 ) | — | (0.45 ) |
JPMorgan International Bond Opportunities ETF | |||||||
Year Ended February 29, 2024 | 46.64 | 2.12 | 0.62 | 2.74 | (2.15 ) | — | (2.15 ) |
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 (g) | 2.45 | (1.39 ) | — | (1.39 ) |
Year Ended February 29, 2020 | 48.75 | 1.71 | 1.86 | 3.57 | (2.34 ) | — | (2.34 ) |
(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) | 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 Statements of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
(h) | 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. |
(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. |
248 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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) |
$52.10 | $52.24 | 5.95 % | 6.23 % | $195,376,421 | 0.29 % | 5.06 % | 0.29 % | 78 % |
46.22 | 46.34 | 4.58 | 4.65 | 2,630,096,493 | 0.39 | 4.94 | 0.39 | 57 |
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 (h) | 91 |
45.17 | 45.37 | 6.67 | 6.27 | 1,071,983,762 | 0.40 | 6.33 | 0.40 | 162 |
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 |
47.23 | 47.55 | 6.08 | 6.31 | 415,646,453 | 0.50 | 4.56 | 0.50 | 25 |
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 (h) | 88 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 249 |
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 Municipal ETF | |||||||
Year Ended February 29, 2024 | $49.77 | $1.77 | $0.89 | $2.66 | $(1.64 ) | $— | $(1.64 ) |
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 ) |
JPMorgan Short Duration Core Plus ETF | |||||||
Year Ended February 29, 2024 | 45.88 | 2.01 | 0.35 | 2.36 | (1.95 ) | — | (1.95 ) |
Year Ended February 28, 2023 | 48.60 | 1.31 | (2.78 ) | (1.47 ) | (1.25 ) | — | (1.25 ) |
March 1, 2021 (g) 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 29, 2024 | 50.28 | 2.49 | 0.10 | 2.59 | (2.46 ) | — | (2.46 ) |
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 ) | —(i ) | (0.59 ) |
Year Ended February 29, 2020 | 50.20 | 1.28 | 0.32 | 1.60 | (1.29 ) | — | (1.29 ) |
JPMorgan Ultra-Short Municipal Income ETF | |||||||
Year Ended February 29, 2024 | 50.61 | 1.63 | 0.16 | 1.79 | (1.60 ) | — | (1.60 ) |
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 ) |
(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) | Amount rounds to less than $0.005. |
250 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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) |
$50.79 | $50.84 | 5.46 % | 5.48 % | $1,221,487,390 | 0.17 % | 3.54 % | 0.17 % | 27 % |
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 (f) | 51 |
46.29 | 46.32 | 5.28 | 5.41 | 410,557,850 | 0.33 | 4.39 | 0.33 | 48 |
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 )(h) | 192,461,679 | 0.32 | 1.26 | 0.32 | 175 |
50.41 | 50.44 | 5.29 | 5.31 | 22,514,509,028 | 0.17 | 4.97 | 0.17 | 77 |
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 (f) | 46 |
50.80 | 50.81 | 3.59 | 3.67 | 2,636,616,919 | 0.17 | 3.23 | 0.17 | 76 |
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 (f) | 153 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 251 |
Diversification Classification | |
JPMorgan Active Bond ETF | Diversified |
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 | |
Active Bond ETF | New York Stock Exchange LLC |
Core Plus Bond ETF | Cboe BZX Exchange, Inc. |
Income ETF | NYSE Arca, Inc. |
International Bond Opportunities ETF | Cboe BZX Exchange, Inc. |
Municipal ETF | Cboe BZX Exchange, Inc. |
Short Duration Core Plus ETF | NYSE Arca, Inc. |
Ultra-Short Income ETF | NYSE Arca, Inc. |
Ultra-Short Municipal Income ETF | Cboe BZX Exchange, Inc. |
252 |
253 |
Active Bond ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $41,651,833 | $5,123,870 | $46,775,703 |
Collateralized Mortgage Obligations | — | 11,866,895 | — | 11,866,895 |
Commercial Mortgage-Backed Securities | — | 8,971,662 | 2,094,670 | 11,066,332 |
Corporate Bonds | — | 31,512,053 | — | 31,512,053 |
Foreign Government Securities | — | 224,336 | — | 224,336 |
Mortgage-Backed Securities | — | 46,229,726 | — | 46,229,726 |
U.S. Treasury Obligations | — | 42,951,990 | — | 42,951,990 |
Short-Term Investments | ||||
Investment Companies | 20,630,652 | — | — | 20,630,652 |
Total Investments in Securities | $20,630,652 | $183,408,495 | $7,218,540 | $211,257,687 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $59,284 | $— | $— | $59,284 |
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 | $— | $417,879,522 | $29,054,096 | $446,933,618 |
Collateralized Mortgage Obligations | — | 83,579,490 | 7,210,998 | 90,790,488 |
Commercial Mortgage-Backed Securities | — | 128,576,938 | 26,328,313 | 154,905,251 |
Common Stocks | ||||
Diversified Telecommunication Services | — | — | 168 | 168 |
Health Care Providers & Services | — | — | 181 | 181 |
Oil, Gas & Consumable Fuels | 15,314 | — | — | 15,314 |
Specialty Retail | — | — | 109 | 109 |
Wireless Telecommunication Services | — | — | 7,425 | 7,425 |
Total Common Stocks | 15,314 | — | 7,883 | 23,197 |
Corporate Bonds | ||||
Aerospace & Defense | — | 9,030,024 | — | 9,030,024 |
Automobile Components | — | 7,175,854 | — | 7,175,854 |
Automobiles | — | 2,606,816 | — | 2,606,816 |
Banks | — | 174,433,022 | — | 174,433,022 |
Beverages | — | 2,173,840 | — | 2,173,840 |
Biotechnology | — | 15,303,478 | — | 15,303,478 |
254 |
Core Plus Bond ETF (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Broadline Retail | $— | $2,071,694 | $— | $2,071,694 |
Building Products | — | 8,632,492 | — | 8,632,492 |
Capital Markets | — | 55,385,608 | — | 55,385,608 |
Chemicals | — | 8,031,220 | — | 8,031,220 |
Commercial Services & Supplies | — | 8,794,411 | — | 8,794,411 |
Communications Equipment | — | 2,224,741 | — | 2,224,741 |
Construction & Engineering | — | 3,291,592 | — | 3,291,592 |
Construction Materials | — | 845,123 | — | 845,123 |
Consumer Finance | — | 22,077,735 | — | 22,077,735 |
Consumer Staples Distribution & Retail | — | 6,775,627 | — | 6,775,627 |
Containers & Packaging | — | 8,783,736 | — | 8,783,736 |
Distributors | — | 853,611 | — | 853,611 |
Diversified Consumer Services | — | 3,173,183 | — | 3,173,183 |
Diversified REITs | — | 1,310,958 | — | 1,310,958 |
Diversified Telecommunication Services | — | 16,375,125 | 650,000 | 17,025,125 |
Electric Utilities | — | 51,603,389 | — | 51,603,389 |
Electrical Equipment | — | 2,323,955 | — | 2,323,955 |
Electronic Equipment, Instruments & Components | — | 1,393,262 | — | 1,393,262 |
Energy Equipment & Services | — | 5,100,966 | — | 5,100,966 |
Entertainment | — | 9,647,936 | — | 9,647,936 |
Financial Services | — | 6,679,145 | — | 6,679,145 |
Food Products | — | 4,069,673 | — | 4,069,673 |
Gas Utilities | — | 2,318,078 | — | 2,318,078 |
Ground Transportation | — | 8,916,491 | — | 8,916,491 |
Health Care Equipment & Supplies | — | 6,214,844 | — | 6,214,844 |
Health Care Providers & Services | — | 32,735,443 | — | 32,735,443 |
Health Care REITs | — | 229,182 | — | 229,182 |
Health Care Technology | — | 711,776 | — | 711,776 |
Hotel & Resort REITs | — | 940,868 | — | 940,868 |
Hotels, Restaurants & Leisure | — | 24,047,536 | — | 24,047,536 |
Household Durables | — | 3,882,087 | — | 3,882,087 |
Household Products | — | 1,859,353 | — | 1,859,353 |
Independent Power and Renewable Electricity Producers | — | 4,306,454 | — | 4,306,454 |
Industrial Conglomerates | — | 648,679 | — | 648,679 |
Industrial REITs | — | 742,751 | — | 742,751 |
Insurance | — | 8,969,283 | — | 8,969,283 |
Interactive Media & Services | — | 1,163,630 | — | 1,163,630 |
IT Services | — | 1,659,439 | — | 1,659,439 |
Leisure Products | — | 13,747 | — | 13,747 |
Life Sciences Tools & Services | — | 3,553,840 | — | 3,553,840 |
Machinery | — | 4,389,415 | — | 4,389,415 |
Marine Transportation | — | 454,293 | — | 454,293 |
Media | — | 38,492,420 | — | 38,492,420 |
Metals & Mining | — | 10,005,860 | — | 10,005,860 |
Mortgage Real Estate Investment Trusts (REITs) | — | 944,383 | — | 944,383 |
Multi-Utilities | — | 7,891,683 | — | 7,891,683 |
Office REITs | — | 154,754 | — | 154,754 |
Oil, Gas & Consumable Fuels | — | 71,893,355 | — | 71,893,355 |
255 |
Core Plus Bond ETF (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Passenger Airlines | $— | $4,731,327 | $— | $4,731,327 |
Personal Care Products | — | 1,370,795 | — | 1,370,795 |
Pharmaceuticals | — | 21,396,803 | — | 21,396,803 |
Real Estate Management & Development | — | 327,302 | — | 327,302 |
Residential REITs | — | 1,303,452 | — | 1,303,452 |
Retail REITs | — | 1,033,540 | — | 1,033,540 |
Semiconductors & Semiconductor Equipment | — | 11,836,180 | — | 11,836,180 |
Software | — | 9,779,682 | — | 9,779,682 |
Specialized REITs | — | 4,739,538 | — | 4,739,538 |
Specialty Retail | — | 12,786,513 | — | 12,786,513 |
Technology Hardware, Storage & Peripherals | — | 3,994,454 | — | 3,994,454 |
Textiles, Apparel & Luxury Goods | — | 326,574 | — | 326,574 |
Tobacco | — | 14,354,608 | — | 14,354,608 |
Trading Companies & Distributors | — | 6,622,751 | — | 6,622,751 |
Transportation Infrastructure | — | 175,851 | — | 175,851 |
Water Utilities | — | 908,997 | — | 908,997 |
Wireless Telecommunication Services | — | 10,058,814 | — | 10,058,814 |
Total Corporate Bonds | — | 783,055,041 | 650,000 | 783,705,041 |
Foreign Government Securities | — | 25,406,390 | — | 25,406,390 |
Loan Assignments | — | 29,077,775 | — | 29,077,775 |
Mortgage-Backed Securities | — | 677,928,325 | — | 677,928,325 |
Municipal Bonds | — | 69,724 | — | 69,724 |
Preferred Stocks | — | — | 1,620 | 1,620 |
U.S. Treasury Obligations | — | 271,574,391 | — | 271,574,391 |
Warrants | — | — | 1,034 | 1,034 |
Short-Term Investments | ||||
Investment Companies | 304,836,673 | — | — | 304,836,673 |
Total Investments in Securities | $304,851,987 | $2,417,147,596 | $63,253,944 | $2,785,253,527 |
Appreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | $— | $35,892 | $— | $35,892 |
Futures Contracts | 3,852,886 | — | — | 3,852,886 |
Swaps | — | 340,474 | — | 340,474 |
Depreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | — | (18,310 ) | — | (18,310 ) |
Futures Contracts | (243,730 ) | — | — | (243,730 ) |
Swaps | — | (214,981 ) | — | (214,981 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $3,609,156 | $143,075 | $— | $3,752,231 |
Income ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $182,025,271 | $1,913,052 | $183,938,323 |
Collateralized Mortgage Obligations | — | 58,989,749 | 4,085,919 | 63,075,668 |
Commercial Mortgage-Backed Securities | — | 232,227,561 | 1,605,426 | 233,832,987 |
256 |
Income ETF (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Convertible Bonds | $— | $147,570 | $— | $147,570 |
Corporate Bonds | ||||
Aerospace & Defense | — | 3,177,963 | — | 3,177,963 |
Automobile Components | — | 10,926,762 | — | 10,926,762 |
Banks | — | 10,808,517 | — | 10,808,517 |
Biotechnology | — | 333,120 | — | 333,120 |
Broadline Retail | — | 2,148,959 | — | 2,148,959 |
Building Products | — | 7,145,187 | — | 7,145,187 |
Capital Markets | — | 5,966,395 | — | 5,966,395 |
Chemicals | — | 13,233,023 | — | 13,233,023 |
Commercial Services & Supplies | — | 11,617,657 | — | 11,617,657 |
Communications Equipment | — | 2,290,770 | — | 2,290,770 |
Construction & Engineering | — | 1,861,760 | — | 1,861,760 |
Construction Materials | — | 155,345 | — | 155,345 |
Consumer Finance | — | 16,653,403 | — | 16,653,403 |
Consumer Staples Distribution & Retail | — | 9,272,013 | — | 9,272,013 |
Containers & Packaging | — | 11,084,120 | — | 11,084,120 |
Distributors | — | 342,856 | — | 342,856 |
Diversified Consumer Services | — | 1,719,488 | — | 1,719,488 |
Diversified REITs | — | 1,494,351 | — | 1,494,351 |
Diversified Telecommunication Services | — | 20,564,246 | 2,031,325 | 22,595,571 |
Electric Utilities | — | 8,552,831 | — | 8,552,831 |
Electrical Equipment | — | 735,150 | — | 735,150 |
Electronic Equipment, Instruments & Components | — | 3,433,186 | — | 3,433,186 |
Energy Equipment & Services | — | 1,531,383 | — | 1,531,383 |
Entertainment | — | 6,308,274 | — | 6,308,274 |
Financial Services | — | 4,664,127 | — | 4,664,127 |
Food Products | — | 6,047,521 | — | 6,047,521 |
Gas Utilities | — | 1,317,450 | — | 1,317,450 |
Ground Transportation | — | 8,823,491 | — | 8,823,491 |
Health Care Equipment & Supplies | — | 7,196,949 | — | 7,196,949 |
Health Care Providers & Services | — | 16,863,476 | — | 16,863,476 |
Health Care Technology | — | 924,861 | — | 924,861 |
Hotel & Resort REITs | — | 2,778,986 | — | 2,778,986 |
Hotels, Restaurants & Leisure | — | 19,390,733 | — | 19,390,733 |
Household Durables | — | 5,235,025 | — | 5,235,025 |
Household Products | — | 3,786,097 | — | 3,786,097 |
Independent Power and Renewable Electricity Producers | — | 1,006,582 | — | 1,006,582 |
IT Services | — | 144,169 | — | 144,169 |
Leisure Products | — | 713,024 | — | 713,024 |
Machinery | — | 1,813,655 | — | 1,813,655 |
Marine Transportation | — | 151,431 | — | 151,431 |
Media | — | 44,060,577 | — | 44,060,577 |
Metals & Mining | — | 4,445,418 | — | 4,445,418 |
Oil, Gas & Consumable Fuels | — | 48,536,981 | — | 48,536,981 |
Paper & Forest Products | — | 207,220 | — | 207,220 |
Passenger Airlines | — | 4,274,493 | — | 4,274,493 |
Personal Care Products | — | 3,264,132 | — | 3,264,132 |
257 |
Income ETF (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Pharmaceuticals | $— | $9,352,250 | $— | $9,352,250 |
Professional Services | — | 152,796 | — | 152,796 |
Real Estate Management & Development | — | 354,778 | — | 354,778 |
Semiconductors & Semiconductor Equipment | — | 3,273,970 | — | 3,273,970 |
Software | — | 8,552,395 | — | 8,552,395 |
Specialized REITs | — | 1,113,796 | — | 1,113,796 |
Specialty Retail | — | 11,617,466 | — | 11,617,466 |
Technology Hardware, Storage & Peripherals | — | 807,467 | — | 807,467 |
Textiles, Apparel & Luxury Goods | — | 147,161 | — | 147,161 |
Tobacco | — | 298,960 | — | 298,960 |
Trading Companies & Distributors | — | 9,673,279 | — | 9,673,279 |
Wireless Telecommunication Services | — | 690,774 | — | 690,774 |
Total Corporate Bonds | — | 383,038,249 | 2,031,325 | 385,069,574 |
Exchange-Traded Funds | 15,966,720 | — | — | 15,966,720 |
Foreign Government Securities | — | 35,779,677 | — | 35,779,677 |
Mortgage-Backed Securities | — | 212,948,126 | — | 212,948,126 |
Municipal Bonds | — | 610,290 | — | 610,290 |
Short-Term Investments | ||||
Investment Companies | 1,443,336 | — | — | 1,443,336 |
Total Investments in Securities | $17,410,056 | $1,105,766,493 | $9,635,722 | $1,132,812,271 |
Liabilities | ||||
TBA Short Commitment | $— | $(62,815,061 ) | $— | $(62,815,061 ) |
Total Liabilities in Securities Sold Short | $— | $(62,815,061 ) | $— | $(62,815,061 ) |
Appreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | $— | $241 | $— | $241 |
Futures Contracts | 977,337 | — | — | 977,337 |
Depreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | — | (160,155 ) | — | (160,155 ) |
Futures Contracts | (1,027,981 ) | — | — | (1,027,981 ) |
Swaps | — | (1,378,621 ) | — | (1,378,621 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $(50,644 ) | $(1,538,535 ) | $— | $(1,589,179 ) |
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 | $— | $4,210,813 | $— | $4,210,813 |
Collateralized Mortgage Obligations | ||||
United States | — | 1,403,958 | 1,184,032 | 2,587,990 |
Commercial Mortgage-Backed Securities | — | 3,397,256 | — | 3,397,256 |
Common Stocks | — | — | 168 | 168 |
Corporate Bonds | — | 248,388,613 | — | 248,388,613 |
Foreign Government Securities | — | 130,864,457 | — | 130,864,457 |
U.S. Treasury Obligations | — | 4,292,712 | — | 4,292,712 |
258 |
International Bond Opportunities ETF (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Short-Term Investments | ||||
Investment Companies | $12,140,460 | $— | $— | $12,140,460 |
Total Investments in Securities | $12,140,460 | $392,557,809 | $1,184,200 | $405,882,469 |
Appreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | $— | $880,257 | $— | $880,257 |
Futures Contracts | 520,548 | — | — | 520,548 |
Swaps | — | 599,857 | — | 599,857 |
Depreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | — | (968,530 ) | — | (968,530 ) |
Futures Contracts | (768,965 ) | — | — | (768,965 ) |
Swaps | — | (992,788 ) | — | (992,788 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $(248,417 ) | $(481,204 ) | $— | $(729,621 ) |
Municipal ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Municipal Bonds | $— | $1,058,776,826 | $— | $1,058,776,826 |
U.S. Treasury Obligations | — | 3,951,406 | — | 3,951,406 |
Short-Term Investments | ||||
Investment Companies | 178,363,148 | — | — | 178,363,148 |
Total Investments in Securities | $178,363,148 | $1,062,728,232 | $— | $1,241,091,380 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $21,815 | $— | $— | $21,815 |
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 | $— | $77,810,159 | $904,226 | $78,714,385 |
Collateralized Mortgage Obligations | — | 17,885,027 | — | 17,885,027 |
Commercial Mortgage-Backed Securities | — | 18,410,488 | — | 18,410,488 |
Corporate Bonds | ||||
Aerospace & Defense | — | 1,175,992 | — | 1,175,992 |
Automobile Components | — | 918,113 | — | 918,113 |
Automobiles | — | 1,386,946 | — | 1,386,946 |
Banks | — | 71,613,608 | — | 71,613,608 |
Beverages | — | 52,379 | — | 52,379 |
Biotechnology | — | 15,795 | — | 15,795 |
Broadline Retail | — | 109,494 | — | 109,494 |
Building Products | — | 636,881 | — | 636,881 |
Capital Markets | — | 18,226,689 | — | 18,226,689 |
Chemicals | — | 930,870 | — | 930,870 |
Commercial Services & Supplies | — | 1,449,265 | — | 1,449,265 |
259 |
Short Duration Core Plus ETF (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Communications Equipment | $— | $141,575 | $— | $141,575 |
Construction & Engineering | — | 330,181 | — | 330,181 |
Consumer Finance | — | 8,028,808 | — | 8,028,808 |
Consumer Staples Distribution & Retail | — | 343,757 | — | 343,757 |
Containers & Packaging | — | 1,019,056 | — | 1,019,056 |
Diversified Consumer Services | — | 40,008 | — | 40,008 |
Diversified Telecommunication Services | — | 1,549,524 | 140,400 | 1,689,924 |
Electric Utilities | — | 7,997,617 | — | 7,997,617 |
Electrical Equipment | — | 135,989 | — | 135,989 |
Electronic Equipment, Instruments & Components | — | 84,857 | — | 84,857 |
Energy Equipment & Services | — | 675,263 | — | 675,263 |
Entertainment | — | 468,095 | — | 468,095 |
Financial Services | — | 2,827,799 | — | 2,827,799 |
Food Products | — | 887,747 | — | 887,747 |
Gas Utilities | — | 156,513 | — | 156,513 |
Ground Transportation | — | 625,838 | — | 625,838 |
Health Care Equipment & Supplies | — | 204,294 | — | 204,294 |
Health Care Providers & Services | — | 3,588,870 | — | 3,588,870 |
Hotel & Resort REITs | — | 119,757 | — | 119,757 |
Hotels, Restaurants & Leisure | — | 2,000,646 | — | 2,000,646 |
Household Durables | — | 424,869 | — | 424,869 |
Household Products | — | 298,170 | — | 298,170 |
Independent Power and Renewable Electricity Producers | — | 577,257 | — | 577,257 |
Insurance | — | 3,274,147 | — | 3,274,147 |
IT Services | — | 198,876 | — | 198,876 |
Leisure Products | — | 58,263 | — | 58,263 |
Machinery | — | 271,915 | — | 271,915 |
Media | — | 4,000,884 | — | 4,000,884 |
Metals & Mining | — | 619,248 | — | 619,248 |
Multi-Utilities | — | 1,442,727 | — | 1,442,727 |
Oil, Gas & Consumable Fuels | — | 7,282,987 | — | 7,282,987 |
Passenger Airlines | — | 572,021 | — | 572,021 |
Personal Care Products | — | 157,630 | — | 157,630 |
Pharmaceuticals | — | 744,777 | — | 744,777 |
Real Estate Management & Development | — | 153,946 | — | 153,946 |
Semiconductors & Semiconductor Equipment | — | 1,059,359 | — | 1,059,359 |
Software | — | 366,142 | — | 366,142 |
Specialized REITs | — | 49,873 | — | 49,873 |
Specialty Retail | — | 1,058,177 | — | 1,058,177 |
Technology Hardware, Storage & Peripherals | — | 75,499 | — | 75,499 |
Trading Companies & Distributors | — | 274,116 | — | 274,116 |
Wireless Telecommunication Services | — | 740,887 | — | 740,887 |
Total Corporate Bonds | — | 151,443,996 | 140,400 | 151,584,396 |
Foreign Government Securities | — | 4,716,507 | — | 4,716,507 |
Mortgage-Backed Securities | — | 51,449,191 | — | 51,449,191 |
Municipal Bonds | — | 103,235 | — | 103,235 |
U.S. Treasury Obligations | — | 76,988,648 | — | 76,988,648 |
260 |
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 Companies | $25,964,962 | $— | $— | $25,964,962 |
U.S. Treasury Obligations | — | 955,695 | — | 955,695 |
Total Short-Term Investments | 25,964,962 | 955,695 | — | 26,920,657 |
Total Investments in Securities | $25,964,962 | $399,762,946 | $1,044,626 | $426,772,534 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $104,737 | $— | $— | $104,737 |
Swaps | — | 22,642 | — | 22,642 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (116,376 ) | — | — | (116,376 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $(11,639 ) | $22,642 | $— | $11,003 |
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 | $— | $2,527,643,469 | $— | $2,527,643,469 |
Commercial Mortgage-Backed Securities | — | 6,716,496 | — | 6,716,496 |
Corporate Bonds | — | 12,475,017,355 | — | 12,475,017,355 |
U.S. Treasury Obligations | — | 518,802,111 | — | 518,802,111 |
Short-Term Investments | ||||
Certificates of Deposits | — | 2,578,899,525 | — | 2,578,899,525 |
Commercial Paper | — | 3,213,963,503 | — | 3,213,963,503 |
Investment Companies | 1,101,895,063 | — | — | 1,101,895,063 |
Investment of Cash Collateral from Securities Loaned | 31,757,692 | — | — | 31,757,692 |
Repurchase Agreements | — | 230,000,000 | — | 230,000,000 |
Total Short-Term Investments | 1,133,652,755 | 6,022,863,028 | — | 7,156,515,783 |
Total Investments in Securities | $1,133,652,755 | $21,551,042,459 | $— | $22,684,695,214 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | $(61,893 ) | $— | $— | $(61,893 ) |
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 | $— | $2,441,984,279 | $— | $2,441,984,279 |
Short-Term Investments | ||||
Investment Companies | 187,008,251 | — | — | 187,008,251 |
Total Investments in Securities | $187,008,251 | $2,441,984,279 | $— | $2,628,992,530 |
261 |
Active Bond ETF | Balance as of October 11, 2023(a) | 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 29, 2024 |
Investments in Securities: | |||||||||
Asset-Backed Securities | $— | $— | $16,503 | $2,182 | $5,190,698 | $(85,513 ) | $— | $— | $5,123,870 |
Commercial Mortgage-Backed Securities | — | — | (7,208 ) | 2,208 | 2,099,670 | — | — | — | 2,094,670 |
Total | $— | $— | $9,295 | $4,390 | $7,290,368 | $(85,513 ) | $— | $— | $7,218,540 |
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) | Commencement of operations was October 11, 2023 |
Core Plus Bond ETF | Balance as of February 28, 2023 | 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 29, 2024 |
Investments in Securities: | ||||||||||
Asset-Backed Securities | $2,208,139 | $185 | $(628,064 ) | $42,579 | $27,848,700 | $(3,074,940 ) | $1,881,672 | $— | $775,825 | $29,054,096 |
Collateralized Mortgage Obligations | 3,547,824 | — | (16,909 ) | 1 | 6,500,001 | (50,465 ) | — | (1,993,629 ) | (775,825 ) | 7,210,998 |
Commercial Mortgage-Backed Securities | 825,407 | 2,786 | 123,498 | 50,921 | 26,161,871 | (836,170 ) | — | — | — | 26,328,313 |
Common Stocks | 8,693 | 2,186 | (811 ) | — | — | (2,185 ) | — | — | — | 7,883 |
Corporate Bonds | 3 | (274 ) | (135,969 ) | 18,346 | — | (6 ) | 767,900 | — | — | 650,000 |
Preferred Stocks | 2,567 | — | (947 ) | — | — | — | — | — | — | 1,620 |
Rights | 1 | 524 | — | — | — | (525 ) | — | — | — | — |
Warrants | 2,460 | — | (1,426 ) | — | — | — | — | — | — | 1,034 |
Total | $6,595,094 | $5,407 | $(660,628 ) | $111,847 | $60,510,572 | $(3,964,291 ) | $2,649,572 | $(1,993,629 ) | $— | $63,253,944 |
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 Collateralized Mortgage Obligations and Asset-Backed Securities. |
262 |
Income ETF | Balance as of February 28, 2023 | 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 29, 2024 |
Investments in Securities: | |||||||||
Asset-Backed Securities | $3,524,503 | $— | $(3,061 ) | $(1,174 ) | $— | $(1,607,216 ) | $— | $— | $1,913,052 |
Collateralized Mortgage Obligations | 1,620,029 | — | (8,951 ) | 1 | 3,639,969 | — | — | (1,165,129 ) | 4,085,919 |
Commercial Mortgage-Backed Securities | — | — | (14,837 ) | 4,154 | 1,616,109 | — | — | — | 1,605,426 |
Corporate Bonds | — | (98,861 ) | (441,529 ) | 95,831 | 2,030,773 | (195,838 ) | 640,949 | — | 2,031,325 |
Total | $5,144,532 | $(98,861 ) | $(468,378 ) | $98,812 | $7,286,851 | $(1,803,054 ) | $640,949 | $(1,165,129 ) | $9,635,722 |
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, 2023 | 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 29, 2024 |
Investments in Securities: | |||||||||
Collateralized Mortgage Obligations | $1,124,280 | $— | $59,750 | $2 | $— | $— | $— | $— | $1,184,032 |
Commercial Mortgage-Backed Securities | 394,851 | 2,742 | 81 | (360 ) | 2,686 | (400,000 ) | — | — | — |
Common Stocks | — | — | 168 | — | — | — | — | — | 168 |
Warrants | 120 | — | (120 ) | — | — | — | — | — | — |
Total | $1,519,251 | $2,742 | $59,879 | $(358 ) | $2,686 | $(400,000 ) | $— | $— | $1,184,200 |
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. |
263 |
Short Duration Core Plus ETF | Balance as of February 28, 2023 | 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 29, 2024 |
Investments in Securities: | |||||||||
Asset-Backed Securities | $1,755,429 | $— | $40,627 | $2,567 | $— | $(394,738 ) | $— | $(499,659 ) | $904,226 |
Corporate Bonds | — | — | (26,617 ) | 1,151 | — | — | 165,866 | — | 140,400 |
Total | $1,755,429 | $— | $14,010 | $3,718 | $— | $(394,738 ) | $165,866 | $(499,659 ) | $1,044,626 |
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. |
Bond ETF
Fair Value at February 29, 2024 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$2,631,662 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 10.00% (6.61%) | |
Yield (Discount Rate of Cash Flows) | 6.61% - 7.00% (6.81%) | |||
Asset-Backed Securities | 2,631,662 | |||
Total | $2,631,662 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At February 29, 2024, the value of these investments was $4,586,878. 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. |
264 |
Bond ETF
Fair Value at February 29, 2024 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$17,416,369 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 30.00% (15.15%) | |
Constant Default Rate | 0.00% - 57.50% (0.52%) | |||
Yield (Discount Rate of Cash Flows) | 6.03% - 22.25% (8.44%) | |||
Asset-Backed Securities | 17,416,369 | |||
2,210,998 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 8.97% - 15.68% (11.15%) | |
Collateralized Mortgage Obligations | 2,210,998 | |||
Total | $19,627,367 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At February 29, 2024, the value of these investments was $43,626,577. 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. |
Fair Value at February 29, 2024 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$269,531 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 5.00% (4.26%) | |
Constant Default Rate | 0.00% - 0.12% (10.23%) | |||
Yield (Discount Rate of Cash Flows) | 6.57% - 8.35% (8.09%) | |||
Asset-Backed Securities | 269,531 | |||
449,061 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 15.68% (15.68%) | |
Collateralized Mortgage Obligations | 449,061 | |||
Total | $718,592 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At February 29, 2024, the value of these investments was $8,917,130. 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. |
265 |
266 |
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) | |
Ultra-Short Income ETF | $30,637,237 | $(30,637,237 ) | $— |
* | 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 | $502 |
Ultra-Short Income ETF | 1,994 |
267 |
Active Bond ETF | |||||||||
For the period ended February 29, 2024 | |||||||||
Security Description | Value at October 11, 2023(a) | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (b) (c) | $— | $121,323,544 | $100,692,892 | $— | $— | $20,630,652 | 20,630,652 | $304,020 | $— |
(a) | Commencement of operations was October 11, 2023. |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(c) | The rate shown is the current yield as of February 29, 2024. |
Core Plus Bond ETF | |||||||||
For the year ended February 29, 2024 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (a) (b) | $111,022,635 | $1,167,260,812 | $973,446,774 | $— | $— | $304,836,673 | 304,836,673 | $10,558,821 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
Income ETF | |||||||||
For the year ended February 29, 2024 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (a) (b) | $4,011,385 | $559,377,724 | $561,950,830 | $5,027 | $30 | $1,443,336 | 1,442,615 | $837,596 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
268 |
International Bond Opportunities ETF | |||||||||
For the year ended February 29, 2024 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (a) (b) | $486,978 | $189,111,135 | $177,457,653 | $— | $— | $12,140,460 | 12,140,460 | $386,002 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
Municipal ETF | |||||||||
For the year ended February 29, 2024 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.37% (a) (b) | $28,406,555 | $666,516,209 | $516,558,381 | $(4,022 ) | $2,787 | $178,363,148 | 178,345,313 | $2,181,699 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
Short Duration Core Plus ETF | |||||||||
For the year ended February 29, 2024 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (a) (b) | $— | $174,511,805 | $148,547,338 | $(646 ) | $1,141 | $25,964,962 | 25,951,986 | $445,704 | $— |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (a) (b) | 805,328 | 12,269,672 | 13,075,000 | — | — | — | — | 39,773 * | — |
Total | $805,328 | $186,781,477 | $161,622,338 | $(646 ) | $1,141 | $25,964,962 | $485,477 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
269 |
Ultra-Short Income ETF | |||||||||
For the year ended February 29, 2024 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.48% (a) (b) | $14,713,952 | $192,000,000 | $179,000,000 | $(3,670 )* | $1,000 | $27,711,282 | 27,702,971 | $797,712 * | $— |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (a) (b) | 1,401,082 | 118,392,045 | 115,746,717 | — | — | 4,046,410 | 4,046,410 | 161,055 * | — |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (a) (b) | 2,751,326,315 | 14,300,855,923 | 15,950,287,175 | — | — | 1,101,895,063 | 1,101,895,063 | 126,512,071 | — |
Total | $2,767,441,349 | $14,611,247,968 | $16,245,033,892 | $(3,670 ) | $1,000 | $1,133,652,755 | $127,470,838 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
* | Amount is included on the Statements 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 29, 2024 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.37% (a) (b) | $143,883,279 | $2,325,998,867 | $2,282,872,148 | $(2,233 ) | $486 | $187,008,251 | 186,989,552 | $5,383,733 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
270 |
271 |
272 |
Active Bond ETF | Core Plus Bond ETF | Income ETF | International Bond Opportunities ETF | Municipal ETF | Short Duration Core Plus ETF | Ultra-Short Income ETF | |
Foreign Exchange Rate Risk Exposure: | |||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $— | $35,892 | $241 | $880,257 | $— | $— | $— |
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | — | (18,310 ) | (160,155 ) | (968,530 ) | — | — | — |
Interest Rate Risk Exposure: | |||||||
Unrealized Appreciation on Futures Contracts * | 59,284 | 3,852,886 | 977,337 | 520,548 | 21,815 | 104,737 | — |
Swaps at Value (Assets) ** | — | — | — | 599,857 | — | — | — |
Unrealized Depreciation on Futures Contracts * | — | (243,730 ) | (1,027,981 ) | (768,965 ) | — | (116,376 ) | (61,893 ) |
Swaps at Value (Liabilities) ** | — | — | — | (739,197 ) | — | — | — |
Credit Risk Exposure: | |||||||
Swaps at Value (Assets) ** | — | 400,114 | — | — | — | 101,809 | — |
Swaps at Value (Liabilities) ** | — | (168,478 ) | (5,005,630 ) | (328,398 ) | — | — | — |
Net Fair Value of Derivative Contracts: | |||||||
Unrealized Appreciation (Depreciation) on Futures Contracts * | 59,284 | 3,609,156 | (50,644 ) | (248,417 ) | 21,815 | (11,639 ) | (61,893 ) |
Swaps at Value ** | — | 231,636 | (5,005,630 ) | (467,738 ) | — | 101,809 | — |
Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts | — | 17,582 | (159,914 ) | (88,273 ) | — | — | — |
* | 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. |
273 |
Active Bond ETF | Core Plus Bond ETF | Income ETF | International Bond Opportunities ETF | Municipal ETF | |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: | |||||
Foreign Exchange Rate Risk Exposure: | |||||
Forward Foreign Currency Exchange Contracts | $— | $(375,468 ) | $(956,316 ) | $4,457,953 | $— |
Interest Rate Risk Exposure: | |||||
Futures Contracts | 5,129 | (10,384,492 ) | (5,748,889 ) | (2,208,130 ) | (208,718 ) |
Swap Contracts | — | — | — | (154,193 ) | — |
Credit Exposure Risk: | |||||
Swap Contracts | — | 119,417 | (2,233,596 ) | (1,012,792 ) | (1,327,540 ) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||
Foreign Exchange Rate Risk Exposure: | |||||
Forward Foreign Currency Exchange Contracts | — | 127,462 | 69,166 | (3,898,521 ) | — |
Interest Rate Risk Exposure: | |||||
Futures Contracts | 59,284 | 3,777,531 | 83,392 | (1,514,660 ) | 21,502 |
Swap Contracts | — | — | — | (22,746 ) | — |
Credit Exposure Risk: | |||||
Swap Contracts | — | 108,835 | (1,219,791 ) | (249,929 ) | 562,868 |
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 | $(113 ) | $— | $— |
Interest Rate Risk Exposure: | |||
Futures Contracts | (742,382 ) | (42,505,711 ) | (1,776,264 ) |
Credit Exposure Risk: | |||
Swap Contracts | (141,812 ) | — | — |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||
Interest Rate Risk Exposure: | |||
Futures Contracts | 2,264 | (61,893 ) | 325,334 |
Credit Exposure Risk: | |||
Swap Contracts | 66,850 | — | — |
274 |
Active Bond ETF | Core Plus Bond ETF | Income ETF | International Bond Opportunities ETF | |
Futures Contracts: | ||||
Average Notional Balance Long | $3,385,341 (a) | $337,903,660 | $238,294,696 | $140,731,604 |
Average Notional Balance Short | — | (30,289,809 ) | (36,882,986 ) | (105,882,648 ) |
Ending Notional Balance Long | 6,656,406 | 491,147,812 | 404,640,803 | 134,691,166 |
Ending Notional Balance Short | — | (38,368,055 ) | (114,587,984 ) | (148,849,919 ) |
Forward Foreign Currency Exchange Contracts: | ||||
Average Settlement Value Purchased | — | (3,199,454 ) | (6,867,134 ) | (66,927,630 ) |
Average Settlement Value Sold | — | 2,889,094 | 264,419 | 288,655,220 |
Ending Settlement Value Purchased | — | (8,622,718 ) | (10,625,852 ) | (177,448,258 ) |
Ending Settlement Value Sold | — | 17,254,863 | — | 416,869,468 |
Interest Rate-Related Swaps : | ||||
Average Notional Balance - Pays Fixed Rate | — | — | — | 92,997,069 |
Average Notional Balance - Receives Fixed Rate | — | — | — | 8,497,019 |
Ending Notional Balance - Pays Fixed Rate | — | — | — | 104,000,000 |
Ending Notional Balance - Receives Fixed Rate | — | — | — | 23,250,000 |
Credit Default Swaps: | ||||
Average Notional Balance - Buy Protection | — | 8,628,462 | 50,083,000 | 10,283,228 |
Average Notional Balance - Sell Protection | — | 18,250,000 | 2,423,077 | — |
Ending Notional Balance - Buy Protection | — | 8,410,000 | 74,050,000 | 3,695,332 |
Ending Notional Balance - Sell Protection | — | 18,250,000 | — | — |
(a) | For the period October 11, 2023 through February 29, 2024. |
Municipal ETF | Short Duration Core Plus ETF | Ultra-Short Income ETF | Ultra-Short Municipal Income ETF | |
Futures Contracts: | ||||
Average Notional Balance Long | $10,663,428 | $54,340,411 | $743,873,852 | $57,254,770 |
Average Notional Balance Short | (686,838 ) | (14,163,040 ) | (35,245,641 ) | — |
Ending Notional Balance Long | 11,443,164 | 46,288,406 | — | — |
Ending Notional Balance Short | — | (23,062,656 ) | (67,795,523 ) | — |
Forward Foreign Currency Exchange Contracts: | ||||
Average Settlement Value Purchased | — | (58,430 ) | — | — |
Average Settlement Value Sold | — | 58,407 | — | — |
Credit Default Swaps: | ||||
Average Notional Balance - Buy Protection | 7,911,538 | 1,819,231 | — | — |
Average Notional Balance - Sell Protection | — | 415,385 | — | — |
Ending Notional Balance - Sell Protection | — | 1,400,000 | — | — |
275 |
Fund | Fund Counterparty | Value of swap contracts | Collateral amount | |
International Bond Opportunities ETF | Collateral Received | Merrill Lynch International | $— | $(10,000 ) |
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
Core Plus Bond ETF | $— | $(350,623 ) | $350,623 |
Income ETF | — | 223,316 | (223,316 ) |
International Bond Opportunities ETF | — | (2,936,748 ) | 2,936,748 |
Municipal ETF | — | (12,964 ) | 12,964 |
Short Duration Core Plus ETF | — | 91,731 | (91,731 ) |
Ultra-Short Income ETF | — | 1,484,682 | (1,484,682 ) |
Ultra-Short Municipal Income ETF | — | (31,104 ) | 31,104 |
276 |
Active Bond ETF | 0.30 % |
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 |
277 |
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |
Active Bond ETF | $193,873,563 | $50,838,435 | $107,059,332 | $64,856,422 |
Core Plus Bond ETF | 2,290,765,359 | 667,769,991 | 298,585,813 | 140,098,574 |
Income ETF | 1,850,656,013 | 1,093,791,977 | — | — |
International Bond Opportunities ETF | 193,108,099 | 81,892,653 | 4,362,258 | 9,291 |
Municipal ETF | 825,758,809 | 166,142,644 | 3,984,023 | — |
Short Duration Core Plus ETF | 216,635,580 | 56,060,141 | 117,328,316 | 66,380,727 |
Ultra-Short Income ETF | 9,965,616,203 | 8,573,668,435 | 532,930,547 | 522,848,984 |
Ultra-Short Municipal Income ETF | 1,758,407,383 | 1,683,580,221 | — | — |
In-Kind Purchases | In-Kind Sales | |
Municipal ETF | $2,557,502 | $— |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
Active Bond ETF * | $206,872,940 | $4,846,239 | $402,208 | $4,444,031 |
Core Plus Bond ETF | 2,805,986,352 | 31,367,019 | 48,241,470 | (16,874,451 ) |
Income ETF | 1,064,517,156 | 14,230,951 | 13,967,085 | 263,866 |
International Bond Opportunities ETF | 417,416,585 | 9,465,072 | 21,803,616 | (12,338,544 ) |
Municipal ETF | 1,222,118,420 | 20,903,103 | 1,908,328 | 18,994,775 |
Short Duration Core Plus ETF | 432,232,786 | 1,823,550 | 7,193,632 | (5,370,082 ) |
Ultra-Short Income ETF | 22,690,549,658 | 31,677,312 | 37,593,649 | (5,916,337 ) |
Ultra-Short Municipal Income ETF | 2,630,637,524 | 3,548,940 | 5,193,934 | (1,644,994 ) |
* | The Fund has an expected tax year end of September 30. The cost of investment securities and components of net assets on a tax basis presented have been estimated as of February 29, 2024, the Fund’s fiscal year end. The actual cost of investment securities and components of net assets on a tax basis will be different as of the Fund’s tax year end. The Fund’s required distributions will be determined by the net investment income and net realized gain or loss for the expected tax year end of September 30. |
278 |
Ordinary Income* | Tax Exempt Income | Total Distributions Paid | |
Active Bond ETF ** | $2,200,330 | $— | $2,200,330 |
Core Plus Bond ETF | 67,705,618 | — | 67,705,618 |
Income ETF | 36,944,460 | — | 36,944,460 |
International Bond Opportunities ETF | 15,982,342 | — | 15,982,342 |
Municipal ETF | 222,741 | 21,487,933 | 21,710,674 |
Short Duration Core Plus ETF | 10,842,777 | — | 10,842,777 |
Ultra-Short Income ETF | 1,144,625,684 | — | 1,144,625,684 |
Ultra-Short Municipal Income ETF | 329,708 | 80,132,226 | 80,461,934 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
** | The Fund has an expected tax year end of September 30. The cost of investment securities and components of net assets on a tax basis presented have been estimated as of February 29, 2024, the Fund’s fiscal year end. The actual cost of investment securities and components of net assets on a tax basis will be different as of the Fund’s tax year end. The Fund’s required distributions will be determined by the net investment income and net realized gain or loss for the expected tax year end of September 30. |
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. |
279 |
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Tax Exempt Income | Unrealized Appreciation (Depreciation) | |
Active Bond ETF* | $1,150,600 | $38,648 | $— | $4,444,031 |
Core Plus Bond ETF | 11,031,696 | (25,822,586 ) | — | (17,436,591 ) |
Income ETF | 5,798,025 | (16,137,809 ) | — | 263,866 |
International Bond Opportunities ETF | 1,561,188 | (15,291,109 ) | — | (12,356,317 ) |
Municipal ETF | — | (8,498,950 ) | 3,523,999 | 18,994,775 |
Short Duration Core Plus ETF | 1,479,210 | (10,133,970 ) | — | (5,370,082 ) |
Ultra-Short Income ETF | 96,292,653 | (118,258,859 ) | — | (5,916,337 ) |
Ultra-Short Municipal Income ETF | — | (21,647,481 ) | 7,654,032 | (1,644,994 ) |
* | The Fund has an expected tax year end of September 30. The cost of investment securities and components of net assets on a tax basis presented have been estimated as of February 29, 2024, the Fund’s fiscal year end. The actual cost of investment securities and components of net assets on a tax basis will be different as of the Fund’s tax year end. The Fund’s required distributions will be determined by the net investment income and net realized gain or loss for the expected tax year end of September 30. |
Capital Loss Carryforward Character | ||
Short-Term | Long-Term | |
Core Plus Bond ETF | $8,342,950 | $17,479,636 |
Income ETF | 9,260,883 | 6,876,926 |
International Bond Opportunities ETF | 2,913,939 | 12,377,170 |
Municipal ETF | 5,018,417 | 3,480,533 |
Short Duration Core Plus ETF | 4,672,924 | 5,461,046 |
Ultra-Short Income ETF | 48,194,853 | 70,064,006 |
Ultra-Short Municipal Income ETF | 10,449,843 | 11,197,638 |
Net Capital Losses (Gains) | Specified Ordinary Losses | ||
Short-Term | Long-Term | ||
Income ETF | $(288,029 ) | $1,930,671 | $— |
International Bond Opportunities ETF | (358,283 ) | 1,335,930 | 290,936 |
Municipal ETF | 152,983 | 1,372,974 | — |
Short Duration Core Plus ETF | (133,531 ) | 222,609 | — |
Ultra-Short Income ETF | (2,668,211 ) | 6,362,842 | — |
Ultra-Short Municipal Income ETF | 43,442 | 196,272 | — |
280 |
% of Ownership | |
Active Bond ETF | 17 % |
281 |
282 |
International Bond Opportunities ETF | Ultra-Short Income ETF | |
Canada | — % | 10.8 % |
United Kingdom | 11.5 | — |
283 |
JPMorgan Active Bond ETF (1) | JPMorgan Municipal ETF (2) |
JPMorgan Core Plus Bond ETF (2) | JPMorgan Short Duration Core Plus ETF (2) |
JPMorgan Income ETF (2) | JPMorgan Ultra-Short Income ETF (2) |
JPMorgan International Bond Opportunities ETF (2) | JPMorgan Ultra-Short Municipal Income ETF (2) |
(1) Statement of operations and statement of changes in net assets for the period October 11, 2023 (commencement of operations) through February 29, 2024 |
(2) Statement of operations for the year ended February 29, 2024 and statement of changes in net assets for the years ended February 29, 2024 and February 28, 2023 |
/s/ PricewaterhouseCoopers LLP
New York, New York
April 24, 2024
284 |
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). | 167 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-2023); 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). | 167 | None |
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). | 167 | 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). | 167 | 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). | 167 | None |
285 |
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 | |||
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). | 167 | None |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 167 | 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. | 167 | (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). | 167 | 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). | 167 | None |
Marilyn McCoy (1948); Trustee since 1999. | Retired; Vice President of Administration and Planning, Northwestern University (1985-2023). | 167 | None |
286 |
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 | |||
Dr. Robert A. Oden, Jr. (1946); Trustee since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 167 | 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). | 167 | 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. | 167 | 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). | 167 | 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. | 167 | 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 eight registered investment companies (167 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. |
287 |
** | 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. |
288 |
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) | Managing Director, J.P. Morgan Investment Management Inc. 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. Mr. House has been with J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2023) | Vice President, J.P. Morgan Investment Management Inc. Mr. Mannarino has been with J.P. Morgan Investment Management Inc. since 2014. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 289 |
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)* | Executive Director, 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 September 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. |
290 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Expenses Paid During the Period | Annualized Expense Ratio | |
JPMorgan Active Bond ETF | ||||
Actual * | $1,000.00 | $1,059.50 | $1.15 | 0.29 % |
Hypothetical ** | 1,000.00 | 1,023.42 | 1.46 | 0.29 |
JPMorgan Core Plus Bond ETF | ||||
Actual ** | 1,000.00 | 1,031.60 | 1.97 | 0.39 |
Hypothetical ** | 1,000.00 | 1,022.92 | 1.96 | 0.39 |
JPMorgan Income ETF | ||||
Actual ** | 1,000.00 | 1,041.60 | 2.03 | 0.40 |
Hypothetical ** | 1,000.00 | 1,022.87 | 2.01 | 0.40 |
JPMorgan International Bond Opportunities ETF | ||||
Actual ** | 1,000.00 | 1,046.90 | 2.54 | 0.50 |
Hypothetical ** | 1,000.00 | 1,022.38 | 2.51 | 0.50 |
JPMorgan Municipal ETF | ||||
Actual ** | 1,000.00 | 1,042.00 | 0.86 | 0.17 |
Hypothetical ** | 1,000.00 | 1,024.02 | 0.86 | 0.17 |
JPMorgan Short Duration Core Plus ETF | ||||
Actual ** | 1,000.00 | 1,033.90 | 1.67 | 0.33 |
Hypothetical ** | 1,000.00 | 1,023.22 | 1.66 | 0.33 |
JPMorgan Ultra-Short Income ETF | ||||
Actual ** | 1,000.00 | 1,030.30 | 0.86 | 0.17 |
Hypothetical ** | 1,000.00 | 1,024.02 | 0.86 | 0.17 |
JPMorgan Ultra-Short Municipal Income ETF | ||||
Actual ** | 1,000.00 | 1,020.20 | 0.85 | 0.17 |
Hypothetical ** | 1,000.00 | 1,024.02 | 0.86 | 0.17 |
* | Expenses are equal to the Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 141/366 (to reflect the actual period). The Fund commenced operations on October 11, 2023. |
** | Expenses are equal to each Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 291 |
292 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 293 |
294 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Qualified Interest Income | |
JPMorgan Active Bond ETF* | $2,107,054 |
JPMorgan Core Plus Bond ETF | 63,249,444 |
JPMorgan Income ETF | 30,354,835 |
JPMorgan International Bond Opportunities ETF | 2,377,859 |
JPMorgan Short Duration Core Plus ETF | 8,120,412 |
JPMorgan Ultra-Short Income ETF | 598,693,166 |
* | The Fund has an expected tax year end of September 30. The maximum allowable amount of ordinary distributions treated as Qualified Interest Income (QII) and Short-Term Capital Gain will be different as of the Fund’s tax year end. |
Exempt Distributions Paid | |
JPMorgan Municipal ETF | $21,487,933 |
JPMorgan Ultra-Short Municipal Income ETF | 80,132,226 |
Income from U.S. Treasury Obligations | |
JPMorgan Active Bond ETF* | 27.8 % |
JPMorgan Core Plus Bond ETF | 10.4 |
JPMorgan Municipal ETF | 0.5 |
JPMorgan Short Duration Core Plus ETF | 15.8 |
JPMorgan Ultra-Short Income ETF | 2.3 |
* | The Fund has an expected tax year end of September 30. The maximum allowable percentage of income earned from direct U.S. Treasury Obligations will be different as of the Fund’s tax year end. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 295 |
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 |
“The global economic outlook for the year ahead remains positive and financial markets appear more resilient than a year ago.” — 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 29, 2024 | J.P. Morgan Exchange-Traded Funds | 1 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 5.61% |
Market Price ** | 5.46% |
MSCI US REIT Custom Capped Index | 5.72% |
Net Assets as of 2/29/2024 | $805,356,897 |
Fund Ticker | BBRE |
2 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS | |
1. | Prologis, Inc. | 11.7 % |
2. | Equinix, Inc. | 7.9 |
3. | Welltower, Inc. | 4.3 |
4. | Simon Property Group, Inc. | 4.3 |
5. | Digital Realty Trust, Inc. | 4.1 |
6. | Public Storage | 4.0 |
7. | Realty Income Corp. | 3.8 |
8. | Extra Space Storage, Inc. | 2.9 |
9. | VICI Properties, Inc. | 2.8 |
10. | AvalonBay Communities, Inc. | 2.4 |
PORTFOLIO COMPOSITION BY SECTOR AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
Diversified | 18.6% |
Industrial | 16.4 |
Apartments | 16.4 |
Storage | 10.3 |
Health Care | 9.6 |
Office | 6.0 |
Single Tenant | 5.6 |
Shopping Centers | 5.5 |
Regional Malls | 5.0 |
Hotels | 4.0 |
Short-Term Investments | 2.6 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 3 |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |
JPMorgan BetaBuilders MSCI US REIT ETF | ||||
Net Asset Value | June 15, 2018 | 5.61 % | 4.35 % | 5.45 % |
Market Price | 5.46 | 4.33 | 5.43 |
4 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | SHARES | VALUE($) |
Common Stocks — 99.6% | ||
Apartments — 16.7% | ||
American Homes 4 Rent, Class A, REIT | 252,273 | 9,336,624 |
Apartment Income REIT Corp., REIT | 119,783 | 3,631,820 |
Apartment Investment and Management Co., Class A, REIT * | 124,999 | 922,493 |
AvalonBay Communities, Inc., REIT | 110,866 | 19,626,608 |
Camden Property Trust, REIT | 80,436 | 7,599,593 |
Centerspace, REIT | 12,623 | 701,712 |
Elme Communities, REIT | 71,842 | 925,325 |
Equity LifeStyle Properties, Inc., REIT | 140,426 | 9,453,478 |
Equity Residential, REIT | 284,603 | 17,135,947 |
Essex Property Trust, Inc., REIT | 51,392 | 11,892,109 |
Independence Realty Trust, Inc., REIT | 179,763 | 2,631,730 |
Invitation Homes, Inc., REIT | 484,742 | 16,515,160 |
Mid-America Apartment Communities, Inc., REIT | 91,620 | 11,514,802 |
NexPoint Residential Trust, Inc., REIT | 19,318 | 564,279 |
Sun Communities, Inc., REIT | 98,289 | 13,147,137 |
UDR, Inc., REIT | 258,523 | 9,177,566 |
134,776,383 | ||
Diversified — 19.1% | ||
Alexander & Baldwin, Inc., REIT | 59,656 | 970,007 |
American Assets Trust, Inc., REIT | 42,690 | 920,823 |
Armada Hoffler Properties, Inc., REIT | 57,043 | 580,698 |
Broadstone Net Lease, Inc., REIT | 139,432 | 2,078,931 |
Digital Realty Trust, Inc., REIT | 227,736 | 33,433,922 |
EPR Properties, REIT | 60,292 | 2,476,795 |
Equinix, Inc., REIT | 73,234 | 65,091,844 |
Farmland Partners, Inc., REIT | 44,713 | 527,613 |
Gaming and Leisure Properties, Inc., REIT | 204,501 | 9,300,705 |
Gladstone Commercial Corp., REIT (a) | 34,716 | 429,784 |
Gladstone Land Corp., REIT | 28,901 | 376,002 |
Global Net Lease, Inc., REIT (a) | 158,879 | 1,145,518 |
InvenTrust Properties Corp., REIT | 55,051 | 1,390,038 |
One Liberty Properties, Inc., REIT | 15,342 | 310,522 |
Safehold, Inc., REIT | 38,065 | 765,868 |
UMH Properties, Inc., REIT | 44,518 | 685,577 |
Veris Residential, Inc., REIT | 63,806 | 931,568 |
VICI Properties, Inc., REIT | 762,977 | 22,835,902 |
WP Carey, Inc., REIT | 165,156 | 9,303,237 |
153,555,354 | ||
Health Care — 9.8% | ||
CareTrust REIT, Inc., REIT | 78,657 | 1,774,502 |
Community Healthcare Trust, Inc., REIT | 20,332 | 551,810 |
Diversified Healthcare Trust, REIT | 102,504 | 336,213 |
Global Medical REIT, Inc., REIT | 53,605 | 479,765 |
INVESTMENTS | SHARES | VALUE($) |
Health Care — continued | ||
Healthcare Realty Trust, Inc., REIT | 303,305 | 4,179,543 |
Healthpeak Properties, Inc., REIT | 551,185 | 9,232,349 |
LTC Properties, Inc., REIT | 33,290 | 1,047,303 |
Medical Properties Trust, Inc., REIT (a) | 481,123 | 2,025,528 |
National Health Investors, Inc., REIT | 35,077 | 2,015,875 |
Omega Healthcare Investors, Inc., REIT | 186,560 | 5,805,747 |
Sabra Health Care REIT, Inc., REIT | 185,925 | 2,580,639 |
Universal Health Realty Income Trust, REIT | 11,338 | 439,688 |
Ventas, Inc., REIT | 316,997 | 13,405,803 |
Welltower, Inc., REIT | 384,772 | 35,460,588 |
79,335,353 | ||
Hotels — 4.0% | ||
Apple Hospitality REIT, Inc., REIT | 174,421 | 2,806,434 |
Chatham Lodging Trust, REIT | 40,613 | 414,253 |
DiamondRock Hospitality Co., REIT | 170,227 | 1,600,134 |
Host Hotels & Resorts, Inc., REIT | 567,703 | 11,774,160 |
Park Hotels & Resorts, Inc., REIT | 180,694 | 2,999,520 |
Pebblebrook Hotel Trust, REIT | 106,672 | 1,689,684 |
RLJ Lodging Trust, REIT | 131,778 | 1,564,205 |
Ryman Hospitality Properties, Inc., REIT | 41,834 | 4,956,492 |
Service Properties Trust, REIT | 135,969 | 924,589 |
Summit Hotel Properties, Inc., REIT | 90,524 | 581,164 |
Sunstone Hotel Investors, Inc., REIT | 170,230 | 1,904,874 |
Xenia Hotels & Resorts, Inc., REIT | 93,181 | 1,429,397 |
32,644,906 | ||
Industrial — 16.8% | ||
Americold Realty Trust, Inc., REIT | 214,438 | 5,425,281 |
EastGroup Properties, Inc., REIT | 34,689 | 6,094,510 |
First Industrial Realty Trust, Inc., REIT | 105,248 | 5,578,144 |
Innovative Industrial Properties, Inc., REIT (a) | 22,629 | 2,217,416 |
LXP Industrial Trust, REIT | 222,365 | 1,925,681 |
Plymouth Industrial REIT, Inc., REIT | 35,748 | 771,084 |
Prologis, Inc., REIT | 724,846 | 96,600,227 |
Rexford Industrial Realty, Inc., REIT | 145,856 | 7,421,153 |
STAG Industrial, Inc., REIT | 142,851 | 5,305,486 |
Terreno Realty Corp., REIT | 60,805 | 3,909,762 |
135,248,744 | ||
Office — 6.1% | ||
Alexandria Real Estate Equities, Inc., REIT | 123,622 | 15,419,372 |
Boston Properties, Inc., REIT | 118,495 | 7,668,996 |
Brandywine Realty Trust, REIT | 146,023 | 627,899 |
COPT Defense Properties, REIT | 90,612 | 2,195,529 |
Cousins Properties, Inc., REIT | 121,641 | 2,774,631 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 5 |
INVESTMENTS | SHARES | VALUE($) |
Common Stocks — continued | ||
Office — continued | ||
Douglas Emmett, Inc., REIT (a) | 142,337 | 1,881,695 |
Easterly Government Properties, Inc., REIT (a) | 71,386 | 842,355 |
Empire State Realty Trust, Inc., Class A, REIT | 113,536 | 1,131,954 |
Equity Commonwealth, REIT * | 88,605 | 1,668,432 |
Highwoods Properties, Inc., REIT (a) | 84,992 | 2,078,054 |
Hudson Pacific Properties, Inc., REIT (a) | 118,525 | 751,449 |
JBG SMITH Properties, REIT | 83,548 | 1,385,226 |
Kilroy Realty Corp., REIT | 84,497 | 3,201,591 |
Paramount Group, Inc., REIT | 147,971 | 655,512 |
Peakstone Realty Trust, REIT (a) | 13,749 | 189,324 |
Piedmont Office Realty Trust, Inc., Class A, REIT | 103,757 | 650,556 |
SL Green Realty Corp., REIT (a) | 52,301 | 2,535,553 |
Vornado Realty Trust, REIT (a) | 131,259 | 3,452,112 |
49,110,240 | ||
Regional Malls — 5.1% | ||
CBL & Associates Properties, Inc., REIT (a) | 11,822 | 272,615 |
Macerich Co. (The), REIT (a) | 173,212 | 2,842,409 |
Simon Property Group, Inc., REIT | 238,957 | 35,399,090 |
Tanger, Inc., REIT (a) | 84,358 | 2,430,354 |
40,944,468 | ||
Shopping Centers — 5.7% | ||
Acadia Realty Trust, REIT | 77,860 | 1,276,125 |
Alexander's, Inc., REIT | 2,027 | 448,068 |
Brixmor Property Group, Inc., REIT | 239,070 | 5,405,373 |
Federal Realty Investment Trust, REIT | 58,226 | 5,872,092 |
Kimco Realty Corp., REIT | 533,482 | 10,541,604 |
Kite Realty Group Trust, REIT | 175,212 | 3,751,289 |
NETSTREIT Corp., REIT (a) | 45,661 | 767,562 |
Phillips Edison & Co., Inc., REIT (a) | 93,878 | 3,353,322 |
Regency Centers Corp., REIT | 132,663 | 8,218,473 |
Retail Opportunity Investments Corp., REIT | 101,625 | 1,314,011 |
Saul Centers, Inc., REIT | 12,475 | 451,470 |
SITE Centers Corp., REIT | 154,474 | 2,097,757 |
Urban Edge Properties, REIT | 95,472 | 1,623,979 |
Whitestone, REIT | 41,114 | 506,525 |
45,627,650 | ||
Single Tenant — 5.7% | ||
Agree Realty Corp., REIT | 70,703 | 3,885,130 |
Essential Properties Realty Trust, Inc., REIT | 114,240 | 2,729,194 |
Four Corners Property Trust, Inc., REIT | 68,001 | 1,644,264 |
Getty Realty Corp., REIT | 32,751 | 863,316 |
INVESTMENTS | SHARES | VALUE($) |
Single Tenant — continued | ||
NNN REIT, Inc., REIT | 142,321 | 5,791,041 |
Realty Income Corp., REIT | 598,870 | 31,207,116 |
46,120,061 | ||
Storage — 10.6% | ||
CubeSmart, REIT | 178,509 | 7,784,777 |
Extra Space Storage, Inc., REIT | 166,485 | 23,469,390 |
Iron Mountain, Inc., REIT | 230,578 | 18,132,654 |
National Storage Affiliates Trust, REIT (a) | 69,350 | 2,483,424 |
Public Storage, REIT | 116,701 | 33,127,913 |
84,998,158 | ||
Total Common Stocks (Cost $923,705,972) | 802,361,317 | |
Short-Term Investments — 2.7% | ||
Investment Companies — 0.2% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (b) (c) (Cost $1,720,296) | 1,720,296 | 1,720,296 |
Investment of Cash Collateral from Securities Loaned — 2.5% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.48% (b) (c) | 17,000,099 | 17,005,199 |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (b) (c) | 2,746,649 | 2,746,649 |
Total Investment of Cash Collateral from Securities Loaned (Cost $19,753,548) | 19,751,848 | |
Total Short-Term Investments (Cost $21,473,844) | 21,472,144 | |
Total Investments — 102.3% (Cost $945,179,816) | 823,833,461 | |
Liabilities in Excess of Other Assets — (2.3)% | (18,476,564 ) | |
NET ASSETS — 100.0% | 805,356,897 |
Percentages indicated are based on net assets. |
Abbreviations | |
REIT | Real Estate Investment Trust |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at February 29, 2024. The total value of securities on loan at February 29, 2024 is $19,647,837. |
6 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(c) | The rate shown is the current yield as of February 29, 2024. |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
DJ US Real Estate Index | 69 | 03/15/2024 | USD | 2,357,040 | 43,851 |
Abbreviations | |
USD | United States Dollar |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 7 |
JPMorgan BetaBuilders MSCI US REIT ETF | |
ASSETS: | |
Investments in non-affiliates, at value | $802,361,317 |
Investments in affiliates, at value | 1,720,296 |
Investments of cash collateral received from securities loaned, at value (See Note 2.B.) | 19,751,848 |
Cash | 12,905 |
Deposits at broker for futures contracts | 297,000 |
Receivables: | |
Investment securities sold | 3,005,372 |
Fund shares sold | 212,454 |
Dividends from non-affiliates | 994,587 |
Dividends from affiliates | 248 |
Securities lending income (See Note 2.B.) | 5,199 |
Variation margin on futures contracts | 17,940 |
Total Assets | 828,379,166 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 3,204,111 |
Collateral received on securities loaned (See Note 2.B.) | 19,751,848 |
Accrued liabilities: | |
Management fees (See Note 3.A.) | 66,310 |
Total Liabilities | 23,022,269 |
Net Assets | $805,356,897 |
NET ASSETS: | |
Paid-in-Capital | $992,712,919 |
Total distributable earnings (loss) | (187,356,022 ) |
Total Net Assets | $805,356,897 |
Outstanding number of shares (unlimited number of shares authorized - par value $0.0001) | 9,225,000 |
Net asset value, per share | $87.30 |
Cost of investments in non-affiliates | $923,705,972 |
Cost of investments in affiliates | 1,720,296 |
Investment securities on loan, at value (See Note 2.B.) | 19,647,837 |
Cost of investment of cash collateral (See Note 2.B.) | 19,753,548 |
8 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan BetaBuilders MSCI US REIT ETF | |
INVESTMENT INCOME: | |
Interest income from non-affiliates | $23,185 |
Interest income from affiliates | 39 |
Dividend income from non-affiliates | 27,239,261 |
Dividend income from affiliates | 194,319 |
Income from securities lending (net) (See Note 2.B.) | 77,492 |
Total investment income | 27,534,296 |
EXPENSES: | |
Management fees (See Note 3.A.) | 825,369 |
Interest expense to affiliates | 240 |
Total expenses | 825,609 |
Net investment income (loss) | 26,708,687 |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | (8,876,225 ) |
In-kind redemptions of investments in non-affiliates (See Note 4) | 14,640,396 |
Futures contracts | 225,014 |
Net realized gain (loss) | 5,989,185 |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | 20,192,425 |
Investments in affiliates | (1,700 ) |
Futures contracts | (9,737 ) |
Change in net unrealized appreciation/depreciation | 20,180,988 |
Net realized/unrealized gains (losses) | 26,170,173 |
Change in net assets resulting from operations | $52,878,860 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 9 |
JPMorgan BetaBuilders MSCI US REIT ETF | ||
Year Ended February 29, 2024 | Year Ended February 28, 2023 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||
Net investment income (loss) | $26,708,687 | $31,860,013 |
Net realized gain (loss) | 5,989,185 | 22,039,086 |
Change in net unrealized appreciation/depreciation | 20,180,988 | (193,289,538 ) |
Change in net assets resulting from operations | 52,878,860 | (139,390,439 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||
Total distributions to shareholders | (29,628,917 ) | (24,640,292 ) |
CAPITAL TRANSACTIONS: | ||
Change in net assets resulting from capital transactions | 40,742,629 | (451,881,328 ) |
NET ASSETS: | ||
Change in net assets | 63,992,572 | (615,912,059 ) |
Beginning of period | 741,364,325 | 1,357,276,384 |
End of period | $805,356,897 | $741,364,325 |
CAPITAL TRANSACTIONS: | ||
Proceeds from shares issued | $197,506,477 | $456,973,055 |
Cost of shares redeemed | (156,763,848 ) | (908,854,383 ) |
Total change in net assets resulting from capital transactions | $40,742,629 | $(451,881,328 ) |
SHARE TRANSACTIONS: | ||
Issued | 2,450,000 | 4,900,000 |
Redeemed | (1,850,000 ) | (9,850,000 ) |
Net increase (decrease) in shares from share transactions | 600,000 | (4,950,000 ) |
10 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan BetaBuilders MSCI US REIT ETF | |||||||
Year Ended February 29, 2024 | $85.96 | $2.94 | $1.69 | $4.63 | $(3.29 ) | $— | $(3.29 ) |
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 (d) | 2.35 | (2.51 ) | — | (2.51 ) |
Year Ended February 29, 2020 | 81.21 | 2.55 | 0.80 (d) | 3.35 | (1.85 ) | (0.09 ) | (1.94 ) |
(a) | Calculated based upon average shares outstanding. |
(b) | 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. |
(c) | 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. |
(d) | 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. |
(e) | 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. |
12 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Ratios/Supplemental data | ||||||||
Ratios to average net assets | ||||||||
Net asset value, end of period | Market price, end of period | Total return (b) | Market price total return (c) | Net assets, end of period | Net expenses | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$87.30 | $87.21 | 5.61 % | 5.46 % | $805,356,897 | 0.11 % | 3.54 % | 0.11 % | 4 % |
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 (e) | 5 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 13 |
14 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Total Investments in Securities (a) | $823,833,461 | $— | $— | $823,833,461 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts (a) | $43,851 | $— | $— | $43,851 |
(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) | |
$19,647,837 | $(19,647,837 ) | $— |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 15 |
For the year ended February 29, 2024 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.48% (a) (b) | $20 | $272,000,000 | $254,999,320 | $6,199 * | $(1,700 ) | $17,005,199 | 17,000,099 | $1,473,266 * | $— |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (a) (b) | 3,129,388 | 176,567,802 | 176,950,541 | — | — | 2,746,649 | 2,746,649 | 236,987 * | — |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (a) (b) | 2,659,750 | 59,579,877 | 60,519,331 | — | — | 1,720,296 | 1,720,296 | 194,319 | — |
Total | $5,789,158 | $508,147,679 | $492,469,192 | $6,199 | $(1,700 ) | $21,472,144 | $1,904,572 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
* | 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 29, 2024 |
Futures Contracts: | |
Average Notional Balance Long | $4,574,762 |
Ending Notional Balance Long | 2,357,040 |
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
$12,400,430 | $(85,991 ) | $(12,314,439 ) |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 17 |
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |
$37,686,284 | $33,121,608 |
In-Kind Purchases | In-Kind Sales | |
$195,336,329 | $155,403,770 |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
$951,754,764 | $35,554,786 | $163,432,238 | $(127,877,452 ) |
18 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Ordinary Income* | Total Distributions Paid | |
$29,628,917 | $29,628,917 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Ordinary Income* | Total Distributions Paid | |
$24,640,292 | $24,640,292 |
* | 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) | |
$4,431,975 | $(62,673,790 ) | $(127,877,452 ) |
Capital Loss Carryforward Character | ||
Short-Term | Long-Term | |
$33,957,253 | $28,716,537 |
Net Capital Losses (Gains) | ||
Short-Term | Long-Term | |
$(306,151 ) | $1,440,379 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 19 |
JPMorgan SmartRetirement Funds | JPMorgan SmartRetirement Blend Funds | |
10.5 % | 28.0 % |
20 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 21 |
22 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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). | 167 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-2023); 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). | 167 | None |
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). | 167 | 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). | 167 | 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). | 167 | None |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 23 |
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 (continued) | |||
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). | 167 | None |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 167 | 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. | 167 | (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). | 167 | 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). | 167 | None |
Marilyn McCoy (1948); Trustee since 1999. | Retired; Vice President of Administration and Planning, Northwestern University (1985-2023). | 167 | None |
24 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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 (continued) | |||
Dr. Robert A. Oden, Jr. (1946); Trustee since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 167 | 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). | 167 | 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. | 167 | 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). | 167 | 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. | 167 | 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 eight registered investment companies (167 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. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 25 |
** | 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. |
26 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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) | Managing Director, J.P. Morgan Investment Management Inc. 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. Mr. House has been with J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2023) | Vice President, J.P. Morgan Investment Management Inc. Mr. Mannarino has been with J.P. Morgan Investment Management Inc. since 2014. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 27 |
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)* | Executive Director, 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 September 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 29, 2024 |
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan BetaBuilders MSCI US REIT ETF | ||||
Actual | $1,000.00 | $1,057.60 | $0.56 | 0.11 % |
Hypothetical | 1,000.00 | 1,024.32 | 0.55 | 0.11 |
* | Expenses are equal to the Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 29 |
30 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Qualified Business Income | |
JPMorgan BetaBuilders MSCI US REIT ETF | $24,826,441 |
February 29, 2024 | 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, Inc. |
1 | |
2 | |
3 | |
3 | |
6 | |
10 | |
29 | |
36 | |
38 | |
53 | |
54 | |
58 | |
60 | |
61 | |
62 |
“The global economic outlook for the year ahead remains positive and financial markets appear more resilient than a year ago.” — 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 29, 2024 | J.P. Morgan Exchange-Traded Funds | 1 |
2 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 3.88% |
Market Price ** | 3.86% |
Bloomberg 1-10 Year U.S. TIPS Index | 3.67% |
Bloomberg U.S. Intermediate Aggregate Index | 3.69% |
Net Assets as of 2/29/2024 | $660,950,209 |
Duration as of 2/29/2024 | 4.6 Years |
Fund Ticker | JCPI |
PORTFOLIO COMPOSITION AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
Corporate Bonds | 24.8% |
Mortgage-Backed Securities | 23.2 |
U.S. Treasury Obligations | 18.1 |
Asset-Backed Securities | 9.3 |
Collateralized Mortgage Obligations | 5.7 |
Commercial Mortgage-Backed Securities | 5.3 |
Others (each less than 1.0%) | 0.2 |
Short-Term Investments | 13.4 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 3 |
4 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INCEPTION DATE | 1 YEAR | 5 YEAR | 10 YEAR | |
JPMorgan Inflation Managed Bond ETF | ||||
Net Asset Value | November 30, 2010* | 3.88 % | 2.47 % | 1.75 % |
Market Price | 3.86 | 2.50 | 1.77 |
* | Inception date for Class R6 Shares of the Predecessor Fund (as defined below). |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 5 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 4.54% |
Market Price ** | 4.28% |
FTSE NAREIT All Equity REITs Index 1 | 4.29% |
MSCI US REIT Index | 5.58% |
Net Assets as of 2/29/2024 | $328,078,273 |
Fund Ticker | JPRE |
During the period, the Fund’s largest allocations were to the technology and hotels sectors and its smallest allocations were
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS | |
1. | American Tower Corp. | 10.2 % |
2. | Equinix, Inc. | 8.4 |
3. | Prologis, Inc. | 8.1 |
4. | Digital Realty Trust, Inc. | 7.3 |
5. | Welltower, Inc. | 5.9 |
6. | Equity Residential | 5.0 |
7. | Ventas, Inc. | 4.7 |
8. | Kimco Realty Corp. | 4.5 |
9. | SBA Communications Corp. | 4.0 |
10. | Agree Realty Corp. | 3.1 |
6 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
PORTFOLIO COMPOSITION BY SECTOR AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
Diversified | 31.5% |
Health Care | 15.7 |
Apartments | 13.0 |
Industrial | 13.0 |
Shopping Centers | 6.4 |
Storage | 5.5 |
Office | 4.4 |
Single Tenant | 4.1 |
Hotels | 2.0 |
Others (each less than 1.0%) | 1.1 |
Short-Term Investments | 3.3 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 7 |
INCEPTION DATE | 1 YEAR | 5 YEAR | 10 YEAR | |
JPMorgan Realty Income ETF | ||||
Net Asset Value | May 15, 2006* | 4.54 % | 5.18 % | 6.24 % |
Market Price | 4.28 | 5.15 | 6.23 |
* | Inception date for Class R5 Shares of the Predecessor Fund (as defined below). |
8 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 9 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 28.1% | ||
Aerospace & Defense — 0.7% | ||
BAE Systems plc (United Kingdom) 3.40%, 4/15/2030 (a) | 400,000 | 362,292 |
Boeing Co. (The) | ||
2.75%, 2/1/2026 | 782,000 | 742,613 |
3.10%, 5/1/2026 | 931,000 | 886,951 |
L3Harris Technologies, Inc. 3.85%, 12/15/2026 | 425,000 | 410,508 |
Leidos, Inc. 2.30%, 2/15/2031 | 767,000 | 628,650 |
RTX Corp. | ||
3.15%, 12/15/2024 | 216,000 | 211,886 |
5.75%, 1/15/2029 | 1,500,000 | 1,544,476 |
4,787,376 | ||
Automobile Components — 0.0% ^ | ||
Lear Corp. 2.60%, 1/15/2032 | 222,000 | 179,671 |
Automobiles — 0.5% | ||
Hyundai Capital America | ||
3.00%, 2/10/2027 (a) | 903,000 | 847,296 |
2.38%, 10/15/2027 (a) | 919,000 | 831,766 |
Nissan Motor Acceptance Co. LLC 2.45%, 9/15/2028 (a) | 400,000 | 342,192 |
Nissan Motor Co. Ltd. (Japan) 4.81%, 9/17/2030 (a) | 800,000 | 736,588 |
Stellantis Finance US, Inc. 2.69%, 9/15/2031 (a) | 678,000 | 561,103 |
3,318,945 | ||
Banks — 8.2% | ||
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (a) (b) | 900,000 | 782,776 |
AIB Group plc (Ireland) (SOFR + 2.33%), 6.61%, 9/13/2029 (a) (b) | 264,000 | 273,935 |
Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (a) (c) | 1,550,000 | 1,505,330 |
Banco Santander SA (Spain) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (b) | 200,000 | 180,954 |
2.75%, 12/3/2030 | 1,600,000 | 1,301,402 |
Bank of America Corp. | ||
(SOFR + 1.15%), 1.32%, 6/19/2026 (b) | 21,000 | 19,877 |
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (b) | 178,000 | 165,165 |
(3-MONTH CME TERM SOFR + 1.84%), 3.82%, 1/20/2028 (b) | 937,000 | 900,034 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
(SOFR + 1.63%), 5.20%, 4/25/2029 (b) | 1,147,000 | 1,140,787 |
(SOFR + 1.53%), 1.90%, 7/23/2031 (b) | 2,777,000 | 2,253,846 |
(SOFR + 1.65%), 5.47%, 1/23/2035 (b) | 1,707,000 | 1,702,062 |
Bank of Ireland Group plc (Ireland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (a) (b) | 1,525,000 | 1,387,155 |
Bank of Montreal (Canada) 2.65%, 3/8/2027 | 40,000 | 37,350 |
Banque Federative du Credit Mutuel SA (France) 5.90%, 7/13/2026 (a) | 757,000 | 766,861 |
Barclays plc (United Kingdom) | ||
(SOFR + 1.88%), 6.50%, 9/13/2027 (b) | 699,000 | 711,288 |
(SOFR + 2.98%), 6.22%, 5/9/2034 (b) | 300,000 | 303,744 |
BNP Paribas SA (France) | ||
(SOFR + 2.07%), 2.22%, 6/9/2026 (a) (b) | 500,000 | 478,647 |
(SOFR + 1.23%), 2.59%, 1/20/2028 (a) (b) | 300,000 | 276,745 |
BPCE SA (France) | ||
(SOFR + 1.09%), 2.05%, 10/19/2027 (a) (b) | 964,000 | 874,865 |
(SOFR + 1.31%), 2.28%, 1/20/2032 (a) (b) | 1,194,000 | 955,710 |
Citigroup, Inc. | ||
(SOFR + 0.77%), 1.12%, 1/28/2027 (b) | 1,056,000 | 973,201 |
4.45%, 9/29/2027 | 472,000 | 457,205 |
(3-MONTH CME TERM SOFR + 1.82%), 3.89%, 1/10/2028 (b) | 90,000 | 86,501 |
(SOFR + 1.17%), 2.56%, 5/1/2032 (b) | 1,200,000 | 987,992 |
(3-MONTH CME TERM SOFR + 1.43%), 3.88%, 1/24/2039 (b) | 456,000 | 383,741 |
Cooperatieve Rabobank UA (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.98%, 12/15/2027 (a) (b) | 750,000 | 680,386 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.56%, 2/28/2029 (a) (b) | 250,000 | 250,871 |
Credit Agricole SA (France) | ||
(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (b) | 1,500,000 | 1,429,179 |
(SOFR + 1.69%), 5.34%, 1/10/2030 (a) (b) | 800,000 | 793,599 |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (a) (b) | 407,000 | 408,606 |
Discover Bank | ||
2.45%, 9/12/2024 | 650,000 | 638,823 |
10 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
3.45%, 7/27/2026 | 447,000 | 423,927 |
DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.61%, 3/30/2028 (a) (b) | 1,000,000 | 890,207 |
Fifth Third Bancorp | ||
3.95%, 3/14/2028 | 500,000 | 475,609 |
(SOFR + 1.84%), 5.63%, 1/29/2032 (b) | 66,000 | 65,409 |
Fifth Third Bank NA 2.25%, 2/1/2027 | 250,000 | 229,376 |
HSBC Holdings plc (United Kingdom) | ||
(3-MONTH CME TERM SOFR + 1.61%), 4.29%, 9/12/2026 (b) | 1,250,000 | 1,225,187 |
(SOFR + 1.73%), 2.01%, 9/22/2028 (b) | 300,000 | 265,788 |
(3-MONTH CME TERM SOFR + 1.87%), 3.97%, 5/22/2030 (b) | 640,000 | 593,425 |
(SOFR + 2.39%), 2.85%, 6/4/2031 (b) | 1,141,000 | 971,148 |
(SOFR + 1.78%), 5.72%, 3/4/2035 (b) | 800,000 | 797,209 |
ING Groep NV (Netherlands) (SOFR + 1.01%), 1.73%, 4/1/2027 (b) | 880,000 | 814,624 |
KeyBank NA 3.30%, 6/1/2025 | 250,000 | 240,637 |
KeyCorp (SOFRINDX + 1.25%), 3.88%, 5/23/2025 (b) | 184,000 | 182,131 |
Lloyds Banking Group plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.44%, 2/5/2026 (b) | 1,150,000 | 1,114,026 |
3.75%, 1/11/2027 | 469,000 | 450,050 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
1.41%, 7/17/2025 | 400,000 | 378,851 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (b) | 600,000 | 553,855 |
Mizuho Financial Group Cayman 3 Ltd. (Japan) 4.60%, 3/27/2024 (a) (c) | 800,000 | 799,135 |
Mizuho Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.12%), 5.38%, 5/26/2030 (b) | 1,750,000 | 1,750,689 |
Morgan Stanley Bank NA 4.75%, 4/21/2026 | 520,000 | 516,700 |
National Australia Bank Ltd. (Australia) 2.33%, 8/21/2030 (a) (c) | 850,000 | 695,389 |
National Bank of Canada (Canada) 5.60%, 12/18/2028 | 400,000 | 404,052 |
NatWest Group plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.64%, 6/14/2027 (b) | 286,000 | 261,353 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.78%, 3/1/2035 (b) | 320,000 | 319,364 |
PNC Financial Services Group, Inc. (The) | ||
(SOFRINDX + 1.09%), 4.76%, 1/26/2027 (b) | 573,000 | 566,107 |
(SOFR + 1.34%), 5.30%, 1/21/2028 (b) | 340,000 | 339,576 |
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 (b) | 1,200,000 | 1,124,832 |
(SOFR + 2.75%), 6.83%, 11/21/2026 (b) | 200,000 | 203,050 |
(SOFR + 2.60%), 6.53%, 1/10/2029 (b) | 750,000 | 769,061 |
Societe Generale SA (France) | ||
2.63%, 1/22/2025 (a) | 700,000 | 680,097 |
4.25%, 4/14/2025 (a) | 400,000 | 391,338 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (b) | 1,737,000 | 1,582,118 |
Standard Chartered plc (United Kingdom) | ||
(3-MONTH SOFR + 1.21%), 2.82%, 1/30/2026 (a) (b) | 800,000 | 775,840 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.10%, 1/11/2035 (a) (b) | 630,000 | 633,043 |
Sumitomo Mitsui Financial Group, Inc. (Japan) 1.90%, 9/17/2028 | 1,300,000 | 1,131,282 |
Toronto-Dominion Bank (The) (Canada) 1.15%, 6/12/2025 | 40,000 | 37,967 |
Truist Bank 3.30%, 5/15/2026 | 1,000,000 | 953,921 |
Truist Financial Corp. | ||
(SOFR + 2.45%), 7.16%, 10/30/2029 (b) | 275,000 | 291,053 |
(SOFR + 1.62%), 5.44%, 1/24/2030 (b) | 500,000 | 494,532 |
UniCredit SpA (Italy) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (b) | 835,000 | 766,297 |
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (a) (b) | 600,000 | 581,528 |
US Bancorp | ||
(SOFR + 1.56%), 5.38%, 1/23/2030 (b) | 125,000 | 124,298 |
(SOFR + 1.86%), 5.68%, 1/23/2035 (b) | 127,000 | 126,705 |
Wachovia Corp. 7.57%, 8/1/2026 (d) | 366,000 | 383,976 |
Wells Fargo & Co. | ||
(SOFR + 2.10%), 2.39%, 6/2/2028 (b) | 700,000 | 638,457 |
(SOFR + 1.50%), 5.20%, 1/23/2030 (b) | 2,206,000 | 2,187,052 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 11 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(3-MONTH CME TERM SOFR + 1.43%), 2.88%, 10/30/2030 (b) | 637,000 | 558,634 |
Westpac Banking Corp. (Australia) | ||
5.54%, 11/17/2028 | 1,000,000 | 1,023,451 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (b) (c) | 540,000 | 523,579 |
54,414,572 | ||
Biotechnology — 0.4% | ||
AbbVie, Inc. | ||
2.95%, 11/21/2026 | 1,277,000 | 1,210,803 |
3.20%, 11/21/2029 | 800,000 | 731,944 |
5.05%, 3/15/2034 | 245,000 | 246,220 |
Amgen, Inc. 5.25%, 3/2/2030 | 200,000 | 201,486 |
Gilead Sciences, Inc. 3.50%, 2/1/2025 | 35,000 | 34,391 |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 481,000 | 389,095 |
2,813,939 | ||
Broadline Retail — 0.0% ^ | ||
eBay, Inc. 2.60%, 5/10/2031 | 50,000 | 42,402 |
Capital Markets — 2.2% | ||
Brookfield Finance, Inc. (Canada) 4.25%, 6/2/2026 | 362,000 | 355,466 |
Credit Suisse AG (Switzerland) | ||
3.63%, 9/9/2024 | 1,920,000 | 1,900,950 |
1.25%, 8/7/2026 | 250,000 | 226,665 |
Deutsche Bank AG (Germany) | ||
(SOFR + 2.52%), 7.15%, 7/13/2027 (b) | 190,000 | 195,157 |
(SOFR + 1.32%), 2.55%, 1/7/2028 (b) | 700,000 | 638,276 |
(SOFR + 1.72%), 3.04%, 5/28/2032 (b) | 1,126,000 | 931,077 |
Goldman Sachs Group, Inc. (The) | ||
4.25%, 10/21/2025 | 237,000 | 232,802 |
3.50%, 11/16/2026 | 1,185,000 | 1,136,622 |
(SOFR + 1.09%), 1.99%, 1/27/2032 (b) | 512,000 | 410,541 |
(SOFR + 1.28%), 2.62%, 4/22/2032 (b) | 2,000,000 | 1,662,961 |
Invesco Finance plc 3.75%, 1/15/2026 | 386,000 | 375,140 |
Macquarie Group Ltd. (Australia) | ||
(3-MONTH SOFR + 1.75%), 5.03%, 1/15/2030 (a) (b) | 200,000 | 197,407 |
(SOFR + 2.30%), 6.26%, 12/7/2034 (a) (b) | 300,000 | 310,407 |
Morgan Stanley | ||
(SOFR + 1.99%), 2.19%, 4/28/2026 (b) | 40,000 | 38,494 |
4.35%, 9/8/2026 | 1,163,000 | 1,136,784 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Capital Markets — continued | ||
(SOFR + 1.45%), 5.17%, 1/16/2030 (b) | 2,440,000 | 2,424,681 |
(SOFR + 1.02%), 1.93%, 4/28/2032 (b) | 110,000 | 87,209 |
Nasdaq, Inc. 5.55%, 2/15/2034 | 138,000 | 138,934 |
Nomura Holdings, Inc. (Japan) | ||
2.33%, 1/22/2027 | 800,000 | 733,880 |
2.68%, 7/16/2030 | 753,000 | 636,660 |
UBS Group AG (Switzerland) | ||
(SOFR + 2.04%), 2.19%, 6/5/2026 (a) (b) | 250,000 | 239,206 |
(SOFRINDX + 0.98%), 1.31%, 2/2/2027 (a) (b) | 900,000 | 827,445 |
14,836,764 | ||
Chemicals — 0.2% | ||
Albemarle Corp. 5.05%, 6/1/2032 | 540,000 | 512,795 |
RPM International, Inc. 2.95%, 1/15/2032 | 438,000 | 369,922 |
Westlake Corp. 3.60%, 8/15/2026 | 400,000 | 384,851 |
1,267,568 | ||
Communications Equipment — 0.0% ^ | ||
Cisco Systems, Inc. 5.05%, 2/26/2034 | 283,000 | 284,868 |
Construction & Engineering — 0.1% | ||
Quanta Services, Inc. 2.35%, 1/15/2032 | 446,000 | 357,224 |
Construction Materials — 0.0% ^ | ||
Martin Marietta Materials, Inc. Series CB, 2.50%, 3/15/2030 | 40,000 | 34,666 |
Consumer Finance — 1.9% | ||
AerCap Ireland Capital DAC (Ireland) | ||
2.45%, 10/29/2026 | 1,404,000 | 1,295,037 |
3.00%, 10/29/2028 | 1,835,000 | 1,648,869 |
American Express Co. (SOFR + 1.33%), 6.34%, 10/30/2026 (b) | 490,000 | 497,456 |
Avolon Holdings Funding Ltd. (Ireland) | ||
2.13%, 2/21/2026 (a) | 692,000 | 639,193 |
4.25%, 4/15/2026 (a) | 832,000 | 802,331 |
4.38%, 5/1/2026 (a) | 1,063,000 | 1,023,106 |
2.53%, 11/18/2027 (a) | 4,393,000 | 3,857,845 |
Capital One Financial Corp. | ||
(SOFR + 1.37%), 4.17%, 5/9/2025 (b) | 394,000 | 392,445 |
(SOFR + 1.27%), 2.62%, 11/2/2032 (b) | 709,000 | 567,320 |
General Motors Financial Co., Inc. | ||
1.20%, 10/15/2024 | 420,000 | 408,406 |
2.35%, 1/8/2031 | 1,590,000 | 1,296,659 |
Mitsubishi HC Finance America LLC (Japan) 5.81%, 9/12/2028 (a) | 200,000 | 203,374 |
12,632,041 |
12 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Consumer Staples Distribution & Retail — 0.1% | ||
7-Eleven, Inc. 1.80%, 2/10/2031 (a) | 505,000 | 402,369 |
Walmart, Inc. 4.10%, 4/15/2033 | 200,000 | 190,572 |
592,941 | ||
Containers & Packaging — 0.1% | ||
Graphic Packaging International LLC 1.51%, 4/15/2026 (a) | 453,000 | 414,090 |
WRKCo, Inc. 4.90%, 3/15/2029 | 150,000 | 148,621 |
562,711 | ||
Diversified REITs — 0.3% | ||
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a) | 163,000 | 150,715 |
Safehold GL Holdings LLC 2.80%, 6/15/2031 | 682,000 | 554,151 |
Simon Property Group LP 2.45%, 9/13/2029 | 200,000 | 174,420 |
WP Carey, Inc. | ||
2.40%, 2/1/2031 | 800,000 | 658,432 |
2.25%, 4/1/2033 | 893,000 | 676,732 |
2,214,450 | ||
Diversified Telecommunication Services — 0.5% | ||
AT&T, Inc. 1.65%, 2/1/2028 | 881,000 | 775,194 |
NBN Co. Ltd. (Australia) 2.63%, 5/5/2031 (a) | 1,100,000 | 930,906 |
Sprint Capital Corp. 6.88%, 11/15/2028 | 155,000 | 164,875 |
Verizon Communications, Inc. | ||
2.63%, 8/15/2026 | 793,000 | 747,641 |
1.68%, 10/30/2030 | 870,000 | 701,371 |
3,319,987 | ||
Electric Utilities — 1.9% | ||
Alabama Power Co. 5.85%, 11/15/2033 | 500,000 | 523,144 |
American Electric Power Co., Inc. | ||
2.03%, 3/15/2024 | 179,000 | 178,774 |
5.63%, 3/1/2033 | 500,000 | 503,605 |
Arizona Public Service Co. 3.35%, 6/15/2024 | 322,000 | 319,711 |
Atlantic City Electric Co. 4.00%, 10/15/2028 | 20,000 | 19,267 |
CenterPoint Energy Houston Electric LLC Series AA, 3.00%, 2/1/2027 | 310,000 | 294,006 |
Cleveland Electric Illuminating Co. (The) | ||
5.50%, 8/15/2024 | 10,000 | 9,990 |
3.50%, 4/1/2028 (a) | 386,000 | 359,467 |
4.55%, 11/15/2030 (a) | 290,000 | 270,165 |
Connecticut Light and Power Co. (The) Series A, 3.20%, 3/15/2027 | 20,000 | 19,030 |
DTE Electric Co. 3.38%, 3/1/2025 | 100,000 | 98,150 |
Duke Energy Carolinas LLC 6.45%, 10/15/2032 | 50,000 | 54,169 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Electric Utilities — continued | ||
Duke Energy Indiana LLC 5.25%, 3/1/2034 | 450,000 | 448,830 |
Duke Energy Ohio, Inc. 5.25%, 4/1/2033 | 73,000 | 73,057 |
Duquesne Light Holdings, Inc. | ||
2.53%, 10/1/2030 (a) | 421,000 | 347,596 |
2.78%, 1/7/2032 (a) | 554,000 | 449,178 |
Edison International 3.55%, 11/15/2024 | 714,000 | 702,801 |
Entergy Louisiana LLC 1.60%, 12/15/2030 | 100,000 | 79,237 |
Evergy, Inc. 2.90%, 9/15/2029 | 418,000 | 370,333 |
Fells Point Funding Trust 3.05%, 1/31/2027 (a) | 864,000 | 808,444 |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 721,000 | 681,070 |
Interstate Power and Light Co. 4.10%, 9/26/2028 | 30,000 | 28,736 |
ITC Holdings Corp. 2.95%, 5/14/2030 (a) | 251,000 | 219,069 |
Kentucky Utilities Co. 3.30%, 10/1/2025 | 200,000 | 193,152 |
NextEra Energy Capital Holdings, Inc. 2.25%, 6/1/2030 | 200,000 | 168,188 |
Niagara Mohawk Power Corp. | ||
3.51%, 10/1/2024 (a) | 640,000 | 630,926 |
1.96%, 6/27/2030 (a) | 500,000 | 408,621 |
NRG Energy, Inc. 2.45%, 12/2/2027 (a) | 805,000 | 718,983 |
Pacific Gas and Electric Co. | ||
2.95%, 3/1/2026 | 458,000 | 434,644 |
4.55%, 7/1/2030 | 778,999 | 731,117 |
Pennsylvania Electric Co. 3.25%, 3/15/2028 (a) | 256,000 | 236,287 |
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036 | 848,000 | 789,300 |
Potomac Electric Power Co. 5.20%, 3/15/2034 | 172,000 | 171,114 |
SCE Recovery Funding LLC Series A-2, 1.94%, 5/15/2038 | 285,000 | 208,465 |
Southern Co. (The) 5.70%, 3/15/2034 | 207,000 | 210,868 |
Southwestern Electric Power Co. Series M, 4.10%, 9/15/2028 | 10,000 | 9,584 |
Tampa Electric Co. 4.90%, 3/1/2029 | 274,000 | 272,546 |
Virginia Electric and Power Co. Series A, 3.50%, 3/15/2027 | 210,000 | 201,095 |
Wisconsin Electric Power Co. 3.10%, 6/1/2025 | 400,000 | 389,118 |
12,631,837 | ||
Electrical Equipment — 0.0% ^ | ||
Eaton Corp. 3.10%, 9/15/2027 | 50,000 | 47,325 |
Electronic Equipment, Instruments & Components — 0.1% | ||
Arrow Electronics, Inc. 3.88%, 1/12/2028 | 958,000 | 905,017 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 13 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Energy Equipment & Services — 0.0% ^ | ||
Halliburton Co. 2.92%, 3/1/2030 | 200,000 | 177,642 |
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (a) | 39,000 | 37,400 |
215,042 | ||
Financial Services — 0.5% | ||
Corebridge Financial, Inc. 3.65%, 4/5/2027 | 300,000 | 284,663 |
Fiserv, Inc. 5.35%, 3/15/2031 | 850,000 | 850,742 |
Global Payments, Inc. | ||
2.15%, 1/15/2027 | 901,000 | 826,901 |
3.20%, 8/15/2029 | 200,000 | 178,123 |
LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (a) | 890,000 | 791,696 |
Nationwide Building Society (United Kingdom) 4.85%, 7/27/2027 (a) | 300,000 | 296,426 |
3,228,551 | ||
Food Products — 0.3% | ||
Bimbo Bakeries USA, Inc. (Mexico) 6.05%, 1/15/2029 (a) | 500,000 | 513,740 |
General Mills, Inc. 4.95%, 3/29/2033 | 151,000 | 148,240 |
J M Smucker Co. (The) 6.20%, 11/15/2033 | 264,000 | 279,039 |
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 | 89,000 | 87,348 |
Smithfield Foods, Inc. | ||
5.20%, 4/1/2029 (a) | 376,000 | 360,767 |
3.00%, 10/15/2030 (a) | 600,000 | 493,987 |
1,883,121 | ||
Gas Utilities — 0.1% | ||
Atmos Energy Corp. 2.63%, 9/15/2029 | 300,000 | 267,025 |
ONE Gas, Inc. 2.00%, 5/15/2030 | 248,000 | 206,578 |
473,603 | ||
Ground Transportation — 0.5% | ||
Canadian Pacific Railway Co. (Canada) 2.05%, 3/5/2030 | 200,000 | 168,625 |
ERAC USA Finance LLC 3.85%, 11/15/2024 (a) | 416,000 | 410,667 |
Penske Truck Leasing Co. LP | ||
5.75%, 5/24/2026 (a) | 219,000 | 220,137 |
5.55%, 5/1/2028 (a) | 1,218,000 | 1,225,360 |
Triton Container International Ltd. (Bermuda) | ||
2.05%, 4/15/2026 (a) | 637,000 | 582,403 |
3.25%, 3/15/2032 | 1,108,000 | 878,832 |
3,486,024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Health Care Equipment & Supplies — 0.0% ^ | ||
Becton Dickinson & Co. 3.36%, 6/6/2024 | 46,000 | 45,701 |
Health Care Providers & Services — 0.5% | ||
CommonSpirit Health | ||
3.35%, 10/1/2029 | 455,000 | 413,727 |
2.78%, 10/1/2030 | 171,000 | 146,423 |
CVS Health Corp. 1.88%, 2/28/2031 | 581,000 | 467,204 |
HCA, Inc. | ||
5.25%, 6/15/2026 | 20,000 | 19,878 |
4.13%, 6/15/2029 | 764,000 | 719,351 |
2.38%, 7/15/2031 | 600,000 | 488,292 |
Humana, Inc. 3.95%, 3/15/2027 | 292,000 | 282,029 |
Quest Diagnostics, Inc. | ||
3.45%, 6/1/2026 | 300,000 | 288,668 |
2.95%, 6/30/2030 | 93,000 | 81,988 |
2.80%, 6/30/2031 | 287,000 | 245,398 |
UnitedHealth Group, Inc. 3.38%, 4/15/2027 | 220,000 | 211,484 |
3,364,442 | ||
Health Care REITs — 0.6% | ||
Healthcare Realty Holdings LP | ||
3.10%, 2/15/2030 | 469,000 | 403,674 |
2.00%, 3/15/2031 | 429,000 | 336,290 |
Healthpeak OP LLC 2.13%, 12/1/2028 | 470,000 | 408,713 |
Physicians Realty LP 2.63%, 11/1/2031 | 409,000 | 332,978 |
Sabra Health Care LP 3.20%, 12/1/2031 | 1,040,000 | 843,220 |
Ventas Realty LP | ||
3.50%, 2/1/2025 | 110,000 | 107,780 |
4.13%, 1/15/2026 | 45,000 | 43,791 |
3.25%, 10/15/2026 | 529,000 | 499,399 |
Welltower OP LLC 2.75%, 1/15/2032 | 904,000 | 752,013 |
3,727,858 | ||
Hotels, Restaurants & Leisure — 0.2% | ||
Expedia Group, Inc. 3.25%, 2/15/2030 | 1,255,000 | 1,118,043 |
Industrial REITs — 0.1% | ||
Prologis LP 4.75%, 6/15/2033 | 707,000 | 685,554 |
Insurance — 0.8% | ||
Aon North America, Inc. 5.45%, 3/1/2034 | 800,000 | 800,506 |
Athene Global Funding 2.72%, 1/7/2029 (a) | 1,054,000 | 916,578 |
CNO Global Funding | ||
1.75%, 10/7/2026 (a) | 531,000 | 479,033 |
2.65%, 1/6/2029 (a) | 200,000 | 172,878 |
F&G Global Funding 2.30%, 4/11/2027 (a) | 1,004,000 | 898,936 |
Five Corners Funding Trust II 2.85%, 5/15/2030 (a) | 400,000 | 346,730 |
14 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Insurance — continued | ||
Guardian Life Global Funding 0.88%, 12/10/2025 (a) | 512,000 | 473,401 |
Manulife Financial Corp. (Canada) 4.15%, 3/4/2026 | 389,000 | 381,344 |
Marsh & McLennan Cos., Inc. 3.88%, 3/15/2024 | 30,000 | 29,983 |
Principal Financial Group, Inc. | ||
3.10%, 11/15/2026 | 20,000 | 18,963 |
3.70%, 5/15/2029 | 30,000 | 27,986 |
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (a) | 650,000 | 667,297 |
5,213,635 | ||
Leisure Products — 0.1% | ||
Hasbro, Inc. 3.90%, 11/19/2029 | 592,000 | 542,535 |
Media — 0.7% | ||
Charter Communications Operating LLC 4.91%, 7/23/2025 | 1,614,000 | 1,591,667 |
Comcast Corp. 4.15%, 10/15/2028 | 1,244,000 | 1,206,798 |
Discovery Communications LLC 3.95%, 3/20/2028 | 1,452,000 | 1,359,391 |
Paramount Global 2.90%, 1/15/2027 | 246,000 | 221,643 |
Time Warner Cable Enterprises LLC 8.38%, 7/15/2033 | 346,000 | 383,987 |
4,763,486 | ||
Metals & Mining — 0.2% | ||
Glencore Funding LLC (Australia) | ||
2.50%, 9/1/2030 (a) | 260,000 | 220,083 |
2.85%, 4/27/2031 (a) | 650,000 | 553,871 |
Steel Dynamics, Inc. 1.65%, 10/15/2027 | 324,000 | 287,448 |
1,061,402 | ||
Multi-Utilities — 0.4% | ||
Ameren Corp. 5.00%, 1/15/2029 | 650,000 | 644,477 |
CenterPoint Energy, Inc. 1.45%, 6/1/2026 | 288,000 | 265,281 |
CMS Energy Corp. 2.95%, 2/15/2027 | 170,000 | 157,832 |
Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028 | 10,000 | 9,502 |
Consumers Energy Co. 4.63%, 5/15/2033 | 300,000 | 289,839 |
NiSource, Inc. 5.25%, 3/30/2028 | 366,000 | 367,612 |
PG&E Energy Recovery Funding LLC Series A-2, 2.28%, 1/15/2036 | 225,000 | 175,481 |
Public Service Enterprise Group, Inc. 1.60%, 8/15/2030 | 300,000 | 241,115 |
Puget Energy, Inc. 2.38%, 6/15/2028 | 234,000 | 207,886 |
2,359,025 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Office REITs — 0.3% | ||
Alexandria Real Estate Equities, Inc. 3.38%, 8/15/2031 | 883,000 | 777,364 |
COPT Defense Properties LP 2.00%, 1/15/2029 | 457,000 | 378,509 |
Kilroy Realty LP 2.65%, 11/15/2033 | 1,092,000 | 795,158 |
1,951,031 | ||
Oil, Gas & Consumable Fuels — 1.9% | ||
Aker BP ASA (Norway) 2.00%, 7/15/2026 (a) | 222,000 | 204,472 |
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (a) | 624,000 | 608,946 |
BP Capital Markets America, Inc. 2.72%, 1/12/2032 | 100,000 | 84,853 |
Cameron LNG LLC 2.90%, 7/15/2031 (a) | 146,000 | 125,779 |
Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025 | 272,000 | 271,993 |
Columbia Pipelines Holding Co. LLC 5.68%, 1/15/2034 (a) | 84,000 | 82,382 |
Coterra Energy, Inc. 3.90%, 5/15/2027 | 724,000 | 696,275 |
Eastern Energy Gas Holdings LLC Series A, 2.50%, 11/15/2024 | 650,000 | 636,245 |
Ecopetrol SA (Colombia) 5.38%, 6/26/2026 | 795,000 | 782,359 |
Enbridge, Inc. (Canada) 5.70%, 3/8/2033 | 799,000 | 808,014 |
Energy Transfer LP | ||
5.95%, 12/1/2025 | 446,000 | 448,679 |
4.40%, 3/15/2027 | 400,000 | 389,826 |
5.50%, 6/1/2027 | 244,000 | 244,836 |
Enterprise Products Operating LLC 3.95%, 2/15/2027 | 392,000 | 382,522 |
Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (a) | 1,816,000 | 1,476,560 |
Gray Oak Pipeline LLC | ||
2.60%, 10/15/2025 (a) | 312,000 | 296,823 |
3.45%, 10/15/2027 (a) | 637,000 | 593,431 |
HF Sinclair Corp. 5.88%, 4/1/2026 | 600,000 | 601,854 |
MPLX LP | ||
4.13%, 3/1/2027 | 458,000 | 444,098 |
4.25%, 12/1/2027 | 118,000 | 114,202 |
2.65%, 8/15/2030 | 300,000 | 255,427 |
5.00%, 3/1/2033 | 350,000 | 334,779 |
NGPL PipeCo LLC 3.25%, 7/15/2031 (a) | 471,000 | 401,901 |
Ovintiv, Inc. 5.38%, 1/1/2026 | 420,000 | 417,965 |
Pioneer Natural Resources Co. 1.90%, 8/15/2030 | 400,000 | 333,195 |
Plains All American Pipeline LP | ||
4.65%, 10/15/2025 | 357,000 | 352,318 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 15 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
3.55%, 12/15/2029 | 300,000 | 272,184 |
Sabine Pass Liquefaction LLC 4.50%, 5/15/2030 | 550,000 | 526,302 |
Suncor Energy, Inc. (Canada) 5.95%, 12/1/2034 | 216,000 | 224,870 |
Targa Resources Partners LP 4.00%, 1/15/2032 | 253,000 | 225,766 |
12,638,856 | ||
Passenger Airlines — 0.0% ^ | ||
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | 102,068 | 100,557 |
Pharmaceuticals — 0.3% | ||
Astrazeneca Finance LLC (United Kingdom) 5.00%, 2/26/2034 | 345,000 | 346,158 |
Bristol-Myers Squibb Co. | ||
3.40%, 7/26/2029 | 30,000 | 27,973 |
5.20%, 2/22/2034 | 787,000 | 793,394 |
Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030 | 600,000 | 504,996 |
1,672,521 | ||
Real Estate Management & Development — 0.1% | ||
Mitsui Fudosan Co. Ltd. (Japan) 3.65%, 7/20/2027 (a) | 519,000 | 494,165 |
Ontario Teachers' Cadillac Fairview Properties Trust (Canada) 3.88%, 3/20/2027 (a) | 325,000 | 306,228 |
800,393 | ||
Residential REITs — 0.3% | ||
Essex Portfolio LP 1.65%, 1/15/2031 | 679,000 | 530,790 |
Mid-America Apartments LP 1.70%, 2/15/2031 | 487,000 | 388,080 |
UDR, Inc. | ||
3.20%, 1/15/2030 | 260,000 | 232,553 |
2.10%, 8/1/2032 | 266,000 | 205,660 |
2.10%, 6/15/2033 | 1,150,000 | 869,994 |
2,227,077 | ||
Retail REITs — 0.5% | ||
Brixmor Operating Partnership LP | ||
3.85%, 2/1/2025 | 375,000 | 367,843 |
2.25%, 4/1/2028 | 186,000 | 164,565 |
2.50%, 8/16/2031 | 440,000 | 358,290 |
NNN REIT, Inc. | ||
3.60%, 12/15/2026 | 247,000 | 235,098 |
4.30%, 10/15/2028 | 870,000 | 835,434 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Retail REITs — continued | ||
Realty Income Corp. 4.13%, 10/15/2026 | 200,000 | 194,706 |
Regency Centers LP | ||
2.95%, 9/15/2029 | 300,000 | 265,556 |
3.70%, 6/15/2030 | 350,000 | 319,066 |
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (a) | 350,000 | 343,053 |
SITE Centers Corp. 3.63%, 2/1/2025 | 100,000 | 98,380 |
3,181,991 | ||
Semiconductors & Semiconductor Equipment — 0.4% | ||
Broadcom, Inc. | ||
4.11%, 9/15/2028 | 792,000 | 759,343 |
3.14%, 11/15/2035 (a) | 200,000 | 158,757 |
KLA Corp. 4.70%, 2/1/2034 | 178,000 | 173,315 |
Marvell Technology, Inc. 2.95%, 4/15/2031 | 422,000 | 361,697 |
NXP BV (China) 2.50%, 5/11/2031 | 1,058,000 | 873,294 |
2,326,406 | ||
Software — 0.3% | ||
Oracle Corp. | ||
2.65%, 7/15/2026 | 60,000 | 56,512 |
4.50%, 5/6/2028 | 295,000 | 289,285 |
2.88%, 3/25/2031 | 502,000 | 432,937 |
6.50%, 4/15/2038 | 50,000 | 53,439 |
Roper Technologies, Inc. | ||
3.80%, 12/15/2026 | 427,000 | 412,955 |
1.40%, 9/15/2027 | 200,000 | 176,853 |
Workday, Inc. 3.50%, 4/1/2027 | 300,000 | 285,862 |
1,707,843 | ||
Specialized REITs — 0.6% | ||
American Tower Corp. 1.45%, 9/15/2026 | 1,678,000 | 1,525,194 |
Crown Castle, Inc. 4.45%, 2/15/2026 | 578,000 | 567,149 |
Equinix, Inc. 2.90%, 11/18/2026 | 605,000 | 569,579 |
Extra Space Storage LP | ||
2.20%, 10/15/2030 | 1,010,000 | 825,713 |
2.35%, 3/15/2032 | 467,000 | 370,488 |
3,858,123 | ||
Specialty Retail — 0.2% | ||
AutoZone, Inc. 1.65%, 1/15/2031 | 565,000 | 449,552 |
Lowe's Cos., Inc. | ||
3.75%, 4/1/2032 | 320,000 | 290,774 |
5.15%, 7/1/2033 | 200,000 | 199,124 |
O'Reilly Automotive, Inc. | ||
5.75%, 11/20/2026 | 195,000 | 197,759 |
16 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Specialty Retail — continued | ||
3.60%, 9/1/2027 | 203,000 | 193,382 |
1.75%, 3/15/2031 | 200,000 | 160,301 |
1,490,892 | ||
Tobacco — 0.3% | ||
Altria Group, Inc. 2.45%, 2/4/2032 | 832,000 | 666,340 |
BAT Capital Corp. (United Kingdom) | ||
3.22%, 8/15/2024 | 516,000 | 509,911 |
2.26%, 3/25/2028 | 816,000 | 722,096 |
1,898,347 | ||
Trading Companies & Distributors — 0.3% | ||
Air Lease Corp. | ||
1.88%, 8/15/2026 | 345,000 | 316,800 |
3.63%, 4/1/2027 | 757,000 | 711,283 |
Aviation Capital Group LLC 5.50%, 12/15/2024 (a) | 422,000 | 419,969 |
BOC Aviation Ltd. (China) 3.50%, 10/10/2024 (a) | 200,000 | 197,318 |
1,645,370 | ||
Water Utilities — 0.1% | ||
American Water Capital Corp. | ||
3.85%, 3/1/2024 | 20,000 | 20,000 |
5.15%, 3/1/2034 | 800,000 | 793,361 |
813,361 | ||
Wireless Telecommunication Services — 0.3% | ||
Rogers Communications, Inc. (Canada) 3.80%, 3/15/2032 | 774,000 | 687,867 |
T-Mobile USA, Inc. | ||
4.95%, 3/15/2028 | 440,000 | 437,444 |
3.88%, 4/15/2030 | 1,184,000 | 1,099,008 |
2,224,319 | ||
Total Corporate Bonds (Cost $196,098,250) | 185,949,413 | |
Mortgage-Backed Securities — 26.4% | ||
FHLMC Gold Pools, 20 Year | ||
Pool # C91030, 5.50%, 5/1/2027 | 15,760 | 15,737 |
Pool # C91802, 3.50%, 1/1/2035 | 1,874,456 | 1,776,013 |
FHLMC Gold Pools, 30 Year | ||
Pool # A15232, 5.00%, 10/1/2033 | 89,162 | 88,603 |
Pool # A57681, 6.00%, 12/1/2036 | 573 | 592 |
Pool # G06493, 4.50%, 5/1/2041 | 374,585 | 365,880 |
FHLMC Gold Pools, Other | ||
Pool # WN1157, 1.80%, 11/1/2028 | 1,000,000 | 873,857 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # U90690, 3.50%, 6/1/2042 | 392,219 | 353,535 |
FHLMC UMBS, 30 Year | ||
Pool # ZM6956, 4.50%, 6/1/2048 | 762,353 | 735,286 |
Pool # RA5276, 2.50%, 5/1/2051 | 3,874,214 | 3,217,539 |
Pool # QC3244, 3.00%, 6/1/2051 | 2,480,481 | 2,131,968 |
Pool # QC7410, 2.50%, 9/1/2051 | 1,518,918 | 1,263,171 |
Pool # RA5906, 2.50%, 9/1/2051 | 1,362,237 | 1,133,025 |
Pool # RA6702, 3.00%, 2/1/2052 | 3,425,848 | 2,933,545 |
Pool # RA7937, 5.00%, 9/1/2052 | 3,609,343 | 3,504,044 |
FNMA UMBS, 20 Year | ||
Pool # MA1138, 3.50%, 8/1/2032 | 302,432 | 288,070 |
Pool # AP9584, 3.00%, 10/1/2032 | 1,448,173 | 1,363,456 |
FNMA UMBS, 30 Year | ||
Pool # AL0045, 6.00%, 12/1/2032 | 130,173 | 133,016 |
Pool # 735503, 6.00%, 4/1/2035 | 35,121 | 36,140 |
Pool # 888460, 6.50%, 10/1/2036 | 226,559 | 236,875 |
Pool # 888890, 6.50%, 10/1/2037 | 4,981 | 5,214 |
Pool # 949320, 7.00%, 10/1/2037 | 19,501 | 20,021 |
Pool # 995149, 6.50%, 10/1/2038 | 11,647 | 11,871 |
Pool # 994410, 7.00%, 11/1/2038 | 125,182 | 128,524 |
Pool # AD9151, 5.00%, 8/1/2040 | 199,712 | 198,207 |
Pool # AE0681, 4.50%, 12/1/2040 | 454,699 | 443,497 |
Pool # BM3500, 4.00%, 9/1/2047 | 752,519 | 720,125 |
Pool # BM3499, 4.00%, 12/1/2047 | 966,770 | 907,340 |
Pool # BE8354, 4.00%, 3/1/2048 | 415,607 | 388,040 |
Pool # CA6989, 2.50%, 9/1/2050 | 2,170,135 | 1,818,173 |
Pool # FS5384, 2.50%, 6/1/2051 | 1,912,081 | 1,592,944 |
Pool # FM7957, 2.50%, 7/1/2051 (e) | 3,168,341 | 2,640,001 |
Pool # FS6514, 2.50%, 9/1/2051 | 1,168,634 | 972,425 |
Pool # CB1878, 3.00%, 10/1/2051 | 2,666,839 | 2,297,241 |
Pool # CB2637, 2.50%, 1/1/2052 | 2,324,704 | 1,920,073 |
Pool # CB2670, 3.00%, 1/1/2052 | 2,158,463 | 1,848,513 |
Pool # FS5986, 2.50%, 2/1/2052 | 1,716,057 | 1,425,634 |
Pool # FS0882, 2.50%, 3/1/2052 | 865,566 | 722,714 |
Pool # CB3378, 4.00%, 4/1/2052 | 1,964,804 | 1,808,830 |
Pool # CB3629, 4.00%, 5/1/2052 | 4,531,386 | 4,174,627 |
Pool # DA4015, 6.00%, 10/1/2053 | 607,616 | 610,335 |
FNMA, Other | ||
Pool # AN1247, 2.64%, 6/1/2026 | 1,576,000 | 1,495,841 |
Pool # AN6732, 2.83%, 5/1/2027 | 1,170,490 | 1,100,442 |
Pool # AN7338, 3.06%, 11/1/2027 | 945,055 | 889,837 |
Pool # AN7943, 3.10%, 1/1/2028 | 2,367,045 | 2,224,361 |
Pool # AN1161, 3.05%, 4/1/2028 | 932,326 | 871,326 |
Pool # BS8224, 4.10%, 5/1/2028 | 3,775,000 | 3,679,767 |
Pool # AN9486, 3.57%, 6/1/2028 | 3,680,323 | 3,508,565 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 17 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # AN2069, 2.35%, 8/1/2028 | 1,373,090 | 1,245,486 |
Pool # BL0907, 3.88%, 12/1/2028 | 700,000 | 669,766 |
Pool # BM4162, 3.12%, 10/1/2029 (f) | 126,679 | 117,906 |
Pool # BL4333, 2.52%, 11/1/2029 | 1,130,075 | 1,008,989 |
Pool # BS8252, 4.36%, 4/1/2030 | 3,495,000 | 3,419,331 |
Pool # BM7037, 1.75%, 3/1/2032 (f) | 999,096 | 801,657 |
Pool # BS5117, 2.58%, 3/1/2032 | 2,393,690 | 2,048,910 |
Pool # BS8503, 4.62%, 5/1/2033 | 1,000,000 | 986,287 |
Pool # BS2933, 1.82%, 9/1/2033 | 3,400,000 | 2,629,549 |
Pool # MA1125, 4.00%, 7/1/2042 | 507,952 | 478,843 |
Pool # MA1437, 3.50%, 5/1/2043 | 707,562 | 643,789 |
Pool # MA1463, 3.50%, 6/1/2043 | 680,482 | 619,146 |
Pool # BF0669, 4.00%, 6/1/2052 | 2,103,542 | 1,945,713 |
Pool # BF0230, 5.50%, 1/1/2058 | 3,118,817 | 3,183,666 |
Pool # BM6734, 4.00%, 8/1/2059 | 3,603,424 | 3,334,569 |
Pool # BF0497, 3.00%, 7/1/2060 | 1,756,998 | 1,455,587 |
Pool # BF0546, 2.50%, 7/1/2061 | 841,459 | 668,686 |
Pool # BF0617, 2.50%, 3/1/2062 | 2,080,271 | 1,653,769 |
FNMA/FHLMC UMBS, Single Family, 30 Year | ||
TBA, 2.50%, 4/25/2054 (e) | 37,205,000 | 30,600,605 |
TBA, 3.00%, 4/25/2054 (e) | 30,655,000 | 26,245,415 |
TBA, 5.50%, 4/25/2054 (e) | 17,650,000 | 17,460,279 |
TBA, 6.00%, 4/25/2054 (e) | 13,030,000 | 13,082,309 |
GNMA II, 30 Year | ||
Pool # 4245, 6.00%, 9/20/2038 | 59,784 | 62,851 |
Pool # BA7567, 4.50%, 5/20/2048 | 635,102 | 605,179 |
Pool # BI0416, 4.50%, 11/20/2048 | 73,425 | 70,646 |
Pool # BM9692, 4.50%, 7/20/2049 | 268,152 | 256,857 |
Total Mortgage-Backed Securities (Cost $179,463,028) | 174,170,630 | |
U.S. Treasury Obligations — 20.5% | ||
U.S. Treasury Inflation Indexed Notes 0.25%, 1/15/2025 (g) | 16,687,106 | 16,396,306 |
U.S. Treasury Inflation Linked Notes | ||
0.13%, 10/15/2025 (g) | 10,266,225 | 9,964,387 |
0.13%, 4/15/2026 (g) | 34,083,014 | 32,658,189 |
2.38%, 10/15/2028 | 44,936,408 | 45,987,168 |
1.75%, 1/15/2034 | 31,049,658 | 30,593,080 |
Total U.S. Treasury Obligations (Cost $135,156,005) | 135,599,130 | |
Asset-Backed Securities — 10.6% | ||
ACM Auto Trust Series 2023-1A, Class A, 6.61%, 1/22/2030 (a) | 14,967 | 14,976 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Air Canada Pass-Through Trust (Canada) | ||
Series 2013-1, Class A, 4.13%, 5/15/2025 (a) | 263,098 | 255,694 |
Series 2017-1, Class AA, 3.30%, 1/15/2030 (a) | 354,890 | 320,517 |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (a) | 1,966,000 | 1,776,753 |
American Airlines Pass-Through Trust | ||
Series 2016-3, Class AA, 3.00%, 10/15/2028 | 73,946 | 67,184 |
Series 2021-1, Class B, 3.95%, 7/11/2030 | 962,745 | 882,124 |
American Credit Acceptance Receivables Trust | ||
Series 2023-2, Class A, 5.89%, 10/13/2026 (a) | 165,640 | 165,704 |
Series 2023-1, Class C, 5.59%, 4/12/2029 (a) | 799,000 | 795,272 |
AmeriCredit Automobile Receivables Trust | ||
Series 2020-3, Class B, 0.76%, 12/18/2025 | 193,709 | 192,662 |
Series 2021-2, Class B, 0.69%, 1/19/2027 | 704,000 | 683,180 |
AMSR Trust | ||
Series 2020-SFR4, Class A, 1.36%, 11/17/2037 (a) | 2,019,000 | 1,887,473 |
Series 2020-SFR5, Class A, 1.38%, 11/17/2037 (a) | 526,971 | 492,432 |
Amur Equipment Finance Receivables LLC Series 2022-1A, Class A2, 1.64%, 10/20/2027 (a) | 649,269 | 632,876 |
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026 (a) | 710,000 | 682,297 |
Business Jet Securities LLC | ||
Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (a) | 90,267 | 87,504 |
Series 2022-1A, Class A, 4.46%, 6/15/2037 ‡ (a) | 906,660 | 875,842 |
CarMax Auto Owner Trust | ||
Series 2021-1, Class A3, 0.34%, 12/15/2025 | 516,344 | 508,917 |
Series 2023-4, Class A3, 6.00%, 7/17/2028 | 241,000 | 245,425 |
Carvana Auto Receivables Trust | ||
Series 2021-P3, Class A3, 0.70%, 11/10/2026 | 737,714 | 714,787 |
Series 2023-N1, Class A, 6.36%, 4/12/2027 (a) | 519,550 | 520,659 |
Series 2022-P3, Class A3, 4.61%, 11/10/2027 | 245,000 | 242,453 |
18 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2021-P4, Class A4, 1.64%, 12/10/2027 | 2,700,000 | 2,508,289 |
CoreVest American Finance Trust | ||
Series 2019-3, Class A, 2.71%, 10/15/2052 (a) | 134,954 | 131,632 |
Series 2022-1, Class A, 4.74%, 6/17/2055 (a) (f) | 505,064 | 497,421 |
CPS Auto Receivables Trust | ||
Series 2023-A, Class C, 5.54%, 4/16/2029 (a) | 651,000 | 646,376 |
Series 2022-C, Class B, 4.88%, 4/15/2030 (a) | 2,200,000 | 2,188,736 |
Credit Acceptance Auto Loan Trust | ||
Series 2021-3A, Class A, 1.00%, 5/15/2030 (a) | 208,366 | 206,486 |
Series 2023-1A, Class B, 7.02%, 5/16/2033 (a) | 2,100,000 | 2,126,184 |
DT Auto Owner Trust | ||
Series 2022-2A, Class A, 2.88%, 6/15/2026 (a) | 23,559 | 23,538 |
Series 2021-3A, Class C, 0.87%, 5/17/2027 (a) | 969,838 | 953,491 |
Series 2021-4A, Class D, 1.99%, 9/15/2027 (a) | 760,000 | 711,120 |
Series 2023-1A, Class C, 5.55%, 10/16/2028 (a) | 1,798,000 | 1,788,888 |
Series 2023-2A, Class B, 5.41%, 2/15/2029 (a) | 756,000 | 750,846 |
Exeter Automobile Receivables Trust | ||
Series 2022-5A, Class B, 5.97%, 3/15/2027 | 1,392,000 | 1,391,165 |
Series 2023-5A, Class A3, 6.32%, 3/15/2027 | 471,000 | 474,769 |
Series 2022-4A, Class C, 4.92%, 12/15/2028 | 1,076,000 | 1,065,353 |
Series 2023-1A, Class D, 6.69%, 6/15/2029 | 243,000 | 245,881 |
FHF Trust Series 2023-1A, Class A2, 6.57%, 6/15/2028 (a) | 513,126 | 515,549 |
FirstKey Homes Trust | ||
Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (a) | 1,040,452 | 969,753 |
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (a) | 600,000 | 541,438 |
Series 2021-SFR2, Class D, 2.06%, 9/17/2038 (a) | 2,900,000 | 2,609,762 |
Flagship Credit Auto Trust | ||
Series 2021-4, Class A, 0.81%, 7/17/2026 (a) | 199,868 | 197,524 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2022-1, Class A, 1.79%, 10/15/2026 (a) | 531,014 | 523,660 |
Series 2023-1, Class A2, 5.38%, 12/15/2026 (a) | 102,993 | 102,732 |
Series 2023-2, Class A2, 5.76%, 4/15/2027 (a) | 961,648 | 959,978 |
Series 2023-1, Class C, 5.43%, 5/15/2029 (a) | 1,800,000 | 1,780,296 |
FRTKL Series 2021-SFR1, Class A, 1.57%, 9/17/2038 (a) | 2,118,000 | 1,920,034 |
GLS Auto Receivables Issuer Trust Series 2021-3A, Class C, 1.11%, 9/15/2026 (a) | 672,843 | 661,433 |
GM Financial Consumer Automobile Receivables Trust Series 2021-1, Class A3, 0.35%, 10/16/2025 | 64,690 | 64,064 |
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (a) | 112,642 | 99,769 |
Hertz Vehicle Financing LLC Series 2022-1A, Class A, 1.99%, 6/25/2026 (a) | 922,000 | 886,366 |
Home Partners of America Trust Series 2022-1, Class D, 4.73%, 4/17/2039 (a) | 1,153,988 | 1,078,419 |
Kubota Credit Owner Trust Series 2023-1A, Class A3, 5.02%, 6/15/2027 (a) | 1,063,000 | 1,059,742 |
Lendmark Funding Trust Series 2022-1A, Class A, 5.12%, 7/20/2032 (a) | 177,000 | 174,982 |
LP LMS Asset Securitization Trust Series 2023-1A, Class A, 8.18%, 10/17/2033 (a) | 456,617 | 458,273 |
MVW LLC | ||
Series 2021-2A, Class A, 1.43%, 5/20/2039 (a) | 585,446 | 540,090 |
Series 2021-1WA, Class A, 1.14%, 1/22/2041 (a) | 112,326 | 104,176 |
OneMain Direct Auto Receivables Trust Series 2023-1A, Class A, 5.41%, 11/14/2029 (a) | 1,534,000 | 1,533,893 |
PRET LLC Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (d) | 503,604 | 496,157 |
Progress Residential Trust | ||
Series 2020-SFR3, Class B, 1.50%, 10/17/2027 (a) | 785,000 | 731,545 |
Series 2021-SFR2, Class E1, 2.55%, 4/19/2038 (a) | 350,000 | 320,470 |
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a) | 1,144,000 | 1,024,407 |
Series 2021-SFR11, Class A, 2.28%, 1/17/2039 (a) | 1,995,577 | 1,739,303 |
Series 2023-SFR1, Class A, 4.30%, 3/17/2040 (a) | 1,252,224 | 1,210,065 |
Series 2021-SFR9, Class E1, 2.81%, 11/17/2040 (a) | 1,048,000 | 883,263 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 19 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
PRPM LLC Series 2021-10, Class A1, 2.49%, 10/25/2026 (a) (d) | 563,914 | 552,228 |
Santander Drive Auto Receivables Trust | ||
Series 2022-5, Class B, 4.43%, 3/15/2027 | 562,000 | 556,706 |
Series 2023-1, Class B, 4.98%, 2/15/2028 | 440,000 | 437,012 |
Series 2023-5, Class B, 6.16%, 12/17/2029 | 740,000 | 754,261 |
Santander Retail Auto Lease Trust Series 2022-A, Class A3, 1.34%, 7/21/2025 (a) | 431,044 | 425,955 |
SCF Equipment Leasing LLC Series 2022-2A, Class A3, 6.50%, 10/21/2030 (a) | 1,780,000 | 1,797,905 |
Sierra Timeshare Receivables Funding LLC Series 2022-2A, Class A, 4.73%, 6/20/2040 (a) | 70,420 | 69,231 |
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 | 102,939 | 88,815 |
SpringCastle America Funding LLC Series 2020-AA, Class A, 1.97%, 9/25/2037 (a) | 172,884 | 159,990 |
Toyota Auto Receivables Owner Trust | ||
Series 2021-A, Class A3, 0.26%, 5/15/2025 | 169,455 | 168,308 |
Series 2020-C, Class A4, 0.57%, 10/15/2025 | 280,298 | 277,455 |
Series 2021-C, Class A4, 0.72%, 1/15/2027 | 800,000 | 750,764 |
United Airlines Pass-Through Trust | ||
Series 2016-1, Class AA, 3.10%, 7/7/2028 | 698,414 | 639,977 |
Series 2016-2, Class AA, 2.88%, 10/7/2028 | 731,185 | 662,047 |
Series 2018-1, Class AA, 3.50%, 3/1/2030 | 464,372 | 426,210 |
Series 2018-1, Class A, 3.70%, 3/1/2030 | 776,647 | 696,020 |
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 (a) | 191,331 | 186,674 |
VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (a) (d) | 334,325 | 321,479 |
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (a) (d) | 675,005 | 647,152 |
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (a) (d) | 661,189 | 610,517 |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 4.89%, 2/27/2051 (a) (d) | 561,701 | 544,962 |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (d) | 753,181 | 736,057 |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (a) (d) | 450,160 | 437,147 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 5.12%, 3/27/2051 (a) (d) | 727,095 | 711,335 |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (d) | 970,625 | 950,459 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Westgate Resorts LLC Series 2022-1A, Class A, 1.79%, 8/20/2036 (a) | 628,249 | 600,892 |
Westlake Automobile Receivables Trust | ||
Series 2022-3A, Class A3, 5.49%, 7/15/2026 (a) | 2,196,000 | 2,193,436 |
Series 2021-3A, Class D, 2.12%, 1/15/2027 (a) | 806,000 | 768,247 |
Series 2023-1A, Class A3, 5.21%, 1/18/2028 (a) | 450,000 | 448,551 |
Series 2023-1A, Class C, 5.74%, 8/15/2028 (a) | 180,000 | 179,774 |
World Omni Auto Receivables Trust | ||
Series 2021-A, Class A3, 0.30%, 1/15/2026 | 355,870 | 350,365 |
Series 2021-C, Class A3, 0.44%, 8/17/2026 | 370,633 | 359,956 |
Series 2023-D, Class A3, 5.79%, 2/15/2029 | 275,000 | 279,391 |
Total Asset-Backed Securities (Cost $72,254,967) | 69,731,327 | |
Collateralized Mortgage Obligations — 6.5% | ||
CHL Mortgage Pass-Through Trust Series 2004-8, Class 2A1, 4.50%, 6/25/2019 ‡ | 414 | 244 |
Citigroup Mortgage Loan Trust Series 2004-HYB4, Class WA, 6.25%, 12/25/2034 (f) | 6,347 | 6,034 |
Citigroup Mortgage Loan Trust, Inc. Series 2003-1, Class 3A4, 5.25%, 9/25/2033 | 3,738 | 3,468 |
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27, Class 5A4, 5.25%, 11/25/2033 | 209 | 202 |
CSMC Trust Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (a) (d) | 678,235 | 669,541 |
FHLMC, REMIC | ||
Series 3521, Class B, 4.00%, 4/15/2024 | 2,893 | 2,884 |
Series 3544, Class BC, 4.00%, 6/15/2024 | 384 | 382 |
Series 3546, Class NB, 4.00%, 6/15/2024 | 26,619 | 26,504 |
Series 3562, Class JC, 4.00%, 8/15/2024 | 27,750 | 27,591 |
Series 3563, Class BD, 4.00%, 8/15/2024 | 11,813 | 11,755 |
Series 3571, Class MY, 4.00%, 9/15/2024 | 7,412 | 7,373 |
Series 3575, Class EB, 4.00%, 9/15/2024 | 6,995 | 6,956 |
Series 3577, Class B, 4.00%, 9/15/2024 | 32,945 | 32,738 |
Series 3578, Class KB, 4.00%, 9/15/2024 | 4,098 | 4,073 |
Series 2989, Class TG, 5.00%, 6/15/2025 | 31,862 | 31,669 |
Series 2988, Class TY, 5.50%, 6/15/2025 | 2,146 | 2,135 |
Series 3816, Class HA, 3.50%, 11/15/2025 | 289,993 | 285,186 |
20 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 3087, Class KX, 5.50%, 12/15/2025 | 7,226 | 7,187 |
Series 3787, Class AY, 3.50%, 1/15/2026 | 111,461 | 109,441 |
Series 3794, Class LB, 3.50%, 1/15/2026 | 81,784 | 80,262 |
Series 3102, Class CE, 5.50%, 1/15/2026 | 49,140 | 48,874 |
Series 3123, Class HT, 5.00%, 3/15/2026 | 10,183 | 10,107 |
Series 3121, Class JD, 5.50%, 3/15/2026 | 4,092 | 4,071 |
Series 3150, Class EQ, 5.00%, 5/15/2026 | 23,191 | 23,007 |
Series 3898, Class KH, 3.50%, 6/15/2026 | 138,359 | 135,453 |
Series 3885, Class AC, 4.00%, 6/15/2026 | 24,629 | 24,441 |
Series 3911, Class B, 3.50%, 8/15/2026 | 148,679 | 145,698 |
Series 3959, Class PB, 3.00%, 11/15/2026 | 974,611 | 947,439 |
Series 3337, Class MD, 5.50%, 6/15/2027 | 12,108 | 12,058 |
Series 2110, Class PG, 6.00%, 1/15/2029 | 32,270 | 32,329 |
Series 3563, Class LB, 4.00%, 8/15/2029 | 5,512 | 5,366 |
Series 3653, Class B, 4.50%, 4/15/2030 | 51,931 | 51,336 |
Series 3824, Class EY, 3.50%, 3/15/2031 | 136,215 | 131,141 |
Series 2525, Class AM, 4.50%, 4/15/2032 | 293,602 | 285,416 |
Series 2441, Class GF, 6.50%, 4/15/2032 | 9,870 | 10,183 |
Series 2436, Class MC, 7.00%, 4/15/2032 | 4,843 | 4,917 |
Series 2760, Class KT, 4.50%, 9/15/2032 | 36,720 | 36,072 |
Series 2505, Class D, 5.50%, 9/15/2032 | 40,800 | 41,009 |
Series 2544, Class KE, 5.50%, 12/15/2032 | 27,372 | 27,555 |
Series 2557, Class HL, 5.30%, 1/15/2033 | 69,083 | 68,448 |
Series 2575, Class PE, 5.50%, 2/15/2033 | 21,287 | 21,512 |
Series 2586, Class WG, 4.00%, 3/15/2033 | 84,061 | 81,358 |
Series 2596, Class QD, 4.00%, 3/15/2033 | 74,334 | 70,745 |
Series 2621, Class QH, 5.00%, 5/15/2033 | 85,519 | 85,202 |
Series 2624, Class QH, 5.00%, 6/15/2033 | 103,044 | 102,668 |
Series 2648, Class BK, 5.00%, 7/15/2033 | 9,032 | 9,008 |
Series 4238, Class UY, 3.00%, 8/15/2033 | 2,070,828 | 1,945,444 |
Series 2673, Class PE, 5.50%, 9/15/2033 | 164,197 | 166,028 |
Series 2696, Class DG, 5.50%, 10/15/2033 | 154,332 | 156,076 |
Series 2725, Class TA, 4.50%, 12/15/2033 | 282,401 | 273,728 |
Series 2733, Class ME, 5.00%, 1/15/2034 | 140,793 | 140,323 |
Series 2768, Class PK, 5.00%, 3/15/2034 | 149,192 | 148,060 |
Series 2934, Class KG, 5.00%, 2/15/2035 | 110,315 | 110,053 |
Series 3077, Class TO, PO, 4/15/2035 | 2,037 | 1,996 |
Series 2960, Class JH, 5.50%, 4/15/2035 | 315,404 | 318,647 |
Series 3082, Class PW, 5.50%, 12/15/2035 | 23,119 | 23,387 |
Series 3084, Class BH, 5.50%, 12/15/2035 | 472,430 | 480,172 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 3098, Class KG, 5.50%, 1/15/2036 | 491,162 | 499,361 |
Series 3136, Class CO, PO, 4/15/2036 | 8,527 | 7,315 |
Series 3145, Class AJ, 5.50%, 4/15/2036 | 18,650 | 18,974 |
Series 3819, Class ZQ, 6.00%, 4/15/2036 | 331,083 | 341,024 |
Series 3200, PO, 8/15/2036 | 37,908 | 31,078 |
Series 3270, Class AT, 5.50%, 1/15/2037 | 12,668 | 12,819 |
Series 3272, Class PA, 6.00%, 2/15/2037 | 3,478 | 3,604 |
Series 3348, Class HT, 6.00%, 7/15/2037 | 32,852 | 34,013 |
Series 3501, Class A, 4.50%, 1/15/2039 | 87,490 | 83,749 |
Series 3508, Class PK, 4.00%, 2/15/2039 | 1,655 | 1,554 |
Series 3513, Class A, 4.50%, 2/15/2039 | 7,539 | 7,232 |
Series 3653, Class HJ, 5.00%, 4/15/2040 | 370,267 | 369,767 |
Series 3677, Class KB, 4.50%, 5/15/2040 | 641,428 | 622,039 |
Series 3677, Class PB, 4.50%, 5/15/2040 | 308,637 | 301,148 |
Series 3715, Class PC, 4.50%, 8/15/2040 | 107,762 | 105,754 |
Series 3955, Class HB, 3.00%, 12/15/2040 | 51,494 | 49,797 |
Series 3828, Class PU, 4.50%, 3/15/2041 | 38,732 | 37,722 |
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (f) | 123,545 | 122,888 |
Series 3956, Class EB, 3.25%, 11/15/2041 | 693,467 | 627,938 |
Series 3963, Class JB, 4.50%, 11/15/2041 | 1,019,269 | 984,286 |
Series 4026, Class MQ, 4.00%, 4/15/2042 | 38,327 | 36,779 |
Series 4616, Class HP, 3.00%, 9/15/2046 | 941,976 | 831,957 |
Series 3688, Class GT, 7.54%, 11/15/2046 (f) | 17,491 | 18,497 |
FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042 | 415,710 | 384,714 |
FNMA, REMIC | ||
Series 2004-44, Class KT, 6.00%, 6/25/2024 | 3 | 3 |
Series 2004-53, Class NC, 5.50%, 7/25/2024 | 145 | 144 |
Series 2010-49, Class KB, 4.00%, 5/25/2025 | 25,522 | 25,283 |
Series 2010-41, Class DC, 4.50%, 5/25/2025 | 887 | 880 |
Series 1997-57, Class PN, 5.00%, 9/18/2027 | 31,806 | 31,248 |
Series 2009-39, Class LB, 4.50%, 6/25/2029 | 39,138 | 38,417 |
Series 2009-96, Class DB, 4.00%, 11/25/2029 | 42,734 | 41,793 |
Series 2010-28, Class DE, 5.00%, 4/25/2030 | 125,108 | 124,905 |
Series 2001-63, Class TC, 6.00%, 12/25/2031 | 28,270 | 28,761 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 21 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 2001-81, Class HE, 6.50%, 1/25/2032 | 69,049 | 71,109 |
Series 2002-75, Class GB, 5.50%, 11/25/2032 | 30,101 | 29,575 |
Series 2011-39, Class ZA, 6.00%, 11/25/2032 | 291,912 | 297,316 |
Series 2002-85, Class PE, 5.50%, 12/25/2032 | 23,014 | 23,273 |
Series 2003-21, Class OU, 5.50%, 3/25/2033 | 19,214 | 19,398 |
Series 2003-26, Class EB, 3.50%, 4/25/2033 | 484,873 | 451,125 |
Series 2003-23, Class CH, 5.00%, 4/25/2033 | 18,580 | 18,482 |
Series 2003-63, Class YB, 5.00%, 7/25/2033 | 64,055 | 63,717 |
Series 2003-69, Class N, 5.00%, 7/25/2033 | 123,096 | 122,483 |
Series 2003-80, Class QG, 5.00%, 8/25/2033 | 164,959 | 164,107 |
Series 2003-85, Class QD, 5.50%, 9/25/2033 | 66,225 | 66,842 |
Series 2003-94, Class CE, 5.00%, 10/25/2033 | 7,866 | 7,739 |
Series 2005-5, Class CK, 5.00%, 1/25/2035 | 94,033 | 91,834 |
Series 2005-29, Class WC, 4.75%, 4/25/2035 | 154,959 | 150,903 |
Series 2005-48, Class TD, 5.50%, 6/25/2035 | 163,445 | 165,762 |
Series 2005-53, Class MJ, 5.50%, 6/25/2035 | 154,827 | 156,846 |
Series 2005-58, Class EP, 5.50%, 7/25/2035 | 9,660 | 9,689 |
Series 2005-68, Class BE, 5.25%, 8/25/2035 | 162,320 | 161,844 |
Series 2005-68, Class PG, 5.50%, 8/25/2035 | 58,092 | 58,380 |
Series 2005-102, Class PG, 5.00%, 11/25/2035 | 213,278 | 212,375 |
Series 2005-110, Class GL, 5.50%, 12/25/2035 | 267,966 | 271,976 |
Series 2006-49, Class PA, 6.00%, 6/25/2036 | 29,513 | 30,353 |
Series 2009-19, Class PW, 4.50%, 10/25/2036 | 169,852 | 166,500 |
Series 2006-114, Class HE, 5.50%, 12/25/2036 | 202,177 | 204,553 |
Series 2007-33, Class HE, 5.50%, 4/25/2037 | 15,028 | 15,294 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2007-65, Class KI, IF, IO, 1.18%, 7/25/2037 (f) | 3,518 | 322 |
Series 2007-71, Class KP, 5.50%, 7/25/2037 | 12,274 | 11,935 |
Series 2007-71, Class GB, 6.00%, 7/25/2037 | 116,961 | 120,992 |
Series 2009-86, Class OT, PO, 10/25/2037 | 21,721 | 17,771 |
Series 2008-72, Class BX, 5.50%, 8/25/2038 | 10,107 | 10,224 |
Series 2008-74, Class B, 5.50%, 9/25/2038 | 4,657 | 4,699 |
Series 2009-37, Class KI, IF, IO, 0.56%, 6/25/2039 (f) | 2,721 | 132 |
Series 2009-86, Class IP, IO, 5.50%, 10/25/2039 | 6,812 | 1,220 |
Series 2009-92, Class AD, 6.00%, 11/25/2039 | 220,768 | 219,063 |
Series 2009-112, Class ST, IF, IO, 0.81%, 1/25/2040 (f) | 48,996 | 4,000 |
Series 2010-22, Class PE, 5.00%, 3/25/2040 | 1,057,569 | 1,054,747 |
Series 2010-35, Class SB, IF, IO, 0.98%, 4/25/2040 (f) | 19,120 | 1,205 |
Series 2010-37, Class CY, 5.00%, 4/25/2040 | 628,887 | 626,250 |
Series 2010-54, Class EA, 4.50%, 6/25/2040 | 17,652 | 17,118 |
Series 2010-64, Class DM, 5.00%, 6/25/2040 | 2,525 | 2,505 |
Series 2010-71, Class HJ, 5.50%, 7/25/2040 | 69,486 | 70,719 |
Series 2010-123, Class BP, 4.50%, 11/25/2040 | 1,542,787 | 1,512,307 |
Series 2011-41, Class KL, 4.00%, 5/25/2041 | 850,396 | 811,618 |
Series 2011-50, Class LP, 4.00%, 6/25/2041 | 356,517 | 334,157 |
Series 2012-137, Class CF, 5.74%, 8/25/2041 (f) | 71,794 | 71,408 |
Series 2012-103, Class DA, 3.50%, 10/25/2041 | 7,447 | 7,293 |
Series 2012-14, Class DE, 3.50%, 3/25/2042 | 564,952 | 519,700 |
Series 2012-139, Class JA, 3.50%, 12/25/2042 | 274,769 | 255,467 |
Series 2013-104, Class CY, 5.00%, 10/25/2043 | 2,250,000 | 2,142,982 |
Series 2019-65, Class PA, 2.50%, 5/25/2048 | 200,011 | 177,009 |
22 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 2009-96, Class CB, 4.00%, 11/25/2049 | 13,240 | 12,094 |
Series 2019-7, Class CA, 3.50%, 11/25/2057 | 2,374,461 | 2,224,932 |
FNMA, STRIPS | ||
Series 293, Class 1, PO, 12/25/2024 | 17 | 17 |
Series 314, Class 1, PO, 7/25/2031 | 21,078 | 18,855 |
GNMA | ||
Series 2003-29, Class PD, 5.50%, 4/16/2033 | 132,611 | 132,290 |
Series 2003-65, Class AP, 5.50%, 8/20/2033 | 44,828 | 44,831 |
Series 2003-77, Class TK, 5.00%, 9/16/2033 | 183,843 | 183,330 |
Series 2004-16, Class GC, 5.50%, 2/20/2034 | 474,999 | 476,637 |
Series 2004-54, Class BG, 5.50%, 7/20/2034 | 10,064 | 10,133 |
Series 2004-93, Class PD, 5.00%, 11/16/2034 | 277,943 | 276,040 |
Series 2004-101, Class BE, 5.00%, 11/20/2034 | 238,821 | 237,843 |
Series 2005-11, Class PL, 5.00%, 2/20/2035 | 114,390 | 114,158 |
Series 2005-26, Class XY, 5.50%, 3/20/2035 | 438,656 | 442,798 |
Series 2005-33, Class AY, 5.50%, 4/16/2035 | 111,081 | 111,148 |
Series 2005-49, Class B, 5.50%, 6/20/2035 | 37,891 | 38,261 |
Series 2005-51, Class DC, 5.00%, 7/20/2035 | 90,723 | 90,511 |
Series 2005-56, Class BD, 5.00%, 7/20/2035 | 14,037 | 13,987 |
Series 2006-7, Class ND, 5.50%, 8/20/2035 | 14,156 | 14,300 |
Series 2007-37, Class LB, 5.50%, 6/16/2037 | 114,094 | 115,378 |
Series 2007-79, Class BL, 5.75%, 8/20/2037 | 81,517 | 81,654 |
Series 2009-106, Class ST, IF, IO, 0.57%, 2/20/2038 (f) | 76,742 | 2,957 |
Series 2008-7, Class PQ, 5.00%, 2/20/2038 | 239,081 | 237,260 |
Series 2008-9, Class PW, 5.25%, 2/20/2038 | 255,121 | 255,004 |
Series 2008-23, Class YA, 5.25%, 3/20/2038 | 59,146 | 59,180 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2008-35, Class NF, 5.00%, 4/20/2038 | 60,856 | 60,561 |
Series 2008-34, Class PG, 5.25%, 4/20/2038 | 70,367 | 70,184 |
Series 2008-33, Class PB, 5.50%, 4/20/2038 | 203,223 | 204,253 |
Series 2008-38, Class BG, 5.00%, 5/16/2038 | 333,781 | 333,121 |
Series 2008-43, Class NB, 5.50%, 5/20/2038 | 102,536 | 102,246 |
Series 2008-56, Class PX, 5.50%, 6/20/2038 | 198,895 | 197,700 |
Series 2008-58, Class PE, 5.50%, 7/16/2038 | 533,425 | 540,342 |
Series 2008-62, Class SA, IF, IO, 0.72%, 7/20/2038 (f) | 1,494 | 15 |
Series 2008-76, Class US, IF, IO, 0.47%, 9/20/2038 (f) | 44,445 | 1,233 |
Series 2011-97, Class WA, 6.10%, 11/20/2038 (f) | 400,978 | 409,203 |
Series 2008-95, Class DS, IF, IO, 1.87%, 12/20/2038 (f) | 41,385 | 1,277 |
Series 2009-14, Class AG, 4.50%, 3/20/2039 | 71,571 | 69,681 |
Series 2009-72, Class SM, IF, IO, 0.81%, 8/16/2039 (f) | 95,323 | 5,542 |
Series 2009-61, Class AP, 4.00%, 8/20/2039 | 7,277 | 7,013 |
Series 2010-130, Class BD, 4.00%, 12/20/2039 | 226,449 | 219,581 |
Series 2010-157, Class OP, PO, 12/20/2040 | 69,726 | 57,830 |
Series 2014-H11, Class VA, 5.96%, 6/20/2064 (f) | 905,641 | 901,591 |
Series 2015-H20, Class FA, 5.93%, 8/20/2065 (f) | 1,264,455 | 1,259,039 |
Series 2015-H26, Class FG, 5.98%, 10/20/2065 (f) | 890,904 | 882,860 |
GSR Mortgage Loan Trust Series 2004-6F, Class 2A4, 5.50%, 5/25/2034 | 38,745 | 37,297 |
JPMorgan Mortgage Trust | ||
Series 2006-A2, Class 5A3, 6.09%, 11/25/2033 (f) | 57,130 | 54,377 |
Series 2007-A1, Class 5A5, 5.53%, 7/25/2035 (f) | 17,868 | 17,259 |
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 5.95%, 4/21/2034 (f) | 28,867 | 27,131 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 23 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Merrill Lynch Mortgage Investors Trust | ||
Series 2003-F, Class A1, 6.08%, 10/25/2028 (f) | 25,126 | 23,319 |
Series 2004-B, Class A1, 5.94%, 5/25/2029 (f) | 32,487 | 30,971 |
Morgan Stanley Mortgage Loan Trust Series 2004-3, Class 4A, 5.64%, 4/25/2034 (f) | 16,286 | 15,852 |
PHH Mortgage Trust Series 2008-CIM2, Class 5A1, 6.00%, 7/25/2038 | 7,082 | 6,750 |
Seasoned Credit Risk Transfer Trust | ||
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | 1,333,012 | 1,214,801 |
Series 2017-4, Class M60C, 3.50%, 6/25/2057 | 1,349,668 | 1,227,154 |
Series 2017-4, Class MT, 3.50%, 6/25/2057 | 338,399 | 300,972 |
Series 2018-2, Class M55D, 4.00%, 11/25/2057 | 1,404,175 | 1,305,406 |
Series 2019-3, Class M55D, 4.00%, 10/25/2058 | 311,959 | 288,546 |
Series 2020-1, Class M55G, 3.00%, 8/25/2059 | 3,188,068 | 2,842,805 |
Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028 | 369,819 | 348,215 |
Sequoia Mortgage Trust Series 2004-11, Class A1, 6.03%, 12/20/2034 (f) | 114,759 | 101,316 |
Structured Asset Mortgage Investments II Trust Series 2003-AR4, Class A1, 6.13%, 1/19/2034 (f) | 70,080 | 65,149 |
Thornburg Mortgage Securities Trust Series 2004-4, Class 3A, 5.61%, 12/25/2044 (f) | 92,980 | 85,766 |
Vendee Mortgage Trust Series 2003-2, Class Z, 5.00%, 5/15/2033 | 245,000 | 242,547 |
WaMu Mortgage Pass-Through Certificates Trust Series 2003-AR11, Class A6, 5.86%, 10/25/2033 (f) | 53,159 | 48,548 |
Total Collateralized Mortgage Obligations (Cost $46,703,819) | 43,147,764 | |
Commercial Mortgage-Backed Securities — 6.0% | ||
20 Times Square Trust Series 2018-20TS, Class A, 3.10%, 5/15/2035 (a) (f) | 665,141 | 609,951 |
BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (a) | 1,400,000 | 1,349,133 |
BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (a) | 1,500,000 | 1,390,984 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series J22F, Class A2, 4.09%, 9/25/2024 | 53,199 | 52,705 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series KL3L, Class ALNZ, 3.46%, 4/25/2025 (f) | 2,000,000 | 1,956,284 |
Series KLU2, Class A7, 2.23%, 9/25/2025 (f) | 334,333 | 319,203 |
Series K737, Class AM, 2.10%, 10/25/2026 | 3,110,000 | 2,898,390 |
Series K072, Class A2, 3.44%, 12/25/2027 | 473,000 | 452,053 |
Series K083, Class A2, 4.05%, 9/25/2028 (f) | 594,000 | 577,384 |
Series KJ44, Class A2, 4.61%, 2/25/2033 | 1,900,000 | 1,849,079 |
Series K145, Class AM, 2.58%, 6/25/2055 | 880,000 | 749,133 |
FNMA ACES | ||
Series 2014-M8, Class A2, 3.06%, 6/25/2024 (f) | 1,732,535 | 1,719,523 |
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (f) | 921,096 | 880,931 |
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (f) | 1,159,416 | 1,104,395 |
Series 2017-M12, Class A2, 3.06%, 6/25/2027 (f) | 2,654,988 | 2,527,213 |
Series 2017-M13, Class A2, 2.93%, 9/25/2027 (f) | 353,515 | 333,114 |
Series 2018-M2, Class A2, 2.91%, 1/25/2028 (f) | 3,045,862 | 2,865,560 |
Series 2018-M4, Class A2, 3.06%, 3/25/2028 (f) | 1,829,406 | 1,725,875 |
Series 2018-M9, Class APT2, 3.10%, 4/25/2028 (f) | 2,371,580 | 2,235,984 |
Series 2018-M14, Class A2, 3.58%, 8/25/2028 (f) | 380,763 | 364,350 |
Series 2017-M5, Class A2, 3.07%, 4/25/2029 (f) | 2,444,788 | 2,275,774 |
Series 2018-M3, Class A2, 3.07%, 2/25/2030 (f) | 1,141,271 | 1,051,087 |
Series 2020-M50, Class A2, 1.20%, 10/25/2030 | 374,104 | 336,485 |
Series 2020-M50, Class X1, IO, 1.82%, 10/25/2030 (f) | 5,503,095 | 328,398 |
Series 2021-M11, Class A2, 1.46%, 3/25/2031 (f) | 1,517,000 | 1,217,705 |
Series 2022-M1G, Class A2, 1.53%, 9/25/2031 (f) | 5,000,000 | 4,019,415 |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | 11,304 | 10,985 |
Series 2021-M3, Class X1, IO, 1.92%, 11/25/2033 (f) | 324,560 | 25,927 |
FREMF Mortgage Trust Series 2015-K44, Class B, 3.72%, 1/25/2048 (a) (f) | 1,500,000 | 1,466,888 |
24 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Morgan Stanley Capital I Trust Series 2021-PLZA, Class A, 2.57%, 11/9/2043 (a) | 1,958,000 | 1,394,950 |
MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (a) | 300,000 | 261,750 |
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (a) | 1,770,000 | 1,451,109 |
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a) | 27,444 | 25,200 |
Total Commercial Mortgage-Backed Securities (Cost $42,779,797) | 39,826,917 | |
Foreign Government Securities — 0.2% | ||
Republic of Colombia 7.38%, 9/18/2037 | 300,000 | 294,438 |
United Mexican States | ||
4.13%, 1/21/2026 | 332,000 | 324,779 |
2.66%, 5/24/2031 | 1,000,000 | 829,230 |
Total Foreign Government Securities (Cost $1,660,040) | 1,448,447 | |
SHARES | ||
Short-Term Investments — 15.3% | ||
Investment Companies — 15.3% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (h) (i) (Cost $100,751,153) | 100,700,827 | 100,751,178 |
Total Investments — 113.6% (Cost $774,867,059) | 750,624,806 | |
Liabilities in Excess of Other Assets — (13.6)% | (89,674,597 ) | |
NET ASSETS — 100.0% | 660,950,209 |
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 29, 2024. 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. |
PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
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. |
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. | |
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(b) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2024. | |
(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 29, 2024 is $3,523,433 or 0.53% of the Fund’s net assets as of February 29, 2024. | |
(d) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2024. | |
(e) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 29, 2024. | |
(g) | All or a portion of this security is deposited with the broker as initial margin for futures contracts or centrally cleared swaps. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 25 |
(h) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(i) | The rate shown is the current yield as of February 29, 2024. |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 10 Year Note | 577 | 06/18/2024 | USD | 63,758,500 | 194,589 |
U.S. Treasury 10 Year Ultra Note | 17 | 06/18/2024 | USD | 1,941,984 | 12,316 |
U.S. Treasury 5 Year Note | 592 | 06/28/2024 | USD | 63,348,625 | 150,567 |
357,472 | |||||
Short Contracts | |||||
U.S. Treasury Long Bond | (53 ) | 06/18/2024 | USD | (6,320,250 ) | (60,051 ) |
U.S. Treasury Ultra Bond | (109 ) | 06/18/2024 | USD | (13,952,000 ) | (154,226 ) |
U.S. Treasury 2 Year Note | (60 ) | 06/28/2024 | USD | (12,289,219 ) | (12,960 ) |
(227,237 ) | |||||
130,235 |
Abbreviations | |
USD | United States Dollar |
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 | 2.17% at termination | Receive | 1/12/2027 | USD17,725,000 | — | 98,199 | 98,199 |
CPI-U at termination | 2.25% at termination | Receive | 2/8/2027 | USD79,054,000 | — | 339,860 | 339,860 |
CPI-U at termination | 2.33% at termination | Receive | 12/18/2028 | USD5,054,000 | — | 18,447 | 18,447 |
CPI-U at termination | 2.34% at termination | Receive | 1/5/2029 | USD3,957,000 | — | 14,645 | 14,645 |
CPI-U at termination | 2.36% at termination | Receive | 12/4/2028 | USD2,948,000 | — | 6,009 | 6,009 |
CPI-U at termination | 2.42% at termination | Receive | 3/1/2027 | USD36,921,000 | (45,333 ) | 47,823 | 2,490 |
CPI-U at termination | 2.43% at termination | Receive | 3/1/2026 | USD67,258,000 | (135,037 ) | 147,477 | 12,440 |
CPI-U at termination | 2.44% at termination | Receive | 2/28/2029 | USD81,520,000 | 63,216 | 12,197 | 75,413 |
CPI-U at termination | 2.45% at termination | Receive | 2/28/2029 | USD35,269,000 | (11,865 ) | 26,760 | 14,895 |
CPI-U at termination | 2.45% at termination | Receive | 2/6/2034 | USD1,033,000 | — | 5,097 | 5,097 |
CPI-U at termination | 2.48% at termination | Receive | 2/2/2034 | USD5,213,000 | — | 16,160 | 16,160 |
CPI-U at termination | 2.50% at termination | Receive | 2/28/2034 | USD35,255,000 | 32,007 | 16,399 | 48,406 |
(97,012 ) | 749,073 | 652,061 |
26 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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 | 2.43% at termination | Receive | 11/17/2028 | USD1,001,000 | — | (979 ) | (979 ) |
CPI-U at termination | 2.47% at termination | Receive | 11/15/2028 | USD23,835,000 | — | (62,940 ) | (62,940 ) |
CPI-U at termination | 2.56% at termination | Receive | 11/6/2028 | USD4,090,000 | — | (26,013 ) | (26,013 ) |
CPI-U at termination | 2.59% at termination | Receive | 7/11/2033 | USD20,704,000 | 18,447 | (125,845 ) | (107,398 ) |
CPI-U at termination | 2.62% at termination | Receive | 11/2/2030 | USD5,989,000 | (7,535 ) | (53,614 ) | (61,149 ) |
CPI-U at termination | 2.62% at termination | Receive | 8/4/2033 | USD30,069,000 | 12,011 | (236,231 ) | (224,220 ) |
CPI-U at termination | 2.63% at termination | Receive | 8/2/2033 | USD2,736,000 | 5,880 | (28,505 ) | (22,625 ) |
CPI-U at termination | 2.63% at termination | Receive | 8/4/2033 | USD1,000,000 | — | (8,117 ) | (8,117 ) |
CPI-U at termination | 2.64% at termination | Receive | 7/31/2033 | USD1,096,000 | — | (9,422 ) | (9,422 ) |
CPI-U at termination | 2.64% at termination | Receive | 8/2/2033 | USD10,689,000 | — | (96,395 ) | (96,395 ) |
CPI-U at termination | 2.70% at termination | Receive | 10/23/2033 | USD33,616,000 | (60,339 ) | (512,726 ) | (573,065 ) |
(31,536 ) | (1,160,787 ) | (1,192,323 ) | |||||
(128,548 ) | (411,714 ) | (540,262 ) |
Abbreviations | |
CPI-U | Consumer Price Index for All Urban Consumers |
USD | United States Dollar |
(a) Value of floating rate index at February 29, 2024 was as follows: |
FLOATING RATE INDEX | VALUE |
CPI-U | 3.10% |
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.41-V1 | 1.00 | Quarterly | 12/20/2028 | 0.52 | USD 100,346,000 | (1,508,881 ) | (762,387 ) | (2,271,268 ) |
(*) | 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 29, 2024 | J.P. Morgan Exchange-Traded Funds | 27 |
INVESTMENTS | SHARES | VALUE($) |
Common Stocks — 97.1% | ||
Apartments — 13.1% | ||
American Homes 4 Rent, Class A, REIT | 190,839 | 7,062,952 |
Apartment Income REIT Corp., REIT | 244,975 | 7,427,642 |
Equity Residential, REIT | 274,335 | 16,517,710 |
Sun Communities, Inc., REIT | 57,199 | 7,650,938 |
UDR, Inc., REIT | 118,904 | 4,221,092 |
42,880,334 | ||
Diversified — 31.6% | ||
American Tower Corp., REIT | 169,120 | 33,631,203 |
Digital Realty Trust, Inc., REIT | 163,782 | 24,044,835 |
Equinix, Inc., REIT | 31,037 | 27,586,306 |
SBA Communications Corp., REIT | 63,203 | 13,223,964 |
Weyerhaeuser Co., REIT | 153,325 | 5,271,314 |
103,757,622 | ||
Health Care — 15.8% | ||
CareTrust REIT, Inc., REIT | 153,641 | 3,466,141 |
Healthcare Realty Trust, Inc., REIT | 516,703 | 7,120,167 |
Sabra Health Care REIT, Inc., REIT | 443,769 | 6,159,514 |
Ventas, Inc., REIT | 368,575 | 15,587,037 |
Welltower, Inc., REIT | 209,534 | 19,310,653 |
51,643,512 | ||
Hotels — 2.0% | ||
DiamondRock Hospitality Co., REIT | 197,848 | 1,859,771 |
Host Hotels & Resorts, Inc., REIT | 231,380 | 4,798,821 |
6,658,592 | ||
Industrial — 13.0% | ||
Americold Realty Trust, Inc., REIT | 304,709 | 7,709,138 |
Prologis, Inc., REIT | 198,848 | 26,500,473 |
Rexford Industrial Realty, Inc., REIT | 167,513 | 8,523,061 |
42,732,672 | ||
Office — 4.4% | ||
Alexandria Real Estate Equities, Inc., REIT | 29,300 | 3,654,589 |
Boston Properties, Inc., REIT | 105,345 | 6,817,929 |
COPT Defense Properties, REIT | 165,040 | 3,998,919 |
14,471,437 | ||
Real Estate Management & Development — 0.6% | ||
Tricon Residential, Inc., REIT (Canada) | 184,400 | 2,052,372 |
INVESTMENTS | SHARES | VALUE($) |
Regional Malls — 0.5% | ||
Macerich Co. (The), REIT | 102,244 | 1,677,824 |
Shopping Centers — 6.4% | ||
Federal Realty Investment Trust, REIT | 62,907 | 6,344,171 |
Kimco Realty Corp., REIT | 743,936 | 14,700,175 |
21,044,346 | ||
Single Tenant — 4.2% | ||
Agree Realty Corp., REIT | 187,885 | 10,324,281 |
Realty Income Corp., REIT | 62,264 | 3,244,577 |
13,568,858 | ||
Storage — 5.5% | ||
Extra Space Storage, Inc., REIT | 69,139 | 9,746,525 |
Public Storage, REIT | 29,146 | 8,273,675 |
18,020,200 | ||
Total Common Stocks (Cost $293,520,133) | 318,507,769 | |
Short-Term Investments — 3.3% | ||
Investment Companies — 3.3% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (a) (b) (Cost $11,027,560) | 11,022,796 | 11,028,308 |
Total Investments — 100.4% (Cost $304,547,693) | 329,536,077 | |
Liabilities in Excess of Other Assets — (0.4)% | (1,457,804 ) | |
NET ASSETS — 100.0% | 328,078,273 |
Percentages indicated are based on net assets. |
Abbreviations | |
REIT | Real Estate Investment Trust |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
28 | Realty Income ETF | February 29, 2024 |
JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF | |
ASSETS: | ||
Investments in non-affiliates, at value | $649,873,628 | $318,507,769 |
Investments in affiliates, at value | 100,751,178 | 11,028,308 |
Cash | — | 32,830 |
Deposits at broker for centrally cleared swaps | 40,000 | — |
Receivables: | ||
Due from custodian | 4,680,021 | — |
Investment securities sold | 41,858 | 7,115,758 |
Fund shares sold | — | 236,069 |
Interest from non-affiliates | 2,928,481 | — |
Dividends from non-affiliates | — | 491,855 |
Dividends from affiliates | 15,004 | 1,642 |
Variation margin on futures contracts | 22,787 | — |
Variation margin on centrally cleared swaps | 325,053 | — |
Total Assets | 758,678,010 | 337,414,231 |
LIABILITIES: | ||
Payables: | ||
Investment securities purchased | 7,917,349 | 9,072,634 |
Investment securities purchased — delayed delivery securities | 89,627,247 | — |
Accrued liabilities: | ||
Investment advisory fees | 9,875 | 95,733 |
Administration fees | 25,739 | 18,333 |
Printing and mailing costs | 65,828 | 79,676 |
Custodian and accounting fees | 22,509 | 9,469 |
Other | 59,254 | 60,113 |
Total Liabilities | 97,727,801 | 9,335,958 |
Net Assets | $660,950,209 | $328,078,273 |
NET ASSETS: | ||
Paid-in-Capital | $748,060,830 | $351,481,412 |
Total distributable earnings (loss) | (87,110,621 ) | (23,403,139 ) |
Total Net Assets | $660,950,209 | $328,078,273 |
Outstanding number of shares (unlimited number of shares authorized - par value $0.0001) | 14,243,210 | 7,522,859 |
Net asset value, per share | $46.40 | $43.61 |
Cost of investments in non-affiliates | $674,115,906 | $293,520,133 |
Cost of investments in affiliates | 100,751,153 | 11,027,560 |
Net upfront receipts on centrally cleared swaps | (1,637,429 ) | — |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 29 |
JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF | |
INVESTMENT INCOME: | ||
Interest income from non-affiliates | $21,288,829 | $— |
Interest income from affiliates | 1,288 | 111 |
Dividend income from non-affiliates | — | 11,564,814 |
Dividend income from affiliates | 516,957 | 574,622 |
Income from securities lending (net) (See Note 2.D.) | — | 8,773 |
Total investment income | 21,807,074 | 12,148,320 |
EXPENSES: | ||
Investment advisory fees | 1,527,178 | 2,225,673 |
Administration fees | 409,066 | 278,210 |
Custodian and accounting fees | 86,497 | 5,594 |
Interest expense to non-affiliates | 70 | — |
Interest expense to affiliates | 4,848 | — |
Professional fees | 91,555 | 62,247 |
Trustees’ and Chief Compliance Officer’s fees | 26,634 | 25,999 |
Printing and mailing costs | 5,999 | 47,101 |
Registration and filing fees | 25,776 | 16,641 |
Other | 11,088 | 9,050 |
Total expenses | 2,188,711 | 2,670,515 |
Less fees waived | (14,908 ) | (15,380 ) |
Less expense reimbursements | (821,912 ) | (818,305 ) |
Net expenses | 1,351,891 | 1,836,830 |
Net investment income (loss) | 20,455,183 | 10,311,490 |
REALIZED/UNREALIZED GAINS (LOSSES): | ||
Net realized gain (loss) on transactions from: | ||
Investments in non-affiliates | (20,476,777 ) | (30,395,365 ) |
Investments in affiliates | 1,499 | 425 |
In-kind redemptions of investments in non-affiliates (See Note 4) | (1,802,263 ) | 45,138,866 |
Futures contracts | (2,812,090 ) | — |
Swaps | 412,076 | — |
Net realized gain (loss) | (24,677,555 ) | 14,743,926 |
Change in net unrealized appreciation/depreciation on: | ||
Investments in non-affiliates | 34,462,292 | (10,240,554 ) |
Investments in affiliates | (2,407 ) | 987 |
Futures contracts | (11,328 ) | — |
Swaps | (3,426,361 ) | — |
Change in net unrealized appreciation/depreciation | 31,022,196 | (10,239,567 ) |
Net realized/unrealized gains (losses) | 6,344,641 | 4,504,359 |
Change in net assets resulting from operations | $26,799,824 | $14,815,849 |
30 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF | |||
Year Ended February 29, 2024 | Year Ended February 28, 2023 (a) | Year Ended February 29, 2024 | Year Ended February 28, 2023 (b) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $20,455,183 | $33,443,609 | $10,311,490 | $18,195,067 |
Net realized gain (loss) | (24,677,555 ) | (37,445,587 ) | 14,743,926 | 318,623,424 |
Change in net unrealized appreciation/depreciation | 31,022,196 | (71,525,471 ) | (10,239,567 ) | (488,183,699 ) |
Change in net assets resulting from operations | 26,799,824 | (75,527,449 ) | 14,815,849 | (151,365,208 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Total distributions to shareholders | (20,130,287 ) | (35,607,004 ) | (13,660,855 ) | (209,509,368 ) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | (250,326,185 ) | (151,417,047 ) | (182,630,956 ) | (671,849,490 ) |
NET ASSETS: | ||||
Change in net assets | (243,656,648 ) | (262,551,500 ) | (181,475,962 ) | (1,032,724,066 ) |
Beginning of period | 904,606,857 | 1,167,158,357 | 509,554,235 | 1,542,278,301 |
End of period | $660,950,209 | $904,606,857 | $328,078,273 | $509,554,235 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 31 |
JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF | |||
Year Ended February 29, 2024 | Year Ended February 28, 2023(a) | Year Ended February 29, 2024 | Year Ended February 28, 2023(b) | |
CAPITAL TRANSACTIONS: (c) (d) | ||||
Proceeds from shares issued | $227,217,150 | $143,694,884 | $30,379,220 | $85,385,444 |
Distributions reinvested | — | 2,379,990 | — | 116,182,036 |
Cost of shares redeemed | (477,543,335 ) | (280,551,196 ) | (213,010,176 ) | (771,368,525 ) |
Redemptions in-kind (See Note 9) | — | — | — | (231,616,311 ) |
Change in net assets resulting from capital transactions | (250,326,185 ) | (134,476,322 ) | (182,630,956 ) | (801,417,356 ) |
Class A | ||||
Proceeds from shares issued | — | 327,168 | — | 556,975 |
Distributions reinvested | — | 112,969 | — | 2,660,213 |
Cost of shares redeemed | — | (4,796,467 ) | — | (3,873,369 ) |
Change in net assets resulting from Class A capital transactions | — | (4,356,330 ) | — | (656,181 ) |
Class C | ||||
Proceeds from shares issued | — | 368,640 | — | 112,851 |
Distributions reinvested | — | 12,667 | — | 425,744 |
Cost of shares redeemed | — | (394,486 ) | — | (405,113 ) |
Change in net assets resulting from Class C capital transactions | — | (13,179 ) | — | 133,482 |
Class I | ||||
Proceeds from shares issued | — | 8,724,880 | — | 129,926,978 |
Distributions reinvested | — | 477,895 | — | 13,727,046 |
Cost of shares redeemed | — | (18,917,128 ) | — | (3,968,685 ) |
Change in net assets resulting from Class I capital transactions | — | (9,714,353 ) | — | 139,685,339 |
Class L | ||||
Proceeds from shares issued | — | — | — | 454,227 |
Distributions reinvested | — | — | — | 3,503,082 |
Cost of shares redeemed | — | — | — | (8,909,073 ) |
Change in net assets resulting from Class L capital transactions | — | — | — | (4,951,764 ) |
32 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF | |||
Year Ended February 29, 2024 | Year Ended February 28, 2023(a) | Year Ended February 29, 2024 | Year Ended February 28, 2023(b) | |
CAPITAL TRANSACTIONS: (c) (d) (continued) | ||||
Class R5 | ||||
Proceeds from shares issued | $— | $218,011 | $— | $290,370 |
Distributions reinvested | — | 6,602 | — | 1,343,475 |
Cost of shares redeemed | — | (3,081,476 ) | — | (6,276,855 ) |
Change in net assets resulting from Class R5 capital transactions | — | (2,856,863 ) | — | (4,643,010 ) |
Total change in net assets resulting from capital transactions | $(250,326,185 ) | $(151,417,047 ) | $(182,630,956 ) | $(671,849,490 ) |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 33 |
JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF | |||
Year Ended February 29, 2024 | Year Ended February 28, 2023(a) | Year Ended February 29, 2024 | Year Ended February 28, 2023(b) | |
SHARE TRANSACTIONS: (c) (d) | ||||
Issued | 4,900,000 | 2,978,252 | 725,000 | 1,646,419 |
Reinvested | — | 47,051 | — | 2,310,713 |
Redeemed | (10,200,000 ) | (5,844,105 ) | (5,000,000 ) | (15,158,501 ) |
Redemptions in-kind (See Note 9) | — | — | — | (3,574,267 ) |
Change in Shares | (5,300,000 ) | (2,818,802 ) | (4,275,000 ) | (14,775,636 ) |
Class A | ||||
Issued | — | 6,350 | — | 8,864 |
Reinvested | — | 2,233 | — | 53,046 |
Redeemed | — | (94,521 ) | — | (73,337 ) |
Change in Class A Shares | — | (85,938 ) | — | (11,427 ) |
Class C | ||||
Issued | — | 7,128 | — | 1,671 |
Reinvested | — | 250 | — | 8,495 |
Redeemed | — | (7,815 ) | — | (7,226 ) |
Change in Class C Shares | — | (437 ) | — | 2,940 |
Class I | ||||
Issued | — | 170,457 | — | 1,964,395 |
Reinvested | — | 9,449 | — | 274,216 |
Redeemed | — | (372,698 ) | — | (69,363 ) |
Change in Class I Shares | — | (192,792 ) | — | 2,169,248 |
Class L | ||||
Issued | — | — | — | 6,979 |
Reinvested | — | — | — | 69,818 |
Redeemed | — | — | — | (170,346 ) |
Change in Class L Shares | — | — | — | (93,549 ) |
34 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF | |||
Year Ended February 29, 2024 | Year Ended February 28, 2023(a) | Year Ended February 29, 2024 | Year Ended February 28, 2023(b) | |
SHARE TRANSACTIONS: (c) (d) (continued) | ||||
Class R5 | ||||
Issued | — | 4,219 | — | 4,497 |
Reinvested | — | 131 | — | 26,820 |
Redeemed | — | (61,097 ) | — | (120,979 ) |
Change in Class R5 Shares | — | (56,747 ) | — | (89,662 ) |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 35 |
Per share operating performance (a) | ||||||||
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 | Net asset value, end of period | |
JPMorgan Inflation Managed Bond ETF(f) | ||||||||
Year Ended February 29, 2024 | $46.29 | $1.74 | $0.01 | $1.75 | $(1.64 ) | $— | $(1.64 ) | $46.40 |
Year Ended February 28, 2023 | 51.43 | 1.63 | (5.05 ) | (3.42 ) | (1.58 ) | (0.14 ) | (1.72 ) | 46.29 |
Year Ended February 28, 2022 | 50.58 | 1.27 | 0.85 | 2.12 | (1.27 ) | — | (1.27 ) | 51.43 |
Year Ended February 28, 2021 | 49.26 | 0.94 | 1.32 | 2.26 | (0.94 ) | — | (0.94 ) | 50.58 |
Year Ended February 29, 2020 | 47.33 | 1.27 | 1.93 | 3.20 | (1.27 ) | — | (1.27 ) | 49.26 |
JPMorgan Realty Income ETF(g) | ||||||||
Year Ended February 29, 2024 | 43.19 | 1.16 | 0.73 | 1.89 | (1.47 ) | — | (1.47 ) | 43.61 |
Year Ended February 28, 2023 | 62.71 | 0.98 (h) | (9.14 ) | (8.16 ) | (0.76 ) | (10.60 ) | (11.36 ) | 43.19 |
Year Ended February 28, 2022 | 54.76 | 0.64 | 13.05 | 13.69 | (0.80 ) | (4.94 ) | (5.74 ) | 62.71 |
Year Ended February 28, 2021 | 54.40 | 0.84 | 1.89 | 2.73 | (0.72 ) | (1.65 ) | (2.37 ) | 54.76 |
Year Ended February 29, 2020 | 54.92 | 1.12 | 3.53 | 4.65 | (1.20 ) | (3.97 ) | (5.17 ) | 54.40 |
(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) | Calculated based upon average shares outstanding. |
(c) | 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. |
(d) | 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. |
(e) | 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. |
(f) | 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. |
(g) | 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. |
(h) | 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%, |
36 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Ratios/Supplemental data | |||||||
Ratios to average net assets | |||||||
Market price, end of period | Total return (c) | Market price total return (d)(e) | Net assets, end of period | Net expenses | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$46.47 | 3.86 % | 3.86 % | $660,950,209 | 0.25 % | 3.75 % | 0.40 % | 60 % |
46.36 | (6.73 ) | (6.59 ) | 904,606,857 | 0.26 | 3.38 | 0.41 | 107 |
51.43 | 4.23 | 4.23 | 897,545,065 | 0.34 | 2.49 | 0.39 | 159 |
50.58 | 4.70 | 4.70 | 1,172,320,983 | 0.34 | 1.93 | 0.38 | 89 |
49.26 | 6.84 | 6.84 | 1,169,195,274 | 0.42 | 2.62 | 0.44 | 146 |
43.56 | 4.54 | 4.28 | 328,078,273 | 0.50 | 2.78 | 0.72 | 96 |
43.25 | (13.43 ) | (13.31 ) | 509,554,235 | 0.55 | 1.93 (h) | 0.72 | 84 |
62.71 | 24.69 | 24.69 | 1,450,453,154 | 0.68 | 0.98 | 0.70 | 59 |
54.76 | 5.38 | 5.38 | 1,663,701,422 | 0.68 | 1.67 | 0.70 | 90 |
54.40 | 8.23 | 8.23 | 1,289,280,883 | 0.68 | 1.92 | 0.76 | 71 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 37 |
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, Inc. |
38 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 39 |
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 | $— | $68,668,212 | $1,063,115 | $69,731,327 |
Collateralized Mortgage Obligations | — | 43,147,520 | 244 | 43,147,764 |
Commercial Mortgage-Backed Securities | — | 39,826,917 | — | 39,826,917 |
Corporate Bonds | — | 185,949,413 | — | 185,949,413 |
Foreign Government Securities | — | 1,448,447 | — | 1,448,447 |
Mortgage-Backed Securities | — | 174,170,630 | — | 174,170,630 |
U.S. Treasury Obligations | — | 135,599,130 | — | 135,599,130 |
Short-Term Investments | ||||
Investment Companies | 100,751,178 | — | — | 100,751,178 |
Total Investments in Securities | $100,751,178 | $648,810,269 | $1,063,359 | $750,624,806 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $357,472 | $— | $— | $357,472 |
Swaps | — | 749,073 | — | 749,073 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (227,237 ) | — | — | (227,237 ) |
Swaps | — | (1,923,174 ) | — | (1,923,174 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $130,235 | $(1,174,101 ) | $— | $(1,043,866 ) |
Realty Income ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Total Investments in Securities (a) | $329,536,077 | $— | $— | $329,536,077 |
(a) | Please refer to the SOI for specifics of portfolio holdings. |
40 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Realty Income ETF | $1,159 |
out on loan at February 29, 2024.
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 41 |
Inflation Managed Bond ETF | |||||||||
For the year ended February 29, 2024 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (a) (b) | $16,176,982 | $474,860,679 | $390,285,575 | $1,499 | $(2,407 ) | $100,751,178 | 100,700,827 | $516,957 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
Realty Income ETF | |||||||||
For the year ended February 29, 2024 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (a) (b) | $21,218,437 | $131,373,568 | $141,565,109 | $425 | $987 | $11,028,308 | 11,022,796 | $574,622 | $— |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.48% (a) (b) | — | 66,000,000 | 66,003,600 | 3,600 * | — | — | — | 189,041 * | — |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (a) (b) | — | 34,135,616 | 34,135,616 | — | — | — | — | 46,050 * | — |
Total | $21,218,437 | $231,509,184 | $241,704,325 | $4,025 | $987 | $11,028,308 | $809,713 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
42 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 43 |
Inflation Managed Bond ETF | |
Interest Rate Risk Exposure: | |
Unrealized Appreciation on Futures Contracts * | $357,472 |
Swaps at Value (Assets) ** | 652,061 |
Unrealized Depreciation on Futures Contracts * | (227,237 ) |
Swaps at Value (Liabilities) ** | (1,192,323 ) |
Credit Risk Exposure: | |
Swaps at Value (Liabilities) ** | (2,271,268 ) |
Net Fair Value of Derivative Contracts: | |
Unrealized Appreciation (Depreciation) on Futures Contracts * | 130,235 |
Swaps at Value ** | (2,811,530 ) |
* | 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. |
44 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Inflation Managed Bond ETF | |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: | |
Interest Rate Risk Exposure: | |
Futures Contracts | $(2,812,090 ) |
Swap Contracts | 1,237,511 |
Credit Exposure Risk: | |
Swap Contracts | (825,435 ) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |
Interest Rate Risk Exposure: | |
Futures Contracts | (11,328 ) |
Swap Contracts | (2,841,531 ) |
Credit Exposure Risk: | |
Swap Contracts | (584,830 ) |
Inflation Managed Bond ETF | |
Futures Contracts: | |
Average Notional Balance Long | $172,998,439 |
Average Notional Balance Short | (31,563,206 ) |
Ending Notional Balance Long | 129,049,109 |
Ending Notional Balance Short | (32,561,469 ) |
Interest Rate-Related Swaps (Inflation-Linked Swaps) : | |
Average Notional Balance - Pays Fixed Rate | 430,416,385 |
Ending Notional Balance - Pays Fixed Rate | 506,032,000 |
Credit Default Swaps: | |
Average Notional Balance - Buy Protection | 69,505,385 |
Ending Notional Balance - Buy Protection | 100,346,000 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 45 |
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
Inflation Managed Bond ETF | $(1,805,528 ) | $324,715 | $1,480,813 |
Realty Income ETF | 38,952,107 | 55,938 | (39,008,045 ) |
Inflation Managed Bond ETF | 0.28 % |
Realty Income ETF | 0.60 |
46 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Contractual Reimbursements | |
Inflation Managed Bond ETF | $820,532 |
Realty Income ETF | 816,952 |
Inflation Managed Bond ETF | $14,908 |
Realty Income ETF | 15,380 |
Inflation Managed Bond ETF | $1,380 |
Realty Income ETF | 1,353 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 47 |
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |
Inflation Managed Bond ETF | $218,774,318 | $264,317,100 | $119,540,121 | $241,182,265 |
Realty Income ETF | 358,405,449 | 351,677,405 | — | — |
In-Kind Purchases | In-Kind Sales | |
Inflation Managed Bond ETF | $— | $94,022,696 |
Realty Income ETF | 29,517,094 | 207,326,451 |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
Inflation Managed Bond ETF | $773,746,858 | $2,583,255 | $28,386,602 | $(25,803,347 ) |
Realty Income ETF | 316,887,605 | 27,617,307 | 14,968,835 | 12,648,472 |
Ordinary Income* | Total Distributions Paid | |
Inflation Managed Bond ETF | $20,130,287 | $20,130,287 |
Realty Income ETF | 13,660,855 | 13,660,855 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
48 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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. |
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | |
Inflation Managed Bond ETF | $973,219 | $(59,449,115 ) | $(25,994,802 ) |
Realty Income ETF | 1,140,605 | (34,223,068 ) | 12,648,472 |
Capital Loss Carryforward Character | ||
Short-Term | Long-Term | |
Inflation Managed Bond ETF | $8,427,529 | $51,021,586 |
Realty Income ETF | 32,866,942 | 1,356,126 |
Net Capital Losses (Gains) | Specified Ordinary Losses | ||
Short-Term | Long-Term | ||
Inflation Managed Bond ETF | $(4,756,917 ) | $7,336,614 | $1,099 |
Realty Income ETF | (3,390,706 ) | 6,165,587 | — |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 49 |
JPMorgan SmartRetirement Funds | JPMorgan SmartRetirement Blend Funds | |
Inflation Managed Bond ETF | 45.5 % | 28.3 % |
Realty Income ETF | 76.3 | — |
50 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 51 |
Fund | Class | Date | Value | Gain/(Loss) | Type |
Realty Income ETF | R6 | March 21, 2022 | $231,616,311 (a) | $46,870,934 | Redemption-in-kind |
(a) | This amount includes cash of approximately $4,856,743 associated with the redemption in-kind. |
52 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 53 |
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). | 167 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-2023); 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). | 167 | None |
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). | 167 | 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). | 167 | 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). | 167 | None |
54 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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 (continued) | |||
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). | 167 | None |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 167 | 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. | 167 | (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). | 167 | 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). | 167 | None |
Marilyn McCoy (1948); Trustee since 1999. | Retired; Vice President of Administration and Planning, Northwestern University (1985-2023). | 167 | None |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 55 |
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 (continued) | |||
Dr. Robert A. Oden, Jr. (1946); Trustee since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 167 | 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). | 167 | 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. | 167 | 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). | 167 | 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. | 167 | 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 eight registered investment companies (167 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. |
56 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
** | 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 29, 2024 | J.P. Morgan Exchange-Traded Funds | 57 |
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) | Managing Director, J.P. Morgan Investment Management Inc. 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. Mr. House has been with J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2023) | Vice President, J.P. Morgan Investment Management Inc. Mr. Mannarino has been with J.P. Morgan Investment Management Inc. since 2014. |
58 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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)* | Executive Director, 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 September 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. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 59 |
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Inflation Managed Bond ETF | ||||
Actual | $1,000.00 | $1,027.30 | $1.26 | 0.25 % |
Hypothetical | 1,000.00 | 1,023.62 | 1.26 | 0.25 |
JPMorgan Realty Income ETF | ||||
Actual | 1,000.00 | 1,056.40 | 2.56 | 0.50 |
Hypothetical | 1,000.00 | 1,022.38 | 2.51 | 0.50 |
* | Expenses are equal to each Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
60 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 61 |
Qualified Interest Income | |
JPMorgan Inflation Managed Bond ETF | $18,174,643 |
Qualified Business Income | |
JPMorgan Realty Income ETF | $10,609,136 |
Income from U.S. Treasury Obligations | |
JPMorgan Inflation Managed Bond ETF | 27.6 % |
62 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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 | BBAG | NYSE Arca, Inc. |
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF | BBIP | Cboe BZX Exchange, Inc. |
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF | BBSB | Cboe BZX Exchange, Inc. |
JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF | BBLB | Cboe BZX Exchange, Inc. |
JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF | BBIB | Cboe BZX Exchange, Inc. |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF | BBHY | Cboe BZX Exchange, Inc. |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF | BBCB | NYSE Arca, Inc. |
JPMorgan USD Emerging Markets Sovereign Bond ETF | JPMB | NYSE Arca, Inc. |
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142 | |
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160 | |
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169 |
“The global economic outlook for the year ahead remains positive and financial markets appear more resilient than a year ago.” — 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 29, 2024 | J.P. Morgan Exchange-Traded Funds | 1 |
2 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 4.36% |
Market Price ** | 4.29% |
Bloomberg Short-Term U.S. Aggregate Bond Index | 4.52% |
Net Assets as of 2/29/2024 | $15,437,981 |
Duration as of 2/29/2024 | 2.7 Years |
Fund Ticker | BBSA |
PORTFOLIO COMPOSITION AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
U.S. Treasury Obligations | 59.1% |
Corporate Bonds | 25.5 |
Mortgage-Backed Securities | 6.7 |
Supranational | 2.5 |
Commercial Mortgage-Backed Securities | 1.9 |
U.S. Government Agency Securities | 1.5 |
Foreign Government Securities | 1.2 |
Others (each less than 1.0%) | 0.7 |
Short-Term Investments | 0.9 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 3 |
INCEPTION DATE | 1 YEAR | SINCE INCEPTION | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | |||
Net Asset Value | March 12, 2019 | 4.36 % | 1.14 % |
Market Price | 4.29 | 1.14 |
4 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 3.19% |
Market Price ** | 3.21% |
Bloomberg U.S. Aggregate Index | 3.33% |
Net Assets as of 2/29/2024 | $1,647,859,874 |
Duration as of 2/29/2024 | 6.1 Years |
Fund Ticker | BBAG |
PORTFOLIO COMPOSITION AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
U.S. Treasury Obligations | 39.5% |
Mortgage-Backed Securities | 25.1 |
Corporate Bonds | 23.5 |
Foreign Government Securities | 1.7 |
Commercial Mortgage-Backed Securities | 1.5 |
Supranational | 1.2 |
U.S. Government Agency Securities | 1.1 |
Others (each less than 1.0%) | 0.9 |
Short-Term Investments | 5.5 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 5 |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF | ||||
Net Asset Value | December 12, 2018 | 3.19 % | 0.36 % | 0.70 % |
Market Price | 3.21 | 0.34 | 0.71 |
6 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 2.18% |
Market Price ** | 2.26% |
ICE 0-5 Year U.S. Inflation-Linked Treasury Index | 2.22% |
Net Assets as of 2/29/2024 | $7,609,054 |
Duration as of 2/29/2024 | 2.5 Years |
Fund Ticker | BBIP |
PORTFOLIO COMPOSITION AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
U.S. Treasury Obligations | 99.8% |
Short-Term Investments | 0.2 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 7 |
INCEPTION DATE | CUMULATIVE SINCE INCEPTION | |
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF | ||
Net Asset Value | May 10, 2023 | 2.18 % |
Market Price | 2.26 |
8 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 2.71% |
Market Price ** | 2.76% |
ICE U.S. Treasury 1-3 Year Bond Index | 2.77% |
Net Assets as of 2/29/2024 | $4,422,674 |
Duration as of 2/29/2024 | 1.9 Years |
Fund Ticker | BBSB |
PORTFOLIO COMPOSITION AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
U.S. Treasury Obligations | 99.7% |
Short-Term Investments | 0.3 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 9 |
INCEPTION DATE | CUMULATIVE SINCE INCEPTION | |
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF | ||
Net Asset Value | April 19, 2023 | 2.71 % |
Market Price | 2.76 |
10 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | (6.66)% |
Market Price ** | (6.67)% |
ICE U.S. Treasury 20+ Year Bond Index | (6.68)% |
Net Assets as of 2/29/2024 | $31,225,422 |
Duration as of 2/29/2024 | 16.9 Years |
Fund Ticker | BBLB |
PORTFOLIO COMPOSITION AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
U.S. Treasury Obligations | 100.0% |
Short-Term Investments | 0.0**** |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 11 |
INCEPTION DATE | CUMULATIVE SINCE INCEPTION | |
JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF | ||
Net Asset Value | April 19, 2023 | (6.66 )% |
Market Price | (6.67 ) |
12 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 0.41% |
Market Price ** | 0.47% |
ICE U.S. Treasury 3-10 Year Bond Index | 0.45% |
Net Assets as of 2/29/2024 | $8,479,285 |
Duration as of 2/29/2024 | 5.0 Years |
Fund Ticker | BBIB |
PORTFOLIO COMPOSITION AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
U.S. Treasury Obligations | 99.8% |
Short-Term Investments | 0.2 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 13 |
INCEPTION DATE | CUMULATIVE SINCE INCEPTION | |
JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF | ||
Net Asset Value | April 19, 2023 | 0.41 % |
Market Price | 0.47 |
14 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 10.31% |
Market Price ** | 10.43% |
ICE BofA US High Yield Total Return Index | 11.04% |
Net Assets as of 2/29/2024 | $800,279,184 |
Duration as of 2/29/2024 | 3.5 Years |
Fund Ticker | BBHY |
PORTFOLIO COMPOSITION BY INDUSTRY AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
Oil, Gas & Consumable Fuels | 10.7% |
Hotels, Restaurants & Leisure | 8.2 |
Media | 6.5 |
Diversified Telecommunication Services | 5.1 |
Health Care Providers & Services | 4.0 |
Specialty Retail | 3.5 |
Commercial Services & Supplies | 3.1 |
Software | 2.9 |
Containers & Packaging | 2.8 |
Financial Services | 2.8 |
Chemicals | 2.8 |
Automobile Components | 2.5 |
Metals & Mining | 2.2 |
Consumer Finance | 2.1 |
Insurance | 2.1 |
Aerospace & Defense | 2.1 |
Electric Utilities | 1.8 |
Building Products | 1.8 |
Energy Equipment & Services | 1.7 |
Trading Companies & Distributors | 1.6 |
Household Durables | 1.6 |
Passenger Airlines | 1.5 |
Pharmaceuticals | 1.5 |
Food Products | 1.4 |
Broadline Retail | 1.3 |
Machinery | 1.2 |
Ground Transportation | 1.1 |
Wireless Telecommunication Services | 1.1 |
Consumer Staples Distribution & Retail | 1.0 |
Health Care Equipment & Supplies | 1.0 |
Others (each less than 1.0%) | 16.0 |
Short-Term Investments | 1.0 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 15 |
16 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF | ||||
Net Asset Value | September 14, 2016 | 10.31 % | 3.60 % | 4.01 % |
Market Price | 10.43 | 3.64 | 4.02 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 17 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 5.65% |
Market Price ** | 5.58% |
Bloomberg U.S. Corporate Index | 5.97% |
Net Assets as of 2/29/2024 | $47,418,728 |
Duration as of 2/29/2024 | 6.9 Years |
Fund Ticker | BBCB |
PORTFOLIO COMPOSITION AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
Corporate Bonds | 99.9% |
Short-Term Investments | 0.1 |
18 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF | ||||
Net Asset Value | December 12, 2018 | 5.65 % | 1.57 % | 2.13 % |
Market Price | 5.58 | 1.51 | 2.12 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 19 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 7.23% |
Market Price ** | 6.59% |
JPMorgan Emerging Markets Risk-Aware Bond Index | 7.59% |
Net Assets as of 2/29/2024 | $657,694,641 |
Duration as of 2/29/2024 | 7.1 Years |
Fund Ticker | JPMB |
PORTFOLIO COMPOSITION BY COUNTRY AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
Turkey | 8.1% |
Mexico | 8.0 |
Brazil | 5.8 |
Oman | 5.4 |
South Africa | 4.8 |
Dominican Republic | 4.7 |
Saudi Arabia | 4.7 |
Colombia | 4.6 |
Bahrain | 4.5 |
Indonesia | 4.2 |
United Arab Emirates | 3.8 |
Qatar | 3.4 |
Nigeria | 3.2 |
Philippines | 3.1 |
Chile | 2.8 |
China | 2.8 |
Peru | 2.4 |
Panama | 2.3 |
Hungary | 2.1 |
Romania | 1.7 |
Malaysia | 1.7 |
Uruguay | 1.6 |
Poland | 1.5 |
Costa Rica | 1.3 |
Jordan | 1.3 |
Jamaica | 1.2 |
Morocco | 1.1 |
Others (each less than 1.0%) | 6.1 |
Short-Term Investments | 1.8 |
20 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 21 |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |
JPMorgan USD Emerging Markets Sovereign Bond ETF | ||||
Net Asset Value | January 29, 2018 | 7.23 % | 0.84 % | 0.73 % |
Market Price | 6.59 | 0.79 | 0.71 |
22 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — 59.0% | ||
U.S. Treasury Bonds 7.63%, 2/15/2025 | 80,000 | 82,137 |
U.S. Treasury Notes | ||
1.00%, 12/15/2024 | 107,000 | 103,589 |
0.25%, 5/31/2025 | 618,000 | 583,286 |
2.88%, 5/31/2025 | 118,000 | 115,101 |
0.25%, 6/30/2025 | 64,000 | 60,225 |
4.63%, 6/30/2025 | 195,000 | 194,375 |
4.75%, 7/31/2025 | 196,000 | 195,755 |
2.00%, 8/15/2025 | 5,000 | 4,803 |
0.25%, 8/31/2025 | 87,000 | 81,314 |
0.25%, 9/30/2025 | 89,000 | 82,913 |
4.25%, 10/15/2025 | 100,000 | 99,191 |
2.25%, 11/15/2025 | 9,000 | 8,636 |
0.38%, 11/30/2025 | 1,190,000 | 1,104,004 |
0.38%, 12/31/2025 | 217,000 | 200,750 |
2.63%, 12/31/2025 | 48,000 | 46,281 |
0.38%, 1/31/2026 | 7,000 | 6,454 |
0.50%, 2/28/2026 | 108,000 | 99,562 |
0.75%, 3/31/2026 | 217,000 | 200,640 |
0.75%, 4/30/2026 | 119,000 | 109,685 |
0.75%, 5/31/2026 | 6,000 | 5,516 |
0.88%, 6/30/2026 | 218,000 | 200,594 |
0.63%, 7/31/2026 | 10,000 | 9,117 |
0.75%, 8/31/2026 | 731,000 | 666,809 |
0.88%, 9/30/2026 | 220,000 | 200,922 |
1.63%, 9/30/2026 | 215,000 | 200,236 |
4.63%, 10/15/2026 | 50,000 | 50,168 |
1.13%, 10/31/2026 | 259,000 | 237,390 |
1.63%, 10/31/2026 | 39,000 | 36,227 |
1.25%, 11/30/2026 | 339,000 | 311,138 |
1.63%, 11/30/2026 | 57,000 | 52,872 |
1.25%, 12/31/2026 | 218,000 | 199,742 |
1.50%, 1/31/2027 | 34,000 | 31,301 |
0.63%, 3/31/2027 | 19,000 | 16,955 |
0.50%, 6/30/2027 | 391,000 | 344,355 |
0.38%, 7/31/2027 | 172,000 | 150,339 |
0.50%, 8/31/2027 | 300,000 | 262,687 |
4.13%, 10/31/2027 | 100,000 | 99,187 |
3.88%, 12/31/2027 | 20,000 | 19,667 |
0.75%, 1/31/2028 | 87,000 | 75,867 |
3.50%, 1/31/2028 | 350,000 | 339,500 |
2.75%, 2/15/2028 | 200,000 | 188,547 |
1.13%, 2/29/2028 | 75,000 | 66,258 |
3.63%, 3/31/2028 | 50,000 | 48,695 |
2.88%, 5/15/2028 | 5,000 | 4,725 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
1.25%, 5/31/2028 | 94,000 | 82,918 |
3.63%, 5/31/2028 | 203,000 | 197,624 |
1.25%, 6/30/2028 | 104,000 | 91,544 |
1.00%, 7/31/2028 | 232,000 | 201,496 |
4.13%, 7/31/2028 | 195,000 | 193,629 |
2.88%, 8/15/2028 | 61,000 | 57,493 |
1.13%, 8/31/2028 | 231,000 | 201,277 |
4.38%, 8/31/2028 | 199,000 | 199,637 |
4.63%, 9/30/2028 | 198,000 | 200,676 |
1.38%, 10/31/2028 | 174,000 | 152,780 |
1.50%, 11/30/2028 | 179,000 | 157,814 |
1.38%, 12/31/2028 | 175,000 | 153,016 |
1.75%, 1/31/2029 | 29,000 | 25,781 |
Total U.S. Treasury Obligations (Cost $9,313,207) | 9,113,200 | |
Corporate Bonds — 25.5% | ||
Aerospace & Defense — 0.5% | ||
Boeing Co. (The) | ||
2.60%, 10/30/2025 | 48,000 | 45,757 |
2.75%, 2/1/2026 | 15,000 | 14,242 |
HEICO Corp. 5.25%, 8/1/2028 | 8,000 | 8,051 |
Leidos, Inc. 3.63%, 5/15/2025 | 4,000 | 3,906 |
Lockheed Martin Corp. 3.55%, 1/15/2026 | 2,000 | 1,948 |
73,904 | ||
Automobiles — 0.3% | ||
Ford Motor Co. 6.63%, 10/1/2028 | 6,000 | 6,268 |
Toyota Motor Corp. (Japan) | ||
1.34%, 3/25/2026 | 41,000 | 38,064 |
3.67%, 7/20/2028 | 5,000 | 4,848 |
49,180 | ||
Banks — 6.7% | ||
Bangko Sentral ng Pilipinas International Bond (Philippines) 8.60%, 6/15/2027 | 13,000 | 14,179 |
Bank of America Corp. | ||
Series L, 3.95%, 4/21/2025 | 18,000 | 17,703 |
(SOFR + 1.01%), 1.20%, 10/24/2026 (a) | 31,000 | 28,881 |
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (a) | 20,000 | 18,568 |
(SOFR + 0.96%), 1.73%, 7/22/2027 (a) | 5,000 | 4,584 |
Series L, 4.18%, 11/25/2027 | 57,000 | 55,042 |
(SOFR + 1.58%), 4.38%, 4/27/2028 (a) | 6,000 | 5,840 |
Bank of Montreal (Canada) | ||
(SOFR + 0.60%), 0.95%, 1/22/2027 (a) | 11,000 | 10,149 |
2.65%, 3/8/2027 | 39,000 | 36,387 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 23 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
BankUnited, Inc. 4.88%, 11/17/2025 | 32,000 | 31,152 |
Barclays plc (United Kingdom) 3.65%, 3/16/2025 | 40,000 | 39,165 |
Citigroup, Inc. | ||
4.13%, 7/25/2028 | 15,000 | 14,236 |
(3-MONTH CME TERM SOFR + 1.41%), 3.52%, 10/27/2028 (a) | 10,000 | 9,393 |
(3-MONTH CME TERM SOFR + 1.45%), 4.08%, 4/23/2029 (a) | 99,000 | 94,460 |
Citizens Financial Group, Inc. 2.85%, 7/27/2026 | 37,000 | 34,573 |
Fifth Third Bancorp (SOFR + 1.36%), 4.06%, 4/25/2028 (a) | 22,000 | 20,808 |
HSBC Holdings plc (United Kingdom) (SOFR + 1.29%), 1.59%, 5/24/2027 (a) | 25,000 | 22,885 |
KeyCorp 4.15%, 10/29/2025 | 8,000 | 7,756 |
Kreditanstalt fuer Wiederaufbau (Germany) | ||
1.25%, 1/31/2025 | 23,000 | 22,207 |
1.00%, 10/1/2026 | 28,000 | 25,621 |
Landwirtschaftliche Rentenbank (Germany) 0.88%, 3/30/2026 | 39,000 | 36,082 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
3.68%, 2/22/2027 | 45,000 | 43,372 |
3.96%, 3/2/2028 | 21,000 | 20,227 |
Oesterreichische Kontrollbank AG (Austria) | ||
4.13%, 1/20/2026 | 40,000 | 39,525 |
0.50%, 2/2/2026 | 5,000 | 4,613 |
PNC Financial Services Group, Inc. (The) (SOFR + 1.84%), 5.58%, 6/12/2029 (a) | 6,000 | 6,038 |
Regions Financial Corp. 1.80%, 8/12/2028 | 14,000 | 11,923 |
Royal Bank of Canada (Canada) 1.20%, 4/27/2026 | 23,000 | 21,166 |
Santander Holdings USA, Inc. | ||
(SOFR + 2.33%), 5.81%, 9/9/2026 (a) | 6,000 | 5,986 |
(SOFR + 1.25%), 2.49%, 1/6/2028 (a) | 5,000 | 4,522 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
3.01%, 10/19/2026 | 61,000 | 57,750 |
3.94%, 7/19/2028 | 8,000 | 7,657 |
4.31%, 10/16/2028 | 6,000 | 5,870 |
Toronto-Dominion Bank (The) (Canada) | ||
0.75%, 9/11/2025 | 5,000 | 4,685 |
2.80%, 3/10/2027 | 6,000 | 5,627 |
(USD Swap Semi 5 Year + 2.21%), 3.63%, 9/15/2031 (a) (b) | 7,000 | 6,680 |
Truist Financial Corp. | ||
3.70%, 6/5/2025 | 6,000 | 5,868 |
(SOFR + 1.37%), 4.12%, 6/6/2028 (a) | 17,000 | 16,334 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
US Bancorp | ||
Series X, 3.15%, 4/27/2027 | 30,000 | 28,325 |
(SOFR + 0.73%), 2.22%, 1/27/2028 (a) | 35,000 | 32,058 |
Wells Fargo & Co. | ||
3.00%, 4/22/2026 | 8,000 | 7,633 |
(SOFR + 1.32%), 3.91%, 4/25/2026 (a) | 10,000 | 9,807 |
(SOFR + 2.00%), 2.19%, 4/30/2026 (a) | 63,000 | 60,450 |
(3-MONTH CME TERM SOFR + 1.43%), 3.20%, 6/17/2027 (a) | 18,000 | 17,133 |
4.15%, 1/24/2029 | 10,000 | 9,571 |
Westpac Banking Corp. (Australia) | ||
5.46%, 11/18/2027 | 14,000 | 14,234 |
3.40%, 1/25/2028 | 41,000 | 38,825 |
1,035,550 | ||
Beverages — 0.7% | ||
Anheuser-Busch Cos. LLC (Belgium) 3.65%, 2/1/2026 | 5,000 | 4,875 |
Coca-Cola Co. (The) 1.45%, 6/1/2027 | 40,000 | 36,191 |
Keurig Dr. Pepper, Inc. | ||
3.40%, 11/15/2025 | 2,000 | 1,937 |
2.55%, 9/15/2026 | 33,000 | 30,947 |
PepsiCo, Inc. | ||
2.25%, 3/19/2025 | 26,000 | 25,251 |
2.85%, 2/24/2026 | 10,000 | 9,617 |
108,818 | ||
Biotechnology — 0.3% | ||
AbbVie, Inc. 3.80%, 3/15/2025 | 12,000 | 11,757 |
Amgen, Inc. 1.65%, 8/15/2028 | 42,000 | 36,538 |
Baxalta, Inc. 4.00%, 6/23/2025 | 4,000 | 3,928 |
52,223 | ||
Building Products — 0.0% ^ | ||
Lennox International, Inc. 1.35%, 8/1/2025 | 2,000 | 1,885 |
Capital Markets — 3.4% | ||
Ameriprise Financial, Inc. 2.88%, 9/15/2026 | 2,000 | 1,897 |
Ares Capital Corp. | ||
4.25%, 3/1/2025 | 5,000 | 4,901 |
3.25%, 7/15/2025 | 16,000 | 15,372 |
2.88%, 6/15/2028 | 21,000 | 18,394 |
Bank of New York Mellon Corp. (The) 1.05%, 10/15/2026 | 55,000 | 49,681 |
Blue Owl Capital Corp. 2.88%, 6/11/2028 | 25,000 | 21,860 |
Charles Schwab Corp. (The) 2.00%, 3/20/2028 | 6,000 | 5,319 |
CME Group, Inc. 3.00%, 3/15/2025 | 12,000 | 11,725 |
24 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
Deutsche Bank AG (Germany) 4.10%, 1/13/2026 | 56,000 | 54,594 |
FactSet Research Systems, Inc. 2.90%, 3/1/2027 | 38,000 | 35,489 |
Franklin Resources, Inc. 2.85%, 3/30/2025 | 2,000 | 1,948 |
Goldman Sachs Group, Inc. (The) | ||
(SOFR + 0.80%), 1.43%, 3/9/2027 (a) | 24,000 | 22,184 |
(SOFR + 0.91%), 1.95%, 10/21/2027 (a) | 46,000 | 42,123 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (a) | 14,000 | 12,971 |
(3-MONTH CME TERM SOFR + 1.42%), 3.81%, 4/23/2029 (a) | 24,000 | 22,672 |
(3-MONTH CME TERM SOFR + 1.56%), 4.22%, 5/1/2029 (a) | 7,000 | 6,712 |
Intercontinental Exchange, Inc. 3.75%, 12/1/2025 | 7,000 | 6,826 |
Janus Henderson US Holdings, Inc. 4.88%, 8/1/2025 | 28,000 | 27,670 |
Morgan Stanley | ||
5.00%, 11/24/2025 | 14,000 | 13,917 |
(SOFR + 0.72%), 0.99%, 12/10/2026 (a) | 65,000 | 59,975 |
3.95%, 4/23/2027 | 16,000 | 15,400 |
(SOFR + 0.88%), 1.59%, 5/4/2027 (a) | 14,000 | 12,907 |
3.59%, 7/22/2028 (c) | 5,000 | 4,732 |
(3-MONTH CME TERM SOFR + 1.89%), 4.43%, 1/23/2030 (a) | 28,000 | 26,888 |
State Street Corp. (SOFR + 0.73%), 2.20%, 2/7/2028 (a) | 29,000 | 26,678 |
522,835 | ||
Chemicals — 0.1% | ||
Air Products and Chemicals, Inc. 1.85%, 5/15/2027 | 9,000 | 8,226 |
DuPont de Nemours, Inc. 4.49%, 11/15/2025 | 10,000 | 9,884 |
LYB International Finance III LLC 1.25%, 10/1/2025 | 5,000 | 4,674 |
22,784 | ||
Consumer Finance — 0.7% | ||
American Express Co. 1.65%, 11/4/2026 | 17,000 | 15,543 |
American Honda Finance Corp. | ||
1.20%, 7/8/2025 | 15,000 | 14,227 |
1.00%, 9/10/2025 | 17,000 | 15,976 |
2.25%, 1/12/2029 | 12,000 | 10,656 |
Capital One Financial Corp. (SOFR + 2.06%), 4.93%, 5/10/2028 (a) | 11,000 | 10,760 |
Caterpillar Financial Services Corp. 1.10%, 9/14/2027 | 6,000 | 5,287 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Consumer Finance — continued | ||
PACCAR Financial Corp. 2.00%, 2/4/2027 | 2,000 | 1,845 |
Synchrony Financial 3.95%, 12/1/2027 | 24,000 | 22,230 |
Toyota Motor Credit Corp. | ||
0.80%, 10/16/2025 | 3,000 | 2,804 |
3.05%, 3/22/2027 | 17,000 | 16,121 |
115,449 | ||
Consumer Staples Distribution & Retail — 0.2% | ||
Costco Wholesale Corp. 1.38%, 6/20/2027 | 3,000 | 2,696 |
Dollar General Corp. 3.88%, 4/15/2027 | 12,000 | 11,532 |
Kroger Co. (The) 3.50%, 2/1/2026 | 2,000 | 1,938 |
Walgreens Boots Alliance, Inc. 3.45%, 6/1/2026 | 9,000 | 8,582 |
24,748 | ||
Containers & Packaging — 0.2% | ||
Berry Global, Inc. 1.57%, 1/15/2026 | 26,000 | 24,221 |
WRKCo, Inc. 4.65%, 3/15/2026 | 3,000 | 2,961 |
27,182 | ||
Distributors — 0.2% | ||
LKQ Corp. 5.75%, 6/15/2028 | 24,000 | 24,242 |
Diversified REITs — 0.3% | ||
Simon Property Group LP | ||
3.50%, 9/1/2025 | 33,000 | 32,196 |
3.38%, 12/1/2027 | 9,000 | 8,489 |
40,685 | ||
Diversified Telecommunication Services — 0.5% | ||
AT&T, Inc. | ||
3.88%, 1/15/2026 | 8,000 | 7,804 |
1.65%, 2/1/2028 | 16,000 | 14,080 |
Verizon Communications, Inc. | ||
0.85%, 11/20/2025 | 31,000 | 28,769 |
3.00%, 3/22/2027 | 13,000 | 12,232 |
2.10%, 3/22/2028 | 12,000 | 10,684 |
4.33%, 9/21/2028 | 6,000 | 5,825 |
79,394 | ||
Electric Utilities — 1.0% | ||
American Electric Power Co., Inc. Series N, 1.00%, 11/1/2025 | 2,000 | 1,857 |
Eversource Energy Series Q, 0.80%, 8/15/2025 | 44,000 | 41,070 |
ITC Holdings Corp. 3.25%, 6/30/2026 | 10,000 | 9,551 |
NextEra Energy Capital Holdings, Inc. (3-MONTH SOFR + 2.41%), 4.80%, 12/1/2077 (a) | 7,000 | 6,339 |
Pacific Gas and Electric Co. | ||
3.15%, 1/1/2026 | 4,000 | 3,825 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 25 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
2.95%, 3/1/2026 | 6,000 | 5,695 |
3.00%, 6/15/2028 | 5,000 | 4,537 |
Public Service Electric and Gas Co. 0.95%, 3/15/2026 | 10,000 | 9,254 |
Union Electric Co. 2.95%, 6/15/2027 | 29,000 | 27,235 |
Virginia Electric and Power Co. Series A, 3.80%, 4/1/2028 | 45,000 | 43,104 |
152,467 | ||
Electrical Equipment — 0.2% | ||
Emerson Electric Co. | ||
0.88%, 10/15/2026 | 25,000 | 22,596 |
2.00%, 12/21/2028 | 7,000 | 6,174 |
28,770 | ||
Electronic Equipment, Instruments & Components — 0.2% | ||
Amphenol Corp. 2.05%, 3/1/2025 | 28,000 | 27,062 |
Jabil, Inc. 3.95%, 1/12/2028 | 5,000 | 4,729 |
31,791 | ||
Energy Equipment & Services — 0.4% | ||
Baker Hughes Holdings LLC 3.34%, 12/15/2027 | 33,000 | 31,119 |
Schlumberger Investment SA 4.50%, 5/15/2028 | 29,000 | 28,723 |
59,842 | ||
Entertainment — 0.2% | ||
TWDC Enterprises 18 Corp. 2.95%, 6/15/2027 | 5,000 | 4,735 |
Walt Disney Co. (The) 3.35%, 3/24/2025 | 21,000 | 20,579 |
25,314 | ||
Financial Services — 1.1% | ||
Block Financial LLC 2.50%, 7/15/2028 | 37,000 | 32,588 |
Corebridge Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.88%, 12/15/2052 (a) | 5,000 | 4,995 |
Global Payments, Inc. 4.95%, 8/15/2027 | 10,000 | 9,902 |
PayPal Holdings, Inc. 1.65%, 6/1/2025 | 33,000 | 31,595 |
Private Export Funding Corp. Series PP, 1.40%, 7/15/2028 | 37,000 | 32,407 |
Shell International Finance BV (Netherlands) 3.88%, 11/13/2028 | 13,000 | 12,544 |
Visa, Inc. | ||
0.75%, 8/15/2027 | 8,000 | 7,025 |
2.75%, 9/15/2027 | 38,000 | 35,590 |
Voya Financial, Inc. (3-MONTH SOFR + 2.08%), 4.70%, 1/23/2048 (a) | 10,000 | 8,406 |
175,052 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Food Products — 0.1% | ||
Hormel Foods Corp. 1.70%, 6/3/2028 | 5,000 | 4,414 |
Kellanova 3.25%, 4/1/2026 | 8,000 | 7,690 |
12,104 | ||
Ground Transportation — 0.4% | ||
BNSF Funding Trust I (3-MONTH SOFR + 2.35%), 6.61%, 12/15/2055 (a) | 3,000 | 2,966 |
CSX Corp. 3.80%, 3/1/2028 | 28,000 | 26,930 |
JB Hunt Transport Services, Inc. 3.88%, 3/1/2026 | 5,000 | 4,880 |
Ryder System, Inc. 4.63%, 6/1/2025 | 12,000 | 11,887 |
Union Pacific Corp. 2.15%, 2/5/2027 | 12,000 | 11,124 |
57,787 | ||
Health Care Providers & Services — 0.8% | ||
Advocate Health & Hospitals Corp. 3.83%, 8/15/2028 | 5,000 | 4,800 |
Cencora, Inc. 3.25%, 3/1/2025 | 18,000 | 17,605 |
CVS Health Corp. 1.30%, 8/21/2027 | 60,000 | 52,733 |
Elevance Health, Inc. 1.50%, 3/15/2026 | 10,000 | 9,289 |
Humana, Inc. 1.35%, 2/3/2027 | 5,000 | 4,486 |
Sutter Health Series 20A, 1.32%, 8/15/2025 | 31,000 | 29,157 |
UnitedHealth Group, Inc. 1.15%, 5/15/2026 | 10,000 | 9,216 |
127,286 | ||
Health Care REITs — 0.0% ^ | ||
Welltower OP LLC 4.00%, 6/1/2025 | 5,000 | 4,908 |
Hotels, Restaurants & Leisure — 0.3% | ||
Expedia Group, Inc. 5.00%, 2/15/2026 | 6,000 | 5,960 |
Hyatt Hotels Corp. 4.85%, 3/15/2026 | 31,000 | 30,638 |
Starbucks Corp. 2.00%, 3/12/2027 | 5,000 | 4,581 |
41,179 | ||
Household Durables — 0.1% | ||
DR Horton, Inc. 1.40%, 10/15/2027 | 2,000 | 1,764 |
Lennar Corp. 5.00%, 6/15/2027 | 10,000 | 9,912 |
11,676 | ||
Household Products — 0.2% | ||
Procter & Gamble Co. (The) 2.80%, 3/25/2027 | 27,000 | 25,559 |
Industrial Conglomerates — 0.2% | ||
Honeywell International, Inc. 1.10%, 3/1/2027 | 42,000 | 37,738 |
Industrial REITs — 0.0% ^ | ||
Prologis LP 2.13%, 4/15/2027 | 4,000 | 3,671 |
Insurance — 0.4% | ||
Aflac, Inc. 1.13%, 3/15/2026 | 30,000 | 27,711 |
26 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Insurance — continued | ||
Assurant, Inc. 4.90%, 3/27/2028 | 9,000 | 8,816 |
Berkshire Hathaway Finance Corp. 2.30%, 3/15/2027 | 6,000 | 5,616 |
Enstar Finance LLC (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.47%), 5.75%, 9/1/2040 (a) | 7,000 | 6,701 |
Prudential Financial, Inc. 1.50%, 3/10/2026 | 10,000 | 9,317 |
58,161 | ||
Interactive Media & Services — 0.2% | ||
Alphabet, Inc. 0.80%, 8/15/2027 | 38,000 | 33,570 |
IT Services — 0.2% | ||
DXC Technology Co. 2.38%, 9/15/2028 | 37,000 | 31,899 |
Kyndryl Holdings, Inc. 2.05%, 10/15/2026 | 5,000 | 4,567 |
36,466 | ||
Machinery — 0.0% ^ | ||
Otis Worldwide Corp. 5.25%, 8/16/2028 | 7,000 | 7,060 |
Media — 0.4% | ||
Charter Communications Operating LLC 3.75%, 2/15/2028 | 15,000 | 13,853 |
Comcast Corp. | ||
3.38%, 8/15/2025 | 12,000 | 11,714 |
3.95%, 10/15/2025 | 29,000 | 28,497 |
54,064 | ||
Metals & Mining — 0.2% | ||
ArcelorMittal SA (Luxembourg) 4.55%, 3/11/2026 | 11,000 | 10,834 |
BHP Billiton Finance USA Ltd. (Australia) | ||
6.42%, 3/1/2026 | 1,000 | 1,025 |
4.75%, 2/28/2028 | 5,000 | 4,965 |
Nucor Corp. 2.00%, 6/1/2025 | 7,000 | 6,716 |
23,540 | ||
Multi-Utilities — 0.4% | ||
DTE Energy Co. Series F, 1.05%, 6/1/2025 | 38,000 | 35,996 |
NiSource, Inc. 0.95%, 8/15/2025 | 33,000 | 30,973 |
66,969 | ||
Oil, Gas & Consumable Fuels — 0.9% | ||
BP Capital Markets plc (United Kingdom) 3.72%, 11/28/2028 | 10,000 | 9,494 |
Cheniere Energy, Inc. 4.63%, 10/15/2028 | 5,000 | 4,802 |
Chevron Corp. 2.00%, 5/11/2027 | 10,000 | 9,193 |
Energy Transfer LP | ||
2.90%, 5/15/2025 | 5,000 | 4,840 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
4.75%, 1/15/2026 | 7,000 | 6,921 |
Equinor ASA (Norway) 1.75%, 1/22/2026 | 6,000 | 5,650 |
Marathon Petroleum Corp. 4.70%, 5/1/2025 | 21,000 | 20,797 |
MPLX LP 4.00%, 3/15/2028 | 5,000 | 4,788 |
ONEOK, Inc. 2.20%, 9/15/2025 | 29,000 | 27,584 |
Ovintiv, Inc. 5.65%, 5/15/2025 | 15,000 | 15,002 |
Petroleos Mexicanos (Mexico) 6.84%, 1/23/2030 (d) | 1 | 1 |
Pioneer Natural Resources Co. 1.13%, 1/15/2026 | 15,000 | 13,915 |
Sabine Pass Liquefaction LLC 4.20%, 3/15/2028 | 5,000 | 4,825 |
TotalEnergies Capital International SA (France) 3.46%, 2/19/2029 | 18,000 | 16,907 |
144,719 | ||
Paper & Forest Products — 0.2% | ||
Suzano Austria GmbH (Brazil) 2.50%, 9/15/2028 | 37,000 | 32,320 |
Pharmaceuticals — 0.7% | ||
AstraZeneca plc (United Kingdom) | ||
0.70%, 4/8/2026 | 16,000 | 14,646 |
4.00%, 1/17/2029 | 16,000 | 15,446 |
GlaxoSmithKline Capital, Inc. (United Kingdom) 3.63%, 5/15/2025 | 2,000 | 1,965 |
Johnson & Johnson | ||
2.45%, 3/1/2026 | 5,000 | 4,784 |
0.95%, 9/1/2027 | 12,000 | 10,611 |
2.90%, 1/15/2028 | 15,000 | 14,187 |
Merck & Co., Inc. | ||
1.70%, 6/10/2027 | 34,000 | 30,793 |
1.90%, 12/10/2028 | 13,000 | 11,476 |
103,908 | ||
Professional Services — 0.1% | ||
Concentrix Corp. 6.60%, 8/2/2028 | 14,000 | 14,064 |
Residential REITs — 0.0% ^ | ||
AvalonBay Communities, Inc. 3.50%, 11/15/2025 | 2,000 | 1,944 |
Retail REITs — 0.1% | ||
Agree LP 2.00%, 6/15/2028 | 6,000 | 5,221 |
Brixmor Operating Partnership LP 3.90%, 3/15/2027 | 6,000 | 5,716 |
10,937 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 27 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Semiconductors & Semiconductor Equipment — 0.1% | ||
NVIDIA Corp. 1.55%, 6/15/2028 | 7,000 | 6,193 |
QUALCOMM, Inc. 1.30%, 5/20/2028 | 18,000 | 15,650 |
21,843 | ||
Software — 0.3% | ||
Microsoft Corp. 3.30%, 2/6/2027 | 7,000 | 6,762 |
Roper Technologies, Inc. 1.00%, 9/15/2025 | 37,000 | 34,649 |
41,411 | ||
Specialized REITs — 0.5% | ||
American Tower Corp. 1.30%, 9/15/2025 | 11,000 | 10,345 |
Crown Castle, Inc. | ||
5.00%, 1/11/2028 | 5,000 | 4,927 |
3.80%, 2/15/2028 | 6,000 | 5,650 |
4.80%, 9/1/2028 | 7,000 | 6,825 |
CubeSmart LP 2.25%, 12/15/2028 | 18,000 | 15,657 |
Equinix, Inc. | ||
1.25%, 7/15/2025 | 16,000 | 15,096 |
2.00%, 5/15/2028 | 8,000 | 7,054 |
Public Storage Operating Co. 0.88%, 2/15/2026 | 10,000 | 9,228 |
74,782 | ||
Specialty Retail — 0.5% | ||
Home Depot, Inc. (The) 3.35%, 9/15/2025 | 5,000 | 4,877 |
Lowe's Cos., Inc. | ||
3.38%, 9/15/2025 | 6,000 | 5,837 |
1.70%, 9/15/2028 | 41,000 | 35,625 |
O'Reilly Automotive, Inc. 3.60%, 9/1/2027 | 31,000 | 29,532 |
75,871 | ||
Technology Hardware, Storage & Peripherals — 0.2% | ||
Apple, Inc. | ||
3.00%, 11/13/2027 | 15,000 | 14,188 |
1.20%, 2/8/2028 | 6,000 | 5,273 |
4.00%, 5/10/2028 | 5,000 | 4,896 |
Dell International LLC 5.85%, 7/15/2025 | 14,000 | 14,061 |
38,418 | ||
Tobacco — 0.3% | ||
BAT Capital Corp. (United Kingdom) 2.26%, 3/25/2028 | 10,000 | 8,847 |
BAT International Finance plc (United Kingdom) 5.93%, 2/2/2029 | 36,000 | 36,749 |
Philip Morris International, Inc. 1.50%, 5/1/2025 | 3,000 | 2,874 |
48,470 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Trading Companies & Distributors — 0.2% | ||
Air Lease Corp. | ||
2.88%, 1/15/2026 | 20,000 | 19,079 |
2.10%, 9/1/2028 | 10,000 | 8,684 |
GATX Corp. 3.25%, 9/15/2026 | 5,000 | 4,765 |
32,528 | ||
Water Utilities — 0.1% | ||
American Water Capital Corp. 2.95%, 9/1/2027 | 18,000 | 16,783 |
Wireless Telecommunication Services — 0.2% | ||
T-Mobile USA, Inc. 3.50%, 4/15/2025 | 28,000 | 27,379 |
Total Corporate Bonds (Cost $3,965,927) | 3,939,230 | |
Mortgage-Backed Securities — 6.7% | ||
FHLMC Gold Pools, 15 Year | ||
Pool # J14776, 3.00%, 3/1/2026 | 2,718 | 2,659 |
Pool # G18568, 2.50%, 9/1/2030 | 5,990 | 5,631 |
Pool # J33012, 3.00%, 10/1/2030 | 14,498 | 13,833 |
Pool # G18600, 2.50%, 5/1/2031 | 4,527 | 4,236 |
Pool # J35495, 2.50%, 10/1/2031 | 9,175 | 8,598 |
Pool # G18632, 3.00%, 2/1/2032 | 4,807 | 4,555 |
Pool # J37147, 3.00%, 6/1/2032 | 5,246 | 4,946 |
Pool # G18715, 3.00%, 12/1/2033 | 3,409 | 3,197 |
FHLMC UMBS, 15 Year | ||
Pool # ZS8617, 2.50%, 8/1/2031 | 10,148 | 9,493 |
Pool # ZS7938, 2.50%, 1/1/2033 | 1,370 | 1,272 |
Pool # ZK9341, 3.00%, 3/1/2033 | 1,742 | 1,631 |
Pool # ZT0716, 3.00%, 10/1/2033 | 1,811 | 1,695 |
Pool # SB0194, 2.50%, 12/1/2033 | 3,875 | 3,597 |
Pool # SB0109, 2.50%, 11/1/2034 | 6,823 | 6,252 |
Pool # SB0264, 2.50%, 2/1/2035 | 9,889 | 9,037 |
Pool # SB0401, 2.00%, 7/1/2035 | 15,002 | 13,335 |
Pool # SB0394, 2.50%, 7/1/2035 | 8,329 | 7,612 |
Pool # SB8501, 2.00%, 8/1/2035 | 11,550 | 10,266 |
Pool # SB0406, 2.50%, 8/1/2035 | 15,458 | 14,128 |
Pool # SB8058, 2.50%, 8/1/2035 | 11,161 | 10,138 |
Pool # RC1591, 1.50%, 10/1/2035 | 17,368 | 15,084 |
Pool # QN4278, 2.00%, 11/1/2035 | 6,107 | 5,423 |
Pool # QN4490, 1.50%, 12/1/2035 | 14,452 | 12,552 |
Pool # SB0450, 2.00%, 12/1/2035 | 28,975 | 25,870 |
Pool # SB8083, 1.50%, 1/1/2036 | 63,970 | 55,477 |
Pool # SB8102, 1.50%, 5/1/2036 | 22,927 | 19,881 |
Pool # SB8118, 1.50%, 9/1/2036 | 49,560 | 42,809 |
Pool # SB8141, 2.00%, 2/1/2037 | 80,342 | 70,873 |
Pool # SB8222, 4.50%, 4/1/2038 | 12,748 | 12,471 |
28 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
FNMA UMBS, 15 Year | ||
Pool # AV4793, 3.50%, 5/1/2029 | 6,273 | 6,041 |
Pool # AS4489, 2.50%, 3/1/2030 | 1,321 | 1,245 |
Pool # AL6583, 3.00%, 3/1/2030 | 2,901 | 2,771 |
Pool # AL9852, 3.00%, 9/1/2030 | 8,213 | 7,842 |
Pool # AS7467, 2.50%, 7/1/2031 | 4,855 | 4,542 |
Pool # FM6169, 3.50%, 5/1/2032 | 13,287 | 12,904 |
Pool # BM3276, 3.50%, 12/1/2032 | 6,150 | 5,909 |
Pool # CA1089, 3.00%, 2/1/2033 | 5,419 | 5,109 |
Pool # FM4036, 2.50%, 12/1/2033 | 6,661 | 6,192 |
Pool # BN3975, 3.00%, 1/1/2034 | 693 | 649 |
Pool # MA3631, 3.00%, 4/1/2034 | 5,762 | 5,374 |
Pool # MA3709, 2.50%, 6/1/2034 | 3,788 | 3,472 |
Pool # BJ5549, 3.00%, 8/1/2034 | 1,691 | 1,577 |
Pool # FM2403, 3.50%, 9/1/2034 | 6,301 | 6,023 |
Pool # FM5400, 2.50%, 10/1/2034 | 8,405 | 7,855 |
Pool # MA3828, 3.00%, 11/1/2034 | 5,940 | 5,540 |
Pool # BP5762, 2.50%, 6/1/2035 | 19,374 | 17,735 |
Pool # FM3936, 2.50%, 8/1/2035 | 3,645 | 3,387 |
Pool # CA7497, 2.50%, 10/1/2035 | 7,604 | 6,949 |
Pool # FM4850, 2.00%, 11/1/2035 | 12,959 | 11,519 |
Pool # FM5396, 2.00%, 12/1/2035 | 28,986 | 25,829 |
Pool # FM6510, 2.00%, 3/1/2036 | 28,596 | 25,483 |
Pool # FM6512, 2.00%, 3/1/2036 | 3,412 | 3,033 |
Pool # MA4298, 2.50%, 3/1/2036 | 16,435 | 15,020 |
Pool # CB0302, 1.50%, 5/1/2036 | 45,223 | 39,216 |
Pool # FM7113, 2.00%, 5/1/2036 | 3,493 | 3,105 |
Pool # MA4329, 2.00%, 5/1/2036 | 55,560 | 49,247 |
Pool # BP3507, 2.00%, 6/1/2036 | 55,025 | 48,908 |
Pool # CB0747, 2.50%, 6/1/2036 | 8,798 | 7,976 |
Pool # MA4384, 2.50%, 7/1/2036 | 4,125 | 3,747 |
Pool # FM9020, 2.00%, 9/1/2036 | 7,140 | 6,359 |
Pool # FM9367, 1.50%, 11/1/2036 | 43,601 | 37,807 |
Pool # MA4470, 2.00%, 11/1/2036 | 30,858 | 27,293 |
Pool # MA4497, 2.00%, 12/1/2036 | 29,913 | 26,421 |
Pool # MA4516, 2.00%, 1/1/2037 | 78,749 | 69,555 |
Pool # FS4759, 2.50%, 4/1/2037 | 45,117 | 41,121 |
FNMA/FHLMC UMBS, Single Family, 15 Year | ||
TBA, 1.50%, 3/25/2039 (e) | 5,000 | 4,311 |
TBA, 2.00%, 3/25/2039 (e) | 5,000 | 4,410 |
TBA, 2.50%, 3/25/2039 (e) | 7,000 | 6,346 |
TBA, 3.00%, 3/25/2039 (e) | 15,000 | 13,897 |
TBA, 3.50%, 3/25/2039 (e) | 5,000 | 4,730 |
TBA, 4.00%, 3/25/2039 (e) | 15,000 | 14,446 |
TBA, 5.00%, 3/25/2039 (e) | 5,000 | 4,956 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
TBA, 5.50%, 3/25/2039 (e) | 5,000 | 5,011 |
TBA, 6.00%, 3/25/2039 (e) | 5,000 | 5,061 |
GNMA II, 15 Year | ||
Pool # MA4559, 3.00%, 7/20/2032 | 4,242 | 4,011 |
Pool # MA7107, 2.50%, 1/20/2036 | 16,627 | 15,018 |
Total Mortgage-Backed Securities (Cost $1,126,917) | 1,031,503 | |
Supranational — 2.5% | ||
African Development Bank (Supranational) 0.88%, 3/23/2026 | 23,000 | 21,290 |
Asian Development Bank (Supranational) | ||
0.38%, 6/11/2024 | 16,000 | 15,784 |
2.00%, 1/22/2025 | 11,000 | 10,700 |
Asian Infrastructure Investment Bank (The) (Supranational) 0.50%, 5/28/2025 | 30,000 | 28,366 |
European Bank for Reconstruction & Development (Supranational) | ||
1.50%, 2/13/2025 | 5,000 | 4,833 |
0.50%, 11/25/2025 | 4,000 | 3,716 |
European Investment Bank (Supranational) 3.88%, 3/15/2028 | 35,000 | 34,307 |
Inter-American Development Bank (Supranational) | ||
0.50%, 9/23/2024 | 5,000 | 4,869 |
0.88%, 4/20/2026 | 56,000 | 51,743 |
1.13%, 7/20/2028 | 39,000 | 33,955 |
International Bank for Reconstruction & Development (Supranational) | ||
2.50%, 11/25/2024 | 25,000 | 24,509 |
0.63%, 4/22/2025 | 89,000 | 84,716 |
1.88%, 10/27/2026 | 34,000 | 31,750 |
1.38%, 4/20/2028 | 37,000 | 32,759 |
International Finance Corp. (Supranational) 0.75%, 10/8/2026 | 6,000 | 5,448 |
Total Supranational (Cost $395,855) | 388,745 | |
Commercial Mortgage-Backed Securities — 1.9% | ||
Benchmark Mortgage Trust Series 2019-B12, Class A2, 3.00%, 8/15/2052 | 6,118 | 6,028 |
CGMS Commercial Mortgage Trust Series 2017-B1, Class AAB, 3.24%, 8/15/2050 | 11,831 | 11,372 |
Citigroup Commercial Mortgage Trust | ||
Series 2016-C1, Class AAB, 3.00%, 5/10/2049 | 4,785 | 4,673 |
Series 2020-GC46, Class A2, 2.71%, 2/15/2053 | 20,000 | 18,418 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 29 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
CSAIL Commercial Mortgage Trust Series 2015-C3, Class A4, 3.72%, 8/15/2048 | 20,000 | 19,372 |
FHLMC, Multi-Family Structured Pass-Through Certificates Series K092, Class A1, 3.13%, 10/25/2028 | 131,834 | 126,615 |
FNMA ACES Series 2017-M10, Class AV2, 2.58%, 7/25/2024 (c) | 7,157 | 7,078 |
JPMBB Commercial Mortgage Securities Trust Series 2014-C19, Class C, 10.09%, 4/15/2047 (c) | 10,000 | 9,828 |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-JP1, Class D, 4.22%, 1/15/2049 (c) | 10,000 | 8,131 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2014-C19, Class A3, 3.25%, 12/15/2047 | 5,552 | 5,476 |
Series 2016-C31, Class A5, 3.10%, 11/15/2049 | 32,000 | 29,814 |
Wells Fargo Commercial Mortgage Trust Series 2015-C31, Class A4, 3.70%, 11/15/2048 | 24,000 | 23,201 |
WFRBS Commercial Mortgage Trust | ||
Series 2012-C10, Class B, 3.74%, 12/15/2045 | 11,074 | 9,556 |
Series 2014-C20, Class A5, 4.00%, 5/15/2047 | 11,023 | 10,966 |
Total Commercial Mortgage-Backed Securities (Cost $304,734) | 290,528 | |
U.S. Government Agency Securities — 1.5% | ||
FFCB Funding Corp. | ||
2.51%, 4/1/2025 | 4,000 | 3,893 |
3.32%, 2/25/2026 | 10,000 | 9,732 |
3.00%, 8/3/2026 | 7,000 | 6,744 |
1.00%, 10/7/2026 | 46,000 | 41,909 |
0.75%, 12/16/2026 | 18,000 | 16,116 |
FHLB | ||
0.66%, 10/28/2024 | 10,000 | 9,691 |
1.25%, 12/21/2026 | 75,000 | 68,672 |
FHLMC | ||
5.20%, 1/10/2025 | 5,000 | 4,987 |
4.00%, 2/28/2025 | 20,000 | 19,761 |
FNMA 0.50%, 11/7/2025 | 49,000 | 45,681 |
Tennessee Valley Authority 3.88%, 3/15/2028 | 10,000 | 9,803 |
Total U.S. Government Agency Securities (Cost $243,148) | 236,989 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — 1.2% | ||
Canada Government Bond 0.75%, 5/19/2026 | 10,000 | 9,193 |
Province of Alberta 1.00%, 5/20/2025 | 13,000 | 12,378 |
Province of British Columbia 0.90%, 7/20/2026 | 10,000 | 9,150 |
Province of Manitoba 1.50%, 10/25/2028 | 48,000 | 41,920 |
Province of Ontario | ||
0.63%, 1/21/2026 | 22,000 | 20,348 |
1.05%, 4/14/2026 | 8,000 | 7,406 |
Province of Quebec | ||
0.60%, 7/23/2025 | 21,000 | 19,770 |
3.63%, 4/13/2028 | 20,000 | 19,290 |
Republic of Panama 8.88%, 9/30/2027 | 8,000 | 8,622 |
Republic of Peru 4.13%, 8/25/2027 | 36,000 | 34,809 |
Republic of Poland 3.25%, 4/6/2026 | 7,000 | 6,809 |
Total Foreign Government Securities (Cost $194,752) | 189,695 | |
Asset-Backed Securities — 0.5% | ||
AmeriCredit Automobile Receivables Trust Series 2020-3, Class B, 0.76%, 12/18/2025 | 7,853 | 7,814 |
Capital One Multi-Asset Execution Trust Series 2022-A2, Class A, 3.49%, 5/15/2027 | 30,000 | 29,380 |
CarMax Auto Owner Trust Series 2021-1, Class A3, 0.34%, 12/15/2025 | 5,122 | 5,050 |
Discover Card Execution Note Trust Series 2022-A1, Class A1, 1.96%, 2/15/2027 | 10,000 | 9,688 |
Exeter Automobile Receivables Trust Series 2021-3A, Class C, 0.96%, 10/15/2026 | 6,193 | 6,092 |
Ford Credit Floorplan Master Owner Trust Series 2019-2, Class A, 3.06%, 4/15/2026 | 8,000 | 7,977 |
World Omni Auto Receivables Trust Series 2021-C, Class A3, 0.44%, 8/17/2026 | 4,962 | 4,822 |
Total Asset-Backed Securities (Cost $71,647) | 70,823 | |
Municipal Bonds — 0.2% (f) | ||
California — 0.0% ^ | ||
University of California, Taxable Series 2020BG, Rev., 0.88%, 5/15/2025 | 5,000 | 4,759 |
Florida — 0.2% | ||
State Board of Administration Finance Corp. Series 2020A, Rev., 1.71%, 7/1/2027 | 36,000 | 32,401 |
Total Municipal Bonds (Cost $39,025) | 37,160 |
30 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | SHARES | VALUE($) |
Short-Term Investments — 0.9% | ||
Investment Companies — 0.9% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (g) (h) (Cost $130,683) | 130,683 | 130,683 |
Total Investments — 99.9% (Cost $15,785,895) | 15,428,556 | |
Other Assets Less Liabilities — 0.1% | 9,425 | |
NET ASSETS — 100.0% | 15,437,981 |
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 |
REIT | Real Estate Investment Trust |
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 29, 2024. | |
(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 29, 2024 is $6,680 or 0.04% of the Fund’s net assets as of February 29, 2024. | |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 29, 2024. | |
(d) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(e) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(f) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(g) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(h) | The rate shown is the current yield as of February 29, 2024. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 31 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — 41.7% | ||
U.S. Treasury Bonds | ||
6.13%, 11/15/2027 | 2,134,000 | 2,258,872 |
6.13%, 8/15/2029 | 2,100,000 | 2,281,289 |
5.38%, 2/15/2031 | 3,169,000 | 3,388,354 |
4.50%, 2/15/2036 | 2,762,000 | 2,856,944 |
4.75%, 2/15/2037 | 3,811,000 | 4,022,391 |
5.00%, 5/15/2037 | 3,978,000 | 4,291,268 |
4.38%, 2/15/2038 | 4,000,000 | 4,045,000 |
4.50%, 5/15/2038 | 3,747,000 | 3,830,137 |
3.50%, 2/15/2039 | 4,153,000 | 3,775,985 |
4.25%, 5/15/2039 | 4,314,000 | 4,266,142 |
4.50%, 8/15/2039 | 2,015,000 | 2,046,484 |
4.38%, 11/15/2039 | 1,148,000 | 1,147,462 |
4.63%, 2/15/2040 | 2,598,000 | 2,667,821 |
1.13%, 5/15/2040 | 378,000 | 233,238 |
4.38%, 5/15/2040 | 4,256,000 | 4,238,710 |
1.13%, 8/15/2040 | 174,000 | 106,303 |
3.88%, 8/15/2040 | 3,782,000 | 3,535,579 |
1.38%, 11/15/2040 | 6,944,400 | 4,408,609 |
1.88%, 2/15/2041 | 5,922,000 | 4,080,628 |
4.75%, 2/15/2041 | 1,891,000 | 1,960,731 |
2.25%, 5/15/2041 | 5,423,000 | 3,959,637 |
1.75%, 8/15/2041 | 4,364,000 | 2,906,833 |
2.00%, 11/15/2041 | 4,062,000 | 2,811,666 |
3.13%, 11/15/2041 | 1,536,000 | 1,278,480 |
2.38%, 2/15/2042 | 5,398,000 | 3,968,373 |
3.13%, 2/15/2042 | 1,436,000 | 1,190,758 |
3.00%, 5/15/2042 | 789,000 | 639,337 |
3.38%, 8/15/2042 | 3,664,000 | 3,133,293 |
2.75%, 11/15/2042 | 99,000 | 76,725 |
4.00%, 11/15/2042 | 562,000 | 524,768 |
3.13%, 2/15/2043 | 446,000 | 366,068 |
3.88%, 2/15/2043 | 4,338,000 | 3,973,337 |
2.88%, 5/15/2043 | 1,805,000 | 1,420,591 |
3.63%, 8/15/2043 | 808,000 | 712,303 |
4.38%, 8/15/2043 | 2,750,000 | 2,693,281 |
3.75%, 11/15/2043 | 600,000 | 538,031 |
4.75%, 11/15/2043 | 100,000 | 102,938 |
3.63%, 2/15/2044 | 493,000 | 433,378 |
3.00%, 11/15/2044 | 37,000 | 29,351 |
2.50%, 2/15/2045 | 4,853,000 | 3,517,667 |
2.88%, 8/15/2045 | 4,081,000 | 3,151,297 |
2.50%, 5/15/2046 | 4,045,000 | 2,895,335 |
2.25%, 8/15/2046 | 1,239,000 | 841,552 |
3.00%, 2/15/2047 | 174,000 | 135,965 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
3.00%, 5/15/2047 | 4,610,000 | 3,597,241 |
2.88%, 5/15/2049 | 3,269,000 | 2,471,670 |
2.25%, 8/15/2049 | 3,980,000 | 2,636,750 |
2.38%, 11/15/2049 | 6,078,000 | 4,134,939 |
2.00%, 2/15/2050 | 5,760,000 | 3,587,400 |
1.25%, 5/15/2050 | 10,052,000 | 5,106,102 |
1.38%, 8/15/2050 | 4,679,000 | 2,456,475 |
1.63%, 11/15/2050 | 9,658,000 | 5,425,080 |
1.88%, 2/15/2051 | 6,689,000 | 4,006,084 |
2.38%, 5/15/2051 | 5,783,000 | 3,904,429 |
2.00%, 8/15/2051 | 6,025,000 | 3,712,906 |
1.88%, 11/15/2051 | 5,513,000 | 3,287,126 |
2.25%, 2/15/2052 | 5,457,000 | 3,571,777 |
2.88%, 5/15/2052 | 3,484,000 | 2,624,976 |
3.00%, 8/15/2052 | 4,204,000 | 3,252,188 |
4.00%, 11/15/2052 | 898,000 | 841,173 |
3.63%, 2/15/2053 | 3,047,000 | 2,665,173 |
3.63%, 5/15/2053 | 1,408,000 | 1,232,660 |
4.13%, 8/15/2053 | 2,848,000 | 2,728,740 |
4.75%, 11/15/2053 | 1,000,000 | 1,064,688 |
4.25%, 2/15/2054 | 252,000 | 247,354 |
U.S. Treasury Notes | ||
0.38%, 9/15/2024 | 2,824,000 | 2,750,863 |
1.50%, 9/30/2024 | 122,000 | 119,398 |
0.63%, 10/15/2024 | 205,000 | 199,258 |
4.13%, 1/31/2025 | 488,000 | 483,749 |
1.13%, 2/28/2025 | 2,837,000 | 2,729,504 |
2.75%, 2/28/2025 | 3,137,000 | 3,067,398 |
4.63%, 2/28/2025 | 429,000 | 427,190 |
2.63%, 4/15/2025 | 1,928,000 | 1,878,520 |
2.88%, 4/30/2025 | 4,526,000 | 4,419,391 |
3.88%, 4/30/2025 | 4,467,000 | 4,412,558 |
2.13%, 5/15/2025 | 4,121,000 | 3,986,424 |
2.75%, 5/15/2025 | 3,402,000 | 3,315,488 |
0.25%, 5/31/2025 | 4,718,300 | 4,453,264 |
2.88%, 5/31/2025 | 6,189,000 | 6,036,934 |
4.25%, 5/31/2025 | 4,433,000 | 4,396,462 |
2.88%, 6/15/2025 | 4,483,000 | 4,369,874 |
0.25%, 6/30/2025 | 4,847,000 | 4,561,103 |
2.75%, 6/30/2025 | 2,525,000 | 2,457,042 |
4.63%, 6/30/2025 | 1,606,000 | 1,600,856 |
3.00%, 7/15/2025 | 949,000 | 925,757 |
0.25%, 7/31/2025 | 3,859,000 | 3,618,566 |
2.88%, 7/31/2025 | 3,684,000 | 3,585,136 |
4.75%, 7/31/2025 | 2,458,000 | 2,454,928 |
32 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — continued | ||
2.00%, 8/15/2025 | 1,564,000 | 1,502,234 |
0.25%, 8/31/2025 | 3,157,000 | 2,950,685 |
0.25%, 9/30/2025 | 16,971,000 | 15,810,210 |
4.25%, 10/15/2025 | 2,000,000 | 1,983,828 |
0.25%, 10/31/2025 | 16,349,000 | 15,181,579 |
3.00%, 10/31/2025 | 621,000 | 603,631 |
5.00%, 10/31/2025 | 3,795,000 | 3,809,824 |
2.25%, 11/15/2025 | 1,723,000 | 1,653,272 |
0.38%, 11/30/2025 | 4,065,000 | 3,771,240 |
4.00%, 12/15/2025 | 10,000 | 9,878 |
0.38%, 12/31/2025 | 4,028,000 | 3,726,372 |
2.63%, 12/31/2025 | 2,475,000 | 2,386,345 |
4.25%, 12/31/2025 | 22,000 | 21,830 |
0.38%, 1/31/2026 | 15,546,000 | 14,334,505 |
1.63%, 2/15/2026 | 584,000 | 551,333 |
4.00%, 2/15/2026 | 2,155,000 | 2,129,409 |
0.50%, 2/28/2026 | 22,800,000 | 21,018,750 |
2.50%, 2/28/2026 | 3,004,000 | 2,883,253 |
4.63%, 3/15/2026 | 1,503,000 | 1,503,000 |
0.75%, 3/31/2026 | 3,577,000 | 3,307,328 |
2.25%, 3/31/2026 | 2,971,000 | 2,833,591 |
0.75%, 4/30/2026 | 1,242,000 | 1,144,775 |
0.75%, 5/31/2026 | 400,000 | 367,719 |
4.50%, 7/15/2026 | 500,000 | 499,609 |
0.63%, 7/31/2026 | 939,000 | 856,104 |
1.50%, 8/15/2026 | 3,478,000 | 3,235,899 |
1.38%, 8/31/2026 | 1,096,000 | 1,015,598 |
0.88%, 9/30/2026 | 4,763,000 | 4,349,959 |
1.63%, 9/30/2026 | 2,943,000 | 2,740,899 |
1.13%, 10/31/2026 | 9,361,000 | 8,579,942 |
1.63%, 10/31/2026 | 3,770,000 | 3,501,977 |
2.00%, 11/15/2026 | 4,605,000 | 4,317,547 |
4.63%, 11/15/2026 | 1,000,000 | 1,003,750 |
1.25%, 11/30/2026 | 1,582,000 | 1,451,979 |
1.63%, 11/30/2026 | 2,895,000 | 2,685,339 |
4.38%, 12/15/2026 | 100,000 | 99,805 |
1.25%, 12/31/2026 | 3,325,000 | 3,046,531 |
1.75%, 12/31/2026 | 4,409,000 | 4,096,925 |
1.50%, 1/31/2027 | 4,082,000 | 3,757,991 |
2.25%, 2/15/2027 | 4,606,000 | 4,330,720 |
1.13%, 2/28/2027 | 4,766,000 | 4,329,986 |
1.88%, 2/28/2027 | 4,627,000 | 4,299,134 |
0.63%, 3/31/2027 | 2,610,000 | 2,329,017 |
2.50%, 3/31/2027 | 4,187,000 | 3,959,332 |
2.75%, 4/30/2027 | 3,896,000 | 3,706,983 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
2.38%, 5/15/2027 | 2,420,000 | 2,274,989 |
2.63%, 5/31/2027 | 4,534,000 | 4,292,423 |
0.50%, 6/30/2027 | 4,882,000 | 4,299,593 |
3.25%, 6/30/2027 | 4,366,000 | 4,214,213 |
0.38%, 7/31/2027 | 697,000 | 609,222 |
2.75%, 7/31/2027 | 4,475,000 | 4,244,957 |
2.25%, 8/15/2027 | 4,577,000 | 4,266,980 |
0.50%, 8/31/2027 | 5,077,000 | 4,445,548 |
3.13%, 8/31/2027 | 2,278,000 | 2,186,168 |
0.38%, 9/30/2027 | 3,782,000 | 3,286,794 |
4.13%, 9/30/2027 | 1,323,000 | 1,312,354 |
0.50%, 10/31/2027 | 5,823,000 | 5,069,194 |
4.13%, 10/31/2027 | 750,000 | 743,906 |
2.25%, 11/15/2027 | 4,041,000 | 3,752,132 |
0.63%, 11/30/2027 | 8,731,000 | 7,617,115 |
3.88%, 11/30/2027 | 2,983,000 | 2,933,594 |
0.63%, 12/31/2027 | 4,604,000 | 4,004,761 |
3.88%, 12/31/2027 | 2,449,000 | 2,408,247 |
0.75%, 1/31/2028 | 4,621,000 | 4,029,656 |
2.75%, 2/15/2028 | 1,743,000 | 1,643,186 |
1.13%, 2/29/2028 | 4,529,000 | 4,001,088 |
4.00%, 2/29/2028 | 4,061,000 | 4,011,189 |
1.25%, 3/31/2028 | 4,631,000 | 4,103,500 |
3.63%, 3/31/2028 | 4,276,000 | 4,164,423 |
1.25%, 4/30/2028 | 4,628,000 | 4,091,441 |
3.50%, 4/30/2028 | 4,370,000 | 4,234,803 |
2.88%, 5/15/2028 | 4,355,000 | 4,115,135 |
1.25%, 5/31/2028 | 4,666,000 | 4,115,922 |
3.63%, 5/31/2028 | 4,232,000 | 4,119,918 |
1.25%, 6/30/2028 | 3,148,000 | 2,770,978 |
1.00%, 7/31/2028 | 4,240,000 | 3,682,506 |
2.88%, 8/15/2028 | 4,304,000 | 4,056,520 |
1.13%, 8/31/2028 | 4,074,000 | 3,549,791 |
4.88%, 10/31/2028 | 3,714,000 | 3,804,819 |
3.13%, 11/15/2028 | 2,140,000 | 2,034,672 |
4.38%, 11/30/2028 | 1,000,000 | 1,004,297 |
3.75%, 12/31/2028 | 1,135,000 | 1,109,285 |
2.63%, 2/15/2029 | 1,568,000 | 1,452,850 |
1.88%, 2/28/2029 | 5,034,000 | 4,495,598 |
2.38%, 3/31/2029 | 1,305,000 | 1,192,648 |
2.88%, 4/30/2029 | 4,299,000 | 4,022,924 |
2.38%, 5/15/2029 | 4,689,000 | 4,277,980 |
2.75%, 5/31/2029 | 4,576,000 | 4,251,033 |
3.25%, 6/30/2029 | 3,118,000 | 2,966,241 |
2.63%, 7/31/2029 | 4,736,000 | 4,363,040 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 33 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — continued | ||
1.63%, 8/15/2029 | 5,982,000 | 5,233,783 |
3.13%, 8/31/2029 | 4,257,000 | 4,017,876 |
3.88%, 9/30/2029 | 3,960,000 | 3,881,419 |
4.00%, 10/31/2029 | 3,995,000 | 3,938,820 |
1.75%, 11/15/2029 | 4,319,000 | 3,787,561 |
3.88%, 11/30/2029 | 4,296,000 | 4,209,073 |
3.88%, 12/31/2029 | 3,712,000 | 3,635,730 |
3.50%, 1/31/2030 | 4,337,000 | 4,161,826 |
1.50%, 2/15/2030 | 6,212,000 | 5,315,143 |
4.00%, 2/28/2030 | 4,153,000 | 4,091,678 |
3.63%, 3/31/2030 | 4,245,000 | 4,097,420 |
3.50%, 4/30/2030 | 4,309,000 | 4,128,561 |
0.63%, 5/15/2030 | 11,740,000 | 9,425,936 |
3.75%, 5/31/2030 | 4,457,000 | 4,327,817 |
3.75%, 6/30/2030 | 3,760,000 | 3,650,138 |
4.00%, 7/31/2030 | 3,619,000 | 3,563,019 |
0.63%, 8/15/2030 | 4,136,000 | 3,292,967 |
4.13%, 8/31/2030 | 4,003,000 | 3,967,348 |
4.63%, 9/30/2030 | 2,605,000 | 2,656,286 |
4.88%, 10/31/2030 | 1,522,000 | 1,573,843 |
0.88%, 11/15/2030 | 5,286,000 | 4,255,230 |
4.38%, 11/30/2030 | 3,621,000 | 3,641,368 |
3.75%, 12/31/2030 | 2,316,000 | 2,244,711 |
4.00%, 1/31/2031 | 20,000 | 19,678 |
1.13%, 2/15/2031 | 5,084,000 | 4,145,843 |
1.63%, 5/15/2031 | 5,222,000 | 4,377,505 |
1.25%, 8/15/2031 | 5,468,000 | 4,427,371 |
1.38%, 11/15/2031 | 4,520,000 | 3,669,675 |
1.88%, 2/15/2032 | 4,339,000 | 3,644,082 |
2.88%, 5/15/2032 | 4,837,000 | 4,372,950 |
2.75%, 8/15/2032 | 3,688,000 | 3,292,693 |
4.13%, 11/15/2032 | 4,318,000 | 4,272,796 |
3.50%, 2/15/2033 | 4,575,000 | 4,316,227 |
3.38%, 5/15/2033 | 738,000 | 688,646 |
3.88%, 8/15/2033 | 1,417,000 | 1,374,711 |
Total U.S. Treasury Obligations (Cost $736,158,392) | 686,554,485 | |
Mortgage-Backed Securities — 26.4% | ||
FHLMC Gold Pools, 15 Year | ||
Pool # J10548, 4.00%, 8/1/2024 | 1,718 | 1,709 |
Pool # J15449, 4.00%, 5/1/2026 | 27,647 | 27,275 |
Pool # G14781, 3.50%, 3/1/2027 | 14,761 | 14,395 |
Pool # G15201, 4.00%, 5/1/2027 | 3,011 | 2,981 |
Pool # J20129, 2.50%, 8/1/2027 | 38,791 | 37,341 |
Pool # G15438, 4.00%, 9/1/2027 | 3,558 | 3,504 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # G15602, 2.50%, 11/1/2027 | 25,958 | 25,007 |
Pool # E09028, 2.00%, 3/1/2028 | 52,104 | 49,459 |
Pool # J23362, 2.00%, 4/1/2028 | 50,196 | 47,606 |
Pool # G18466, 2.00%, 5/1/2028 | 7,223 | 6,844 |
Pool # G18465, 2.50%, 5/1/2028 | 13,491 | 12,908 |
Pool # G15601, 2.50%, 1/1/2029 | 28,655 | 27,417 |
Pool # G14957, 3.50%, 1/1/2029 | 66,227 | 64,334 |
Pool # G16570, 4.00%, 7/1/2029 | 1,637 | 1,616 |
Pool # G18540, 2.50%, 2/1/2030 | 19,528 | 18,428 |
Pool # G18556, 2.50%, 6/1/2030 | 25,904 | 24,378 |
Pool # V60840, 3.00%, 6/1/2030 | 6,413 | 6,131 |
Pool # G16622, 3.00%, 11/1/2030 | 26,097 | 24,869 |
Pool # G16019, 3.50%, 12/1/2030 | 6,849 | 6,746 |
Pool # J36524, 3.00%, 3/1/2032 | 85,958 | 81,241 |
Pool # J36660, 3.00%, 3/1/2032 | 26,488 | 24,935 |
Pool # G16568, 2.50%, 4/1/2033 | 2,400 | 2,215 |
FHLMC Gold Pools, 30 Year | ||
Pool # V81680, 4.50%, 12/1/2034 | 65,697 | 63,934 |
Pool # A30892, 5.00%, 1/1/2035 | 49,629 | 49,318 |
Pool # A39210, 5.50%, 10/1/2035 | 16,677 | 16,957 |
Pool # V83754, 5.50%, 1/1/2036 | 28,058 | 28,527 |
Pool # A82255, 5.50%, 9/1/2036 | 99,046 | 100,700 |
Pool # G03381, 5.50%, 9/1/2037 | 18,121 | 18,425 |
Pool # A89760, 4.50%, 12/1/2039 | 17,658 | 17,248 |
Pool # A92197, 5.00%, 5/1/2040 | 49,817 | 49,504 |
Pool # G06856, 6.00%, 5/1/2040 | 3,376 | 3,487 |
Pool # A93359, 4.00%, 8/1/2040 | 828 | 789 |
Pool # G06222, 4.00%, 1/1/2041 | 175,473 | 165,480 |
Pool # G07794, 5.50%, 6/1/2041 | 8,525 | 8,668 |
Pool # Q03516, 4.50%, 9/1/2041 | 19,803 | 19,343 |
Pool # Q04088, 3.50%, 10/1/2041 | 17,215 | 15,797 |
Pool # Q04688, 4.00%, 11/1/2041 | 2,688 | 2,529 |
Pool # G08477, 3.50%, 2/1/2042 | 4 | 4 |
Pool # Q06771, 3.00%, 3/1/2042 | 33,046 | 29,595 |
Pool # C03858, 3.50%, 4/1/2042 | 88,070 | 80,743 |
Pool # Q08646, 3.50%, 6/1/2042 | 19,007 | 17,420 |
Pool # G60737, 4.50%, 8/1/2042 | 2,084 | 2,036 |
Pool # Q11220, 3.50%, 9/1/2042 | 74,771 | 68,519 |
Pool # Q13477, 3.00%, 12/1/2042 | 2,320 | 2,063 |
Pool # Q14321, 3.00%, 12/1/2042 | 25,663 | 22,824 |
Pool # C04420, 3.00%, 1/1/2043 | 148,217 | 131,973 |
Pool # Q14694, 3.00%, 1/1/2043 | 2,559 | 2,276 |
Pool # G61723, 3.50%, 1/1/2043 | 58,739 | 54,000 |
Pool # C09031, 2.50%, 2/1/2043 | 79,864 | 68,146 |
Pool # V80026, 3.00%, 4/1/2043 | 45,399 | 40,375 |
34 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # Q17374, 4.00%, 4/1/2043 | 2,870 | 2,735 |
Pool # Z40090, 4.50%, 9/1/2044 | 24,371 | 23,684 |
Pool # G61617, 4.50%, 1/1/2045 | 19,128 | 18,687 |
Pool # G08651, 4.00%, 6/1/2045 | 85,056 | 80,188 |
Pool # G08653, 3.00%, 7/1/2045 | 41,290 | 36,445 |
Pool # Q35223, 4.00%, 8/1/2045 | 9,394 | 8,712 |
Pool # G60238, 3.50%, 10/1/2045 | 591,762 | 539,931 |
Pool # G60506, 3.50%, 4/1/2046 | 33,670 | 30,702 |
Pool # G08710, 3.00%, 6/1/2046 | 28,283 | 24,795 |
Pool # Q41024, 3.00%, 6/1/2046 | 494,602 | 434,638 |
Pool # G08724, 2.50%, 9/1/2046 | 10,631 | 9,018 |
Pool # G61070, 3.00%, 9/1/2046 | 412,635 | 366,955 |
Pool # G61730, 3.00%, 9/1/2046 | 111,605 | 99,262 |
Pool # G61235, 4.50%, 9/1/2046 | 19,496 | 18,947 |
Pool # G08736, 2.50%, 12/1/2046 | 11,167 | 9,432 |
Pool # Q45872, 3.00%, 1/1/2047 | 284,260 | 248,481 |
Pool # G08747, 3.00%, 2/1/2047 | 144,750 | 126,562 |
Pool # G61623, 3.00%, 4/1/2047 | 21,236 | 18,695 |
Pool # G60985, 3.00%, 5/1/2047 | 79,449 | 69,596 |
Pool # G60996, 3.50%, 5/1/2047 | 6,483 | 5,912 |
Pool # Q47884, 4.00%, 5/1/2047 | 18,861 | 17,764 |
Pool # V83233, 4.00%, 6/1/2047 | 80,057 | 75,375 |
Pool # G08775, 4.00%, 8/1/2047 | 27,176 | 25,370 |
Pool # Q50152, 4.00%, 8/1/2047 | 64,231 | 60,434 |
Pool # Q51268, 3.50%, 10/1/2047 | 42,187 | 38,281 |
Pool # G08787, 3.00%, 11/1/2047 | 258,418 | 225,514 |
Pool # G61681, 3.00%, 12/1/2047 | 5,920 | 5,167 |
Pool # Q52866, 3.00%, 12/1/2047 | 22,755 | 20,065 |
Pool # G08793, 4.00%, 12/1/2047 | 25,497 | 23,964 |
Pool # Q53751, 3.50%, 1/1/2048 | 75,679 | 68,672 |
Pool # G08812, 3.00%, 4/1/2048 | 9,185 | 8,015 |
Pool # G61866, 4.00%, 6/1/2048 | 19,883 | 18,746 |
Pool # G08842, 4.00%, 10/1/2048 | 10,538 | 9,848 |
Pool # G61885, 4.50%, 11/1/2048 | 24,082 | 23,229 |
Pool # G08862, 4.00%, 2/1/2049 | 17,232 | 16,118 |
Pool # Q61487, 4.00%, 2/1/2049 | 30,216 | 28,336 |
Pool # G08876, 3.50%, 5/1/2049 | 33,630 | 30,439 |
FHLMC UMBS, 15 Year | ||
Pool # ZS5890, 4.00%, 7/1/2024 | 5,872 | 5,844 |
Pool # ZK2080, 4.00%, 1/1/2025 | 7,012 | 6,935 |
Pool # ZA2587, 4.00%, 9/1/2025 | 2,191 | 2,161 |
Pool # ZK2723, 3.50%, 11/1/2025 | 5,301 | 5,209 |
Pool # ZK3540, 3.00%, 9/1/2026 | 28,866 | 28,104 |
Pool # ZS8460, 3.00%, 4/1/2027 | 9,658 | 9,360 |
Pool # SB0031, 3.50%, 10/1/2027 | 10,397 | 10,217 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # ZS6674, 2.50%, 4/1/2028 | 852 | 815 |
Pool # ZS7140, 2.00%, 1/1/2029 | 131,297 | 123,952 |
Pool # ZS7751, 3.00%, 1/1/2029 | 64,336 | 62,015 |
Pool # SB0071, 2.50%, 5/1/2030 | 16,412 | 15,740 |
Pool # ZS7331, 3.00%, 12/1/2030 | 19,064 | 18,150 |
Pool # ZS7888, 2.50%, 10/1/2032 | 2,529 | 2,348 |
Pool # ZK9070, 3.00%, 11/1/2032 | 510,099 | 481,411 |
Pool # SB0256, 4.00%, 11/1/2033 | 12,305 | 12,208 |
Pool # SB0077, 3.50%, 10/1/2034 | 35,725 | 34,150 |
Pool # SB0302, 3.00%, 4/1/2035 | 409,631 | 383,234 |
Pool # QN2407, 2.00%, 6/1/2035 | 109,322 | 97,171 |
Pool # SB8500, 2.50%, 7/1/2035 | 310,923 | 283,485 |
Pool # RC1712, 1.50%, 12/1/2035 | 983,272 | 853,940 |
Pool # SB8090, 2.50%, 2/1/2036 | 836,999 | 764,972 |
Pool # QN6095, 2.00%, 5/1/2036 | 128,399 | 114,127 |
Pool # QN6718, 2.00%, 6/1/2036 | 274,017 | 243,368 |
Pool # QN8347, 1.50%, 10/1/2036 | 317,709 | 274,125 |
Pool # SB8127, 1.50%, 11/1/2036 | 316,356 | 272,954 |
Pool # SB8131, 1.50%, 12/1/2036 | 640,938 | 553,000 |
Pool # SB8136, 1.50%, 1/1/2037 | 405,989 | 350,284 |
Pool # SB8140, 1.50%, 2/1/2037 | 492,180 | 424,344 |
Pool # SB8141, 2.00%, 2/1/2037 | 1,606,844 | 1,417,459 |
Pool # SB8147, 1.50%, 4/1/2037 | 849,793 | 733,156 |
FHLMC UMBS, 20 Year | ||
Pool # ZA2277, 3.00%, 9/1/2032 | 59,260 | 55,541 |
Pool # ZJ9491, 3.50%, 12/1/2032 | 13,204 | 12,601 |
Pool # ZS9164, 3.00%, 9/1/2033 | 2,539 | 2,371 |
Pool # SC0107, 3.50%, 11/1/2034 | 4,760 | 4,553 |
Pool # ZA2463, 3.50%, 6/1/2037 | 26,197 | 24,612 |
Pool # RB5026, 2.50%, 11/1/2039 | 33,322 | 29,086 |
Pool # QK0157, 2.50%, 1/1/2040 | 15,272 | 13,271 |
Pool # RB5032, 2.50%, 2/1/2040 | 27,233 | 23,710 |
Pool # RB5037, 2.50%, 3/1/2040 | 2,732 | 2,377 |
Pool # RB5043, 2.50%, 4/1/2040 | 36,721 | 31,925 |
Pool # RB5048, 2.50%, 5/1/2040 | 78,901 | 68,564 |
Pool # SC0131, 1.50%, 3/1/2041 | 191,811 | 154,101 |
Pool # SC0134, 1.50%, 3/1/2041 | 196,842 | 158,111 |
Pool # RB5145, 2.00%, 2/1/2042 | 1,469,069 | 1,224,593 |
Pool # RB5154, 2.50%, 4/1/2042 | 879,584 | 749,984 |
Pool # RB5166, 3.00%, 7/1/2042 | 889,141 | 786,312 |
FHLMC UMBS, 30 Year | ||
Pool # ZI3765, 5.50%, 11/1/2035 | 25,084 | 25,468 |
Pool # ZS2546, 5.00%, 2/1/2039 | 14,482 | 14,370 |
Pool # ZJ0449, 4.00%, 9/1/2040 | 18,586 | 17,498 |
Pool # ZL3548, 3.50%, 8/1/2042 | 56,784 | 51,956 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 35 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # ZA4209, 3.00%, 4/1/2043 | 696,728 | 618,740 |
Pool # ZS3712, 3.50%, 4/1/2043 | 138,531 | 126,969 |
Pool # ZS4077, 3.50%, 1/1/2044 | 18,922 | 17,339 |
Pool # ZS4592, 4.00%, 11/1/2044 | 125,424 | 118,077 |
Pool # ZS4609, 3.00%, 4/1/2045 | 34,293 | 30,281 |
Pool # ZS9618, 3.50%, 3/1/2046 | 407,361 | 371,254 |
Pool # SD0146, 3.00%, 11/1/2046 | 113,326 | 99,320 |
Pool # ZM2209, 3.50%, 12/1/2046 | 272,862 | 247,242 |
Pool # SD0388, 3.50%, 6/1/2047 | 407,479 | 371,627 |
Pool # ZS4729, 3.00%, 8/1/2047 | 268,738 | 234,341 |
Pool # ZM4635, 4.00%, 11/1/2047 | 380,782 | 357,363 |
Pool # SD0225, 3.00%, 12/1/2047 | 521,300 | 455,794 |
Pool # ZT0534, 3.50%, 12/1/2047 | 266,708 | 243,061 |
Pool # ZS4750, 3.00%, 1/1/2048 | 21,803 | 18,996 |
Pool # SD0343, 3.00%, 3/1/2048 | 702,678 | 622,669 |
Pool # SI2002, 4.00%, 3/1/2048 | 435,309 | 408,372 |
Pool # ZM6887, 3.00%, 5/1/2048 | 38,540 | 33,555 |
Pool # ZM7669, 3.50%, 8/1/2048 | 66,811 | 60,053 |
Pool # ZN4476, 3.50%, 12/1/2048 | 239,454 | 216,968 |
Pool # ZA6286, 4.00%, 2/1/2049 | 114,638 | 107,140 |
Pool # ZT1776, 3.50%, 3/1/2049 | 20,710 | 18,727 |
Pool # ZN5087, 4.00%, 4/1/2049 | 94,956 | 89,429 |
Pool # ZT1864, 4.00%, 4/1/2049 | 2,725 | 2,540 |
Pool # ZT1951, 3.50%, 5/1/2049 | 6,706 | 6,061 |
Pool # ZT1952, 4.00%, 5/1/2049 | 43,616 | 40,574 |
Pool # QA4907, 3.00%, 6/1/2049 | 103,075 | 90,079 |
Pool # ZT2086, 3.50%, 6/1/2049 | 37,080 | 33,506 |
Pool # SD7502, 3.50%, 7/1/2049 | 110,137 | 100,226 |
Pool # SD8001, 3.50%, 7/1/2049 | 13,137 | 11,849 |
Pool # SD7501, 4.00%, 7/1/2049 | 67,859 | 63,910 |
Pool # QA1997, 3.00%, 8/1/2049 | 16,574 | 14,377 |
Pool # RA1202, 3.50%, 8/1/2049 | 366,599 | 331,260 |
Pool # SD8005, 3.50%, 8/1/2049 | 46,120 | 41,610 |
Pool # SD8006, 4.00%, 8/1/2049 | 27,280 | 25,339 |
Pool # SD8023, 2.50%, 11/1/2049 | 7,714 | 6,399 |
Pool # QA4509, 3.00%, 11/1/2049 | 328,920 | 285,051 |
Pool # SD8025, 3.50%, 11/1/2049 | 138,360 | 125,247 |
Pool # SD8029, 2.50%, 12/1/2049 | 145,464 | 120,651 |
Pool # RA1878, 3.50%, 12/1/2049 | 99,513 | 89,919 |
Pool # SD8037, 2.50%, 1/1/2050 | 388,170 | 321,957 |
Pool # QA7416, 3.00%, 2/1/2050 | 356,086 | 308,299 |
Pool # QA7554, 3.00%, 2/1/2050 | 888,020 | 775,341 |
Pool # RA2116, 3.00%, 2/1/2050 | 519,902 | 451,031 |
Pool # SD0303, 2.50%, 4/1/2050 | 658,455 | 548,195 |
Pool # QA9653, 3.50%, 5/1/2050 | 31,930 | 28,878 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # SD8080, 2.00%, 6/1/2050 | 58,873 | 46,675 |
Pool # QB1691, 2.00%, 7/1/2050 | 786,380 | 623,453 |
Pool # RA3727, 2.00%, 10/1/2050 | 1,808,436 | 1,439,634 |
Pool # SD8104, 1.50%, 11/1/2050 | 1,178,882 | 880,498 |
Pool # RA4197, 2.50%, 12/1/2050 | 498,715 | 412,739 |
Pool # RA4349, 2.50%, 1/1/2051 | 322,458 | 268,202 |
Pool # QB8583, 1.50%, 2/1/2051 | 1,178,072 | 883,135 |
Pool # SD8140, 2.00%, 4/1/2051 | 373,811 | 295,544 |
Pool # SD8142, 3.00%, 4/1/2051 | 981,942 | 848,254 |
Pool # SD8145, 1.50%, 5/1/2051 | 1,005,145 | 752,978 |
Pool # QC2565, 2.00%, 6/1/2051 | 1,722,383 | 1,360,668 |
Pool # QC3259, 2.00%, 6/1/2051 | 323,237 | 254,157 |
Pool # SD8158, 3.50%, 6/1/2051 | 271,674 | 242,720 |
Pool # QC5125, 2.00%, 8/1/2051 | 257,227 | 203,100 |
Pool # QC6057, 2.50%, 8/1/2051 | 247,438 | 204,280 |
Pool # SD8163, 3.50%, 8/1/2051 | 109,847 | 98,245 |
Pool # RA5832, 2.50%, 9/1/2051 | 683,101 | 567,273 |
Pool # SD8168, 3.00%, 9/1/2051 | 224,364 | 192,653 |
Pool # SD0688, 2.50%, 10/1/2051 | 4,178,306 | 3,460,132 |
Pool # SD8173, 2.50%, 10/1/2051 | 1,070,503 | 883,124 |
Pool # QC8788, 3.00%, 10/1/2051 | 1,778,908 | 1,521,779 |
Pool # QD3500, 2.50%, 12/1/2051 | 1,720,311 | 1,429,979 |
Pool # RA6649, 2.00%, 1/1/2052 | 4,588,751 | 3,610,832 |
Pool # RA6694, 2.00%, 1/1/2052 | 446,471 | 351,799 |
Pool # SD0963, 3.50%, 1/1/2052 | 989,140 | 881,205 |
Pool # RA6816, 2.00%, 2/1/2052 | 233,079 | 183,257 |
Pool # SD0897, 2.00%, 2/1/2052 | 912,038 | 725,398 |
Pool # SD8199, 2.00%, 3/1/2052 | 931,999 | 734,414 |
Pool # SD8204, 2.00%, 4/1/2052 | 1,829,269 | 1,440,555 |
Pool # QD9578, 2.50%, 4/1/2052 | 1,467,845 | 1,208,236 |
Pool # QD9765, 2.50%, 4/1/2052 | 1,445,025 | 1,189,898 |
Pool # SD8205, 2.50%, 4/1/2052 | 496,307 | 408,773 |
Pool # SD0945, 3.50%, 4/1/2052 | 1,031,712 | 918,784 |
Pool # SD1461, 3.00%, 5/1/2052 | 924,064 | 798,236 |
Pool # SD8214, 3.50%, 5/1/2052 | 1,081,059 | 962,536 |
Pool # SD1840, 3.00%, 6/1/2052 | 455,009 | 391,590 |
Pool # SD1406, 2.00%, 8/1/2052 | 464,271 | 365,544 |
Pool # RA8112, 4.50%, 10/1/2052 | 1,850,085 | 1,751,661 |
Pool # SD2381, 5.50%, 3/1/2053 | 2,315,830 | 2,311,886 |
Pool # SD2572, 5.50%, 3/1/2053 | 941,267 | 940,625 |
Pool # SD2580, 6.00%, 3/1/2053 | 959,094 | 964,717 |
Pool # RA8736, 6.50%, 3/1/2053 | 905,295 | 924,289 |
Pool # SD8322, 4.50%, 5/1/2053 | 95,915 | 90,815 |
Pool # RA9469, 6.50%, 7/1/2053 | 2,300,447 | 2,348,712 |
Pool # SD8373, 6.00%, 11/1/2053 | 1,940,723 | 1,949,321 |
36 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
FNMA UMBS, 15 Year | ||
Pool # AC8711, 4.00%, 12/1/2024 | 44,389 | 43,900 |
Pool # AC7007, 4.50%, 1/1/2025 | 3,272 | 3,245 |
Pool # AL9580, 4.00%, 3/1/2025 | 1,840 | 1,826 |
Pool # 932724, 4.00%, 4/1/2025 | 1,670 | 1,652 |
Pool # AE0971, 4.00%, 5/1/2025 | 2,722 | 2,704 |
Pool # AE0939, 3.50%, 2/1/2026 | 14,677 | 14,459 |
Pool # FM2968, 4.00%, 5/1/2026 | 3,893 | 3,838 |
Pool # AJ6632, 3.00%, 11/1/2026 | 22,379 | 21,777 |
Pool # AJ9357, 3.50%, 1/1/2027 | 44,621 | 43,589 |
Pool # AK4047, 3.00%, 2/1/2027 | 8,652 | 8,395 |
Pool # AL4586, 4.00%, 2/1/2027 | 14,579 | 14,364 |
Pool # AO0527, 3.00%, 5/1/2027 | 12,414 | 11,986 |
Pool # AO4400, 2.50%, 7/1/2027 | 27,301 | 26,039 |
Pool # AL8138, 4.00%, 9/1/2027 | 7,681 | 7,598 |
Pool # AB6811, 2.50%, 10/1/2027 | 8,230 | 7,889 |
Pool # AQ9442, 2.00%, 12/1/2027 | 18,138 | 17,224 |
Pool # AB8447, 2.50%, 2/1/2028 | 14,936 | 14,298 |
Pool # AR4180, 2.50%, 2/1/2028 | 6,784 | 6,494 |
Pool # AL3802, 3.00%, 2/1/2028 | 39,356 | 38,071 |
Pool # AB8787, 2.00%, 3/1/2028 | 47,483 | 45,010 |
Pool # AP6059, 2.00%, 6/1/2028 | 5,949 | 5,616 |
Pool # BM5381, 3.00%, 6/1/2028 | 44,315 | 42,838 |
Pool # BM1892, 2.50%, 9/1/2028 | 13,520 | 12,982 |
Pool # AS0761, 3.00%, 10/1/2028 | 18,607 | 17,878 |
Pool # AU6961, 3.00%, 10/1/2028 | 36,324 | 34,930 |
Pool # AL6132, 4.50%, 3/1/2029 | 2,153 | 2,138 |
Pool # FM1105, 2.50%, 6/1/2029 | 29,249 | 27,996 |
Pool # AS3345, 2.00%, 7/1/2029 | 10,396 | 9,689 |
Pool # MA2061, 3.00%, 10/1/2029 | 49,813 | 47,617 |
Pool # FM1465, 3.00%, 5/1/2030 | 73,771 | 70,962 |
Pool # 890666, 2.00%, 6/1/2030 | 19,387 | 18,257 |
Pool # MA2684, 3.00%, 7/1/2031 | 93,373 | 88,586 |
Pool # AL9418, 3.50%, 8/1/2031 | 29,208 | 28,253 |
Pool # BD5647, 2.00%, 11/1/2031 | 13,614 | 12,522 |
Pool # 890776, 3.50%, 11/1/2031 | 18,470 | 17,912 |
Pool # BM5490, 3.50%, 11/1/2031 | 11,831 | 11,484 |
Pool # AS8708, 2.50%, 2/1/2032 | 2,695 | 2,511 |
Pool # BM4993, 3.50%, 3/1/2032 | 21,995 | 21,409 |
Pool # BM4741, 3.00%, 4/1/2032 | 7,976 | 7,668 |
Pool # FM1645, 3.00%, 4/1/2032 | 99,152 | 95,076 |
Pool # MA3124, 2.50%, 9/1/2032 | 29,461 | 27,349 |
Pool # FM3099, 3.50%, 9/1/2032 | 22,095 | 21,659 |
Pool # CA0775, 2.50%, 11/1/2032 | 22,033 | 20,283 |
Pool # MA3188, 3.00%, 11/1/2032 | 15,976 | 15,083 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # BH7081, 2.50%, 12/1/2032 | 31,110 | 28,851 |
Pool # BH8720, 3.50%, 12/1/2032 | 30,111 | 28,784 |
Pool # FM1161, 2.50%, 1/1/2033 | 30,810 | 28,820 |
Pool # FM1691, 2.50%, 1/1/2033 | 11,932 | 11,255 |
Pool # CA9078, 3.00%, 9/1/2033 | 358,613 | 341,513 |
Pool # FM1123, 4.00%, 9/1/2033 | 1,895 | 1,846 |
Pool # FM2153, 4.00%, 11/1/2033 | 32,323 | 31,977 |
Pool # BD9105, 4.00%, 1/1/2034 | 28,420 | 27,770 |
Pool # BM5306, 4.00%, 1/1/2034 | 4,006 | 3,889 |
Pool # FM1733, 3.50%, 5/1/2034 | 517,459 | 496,906 |
Pool # FM6946, 3.00%, 7/1/2034 | 4,452 | 4,227 |
Pool # BO1822, 3.50%, 7/1/2034 | 57,399 | 54,691 |
Pool # MA3764, 2.50%, 9/1/2034 | 7,226 | 6,622 |
Pool # MA3910, 2.00%, 1/1/2035 | 23,462 | 20,926 |
Pool # FM3569, 3.00%, 1/1/2035 | 95,284 | 90,491 |
Pool # FM7941, 2.50%, 2/1/2035 | 292,084 | 273,224 |
Pool # FM2708, 3.00%, 3/1/2035 | 44,047 | 42,056 |
Pool # MA4075, 2.50%, 7/1/2035 | 350,152 | 320,004 |
Pool # CA7497, 2.50%, 10/1/2035 | 1,031,915 | 943,062 |
Pool # BP7572, 2.50%, 11/1/2035 | 666,482 | 607,025 |
Pool # FM5396, 2.00%, 12/1/2035 | 670,532 | 597,503 |
Pool # BR3349, 1.50%, 1/1/2036 | 1,244,456 | 1,079,942 |
Pool # BR1309, 2.00%, 1/1/2036 | 463,591 | 412,083 |
Pool # FM5537, 2.00%, 1/1/2036 | 524,983 | 466,645 |
Pool # FM5797, 2.00%, 1/1/2036 | 512,216 | 455,311 |
Pool # FM5367, 1.50%, 2/1/2036 | 393,802 | 341,498 |
Pool # CB0305, 1.50%, 5/1/2036 | 801,727 | 695,236 |
Pool # FM7843, 1.50%, 6/1/2036 | 72,896 | 63,212 |
Pool # MA4430, 1.00%, 8/1/2036 | 155,870 | 131,278 |
Pool # BT0273, 1.50%, 9/1/2036 | 395,718 | 342,941 |
Pool # MA4417, 1.50%, 9/1/2036 | 309,394 | 267,158 |
Pool # MA4418, 2.00%, 9/1/2036 | 148,254 | 131,728 |
Pool # MA4441, 1.50%, 10/1/2036 | 433,991 | 375,000 |
Pool # BT9452, 1.50%, 11/1/2036 | 157,755 | 136,101 |
Pool # FM9247, 2.00%, 11/1/2036 | 320,984 | 283,115 |
Pool # MA4497, 2.00%, 12/1/2036 | 2,213,553 | 1,955,157 |
Pool # BV7189, 2.00%, 3/1/2037 | 816,350 | 721,001 |
Pool # MA4581, 1.50%, 4/1/2037 | 844,744 | 728,837 |
Pool # MA4582, 2.00%, 4/1/2037 | 1,085,492 | 958,713 |
Pool # FS2037, 1.50%, 5/1/2037 | 845,195 | 729,158 |
Pool # FS3117, 2.50%, 5/1/2037 | 1,715,249 | 1,561,636 |
Pool # FS4274, 3.00%, 5/1/2037 | 1,781,778 | 1,656,154 |
Pool # MA4604, 3.00%, 5/1/2037 | 800,969 | 741,983 |
Pool # FS4059, 1.50%, 8/1/2037 | 2,257,772 | 1,947,855 |
Pool # FS4794, 2.00%, 8/1/2037 | 4,615,989 | 4,077,058 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 37 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # FS4756, 2.50%, 8/1/2037 | 1,826,583 | 1,659,563 |
FNMA UMBS, 20 Year | ||
Pool # AE6799, 4.50%, 11/1/2030 | 1,546 | 1,513 |
Pool # MA0885, 3.50%, 10/1/2031 | 22,515 | 21,546 |
Pool # AB4853, 3.00%, 4/1/2032 | 23,122 | 21,711 |
Pool # MA1058, 3.00%, 5/1/2032 | 10,255 | 9,635 |
Pool # MA1165, 3.00%, 9/1/2032 | 57,169 | 53,655 |
Pool # MA2079, 4.00%, 11/1/2034 | 11,474 | 11,091 |
Pool # AL7654, 3.00%, 9/1/2035 | 52,312 | 48,282 |
Pool # MA2472, 3.00%, 12/1/2035 | 10,542 | 9,730 |
Pool # FM1133, 4.00%, 6/1/2036 | 24,585 | 23,766 |
Pool # BM3089, 4.00%, 8/1/2037 | 436,735 | 418,993 |
Pool # MA3099, 4.00%, 8/1/2037 | 1,841 | 1,771 |
Pool # BM5330, 2.50%, 12/1/2037 | 33,919 | 30,331 |
Pool # FM3204, 4.00%, 10/1/2038 | 28,531 | 27,245 |
Pool # MA4072, 2.50%, 7/1/2040 | 131,908 | 113,175 |
Pool # MA4128, 2.00%, 9/1/2040 | 1,238,963 | 1,040,562 |
Pool # MA4204, 2.00%, 12/1/2040 | 772,775 | 648,614 |
Pool # CA9019, 2.00%, 2/1/2041 | 323,576 | 271,671 |
Pool # MA4310, 1.50%, 4/1/2041 | 709,906 | 570,072 |
Pool # MA4422, 2.00%, 9/1/2041 | 363,567 | 303,666 |
Pool # FS0316, 1.50%, 11/1/2041 | 607,908 | 487,392 |
Pool # MA4474, 2.00%, 11/1/2041 | 463,766 | 387,020 |
Pool # MA4519, 1.50%, 1/1/2042 | 475,460 | 381,198 |
Pool # MA4521, 2.50%, 1/1/2042 | 498,929 | 431,485 |
Pool # BV7697, 2.50%, 4/1/2042 | 892,911 | 771,368 |
Pool # MA4587, 2.50%, 4/1/2042 | 410,507 | 354,760 |
Pool # MA4632, 3.00%, 6/1/2042 | 1,070,213 | 946,912 |
FNMA UMBS, 30 Year | ||
Pool # 254447, 6.00%, 9/1/2032 | 17,994 | 18,389 |
Pool # 711215, 5.50%, 6/1/2033 | 15,857 | 16,099 |
Pool # AA1005, 5.00%, 12/1/2033 | 11,016 | 10,931 |
Pool # 725232, 5.00%, 3/1/2034 | 8,347 | 8,282 |
Pool # 725228, 6.00%, 3/1/2034 | 43,023 | 44,144 |
Pool # 790003, 6.00%, 8/1/2034 | 12,846 | 13,152 |
Pool # 735503, 6.00%, 4/1/2035 | 31,199 | 32,104 |
Pool # 190360, 5.00%, 8/1/2035 | 23,332 | 23,151 |
Pool # 904601, 6.00%, 11/1/2036 | 33,725 | 34,786 |
Pool # 888538, 5.50%, 1/1/2037 | 17,689 | 17,961 |
Pool # AB0284, 6.00%, 2/1/2037 | 31,452 | 32,440 |
Pool # AL2627, 5.00%, 7/1/2037 | 15,372 | 15,253 |
Pool # 956965, 6.50%, 12/1/2037 | 11,471 | 11,770 |
Pool # BH7907, 6.50%, 12/1/2037 | 17,223 | 18,179 |
Pool # 961793, 5.00%, 3/1/2038 | 62,069 | 61,589 |
Pool # 985661, 5.50%, 6/1/2038 | 12,477 | 12,668 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # AU7519, 3.50%, 9/1/2038 | 9,208 | 8,467 |
Pool # AA7402, 4.50%, 6/1/2039 | 95,152 | 92,807 |
Pool # AC2638, 5.00%, 10/1/2039 | 110,707 | 109,850 |
Pool # AL0100, 6.00%, 10/1/2039 | 44,661 | 46,066 |
Pool # AC4886, 5.00%, 11/1/2039 | 20,731 | 20,570 |
Pool # 190399, 5.50%, 11/1/2039 | 70,488 | 71,570 |
Pool # AB1143, 4.50%, 6/1/2040 | 69,961 | 68,248 |
Pool # AD6938, 4.50%, 6/1/2040 | 106,738 | 104,107 |
Pool # AD5479, 5.00%, 6/1/2040 | 22,520 | 22,346 |
Pool # AB1259, 5.00%, 7/1/2040 | 24,342 | 24,154 |
Pool # AB1292, 5.00%, 8/1/2040 | 13,382 | 13,280 |
Pool # AL5437, 5.00%, 8/1/2040 | 74,603 | 73,841 |
Pool # AB1421, 5.00%, 9/1/2040 | 34,488 | 34,221 |
Pool # AE4142, 5.00%, 9/1/2040 | 30,452 | 29,925 |
Pool # AE3857, 5.00%, 10/1/2040 | 489,673 | 485,881 |
Pool # AE8289, 4.00%, 12/1/2040 | 79,324 | 74,691 |
Pool # MA0622, 3.50%, 1/1/2041 | 28,224 | 25,891 |
Pool # AH2312, 5.00%, 1/1/2041 | 66,380 | 65,832 |
Pool # AE0828, 3.50%, 2/1/2041 | 15,557 | 14,276 |
Pool # AH3804, 4.00%, 2/1/2041 | 17,752 | 16,713 |
Pool # MA0639, 4.00%, 2/1/2041 | 27,563 | 25,950 |
Pool # AB2676, 3.50%, 4/1/2041 | 93,204 | 85,474 |
Pool # AL0241, 4.00%, 4/1/2041 | 56,984 | 53,649 |
Pool # AI1887, 4.50%, 5/1/2041 | 228,486 | 222,900 |
Pool # BM3118, 6.00%, 7/1/2041 | 71,226 | 73,469 |
Pool # AJ2293, 4.00%, 9/1/2041 | 15,543 | 14,634 |
Pool # AL0933, 5.00%, 10/1/2041 | 71,479 | 70,874 |
Pool # AW8154, 3.50%, 1/1/2042 | 18,597 | 17,047 |
Pool # AX5318, 4.50%, 1/1/2042 | 60,565 | 59,073 |
Pool # BD4480, 4.50%, 1/1/2042 | 337,510 | 329,197 |
Pool # AL1998, 4.00%, 3/1/2042 | 88,035 | 82,918 |
Pool # AO4134, 3.50%, 6/1/2042 | 11,081 | 10,146 |
Pool # AO8694, 4.50%, 7/1/2042 | 34,588 | 33,607 |
Pool # AP4258, 3.00%, 8/1/2042 | 78,968 | 70,139 |
Pool # AB6632, 3.50%, 10/1/2042 | 110,033 | 100,676 |
Pool # AB6633, 3.50%, 10/1/2042 | 20,609 | 18,857 |
Pool # AL3344, 4.50%, 10/1/2042 | 123,286 | 120,247 |
Pool # AB6828, 3.50%, 11/1/2042 | 1,540 | 1,409 |
Pool # AL3182, 3.50%, 12/1/2042 | 17,112 | 15,755 |
Pool # AQ9316, 2.50%, 1/1/2043 | 49,810 | 42,438 |
Pool # AB7580, 3.00%, 1/1/2043 | 113,348 | 100,660 |
Pool # AQ1104, 3.00%, 1/1/2043 | 21,916 | 19,435 |
Pool # AR0168, 3.00%, 2/1/2043 | 45,139 | 40,086 |
Pool # AB7964, 3.50%, 2/1/2043 | 2,152 | 1,977 |
Pool # AR2271, 3.50%, 2/1/2043 | 254,427 | 232,403 |
38 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # BM4751, 3.50%, 3/1/2043 | 28,373 | 26,042 |
Pool # AB8742, 4.00%, 3/1/2043 | 12,603 | 11,993 |
Pool # AR6770, 4.00%, 3/1/2043 | 14,842 | 13,979 |
Pool # AT2015, 3.00%, 4/1/2043 | 30,723 | 27,284 |
Pool # AT2016, 3.00%, 4/1/2043 | 460,037 | 408,536 |
Pool # AB9194, 3.50%, 5/1/2043 | 106,033 | 96,804 |
Pool # FM4462, 3.50%, 5/1/2043 | 739,640 | 677,370 |
Pool # AU1629, 3.00%, 7/1/2043 | 71,877 | 63,830 |
Pool # BM3785, 3.50%, 7/1/2043 | 111,608 | 102,035 |
Pool # AS0241, 4.00%, 8/1/2043 | 743,069 | 694,768 |
Pool # BM3704, 3.00%, 9/1/2043 | 31,343 | 27,839 |
Pool # AT2612, 3.50%, 9/1/2043 | 67,180 | 61,537 |
Pool # AU4256, 3.50%, 9/1/2043 | 20,591 | 18,859 |
Pool # AU4283, 3.50%, 9/1/2043 | 16,855 | 15,395 |
Pool # AL4062, 4.00%, 9/1/2043 | 25,814 | 24,530 |
Pool # BM4635, 2.50%, 10/1/2043 | 142,721 | 121,620 |
Pool # AS1121, 4.00%, 11/1/2043 | 26,160 | 24,628 |
Pool # AV0022, 4.00%, 11/1/2043 | 420,285 | 395,682 |
Pool # AL7696, 3.00%, 12/1/2043 | 50,428 | 44,790 |
Pool # AV6103, 4.00%, 1/1/2044 | 153,453 | 144,464 |
Pool # BC1737, 4.00%, 1/1/2044 | 56,903 | 54,294 |
Pool # BM5365, 4.00%, 3/1/2044 | 61,807 | 58,192 |
Pool # FM1744, 3.50%, 5/1/2044 | 28,011 | 25,765 |
Pool # AS2700, 4.00%, 6/1/2044 | 35,372 | 33,315 |
Pool # AW6233, 4.50%, 6/1/2044 | 1,603,904 | 1,545,127 |
Pool # AS2947, 4.00%, 7/1/2044 | 35,174 | 33,114 |
Pool # AL9072, 5.00%, 7/1/2044 | 61,309 | 61,955 |
Pool # AL9569, 5.00%, 8/1/2044 | 88,047 | 87,691 |
Pool # AX0152, 4.50%, 9/1/2044 | 22,521 | 21,987 |
Pool # BM4620, 3.00%, 10/1/2044 | 78,153 | 69,415 |
Pool # AS3867, 4.00%, 11/1/2044 | 9,348 | 8,801 |
Pool # FM1746, 3.50%, 1/1/2045 | 85,641 | 78,549 |
Pool # FM0015, 4.00%, 2/1/2045 | 89,528 | 85,080 |
Pool # MA2193, 4.50%, 2/1/2045 | 10,193 | 9,892 |
Pool # FM3414, 4.00%, 3/1/2045 | 563,473 | 527,810 |
Pool # BM3398, 3.50%, 4/1/2045 | 12,824 | 11,728 |
Pool # CA2709, 4.00%, 9/1/2045 | 1,144,037 | 1,077,083 |
Pool # AS5851, 4.50%, 9/1/2045 | 9,861 | 9,569 |
Pool # AS6184, 3.50%, 11/1/2045 | 120,759 | 110,946 |
Pool # BA0315, 3.50%, 11/1/2045 | 411,209 | 372,395 |
Pool # FM1869, 4.00%, 11/1/2045 | 58,448 | 55,026 |
Pool # BM4833, 3.00%, 12/1/2045 | 509,699 | 450,369 |
Pool # FM1708, 3.00%, 12/1/2045 | 35,804 | 31,799 |
Pool # BC0066, 3.50%, 12/1/2045 | 27,706 | 25,107 |
Pool # FM3413, 4.00%, 1/1/2046 | 70,826 | 66,321 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # FM2323, 4.00%, 2/1/2046 | 35,997 | 33,891 |
Pool # AL9128, 4.50%, 2/1/2046 | 17,302 | 16,817 |
Pool # AS6811, 3.00%, 3/1/2046 | 26,052 | 22,903 |
Pool # BM4834, 3.00%, 3/1/2046 | 26,355 | 23,406 |
Pool # FM1782, 4.00%, 3/1/2046 | 11,276 | 10,616 |
Pool # FM2195, 4.00%, 3/1/2046 | 26,805 | 25,237 |
Pool # AS7003, 3.00%, 4/1/2046 | 32,974 | 28,887 |
Pool # AS7198, 4.50%, 5/1/2046 | 91,355 | 88,651 |
Pool # BD0166, 2.50%, 6/1/2046 | 109,382 | 92,793 |
Pool # BM5168, 2.50%, 6/1/2046 | 22,795 | 19,425 |
Pool # BC6105, 3.50%, 6/1/2046 | 920,424 | 834,068 |
Pool # AS7660, 2.50%, 8/1/2046 | 212,249 | 180,054 |
Pool # MA2730, 2.50%, 8/1/2046 | 29,495 | 24,970 |
Pool # FM3810, 3.00%, 10/1/2046 | 94,786 | 84,145 |
Pool # AL9385, 3.00%, 11/1/2046 | 45,667 | 39,897 |
Pool # MA2806, 3.00%, 11/1/2046 | 141,379 | 124,160 |
Pool # BM3288, 3.50%, 12/1/2046 | 19,571 | 17,830 |
Pool # BM4990, 2.50%, 1/1/2047 | 11,073 | 9,436 |
Pool # FM2807, 3.00%, 1/1/2047 | 73,900 | 65,299 |
Pool # 890856, 3.50%, 1/1/2047 | 117,758 | 106,386 |
Pool # FM3374, 3.50%, 1/1/2047 | 134,437 | 123,309 |
Pool # FM0041, 3.00%, 2/1/2047 | 564,192 | 493,034 |
Pool # BM5955, 4.00%, 2/1/2047 | 31,888 | 30,021 |
Pool # BM5270, 4.50%, 2/1/2047 | 14,535 | 14,177 |
Pool # BM4350, 3.00%, 3/1/2047 | 696,763 | 614,342 |
Pool # MA2920, 3.00%, 3/1/2047 | 7,051 | 6,114 |
Pool # FM3107, 3.50%, 3/1/2047 | 2,774 | 2,514 |
Pool # AS9313, 4.00%, 3/1/2047 | 14,794 | 13,916 |
Pool # FM4735, 3.00%, 4/1/2047 | 148,465 | 128,287 |
Pool # FM6073, 4.00%, 4/1/2047 | 1,064,016 | 1,001,537 |
Pool # AS9480, 4.50%, 4/1/2047 | 23,440 | 22,717 |
Pool # FM1772, 4.50%, 5/1/2047 | 13,684 | 13,347 |
Pool # BD0667, 4.50%, 6/1/2047 | 363,112 | 348,202 |
Pool # AS9937, 3.00%, 7/1/2047 | 542,616 | 473,616 |
Pool # AS9946, 3.50%, 7/1/2047 | 39,475 | 35,945 |
Pool # BM1568, 3.50%, 7/1/2047 | 60,443 | 55,584 |
Pool # BH7375, 3.50%, 8/1/2047 | 43,550 | 39,465 |
Pool # CA0148, 4.50%, 8/1/2047 | 9,669 | 9,303 |
Pool # CA0850, 3.00%, 9/1/2047 | 31,823 | 27,743 |
Pool # MA3147, 3.00%, 10/1/2047 | 36,456 | 31,778 |
Pool # BM2003, 4.00%, 10/1/2047 | 141,815 | 133,347 |
Pool # BH9392, 3.50%, 11/1/2047 | 12,158 | 11,017 |
Pool # CA0681, 3.50%, 11/1/2047 | 199,286 | 183,056 |
Pool # MA3182, 3.50%, 11/1/2047 | 919,174 | 832,931 |
Pool # FM0028, 3.00%, 12/1/2047 | 42,459 | 37,641 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 39 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # MA3209, 3.00%, 12/1/2047 | 253,008 | 220,544 |
Pool # FM1420, 3.50%, 12/1/2047 | 191,417 | 174,465 |
Pool # CA4015, 3.00%, 1/1/2048 | 8,388 | 7,308 |
Pool # BJ6154, 3.50%, 1/1/2048 | 156,782 | 142,071 |
Pool # MA3238, 3.50%, 1/1/2048 | 44,245 | 40,094 |
Pool # BJ5910, 3.50%, 2/1/2048 | 189,480 | 174,233 |
Pool # MA3305, 3.50%, 3/1/2048 | 707,417 | 641,040 |
Pool # FM3494, 2.50%, 4/1/2048 | 10,313 | 8,749 |
Pool # CA2687, 3.00%, 5/1/2048 | 19,822 | 17,342 |
Pool # BM4054, 4.00%, 5/1/2048 | 84,469 | 79,673 |
Pool # MA3425, 3.00%, 6/1/2048 | 29,843 | 25,988 |
Pool # BM4757, 3.50%, 7/1/2048 | 34,986 | 31,807 |
Pool # FM3438, 3.00%, 8/1/2048 | 626,368 | 547,236 |
Pool # BM2007, 4.00%, 9/1/2048 | 3,862 | 3,621 |
Pool # CA2368, 4.00%, 9/1/2048 | 25,026 | 23,405 |
Pool # MA3472, 5.00%, 9/1/2048 | 7,896 | 7,796 |
Pool # CA4655, 3.50%, 10/1/2048 | 82,728 | 75,331 |
Pool # MA3495, 4.00%, 10/1/2048 | 25,359 | 23,701 |
Pool # CA2432, 4.50%, 10/1/2048 | 45,824 | 44,198 |
Pool # FM7895, 3.50%, 11/1/2048 | 244,385 | 222,557 |
Pool # FM1248, 4.50%, 11/1/2048 | 14,626 | 14,116 |
Pool # CA2797, 4.50%, 12/1/2048 | 557,445 | 538,643 |
Pool # FM0030, 3.00%, 2/1/2049 | 46,405 | 40,544 |
Pool # FM6237, 3.50%, 4/1/2049 | 510,301 | 462,732 |
Pool # MA3637, 3.50%, 4/1/2049 | 15,666 | 14,163 |
Pool # MA3638, 4.00%, 4/1/2049 | 14,958 | 13,924 |
Pool # BN5418, 4.50%, 4/1/2049 | 16,626 | 16,024 |
Pool # MA3663, 3.50%, 5/1/2049 | 899,067 | 809,961 |
Pool # MA3664, 4.00%, 5/1/2049 | 7,432 | 6,906 |
Pool # FM4074, 4.50%, 5/1/2049 | 254,725 | 245,694 |
Pool # CA4358, 3.50%, 7/1/2049 | 15,338 | 13,860 |
Pool # MA3692, 3.50%, 7/1/2049 | 906,426 | 816,861 |
Pool # FM1672, 4.50%, 7/1/2049 | 737,861 | 718,930 |
Pool # MA3745, 3.50%, 8/1/2049 | 73,553 | 66,467 |
Pool # MA3746, 4.00%, 8/1/2049 | 11,047 | 10,261 |
Pool # FM1385, 5.00%, 8/1/2049 | 324,007 | 319,675 |
Pool # BO4012, 3.00%, 9/1/2049 | 106,514 | 92,325 |
Pool # FM1449, 3.50%, 9/1/2049 | 129,534 | 117,055 |
Pool # FM4430, 3.50%, 9/1/2049 | 502,162 | 454,204 |
Pool # FM3572, 4.50%, 9/1/2049 | 69,595 | 67,127 |
Pool # MA3803, 3.50%, 10/1/2049 | 35,541 | 32,117 |
Pool # MA3833, 2.50%, 11/1/2049 | 846,882 | 704,195 |
Pool # BK0350, 3.00%, 11/1/2049 | 771,414 | 672,585 |
Pool # MA3834, 3.00%, 11/1/2049 | 472,215 | 409,313 |
Pool # FM2363, 3.00%, 1/1/2050 | 1,440,104 | 1,257,599 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # MA3905, 3.00%, 1/1/2050 | 794,947 | 688,727 |
Pool # CA5021, 3.50%, 1/1/2050 | 33,646 | 30,374 |
Pool # FM5922, 3.50%, 1/1/2050 | 343,974 | 311,909 |
Pool # MA3906, 3.50%, 1/1/2050 | 33,170 | 29,975 |
Pool # CA5135, 2.50%, 2/1/2050 | 138,292 | 116,070 |
Pool # MA3937, 3.00%, 2/1/2050 | 924,493 | 800,579 |
Pool # FM2733, 2.50%, 3/1/2050 | 92,884 | 77,062 |
Pool # FM4883, 2.50%, 3/1/2050 | 1,920,965 | 1,581,859 |
Pool # FM4372, 3.50%, 3/1/2050 | 459,919 | 416,880 |
Pool # BP2403, 3.50%, 4/1/2050 | 250,367 | 224,427 |
Pool # BP5001, 2.50%, 5/1/2050 | 539,181 | 447,105 |
Pool # FM3257, 3.00%, 5/1/2050 | 221,690 | 194,667 |
Pool # BK2753, 2.50%, 7/1/2050 | 855,981 | 709,635 |
Pool # FS2252, 3.00%, 7/1/2050 | 859,058 | 750,532 |
Pool # BP6626, 2.00%, 8/1/2050 | 2,222,738 | 1,761,700 |
Pool # MA4100, 2.00%, 8/1/2050 | 1,034,092 | 819,760 |
Pool # BP9500, 2.50%, 8/1/2050 | 83,689 | 69,364 |
Pool # BQ0723, 3.50%, 8/1/2050 | 1,259,125 | 1,135,730 |
Pool # FM5750, 4.00%, 8/1/2050 | 299,273 | 277,418 |
Pool # BK3044, 2.50%, 9/1/2050 | 723,111 | 599,029 |
Pool # BP6702, 2.50%, 9/1/2050 | 542,860 | 450,413 |
Pool # FM8260, 4.00%, 9/1/2050 | 502,502 | 473,317 |
Pool # MA4159, 2.50%, 10/1/2050 | 543,537 | 450,158 |
Pool # CA7603, 2.50%, 11/1/2050 | 294,453 | 243,742 |
Pool # MA4183, 2.50%, 11/1/2050 | 2,430,651 | 2,014,687 |
Pool # CA8005, 1.50%, 12/1/2050 | 160,585 | 120,444 |
Pool # CA8222, 1.50%, 12/1/2050 | 280,512 | 210,320 |
Pool # MA4209, 1.50%, 12/1/2050 | 1,222,291 | 912,978 |
Pool # BQ5160, 2.00%, 12/1/2050 | 2,486,721 | 1,968,207 |
Pool # FM5849, 2.00%, 12/1/2050 | 864,912 | 680,823 |
Pool # MA4208, 2.00%, 12/1/2050 | 441,610 | 349,192 |
Pool # FM5597, 2.00%, 1/1/2051 | 213,955 | 168,415 |
Pool # FM6241, 2.00%, 1/1/2051 | 3,523,830 | 2,788,315 |
Pool # FM5854, 2.50%, 1/1/2051 | 166,099 | 138,419 |
Pool # MA4254, 1.50%, 2/1/2051 | 326,954 | 245,044 |
Pool # CA9190, 2.00%, 2/1/2051 | 164,469 | 129,762 |
Pool # FM6126, 2.00%, 2/1/2051 | 200,281 | 157,652 |
Pool # BR3515, 2.50%, 2/1/2051 | 159,222 | 131,835 |
Pool # FM6244, 2.00%, 3/1/2051 | 784,119 | 623,267 |
Pool # MA4281, 2.00%, 3/1/2051 | 244,289 | 192,814 |
Pool # FM6523, 2.50%, 3/1/2051 | 277,838 | 229,932 |
Pool # FM6764, 2.50%, 3/1/2051 | 820,406 | 674,554 |
Pool # FM6537, 2.00%, 4/1/2051 | 2,702,483 | 2,170,872 |
Pool # MA4306, 2.50%, 4/1/2051 | 235,236 | 194,518 |
Pool # FM7099, 3.00%, 4/1/2051 | 735,217 | 641,163 |
40 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # MA4343, 1.50%, 5/1/2051 | 381,893 | 286,138 |
Pool # FM7066, 2.50%, 5/1/2051 | 733,042 | 619,753 |
Pool # MA4326, 2.50%, 5/1/2051 | 1,592,610 | 1,315,695 |
Pool # MA4354, 1.50%, 6/1/2051 | 486,746 | 364,173 |
Pool # CB0727, 2.50%, 6/1/2051 | 1,349,278 | 1,116,388 |
Pool # FM7418, 2.50%, 6/1/2051 | 841,085 | 701,703 |
Pool # MA4356, 2.50%, 6/1/2051 | 4,220,430 | 3,485,721 |
Pool # MA4377, 1.50%, 7/1/2051 | 562,421 | 420,622 |
Pool # FM8194, 2.00%, 7/1/2051 | 350,370 | 275,577 |
Pool # CB1027, 2.50%, 7/1/2051 | 254,635 | 210,148 |
Pool # MA4379, 2.50%, 7/1/2051 | 3,849,361 | 3,178,442 |
Pool # CB1150, 3.00%, 7/1/2051 | 472,149 | 406,031 |
Pool # MA4380, 3.00%, 7/1/2051 | 204,376 | 175,839 |
Pool # FM8278, 3.50%, 7/1/2051 | 356,698 | 319,621 |
Pool # BR2236, 2.50%, 8/1/2051 | 250,089 | 206,343 |
Pool # BR2237, 2.50%, 8/1/2051 | 488,361 | 403,140 |
Pool # BR2258, 2.50%, 8/1/2051 | 164,498 | 135,827 |
Pool # CB1276, 2.50%, 8/1/2051 | 717,179 | 591,732 |
Pool # MA4399, 2.50%, 8/1/2051 | 2,295,165 | 1,894,654 |
Pool # MA4401, 3.50%, 8/1/2051 | 121,341 | 108,508 |
Pool # BT0240, 2.00%, 9/1/2051 | 172,941 | 136,450 |
Pool # FM8730, 2.00%, 9/1/2051 | 929,456 | 731,034 |
Pool # MA4413, 2.00%, 9/1/2051 | 731,383 | 576,422 |
Pool # MA4414, 2.50%, 9/1/2051 | 2,080,763 | 1,717,234 |
Pool # MA4436, 1.50%, 10/1/2051 | 956,311 | 714,289 |
Pool # CB1917, 3.00%, 10/1/2051 | 1,839,857 | 1,587,118 |
Pool # MA4464, 1.50%, 11/1/2051 | 539,069 | 402,780 |
Pool # CB2364, 2.00%, 12/1/2051 | 4,565,984 | 3,595,898 |
Pool # FM9868, 2.50%, 12/1/2051 | 511,086 | 425,022 |
Pool # FM9870, 2.50%, 12/1/2051 | 524,027 | 433,851 |
Pool # MA4493, 2.50%, 12/1/2051 | 857,001 | 706,587 |
Pool # MA4512, 2.50%, 1/1/2052 | 915,594 | 752,790 |
Pool # MA4513, 3.00%, 1/1/2052 | 2,302,436 | 1,979,769 |
Pool # CB2773, 2.00%, 2/1/2052 | 1,842,099 | 1,449,491 |
Pool # CB2850, 2.00%, 2/1/2052 | 228,508 | 179,697 |
Pool # MA4547, 2.00%, 2/1/2052 | 6,878,762 | 5,414,623 |
Pool # MA4548, 2.50%, 2/1/2052 | 925,589 | 761,606 |
Pool # BV4248, 2.00%, 3/1/2052 | 890,860 | 710,954 |
Pool # CB3040, 2.00%, 3/1/2052 | 4,635,494 | 3,646,608 |
Pool # MA4562, 2.00%, 3/1/2052 | 3,327,707 | 2,618,759 |
Pool # FS2099, 1.50%, 4/1/2052 | 182,802 | 136,538 |
Pool # FS1598, 2.00%, 4/1/2052 | 4,564,757 | 3,595,463 |
Pool # MA4577, 2.00%, 4/1/2052 | 1,474,170 | 1,160,417 |
Pool # MA4578, 2.50%, 4/1/2052 | 4,378,698 | 3,605,661 |
Pool # FS1538, 3.00%, 4/1/2052 | 464,344 | 397,792 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # MA4579, 3.00%, 4/1/2052 | 1,013,221 | 867,997 |
Pool # MA4597, 2.00%, 5/1/2052 | 4,319,999 | 3,405,273 |
Pool # MA4599, 3.00%, 5/1/2052 | 474,965 | 406,851 |
Pool # CB3608, 3.50%, 5/1/2052 | 184,972 | 164,711 |
Pool # MA4600, 3.50%, 5/1/2052 | 2,131,382 | 1,897,951 |
Pool # MA4622, 2.00%, 6/1/2052 | 4,668,641 | 3,675,287 |
Pool # CB4209, 3.50%, 7/1/2052 | 931,305 | 828,906 |
Pool # MA4654, 3.50%, 7/1/2052 | 460,365 | 409,934 |
Pool # MA4698, 3.00%, 8/1/2052 | 3,737,878 | 3,201,282 |
Pool # MA4699, 3.50%, 8/1/2052 | 1,915,595 | 1,705,649 |
Pool # MA4700, 4.00%, 8/1/2052 | 2,820,604 | 2,596,551 |
Pool # MA4701, 4.50%, 8/1/2052 | 939,908 | 889,960 |
Pool # FS2619, 5.00%, 8/1/2052 | 926,004 | 899,154 |
Pool # FS3392, 4.00%, 9/1/2052 | 933,711 | 859,902 |
Pool # MA4732, 4.00%, 9/1/2052 | 471,274 | 433,815 |
Pool # MA4733, 4.50%, 9/1/2052 | 1,415,002 | 1,339,807 |
Pool # MA4761, 5.00%, 9/1/2052 | 930,781 | 903,649 |
Pool # MA4783, 4.00%, 10/1/2052 | 2,813,571 | 2,589,802 |
Pool # MA4784, 4.50%, 10/1/2052 | 1,886,443 | 1,786,196 |
Pool # MA4803, 3.50%, 11/1/2052 | 963,296 | 857,375 |
Pool # MA4805, 4.50%, 11/1/2052 | 5,783,109 | 5,475,799 |
Pool # MA4838, 3.50%, 12/1/2052 | 1,894,468 | 1,686,643 |
Pool # MA4839, 4.00%, 12/1/2052 | 3,322,343 | 3,057,802 |
Pool # MA4840, 4.50%, 12/1/2052 | 935,788 | 886,063 |
Pool # FS3455, 5.00%, 12/1/2052 | 897,631 | 878,622 |
Pool # MA4866, 4.00%, 1/1/2053 | 949,499 | 873,890 |
Pool # MA4868, 5.00%, 1/1/2053 | 752,936 | 730,813 |
Pool # MA4869, 5.50%, 1/1/2053 | 1,400,568 | 1,388,055 |
Pool # MA4933, 3.50%, 2/1/2053 | 1,253,895 | 1,116,016 |
Pool # MA4918, 5.00%, 2/1/2053 | 4,678,131 | 4,540,191 |
Pool # CB5600, 5.50%, 2/1/2053 | 932,858 | 928,100 |
Pool # MA4919, 5.50%, 2/1/2053 | 1,871,436 | 1,852,620 |
Pool # MA4920, 6.00%, 2/1/2053 | 2,439,063 | 2,452,257 |
Pool # MA4962, 4.00%, 3/1/2053 | 1,929,797 | 1,776,052 |
Pool # CB5906, 5.50%, 3/1/2053 | 282,107 | 279,501 |
Pool # MA4943, 6.50%, 3/1/2053 | 997,612 | 1,015,186 |
Pool # MA4964, 7.00%, 3/1/2053 | 401,834 | 412,565 |
Pool # MA4979, 5.50%, 4/1/2053 | 926,490 | 916,738 |
Pool # MA5038, 5.00%, 6/1/2053 | 1,910,110 | 1,852,803 |
Pool # MA5071, 5.00%, 7/1/2053 | 1,926,631 | 1,868,828 |
Pool # MA5072, 5.50%, 7/1/2053 | 949,448 | 939,451 |
Pool # MA5138, 5.50%, 9/1/2053 | 964,109 | 953,960 |
Pool # MA5166, 6.00%, 10/1/2053 | 3,843,457 | 3,860,594 |
Pool # DA4550, 6.50%, 11/1/2053 | 1,988,110 | 2,024,138 |
Pool # MA5217, 6.50%, 12/1/2053 | 1,929,395 | 1,963,706 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 41 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
FNMA/FHLMC UMBS, Single Family, 15 Year | ||
TBA, 1.50%, 3/25/2039 (a) | 50,000 | 43,110 |
TBA, 2.00%, 3/25/2039 (a) | 2,855,000 | 2,518,234 |
TBA, 2.50%, 3/25/2039 (a) | 1,638,000 | 1,484,910 |
TBA, 3.00%, 3/25/2039 (a) | 590,000 | 546,621 |
TBA, 3.50%, 3/25/2039 (a) | 157,000 | 148,525 |
TBA, 4.00%, 3/25/2039 (a) | 90,000 | 86,677 |
TBA, 4.50%, 3/25/2039 (a) | 428,000 | 418,671 |
FNMA/FHLMC UMBS, Single Family, 30 Year | ||
TBA, 2.00%, 3/25/2054 (a) | 10,669,000 | 8,382,246 |
TBA, 2.50%, 3/25/2054 (a) | 15,631,000 | 12,841,020 |
TBA, 3.00%, 3/25/2054 (a) | 12,102,000 | 10,349,836 |
TBA, 4.00%, 3/25/2054 (a) | 4,000,000 | 3,679,901 |
TBA, 5.00%, 3/25/2054 (a) | 3,051,000 | 2,958,518 |
TBA, 5.50%, 3/25/2054 (a) | 3,104,000 | 3,070,392 |
TBA, 6.00%, 3/25/2054 (a) | 1,516,000 | 1,522,323 |
TBA, 6.50%, 3/25/2054 (a) | 973,000 | 990,013 |
GNMA I, 30 Year | ||
Pool # 704155, 5.50%, 1/15/2039 | 14,543 | 14,701 |
Pool # 726769, 5.00%, 9/15/2039 | 12,349 | 12,316 |
Pool # 721340, 5.00%, 12/15/2039 | 45,136 | 45,126 |
Pool # 754439, 3.50%, 12/15/2041 | 89,977 | 83,625 |
Pool # 711674, 3.00%, 9/15/2042 | 43,050 | 38,654 |
Pool # 783748, 3.50%, 4/15/2043 | 58,218 | 54,142 |
Pool # 784660, 4.00%, 4/15/2043 | 4,963 | 4,730 |
Pool # AC2224, 3.50%, 6/15/2043 | 40,322 | 37,474 |
Pool # 785088, 3.50%, 7/15/2043 | 47,208 | 43,642 |
Pool # AJ4151, 4.00%, 9/15/2044 | 177,774 | 168,371 |
Pool # AL9314, 3.00%, 3/15/2045 | 35,598 | 31,435 |
Pool # 784664, 4.00%, 4/15/2045 | 19,063 | 18,167 |
Pool # AO0544, 3.00%, 8/15/2045 | 20,078 | 17,729 |
Pool # 627030, 3.00%, 12/15/2045 | 21,198 | 18,718 |
Pool # 784429, 3.00%, 8/15/2046 | 69,731 | 62,622 |
Pool # 784652, 4.00%, 11/15/2047 | 394,598 | 372,073 |
Pool # 784766, 3.50%, 3/15/2048 | 440,411 | 405,501 |
GNMA II, 15 Year | ||
Pool # MA0513, 2.50%, 11/20/2027 | 36,197 | 34,723 |
Pool # MA4625, 3.50%, 8/20/2032 | 17,591 | 16,898 |
Pool # MA6906, 2.50%, 10/20/2035 | 316,222 | 288,372 |
GNMA II, 30 Year | ||
Pool # 711773, 3.50%, 6/20/2033 | 42,429 | 40,170 |
Pool # 3459, 5.50%, 10/20/2033 | 38,772 | 39,567 |
Pool # AQ5932, 3.50%, 1/20/2036 | 65,503 | 61,517 |
Pool # 4222, 6.00%, 8/20/2038 | 7,553 | 7,831 |
Pool # 709148, 4.50%, 2/20/2039 | 27,127 | 26,111 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # 4446, 4.50%, 5/20/2039 | 2,332 | 2,288 |
Pool # 4467, 4.00%, 6/20/2039 | 10,825 | 10,358 |
Pool # 4468, 4.50%, 6/20/2039 | 2,066 | 2,027 |
Pool # 4494, 4.00%, 7/20/2039 | 11,748 | 11,241 |
Pool # 4495, 4.50%, 7/20/2039 | 8,955 | 8,785 |
Pool # 4519, 4.50%, 8/20/2039 | 3,349 | 3,285 |
Pool # 4558, 4.50%, 10/20/2039 | 2,813 | 2,759 |
Pool # 4576, 4.00%, 11/20/2039 | 5,349 | 5,118 |
Pool # 4598, 4.50%, 12/20/2039 | 5,622 | 5,513 |
Pool # 4617, 4.50%, 1/20/2040 | 3,028 | 2,969 |
Pool # 4656, 4.00%, 3/20/2040 | 8,652 | 8,279 |
Pool # 4677, 4.00%, 4/20/2040 | 23,567 | 22,549 |
Pool # 4678, 4.50%, 4/20/2040 | 1,058 | 1,037 |
Pool # 4695, 4.00%, 5/20/2040 | 2,609 | 2,496 |
Pool # 4712, 4.00%, 6/20/2040 | 4,076 | 3,899 |
Pool # 4800, 4.00%, 9/20/2040 | 4,203 | 4,021 |
Pool # 737727, 4.00%, 12/20/2040 | 36,828 | 34,964 |
Pool # 4945, 4.00%, 2/20/2041 | 9,056 | 8,665 |
Pool # 759342, 4.50%, 2/20/2041 | 194,860 | 188,571 |
Pool # 4950, 5.50%, 2/20/2041 | 16,427 | 16,846 |
Pool # 4976, 3.50%, 3/20/2041 | 10,893 | 10,044 |
Pool # 4977, 4.00%, 3/20/2041 | 16,688 | 15,967 |
Pool # 5016, 4.00%, 4/20/2041 | 6,454 | 6,175 |
Pool # 5054, 4.00%, 5/20/2041 | 10,006 | 9,574 |
Pool # 5114, 4.00%, 7/20/2041 | 1,335 | 1,278 |
Pool # 779497, 3.50%, 10/20/2041 | 7,402 | 6,726 |
Pool # 5233, 4.00%, 11/20/2041 | 1,637 | 1,566 |
Pool # 5258, 3.50%, 12/20/2041 | 99,625 | 91,876 |
Pool # 5259, 4.00%, 12/20/2041 | 6,300 | 6,027 |
Pool # 5279, 3.50%, 1/20/2042 | 18,552 | 17,112 |
Pool # 5330, 3.00%, 3/20/2042 | 12,332 | 11,017 |
Pool # 754406, 3.50%, 5/20/2042 | 49,469 | 44,964 |
Pool # 796468, 4.00%, 9/20/2042 | 15,667 | 14,978 |
Pool # AA6040, 3.00%, 1/20/2043 | 86,155 | 75,780 |
Pool # AD1584, 3.00%, 1/20/2043 | 106,465 | 93,384 |
Pool # AD2125, 3.50%, 1/20/2043 | 71,877 | 66,668 |
Pool # AA6054, 3.00%, 2/20/2043 | 165,444 | 145,829 |
Pool # AD1744, 3.00%, 2/20/2043 | 13,908 | 12,537 |
Pool # 783755, 3.00%, 4/20/2043 | 109,944 | 98,263 |
Pool # 783976, 3.50%, 4/20/2043 | 18,119 | 16,503 |
Pool # MA1284, 3.00%, 9/20/2043 | 14,695 | 13,134 |
Pool # 785065, 3.50%, 10/20/2043 | 193,221 | 174,818 |
Pool # MA1376, 4.00%, 10/20/2043 | 86,255 | 82,506 |
Pool # AI7106, 4.00%, 6/20/2044 | 29,027 | 27,593 |
Pool # 784026, 3.50%, 12/20/2044 | 169,802 | 156,975 |
42 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # MA2678, 3.50%, 3/20/2045 | 114,229 | 104,841 |
Pool # MA2679, 4.00%, 3/20/2045 | 39,779 | 37,998 |
Pool # MA2753, 3.00%, 4/20/2045 | 58,392 | 52,186 |
Pool # 626942, 3.00%, 5/20/2045 | 138,317 | 119,574 |
Pool # MA2829, 5.00%, 5/20/2045 | 21,084 | 21,144 |
Pool # 784800, 3.00%, 6/20/2045 | 29,843 | 26,211 |
Pool # AM9881, 3.00%, 6/20/2045 | 14,317 | 12,618 |
Pool # AO9442, 3.50%, 12/20/2045 | 15,946 | 14,569 |
Pool # 784119, 3.00%, 2/20/2046 | 128,852 | 114,807 |
Pool # MA3458, 5.50%, 2/20/2046 | 27,844 | 28,554 |
Pool # MA3735, 3.00%, 6/20/2046 | 236,983 | 210,624 |
Pool # AT7138, 3.50%, 6/20/2046 | 245,842 | 222,512 |
Pool # MA3935, 2.50%, 9/20/2046 | 63,348 | 54,401 |
Pool # 784768, 3.00%, 9/20/2046 | 67,241 | 59,937 |
Pool # AT8215, 3.00%, 9/20/2046 | 20,385 | 17,987 |
Pool # MA4002, 2.50%, 10/20/2046 | 344,483 | 295,829 |
Pool # AW0199, 3.00%, 10/20/2046 | 48,507 | 42,801 |
Pool # MA4072, 5.00%, 11/20/2046 | 21,773 | 21,835 |
Pool # MA4125, 2.50%, 12/20/2046 | 316,425 | 271,619 |
Pool # MA4126, 3.00%, 12/20/2046 | 47,318 | 42,006 |
Pool # MA4260, 2.50%, 2/20/2047 | 55,374 | 47,489 |
Pool # AZ3119, 3.50%, 3/20/2047 | 29,345 | 26,545 |
Pool # AZ7084, 3.50%, 4/20/2047 | 64,623 | 58,763 |
Pool # MA4511, 4.00%, 6/20/2047 | 144,850 | 136,617 |
Pool # BA5041, 5.00%, 6/20/2047 | 93,980 | 92,854 |
Pool # MA4584, 2.50%, 7/20/2047 | 76,300 | 65,612 |
Pool # MA4718, 3.00%, 9/20/2047 | 6,477 | 5,750 |
Pool # BC2742, 3.50%, 11/20/2047 | 625,298 | 563,280 |
Pool # BD6940, 3.50%, 12/20/2047 | 135 | 120 |
Pool # MA5019, 3.50%, 2/20/2048 | 198,142 | 181,289 |
Pool # 785033, 3.50%, 5/20/2048 | 190,093 | 178,312 |
Pool # MA5329, 3.50%, 7/20/2048 | 7,050 | 6,452 |
Pool # MA5468, 5.00%, 9/20/2048 | 5,427 | 5,370 |
Pool # MA5527, 3.50%, 10/20/2048 | 25,989 | 23,778 |
Pool # MA5595, 4.00%, 11/20/2048 | 32,430 | 30,452 |
Pool # BJ6759, 4.50%, 11/20/2048 | 231,829 | 222,860 |
Pool # MA5651, 4.00%, 12/20/2048 | 154,623 | 145,163 |
Pool # MA5709, 3.50%, 1/20/2049 | 74,223 | 67,977 |
Pool # BI6473, 4.00%, 1/20/2049 | 694,472 | 659,901 |
Pool # BJ9901, 3.00%, 2/20/2049 | 54,434 | 47,836 |
Pool # MA5983, 2.50%, 6/20/2049 | 110,878 | 95,245 |
Pool # MA5985, 3.50%, 6/20/2049 | 38,218 | 34,951 |
Pool # BM5450, 4.50%, 7/20/2049 | 60,432 | 57,896 |
Pool # MA6220, 4.00%, 10/20/2049 | 166,053 | 155,267 |
Pool # BR4627, 3.00%, 11/20/2049 | 464,947 | 409,442 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # MA6283, 3.00%, 11/20/2049 | 464,317 | 410,702 |
Pool # 785067, 3.50%, 12/20/2049 | 381,998 | 340,849 |
Pool # MA6478, 5.00%, 2/20/2050 | 21,014 | 20,857 |
Pool # MA6542, 3.50%, 3/20/2050 | 211,155 | 192,916 |
Pool # BV1348, 2.50%, 6/20/2050 | 46,482 | 37,921 |
Pool # MA6818, 2.00%, 8/20/2050 | 1,209,476 | 984,785 |
Pool # BY8818, 2.00%, 10/20/2050 | 444,724 | 357,628 |
Pool # 785401, 2.50%, 10/20/2050 | 699,462 | 574,327 |
Pool # MA6994, 2.00%, 11/20/2050 | 1,328,718 | 1,081,871 |
Pool # BY8832, 2.50%, 11/20/2050 | 411,785 | 342,444 |
Pool # MA7051, 2.00%, 12/20/2050 | 2,064,690 | 1,681,113 |
Pool # CA4485, 2.50%, 12/20/2050 | 520,687 | 425,283 |
Pool # MA7052, 2.50%, 12/20/2050 | 841,176 | 713,752 |
Pool # MA7055, 4.00%, 12/20/2050 | 213,770 | 201,091 |
Pool # MA7135, 2.00%, 1/20/2051 | 2,358,071 | 1,920,880 |
Pool # MA7254, 2.00%, 3/20/2051 | 1,022,426 | 832,669 |
Pool # 785449, 3.00%, 4/20/2051 | 271,719 | 238,934 |
Pool # MA7417, 2.00%, 6/20/2051 | 2,812,242 | 2,289,732 |
Pool # MA7418, 2.50%, 6/20/2051 | 1,529,558 | 1,296,573 |
Pool # MA7420, 3.50%, 6/20/2051 | 379,136 | 344,884 |
Pool # MA7473, 3.00%, 7/20/2051 | 460,679 | 403,954 |
Pool # MA7588, 2.00%, 9/20/2051 | 975,910 | 794,576 |
Pool # MA7766, 2.00%, 12/20/2051 | 2,134,549 | 1,737,912 |
Pool # MA7826, 2.00%, 1/20/2052 | 4,827,597 | 3,929,603 |
Pool # 785881, 2.50%, 1/20/2052 | 1,961,349 | 1,601,891 |
Pool # 785945, 3.00%, 2/20/2052 | 869,194 | 764,237 |
Pool # 786017, 3.00%, 3/20/2052 | 884,629 | 778,356 |
Pool # MA7986, 2.00%, 4/20/2052 | 1,062,077 | 864,671 |
Pool # MA7988, 3.00%, 4/20/2052 | 2,649,325 | 2,322,951 |
Pool # MA8043, 3.00%, 5/20/2052 | 2,287,996 | 2,006,134 |
Pool # MA8147, 2.50%, 7/20/2052 | 2,630,743 | 2,225,702 |
Pool # MA8199, 3.50%, 8/20/2052 | 2,672,986 | 2,417,806 |
Pool # MA8267, 4.00%, 9/20/2052 | 1,118,144 | 1,040,707 |
Pool # MA8269, 5.00%, 9/20/2052 | 594,526 | 581,272 |
Pool # MA8270, 5.50%, 9/20/2052 | 878,439 | 873,925 |
Pool # MA8346, 4.00%, 10/20/2052 | 2,026,829 | 1,886,463 |
Pool # MA8492, 6.00%, 12/20/2052 | 1,310,144 | 1,317,448 |
Pool # MA8493, 6.50%, 12/20/2052 | 310,914 | 315,491 |
Pool # MA8573, 7.00%, 1/20/2053 | 721,571 | 736,985 |
Pool # MA8800, 5.00%, 4/20/2053 | 2,416,804 | 2,361,237 |
Pool # 786633, 6.00%, 4/20/2053 | 1,912,568 | 1,926,662 |
Pool # MA8947, 5.00%, 6/20/2053 | 1,960,500 | 1,915,266 |
Pool # MA8948, 5.50%, 6/20/2053 | 2,440,610 | 2,425,802 |
Pool # MA9015, 4.50%, 7/20/2053 | 1,889,445 | 1,804,531 |
Pool # MA9017, 5.50%, 7/20/2053 | 2,703,953 | 2,687,269 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 43 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # MA9018, 6.00%, 7/20/2053 | 733,088 | 737,130 |
Pool # MA9019, 6.50%, 7/20/2053 | 730,580 | 741,135 |
Pool # MA9105, 5.00%, 8/20/2053 | 1,975,326 | 1,929,750 |
Pool # MA9174, 7.00%, 9/20/2053 | 917,169 | 936,341 |
GNMA II, Single Family, 30 Year | ||
TBA, 2.00%, 3/15/2054 (a) | 11,751,000 | 9,562,831 |
TBA, 2.50%, 3/15/2054 (a) | 12,146,000 | 10,278,862 |
TBA, 3.00%, 3/15/2054 (a) | 1,867,000 | 1,636,656 |
TBA, 3.50%, 3/15/2054 (a) | 8,238,000 | 7,450,492 |
TBA, 4.00%, 3/15/2054 (a) | 2,800,000 | 2,605,680 |
TBA, 4.50%, 3/15/2054 (a) | 3,971,000 | 3,791,857 |
Total Mortgage-Backed Securities (Cost $468,094,369) | 435,069,388 | |
Corporate Bonds — 24.8% | ||
Aerospace & Defense — 0.6% | ||
Boeing Co. (The) | ||
3.25%, 3/1/2028 | 2,232,000 | 2,062,541 |
3.60%, 5/1/2034 | 685,000 | 577,585 |
3.25%, 2/1/2035 | 469,000 | 376,546 |
3.55%, 3/1/2038 | 814,000 | 629,064 |
3.50%, 3/1/2039 | 747,000 | 565,936 |
Huntington Ingalls Industries, Inc. 3.48%, 12/1/2027 | 15,000 | 14,054 |
L3Harris Technologies, Inc. 4.85%, 4/27/2035 | 166,000 | 157,280 |
Lockheed Martin Corp. 3.60%, 3/1/2035 | 3,131,000 | 2,734,004 |
Northrop Grumman Corp. | ||
4.40%, 5/1/2030 | 30,000 | 28,909 |
4.70%, 3/15/2033 | 150,000 | 144,682 |
5.25%, 5/1/2050 | 272,000 | 262,530 |
Precision Castparts Corp. 4.38%, 6/15/2045 | 82,000 | 71,959 |
RTX Corp. | ||
5.00%, 2/27/2026 | 163,000 | 162,584 |
1.90%, 9/1/2031 | 625,000 | 497,614 |
2.38%, 3/15/2032 | 350,000 | 283,657 |
4.35%, 4/15/2047 | 237,000 | 198,013 |
3.03%, 3/15/2052 | 661,000 | 429,911 |
Textron, Inc. | ||
3.65%, 3/15/2027 | 120,000 | 114,812 |
3.00%, 6/1/2030 | 176,000 | 154,450 |
9,466,131 | ||
Air Freight & Logistics — 0.1% | ||
CH Robinson Worldwide, Inc. 4.20%, 4/15/2028 | 502,000 | 483,968 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Air Freight & Logistics — continued | ||
FedEx Corp. | ||
4.90%, 1/15/2034 | 30,000 | 29,135 |
3.90%, 2/1/2035 | 20,000 | 17,604 |
3.88%, 8/1/2042 | 891,000 | 707,348 |
4.05%, 2/15/2048 | 286,000 | 224,837 |
United Parcel Service, Inc. | ||
4.88%, 3/3/2033 | 50,000 | 49,626 |
3.75%, 11/15/2047 | 300,000 | 237,294 |
3.40%, 9/1/2049 | 465,000 | 347,322 |
2,097,134 | ||
Automobile Components — 0.0% ^ | ||
BorgWarner, Inc. 2.65%, 7/1/2027 | 50,000 | 46,150 |
Lear Corp. 5.25%, 5/15/2049 | 85,000 | 76,330 |
Magna International, Inc. (Canada) 4.15%, 10/1/2025 | 300,000 | 294,474 |
416,954 | ||
Automobiles — 0.1% | ||
Ford Motor Co. 9.63%, 4/22/2030 | 165,000 | 192,906 |
General Motors Co. | ||
5.40%, 10/15/2029 | 330,000 | 328,915 |
5.00%, 4/1/2035 | 707,000 | 660,999 |
5.15%, 4/1/2038 | 400,000 | 370,293 |
Mercedes-Benz Finance North America LLC (Germany) 8.50%, 1/18/2031 | 152,000 | 184,435 |
Toyota Motor Corp. (Japan) 1.34%, 3/25/2026 | 52,000 | 48,276 |
1,785,824 | ||
Banks — 4.0% | ||
Australia & New Zealand Banking Group Ltd. (Australia) 5.38%, 7/3/2025 | 445,000 | 446,359 |
Banco Santander SA (Spain) | ||
2.75%, 12/3/2030 | 200,000 | 162,875 |
6.92%, 8/8/2033 | 400,000 | 415,559 |
Bank of America Corp. | ||
3.50%, 4/19/2026 | 635,000 | 615,279 |
(SOFR + 1.75%), 4.83%, 7/22/2026 (b) | 30,000 | 29,743 |
6.22%, 9/15/2026 | 100,000 | 102,149 |
4.25%, 10/22/2026 | 648,000 | 633,712 |
(SOFR + 1.01%), 1.20%, 10/24/2026 (b) | 718,000 | 668,917 |
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (b) | 221,000 | 205,181 |
(SOFR + 1.05%), 2.55%, 2/4/2028 (b) | 1,060,000 | 980,315 |
(3-MONTH CME TERM SOFR + 1.30%), 3.42%, 12/20/2028 (b) | 37,000 | 34,576 |
44 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(SOFR + 1.06%), 2.09%, 6/14/2029 (b) | 1,797,000 | 1,576,939 |
(3-MONTH CME TERM SOFR + 1.57%), 4.27%, 7/23/2029 (b) | 50,000 | 48,037 |
(3-MONTH CME TERM SOFR + 1.47%), 3.97%, 2/7/2030 (b) | 250,000 | 234,957 |
(3-MONTH CME TERM SOFR + 1.25%), 2.50%, 2/13/2031 (b) | 129,000 | 109,975 |
(SOFR + 1.37%), 1.92%, 10/24/2031 (b) | 102,000 | 82,308 |
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (b) | 2,500,000 | 2,091,206 |
(SOFR + 1.83%), 4.57%, 4/27/2033 (b) | 50,000 | 47,057 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.20%), 2.48%, 9/21/2036 (b) | 1,552,000 | 1,225,814 |
(SOFR + 1.58%), 3.31%, 4/22/2042 (b) | 162,000 | 122,786 |
5.00%, 1/21/2044 | 2,205,000 | 2,108,843 |
(3-MONTH CME TERM SOFR + 2.25%), 4.44%, 1/20/2048 (b) | 57,000 | 49,036 |
(3-MONTH CME TERM SOFR + 1.45%), 3.95%, 1/23/2049 (b) | 1,237,000 | 993,472 |
(3-MONTH CME TERM SOFR + 3.41%), 4.08%, 3/20/2051 (b) | 197,000 | 159,092 |
Series N, (SOFR + 1.65%), 3.48%, 3/13/2052 (b) | 107,000 | 78,465 |
Bank of Montreal (Canada) | ||
1.85%, 5/1/2025 | 85,000 | 81,668 |
(SOFR + 0.60%), 0.95%, 1/22/2027 (b) | 949,000 | 875,608 |
5.20%, 2/1/2028 | 150,000 | 150,556 |
Bank of Nova Scotia (The) (Canada) | ||
5.45%, 6/12/2025 | 30,000 | 30,021 |
1.05%, 3/2/2026 | 430,000 | 396,503 |
4.85%, 2/1/2030 | 200,000 | 197,279 |
Barclays plc (United Kingdom) | ||
4.84%, 5/9/2028 | 2,001,000 | 1,926,195 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032 (b) | 704,000 | 573,273 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.00%), 5.75%, 8/9/2033 (b) | 754,000 | 744,856 |
Citigroup, Inc. | ||
3.40%, 5/1/2026 | 25,000 | 24,054 |
4.30%, 11/20/2026 | 142,000 | 138,314 |
4.45%, 9/29/2027 | 25,000 | 24,220 |
4.13%, 7/25/2028 | 1,315,000 | 1,248,004 |
(3-MONTH CME TERM SOFR + 1.60%), 3.98%, 3/20/2030 (b) | 24,000 | 22,503 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
(SOFR + 1.42%), 2.98%, 11/5/2030 (b) | 730,000 | 643,988 |
(SOFR + 3.91%), 4.41%, 3/31/2031 (b) | 1,059,000 | 1,000,594 |
(SOFR + 2.11%), 2.57%, 6/3/2031 (b) | 1,243,000 | 1,051,397 |
6.63%, 6/15/2032 | 77,000 | 82,004 |
(SOFR + 1.18%), 2.52%, 11/3/2032 (b) | 2,461,000 | 1,997,284 |
(SOFR + 1.35%), 3.06%, 1/25/2033 (b) | 550,000 | 462,105 |
(SOFR + 2.09%), 4.91%, 5/24/2033 (b) | 250,000 | 239,462 |
6.00%, 10/31/2033 | 10,000 | 10,337 |
(SOFR + 2.34%), 6.27%, 11/17/2033 (b) | 1,500,000 | 1,574,346 |
Cooperatieve Rabobank UA (Netherlands) 3.75%, 7/21/2026 | 267,000 | 255,922 |
Fifth Third Bancorp (SOFR + 2.34%), 6.34%, 7/27/2029 (b) | 30,000 | 30,807 |
First-Citizens Bank & Trust Co. (3-MONTH CME TERM SOFR + 1.72%), 2.97%, 9/27/2025 (b) | 454,000 | 444,420 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 1.54%), 1.65%, 4/18/2026 (b) | 432,000 | 412,199 |
(SOFR + 1.93%), 2.10%, 6/4/2026 (b) | 267,000 | 255,352 |
(SOFR + 3.03%), 7.34%, 11/3/2026 (b) | 200,000 | 205,818 |
(SOFR + 1.97%), 6.16%, 3/9/2029 (b) | 928,000 | 948,041 |
(3-MONTH CME TERM SOFR + 1.80%), 4.58%, 6/19/2029 (b) | 452,000 | 434,815 |
(SOFR + 2.39%), 2.85%, 6/4/2031 (b) | 2,350,000 | 1,999,351 |
(SOFR + 1.95%), 2.36%, 8/18/2031 (b) | 1,183,000 | 970,851 |
6.50%, 5/2/2036 | 185,000 | 194,414 |
HSBC USA, Inc. 5.63%, 3/17/2025 | 1,465,000 | 1,466,606 |
Huntington National Bank (The) (SOFRINDX + 1.65%), 4.55%, 5/17/2028 (b) (c) | 469,000 | 452,116 |
ING Groep NV (Netherlands) | ||
3.95%, 3/29/2027 | 500,000 | 481,400 |
(SOFR + 1.01%), 1.73%, 4/1/2027 (b) | 957,000 | 885,704 |
KeyBank NA 4.70%, 1/26/2026 | 350,000 | 340,090 |
KeyCorp (SOFRINDX + 2.06%), 4.79%, 6/1/2033 (b) | 124,000 | 111,988 |
Korea Development Bank (The) (South Korea) 1.00%, 9/9/2026 | 646,000 | 584,972 |
Kreditanstalt fuer Wiederaufbau (Germany) | ||
1.00%, 10/1/2026 | 640,000 | 585,611 |
3.00%, 5/20/2027 | 55,000 | 52,546 |
Landwirtschaftliche Rentenbank (Germany) 0.88%, 3/30/2026 | 386,000 | 357,120 |
Lloyds Banking Group plc (United Kingdom) 4.45%, 5/8/2025 | 1,000,000 | 986,979 |
M&T Bank Corp. (SOFR + 1.85%), 5.05%, 1/27/2034 (b) | 1,003,000 | 921,891 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 45 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
Mitsubishi UFJ Financial Group, Inc. (Japan) 3.75%, 7/18/2039 | 1,242,000 | 1,059,059 |
Mizuho Financial Group, Inc. (Japan) 4.02%, 3/5/2028 | 508,000 | 488,378 |
NatWest Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 3.07%, 5/22/2028 (b) | 516,000 | 478,924 |
Oesterreichische Kontrollbank AG (Austria) | ||
0.38%, 9/17/2025 | 35,000 | 32,670 |
0.50%, 2/2/2026 | 2,483,000 | 2,290,857 |
PNC Bank NA 3.10%, 10/25/2027 | 257,000 | 238,751 |
PNC Financial Services Group, Inc. (The) (SOFR + 1.93%), 5.07%, 1/24/2034 (b) | 299,000 | 287,271 |
Royal Bank of Canada (Canada) 6.00%, 11/1/2027 | 402,000 | 413,937 |
Santander Holdings USA, Inc. (SOFR + 2.70%), 6.57%, 6/12/2029 (b) | 100,000 | 101,848 |
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 (b) | 747,000 | 699,728 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
0.95%, 1/12/2026 | 2,244,000 | 2,074,916 |
3.78%, 3/9/2026 | 332,000 | 322,930 |
3.45%, 1/11/2027 | 420,000 | 402,231 |
1.90%, 9/17/2028 | 592,000 | 515,056 |
2.47%, 1/14/2029 | 455,000 | 404,731 |
Toronto-Dominion Bank (The) (Canada) | ||
0.75%, 9/11/2025 | 126,000 | 118,061 |
0.75%, 1/6/2026 | 2,361,000 | 2,183,847 |
1.20%, 6/3/2026 | 46,000 | 42,202 |
4.11%, 6/8/2027 | 30,000 | 29,115 |
3.20%, 3/10/2032 | 100,000 | 87,235 |
Truist Financial Corp. | ||
(SOFR + 0.61%), 1.27%, 3/2/2027 (b) | 1,596,000 | 1,464,964 |
1.13%, 8/3/2027 | 1,875,000 | 1,631,933 |
US Bancorp (SOFR + 2.11%), 4.97%, 7/22/2033 (b) | 50,000 | 46,787 |
Wells Fargo & Co. | ||
(3-MONTH CME TERM SOFR + 1.09%), 2.41%, 10/30/2025 (b) | 344,000 | 336,597 |
3.00%, 4/22/2026 | 619,000 | 590,626 |
(SOFR + 2.00%), 2.19%, 4/30/2026 (b) | 488,000 | 468,244 |
4.10%, 6/3/2026 | 30,000 | 29,207 |
3.00%, 10/23/2026 | 85,000 | 80,314 |
4.30%, 7/22/2027 | 2,071,000 | 2,010,392 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
(3-MONTH CME TERM SOFR + 1.57%), 3.58%, 5/22/2028 (b) | 134,000 | 126,920 |
(SOFR + 2.10%), 2.39%, 6/2/2028 (b) | 2,351,000 | 2,144,466 |
4.15%, 1/24/2029 | 10,000 | 9,571 |
(3-MONTH CME TERM SOFR + 1.43%), 2.88%, 10/30/2030 (b) | 1,995,000 | 1,748,118 |
(3-MONTH CME TERM SOFR + 4.03%), 4.48%, 4/4/2031 (b) | 50,000 | 47,585 |
(SOFR + 1.99%), 5.56%, 7/25/2034 (b) | 58,000 | 57,779 |
5.95%, 12/15/2036 | 7,000 | 7,130 |
(SOFR + 2.53%), 3.07%, 4/30/2041 (b) | 285,000 | 210,635 |
3.90%, 5/1/2045 | 1,174,000 | 940,003 |
4.75%, 12/7/2046 | 42,000 | 36,300 |
Westpac Banking Corp. (Australia) | ||
1.15%, 6/3/2026 | 157,000 | 144,268 |
1.95%, 11/20/2028 | 1,560,000 | 1,368,320 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (b) (d) | 535,000 | 518,679 |
66,386,821 | ||
Beverages — 0.5% | ||
Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036 | 79,000 | 75,606 |
Anheuser-Busch InBev Finance, Inc. (Belgium) 4.70%, 2/1/2036 | 17,000 | 16,208 |
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | ||
4.00%, 4/13/2028 | 1,186,000 | 1,149,715 |
4.90%, 1/23/2031 | 330,000 | 331,714 |
4.95%, 1/15/2042 | 146,000 | 139,259 |
5.55%, 1/23/2049 | 50,000 | 51,206 |
4.75%, 4/15/2058 | 1,421,000 | 1,278,369 |
Coca-Cola Co. (The) | ||
1.45%, 6/1/2027 | 340,000 | 307,626 |
1.50%, 3/5/2028 | 224,000 | 198,922 |
3.45%, 3/25/2030 | 134,000 | 124,993 |
1.65%, 6/1/2030 | 657,000 | 548,718 |
2.50%, 6/1/2040 | 283,000 | 202,145 |
Constellation Brands, Inc. 3.60%, 2/15/2028 | 584,000 | 551,800 |
Diageo Capital plc (United Kingdom) | ||
1.38%, 9/29/2025 | 200,000 | 188,622 |
2.13%, 4/29/2032 | 700,000 | 565,613 |
Keurig Dr. Pepper, Inc. | ||
3.40%, 11/15/2025 | 250,000 | 242,130 |
3.95%, 4/15/2029 | 901,000 | 857,735 |
3.20%, 5/1/2030 | 30,000 | 27,053 |
46 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Beverages — continued | ||
4.05%, 4/15/2032 | 50,000 | 46,377 |
3.80%, 5/1/2050 | 155,000 | 117,881 |
PepsiCo, Inc. | ||
2.75%, 4/30/2025 | 250,000 | 243,480 |
7.00%, 3/1/2029 | 350,000 | 385,777 |
7,650,949 | ||
Biotechnology — 0.5% | ||
AbbVie, Inc. | ||
3.60%, 5/14/2025 | 150,000 | 146,989 |
2.95%, 11/21/2026 | 450,000 | 426,731 |
4.50%, 5/14/2035 | 98,000 | 93,541 |
4.05%, 11/21/2039 | 479,000 | 420,425 |
4.45%, 5/14/2046 | 21,000 | 18,559 |
4.25%, 11/21/2049 | 1,219,000 | 1,049,502 |
Amgen, Inc. | ||
3.20%, 11/2/2027 | 1,948,000 | 1,830,845 |
2.30%, 2/25/2031 | 750,000 | 627,635 |
2.00%, 1/15/2032 | 75,000 | 60,131 |
4.20%, 3/1/2033 | 50,000 | 46,293 |
4.95%, 10/1/2041 | 26,000 | 24,227 |
4.40%, 5/1/2045 | 295,000 | 251,797 |
4.56%, 6/15/2048 | 200,000 | 173,177 |
4.66%, 6/15/2051 | 230,000 | 199,491 |
3.00%, 1/15/2052 | 53,000 | 35,426 |
5.75%, 3/2/2063 | 195,000 | 195,079 |
Biogen, Inc. 2.25%, 5/1/2030 | 600,000 | 502,081 |
Gilead Sciences, Inc. | ||
3.65%, 3/1/2026 | 100,000 | 97,122 |
2.95%, 3/1/2027 | 510,000 | 481,689 |
4.60%, 9/1/2035 | 420,000 | 397,651 |
4.00%, 9/1/2036 | 803,000 | 710,447 |
2.60%, 10/1/2040 | 510,000 | 355,468 |
4.75%, 3/1/2046 | 15,000 | 13,603 |
4.15%, 3/1/2047 | 100,000 | 82,515 |
Regeneron Pharmaceuticals, Inc. 2.80%, 9/15/2050 | 28,000 | 17,445 |
8,257,869 | ||
Broadline Retail — 0.2% | ||
Amazon.com, Inc. | ||
3.15%, 8/22/2027 | 1,866,000 | 1,770,823 |
1.65%, 5/12/2028 | 118,000 | 104,731 |
4.05%, 8/22/2047 | 1,351,000 | 1,155,421 |
2.70%, 6/3/2060 | 275,000 | 169,029 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Broadline Retail — continued | ||
eBay, Inc. 4.00%, 7/15/2042 | 192,000 | 152,319 |
JD.com, Inc. (China) 3.38%, 1/14/2030 | 200,000 | 180,446 |
3,532,769 | ||
Building Products — 0.1% | ||
Carrier Global Corp. | ||
2.49%, 2/15/2027 | 596,000 | 553,873 |
2.70%, 2/15/2031 | 30,000 | 25,573 |
3.58%, 4/5/2050 | 406,000 | 299,181 |
Fortune Brands Innovations, Inc. 4.00%, 3/25/2032 | 28,000 | 25,395 |
Johnson Controls International plc | ||
1.75%, 9/15/2030 | 176,000 | 143,555 |
4.50%, 2/15/2047 | 162,000 | 139,141 |
Owens Corning | ||
3.88%, 6/1/2030 | 30,000 | 27,653 |
4.30%, 7/15/2047 | 108,000 | 88,499 |
1,302,870 | ||
Capital Markets — 2.0% | ||
Ares Capital Corp. 3.88%, 1/15/2026 | 80,000 | 76,750 |
Bank of New York Mellon Corp. (The) Series J, (SOFR + 1.61%), 4.97%, 4/26/2034 (b) | 3,191,000 | 3,109,373 |
Blackstone Private Credit Fund 3.25%, 3/15/2027 | 1,121,000 | 1,024,863 |
Cboe Global Markets, Inc. 3.65%, 1/12/2027 | 84,000 | 81,289 |
Charles Schwab Corp. (The) | ||
3.20%, 3/2/2027 | 938,000 | 890,134 |
2.00%, 3/20/2028 | 987,000 | 875,009 |
CME Group, Inc. 4.15%, 6/15/2048 | 144,000 | 123,614 |
Credit Suisse AG (Switzerland) 1.25%, 8/7/2026 | 1,390,000 | 1,262,378 |
Credit Suisse USA, Inc. (Switzerland) 7.13%, 7/15/2032 | 100,000 | 111,593 |
Deutsche Bank AG (Germany) | ||
(SOFR + 1.87%), 2.13%, 11/24/2026 (b) | 1,247,000 | 1,169,211 |
(SOFR + 1.22%), 2.31%, 11/16/2027 (b) | 260,000 | 236,161 |
(SOFR + 2.51%), 6.82%, 11/20/2029 (b) | 566,000 | 585,189 |
(SOFR + 3.65%), 7.08%, 2/10/2034 (b) | 894,000 | 892,390 |
Eaton Vance Corp. 3.50%, 4/6/2027 | 79,000 | 75,193 |
FactSet Research Systems, Inc. 2.90%, 3/1/2027 | 189,000 | 176,509 |
FS KKR Capital Corp. | ||
3.40%, 1/15/2026 | 13,000 | 12,296 |
2.63%, 1/15/2027 | 607,000 | 549,433 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 47 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
Goldman Sachs Group, Inc. (The) | ||
(SOFR + 0.79%), 1.09%, 12/9/2026 (b) | 366,000 | 339,126 |
(SOFR + 0.80%), 1.43%, 3/9/2027 (b) | 156,000 | 144,197 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (b) | 2,482,000 | 2,299,496 |
(3-MONTH CME TERM SOFR + 1.42%), 3.81%, 4/23/2029 (b) | 12,000 | 11,336 |
(3-MONTH CME TERM SOFR + 1.56%), 4.22%, 5/1/2029 (b) | 28,000 | 26,848 |
2.60%, 2/7/2030 | 258,000 | 223,832 |
(SOFR + 1.09%), 1.99%, 1/27/2032 (b) | 60,000 | 48,104 |
(SOFR + 1.28%), 2.62%, 4/22/2032 (b) | 425,000 | 353,238 |
(SOFR + 1.25%), 2.38%, 7/21/2032 (b) | 2,225,000 | 1,810,558 |
6.13%, 2/15/2033 (c) | 708,000 | 759,256 |
(SOFR + 1.41%), 3.10%, 2/24/2033 (b) | 380,000 | 322,039 |
6.75%, 10/1/2037 | 136,000 | 147,900 |
(SOFR + 1.63%), 3.44%, 2/24/2043 (b) | 968,000 | 736,591 |
4.80%, 7/8/2044 | 333,000 | 303,257 |
4.75%, 10/21/2045 | 63,000 | 57,496 |
Intercontinental Exchange, Inc. | ||
4.00%, 9/15/2027 | 10,000 | 9,657 |
3.00%, 6/15/2050 | 172,000 | 115,354 |
Jefferies Financial Group, Inc. 4.15%, 1/23/2030 | 222,000 | 206,530 |
Moody's Corp. 4.25%, 2/1/2029 | 30,000 | 29,059 |
Morgan Stanley | ||
5.00%, 11/24/2025 | 31,000 | 30,817 |
(SOFR + 0.72%), 0.99%, 12/10/2026 (b) | 2,373,000 | 2,189,565 |
3.63%, 1/20/2027 | 25,000 | 24,103 |
3.95%, 4/23/2027 | 337,000 | 324,356 |
(SOFR + 0.88%), 1.59%, 5/4/2027 (b) | 1,007,000 | 928,397 |
(SOFR + 1.00%), 2.48%, 1/21/2028 (b) | 350,000 | 323,755 |
3.59%, 7/22/2028 (e) | 1,330,000 | 1,258,645 |
(3-MONTH CME TERM SOFR + 1.40%), 3.77%, 1/24/2029 (b) | 308,000 | 291,099 |
(SOFR + 1.14%), 2.70%, 1/22/2031 (b) | 748,000 | 647,512 |
(SOFR + 1.03%), 1.79%, 2/13/2032 (b) | 773,000 | 612,078 |
(SOFR + 1.02%), 1.93%, 4/28/2032 (b) | 1,230,000 | 976,370 |
(SOFR + 1.18%), 2.24%, 7/21/2032 (b) | 10,000 | 8,062 |
(SOFR + 1.88%), 5.42%, 7/21/2034 (b) | 1,061,000 | 1,055,839 |
(SOFR + 1.49%), 3.22%, 4/22/2042 (b) | 1,022,000 | 767,865 |
4.30%, 1/27/2045 | 664,000 | 575,519 |
Nasdaq, Inc. | ||
3.85%, 6/30/2026 | 519,000 | 503,684 |
6.10%, 6/28/2063 | 904,000 | 938,182 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Capital Markets — continued | ||
Nomura Holdings, Inc. (Japan) | ||
5.71%, 1/9/2026 | 200,000 | 200,374 |
2.71%, 1/22/2029 | 1,103,000 | 971,976 |
Raymond James Financial, Inc. 4.95%, 7/15/2046 | 40,000 | 36,745 |
S&P Global, Inc. 3.70%, 3/1/2052 | 50,000 | 38,661 |
State Street Corp. | ||
3.55%, 8/18/2025 | 50,000 | 48,984 |
(SOFR + 0.94%), 2.35%, 11/1/2025 (b) | 269,000 | 263,051 |
(SOFR + 1.72%), 5.82%, 11/4/2028 (b) | 30,000 | 30,691 |
(SOFR + 1.57%), 4.82%, 1/26/2034 (b) | 1,223,000 | 1,178,955 |
33,420,544 | ||
Chemicals — 0.2% | ||
Air Products and Chemicals, Inc. 4.80%, 3/3/2033 | 50,000 | 49,324 |
Albemarle Corp. 5.05%, 6/1/2032 | 10,000 | 9,494 |
CF Industries, Inc. | ||
4.95%, 6/1/2043 | 300,000 | 265,389 |
5.38%, 3/15/2044 | 113,000 | 105,226 |
Dow Chemical Co. (The) | ||
2.10%, 11/15/2030 (c) | 456,000 | 380,559 |
6.30%, 3/15/2033 | 50,000 | 53,546 |
5.25%, 11/15/2041 | 480,000 | 449,527 |
4.63%, 10/1/2044 | 199,000 | 172,540 |
DuPont de Nemours, Inc. 4.73%, 11/15/2028 | 10,000 | 9,947 |
Eastman Chemical Co. | ||
5.75%, 3/8/2033 | 50,000 | 50,417 |
4.80%, 9/1/2042 | 203,000 | 177,978 |
EIDP, Inc. | ||
1.70%, 7/15/2025 | 415,000 | 394,516 |
4.80%, 5/15/2033 | 200,000 | 195,708 |
FMC Corp. 3.45%, 10/1/2029 | 174,000 | 154,611 |
Huntsman International LLC 4.50%, 5/1/2029 | 112,000 | 106,404 |
LYB International Finance III LLC 2.25%, 10/1/2030 | 26,000 | 21,645 |
Sherwin-Williams Co. (The) | ||
4.25%, 8/8/2025 | 150,000 | 147,678 |
2.95%, 8/15/2029 | 30,000 | 26,979 |
2.20%, 3/15/2032 | 100,000 | 80,914 |
4.00%, 12/15/2042 | 233,000 | 190,169 |
48 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Chemicals — continued | ||
4.50%, 6/1/2047 | 492,000 | 424,691 |
Westlake Corp. 5.00%, 8/15/2046 | 490,000 | 435,942 |
3,903,204 | ||
Commercial Services & Supplies — 0.1% | ||
Cintas Corp. No. 2 3.70%, 4/1/2027 | 150,000 | 145,281 |
RELX Capital, Inc. (United Kingdom) 4.75%, 5/20/2032 | 97,000 | 95,256 |
Republic Services, Inc. 2.38%, 3/15/2033 | 1,437,000 | 1,151,602 |
Waste Connections, Inc. | ||
3.50%, 5/1/2029 | 30,000 | 28,102 |
2.20%, 1/15/2032 | 40,000 | 32,376 |
4.20%, 1/15/2033 | 293,000 | 273,642 |
2.95%, 1/15/2052 | 517,000 | 342,082 |
Waste Management, Inc. | ||
4.63%, 2/15/2033 | 30,000 | 28,942 |
2.95%, 6/1/2041 | 106,000 | 78,289 |
2,175,572 | ||
Communications Equipment — 0.1% | ||
Cisco Systems, Inc. | ||
2.95%, 2/28/2026 | 1,311,000 | 1,263,659 |
5.90%, 2/15/2039 | 12,000 | 12,878 |
Motorola Solutions, Inc. 5.60%, 6/1/2032 | 30,000 | 30,092 |
1,306,629 | ||
Construction Materials — 0.0% ^ | ||
Martin Marietta Materials, Inc. Series CB, 2.50%, 3/15/2030 | 10,000 | 8,650 |
Vulcan Materials Co. | ||
3.50%, 6/1/2030 | 257,000 | 234,221 |
4.70%, 3/1/2048 | 96,000 | 85,970 |
328,841 | ||
Consumer Finance — 1.0% | ||
AerCap Ireland Capital DAC (Ireland) | ||
6.50%, 7/15/2025 | 250,000 | 252,258 |
4.45%, 10/1/2025 | 150,000 | 147,124 |
1.75%, 1/30/2026 | 162,000 | 150,500 |
3.65%, 7/21/2027 | 230,000 | 216,532 |
3.30%, 1/30/2032 | 1,001,000 | 847,120 |
Ally Financial, Inc. 2.20%, 11/2/2028 | 1,219,000 | 1,035,542 |
American Express Co. | ||
4.20%, 11/6/2025 | 434,000 | 428,104 |
4.90%, 2/13/2026 | 30,000 | 29,902 |
(SOFR + 1.00%), 4.99%, 5/1/2026 (b) | 30,000 | 29,827 |
1.65%, 11/4/2026 | 1,273,000 | 1,163,911 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Consumer Finance — continued | ||
(SOFR + 0.97%), 5.39%, 7/28/2027 (b) | 30,000 | 30,083 |
American Honda Finance Corp. | ||
2.00%, 3/24/2028 | 228,000 | 204,217 |
2.25%, 1/12/2029 | 36,000 | 31,968 |
4.60%, 4/17/2030 | 30,000 | 29,382 |
Capital One Financial Corp. | ||
4.20%, 10/29/2025 | 23,000 | 22,482 |
3.75%, 7/28/2026 | 1,854,000 | 1,779,352 |
3.80%, 1/31/2028 | 237,000 | 223,969 |
(SOFR + 2.08%), 5.47%, 2/1/2029 (b) | 51,000 | 50,665 |
Caterpillar Financial Services Corp. | ||
0.80%, 11/13/2025 | 1,364,000 | 1,271,460 |
0.90%, 3/2/2026 | 1,337,000 | 1,234,145 |
3.60%, 8/12/2027 | 36,000 | 34,656 |
Discover Financial Services 3.95%, 11/6/2024 | 280,000 | 276,461 |
Ford Motor Credit Co. LLC | ||
3.38%, 11/13/2025 | 250,000 | 239,908 |
6.80%, 5/12/2028 | 500,000 | 516,058 |
7.35%, 3/6/2030 | 400,000 | 423,556 |
7.20%, 6/10/2030 | 200,000 | 210,960 |
General Motors Financial Co., Inc. | ||
1.20%, 10/15/2024 | 150,000 | 145,801 |
3.50%, 11/7/2024 | 283,000 | 278,647 |
5.25%, 3/1/2026 | 150,000 | 149,522 |
2.40%, 10/15/2028 | 1,448,000 | 1,272,226 |
3.10%, 1/12/2032 | 395,000 | 329,901 |
John Deere Capital Corp. | ||
4.95%, 6/6/2025 | 524,000 | 523,213 |
4.75%, 1/20/2028 | 1,000,000 | 999,053 |
2.00%, 6/17/2031 | 37,000 | 30,584 |
PACCAR Financial Corp. 3.55%, 8/11/2025 | 881,000 | 862,798 |
Synchrony Financial | ||
4.88%, 6/13/2025 | 38,000 | 37,391 |
3.95%, 12/1/2027 | 50,000 | 46,311 |
5.15%, 3/19/2029 | 84,000 | 80,132 |
Toyota Motor Credit Corp. | ||
3.00%, 4/1/2025 | 150,000 | 146,560 |
0.80%, 10/16/2025 | 535,000 | 500,041 |
3.05%, 3/22/2027 | 150,000 | 142,245 |
3.05%, 1/11/2028 | 500,000 | 470,682 |
4.55%, 5/17/2030 | 30,000 | 29,373 |
16,924,622 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 49 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Consumer Staples Distribution & Retail — 0.3% | ||
Costco Wholesale Corp. | ||
3.00%, 5/18/2027 | 200,000 | 190,785 |
1.38%, 6/20/2027 | 11,000 | 9,887 |
1.75%, 4/20/2032 | 167,000 | 133,524 |
Dollar General Corp. | ||
4.15%, 11/1/2025 | 10,000 | 9,795 |
5.00%, 11/1/2032 | 50,000 | 48,549 |
Dollar Tree, Inc. 2.65%, 12/1/2031 | 151,000 | 125,704 |
Kroger Co. (The) | ||
5.40%, 7/15/2040 | 294,000 | 284,338 |
3.95%, 1/15/2050 | 214,000 | 167,627 |
Sysco Corp. 2.40%, 2/15/2030 | 19,000 | 16,356 |
Target Corp. 2.95%, 1/15/2052 | 2,452,000 | 1,627,734 |
Walmart, Inc. | ||
1.05%, 9/17/2026 | 2,325,000 | 2,124,562 |
4.10%, 4/15/2033 | 173,000 | 164,770 |
4.50%, 9/9/2052 | 122,000 | 111,076 |
5,014,707 | ||
Containers & Packaging — 0.1% | ||
Avery Dennison Corp. 4.88%, 12/6/2028 | 152,000 | 150,473 |
Berry Global, Inc. 1.57%, 1/15/2026 | 1,032,000 | 961,404 |
International Paper Co. | ||
4.80%, 6/15/2044 | 200,000 | 178,078 |
5.15%, 5/15/2046 | 195,000 | 180,948 |
WestRock MWV LLC 7.95%, 2/15/2031 | 166,000 | 189,135 |
WRKCo, Inc. | ||
3.75%, 3/15/2025 | 100,000 | 97,939 |
3.00%, 6/15/2033 | 40,000 | 33,710 |
1,791,687 | ||
Diversified Consumer Services — 0.1% | ||
George Washington University (The) Series 2018, 4.13%, 9/15/2048 | 104,000 | 88,816 |
Georgetown University (The) Series B, 4.32%, 4/1/2049 | 10,000 | 8,804 |
Trustees of Boston College 3.13%, 7/1/2052 | 53,000 | 38,443 |
Trustees of Princeton University (The) Series 2020, 2.52%, 7/1/2050 | 445,000 | 296,144 |
Trustees of the University of Pennsylvania (The) 3.61%, 2/15/2119 | 748,000 | 516,928 |
University of Miami Series 2022, 4.06%, 4/1/2052 | 921,000 | 775,748 |
1,724,883 | ||
Diversified REITs — 0.1% | ||
Digital Realty Trust LP 3.70%, 8/15/2027 | 20,000 | 19,061 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Diversified REITs — continued | ||
GLP Capital LP 4.00%, 1/15/2030 | 50,000 | 44,994 |
Simon Property Group LP | ||
1.38%, 1/15/2027 (c) | 250,000 | 226,727 |
3.38%, 12/1/2027 | 338,000 | 318,804 |
2.20%, 2/1/2031 | 900,000 | 737,793 |
2.25%, 1/15/2032 | 254,000 | 204,255 |
VICI Properties LP | ||
4.75%, 2/15/2028 | 678,000 | 656,856 |
5.13%, 5/15/2032 | 75,000 | 70,438 |
WP Carey, Inc. 3.85%, 7/15/2029 | 150,000 | 138,777 |
2,417,705 | ||
Diversified Telecommunication Services — 0.8% | ||
AT&T, Inc. | ||
3.88%, 1/15/2026 | 30,000 | 29,265 |
1.70%, 3/25/2026 | 129,000 | 119,939 |
2.30%, 6/1/2027 | 30,000 | 27,467 |
4.30%, 2/15/2030 | 200,000 | 190,876 |
2.55%, 12/1/2033 | 200,000 | 157,708 |
4.50%, 5/15/2035 | 947,000 | 871,382 |
5.35%, 9/1/2040 | 720,000 | 693,855 |
4.65%, 6/1/2044 | 63,000 | 54,177 |
4.50%, 3/9/2048 | 10,000 | 8,355 |
4.55%, 3/9/2049 | 375,000 | 314,603 |
3.65%, 6/1/2051 | 490,000 | 350,448 |
3.80%, 12/1/2057 | 10,000 | 7,056 |
3.85%, 6/1/2060 | 1,943,000 | 1,372,011 |
Bell Canada (The) (Canada) | ||
Series US-5, 2.15%, 2/15/2032 | 546,000 | 437,912 |
5.10%, 5/11/2033 | 10,000 | 9,894 |
Deutsche Telekom International Finance BV (Germany) 9.25%, 6/1/2032 | 136,000 | 171,628 |
Orange SA (France) 5.38%, 1/13/2042 | 189,000 | 185,885 |
Telefonica Emisiones SA (Spain) | ||
4.10%, 3/8/2027 | 577,000 | 558,800 |
7.05%, 6/20/2036 | 29,000 | 31,953 |
TELUS Corp. (Canada) 3.40%, 5/13/2032 | 1,264,000 | 1,096,685 |
Verizon Communications, Inc. | ||
1.45%, 3/20/2026 | 1,574,000 | 1,459,493 |
4.13%, 3/16/2027 | 14,000 | 13,616 |
4.33%, 9/21/2028 | 231,000 | 224,252 |
3.88%, 2/8/2029 | 56,000 | 53,205 |
1.75%, 1/20/2031 | 2,121,000 | 1,700,899 |
2.55%, 3/21/2031 | 176,000 | 148,274 |
2.36%, 3/15/2032 | 150,000 | 121,492 |
50 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Diversified Telecommunication Services — continued | ||
4.86%, 8/21/2046 | 150,000 | 137,703 |
2.88%, 11/20/2050 | 53,000 | 33,769 |
3.55%, 3/22/2051 | 238,000 | 172,821 |
5.01%, 8/21/2054 | 27,000 | 25,027 |
2.99%, 10/30/2056 | 238,000 | 147,952 |
3.00%, 11/20/2060 | 2,757,000 | 1,673,673 |
12,602,075 | ||
Electric Utilities — 1.4% | ||
Alabama Power Co. | ||
3.75%, 3/1/2045 | 424,000 | 331,739 |
Series B, 3.70%, 12/1/2047 | 87,000 | 66,144 |
3.45%, 10/1/2049 | 350,000 | 255,178 |
American Electric Power Co., Inc. 5.63%, 3/1/2033 | 62,000 | 62,444 |
Arizona Public Service Co. 4.35%, 11/15/2045 | 30,000 | 24,646 |
Avangrid, Inc. 3.80%, 6/1/2029 | 30,000 | 27,951 |
CenterPoint Energy Houston Electric LLC | ||
Series ai., 4.45%, 10/1/2032 | 50,000 | 47,604 |
Series K2, 6.95%, 3/15/2033 | 15,000 | 16,920 |
Series AD, 2.90%, 7/1/2050 | 10,000 | 6,573 |
Series AF, 3.35%, 4/1/2051 | 155,000 | 111,410 |
Commonwealth Edison Co. | ||
3.65%, 6/15/2046 | 100,000 | 76,206 |
Series 130, 3.13%, 3/15/2051 | 174,000 | 116,429 |
Connecticut Light and Power Co. (The) 5.25%, 1/15/2053 | 304,000 | 294,453 |
Dominion Energy South Carolina, Inc. 5.10%, 6/1/2065 | 914,000 | 841,524 |
DTE Electric Co. | ||
Series A, 1.90%, 4/1/2028 | 227,000 | 202,099 |
4.30%, 7/1/2044 | 35,000 | 30,046 |
3.70%, 6/1/2046 | 151,000 | 116,440 |
3.75%, 8/15/2047 | 740,000 | 570,813 |
3.95%, 3/1/2049 | 240,000 | 193,402 |
Series B, 3.25%, 4/1/2051 | 114,000 | 78,970 |
Duke Energy Carolinas LLC | ||
2.45%, 2/1/2030 | 90,000 | 78,694 |
6.45%, 10/15/2032 | 30,000 | 32,513 |
3.75%, 6/1/2045 | 269,000 | 207,473 |
3.70%, 12/1/2047 | 942,000 | 701,816 |
3.95%, 3/15/2048 | 158,000 | 124,486 |
Duke Energy Corp. 3.75%, 9/1/2046 | 80,000 | 59,493 |
Duke Energy Florida LLC | ||
2.50%, 12/1/2029 | 10,000 | 8,788 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Electric Utilities — continued | ||
6.40%, 6/15/2038 | 1,885,000 | 2,031,465 |
Duke Energy Ohio, Inc. | ||
2.13%, 6/1/2030 | 200,000 | 167,965 |
5.25%, 4/1/2033 | 30,000 | 30,011 |
Duke Energy Progress LLC | ||
5.25%, 3/15/2033 | 50,000 | 49,917 |
4.10%, 5/15/2042 | 395,000 | 327,426 |
Edison International | ||
5.75%, 6/15/2027 | 500,000 | 504,733 |
5.25%, 11/15/2028 | 500,000 | 497,371 |
Enel Americas SA (Chile) 4.00%, 10/25/2026 | 101,000 | 97,023 |
Entergy Arkansas LLC | ||
4.00%, 6/1/2028 | 23,000 | 22,097 |
3.35%, 6/15/2052 | 141,000 | 96,818 |
Entergy Corp. | ||
2.80%, 6/15/2030 | 20,000 | 17,294 |
3.75%, 6/15/2050 | 19,000 | 13,702 |
Entergy Louisiana LLC 0.95%, 10/1/2024 | 99,000 | 96,406 |
Entergy Mississippi LLC 3.50%, 6/1/2051 | 436,000 | 308,494 |
Evergy Metro, Inc. Series 2020, 2.25%, 6/1/2030 | 253,000 | 213,789 |
Evergy, Inc. 2.45%, 9/15/2024 | 192,000 | 188,477 |
Eversource Energy | ||
Series L, 2.90%, 10/1/2024 | 155,000 | 152,432 |
4.60%, 7/1/2027 | 100,000 | 97,788 |
Exelon Corp. | ||
3.40%, 4/15/2026 | 336,000 | 323,509 |
4.70%, 4/15/2050 | 846,000 | 730,615 |
Florida Power & Light Co. | ||
4.80%, 5/15/2033 | 30,000 | 29,338 |
3.70%, 12/1/2047 | 1,376,000 | 1,069,601 |
Georgia Power Co. 4.95%, 5/17/2033 | 30,000 | 29,311 |
Hydro-Quebec (Canada) 8.50%, 12/1/2029 | 50,000 | 58,342 |
Iberdrola International BV (Spain) 5.81%, 3/15/2025 | 721,000 | 721,015 |
Interstate Power and Light Co. | ||
5.70%, 10/15/2033 | 15,000 | 15,272 |
3.50%, 9/30/2049 | 103,000 | 73,006 |
ITC Holdings Corp. 3.35%, 11/15/2027 | 10,000 | 9,380 |
MidAmerican Energy Co. | ||
5.35%, 1/15/2034 | 200,000 | 203,815 |
2.70%, 8/1/2052 | 200,000 | 122,505 |
NextEra Energy Capital Holdings, Inc. | ||
6.05%, 3/1/2025 | 183,000 | 183,740 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 51 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
1.88%, 1/15/2027 | 784,000 | 715,443 |
3.55%, 5/1/2027 | 100,000 | 95,140 |
4.90%, 2/28/2028 | 150,000 | 148,756 |
5.00%, 2/28/2030 | 30,000 | 29,742 |
5.00%, 7/15/2032 | 50,000 | 48,731 |
Northern States Power Co. | ||
2.90%, 3/1/2050 | 43,000 | 28,144 |
4.50%, 6/1/2052 | 500,000 | 436,032 |
NSTAR Electric Co. | ||
3.25%, 5/15/2029 | 12,000 | 11,154 |
3.95%, 4/1/2030 | 15,000 | 14,062 |
3.10%, 6/1/2051 | 67,000 | 45,233 |
Oklahoma Gas and Electric Co. | ||
5.40%, 1/15/2033 | 30,000 | 30,489 |
4.15%, 4/1/2047 | 2,052,000 | 1,635,008 |
Oncor Electric Delivery Co. LLC | ||
4.55%, 9/15/2032 | 50,000 | 47,966 |
7.25%, 1/15/2033 | 208,000 | 236,683 |
Pacific Gas and Electric Co. | ||
3.30%, 12/1/2027 | 123,000 | 113,627 |
3.00%, 6/15/2028 | 116,000 | 105,255 |
3.30%, 8/1/2040 | 60,000 | 43,255 |
3.75%, 8/15/2042 (f) | 81,000 | 59,525 |
3.50%, 8/1/2050 | 870,000 | 585,279 |
PacifiCorp | ||
3.30%, 3/15/2051 | 84,000 | 55,086 |
5.35%, 12/1/2053 | 100,000 | 91,841 |
PG&E Wildfire Recovery Funding LLC Series A-4, 4.45%, 12/1/2047 | 250,000 | 224,332 |
Potomac Electric Power Co. 4.15%, 3/15/2043 | 515,000 | 432,795 |
Public Service Co. of Colorado 2.70%, 1/15/2051 | 358,000 | 216,461 |
Public Service Co. of New Hampshire 5.35%, 10/1/2033 | 200,000 | 202,087 |
Public Service Electric and Gas Co. | ||
0.95%, 3/15/2026 | 909,000 | 841,200 |
3.00%, 5/15/2027 | 10,000 | 9,452 |
2.05%, 8/1/2050 | 25,000 | 13,965 |
SCE Recovery Funding LLC Series A-2, 2.94%, 11/15/2042 | 266,000 | 207,997 |
Southern Co. (The) | ||
Series A, 3.70%, 4/30/2030 | 397,000 | 365,987 |
5.70%, 10/15/2032 | 30,000 | 30,726 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Electric Utilities — continued | ||
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.73%), 4.00%, 1/15/2051 (b) | 592,000 | 569,138 |
Southwestern Electric Power Co. | ||
Series N, 1.65%, 3/15/2026 | 393,000 | 365,514 |
Series J, 3.90%, 4/1/2045 | 306,000 | 234,948 |
3.25%, 11/1/2051 | 245,000 | 160,273 |
Tampa Electric Co. 4.35%, 5/15/2044 | 338,000 | 279,935 |
Virginia Electric and Power Co. | ||
Series B, 2.95%, 11/15/2026 | 10,000 | 9,471 |
Series A, 3.80%, 4/1/2028 | 258,000 | 247,129 |
4.00%, 1/15/2043 | 15,000 | 12,289 |
Series B, 3.80%, 9/15/2047 | 1,042,000 | 794,748 |
Wisconsin Electric Power Co. 4.30%, 10/15/2048 | 179,000 | 150,168 |
Xcel Energy, Inc. | ||
3.40%, 6/1/2030 | 30,000 | 27,054 |
4.60%, 6/1/2032 | 30,000 | 27,950 |
23,166,981 | ||
Electrical Equipment — 0.0% ^ | ||
Eaton Corp. 4.15%, 3/15/2033 | 321,000 | 302,377 |
Electronic Equipment, Instruments & Components — 0.1% | ||
Amphenol Corp. | ||
2.80%, 2/15/2030 | 165,000 | 146,949 |
2.20%, 9/15/2031 | 50,000 | 41,019 |
Arrow Electronics, Inc. 2.95%, 2/15/2032 | 16,000 | 13,354 |
Keysight Technologies, Inc. 3.00%, 10/30/2029 | 30,000 | 26,679 |
Teledyne Technologies, Inc. 2.75%, 4/1/2031 | 299,000 | 253,710 |
Trimble, Inc. 6.10%, 3/15/2033 | 1,112,000 | 1,160,339 |
1,642,050 | ||
Energy Equipment & Services — 0.1% | ||
Halliburton Co. | ||
3.80%, 11/15/2025 | 30,000 | 29,309 |
4.85%, 11/15/2035 | 438,000 | 421,409 |
Helmerich & Payne, Inc. 2.90%, 9/29/2031 | 147,000 | 121,936 |
NOV, Inc. 3.60%, 12/1/2029 | 220,000 | 200,680 |
Patterson-UTI Energy, Inc. 7.15%, 10/1/2033 | 200,000 | 211,983 |
985,317 | ||
Entertainment — 0.2% | ||
Electronic Arts, Inc. | ||
4.80%, 3/1/2026 | 296,000 | 294,421 |
52 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Entertainment — continued | ||
1.85%, 2/15/2031 | 145,000 | 118,019 |
Netflix, Inc. | ||
4.38%, 11/15/2026 | 30,000 | 29,514 |
5.88%, 11/15/2028 | 30,000 | 31,081 |
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027 | 216,000 | 206,496 |
TWDC Enterprises 18 Corp. 3.00%, 7/30/2046 | 2,193,000 | 1,530,708 |
Walt Disney Co. (The) | ||
1.75%, 1/13/2026 | 30,000 | 28,283 |
3.80%, 3/22/2030 | 200,000 | 188,708 |
2.65%, 1/13/2031 | 210,000 | 182,428 |
3.60%, 1/13/2051 | 1,114,000 | 845,554 |
Warnermedia Holdings, Inc. | ||
6.41%, 3/15/2026 | 100,000 | 99,961 |
3.76%, 3/15/2027 | 10,000 | 9,464 |
3,564,637 | ||
Financial Services — 0.5% | ||
Berkshire Hathaway, Inc. 3.13%, 3/15/2026 | 722,000 | 697,913 |
Equitable Holdings, Inc. | ||
7.00%, 4/1/2028 | 100,000 | 106,315 |
4.35%, 4/20/2028 | 513,000 | 494,255 |
Fidelity National Information Services, Inc. 3.10%, 3/1/2041 | 30,000 | 21,600 |
Fiserv, Inc. | ||
3.85%, 6/1/2025 | 230,000 | 225,403 |
2.65%, 6/1/2030 | 30,000 | 25,796 |
5.60%, 3/2/2033 | 50,000 | 50,410 |
Global Payments, Inc. | ||
1.20%, 3/1/2026 | 701,000 | 645,327 |
2.90%, 5/15/2030 | 504,000 | 434,150 |
2.90%, 11/15/2031 | 12,000 | 10,013 |
4.15%, 8/15/2049 | 215,000 | 163,962 |
Mastercard, Inc. | ||
3.30%, 3/26/2027 | 10,000 | 9,582 |
4.85%, 3/9/2033 | 50,000 | 49,934 |
National Rural Utilities Cooperative Finance Corp. | ||
Series D, 1.00%, 10/18/2024 | 723,000 | 702,496 |
4.80%, 3/15/2028 | 20,000 | 19,892 |
PayPal Holdings, Inc. | ||
1.65%, 6/1/2025 | 202,000 | 193,401 |
2.85%, 10/1/2029 | 30,000 | 26,752 |
Shell International Finance BV (Netherlands) | ||
2.88%, 5/10/2026 | 129,000 | 123,438 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Financial Services — continued | ||
2.50%, 9/12/2026 | 160,000 | 151,108 |
2.38%, 11/7/2029 | 177,000 | 155,933 |
6.38%, 12/15/2038 | 782,000 | 869,226 |
3.00%, 11/26/2051 | 1,625,000 | 1,089,068 |
Synchrony Bank 5.63%, 8/23/2027 | 350,000 | 340,546 |
Visa, Inc. 0.75%, 8/15/2027 | 1,381,000 | 1,212,615 |
Voya Financial, Inc. | ||
3.65%, 6/15/2026 | 71,000 | 68,262 |
5.70%, 7/15/2043 | 77,000 | 74,608 |
7,962,005 | ||
Food Products — 0.5% | ||
Archer-Daniels-Midland Co. 2.70%, 9/15/2051 | 50,000 | 31,673 |
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | 50,000 | 42,540 |
Campbell Soup Co. 4.80%, 3/15/2048 | 81,000 | 71,043 |
Conagra Brands, Inc. 5.30%, 11/1/2038 | 302,000 | 285,169 |
Hormel Foods Corp. 1.70%, 6/3/2028 | 243,000 | 214,512 |
J M Smucker Co. (The) 3.38%, 12/15/2027 | 1,253,000 | 1,181,523 |
JBS USA LUX SA | ||
5.13%, 2/1/2028 | 150,000 | 146,903 |
3.00%, 2/2/2029 | 745,000 | 652,991 |
5.50%, 1/15/2030 | 980,000 | 954,601 |
3.75%, 12/1/2031 | 150,000 | 127,470 |
Kellanova 4.30%, 5/15/2028 (c) | 375,000 | 364,166 |
Kraft Heinz Foods Co. 6.50%, 2/9/2040 | 488,000 | 526,390 |
McCormick & Co., Inc. 0.90%, 2/15/2026 | 11,000 | 10,120 |
Mondelez International, Inc. | ||
1.50%, 2/4/2031 | 10,000 | 7,948 |
3.00%, 3/17/2032 | 30,000 | 25,860 |
Pilgrim's Pride Corp. 6.88%, 5/15/2034 | 20,000 | 21,058 |
Tyson Foods, Inc. | ||
3.55%, 6/2/2027 | 194,000 | 183,906 |
4.35%, 3/1/2029 | 155,000 | 149,145 |
4.88%, 8/15/2034 | 1,459,000 | 1,385,890 |
5.15%, 8/15/2044 | 211,000 | 190,018 |
Unilever Capital Corp. (United Kingdom) | ||
2.90%, 5/5/2027 | 1,115,000 | 1,053,738 |
2.13%, 9/6/2029 | 100,000 | 87,108 |
7,713,772 | ||
Gas Utilities — 0.1% | ||
CenterPoint Energy Resources Corp. 5.85%, 1/15/2041 | 65,000 | 66,321 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 53 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Gas Utilities — continued | ||
National Fuel Gas Co. 5.20%, 7/15/2025 | 488,000 | 484,065 |
Southern California Gas Co. Series VV, 4.30%, 1/15/2049 | 458,000 | 375,409 |
925,795 | ||
Ground Transportation — 0.3% | ||
Burlington Northern Santa Fe LLC 6.15%, 5/1/2037 | 20,000 | 21,819 |
Canadian National Railway Co. (Canada) 2.75%, 3/1/2026 | 255,000 | 244,575 |
CSX Corp. | ||
4.10%, 11/15/2032 | 30,000 | 27,992 |
4.75%, 5/30/2042 | 586,000 | 539,638 |
4.30%, 3/1/2048 | 24,000 | 20,472 |
3.35%, 9/15/2049 | 37,000 | 26,499 |
2.50%, 5/15/2051 | 245,000 | 149,027 |
Norfolk Southern Corp. | ||
4.45%, 3/1/2033 | 50,000 | 47,574 |
4.45%, 6/15/2045 | 27,000 | 23,248 |
3.40%, 11/1/2049 | 228,000 | 165,517 |
3.70%, 3/15/2053 | 514,000 | 382,210 |
3.16%, 5/15/2055 | 31,000 | 20,307 |
Union Pacific Corp. | ||
3.70%, 3/1/2029 | 10,000 | 9,531 |
3.38%, 2/1/2035 | 1,470,000 | 1,254,648 |
3.38%, 2/14/2042 | 807,000 | 630,044 |
2.95%, 3/10/2052 | 605,000 | 404,474 |
3.84%, 3/20/2060 | 166,000 | 125,865 |
4.10%, 9/15/2067 | 452,000 | 355,096 |
4,448,536 | ||
Health Care Equipment & Supplies — 0.2% | ||
Abbott Laboratories 6.15%, 11/30/2037 | 375,000 | 415,554 |
Baxter International, Inc. | ||
2.27%, 12/1/2028 | 537,000 | 470,779 |
2.54%, 2/1/2032 (c) | 477,000 | 390,888 |
3.13%, 12/1/2051 (c) | 1,768,000 | 1,149,823 |
Becton Dickinson & Co. | ||
2.82%, 5/20/2030 | 30,000 | 26,312 |
4.30%, 8/22/2032 | 50,000 | 46,864 |
DENTSPLY SIRONA, Inc. 3.25%, 6/1/2030 | 1,409,000 | 1,228,008 |
Zimmer Biomet Holdings, Inc. 5.75%, 11/30/2039 | 32,000 | 31,816 |
3,760,044 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Health Care Providers & Services — 1.1% | ||
Baptist Healthcare System Obligated Group Series 20B, 3.54%, 8/15/2050 | 54,000 | 40,027 |
Cardinal Health, Inc. 3.75%, 9/15/2025 | 150,000 | 146,303 |
Cencora, Inc. 2.70%, 3/15/2031 | 233,000 | 198,646 |
Cigna Group (The) | ||
3.40%, 3/1/2027 | 10,000 | 9,523 |
3.40%, 3/15/2051 | 720,000 | 500,688 |
CommonSpirit Health 4.35%, 11/1/2042 | 25,000 | 21,323 |
Cottage Health Obligated Group Series 2020, 3.30%, 11/1/2049 | 61,000 | 43,971 |
CVS Health Corp. | ||
3.88%, 7/20/2025 | 989,000 | 968,921 |
5.00%, 2/20/2026 | 150,000 | 149,331 |
3.00%, 8/15/2026 | 180,000 | 170,930 |
4.30%, 3/25/2028 | 1,000,000 | 970,874 |
3.25%, 8/15/2029 | 14,000 | 12,738 |
1.75%, 8/21/2030 | 89,000 | 72,173 |
2.13%, 9/15/2031 | 155,000 | 125,079 |
4.78%, 3/25/2038 | 30,000 | 27,293 |
6.13%, 9/15/2039 | 450,000 | 462,178 |
4.13%, 4/1/2040 | 724,000 | 594,370 |
2.70%, 8/21/2040 | 375,000 | 255,290 |
5.05%, 3/25/2048 | 993,000 | 887,195 |
Elevance Health, Inc. | ||
1.50%, 3/15/2026 | 181,000 | 168,140 |
3.65%, 12/1/2027 | 15,000 | 14,344 |
2.88%, 9/15/2029 | 67,000 | 60,080 |
2.25%, 5/15/2030 | 190,000 | 161,403 |
5.50%, 10/15/2032 | 1,036,000 | 1,055,220 |
4.75%, 2/15/2033 | 150,000 | 144,876 |
4.63%, 5/15/2042 | 10,000 | 8,998 |
4.38%, 12/1/2047 | 100,000 | 84,916 |
3.70%, 9/15/2049 | 761,000 | 576,390 |
HCA, Inc. 3.13%, 3/15/2027 | 1,726,000 | 1,622,084 |
Humana, Inc. | ||
3.85%, 10/1/2024 | 27,000 | 26,693 |
1.35%, 2/3/2027 | 157,000 | 140,855 |
5.88%, 3/1/2033 | 50,000 | 51,302 |
4.80%, 3/15/2047 | 190,000 | 165,531 |
Laboratory Corp. of America Holdings 4.70%, 2/1/2045 | 202,000 | 180,255 |
Mass General Brigham, Inc. Series 2020, 3.34%, 7/1/2060 | 126,000 | 86,669 |
McKesson Corp. 5.10%, 7/15/2033 | 478,000 | 476,151 |
54 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Health Care Providers & Services — continued | ||
Memorial Sloan-Kettering Cancer Center 5.00%, 7/1/2042 | 147,000 | 142,745 |
MyMichigan Health Series 2020, 3.41%, 6/1/2050 | 273,000 | 197,659 |
Quest Diagnostics, Inc. 2.95%, 6/30/2030 | 30,000 | 26,408 |
Trinity Health Corp. 4.13%, 12/1/2045 | 593,000 | 505,756 |
UMass Memorial Health Care Obligated Group 5.36%, 7/1/2052 | 511,000 | 485,041 |
UnitedHealth Group, Inc. | ||
2.38%, 8/15/2024 | 150,000 | 147,884 |
3.45%, 1/15/2027 | 30,000 | 28,953 |
3.38%, 4/15/2027 | 20,000 | 19,163 |
4.25%, 1/15/2029 | 30,000 | 29,251 |
2.00%, 5/15/2030 | 90,000 | 75,640 |
4.50%, 4/15/2033 | 18,000 | 17,286 |
5.80%, 3/15/2036 | 147,000 | 155,410 |
2.90%, 5/15/2050 | 440,000 | 292,022 |
3.25%, 5/15/2051 | 1,923,000 | 1,354,059 |
4.75%, 5/15/2052 | 500,000 | 455,592 |
3.13%, 5/15/2060 | 1,545,000 | 1,010,701 |
UPMC Series D-1, 3.60%, 4/3/2025 | 2,000,000 | 1,963,923 |
17,588,253 | ||
Health Care REITs — 0.1% | ||
Healthpeak OP LLC | ||
2.88%, 1/15/2031 | 319,000 | 271,279 |
6.75%, 2/1/2041 | 82,000 | 89,814 |
Ventas Realty LP | ||
4.00%, 3/1/2028 | 268,000 | 255,034 |
5.70%, 9/30/2043 | 156,000 | 147,362 |
Welltower OP LLC | ||
4.00%, 6/1/2025 | 250,000 | 245,405 |
4.95%, 9/1/2048 | 160,000 | 143,871 |
1,152,765 | ||
Hotels, Restaurants & Leisure — 0.2% | ||
Booking Holdings, Inc. | ||
3.55%, 3/15/2028 | 307,000 | 292,144 |
4.63%, 4/13/2030 | 650,000 | 638,746 |
Darden Restaurants, Inc. 3.85%, 5/1/2027 | 22,000 | 21,127 |
Expedia Group, Inc. | ||
5.00%, 2/15/2026 | 517,000 | 513,519 |
3.25%, 2/15/2030 | 601,000 | 535,557 |
2.95%, 3/15/2031 | 30,000 | 25,682 |
Marriott International, Inc. Series GG, 3.50%, 10/15/2032 | 30,000 | 26,167 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Hotels, Restaurants & Leisure — continued | ||
McDonald's Corp. | ||
1.45%, 9/1/2025 | 15,000 | 14,199 |
3.50%, 7/1/2027 | 18,000 | 17,224 |
4.60%, 9/9/2032 | 30,000 | 29,289 |
4.70%, 12/9/2035 | 101,000 | 97,006 |
4.60%, 5/26/2045 | 312,000 | 277,614 |
Starbucks Corp. | ||
2.00%, 3/12/2027 | 274,000 | 251,063 |
3.00%, 2/14/2032 | 793,000 | 687,026 |
3,426,363 | ||
Household Durables — 0.1% | ||
DR Horton, Inc. 2.50%, 10/15/2024 | 200,000 | 196,154 |
Leggett & Platt, Inc. 4.40%, 3/15/2029 | 179,000 | 169,587 |
Lennar Corp. 4.75%, 11/29/2027 | 150,000 | 147,602 |
MDC Holdings, Inc. 3.97%, 8/6/2061 | 399,000 | 303,570 |
NVR, Inc. 3.00%, 5/15/2030 | 115,000 | 101,353 |
PulteGroup, Inc. | ||
7.88%, 6/15/2032 | 85,000 | 98,308 |
6.00%, 2/15/2035 | 130,000 | 133,499 |
Toll Brothers Finance Corp. 4.88%, 11/15/2025 | 25,000 | 24,706 |
Whirlpool Corp. | ||
4.70%, 5/14/2032 | 100,000 | 94,532 |
5.50%, 3/1/2033 | 30,000 | 29,745 |
1,299,056 | ||
Household Products — 0.2% | ||
Church & Dwight Co., Inc. 5.60%, 11/15/2032 | 250,000 | 259,236 |
Clorox Co. (The) 4.40%, 5/1/2029 | 219,000 | 213,435 |
Colgate-Palmolive Co. 4.60%, 3/1/2033 | 80,000 | 79,403 |
Kimberly-Clark Corp. | ||
3.10%, 3/26/2030 | 240,000 | 218,318 |
6.63%, 8/1/2037 | 1,000,000 | 1,152,054 |
5.30%, 3/1/2041 | 181,000 | 181,025 |
Procter & Gamble Co. (The) | ||
3.00%, 3/25/2030 | 30,000 | 27,451 |
4.05%, 1/26/2033 | 483,000 | 465,242 |
2,596,164 | ||
Independent Power and Renewable Electricity Producers — 0.0% ^ | ||
Constellation Energy Generation LLC | ||
5.80%, 3/1/2033 | 200,000 | 204,378 |
5.75%, 10/1/2041 | 90,000 | 88,188 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 55 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Independent Power and Renewable Electricity Producers — continued | ||
5.60%, 6/15/2042 | 106,000 | 103,305 |
Oglethorpe Power Corp. 3.75%, 8/1/2050 | 63,000 | 45,164 |
441,035 | ||
Industrial Conglomerates — 0.1% | ||
3M Co. | ||
2.88%, 10/15/2027 | 150,000 | 138,895 |
3.63%, 10/15/2047 | 116,000 | 83,960 |
3.25%, 8/26/2049 | 756,000 | 520,694 |
GE Capital Funding LLC 4.55%, 5/15/2032 (c) | 278,000 | 267,001 |
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 | 250,000 | 233,968 |
Honeywell International, Inc. | ||
1.95%, 6/1/2030 | 149,000 | 125,911 |
5.00%, 2/15/2033 | 426,000 | 426,819 |
4.50%, 1/15/2034 | 544,000 | 523,390 |
2,320,638 | ||
Industrial REITs — 0.0% ^ | ||
Prologis LP | ||
4.88%, 6/15/2028 | 50,000 | 49,928 |
4.38%, 2/1/2029 | 18,000 | 17,575 |
1.75%, 7/1/2030 | 86,000 | 70,697 |
1.75%, 2/1/2031 | 182,000 | 147,411 |
5.13%, 1/15/2034 | 50,000 | 49,490 |
335,101 | ||
Insurance — 0.6% | ||
Aflac, Inc. 3.60%, 4/1/2030 | 250,000 | 231,741 |
Allstate Corp. (The) | ||
3.28%, 12/15/2026 | 637,000 | 606,562 |
4.50%, 6/15/2043 | 42,000 | 36,602 |
American International Group, Inc. | ||
3.88%, 1/15/2035 | 615,000 | 541,089 |
4.75%, 4/1/2048 | 149,000 | 136,093 |
Aon Global Ltd. 3.88%, 12/15/2025 | 62,000 | 60,450 |
Arthur J Gallagher & Co. 2.40%, 11/9/2031 | 80,000 | 64,779 |
Athene Holding Ltd. 3.50%, 1/15/2031 | 36,000 | 31,301 |
Berkshire Hathaway Finance Corp. 2.88%, 3/15/2032 | 400,000 | 349,469 |
Brighthouse Financial, Inc. | ||
3.70%, 6/22/2027 | 25,000 | 23,574 |
3.85%, 12/22/2051 | 395,000 | 255,852 |
Brown & Brown, Inc. 4.50%, 3/15/2029 | 253,000 | 244,819 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Insurance — continued | ||
Chubb INA Holdings, Inc. | ||
3.35%, 5/3/2026 | 10,000 | 9,641 |
3.05%, 12/15/2061 | 252,000 | 167,298 |
CNA Financial Corp. | ||
3.90%, 5/1/2029 | 10,000 | 9,386 |
5.50%, 6/15/2033 | 126,000 | 126,825 |
Hartford Financial Services Group, Inc. (The) 2.80%, 8/19/2029 | 668,000 | 596,698 |
Lincoln National Corp. | ||
3.05%, 1/15/2030 | 1,413,000 | 1,236,848 |
3.40%, 1/15/2031 | 244,000 | 213,594 |
Loews Corp. 3.75%, 4/1/2026 | 114,000 | 110,839 |
Markel Group, Inc. | ||
3.35%, 9/17/2029 | 98,000 | 88,283 |
4.30%, 11/1/2047 | 187,000 | 148,765 |
Marsh & McLennan Cos., Inc. 2.25%, 11/15/2030 | 1,694,000 | 1,428,344 |
MetLife, Inc. | ||
6.38%, 6/15/2034 | 750,000 | 807,923 |
5.70%, 6/15/2035 | 831,000 | 860,164 |
4.13%, 8/13/2042 | 60,000 | 50,735 |
4.88%, 11/13/2043 | 186,000 | 170,899 |
4.05%, 3/1/2045 | 172,000 | 142,021 |
Nationwide Financial Services, Inc. 6.75%, 5/15/2037 | 270,000 | 268,547 |
Old Republic International Corp. 4.88%, 10/1/2024 | 29,000 | 28,814 |
Progressive Corp. (The) 4.00%, 3/1/2029 | 44,000 | 42,324 |
Prudential Financial, Inc. | ||
(3-MONTH SOFR + 3.03%), 5.38%, 5/15/2045 (b) | 529,000 | 520,919 |
3.94%, 12/7/2049 | 781,000 | 612,112 |
3.70%, 3/13/2051 | 93,000 | 70,607 |
Travelers Cos., Inc. (The) 3.05%, 6/8/2051 | 23,000 | 15,726 |
10,309,643 | ||
Interactive Media & Services — 0.2% | ||
Alphabet, Inc. | ||
0.45%, 8/15/2025 | 1,576,000 | 1,481,818 |
2.05%, 8/15/2050 | 642,000 | 379,212 |
Baidu, Inc. (China) 1.72%, 4/9/2026 | 946,000 | 878,337 |
Meta Platforms, Inc. | ||
3.50%, 8/15/2027 | 210,000 | 201,344 |
56 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Interactive Media & Services — continued | ||
4.80%, 5/15/2030 | 200,000 | 199,953 |
4.45%, 8/15/2052 | 307,000 | 268,315 |
3,408,979 | ||
IT Services — 0.2% | ||
Amdocs Ltd. 2.54%, 6/15/2030 | 253,000 | 214,700 |
International Business Machines Corp. | ||
4.50%, 2/6/2026 | 450,000 | 445,919 |
3.45%, 2/19/2026 | 150,000 | 145,512 |
5.88%, 11/29/2032 | 1,233,000 | 1,305,383 |
4.75%, 2/6/2033 | 150,000 | 146,374 |
4.00%, 6/20/2042 | 97,000 | 80,647 |
Kyndryl Holdings, Inc. 3.15%, 10/15/2031 | 200,000 | 164,929 |
2,503,464 | ||
Leisure Products — 0.0% ^ | ||
Brunswick Corp. | ||
4.40%, 9/15/2032 (c) | 500,000 | 445,963 |
5.10%, 4/1/2052 | 10,000 | 7,904 |
Hasbro, Inc. 3.90%, 11/19/2029 | 227,000 | 208,289 |
662,156 | ||
Life Sciences Tools & Services — 0.1% | ||
Thermo Fisher Scientific, Inc. | ||
1.75%, 10/15/2028 (c) | 2,404,000 | 2,109,717 |
5.20%, 1/31/2034 | 200,000 | 202,247 |
2,311,964 | ||
Machinery — 0.1% | ||
Cummins, Inc. 2.60%, 9/1/2050 | 855,000 | 536,211 |
Dover Corp. 3.15%, 11/15/2025 | 576,000 | 555,425 |
IDEX Corp. 3.00%, 5/1/2030 | 30,000 | 26,194 |
Illinois Tool Works, Inc. 4.88%, 9/15/2041 | 128,000 | 123,676 |
Otis Worldwide Corp. 2.29%, 4/5/2027 | 10,000 | 9,240 |
Parker-Hannifin Corp. 4.25%, 9/15/2027 | 317,000 | 309,908 |
Snap-on, Inc. 3.10%, 5/1/2050 | 256,000 | 179,691 |
1,740,345 | ||
Media — 0.6% | ||
Charter Communications Operating LLC | ||
2.25%, 1/15/2029 | 1,856,000 | 1,565,610 |
5.75%, 4/1/2048 | 100,000 | 83,102 |
6.83%, 10/23/2055 | 301,000 | 284,697 |
3.95%, 6/30/2062 | 863,000 | 507,373 |
Comcast Corp. | ||
3.38%, 8/15/2025 | 157,000 | 153,261 |
3.15%, 3/1/2026 | 489,000 | 471,953 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Media — continued | ||
3.30%, 2/1/2027 | 107,000 | 102,579 |
3.30%, 4/1/2027 | 30,000 | 28,619 |
4.25%, 1/15/2033 | 100,000 | 93,667 |
4.80%, 5/15/2033 | 400,000 | 390,847 |
4.40%, 8/15/2035 | 38,000 | 35,204 |
3.20%, 7/15/2036 | 146,000 | 117,886 |
3.25%, 11/1/2039 | 1,435,000 | 1,102,022 |
2.80%, 1/15/2051 | 250,000 | 156,175 |
2.45%, 8/15/2052 | 500,000 | 286,890 |
2.65%, 8/15/2062 | 40,000 | 22,301 |
Discovery Communications LLC | ||
4.90%, 3/11/2026 | 150,000 | 147,683 |
5.00%, 9/20/2037 | 84,000 | 71,879 |
Fox Corp. 4.71%, 1/25/2029 (c) | 1,112,000 | 1,085,346 |
Omnicom Group, Inc. | ||
2.45%, 4/30/2030 | 30,000 | 25,655 |
2.60%, 8/1/2031 | 435,000 | 365,142 |
Paramount Global | ||
4.20%, 5/19/2032 (c) | 2,249,000 | 1,832,852 |
5.50%, 5/15/2033 | 149,000 | 128,997 |
4.38%, 3/15/2043 | 274,000 | 183,541 |
Time Warner Cable LLC 4.50%, 9/15/2042 | 15,000 | 10,965 |
9,254,246 | ||
Metals & Mining — 0.3% | ||
ArcelorMittal SA (Luxembourg) | ||
6.55%, 11/29/2027 | 150,000 | 156,097 |
4.25%, 7/16/2029 | 20,000 | 18,941 |
BHP Billiton Finance USA Ltd. (Australia) 4.75%, 2/28/2028 | 150,000 | 148,959 |
Freeport-McMoRan, Inc. | ||
4.38%, 8/1/2028 | 233,000 | 222,198 |
5.45%, 3/15/2043 | 748,000 | 696,816 |
Newmont Corp. | ||
2.25%, 10/1/2030 | 218,000 | 182,302 |
4.88%, 3/15/2042 (c) | 1,990,000 | 1,828,219 |
Rio Tinto Finance USA plc (Australia) | ||
5.00%, 3/9/2033 | 50,000 | 49,935 |
4.75%, 3/22/2042 | 274,000 | 256,833 |
Steel Dynamics, Inc. 5.00%, 12/15/2026 | 271,000 | 268,787 |
Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030 | 237,000 | 213,248 |
Yamana Gold, Inc. (Canada) 2.63%, 8/15/2031 | 1,899,000 | 1,566,277 |
5,608,612 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 57 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Multi-Utilities — 0.6% | ||
Ameren Corp. 1.75%, 3/15/2028 | 2,315,000 | 2,034,366 |
Avista Corp. 4.00%, 4/1/2052 | 172,000 | 131,305 |
Berkshire Hathaway Energy Co. | ||
3.25%, 4/15/2028 | 750,000 | 702,676 |
1.65%, 5/15/2031 | 238,000 | 188,168 |
2.85%, 5/15/2051 (c) | 423,000 | 269,313 |
Black Hills Corp. | ||
3.95%, 1/15/2026 | 100,000 | 97,156 |
5.95%, 3/15/2028 | 996,000 | 1,023,863 |
CenterPoint Energy, Inc. 2.95%, 3/1/2030 | 30,000 | 26,493 |
CMS Energy Corp. 4.88%, 3/1/2044 | 18,000 | 16,512 |
Consolidated Edison Co. of New York, Inc. | ||
Series 12-A, 4.20%, 3/15/2042 | 23,000 | 19,167 |
3.70%, 11/15/2059 | 1,561,000 | 1,111,063 |
Consumers Energy Co. | ||
4.63%, 5/15/2033 | 200,000 | 193,359 |
3.95%, 5/15/2043 | 271,000 | 226,259 |
3.10%, 8/15/2050 | 10,000 | 6,883 |
Dominion Energy, Inc. | ||
Series D, 2.85%, 8/15/2026 | 150,000 | 141,452 |
Series C, 3.38%, 4/1/2030 | 130,000 | 117,061 |
Series A, 4.35%, 8/15/2032 | 150,000 | 139,629 |
Series C, 4.05%, 9/15/2042 | 40,000 | 31,663 |
4.70%, 12/1/2044 | 249,000 | 214,190 |
DTE Energy Co. 2.95%, 3/1/2030 | 538,000 | 471,281 |
NiSource, Inc. | ||
5.40%, 6/30/2033 | 30,000 | 29,958 |
5.25%, 2/15/2043 | 283,000 | 266,682 |
4.38%, 5/15/2047 | 95,000 | 78,472 |
PG&E Energy Recovery Funding LLC Series A-1, 1.46%, 7/15/2031 | 388,621 | 342,117 |
Public Service Enterprise Group, Inc. | ||
0.80%, 8/15/2025 | 20,000 | 18,728 |
1.60%, 8/15/2030 | 15,000 | 12,049 |
6.13%, 10/15/2033 | 200,000 | 208,719 |
Puget Sound Energy, Inc. 5.80%, 3/15/2040 | 80,000 | 80,754 |
Sempra | ||
5.50%, 8/1/2033 | 30,000 | 29,825 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.87%), 4.13%, 4/1/2052 (b) | 9,000 | 8,264 |
Southern Co. Gas Capital Corp. | ||
5.15%, 9/15/2032 | 850,000 | 842,436 |
4.40%, 5/30/2047 | 100,000 | 81,151 |
9,161,014 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Office REITs — 0.2% | ||
Alexandria Real Estate Equities, Inc. | ||
4.90%, 12/15/2030 | 500,000 | 486,626 |
2.00%, 5/18/2032 | 229,000 | 176,778 |
2.95%, 3/15/2034 | 119,000 | 95,932 |
Boston Properties LP | ||
3.65%, 2/1/2026 | 50,000 | 48,083 |
2.75%, 10/1/2026 | 65,000 | 60,176 |
3.25%, 1/30/2031 | 660,000 | 555,662 |
2.55%, 4/1/2032 | 358,000 | 278,184 |
COPT Defense Properties LP 2.00%, 1/15/2029 | 811,000 | 671,436 |
Kilroy Realty LP 2.65%, 11/15/2033 | 640,000 | 466,268 |
2,839,145 | ||
Oil, Gas & Consumable Fuels — 1.6% | ||
Boardwalk Pipelines LP 4.80%, 5/3/2029 | 183,000 | 177,813 |
BP Capital Markets America, Inc. | ||
3.80%, 9/21/2025 | 30,000 | 29,428 |
2.72%, 1/12/2032 | 230,000 | 195,093 |
3.06%, 6/17/2041 | 25,000 | 18,563 |
3.00%, 2/24/2050 | 424,000 | 283,684 |
2.94%, 6/4/2051 | 198,000 | 130,139 |
BP Capital Markets plc (United Kingdom) 3.28%, 9/19/2027 | 30,000 | 28,404 |
Canadian Natural Resources Ltd. (Canada) 2.05%, 7/15/2025 | 2,116,000 | 2,019,415 |
Cenovus Energy, Inc. (Canada) 5.40%, 6/15/2047 | 109,000 | 100,080 |
Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025 | 52,000 | 51,983 |
Chevron Corp. 2.00%, 5/11/2027 | 10,000 | 9,193 |
Chevron USA, Inc. 0.69%, 8/12/2025 | 1,205,000 | 1,133,442 |
CNOOC Petroleum North America ULC (China) 5.88%, 3/10/2035 | 275,000 | 291,116 |
Continental Resources, Inc. 4.38%, 1/15/2028 | 229,000 | 220,065 |
Devon Energy Corp. | ||
4.50%, 1/15/2030 | 38,000 | 36,251 |
7.95%, 4/15/2032 | 30,000 | 34,194 |
Diamondback Energy, Inc. | ||
3.13%, 3/24/2031 | 38,000 | 33,308 |
6.25%, 3/15/2053 | 10,000 | 10,579 |
Enbridge, Inc. (Canada) | ||
1.60%, 10/4/2026 | 73,000 | 66,733 |
2.50%, 8/1/2033 | 1,389,000 | 1,097,622 |
3.40%, 8/1/2051 | 10,000 | 6,973 |
58 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
Energy Transfer LP | ||
4.75%, 1/15/2026 | 30,000 | 29,660 |
5.50%, 6/1/2027 | 150,000 | 150,575 |
4.95%, 6/15/2028 | 30,000 | 29,538 |
5.25%, 4/15/2029 | 1,000,000 | 996,091 |
5.75%, 2/15/2033 | 30,000 | 30,185 |
4.90%, 3/15/2035 | 29,000 | 27,047 |
5.35%, 5/15/2045 | 951,000 | 860,376 |
5.40%, 10/1/2047 | 26,000 | 23,513 |
6.25%, 4/15/2049 | 440,000 | 443,946 |
5.00%, 5/15/2050 | 299,000 | 257,813 |
Enterprise Products Operating LLC | ||
4.45%, 2/15/2043 | 1,238,000 | 1,077,266 |
(3-MONTH CME TERM SOFR + 2.83%), 5.38%, 2/15/2078 (b) | 42,000 | 38,863 |
EOG Resources, Inc. 4.15%, 1/15/2026 | 1,268,000 | 1,248,905 |
EQT Corp. 7.00%, 2/1/2030 (f) | 144,000 | 152,530 |
Equinor ASA (Norway) | ||
3.95%, 5/15/2043 | 19,000 | 15,869 |
3.25%, 11/18/2049 | 157,000 | 112,655 |
Exxon Mobil Corp. | ||
3.48%, 3/19/2030 | 1,000,000 | 932,962 |
4.11%, 3/1/2046 | 657,000 | 556,845 |
3.45%, 4/15/2051 | 596,000 | 441,841 |
Hess Corp. 7.30%, 8/15/2031 | 287,000 | 322,419 |
Kinder Morgan Energy Partners LP | ||
6.50%, 2/1/2037 | 56,000 | 57,676 |
6.38%, 3/1/2041 | 110,000 | 111,781 |
Kinder Morgan, Inc. | ||
2.00%, 2/15/2031 | 11,000 | 8,921 |
4.80%, 2/1/2033 | 2,001,000 | 1,888,079 |
5.55%, 6/1/2045 | 217,000 | 203,591 |
5.20%, 3/1/2048 | 842,000 | 747,989 |
Marathon Oil Corp. 6.80%, 3/15/2032 | 98,000 | 104,455 |
Marathon Petroleum Corp. | ||
5.13%, 12/15/2026 | 83,000 | 82,861 |
6.50%, 3/1/2041 | 170,000 | 180,436 |
MPLX LP | ||
4.50%, 4/15/2038 | 11,000 | 9,585 |
5.20%, 3/1/2047 | 340,000 | 305,333 |
4.70%, 4/15/2048 | 165,000 | 138,135 |
4.90%, 4/15/2058 | 967,000 | 800,628 |
ONEOK Partners LP 6.65%, 10/1/2036 | 42,000 | 44,422 |
ONEOK, Inc. | ||
4.55%, 7/15/2028 | 550,000 | 537,350 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
3.40%, 9/1/2029 | 55,000 | 50,232 |
3.10%, 3/15/2030 | 27,000 | 23,920 |
4.45%, 9/1/2049 | 100,000 | 79,751 |
Ovintiv, Inc. | ||
5.65%, 5/15/2028 | 497,000 | 501,371 |
6.25%, 7/15/2033 | 28,000 | 28,789 |
6.50%, 8/15/2034 | 200,000 | 209,502 |
Phillips 66 Co. 3.75%, 3/1/2028 | 944,000 | 900,322 |
Pioneer Natural Resources Co. 1.13%, 1/15/2026 | 814,000 | 755,144 |
Sabine Pass Liquefaction LLC | ||
5.88%, 6/30/2026 | 150,000 | 151,220 |
4.20%, 3/15/2028 | 150,000 | 144,734 |
Targa Resources Partners LP | ||
6.50%, 7/15/2027 | 450,000 | 455,026 |
4.00%, 1/15/2032 | 50,000 | 44,622 |
TC PipeLines LP 4.38%, 3/13/2025 | 202,000 | 198,909 |
Tosco Corp. 8.13%, 2/15/2030 | 343,000 | 396,229 |
TotalEnergies Capital International SA (France) 3.39%, 6/29/2060 | 98,000 | 67,735 |
TransCanada PipeLines Ltd. (Canada) | ||
6.20%, 3/9/2026 | 17,000 | 17,001 |
4.10%, 4/15/2030 | 13,000 | 12,176 |
2.50%, 10/12/2031 | 225,000 | 184,383 |
4.75%, 5/15/2038 | 428,000 | 386,798 |
Transcontinental Gas Pipe Line Co. LLC 4.45%, 8/1/2042 | 272,000 | 236,048 |
Valero Energy Corp. | ||
3.40%, 9/15/2026 (c) | 648,000 | 619,543 |
2.80%, 12/1/2031 | 20,000 | 16,880 |
3.65%, 12/1/2051 | 465,000 | 327,279 |
Western Midstream Operating LP | ||
4.75%, 8/15/2028 | 30,000 | 29,004 |
5.30%, 3/1/2048 | 624,000 | 538,206 |
5.50%, 8/15/2048 | 30,000 | 26,339 |
Williams Cos., Inc. (The) | ||
3.75%, 6/15/2027 | 1,037,000 | 991,899 |
5.65%, 3/15/2033 | 75,000 | 76,227 |
4.90%, 1/15/2045 | 133,000 | 117,143 |
3.50%, 10/15/2051 | 10,000 | 6,967 |
26,537,618 | ||
Paper & Forest Products — 0.0% ^ | ||
Suzano Austria GmbH (Brazil) | ||
6.00%, 1/15/2029 | 364,000 | 364,063 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 59 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Paper & Forest Products — continued | ||
Series DM3N, 3.13%, 1/15/2032 | 30,000 | 24,634 |
Suzano International Finance BV (Brazil) 5.50%, 1/17/2027 | 200,000 | 199,724 |
588,421 | ||
Passenger Airlines — 0.0% ^ | ||
Southwest Airlines Co. 5.13%, 6/15/2027 | 150,000 | 149,493 |
Personal Care Products — 0.1% | ||
Estee Lauder Cos., Inc. (The) 4.38%, 5/15/2028 | 300,000 | 294,948 |
Kenvue, Inc. | ||
5.35%, 3/22/2026 | 300,000 | 301,961 |
5.05%, 3/22/2028 | 180,000 | 181,128 |
5.00%, 3/22/2030 | 330,000 | 330,676 |
4.90%, 3/22/2033 | 330,000 | 326,276 |
1,434,989 | ||
Pharmaceuticals — 0.8% | ||
Astrazeneca Finance LLC (United Kingdom) 1.75%, 5/28/2028 | 3,204,000 | 2,832,139 |
Bristol-Myers Squibb Co. | ||
1.13%, 11/13/2027 | 144,000 | 126,207 |
3.40%, 7/26/2029 | 30,000 | 27,962 |
3.25%, 8/1/2042 | 10,000 | 7,554 |
4.63%, 5/15/2044 | 127,000 | 114,955 |
4.25%, 10/26/2049 | 1,019,000 | 853,002 |
3.90%, 3/15/2062 | 300,000 | 223,700 |
Eli Lilly & Co. | ||
3.10%, 5/15/2027 | 115,000 | 109,414 |
4.70%, 2/27/2033 | 150,000 | 148,738 |
2.25%, 5/15/2050 | 2,154,000 | 1,305,517 |
2.50%, 9/15/2060 | 598,000 | 347,912 |
Johnson & Johnson | ||
0.55%, 9/1/2025 | 756,000 | 709,092 |
3.40%, 1/15/2038 | 181,000 | 153,557 |
Merck & Co., Inc. | ||
1.70%, 6/10/2027 | 514,000 | 465,515 |
3.40%, 3/7/2029 | 785,000 | 737,286 |
3.60%, 9/15/2042 | 10,000 | 8,094 |
Pfizer Investment Enterprises Pte. Ltd. 4.75%, 5/19/2033 | 30,000 | 29,234 |
Pfizer, Inc. | ||
3.00%, 12/15/2026 | 10,000 | 9,535 |
3.60%, 9/15/2028 (c) | 835,000 | 797,599 |
3.45%, 3/15/2029 | 220,000 | 206,803 |
1.75%, 8/18/2031 | 165,000 | 132,949 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pharmaceuticals — continued | ||
4.00%, 12/15/2036 | 318,000 | 285,643 |
Pharmacia LLC 6.60%, 12/1/2028 (f) | 350,000 | 374,803 |
Royalty Pharma plc 1.75%, 9/2/2027 | 456,000 | 405,389 |
Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030 | 894,000 | 751,229 |
Viatris, Inc. | ||
2.30%, 6/22/2027 | 300,000 | 271,299 |
3.85%, 6/22/2040 | 1,291,000 | 947,661 |
4.00%, 6/22/2050 | 743,000 | 506,269 |
Wyeth LLC 5.95%, 4/1/2037 | 557,000 | 594,296 |
Zoetis, Inc. 2.00%, 5/15/2030 | 30,000 | 25,161 |
13,508,514 | ||
Professional Services — 0.0% ^ | ||
Broadridge Financial Solutions, Inc. 2.90%, 12/1/2029 | 30,000 | 26,409 |
Concentrix Corp. 6.60%, 8/2/2028 | 115,000 | 115,530 |
Equifax, Inc. 2.35%, 9/15/2031 | 393,000 | 320,914 |
Thomson Reuters Corp. (Canada) 3.35%, 5/15/2026 | 306,000 | 293,502 |
Verisk Analytics, Inc. 5.75%, 4/1/2033 | 30,000 | 30,988 |
787,343 | ||
Residential REITs — 0.2% | ||
American Homes 4 Rent LP 4.90%, 2/15/2029 | 224,000 | 218,302 |
AvalonBay Communities, Inc. | ||
1.90%, 12/1/2028 | 68,000 | 59,228 |
2.30%, 3/1/2030 | 464,000 | 398,623 |
2.45%, 1/15/2031 | 22,000 | 18,761 |
Camden Property Trust | ||
4.10%, 10/15/2028 | 245,000 | 235,942 |
2.80%, 5/15/2030 | 69,000 | 60,633 |
ERP Operating LP 4.15%, 12/1/2028 | 427,000 | 412,844 |
Sun Communities Operating LP 4.20%, 4/15/2032 | 130,000 | 115,370 |
UDR, Inc. | ||
3.00%, 8/15/2031 | 222,000 | 190,454 |
3.10%, 11/1/2034 | 1,990,000 | 1,600,676 |
3,310,833 | ||
Retail REITs — 0.1% | ||
Brixmor Operating Partnership LP 4.05%, 7/1/2030 | 500,000 | 459,150 |
Kimco Realty OP LLC 4.60%, 2/1/2033 | 288,000 | 269,949 |
Realty Income Corp. | ||
4.00%, 7/15/2029 | 50,000 | 47,143 |
60 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Retail REITs — continued | ||
3.40%, 1/15/2030 | 37,000 | 33,535 |
3.25%, 1/15/2031 | 500,000 | 442,272 |
1,252,049 | ||
Semiconductors & Semiconductor Equipment — 0.6% | ||
Analog Devices, Inc. | ||
2.10%, 10/1/2031 | 150,000 | 123,757 |
2.80%, 10/1/2041 | 46,000 | 32,644 |
Applied Materials, Inc. 2.75%, 6/1/2050 | 14,000 | 9,415 |
Broadcom, Inc. | ||
4.11%, 9/15/2028 | 46,000 | 44,086 |
4.30%, 11/15/2032 | 47,000 | 43,523 |
3.47%, 4/15/2034 (g) | 10,000 | 8,443 |
3.14%, 11/15/2035 (g) | 200,000 | 158,516 |
3.19%, 11/15/2036 (g) | 10,000 | 7,815 |
4.93%, 5/15/2037 (g) | 1,004,000 | 935,490 |
Intel Corp. | ||
3.15%, 5/11/2027 | 30,000 | 28,429 |
2.45%, 11/15/2029 | 330,000 | 288,992 |
2.80%, 8/12/2041 | 1,560,000 | 1,105,328 |
4.25%, 12/15/2042 (c) | 1,806,000 | 1,539,683 |
5.70%, 2/10/2053 | 255,000 | 257,692 |
3.10%, 2/15/2060 | 263,000 | 166,236 |
KLA Corp. 3.30%, 3/1/2050 | 101,000 | 72,498 |
Lam Research Corp. 3.75%, 3/15/2026 | 30,000 | 29,278 |
Micron Technology, Inc. | ||
4.98%, 2/6/2026 | 507,000 | 504,030 |
6.75%, 11/1/2029 | 200,000 | 212,257 |
2.70%, 4/15/2032 | 200,000 | 164,072 |
NVIDIA Corp. 2.85%, 4/1/2030 | 200,000 | 180,099 |
NXP BV (China) | ||
4.30%, 6/18/2029 | 30,000 | 28,640 |
2.65%, 2/15/2032 | 125,000 | 102,619 |
3.25%, 5/11/2041 | 1,162,000 | 853,933 |
QUALCOMM, Inc. | ||
5.40%, 5/20/2033 | 30,000 | 31,085 |
4.50%, 5/20/2052 | 10,000 | 8,808 |
Skyworks Solutions, Inc. 1.80%, 6/1/2026 | 13,000 | 12,024 |
Texas Instruments, Inc. 2.90%, 11/3/2027 | 1,258,000 | 1,180,831 |
TSMC Arizona Corp. (Taiwan) 1.75%, 10/25/2026 | 1,030,000 | 945,941 |
9,076,164 | ||
Software — 0.6% | ||
Adobe, Inc. 2.15%, 2/1/2027 | 30,000 | 27,925 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Software — continued | ||
Microsoft Corp. | ||
2.50%, 9/15/2050 (g) | 1,190,000 | 755,053 |
4.00%, 2/12/2055 | 1,111,000 | 963,766 |
Oracle Corp. | ||
2.95%, 5/15/2025 | 951,000 | 922,949 |
2.80%, 4/1/2027 | 30,000 | 27,982 |
3.25%, 11/15/2027 | 688,000 | 645,127 |
3.60%, 4/1/2040 | 179,000 | 138,203 |
3.65%, 3/25/2041 | 30,000 | 23,072 |
4.00%, 11/15/2047 | 250,000 | 191,139 |
3.60%, 4/1/2050 | 2,022,000 | 1,423,103 |
3.95%, 3/25/2051 | 2,119,000 | 1,579,358 |
5.55%, 2/6/2053 | 10,000 | 9,572 |
4.10%, 3/25/2061 | 97,000 | 70,997 |
Roper Technologies, Inc. 1.00%, 9/15/2025 | 300,000 | 280,942 |
Salesforce, Inc. | ||
1.50%, 7/15/2028 | 15,000 | 13,121 |
1.95%, 7/15/2031 | 2,481,000 | 2,031,735 |
VMware LLC | ||
3.90%, 8/21/2027 | 190,000 | 181,160 |
1.80%, 8/15/2028 | 100,000 | 86,576 |
2.20%, 8/15/2031 | 26,000 | 20,964 |
Workday, Inc. 3.70%, 4/1/2029 | 250,000 | 233,656 |
9,626,400 | ||
Specialized REITs — 0.1% | ||
American Tower Corp. | ||
4.40%, 2/15/2026 | 10,000 | 9,834 |
3.38%, 10/15/2026 | 30,000 | 28,608 |
2.75%, 1/15/2027 | 130,000 | 121,071 |
3.65%, 3/15/2027 | 30,000 | 28,670 |
3.55%, 7/15/2027 | 33,000 | 31,282 |
5.50%, 3/15/2028 | 30,000 | 30,124 |
5.25%, 7/15/2028 | 30,000 | 29,907 |
Crown Castle, Inc. | ||
1.35%, 7/15/2025 | 60,000 | 56,768 |
3.80%, 2/15/2028 | 20,000 | 18,833 |
4.80%, 9/1/2028 | 30,000 | 29,252 |
2.25%, 1/15/2031 | 185,000 | 151,209 |
2.10%, 4/1/2031 | 250,000 | 200,446 |
2.90%, 4/1/2041 | 130,000 | 90,240 |
3.25%, 1/15/2051 | 652,000 | 440,029 |
Equinix, Inc. 3.90%, 4/15/2032 | 125,000 | 113,433 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 61 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Specialized REITs — continued | ||
Public Storage Operating Co. | ||
0.88%, 2/15/2026 | 174,000 | 160,571 |
1.50%, 11/9/2026 | 59,000 | 53,887 |
1,594,164 | ||
Specialty Retail — 0.4% | ||
AutoNation, Inc. | ||
1.95%, 8/1/2028 | 225,000 | 192,301 |
4.75%, 6/1/2030 | 30,000 | 28,522 |
AutoZone, Inc. | ||
4.00%, 4/15/2030 | 475,000 | 446,483 |
5.20%, 8/1/2033 | 30,000 | 29,731 |
Dick's Sporting Goods, Inc. 4.10%, 1/15/2052 | 515,000 | 361,794 |
Home Depot, Inc. (The) | ||
2.13%, 9/15/2026 | 500,000 | 467,245 |
2.50%, 4/15/2027 | 166,000 | 154,616 |
2.80%, 9/14/2027 | 1,000,000 | 937,031 |
1.88%, 9/15/2031 | 50,000 | 40,511 |
3.13%, 12/15/2049 | 250,000 | 173,965 |
3.50%, 9/15/2056 | 1,023,000 | 749,220 |
Lowe's Cos., Inc. | ||
2.50%, 4/15/2026 | 500,000 | 474,640 |
1.70%, 10/15/2030 | 135,000 | 109,460 |
5.00%, 4/15/2033 | 200,000 | 197,094 |
5.15%, 7/1/2033 | 30,000 | 29,856 |
4.38%, 9/15/2045 | 398,000 | 337,344 |
4.05%, 5/3/2047 | 191,000 | 151,312 |
O'Reilly Automotive, Inc. 3.90%, 6/1/2029 | 428,000 | 405,955 |
TJX Cos., Inc. (The) 1.15%, 5/15/2028 | 789,000 | 680,027 |
Tractor Supply Co. 5.25%, 5/15/2033 | 10,000 | 9,938 |
5,977,045 | ||
Technology Hardware, Storage & Peripherals — 0.5% | ||
Apple, Inc. | ||
0.70%, 2/8/2026 | 1,921,000 | 1,775,753 |
2.38%, 2/8/2041 | 972,000 | 683,645 |
3.45%, 2/9/2045 | 1,980,000 | 1,572,703 |
4.38%, 5/13/2045 | 2,093,000 | 1,909,755 |
2.95%, 9/11/2049 | 10,000 | 6,974 |
2.65%, 2/8/2051 | 76,000 | 48,980 |
Dell International LLC | ||
5.85%, 7/15/2025 | 100,000 | 100,440 |
4.90%, 10/1/2026 | 250,000 | 247,717 |
5.25%, 2/1/2028 | 150,000 | 151,055 |
3.38%, 12/15/2041 | 458,000 | 333,695 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Technology Hardware, Storage & Peripherals — continued | ||
Hewlett Packard Enterprise Co. | ||
4.90%, 10/15/2025 (f) | 99,000 | 98,363 |
1.75%, 4/1/2026 | 27,000 | 25,095 |
HP, Inc. | ||
3.00%, 6/17/2027 | 23,000 | 21,486 |
5.50%, 1/15/2033 | 150,000 | 150,060 |
NetApp, Inc. 2.70%, 6/22/2030 | 30,000 | 25,721 |
Western Digital Corp. 2.85%, 2/1/2029 | 603,000 | 508,136 |
7,659,578 | ||
Textiles, Apparel & Luxury Goods — 0.1% | ||
NIKE, Inc. 2.38%, 11/1/2026 | 10,000 | 9,407 |
PVH Corp. 4.63%, 7/10/2025 | 351,000 | 346,084 |
Ralph Lauren Corp. 3.75%, 9/15/2025 | 543,000 | 530,686 |
Tapestry, Inc. 4.13%, 7/15/2027 | 188,000 | 178,543 |
VF Corp. 2.95%, 4/23/2030 (c) | 259,000 | 213,646 |
1,278,366 | ||
Tobacco — 0.2% | ||
Altria Group, Inc. | ||
2.35%, 5/6/2025 | 10,000 | 9,652 |
5.38%, 1/31/2044 | 658,000 | 639,575 |
4.00%, 2/4/2061 | 145,000 | 103,563 |
BAT Capital Corp. (United Kingdom) | ||
2.26%, 3/25/2028 | 150,000 | 132,702 |
3.46%, 9/6/2029 | 150,000 | 135,717 |
6.42%, 8/2/2033 (c) | 181,000 | 185,776 |
4.39%, 8/15/2037 | 651,000 | 533,984 |
3.73%, 9/25/2040 | 371,000 | 267,519 |
4.76%, 9/6/2049 | 66,000 | 50,905 |
Philip Morris International, Inc. | ||
3.25%, 11/10/2024 | 126,000 | 124,182 |
3.38%, 8/15/2029 | 40,000 | 36,723 |
3.88%, 8/21/2042 | 250,000 | 197,027 |
4.88%, 11/15/2043 | 449,000 | 403,507 |
Reynolds American, Inc. (United Kingdom) 5.70%, 8/15/2035 | 533,000 | 509,105 |
3,329,937 | ||
Trading Companies & Distributors — 0.0% ^ | ||
Air Lease Corp. 4.25%, 9/15/2024 | 306,000 | 303,297 |
Water Utilities — 0.0% ^ | ||
American Water Capital Corp. 3.45%, 6/1/2029 | 440,000 | 409,033 |
Essential Utilities, Inc. 4.28%, 5/1/2049 | 24,000 | 19,334 |
428,367 |
62 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Wireless Telecommunication Services — 0.5% | ||
America Movil SAB de CV (Mexico) 3.63%, 4/22/2029 | 302,000 | 280,532 |
Rogers Communications, Inc. (Canada) | ||
2.90%, 11/15/2026 | 392,000 | 368,925 |
3.20%, 3/15/2027 | 82,000 | 77,205 |
5.00%, 3/15/2044 | 289,000 | 260,655 |
T-Mobile USA, Inc. | ||
2.25%, 11/15/2031 | 1,594,000 | 1,293,293 |
4.38%, 4/15/2040 | 1,503,000 | 1,317,496 |
3.00%, 2/15/2041 | 3,530,000 | 2,547,504 |
Vodafone Group plc (United Kingdom) 4.38%, 5/30/2028 | 1,776,000 | 1,745,562 |
7,891,172 | ||
Total Corporate Bonds (Cost $415,279,226) | 408,671,997 | |
Foreign Government Securities — 1.8% | ||
Hungary Government Bond 7.63%, 3/29/2041 | 298,000 | 341,387 |
Italian Republic Government Bond | ||
2.88%, 10/17/2029 | 452,000 | 398,208 |
3.88%, 5/6/2051 | 80,000 | 55,367 |
Japan Bank for International Cooperation | ||
1.75%, 10/17/2024 | 55,000 | 53,766 |
2.13%, 2/10/2025 | 5,000 | 4,855 |
2.75%, 1/21/2026 | 1,001,000 | 961,257 |
2.38%, 4/20/2026 | 250,000 | 237,245 |
2.25%, 11/4/2026 | 1,380,000 | 1,292,381 |
2.75%, 11/16/2027 | 60,000 | 55,988 |
3.50%, 10/31/2028 | 450,000 | 427,503 |
1.25%, 1/21/2031 | 208,000 | 166,556 |
1.88%, 4/15/2031 | 65,000 | 53,947 |
Japan International Cooperation Agency | ||
2.13%, 10/20/2026 | 656,000 | 611,926 |
2.75%, 4/27/2027 | 65,000 | 61,052 |
3.38%, 6/12/2028 | 876,000 | 828,804 |
1.00%, 7/22/2030 | 710,000 | 564,046 |
Oriental Republic of Uruguay | ||
4.38%, 10/27/2027 | 537,000 | 530,802 |
5.75%, 10/28/2034 | 76,000 | 79,905 |
4.13%, 11/20/2045 | 322,000 | 280,415 |
Province of Alberta | ||
1.00%, 5/20/2025 | 907,000 | 863,594 |
3.30%, 3/15/2028 | 631,000 | 600,935 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Province of British Columbia | ||
1.75%, 9/27/2024 | 1,056,000 | 1,034,547 |
2.25%, 6/2/2026 | 354,000 | 335,456 |
0.90%, 7/20/2026 | 66,000 | 60,390 |
Province of Ontario | ||
2.50%, 4/27/2026 | 346,000 | 330,114 |
2.30%, 6/15/2026 | 457,000 | 432,945 |
1.05%, 5/21/2027 | 130,000 | 116,168 |
2.00%, 10/2/2029 | 320,000 | 280,131 |
1.13%, 10/7/2030 | 578,000 | 466,015 |
Province of Quebec | ||
2.88%, 10/16/2024 | 141,000 | 138,839 |
1.50%, 2/11/2025 | 718,000 | 693,538 |
0.60%, 7/23/2025 | 1,632,000 | 1,536,424 |
2.50%, 4/20/2026 (c) | 62,000 | 59,188 |
Republic of Chile | ||
3.13%, 1/21/2026 | 190,000 | 183,372 |
2.45%, 1/31/2031 | 1,748,000 | 1,486,221 |
2.55%, 1/27/2032 | 70,000 | 58,877 |
2.55%, 7/27/2033 | 541,000 | 437,434 |
4.95%, 1/5/2036 | 250,000 | 241,624 |
3.10%, 5/7/2041 | 232,000 | 170,152 |
4.34%, 3/7/2042 | 370,000 | 320,358 |
Republic of Indonesia | ||
3.85%, 10/15/2030 | 249,000 | 231,484 |
4.35%, 1/11/2048 | 785,000 | 677,090 |
3.05%, 3/12/2051 | 349,000 | 243,315 |
5.65%, 1/11/2053 | 55,000 | 56,791 |
Republic of Panama | ||
8.88%, 9/30/2027 | 469,000 | 505,484 |
2.25%, 9/29/2032 | 1,500,000 | 1,050,846 |
6.85%, 3/28/2054 | 200,000 | 176,132 |
Republic of Peru | ||
4.13%, 8/25/2027 | 10,000 | 9,669 |
3.23%, 7/28/2121 | 829,000 | 473,877 |
Republic of Philippines | ||
5.17%, 10/13/2027 | 90,000 | 90,638 |
9.50%, 2/2/2030 | 304,000 | 373,064 |
5.00%, 7/17/2033 | 80,000 | 80,093 |
2.95%, 5/5/2045 | 574,000 | 397,017 |
3.20%, 7/6/2046 | 551,000 | 392,286 |
4.20%, 3/29/2047 | 70,000 | 58,391 |
Republic of Poland | ||
5.50%, 11/16/2027 | 50,000 | 51,183 |
5.75%, 11/16/2032 | 18,000 | 18,767 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 63 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
5.50%, 4/4/2053 | 309,000 | 308,623 |
State of Israel Government Bond 2.75%, 7/3/2030 | 305,000 | 261,124 |
Svensk Exportkredit AB | ||
0.63%, 10/7/2024 | 100,000 | 97,192 |
0.63%, 5/14/2025 | 205,000 | 194,340 |
4.38%, 2/13/2026 | 1,306,000 | 1,293,926 |
United Mexican States | ||
4.50%, 4/22/2029 | 457,000 | 439,515 |
3.25%, 4/16/2030 | 505,000 | 446,689 |
2.66%, 5/24/2031 | 500,000 | 413,994 |
4.75%, 4/27/2032 | 750,000 | 705,947 |
3.50%, 2/12/2034 | 250,000 | 206,624 |
6.75%, 9/27/2034 | 335,000 | 353,269 |
6.35%, 2/9/2035 | 500,000 | 512,296 |
4.28%, 8/14/2041 | 365,000 | 289,928 |
5.00%, 4/27/2051 | 300,000 | 249,668 |
4.40%, 2/12/2052 | 370,000 | 279,226 |
6.34%, 5/4/2053 | 60,000 | 58,619 |
3.77%, 5/24/2061 | 1,860,000 | 1,195,540 |
Total Foreign Government Securities (Cost $30,068,788) | 29,044,379 | |
Commercial Mortgage-Backed Securities — 1.6% | ||
BANK | ||
Series 2017-BNK4, Class ASB, 3.42%, 5/15/2050 | 17,800 | 17,296 |
Series 2019-BN16, Class A4, 4.01%, 2/15/2052 | 60,000 | 56,715 |
Series 2019-BN21, Class A5, 2.85%, 10/17/2052 | 60,000 | 52,885 |
Series 2019-BN23, Class A3, 2.92%, 12/15/2052 | 142,000 | 126,001 |
Series 2018-BN10, Class A5, 3.69%, 2/15/2061 | 20,000 | 18,883 |
Series 2019-BN19, Class A3, 3.18%, 8/15/2061 | 100,000 | 87,562 |
Series 2018-BN13, Class C, 4.54%, 8/15/2061 (e) | 500,000 | 395,868 |
Series 2019-BN22, Class A4, 2.98%, 11/15/2062 | 260,000 | 230,903 |
Series 2020-BN26, Class A4, 2.40%, 3/15/2063 | 500,000 | 426,111 |
Series 2021-BN36, Class A5, 2.47%, 9/15/2064 | 500,000 | 417,177 |
Bank of America Merrill Lynch Commercial Mortgage Trust Series 2017-BNK3, Class A4, 3.57%, 2/15/2050 | 20,000 | 19,024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
BBCMS Mortgage Trust Series 2018-C2, Class A5, 4.31%, 12/15/2051 | 40,000 | 38,455 |
Benchmark Mortgage Trust | ||
Series 2018-B1, Class A5, 3.67%, 1/15/2051 (e) | 50,000 | 47,031 |
Series 2018-B2, Class B, 4.29%, 2/15/2051 (e) | 20,000 | 17,571 |
Series 2018-B5, Class A4, 4.21%, 7/15/2051 | 110,000 | 105,194 |
Series 2018-B6, Class A2, 4.20%, 10/10/2051 | 29,830 | 29,431 |
Series 2018-B8, Class A5, 4.23%, 1/15/2052 | 40,000 | 37,614 |
Series 2019-B11, Class A2, 3.41%, 5/15/2052 | 200,839 | 199,431 |
Series 2021-B31, Class A5, 2.67%, 12/15/2054 | 600,000 | 501,941 |
Cantor Commercial Real Estate Lending Series 2019-CF2, Class AS, 3.12%, 11/15/2052 | 75,000 | 64,303 |
CD Mortgage Trust | ||
Series 2017-CD6, Class ASB, 3.33%, 11/13/2050 | 15,008 | 14,515 |
Series 2017-CD6, Class AM, 3.71%, 11/13/2050 (e) | 30,000 | 27,174 |
Series 2018-CD7, Class A3, 4.01%, 8/15/2051 | 397,812 | 377,868 |
CFCRE Commercial Mortgage Trust | ||
Series 2017-C8, Class A4, 3.57%, 6/15/2050 | 30,000 | 28,272 |
Series 2016-C7, Class ASB, 3.64%, 12/10/2054 | 10,333 | 10,080 |
Citigroup Commercial Mortgage Trust | ||
Series 2014-GC23, Class B, 4.17%, 7/10/2047 (e) | 30,000 | 29,559 |
Series 2015-GC29, Class C, 4.14%, 4/10/2048 (e) | 40,000 | 38,310 |
Series 2016-C1, Class AAB, 3.00%, 5/10/2049 | 39,879 | 38,943 |
Series 2019-GC43, Class A4, 3.04%, 11/10/2052 | 1,000,000 | 877,503 |
Commercial Mortgage Trust | ||
Series 2014-UBS5, Class AM, 4.19%, 9/10/2047 (e) | 40,000 | 39,010 |
Series 2014-CR20, Class A3, 3.33%, 11/10/2047 | 36,746 | 36,327 |
Series 2014-UBS6, Class A4, 3.38%, 12/10/2047 | 104,600 | 103,157 |
Series 2015-LC19, Class A4, 3.18%, 2/10/2048 | 250,000 | 244,347 |
64 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series 2015-LC21, Class AM, 4.04%, 7/10/2048 (e) | 30,000 | 28,962 |
Series 2015-CR25, Class A4, 3.76%, 8/10/2048 | 30,000 | 29,113 |
Series 2015-PC1, Class A5, 3.90%, 7/10/2050 | 300,000 | 292,860 |
CSAIL Commercial Mortgage Trust | ||
Series 2015-C3, Class A4, 3.72%, 8/15/2048 | 30,000 | 29,058 |
Series 2016-C5, Class A5, 3.76%, 11/15/2048 | 27,000 | 26,100 |
DBGS Mortgage Trust Series 2018-C1, Class A4, 4.47%, 10/15/2051 | 20,000 | 18,678 |
DBJPM Mortgage Trust Series 2017-C6, Class A5, 3.33%, 6/10/2050 | 20,000 | 18,577 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K728, Class A2, 3.06%, 8/25/2024 (e) | 42,278 | 41,783 |
Series K040, Class A2, 3.24%, 9/25/2024 | 70,000 | 69,179 |
Series K731, Class A2, 3.60%, 2/25/2025 (e) | 43,113 | 42,452 |
Series K051, Class A2, 3.31%, 9/25/2025 | 40,000 | 38,976 |
Series K735, Class A2, 2.86%, 5/25/2026 | 48,859 | 46,874 |
Series K057, Class A2, 2.57%, 7/25/2026 | 63,000 | 59,990 |
Series K063, Class A1, 3.05%, 8/25/2026 | 22,767 | 22,121 |
Series K059, Class A2, 3.12%, 9/25/2026 (e) | 1,000,000 | 959,848 |
Series K062, Class A2, 3.41%, 12/25/2026 | 1,000,000 | 964,234 |
Series K064, Class A2, 3.22%, 3/25/2027 | 1,000,000 | 957,881 |
Series K072, Class A2, 3.44%, 12/25/2027 | 400,000 | 382,071 |
Series K084, Class A2, 3.78%, 10/25/2028 (e) | 500,000 | 479,757 |
Series K087, Class A2, 3.77%, 12/25/2028 | 1,000,000 | 959,422 |
Series K091, Class A2, 3.51%, 3/25/2029 | 1,000,000 | 946,906 |
Series K097, Class A2, 2.51%, 7/25/2029 | 2,000,000 | 1,791,237 |
Series K096, Class A2, 2.52%, 7/25/2029 | 295,000 | 264,721 |
Series K100, Class A2, 2.67%, 9/25/2029 | 400,000 | 359,590 |
Series K102, Class A2, 2.54%, 10/25/2029 | 400,000 | 356,815 |
Series K113, Class A2, 1.34%, 6/25/2030 | 700,000 | 572,744 |
Series K158, Class A1, 3.90%, 7/25/2030 | 1,097,972 | 1,064,984 |
Series K117, Class A2, 1.41%, 8/25/2030 | 1,265,000 | 1,031,816 |
Series K123, Class A2, 1.62%, 12/25/2030 | 500,000 | 410,211 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series K125, Class A2, 1.85%, 1/25/2031 | 10,000 | 8,305 |
Series K127, Class A2, 2.11%, 1/25/2031 | 600,000 | 507,033 |
Series K-1512, Class A2, 2.99%, 5/25/2031 | 75,000 | 67,154 |
Series K155, Class A3, 3.75%, 4/25/2033 | 545,000 | 503,575 |
Series K157, Class A2, 3.99%, 5/25/2033 (e) | 250,000 | 238,590 |
Series K156, Class A3, 3.70%, 6/25/2033 (e) | 91,000 | 83,691 |
Series K-1512, Class A3, 3.06%, 4/25/2034 | 150,000 | 125,658 |
FNMA ACES | ||
Series 2017-M10, Class AV2, 2.58%, 7/25/2024 (e) | 25,560 | 25,279 |
Series 2017-M7, Class A2, 2.96%, 2/25/2027 (e) | 272,684 | 259,531 |
Series 2017-M14, Class A2, 2.81%, 11/25/2027 (e) | 7,355 | 6,895 |
Series 2018-M10, Class A2, 3.36%, 7/25/2028 (e) | 39,991 | 38,042 |
Series 2018-M14, Class A2, 3.58%, 8/25/2028 (e) | 428,359 | 409,706 |
Series 2019-M1, Class A2, 3.55%, 9/25/2028 (e) | 73,834 | 70,560 |
Series 2019-M22, Class A2, 2.52%, 8/25/2029 | 579,507 | 521,273 |
Series 2021-M2S, Class A2, 1.81%, 10/25/2031 (e) | 700,000 | 570,821 |
GS Mortgage Securities Trust | ||
Series 2014-GC24, Class AAB, 3.65%, 9/10/2047 | 1,478 | 1,472 |
Series 2014-GC24, Class AS, 4.16%, 9/10/2047 (e) | 170,000 | 160,695 |
Series 2015-GC28, Class A4, 3.14%, 2/10/2048 | 36,601 | 36,191 |
Series 2015-GC30, Class A4, 3.38%, 5/10/2050 | 25,000 | 24,218 |
Series 2018-GS9, Class A4, 3.99%, 3/10/2051 (e) | 200,000 | 184,960 |
JPMBB Commercial Mortgage Securities Trust | ||
Series 2013-C12, Class C, 3.96%, 7/15/2045 (e) | 17,369 | 16,275 |
Series 2015-C29, Class B, 4.12%, 5/15/2048 (e) | 40,000 | 37,827 |
Series 2015-C31, Class A3, 3.80%, 8/15/2048 | 534,009 | 516,543 |
JPMCC Commercial Mortgage Securities Trust Series 2017-JP5, Class A5, 3.72%, 3/15/2050 | 600,000 | 569,054 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 65 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
JPMDB Commercial Mortgage Securities Trust | ||
Series 2016-C2, Class B, 3.99%, 6/15/2049 (e) | 20,000 | 15,855 |
Series 2017-C5, Class B, 4.01%, 3/15/2050 (e) | 20,000 | 16,054 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2015-C22, Class AS, 3.56%, 4/15/2048 | 40,000 | 38,640 |
Series 2015-C25, Class ASB, 3.38%, 10/15/2048 | 12,949 | 12,715 |
Series 2015-C25, Class A5, 3.64%, 10/15/2048 | 40,000 | 38,678 |
Series 2016-C31, Class A5, 3.10%, 11/15/2049 | 450,000 | 419,266 |
Series 2016-C32, Class A4, 3.72%, 12/15/2049 | 295,000 | 279,002 |
Morgan Stanley Capital I Trust | ||
Series 2016-UB12, Class A3, 3.34%, 12/15/2049 | 540,925 | 504,417 |
Series 2017-H1, Class C, 4.28%, 6/15/2050 (e) | 25,000 | 22,216 |
Series 2019-L2, Class A4, 4.07%, 3/15/2052 | 50,000 | 46,889 |
Series 2019-L3, Class A4, 3.13%, 11/15/2052 | 100,000 | 89,169 |
UBS Commercial Mortgage Trust | ||
Series 2017-C2, Class A4, 3.49%, 8/15/2050 | 700,000 | 657,225 |
Series 2017-C4, Class ASB, 3.37%, 10/15/2050 | 28,269 | 27,399 |
Series 2017-C5, Class AS, 3.78%, 11/15/2050 (e) | 70,000 | 63,880 |
Series 2017-C7, Class AS, 4.06%, 12/15/2050 (e) | 50,000 | 46,152 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2015-C27, Class A4, 3.19%, 2/15/2048 | 21,747 | 21,273 |
Series 2015-C28, Class A4, 3.54%, 5/15/2048 | 20,000 | 19,416 |
Series 2015-C29, Class A4, 3.64%, 6/15/2048 | 120,000 | 116,598 |
Series 2017-C38, Class A5, 3.45%, 7/15/2050 | 500,000 | 469,178 |
Series 2018-C45, Class A3, 3.92%, 6/15/2051 | 35,928 | 33,936 |
Series 2019-C51, Class A3, 3.06%, 6/15/2052 | 474,725 | 422,870 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2019-C52, Class A5, 2.89%, 8/15/2052 | 500,000 | 443,440 |
Series 2019-C53, Class A4, 3.04%, 10/15/2052 | 125,000 | 111,706 |
Series 2020-C55, Class A5, 2.73%, 2/15/2053 | 10,000 | 8,758 |
WFRBS Commercial Mortgage Trust | ||
Series 2014-C22, Class A4, 3.49%, 9/15/2057 | 31,287 | 30,913 |
Series 2014-C22, Class A5, 3.75%, 9/15/2057 | 25,000 | 24,509 |
Total Commercial Mortgage-Backed Securities (Cost $28,040,313) | 25,984,923 | |
Supranational — 1.3% | ||
African Development Bank (Supranational) | ||
0.88%, 7/22/2026 | 381,000 | 348,893 |
4.63%, 1/4/2027 | 55,000 | 55,103 |
4.38%, 11/3/2027 | 98,000 | 97,654 |
Asian Development Bank (Supranational) | ||
0.38%, 9/3/2025 | 1,753,000 | 1,639,539 |
0.50%, 2/4/2026 | 867,000 | 800,377 |
1.00%, 4/14/2026 | 926,000 | 858,121 |
1.50%, 1/20/2027 | 45,000 | 41,365 |
1.25%, 6/9/2028 | 1,258,000 | 1,103,962 |
4.50%, 8/25/2028 | 10,000 | 10,046 |
Corp. Andina de Fomento (Supranational) 2.25%, 2/8/2027 | 105,000 | 96,574 |
European Investment Bank (Supranational) | ||
1.63%, 3/14/2025 | 200,000 | 193,157 |
0.38%, 12/15/2025 (c) | 2,297,000 | 2,126,205 |
0.38%, 3/26/2026 | 2,392,000 | 2,192,850 |
2.13%, 4/13/2026 | 375,000 | 356,172 |
0.75%, 10/26/2026 | 315,000 | 285,589 |
3.88%, 3/15/2028 | 35,000 | 34,307 |
3.75%, 2/14/2033 | 448,000 | 428,045 |
Inter-American Development Bank (Supranational) | ||
7.00%, 6/15/2025 | 91,000 | 92,960 |
0.88%, 4/20/2026 | 86,000 | 79,462 |
4.38%, 2/1/2027 | 40,000 | 39,849 |
4.00%, 1/12/2028 | 614,000 | 603,969 |
1.13%, 7/20/2028 | 67,000 | 58,332 |
3.50%, 9/14/2029 | 15,000 | 14,340 |
4.50%, 9/13/2033 | 200,000 | 201,150 |
3.20%, 8/7/2042 | 1,057,000 | 852,394 |
66 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Supranational — continued | ||
Inter-American Investment Corp. (Supranational) 4.13%, 2/15/2028 | 1,892,000 | 1,858,576 |
International Bank for Reconstruction & Development (Supranational) | ||
0.38%, 7/28/2025 | 1,100,000 | 1,032,906 |
2.50%, 7/29/2025 | 995,000 | 962,613 |
3.13%, 11/20/2025 | 85,000 | 82,656 |
1.38%, 4/20/2028 | 25,000 | 22,134 |
3.50%, 7/12/2028 | 585,000 | 564,289 |
1.13%, 9/13/2028 | 2,600,000 | 2,254,157 |
3.88%, 2/14/2030 | 1,000,000 | 972,750 |
1.63%, 11/3/2031 | 184,000 | 151,282 |
4.75%, 2/15/2035 | 162,000 | 164,219 |
International Finance Corp. (Supranational) | ||
0.38%, 7/16/2025 | 120,000 | 112,834 |
2.13%, 4/7/2026 | 5,000 | 4,750 |
0.75%, 10/8/2026 | 275,000 | 249,703 |
Nordic Investment Bank (Supranational) | ||
2.63%, 4/4/2025 | 55,000 | 53,572 |
0.38%, 9/11/2025 | 358,000 | 334,664 |
Total Supranational (Cost $22,083,858) | 21,431,520 | |
U.S. Government Agency Securities — 1.1% | ||
FFCB Funding Corp. | ||
0.39%, 6/17/2024 | 662,000 | 651,970 |
0.57%, 7/2/2024 | 45,000 | 44,227 |
0.69%, 7/22/2025 | 225,000 | 212,020 |
0.57%, 8/12/2025 | 150,000 | 140,646 |
0.61%, 8/25/2025 | 50,000 | 46,922 |
0.53%, 9/29/2025 | 50,000 | 46,674 |
0.60%, 11/24/2025 | 283,000 | 264,093 |
0.75%, 12/16/2026 | 100,000 | 89,534 |
0.69%, 2/2/2027 | 245,000 | 217,148 |
1.30%, 3/30/2027 | 820,000 | 737,186 |
0.79%, 6/21/2027 | 110,000 | 97,210 |
0.84%, 2/2/2028 | 50,000 | 43,247 |
1.12%, 9/1/2028 | 35,000 | 30,155 |
1.23%, 9/10/2029 | 35,000 | 29,328 |
1.68%, 4/29/2030 | 55,000 | 46,283 |
1.23%, 7/29/2030 | 194,000 | 156,725 |
1.15%, 8/12/2030 | 93,000 | 74,623 |
1.24%, 9/3/2030 | 129,000 | 104,232 |
1.32%, 9/9/2030 | 373,000 | 303,998 |
1.24%, 12/23/2030 | 120,000 | 95,400 |
1.38%, 1/14/2031 | 135,000 | 108,801 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
1.30%, 2/3/2031 | 125,000 | 99,537 |
2.23%, 3/12/2035 | 12,000 | 9,165 |
1.69%, 8/20/2035 | 11,000 | 7,799 |
FHLB | ||
2.75%, 6/28/2024 | 75,000 | 74,351 |
2.88%, 9/13/2024 | 310,000 | 306,135 |
2.75%, 12/13/2024 | 325,000 | 319,027 |
2.38%, 3/14/2025 | 325,000 | 316,044 |
0.50%, 4/14/2025 | 1,055,000 | 1,004,379 |
0.58%, 2/11/2026 | 65,000 | 59,871 |
0.92%, 2/26/2027 | 150,000 | 134,181 |
3.25%, 6/9/2028 | 700,000 | 670,548 |
3.25%, 11/16/2028 | 550,000 | 526,558 |
2.13%, 9/14/2029 | 125,000 | 111,345 |
FHLMC | ||
0.38%, 9/23/2025 | 489,000 | 456,883 |
0.60%, 9/30/2025 | 59,000 | 55,147 |
0.63%, 10/27/2025 | 300,000 | 279,556 |
0.70%, 12/23/2025 | 56,000 | 51,941 |
0.80%, 10/27/2026 | 151,000 | 136,699 |
0.90%, 10/13/2027 | 65,000 | 56,985 |
3.91%, 12/14/2029 (h) | 2,086,000 | 1,611,418 |
6.75%, 3/15/2031 | 458,000 | 522,965 |
6.25%, 7/15/2032 | 426,000 | 482,842 |
4.70%, 11/15/2038 (h) | 641,000 | 315,322 |
FNMA | ||
1.75%, 7/2/2024 | 75,000 | 74,108 |
2.63%, 9/6/2024 | 1,088,000 | 1,073,632 |
0.65%, 8/14/2025 | 290,000 | 272,555 |
0.38%, 8/25/2025 | 47,000 | 44,033 |
2.13%, 4/24/2026 | 756,000 | 718,843 |
0.75%, 10/8/2027 | 1,757,000 | 1,545,071 |
6.25%, 5/15/2029 | 310,000 | 337,601 |
7.13%, 1/15/2030 | 31,000 | 35,429 |
0.88%, 8/5/2030 | 281,000 | 226,510 |
Israel Government AID Bond (Israel) 5.50%, 9/18/2033 | 746,000 | 800,679 |
Tennessee Valley Authority | ||
7.13%, 5/1/2030 | 166,000 | 189,122 |
4.70%, 7/15/2033 | 1,907,000 | 1,923,498 |
3.50%, 12/15/2042 | 324,000 | 263,269 |
4.25%, 9/15/2065 | 165,000 | 143,312 |
Total U.S. Government Agency Securities (Cost $19,388,671) | 18,796,782 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 67 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — 0.5% | ||
American Express Credit Account Master Trust | ||
Series 2022-2, Class A, 3.39%, 5/15/2027 | 800,000 | 782,933 |
Series 2022-3, Class A, 3.75%, 8/15/2027 | 200,000 | 196,043 |
Capital One Multi-Asset Execution Trust | ||
Series 2022-A2, Class A, 3.49%, 5/15/2027 | 750,000 | 734,495 |
Series 2019-A3, Class A3, 2.06%, 8/15/2028 | 400,000 | 373,397 |
CarMax Auto Owner Trust Series 2022-1, Class A4, 1.70%, 8/16/2027 | 365,000 | 341,883 |
Citibank Credit Card Issuance Trust Series 2018-A7, Class A7, 3.96%, 10/13/2030 | 100,000 | 96,313 |
Delta Air Lines Pass-Through Trust Series 2020-1, Class AA, 2.00%, 6/10/2028 | 836,583 | 746,255 |
Discover Card Execution Note Trust Series 2022-A3, Class A3, 3.56%, 7/15/2027 | 750,000 | 733,660 |
Evergy Metro, Inc., 4.20%, 3/15/2048 | 64,000 | 52,068 |
Ford Credit Floorplan Master Owner Trust | ||
Series 2020-2, Class A, 1.06%, 9/15/2027 | 600,000 | 562,412 |
Series 2018-4, Class A, 4.06%, 11/15/2030 | 600,000 | 576,776 |
GM Financial Consumer Automobile Receivables Trust Series 2020-3, Class A4, 0.58%, 1/16/2026 | 472,539 | 466,206 |
Toyota Auto Receivables Owner Trust Series 2022-B, Class A3, 2.93%, 9/15/2026 | 553,243 | 543,059 |
United Airlines Pass-Through Trust | ||
Series 2014-1, Class A, 4.00%, 4/11/2026 | 517,399 | 497,594 |
Series 2020-1, Class A, 5.88%, 10/15/2027 | 179,691 | 180,767 |
Series 2016-2, Class AA, 2.88%, 10/7/2028 | 147,888 | 133,137 |
Series 2018-1, Class AA, 3.50%, 3/1/2030 | 197,483 | 180,163 |
Verizon Master Trust Series 2022-4, Class A, 3.40%, 11/20/2028 | 1,000,000 | 976,821 |
Total Asset-Backed Securities (Cost $8,210,236) | 8,173,982 | |
Municipal Bonds — 0.4% (i) | ||
Arizona — 0.0% ^ | ||
City of Tucson, Taxable Series 2021A, COP, AGM, 2.86%, 7/1/2047 | 865,000 | 621,678 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
California — 0.2% | ||
Bay Area Toll Authority, Toll Bridge | ||
Series 2010S-1, Rev., 6.92%, 4/1/2040 | 40,000 | 45,632 |
Series 2009F-2, Rev., 6.26%, 4/1/2049 | 100,000 | 113,666 |
California State University, Systemwide Series 2021B, Rev., 2.72%, 11/1/2052 | 1,070,000 | 715,602 |
East Bay Municipal Utility District, Water System Series 2010B, Rev., 5.87%, 6/1/2040 | 155,000 | 164,648 |
Golden State Tobacco Securitization Corp., Enhanced Tobacco Settlement Series 2021B, Rev., 3.29%, 6/1/2042 | 455,000 | 344,441 |
Los Angeles Unified School District, Build America Bonds | ||
Series 2009 KRY, GO, 5.75%, 7/1/2034 | 20,000 | 20,677 |
Series 2010RY, GO, 6.76%, 7/1/2034 | 105,000 | 115,106 |
Regents of the University of California, Medical Center Pooled | ||
Series 2010H, Rev., 6.55%, 5/15/2048 | 40,000 | 46,041 |
Series 2020N, Rev., 3.71%, 5/15/2120 | 140,000 | 95,839 |
State of California, Various Purpose | ||
GO, 7.50%, 4/1/2034 | 235,000 | 276,563 |
GO, 7.55%, 4/1/2039 | 1,400,000 | 1,701,078 |
Total California | 3,639,293 | |
Connecticut — 0.0% ^ | ||
State of Connecticut Series A, GO, 5.85%, 3/15/2032 | 75,000 | 78,118 |
Florida — 0.0% ^ | ||
State Board of Administration Finance Corp. Series 2020A, Rev., 2.15%, 7/1/2030 | 147,000 | 123,875 |
Georgia — 0.0% ^ | ||
Municipal Electric Authority of Georgia, Plant Vogtle Units 3 and 4 Project Series 2010A, Rev., 7.06%, 4/1/2057 | 48,000 | 52,064 |
Illinois — 0.0% ^ | ||
Chicago O'Hare International Airport, General Airport, Senior Lien Series 2018C, Rev., 4.47%, 1/1/2049 | 25,000 | 22,955 |
Metropolitan Water Reclamation District of Greater Chicago GO, 5.72%, 12/1/2038 | 55,000 | 57,827 |
Sales Tax Securitization Corp. Series 2019A, Rev., 4.64%, 1/1/2040 | 55,000 | 52,724 |
State of Illinois GO, 5.10%, 6/1/2033 | 410,000 | 403,882 |
Total Illinois | 537,388 |
68 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Nebraska — 0.0% ^ | ||
University of Nebraska Facilities Corp., University System Facilities Series 2019A, Rev., 3.04%, 10/1/2049 | 50,000 | 36,622 |
New Jersey — 0.0% ^ | ||
New Jersey Economic Development Authority, Pension Funding Series 1997A, Rev., NATL - RE, 7.43%, 2/15/2029 | 35,000 | 37,472 |
New Jersey Turnpike Authority Series 2009F, Rev., 7.41%, 1/1/2040 | 250,000 | 304,763 |
Total New Jersey | 342,235 | |
New York — 0.0% ^ | ||
Port Authority of New York and New Jersey, Consolidated Series 192, Rev., 4.81%, 10/15/2065 | 120,000 | 113,215 |
Ohio — 0.0% ^ | ||
American Municipal Power, Inc., Combined Hydroelectric Projects Series 2010A, Rev., 7.83%, 2/15/2041 | 25,000 | 30,389 |
Texas — 0.1% | ||
Dallas Area Rapid Transit, Sales Tax, Senior Lien Series 2021A, Rev., 2.61%, 12/1/2048 | 100,000 | 67,607 |
Grand Parkway Transportation Corp., System Toll Series 2020B, Rev., 3.24%, 10/1/2052 | 100,000 | 72,469 |
Permanent University Fund - Texas A&M University System Series 2017B, Rev., 3.66%, 7/1/2047 | 325,000 | 271,109 |
State of Texas, Transportation Commission Highway Improvement Series 2010A, GO, 4.68%, 4/1/2040 | 45,000 | 43,692 |
State of Texas, Transportation Commission Mobility Fund Series 2009A, GO, 5.52%, 4/1/2039 | 120,000 | 125,493 |
Texas Private Activity Bond Surface Transportation Corp., North Tarrant Express Managed Lanes Project, Mobility Partners LLC Series 2019B, Rev., 3.92%, 12/31/2049 | 300,000 | 243,679 |
Total Texas | 824,049 | |
Virginia — 0.1% | ||
University of Virginia Series 2020, Rev., 2.26%, 9/1/2050 | 1,120,000 | 679,310 |
Total Municipal Bonds (Cost $8,412,544) | 7,078,236 |
INVESTMENTS | SHARES | VALUE($) |
Short-Term Investments — 5.8% | ||
Investment Companies — 5.3% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (j) (k) (Cost $87,934,755) | 87,934,755 | 87,934,755 |
Investment of Cash Collateral from Securities Loaned — 0.5% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.48% (j) (k) | 4,992,646 | 4,994,144 |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (j) (k) | 2,800,792 | 2,800,792 |
Total Investment of Cash Collateral from Securities Loaned (Cost $7,795,436) | 7,794,936 | |
Total Short-Term Investments (Cost $95,730,191) | 95,729,691 | |
Total Investments — 105.4% (Cost $1,831,466,588) | 1,736,535,383 | |
Liabilities in Excess of Other Assets — (5.4)% | (88,675,509 ) | |
NET ASSETS — 100.0% | 1,647,859,874 |
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 |
NATL | Insured by National Public Finance Guarantee Corp. |
RE | Reinsured |
REIT | Real Estate Investment Trust |
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 |
^ | 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. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 69 |
(b) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2024. | |
(c) | The security or a portion of this security is on loan at February 29, 2024. The total value of securities on loan at February 29, 2024 is $7,495,969. | |
(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 29, 2024 is $518,679 or 0.03% of the Fund’s net assets as of February 29, 2024. | |
(e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 29, 2024. | |
(f) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2024. |
(g) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(h) | The rate shown is the effective yield as of February 29, 2024. | |
(i) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(j) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(k) | The rate shown is the current yield as of February 29, 2024. |
70 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — 99.6% | ||
U.S. Treasury Inflation Indexed Bonds | ||
1.75%, 1/15/2028 | 144,957 | 143,805 |
3.63%, 4/15/2028 | 149,827 | 159,468 |
2.50%, 1/15/2029 | 127,156 | 130,664 |
U.S. Treasury Inflation Indexed Notes | ||
0.25%, 1/15/2025 | 353,557 | 347,395 |
0.63%, 1/15/2026 | 339,522 | 330,181 |
0.38%, 1/15/2027 | 316,195 | 301,682 |
0.13%, 4/15/2027 | 374,815 | 353,268 |
0.38%, 7/15/2027 | 347,352 | 330,356 |
0.75%, 7/15/2028 | 295,726 | 282,278 |
U.S. Treasury Inflation Linked Bonds | ||
2.38%, 1/15/2025 | 239,218 | 239,306 |
2.00%, 1/15/2026 | 160,732 | 160,324 |
2.38%, 1/15/2027 | 146,023 | 147,399 |
U.S. Treasury Inflation Linked Notes | ||
0.50%, 4/15/2024 | 250,545 | 250,998 |
0.13%, 7/15/2024 | 387,558 | 387,749 |
0.13%, 10/15/2024 | 344,330 | 341,759 |
0.13%, 4/15/2025 | 280,262 | 273,317 |
0.38%, 7/15/2025 | 388,050 | 379,602 |
0.13%, 10/15/2025 | 358,207 | 347,675 |
0.13%, 4/15/2026 | 278,381 | 266,744 |
0.13%, 7/15/2026 | 339,120 | 324,973 |
0.13%, 10/15/2026 | 381,667 | 364,174 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
1.63%, 10/15/2027 | 376,922 | 373,588 |
0.50%, 1/15/2028 | 355,661 | 336,401 |
1.25%, 4/15/2028 | 371,226 | 360,548 |
2.38%, 10/15/2028 | 396,586 | 405,859 |
0.88%, 1/15/2029 | 252,683 | 240,600 |
Total U.S. Treasury Obligations (Cost $7,610,806) | 7,580,113 | |
SHARES | ||
Short-Term Investments — 0.2% | ||
Investment Companies — 0.2% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (a) (b) (Cost $14,206) | 14,204 | 14,211 |
Total Investments — 99.8% (Cost $7,625,012) | 7,594,324 | |
Other Assets Less Liabilities — 0.2% | 14,730 | |
NET ASSETS — 100.0% | 7,609,054 |
Percentages indicated are based on net assets. |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 71 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — 98.8% | ||
U.S. Treasury Bonds | ||
6.50%, 11/15/2026 | 32,000 | 33,664 |
6.63%, 2/15/2027 | 15,000 | 15,939 |
U.S. Treasury Notes | ||
1.75%, 3/15/2025 | 71,000 | 68,651 |
0.50%, 3/31/2025 | 14,000 | 13,343 |
2.63%, 3/31/2025 | 20,000 | 19,503 |
3.88%, 3/31/2025 | 33,000 | 32,611 |
2.63%, 4/15/2025 | 21,000 | 20,462 |
0.38%, 4/30/2025 | 52,000 | 49,337 |
2.88%, 4/30/2025 | 31,000 | 30,277 |
3.88%, 4/30/2025 | 52,000 | 51,368 |
2.13%, 5/15/2025 | 63,000 | 60,955 |
2.75%, 5/15/2025 | 56,000 | 54,583 |
0.25%, 5/31/2025 | 17,000 | 16,047 |
2.88%, 5/31/2025 | 28,000 | 27,316 |
4.25%, 5/31/2025 | 53,000 | 52,565 |
2.88%, 6/15/2025 | 55,000 | 53,612 |
0.25%, 6/30/2025 | 53,000 | 49,874 |
2.75%, 6/30/2025 | 43,000 | 41,846 |
4.63%, 6/30/2025 | 53,000 | 52,832 |
3.00%, 7/15/2025 | 54,000 | 52,677 |
0.25%, 7/31/2025 | 57,000 | 53,451 |
4.75%, 7/31/2025 | 52,000 | 51,933 |
2.00%, 8/15/2025 | 69,000 | 66,289 |
3.13%, 8/15/2025 | 41,000 | 40,031 |
0.25%, 8/31/2025 | 57,000 | 53,279 |
2.75%, 8/31/2025 | 28,000 | 27,168 |
5.00%, 8/31/2025 | 46,000 | 46,119 |
3.50%, 9/15/2025 | 51,000 | 50,018 |
0.25%, 9/30/2025 | 66,000 | 61,488 |
5.00%, 9/30/2025 | 93,000 | 93,298 |
4.25%, 10/15/2025 | 50,000 | 49,598 |
0.25%, 10/31/2025 | 86,000 | 79,852 |
3.00%, 10/31/2025 | 25,000 | 24,305 |
5.00%, 10/31/2025 | 101,000 | 101,379 |
2.25%, 11/15/2025 | 73,000 | 70,051 |
4.50%, 11/15/2025 | 50,000 | 49,809 |
0.38%, 11/30/2025 | 64,000 | 59,375 |
2.88%, 11/30/2025 | 33,000 | 31,988 |
4.88%, 11/30/2025 | 106,000 | 106,257 |
4.00%, 12/15/2025 | 51,000 | 50,376 |
0.38%, 12/31/2025 | 95,000 | 87,890 |
2.63%, 12/31/2025 | 27,000 | 26,033 |
4.25%, 12/31/2025 | 42,000 | 41,672 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
3.88%, 1/15/2026 | 50,000 | 49,285 |
0.38%, 1/31/2026 | 74,000 | 68,236 |
2.63%, 1/31/2026 | 32,000 | 30,824 |
4.25%, 1/31/2026 | 28,000 | 27,791 |
1.63%, 2/15/2026 | 53,000 | 50,037 |
4.00%, 2/15/2026 | 73,000 | 72,130 |
0.50%, 2/28/2026 | 58,000 | 53,473 |
4.63%, 3/15/2026 | 60,000 | 60,002 |
0.75%, 3/31/2026 | 28,000 | 25,889 |
2.25%, 3/31/2026 | 32,000 | 30,520 |
3.75%, 4/15/2026 | 50,000 | 49,150 |
0.75%, 4/30/2026 | 70,000 | 64,534 |
2.38%, 4/30/2026 | 24,000 | 22,918 |
1.63%, 5/15/2026 | 64,000 | 60,070 |
3.63%, 5/15/2026 | 50,000 | 49,012 |
0.75%, 5/31/2026 | 73,000 | 67,109 |
2.13%, 5/31/2026 | 31,000 | 29,399 |
4.13%, 6/15/2026 | 50,000 | 49,535 |
0.88%, 6/30/2026 | 17,000 | 15,642 |
1.88%, 6/30/2026 | 30,000 | 28,267 |
4.50%, 7/15/2026 | 10,000 | 9,993 |
0.63%, 7/31/2026 | 99,000 | 90,260 |
1.88%, 7/31/2026 | 30,000 | 28,202 |
1.50%, 8/15/2026 | 68,000 | 63,280 |
4.38%, 8/15/2026 | 53,000 | 52,824 |
0.75%, 8/31/2026 | 104,000 | 94,868 |
1.38%, 8/31/2026 | 29,000 | 26,877 |
4.63%, 9/15/2026 | 88,000 | 88,244 |
0.88%, 9/30/2026 | 103,000 | 94,068 |
4.63%, 10/15/2026 | 97,000 | 97,318 |
1.13%, 10/31/2026 | 102,000 | 93,485 |
1.63%, 10/31/2026 | 53,000 | 49,240 |
2.00%, 11/15/2026 | 47,000 | 44,083 |
4.63%, 11/15/2026 | 90,000 | 90,338 |
1.25%, 11/30/2026 | 100,000 | 91,773 |
4.38%, 12/15/2026 | 74,000 | 73,850 |
1.25%, 12/31/2026 | 94,000 | 86,124 |
1.75%, 12/31/2026 | 73,000 | 67,824 |
4.00%, 1/15/2027 | 19,000 | 18,777 |
1.50%, 1/31/2027 | 44,000 | 40,504 |
2.25%, 2/15/2027 | 10,000 | 9,402 |
4.13%, 2/15/2027 | 21,000 | 20,828 |
1.88%, 2/28/2027 | 16,000 | 14,865 |
Total U.S. Treasury Obligations (Cost $4,362,050) | 4,369,971 |
72 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | SHARES | VALUE($) |
Short-Term Investments — 0.3% | ||
Investment Companies — 0.3% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (a) (b) (Cost $12,559) | 12,553 | 12,560 |
Total Investments — 99.1% (Cost $4,374,609) | 4,382,531 | |
Other Assets Less Liabilities — 0.9% | 40,143 | |
NET ASSETS — 100.0% | 4,422,674 |
Percentages indicated are based on net assets. |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 73 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — 98.9% | ||
U.S. Treasury Bonds | ||
3.38%, 5/15/2044 | 522,000 | 441,314 |
3.13%, 8/15/2044 | 667,000 | 541,130 |
3.00%, 11/15/2044 | 584,000 | 463,185 |
2.50%, 2/15/2045 | 772,000 | 559,579 |
3.00%, 5/15/2045 | 383,000 | 302,839 |
2.88%, 8/15/2045 | 520,000 | 401,558 |
3.00%, 11/15/2045 | 305,000 | 240,342 |
2.50%, 2/15/2046 | 628,000 | 450,737 |
2.50%, 5/15/2046 | 631,000 | 451,633 |
2.25%, 8/15/2046 | 785,000 | 533,187 |
2.88%, 11/15/2046 | 354,000 | 270,838 |
3.00%, 2/15/2047 | 700,000 | 546,848 |
3.00%, 5/15/2047 | 538,000 | 419,871 |
2.75%, 8/15/2047 | 768,000 | 570,810 |
2.75%, 11/15/2047 | 770,000 | 571,334 |
3.00%, 2/15/2048 | 885,000 | 687,707 |
3.13%, 5/15/2048 | 950,000 | 754,842 |
3.00%, 8/15/2048 | 1,040,000 | 807,016 |
3.38%, 11/15/2048 | 1,066,000 | 885,655 |
3.00%, 2/15/2049 | 1,122,000 | 869,375 |
2.88%, 5/15/2049 | 1,098,000 | 830,234 |
2.25%, 8/15/2049 | 1,034,000 | 684,742 |
2.38%, 11/15/2049 | 968,000 | 658,807 |
2.00%, 2/15/2050 | 1,220,000 | 759,593 |
1.25%, 5/15/2050 | 1,418,000 | 720,189 |
1.38%, 8/15/2050 | 1,598,000 | 838,825 |
1.63%, 11/15/2050 | 1,581,000 | 887,892 |
1.88%, 2/15/2051 | 1,763,000 | 1,055,390 |
2.38%, 5/15/2051 | 1,776,000 | 1,198,453 |
2.00%, 8/15/2051 | 1,758,000 | 1,082,612 |
1.88%, 11/15/2051 | 1,636,000 | 974,698 |
2.25%, 2/15/2052 | 1,495,000 | 977,940 |
2.88%, 5/15/2052 | 1,423,000 | 1,071,475 |
3.00%, 8/15/2052 | 1,352,000 | 1,045,212 |
4.00%, 11/15/2052 | 1,356,000 | 1,269,661 |
3.63%, 2/15/2053 | 1,352,000 | 1,182,049 |
3.63%, 5/15/2053 | 1,352,000 | 1,182,895 |
4.13%, 8/15/2053 | 1,494,000 | 1,430,272 |
4.75%, 11/15/2053 | 1,566,000 | 1,666,077 |
4.25%, 2/15/2054 | 593,000 | 581,881 |
Total U.S. Treasury Obligations (Cost $33,105,953) | 30,868,697 |
INVESTMENTS | SHARES | VALUE($) |
Short-Term Investments — 0.0% ^ | ||
Investment Companies — 0.0% ^ | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (a) (b) (Cost $10,824) | 10,822 | 10,827 |
Total Investments — 98.9% (Cost $33,116,777) | 30,879,524 | |
Other Assets Less Liabilities — 1.1% | 345,898 | |
NET ASSETS — 100.0% | 31,225,422 |
Percentages indicated are based on net assets. |
^ | Amount rounds to less than 0.1% of net assets. | |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(b) | The rate shown is the current yield as of February 29, 2024. |
74 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — 99.0% | ||
U.S. Treasury Notes | ||
0.63%, 3/31/2027 | 3,000 | 2,677 |
2.50%, 3/31/2027 | 76,000 | 71,862 |
0.50%, 4/30/2027 | 79,000 | 69,992 |
2.75%, 4/30/2027 | 135,000 | 128,456 |
2.38%, 5/15/2027 | 6,000 | 5,640 |
0.50%, 5/31/2027 | 20,000 | 17,662 |
2.63%, 5/31/2027 | 77,000 | 72,885 |
0.50%, 6/30/2027 | 90,000 | 79,267 |
3.25%, 6/30/2027 | 53,000 | 51,155 |
0.38%, 7/31/2027 | 5,000 | 4,370 |
2.75%, 7/31/2027 | 38,000 | 36,047 |
2.25%, 8/15/2027 | 132,000 | 123,090 |
0.50%, 8/31/2027 | 127,000 | 111,204 |
3.13%, 8/31/2027 | 57,000 | 54,695 |
0.38%, 9/30/2027 | 9,000 | 7,822 |
4.13%, 9/30/2027 | 155,000 | 153,747 |
4.13%, 10/31/2027 | 154,000 | 152,737 |
0.63%, 11/30/2027 | 168,000 | 146,593 |
3.88%, 11/30/2027 | 155,000 | 152,427 |
0.63%, 12/31/2027 | 116,000 | 100,902 |
3.88%, 12/31/2027 | 64,000 | 62,930 |
0.75%, 1/31/2028 | 22,000 | 19,185 |
3.50%, 1/31/2028 | 126,000 | 122,215 |
2.75%, 2/15/2028 | 27,000 | 25,456 |
1.13%, 2/29/2028 | 64,000 | 56,537 |
4.00%, 2/29/2028 | 155,000 | 153,093 |
1.25%, 3/31/2028 | 2,000 | 1,772 |
3.63%, 3/31/2028 | 155,000 | 150,949 |
1.25%, 4/30/2028 | 196,000 | 173,253 |
3.50%, 4/30/2028 | 135,000 | 130,818 |
2.88%, 5/15/2028 | 79,000 | 74,646 |
1.25%, 5/31/2028 | 121,000 | 106,740 |
3.63%, 5/31/2028 | 144,000 | 140,181 |
1.25%, 6/30/2028 | 92,000 | 80,974 |
4.00%, 6/30/2028 | 1,000 | 988 |
1.00%, 7/31/2028 | 158,000 | 137,213 |
4.13%, 7/31/2028 | 2,000 | 1,986 |
2.88%, 8/15/2028 | 22,000 | 20,733 |
1.13%, 8/31/2028 | 187,000 | 162,938 |
4.38%, 8/31/2028 | 29,000 | 29,093 |
1.25%, 9/30/2028 | 158,000 | 138,170 |
4.63%, 9/30/2028 | 45,000 | 45,610 |
1.38%, 10/31/2028 | 20,000 | 17,562 |
4.88%, 10/31/2028 | 18,000 | 18,440 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
3.13%, 11/15/2028 | 44,000 | 41,831 |
1.50%, 11/30/2028 | 150,000 | 132,240 |
4.38%, 11/30/2028 | 45,000 | 45,190 |
1.38%, 12/31/2028 | 157,000 | 137,283 |
3.75%, 12/31/2028 | 169,000 | 165,158 |
1.75%, 1/31/2029 | 21,000 | 18,669 |
4.00%, 1/31/2029 | 185,000 | 182,861 |
2.63%, 2/15/2029 | 135,000 | 125,091 |
2.38%, 3/31/2029 | 90,000 | 82,248 |
2.88%, 4/30/2029 | 75,000 | 70,175 |
2.38%, 5/15/2029 | 104,000 | 94,863 |
2.75%, 5/31/2029 | 37,000 | 34,371 |
3.25%, 6/30/2029 | 77,000 | 73,246 |
2.63%, 7/31/2029 | 22,000 | 20,261 |
1.63%, 8/15/2029 | 136,000 | 118,968 |
3.13%, 8/31/2029 | 119,000 | 112,306 |
3.88%, 9/30/2029 | 115,000 | 112,691 |
4.00%, 10/31/2029 | 96,000 | 94,631 |
1.75%, 11/15/2029 | 59,000 | 51,752 |
3.88%, 11/30/2029 | 23,000 | 22,528 |
3.50%, 1/31/2030 | 27,000 | 25,904 |
1.50%, 2/15/2030 | 74,000 | 63,305 |
4.00%, 2/28/2030 | 134,000 | 131,985 |
3.63%, 3/31/2030 | 113,000 | 109,045 |
3.50%, 4/30/2030 | 88,000 | 84,301 |
0.63%, 5/15/2030 | 177,000 | 142,091 |
3.75%, 5/31/2030 | 60,000 | 58,254 |
3.75%, 6/30/2030 | 3,000 | 2,912 |
4.00%, 7/31/2030 | 22,000 | 21,653 |
0.63%, 8/15/2030 | 84,000 | 66,872 |
4.13%, 8/31/2030 | 42,000 | 41,621 |
4.63%, 9/30/2030 | 107,000 | 109,081 |
0.88%, 11/15/2030 | 187,000 | 150,513 |
3.75%, 12/31/2030 | 135,000 | 130,823 |
4.00%, 1/31/2031 | 152,000 | 149,530 |
1.13%, 2/15/2031 | 206,000 | 167,979 |
1.63%, 5/15/2031 | 161,000 | 134,907 |
1.25%, 8/15/2031 | 219,000 | 177,270 |
1.38%, 11/15/2031 | 151,000 | 122,564 |
1.88%, 2/15/2032 | 191,000 | 160,388 |
2.88%, 5/15/2032 | 165,000 | 149,132 |
2.75%, 8/15/2032 | 205,000 | 183,019 |
4.13%, 11/15/2032 | 114,000 | 112,793 |
3.50%, 2/15/2033 | 178,000 | 167,911 |
3.38%, 5/15/2033 | 129,000 | 120,343 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 75 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — continued | ||
3.88%, 8/15/2033 | 165,000 | 160,076 |
4.50%, 11/15/2033 | 224,000 | 228,235 |
4.00%, 2/15/2034 | 75,000 | 73,535 |
Total U.S. Treasury Obligations (Cost $8,497,295) | 8,397,117 | |
SHARES | ||
Short-Term Investments — 0.2% | ||
Investment Companies — 0.2% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (a) (b) (Cost $15,758) | 15,751 | 15,759 |
Total Investments — 99.2% (Cost $8,513,053) | 8,412,876 | |
Other Assets Less Liabilities — 0.8% | 66,409 | |
NET ASSETS — 100.0% | 8,479,285 |
Percentages indicated are based on net assets. |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
76 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 97.9% | ||
Aerospace & Defense — 2.1% | ||
Bombardier, Inc. (Canada) | ||
7.13%, 6/15/2026 (a) | 1,087,000 | 1,096,103 |
7.88%, 4/15/2027 (a) | 1,529,000 | 1,530,951 |
6.00%, 2/15/2028 (a) | 693,000 | 672,747 |
7.50%, 2/1/2029 (a) | 633,000 | 642,049 |
BWX Technologies, Inc. | ||
4.13%, 6/30/2028 (a) | 461,000 | 428,781 |
4.13%, 4/15/2029 (a) | 472,000 | 438,021 |
Moog, Inc. 4.25%, 12/15/2027 (a) | 423,000 | 395,865 |
Rolls-Royce plc (United Kingdom) 5.75%, 10/15/2027 (a) | 900,000 | 895,586 |
Spirit AeroSystems, Inc. | ||
3.85%, 6/15/2026 | 468,000 | 444,828 |
4.60%, 6/15/2028 | 943,000 | 827,784 |
9.38%, 11/30/2029 (a) | 1,049,000 | 1,134,340 |
TransDigm, Inc. | ||
5.50%, 11/15/2027 | 2,494,000 | 2,408,128 |
6.75%, 8/15/2028 (a) | 423,000 | 428,057 |
4.63%, 1/15/2029 | 77,000 | 70,610 |
4.88%, 5/1/2029 | 1,137,000 | 1,044,370 |
6.88%, 12/15/2030 (a) | 1,695,000 | 1,715,187 |
7.13%, 12/1/2031 (a) | 1,265,000 | 1,297,662 |
Triumph Group, Inc. | ||
7.75%, 8/15/2025 | 722,000 | 720,484 |
9.00%, 3/15/2028 (a) | 205,000 | 214,294 |
16,405,847 | ||
Air Freight & Logistics — 0.1% | ||
Cargo Aircraft Management, Inc. 4.75%, 2/1/2028 (a) | 787,000 | 696,101 |
Rand Parent LLC 8.50%, 2/15/2030 (a) | 184,000 | 178,695 |
874,796 | ||
Automobile Components — 2.4% | ||
Adient Global Holdings Ltd. | ||
4.88%, 8/15/2026 (a) | 350,000 | 339,242 |
7.00%, 4/15/2028 (a) | 775,000 | 790,111 |
8.25%, 4/15/2031 (a) | 327,000 | 344,279 |
Allison Transmission, Inc. | ||
5.88%, 6/1/2029 (a) | 864,000 | 851,061 |
3.75%, 1/30/2031 (a) | 530,000 | 457,965 |
American Axle & Manufacturing, Inc. | ||
6.50%, 4/1/2027 | 529,000 | 522,507 |
6.88%, 7/1/2028 | 26,000 | 25,124 |
5.00%, 10/1/2029 | 718,000 | 622,565 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Automobile Components — continued | ||
Clarios Global LP | ||
6.75%, 5/15/2025 (a) | 422,000 | 421,709 |
6.25%, 5/15/2026 (a) | 171,000 | 170,536 |
8.50%, 5/15/2027 (a) | 1,275,000 | 1,281,607 |
6.75%, 5/15/2028 (a) | 718,000 | 726,691 |
Dana, Inc. | ||
5.38%, 11/15/2027 | 472,000 | 455,612 |
5.63%, 6/15/2028 | 256,000 | 247,815 |
4.50%, 2/15/2032 | 316,000 | 265,412 |
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (a) | 355,000 | 318,650 |
Goodyear Tire & Rubber Co. (The) | ||
5.00%, 5/31/2026 | 877,000 | 854,028 |
4.88%, 3/15/2027 | 873,000 | 837,876 |
5.00%, 7/15/2029 | 411,000 | 378,299 |
5.25%, 4/30/2031 | 532,000 | 481,802 |
5.63%, 4/30/2033 | 788,000 | 704,593 |
Icahn Enterprises LP | ||
6.38%, 12/15/2025 | 703,000 | 696,866 |
6.25%, 5/15/2026 | 1,237,000 | 1,205,384 |
5.25%, 5/15/2027 | 1,184,000 | 1,087,445 |
IHO Verwaltungs GmbH (Germany) | ||
4.75% (Cash), 9/15/2026 (a) (b) | 501,000 | 481,713 |
6.37% (Cash), 5/15/2029 (a) (b) | 593,000 | 584,476 |
JB Poindexter & Co., Inc. 8.75%, 12/15/2031 (a) | 378,000 | 387,239 |
Patrick Industries, Inc. | ||
7.50%, 10/15/2027 (a) | 144,000 | 144,540 |
4.75%, 5/1/2029 (a) | 437,000 | 399,916 |
Real Hero Merger Sub 2, Inc. 6.25%, 2/1/2029 (a) | 721,000 | 627,270 |
Tenneco, Inc. 8.00%, 11/17/2028 (a) | 1,225,000 | 1,116,281 |
ZF North America Capital, Inc. (Germany) | ||
4.75%, 4/29/2025 (a) | 1,137,000 | 1,119,700 |
6.88%, 4/14/2028 (a) | 453,000 | 462,518 |
19,410,832 | ||
Automobiles — 0.5% | ||
Aston Martin Capital Holdings Ltd. (Jersey) 10.50%, 11/30/2025 (a) | 837,000 | 848,512 |
Jaguar Land Rover Automotive plc (United Kingdom) | ||
7.75%, 10/15/2025 (a) | 419,000 | 422,720 |
4.50%, 10/1/2027 (a) | 211,000 | 198,564 |
5.88%, 1/15/2028 (a) | 273,000 | 268,814 |
5.50%, 7/15/2029 (a) | 350,000 | 336,505 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 77 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Automobiles — continued | ||
Mclaren Finance plc (United Kingdom) 7.50%, 8/1/2026 (a) | 454,000 | 394,980 |
PM General Purchaser LLC 9.50%, 10/1/2028 (a) | 607,000 | 613,162 |
Thor Industries, Inc. 4.00%, 10/15/2029 (a) | 366,000 | 323,910 |
Winnebago Industries, Inc. 6.25%, 7/15/2028 (a) | 291,000 | 286,408 |
3,693,575 | ||
Banks — 0.7% | ||
Banc of California (3-MONTH CME TERM SOFR + 2.52%), 3.25%, 5/1/2031 (c) | 543,000 | 482,591 |
Intesa Sanpaolo SpA (Italy) | ||
5.71%, 1/15/2026 (a) | 982,000 | 973,034 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.60%), 4.20%, 6/1/2032 (a) (c) | 338,000 | 277,246 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (a) (c) | 885,000 | 638,385 |
Popular, Inc. (Puerto Rico) 7.25%, 3/13/2028 | 340,000 | 344,737 |
Standard Chartered plc (United Kingdom) (3-MONTH SOFR + 1.46%), 7.01%, 7/30/2037 (a) (c) (d) (e) | 600,000 | 612,678 |
UniCredit SpA (Italy) | ||
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (a) (c) | 946,000 | 916,876 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 5.46%, 6/30/2035 (a) (c) | 1,186,000 | 1,095,888 |
Western Alliance Bancorp (3-MONTH CME TERM SOFR + 2.25%), 3.00%, 6/15/2031 (c) | 719,000 | 630,563 |
5,971,998 | ||
Beverages — 0.1% | ||
Primo Water Holdings, Inc. (Canada) 4.38%, 4/30/2029 (a) | 151,000 | 136,995 |
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a) | 685,000 | 597,991 |
734,986 | ||
Biotechnology — 0.1% | ||
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) | 473,000 | 191,561 |
Grifols SA (Spain) 4.75%, 10/15/2028 (a) | 740,000 | 616,272 |
807,833 | ||
Broadline Retail — 1.3% | ||
ANGI Group LLC 3.88%, 8/15/2028 (a) | 591,000 | 507,904 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Broadline Retail — continued | ||
Go Daddy Operating Co. LLC 3.50%, 3/1/2029 (a) | 902,000 | 803,120 |
GrubHub Holdings, Inc. 5.50%, 7/1/2027 (a) | 768,000 | 669,535 |
Kohl's Corp. 4.62%, 5/1/2031 (f) | 871,000 | 685,912 |
Macy's Retail Holdings LLC | ||
5.88%, 4/1/2029 (a) | 617,000 | 594,214 |
5.88%, 3/15/2030 (a) | 5,000 | 4,688 |
4.50%, 12/15/2034 | 732,000 | 602,985 |
4.30%, 2/15/2043 | 268,000 | 199,660 |
Match Group Holdings II LLC | ||
5.00%, 12/15/2027 (a) | 553,000 | 527,464 |
4.63%, 6/1/2028 (a) | 284,000 | 267,008 |
5.63%, 2/15/2029 (a) | 233,000 | 223,680 |
4.13%, 8/1/2030 (a) | 515,000 | 454,966 |
3.63%, 10/1/2031 (a) | 303,000 | 255,278 |
Millennium Escrow Corp. 6.63%, 8/1/2026 (a) | 673,000 | 401,488 |
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a) | 796,000 | 780,747 |
Nordstrom, Inc. | ||
4.00%, 3/15/2027 | 470,000 | 440,625 |
6.95%, 3/15/2028 | 33,000 | 33,330 |
4.38%, 4/1/2030 | 505,000 | 446,167 |
4.25%, 8/1/2031 | 203,000 | 170,829 |
5.00%, 1/15/2044 | 501,000 | 357,965 |
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a) | 259,000 | 116,550 |
QVC, Inc. | ||
4.45%, 2/15/2025 | 156,000 | 151,409 |
4.75%, 2/15/2027 | 1,138,000 | 1,025,567 |
5.95%, 3/15/2043 | 450,000 | 309,722 |
Rakuten Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.96%), 6.25%, 4/22/2031 (a) (c) (d) (e) | 814,000 | 582,010 |
10,612,823 | ||
Building Products — 1.7% | ||
ACProducts Holdings, Inc. 6.38%, 5/15/2029 (a) | 480,000 | 367,200 |
Advanced Drainage Systems, Inc. | ||
5.00%, 9/30/2027 (a) | 214,000 | 206,743 |
6.38%, 6/15/2030 (a) | 508,000 | 507,983 |
AmeriTex HoldCo Intermediate LLC 10.25%, 10/15/2028 (a) | 545,000 | 570,888 |
Builders FirstSource, Inc. | ||
5.00%, 3/1/2030 (a) | 1,065,000 | 1,005,655 |
4.25%, 2/1/2032 (a) | 164,000 | 144,095 |
78 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Building Products — continued | ||
Camelot Return Merger Sub, Inc. 8.75%, 8/1/2028 (a) | 629,000 | 645,511 |
CP Atlas Buyer, Inc. 7.00%, 12/1/2028 (a) | 548,000 | 489,821 |
Eco Material Technologies, Inc. 7.88%, 1/31/2027 (a) | 360,000 | 359,195 |
EMRLD Borrower LP 6.63%, 12/15/2030 (a) | 1,085,000 | 1,088,797 |
Griffon Corp. 5.75%, 3/1/2028 | 878,000 | 849,465 |
James Hardie International Finance DAC 5.00%, 1/15/2028 (a) | 300,000 | 289,302 |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | 512,000 | 487,040 |
Masonite International Corp. | ||
5.38%, 2/1/2028 (a) | 133,000 | 132,501 |
3.50%, 2/15/2030 (a) | 398,000 | 351,278 |
MIWD Holdco II LLC 5.50%, 2/1/2030 (a) | 470,000 | 428,848 |
New Enterprise Stone & Lime Co., Inc. 5.25%, 7/15/2028 (a) | 663,000 | 631,768 |
Oscar AcquisitionCo LLC 9.50%, 4/15/2030 (a) | 379,000 | 368,590 |
PGT Innovations, Inc. 4.38%, 10/1/2029 (a) | 380,000 | 382,552 |
Smyrna Ready Mix Concrete LLC 8.88%, 11/15/2031 (a) | 906,000 | 960,164 |
Standard Industries, Inc. | ||
5.00%, 2/15/2027 (a) | 590,000 | 568,050 |
4.75%, 1/15/2028 (a) | 1,220,000 | 1,150,994 |
3.38%, 1/15/2031 (a) | 1,296,000 | 1,073,862 |
Summit Materials LLC | ||
6.50%, 3/15/2027 (a) | 439,000 | 439,000 |
7.25%, 1/15/2031 (a) | 400,000 | 415,081 |
13,914,383 | ||
Capital Markets — 0.9% | ||
AG TTMT Escrow Issuer LLC 8.63%, 9/30/2027 (a) | 964,000 | 992,281 |
Aretec Group, Inc. 7.50%, 4/1/2029 (a) | 137,000 | 125,860 |
Brightsphere Investment Group, Inc. 4.80%, 7/27/2026 | 318,000 | 302,542 |
Coinbase Global, Inc. 3.38%, 10/1/2028 (a) | 1,238,000 | 1,045,678 |
Compass Group Diversified Holdings LLC | ||
5.25%, 4/15/2029 (a) | 970,000 | 911,493 |
5.00%, 1/15/2032 (a) | 170,000 | 148,772 |
Dresdner Funding Trust I 8.15%, 6/30/2031 (a) | 700,000 | 770,875 |
HAT Holdings I LLC | ||
6.00%, 4/15/2025 (a) | 520,000 | 514,716 |
3.38%, 6/15/2026 (a) | 753,000 | 704,118 |
8.00%, 6/15/2027 (a) | 50,000 | 51,916 |
3.75%, 9/15/2030 (a) | 464,000 | 381,743 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Capital Markets — continued | ||
Jane Street Group 4.50%, 11/15/2029 (a) | 687,000 | 632,170 |
Osaic Holdings, Inc. 10.75%, 8/1/2027 (a) | 10,000 | 10,389 |
StoneX Group, Inc. 8.63%, 6/15/2025 (a) | 591,000 | 594,670 |
7,187,223 | ||
Chemicals — 2.7% | ||
Ashland, Inc. | ||
3.38%, 9/1/2031 (a) | 661,000 | 553,778 |
6.88%, 5/15/2043 | 96,000 | 99,121 |
ASP Unifrax Holdings, Inc. | ||
5.25%, 9/30/2028 (a) | 607,000 | 384,902 |
7.50%, 9/30/2029 (a) | 389,000 | 212,270 |
Avient Corp. | ||
5.75%, 5/15/2025 (a) | 237,000 | 235,614 |
7.13%, 8/1/2030 (a) | 726,000 | 741,907 |
Axalta Coating Systems LLC 4.75%, 6/15/2027 (a) | 1,024,000 | 988,626 |
Cerdia Finanz GmbH (Germany) 10.50%, 2/15/2027 (a) | 248,000 | 255,118 |
Chemours Co. (The) | ||
5.38%, 5/15/2027 | 143,000 | 130,629 |
5.75%, 11/15/2028 (a) | 906,000 | 794,605 |
4.63%, 11/15/2029 (a) | 598,000 | 491,722 |
CVR Partners LP 6.13%, 6/15/2028 (a) | 426,000 | 402,817 |
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | 903,000 | 818,412 |
FXI Holdings, Inc. 12.25%, 11/15/2026 (a) | 508,000 | 497,840 |
GPD Cos., Inc. 10.13%, 4/1/2026 (a) | 550,000 | 505,825 |
HB Fuller Co. 4.00%, 2/15/2027 | 507,000 | 482,033 |
INEOS Finance plc (Luxembourg) 6.75%, 5/15/2028 (a) | 619,000 | 605,320 |
Ingevity Corp. 3.88%, 11/1/2028 (a) | 114,000 | 100,605 |
LSB Industries, Inc. 6.25%, 10/15/2028 (a) | 777,000 | 736,806 |
Mativ Holdings, Inc. 6.88%, 10/1/2026 (a) | 531,000 | 514,406 |
Methanex Corp. (Canada) | ||
5.13%, 10/15/2027 | 265,000 | 254,681 |
5.25%, 12/15/2029 | 1,012,000 | 962,234 |
5.65%, 12/1/2044 | 110,000 | 93,229 |
NOVA Chemicals Corp. (Canada) | ||
5.00%, 5/1/2025 (a) | 769,000 | 750,979 |
5.25%, 6/1/2027 (a) | 465,000 | 430,689 |
4.25%, 5/15/2029 (a) | 1,023,000 | 846,166 |
Nufarm Australia Ltd. (Australia) 5.00%, 1/27/2030 (a) | 354,000 | 324,643 |
Olin Corp. | ||
5.13%, 9/15/2027 | 456,000 | 442,229 |
5.63%, 8/1/2029 | 799,000 | 781,718 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 79 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Chemicals — continued | ||
5.00%, 2/1/2030 | 213,000 | 199,076 |
Olympus Water US Holding Corp. | ||
4.25%, 10/1/2028 (a) | 680,000 | 608,940 |
9.75%, 11/15/2028 (a) | 453,000 | 481,334 |
6.25%, 10/1/2029 (a) | 75,000 | 66,525 |
Polar US Borrower LLC 6.75%, 5/15/2026 (a) | 424,000 | 97,520 |
Rain Carbon, Inc. 12.25%, 9/1/2029 (a) | 179,000 | 179,023 |
Rain CII Carbon LLC 7.25%, 4/1/2025 (a) | 8,000 | 7,790 |
Rayonier AM Products, Inc. 7.63%, 1/15/2026 (a) | 631,000 | 563,048 |
SCIH Salt Holdings, Inc. | ||
4.88%, 5/1/2028 (a) | 542,000 | 495,252 |
6.63%, 5/1/2029 (a) | 403,000 | 366,431 |
SCIL IV LLC 5.38%, 11/1/2026 (a) | 631,000 | 611,382 |
Scotts Miracle-Gro Co. (The) | ||
4.50%, 10/15/2029 | 151,000 | 134,013 |
4.00%, 4/1/2031 | 287,000 | 243,439 |
4.38%, 2/1/2032 | 912,000 | 762,628 |
SK Invictus Intermediate II SARL 5.00%, 10/30/2029 (a) | 539,000 | 457,609 |
Trinseo Materials Operating SCA 5.13%, 4/1/2029 (a) | 310,000 | 117,699 |
Tronox, Inc. 4.63%, 3/15/2029 (a) | 741,000 | 655,882 |
Vibrantz Technologies, Inc. 9.00%, 2/15/2030 (a) | 443,000 | 407,560 |
WR Grace Holdings LLC 5.63%, 8/15/2029 (a) | 1,269,000 | 1,112,819 |
22,006,894 | ||
Commercial Services & Supplies — 3.0% | ||
ACCO Brands Corp. 4.25%, 3/15/2029 (a) | 415,000 | 367,910 |
ADT Security Corp. (The) | ||
4.13%, 8/1/2029 (a) | 591,000 | 534,116 |
4.88%, 7/15/2032 (a) | 945,000 | 850,500 |
Allied Universal Holdco LLC | ||
6.63%, 7/15/2026 (a) | 723,000 | 720,810 |
9.75%, 7/15/2027 (a) | 796,000 | 793,231 |
4.63%, 6/1/2028 (a) | 1,247,000 | 1,105,950 |
6.00%, 6/1/2029 (a) | 209,000 | 173,048 |
APi Group DE, Inc. | ||
4.13%, 7/15/2029 (a) | 5,000 | 4,500 |
4.75%, 10/15/2029 (a) | 60,000 | 55,650 |
Aptim Corp. 7.75%, 6/15/2025 (a) | 13,000 | 12,482 |
APX Group, Inc. 5.75%, 7/15/2029 (a) | 787,000 | 748,383 |
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | 436,000 | 417,829 |
Brink's Co. (The) 4.63%, 10/15/2027 (a) | 432,000 | 408,237 |
Cimpress plc (Ireland) 7.00%, 6/15/2026 | 421,000 | 419,173 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Services & Supplies — continued | ||
Clean Harbors, Inc. | ||
4.88%, 7/15/2027 (a) | 127,000 | 122,536 |
6.38%, 2/1/2031 (a) | 654,000 | 650,161 |
CoreCivic, Inc. 8.25%, 4/15/2026 | 568,000 | 580,451 |
Covanta Holding Corp. 5.00%, 9/1/2030 | 102,000 | 88,485 |
Deluxe Corp. 8.00%, 6/1/2029 (a) | 628,000 | 547,930 |
Enviri Corp. 5.75%, 7/31/2027 (a) | 357,000 | 333,595 |
Garda World Security Corp. (Canada) | ||
4.63%, 2/15/2027 (a) | 26,000 | 24,834 |
9.50%, 11/1/2027 (a) | 418,000 | 419,586 |
7.75%, 2/15/2028 (a) | 467,000 | 474,268 |
6.00%, 6/1/2029 (a) | 552,000 | 483,097 |
GEO Group, Inc. (The) 10.50%, 6/30/2028 | 301,000 | 306,722 |
GFL Environmental, Inc. (Canada) | ||
4.25%, 6/1/2025 (a) | 387,000 | 380,162 |
5.13%, 12/15/2026 (a) | 1,085,000 | 1,061,297 |
4.75%, 6/15/2029 (a) | 580,000 | 543,075 |
6.75%, 1/15/2031 (a) | 1,409,000 | 1,441,211 |
Interface, Inc. 5.50%, 12/1/2028 (a) | 547,000 | 513,013 |
Madison IAQ LLC | ||
4.13%, 6/30/2028 (a) | 887,000 | 808,020 |
5.88%, 6/30/2029 (a) | 591,000 | 527,669 |
Neptune Bidco US, Inc. 9.29%, 4/15/2029 (a) | 1,904,000 | 1,791,620 |
Pitney Bowes, Inc. | ||
6.88%, 3/15/2027 (a) | 611,000 | 548,372 |
7.25%, 3/15/2029 (a) | 171,000 | 148,069 |
Prime Security Services Borrower LLC | ||
5.75%, 4/15/2026 (a) | 1,417,000 | 1,406,284 |
6.25%, 1/15/2028 (a) | 1,207,000 | 1,190,927 |
Steelcase, Inc. 5.13%, 1/18/2029 | 376,000 | 353,944 |
Vericast Corp. 11.00%, 9/15/2026 (a) | 911,000 | 955,612 |
Waste Pro USA, Inc. 5.50%, 2/15/2026 (a) | 540,000 | 529,200 |
Williams Scotsman, Inc. | ||
6.13%, 6/15/2025 (a) | 371,000 | 370,299 |
4.63%, 8/15/2028 (a) | 420,000 | 394,388 |
7.38%, 10/1/2031 (a) | 566,000 | 587,140 |
24,193,786 | ||
Communications Equipment — 0.6% | ||
CommScope Technologies LLC 6.00%, 6/15/2025 (a) | 273,000 | 222,495 |
CommScope, Inc. | ||
6.00%, 3/1/2026 (a) | 1,693,000 | 1,523,700 |
8.25%, 3/1/2027 (a) | 1,134,000 | 496,556 |
4.75%, 9/1/2029 (a) | 951,000 | 651,435 |
80 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Communications Equipment — continued | ||
Viasat, Inc. | ||
5.63%, 4/15/2027 (a) | 1,117,000 | 1,048,584 |
6.50%, 7/15/2028 (a) | 695,000 | 514,911 |
Viavi Solutions, Inc. 3.75%, 10/1/2029 (a) | 556,000 | 483,503 |
4,941,184 | ||
Construction & Engineering — 0.8% | ||
AECOM 5.13%, 3/15/2027 | 654,000 | 640,630 |
Arcosa, Inc. 4.38%, 4/15/2029 (a) | 140,000 | 129,220 |
ATP Tower Holdings LLC (Chile) 4.05%, 4/27/2026 (a) | 277,000 | 256,779 |
Brand Industrial Services, Inc. 10.38%, 8/1/2030 (a) | 1,084,000 | 1,152,754 |
Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026 (a) | 614,000 | 605,860 |
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | 711,000 | 654,285 |
Fluor Corp. 4.25%, 9/15/2028 | 232,000 | 219,309 |
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | 159,000 | 143,811 |
INNOVATE Corp. 8.50%, 2/1/2026 (a) | 139,000 | 103,555 |
Pike Corp. | ||
5.50%, 9/1/2028 (a) | 1,061,000 | 1,006,428 |
8.63%, 1/31/2031 (a) | 13,000 | 13,729 |
Railworks Holdings LP 8.25%, 11/15/2028 (a) | 309,000 | 306,916 |
Tutor Perini Corp. 6.88%, 5/1/2025 (a) | 345,000 | 341,119 |
VM Consolidated, Inc. 5.50%, 4/15/2029 (a) | 215,000 | 202,627 |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | 364,000 | 337,825 |
6,114,847 | ||
Consumer Finance — 2.1% | ||
Ally Financial, Inc. | ||
5.75%, 11/20/2025 | 1,001,000 | 996,010 |
6.70%, 2/14/2033 | 379,000 | 373,426 |
Bread Financial Holdings, Inc. 9.75%, 3/15/2029 (a) | 925,000 | 946,044 |
Cobra AcquisitionCo LLC 6.38%, 11/1/2029 (a) | 101,000 | 82,875 |
Credit Acceptance Corp. 6.63%, 3/15/2026 | 993,000 | 989,376 |
Curo Group Holdings Corp. 7.50%, 8/1/2028 (a) | 1,082,000 | 167,700 |
Enova International, Inc. 8.50%, 9/15/2025 (a) | 237,000 | 234,733 |
Finance of America Funding LLC 7.88%, 11/15/2025 (a) | 66,000 | 52,060 |
FirstCash, Inc. | ||
4.63%, 9/1/2028 (a) | 233,000 | 215,511 |
5.63%, 1/1/2030 (a) | 1,180,000 | 1,117,799 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Consumer Finance — continued | ||
GGAM Finance Ltd. (Ireland) 8.00%, 2/15/2027 (a) | 1,153,000 | 1,181,792 |
goeasy Ltd. (Canada) 4.38%, 5/1/2026 (a) | 118,000 | 112,881 |
LFS Topco LLC 5.88%, 10/15/2026 (a) | 414,000 | 382,707 |
Macquarie Airfinance Holdings Ltd. (United Kingdom) | ||
8.38%, 5/1/2028 (a) | 31,000 | 32,472 |
8.13%, 3/30/2029 (a) | 28,000 | 29,113 |
Navient Corp. | ||
5.88%, 10/25/2024 | 824,000 | 822,057 |
6.75%, 6/25/2025 | 471,000 | 473,800 |
6.75%, 6/15/2026 | 200,000 | 200,811 |
5.00%, 3/15/2027 | 528,000 | 500,535 |
4.88%, 3/15/2028 | 70,000 | 63,898 |
5.50%, 3/15/2029 | 44,000 | 39,816 |
9.38%, 7/25/2030 | 23,000 | 24,036 |
5.63%, 8/1/2033 | 352,000 | 286,789 |
OneMain Finance Corp. | ||
6.88%, 3/15/2025 | 185,000 | 186,850 |
7.13%, 3/15/2026 | 1,314,000 | 1,335,342 |
3.50%, 1/15/2027 | 1,334,000 | 1,227,912 |
3.88%, 9/15/2028 | 986,000 | 861,462 |
9.00%, 1/15/2029 | 209,000 | 219,500 |
5.38%, 11/15/2029 | 241,000 | 223,633 |
4.00%, 9/15/2030 | 1,323,000 | 1,114,537 |
PRA Group, Inc. | ||
7.38%, 9/1/2025 (a) | 58,000 | 57,894 |
8.38%, 2/1/2028 (a) | 188,000 | 183,770 |
5.00%, 10/1/2029 (a) | 511,000 | 427,911 |
PROG Holdings, Inc. 6.00%, 11/15/2029 (a) | 710,000 | 652,579 |
Synchrony Financial 7.25%, 2/2/2033 | 748,000 | 727,069 |
World Acceptance Corp. 7.00%, 11/1/2026 (a) | 195,000 | 180,375 |
16,725,075 | ||
Consumer Staples Distribution & Retail — 1.0% | ||
Albertsons Cos., Inc. | ||
4.63%, 1/15/2027 (a) | 1,295,000 | 1,248,434 |
5.88%, 2/15/2028 (a) | 707,000 | 696,754 |
3.50%, 3/15/2029 (a) | 1,735,000 | 1,545,811 |
4.88%, 2/15/2030 (a) | 947,000 | 888,952 |
C&S Group Enterprises LLC 5.00%, 12/15/2028 (a) | 649,000 | 514,154 |
Performance Food Group, Inc. | ||
6.88%, 5/1/2025 (a) | 89,000 | 89,230 |
5.50%, 10/15/2027 (a) | 650,000 | 636,566 |
4.25%, 8/1/2029 (a) | 779,000 | 706,984 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 81 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Consumer Staples Distribution & Retail — continued | ||
Rite Aid Corp. 8.00%, 11/15/2026 (a) (g) | 357,000 | 257,933 |
Safeway, Inc. 7.25%, 2/1/2031 | 485,000 | 514,600 |
United Natural Foods, Inc. 6.75%, 10/15/2028 (a) | 112,000 | 93,266 |
US Foods, Inc. | ||
4.75%, 2/15/2029 (a) | 651,000 | 611,139 |
4.63%, 6/1/2030 (a) | 448,000 | 410,509 |
7.25%, 1/15/2032 (a) | 40,000 | 41,296 |
8,255,628 | ||
Containers & Packaging — 2.8% | ||
ARD Finance SA (Luxembourg) 6.50% (Cash), 6/30/2027 (a) (b) | 702,000 | 300,105 |
Ardagh Metal Packaging Finance USA LLC | ||
3.25%, 9/1/2028 (a) | 1,147,000 | 994,047 |
4.00%, 9/1/2029 (a) | 637,000 | 517,347 |
Ardagh Packaging Finance plc | ||
5.25%, 4/30/2025 (a) | 1,181,000 | 1,168,622 |
4.13%, 8/15/2026 (a) | 800,000 | 738,032 |
5.25%, 8/15/2027 (a) | 532,000 | 385,727 |
Ball Corp. | ||
5.25%, 7/1/2025 | 176,000 | 175,903 |
4.88%, 3/15/2026 | 809,000 | 799,298 |
2.88%, 8/15/2030 | 1,764,000 | 1,493,506 |
3.13%, 9/15/2031 | 966,000 | 813,813 |
Berry Global, Inc. 5.63%, 7/15/2027 (a) | 245,000 | 241,547 |
Cascades, Inc. (Canada) 5.38%, 1/15/2028 (a) | 581,000 | 561,631 |
Clydesdale Acquisition Holdings, Inc. | ||
6.63%, 4/15/2029 (a) | 535,000 | 531,909 |
8.75%, 4/15/2030 (a) | 696,000 | 662,490 |
Crown Americas LLC | ||
4.75%, 2/1/2026 | 961,000 | 940,195 |
5.25%, 4/1/2030 | 429,000 | 413,213 |
Crown Cork & Seal Co., Inc. 7.38%, 12/15/2026 | 333,000 | 350,589 |
Graham Packaging Co., Inc. 7.13%, 8/15/2028 (a) | 564,000 | 499,868 |
Graphic Packaging International LLC | ||
4.75%, 7/15/2027 (a) | 274,000 | 265,026 |
3.50%, 3/15/2028 (a) | 417,000 | 381,329 |
3.50%, 3/1/2029 (a) | 393,000 | 350,362 |
3.75%, 2/1/2030 (a) | 302,000 | 268,729 |
Iris Holding, Inc. 10.00%, 12/15/2028 (a) | 42,000 | 36,403 |
LABL, Inc. | ||
6.75%, 7/15/2026 (a) | 644,000 | 624,581 |
10.50%, 7/15/2027 (a) | 361,000 | 350,472 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Containers & Packaging — continued | ||
5.88%, 11/1/2028 (a) | 151,000 | 135,254 |
9.50%, 11/1/2028 (a) | 553,000 | 553,132 |
Mauser Packaging Solutions Holding Co. | ||
7.88%, 8/15/2026 (a) | 1,785,000 | 1,808,771 |
9.25%, 4/15/2027 (a) | 1,059,000 | 1,029,807 |
Owens-Brockway Glass Container, Inc. | ||
6.63%, 5/13/2027 (a) | 548,000 | 546,788 |
7.25%, 5/15/2031 (a) | 764,000 | 774,306 |
Pactiv Evergreen Group Issuer LLC 4.38%, 10/15/2028 (a) | 343,000 | 317,895 |
Sealed Air Corp. | ||
5.50%, 9/15/2025 (a) | 127,000 | 126,759 |
6.13%, 2/1/2028 (a) | 672,000 | 669,943 |
5.00%, 4/15/2029 (a) | 210,000 | 198,931 |
6.88%, 7/15/2033 (a) | 410,000 | 424,311 |
Silgan Holdings, Inc. 4.13%, 2/1/2028 | 229,000 | 213,792 |
TriMas Corp. 4.13%, 4/15/2029 (a) | 306,000 | 278,931 |
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (f) | 1,472,000 | 1,435,490 |
22,378,854 | ||
Distributors — 0.4% | ||
American Builders & Contractors Supply Co., Inc. | ||
4.00%, 1/15/2028 (a) | 980,000 | 915,432 |
3.88%, 11/15/2029 (a) | 139,000 | 124,139 |
Dealer Tire LLC 8.00%, 2/1/2028 (a) | 551,000 | 548,307 |
Resideo Funding, Inc. 4.00%, 9/1/2029 (a) | 20,000 | 17,704 |
Ritchie Bros Holdings, Inc. (Canada) 6.75%, 3/15/2028 (a) | 599,000 | 613,046 |
Verde Purchaser LLC 10.50%, 11/30/2030 (a) | 760,000 | 794,200 |
Windsor Holdings III LLC 8.50%, 6/15/2030 (a) | 542,000 | 560,792 |
3,573,620 | ||
Diversified Consumer Services — 0.7% | ||
Adtalem Global Education, Inc. 5.50%, 3/1/2028 (a) | 215,000 | 204,644 |
Carriage Services, Inc. 4.25%, 5/15/2029 (a) | 249,000 | 216,534 |
Grand Canyon University 4.13%, 10/1/2024 | 372,000 | 360,505 |
Mavis Tire Express Services Topco Corp. 6.50%, 5/15/2029 (a) | 705,000 | 661,249 |
Service Corp. International | ||
4.63%, 12/15/2027 | 291,000 | 279,163 |
5.13%, 6/1/2029 | 988,000 | 964,091 |
3.38%, 8/15/2030 | 839,000 | 720,298 |
Signal Parent, Inc. 6.13%, 4/1/2029 (a) | 316,000 | 246,480 |
Sotheby's 7.38%, 10/15/2027 (a) | 819,000 | 786,669 |
82 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Diversified Consumer Services — continued | ||
StoneMor, Inc. 8.50%, 5/15/2029 (a) | 352,000 | 255,468 |
Wand NewCo 3, Inc. 7.63%, 1/30/2032 (a) | 300,000 | 308,250 |
WW International, Inc. 4.50%, 4/15/2029 (a) | 480,000 | 222,307 |
5,225,658 | ||
Diversified REITs — 0.5% | ||
Iron Mountain Information Management Services, Inc. 5.00%, 7/15/2032 (a) | 1,352,000 | 1,208,736 |
Uniti Group LP | ||
10.50%, 2/15/2028 (a) | 1,159,000 | 1,199,678 |
4.75%, 4/15/2028 (a) | 924,000 | 802,972 |
6.50%, 2/15/2029 (a) | 670,000 | 515,852 |
6.00%, 1/15/2030 (a) | 238,000 | 173,752 |
3,900,990 | ||
Diversified Telecommunication Services — 5.0% | ||
Altice France SA (France) | ||
8.13%, 2/1/2027 (a) | 823,000 | 756,275 |
5.50%, 1/15/2028 (a) | 591,000 | 482,212 |
5.13%, 7/15/2029 (a) | 1,541,000 | 1,163,678 |
5.50%, 10/15/2029 (a) | 2,027,000 | 1,534,782 |
British Telecommunications plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.49%), 4.88%, 11/23/2081 (a) (c) | 862,000 | 758,348 |
C&W Senior Financing DAC (Panama) 6.88%, 9/15/2027 (a) | 758,000 | 714,415 |
CCO Holdings LLC | ||
5.50%, 5/1/2026 (a) | 1,272,000 | 1,249,785 |
5.13%, 5/1/2027 (a) | 2,131,000 | 2,014,146 |
5.00%, 2/1/2028 (a) | 250,000 | 230,687 |
5.38%, 6/1/2029 (a) | 1,678,000 | 1,517,529 |
6.38%, 9/1/2029 (a) | 543,000 | 510,158 |
4.75%, 3/1/2030 (a) | 2,731,000 | 2,323,221 |
4.50%, 8/15/2030 (a) | 1,047,000 | 868,507 |
4.25%, 2/1/2031 (a) | 1,657,000 | 1,332,787 |
4.75%, 2/1/2032 (a) | 1,656,000 | 1,336,019 |
4.50%, 5/1/2032 | 991,000 | 782,895 |
4.50%, 6/1/2033 (a) | 2,035,000 | 1,565,418 |
4.25%, 1/15/2034 (a) | 1,564,000 | 1,169,337 |
Consolidated Communications, Inc. | ||
5.00%, 10/1/2028 (a) | 703,000 | 580,685 |
6.50%, 10/1/2028 (a) | 464,000 | 397,880 |
Embarq Corp. 8.00%, 6/1/2036 | 938,000 | 531,039 |
Frontier Communications Holdings LLC | ||
5.88%, 10/15/2027 (a) | 882,000 | 852,454 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Diversified Telecommunication Services — continued | ||
5.00%, 5/1/2028 (a) | 717,000 | 663,551 |
6.75%, 5/1/2029 (a) | 1,417,000 | 1,272,172 |
5.88%, 11/1/2029 | 415,000 | 355,452 |
6.00%, 1/15/2030 (a) | 663,000 | 566,861 |
8.75%, 5/15/2030 (a) | 488,000 | 497,746 |
8.63%, 3/15/2031 (a) | 552,000 | 559,398 |
Frontier Florida LLC Series E, 6.86%, 2/1/2028 | 15,000 | 14,437 |
Iliad Holding SASU (France) 6.50%, 10/15/2026 (a) | 720,000 | 711,800 |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | 1,643,000 | 1,528,618 |
Level 3 Financing, Inc. | ||
3.40%, 3/1/2027 ‡ (a) | 198,000 | 201,960 |
4.63%, 9/15/2027 ‡ (a) | 847,000 | 537,845 |
4.25%, 7/1/2028 ‡ (a) | 388,000 | 236,680 |
3.88%, 11/15/2029 ‡ (a) | 517,000 | 527,340 |
10.50%, 5/15/2030 (a) | 521,000 | 534,025 |
Qwest Corp. 7.25%, 9/15/2025 | 81,000 | 78,365 |
Sable International Finance Ltd. (Chile) 5.75%, 9/7/2027 (a) | 421,000 | 403,023 |
Telecom Italia Capital SA (Italy) | ||
6.38%, 11/15/2033 | 1,108,000 | 1,063,422 |
6.00%, 9/30/2034 | 798,000 | 740,370 |
7.20%, 7/18/2036 | 625,000 | 621,228 |
7.72%, 6/4/2038 | 325,000 | 332,875 |
Telesat Canada (Canada) | ||
5.63%, 12/6/2026 (a) | 773,000 | 445,859 |
4.88%, 6/1/2027 (a) | 101,000 | 56,812 |
6.50%, 10/15/2027 (a) | 117,000 | 51,480 |
Virgin Media Finance plc (United Kingdom) 5.00%, 7/15/2030 (a) | 1,500,000 | 1,294,974 |
Virgin Media Secured Finance plc (United Kingdom) 5.50%, 5/15/2029 (a) | 1,523,000 | 1,427,156 |
Windstream Escrow LLC 7.75%, 8/15/2028 (a) | 1,314,000 | 1,226,781 |
Zayo Group Holdings, Inc. | ||
4.00%, 3/1/2027 (a) | 979,000 | 815,017 |
6.13%, 3/1/2028 (a) | 915,000 | 695,447 |
40,132,951 | ||
Electric Utilities — 1.8% | ||
DPL, Inc. 4.35%, 4/15/2029 | 446,000 | 404,143 |
Drax Finco plc (United Kingdom) 6.63%, 11/1/2025 (a) | 412,000 | 406,850 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 83 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
Edison International | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.86%), 8.13%, 6/15/2053 (c) | 583,000 | 598,328 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.66%), 7.88%, 6/15/2054 (c) | 273,000 | 278,308 |
Emera, Inc. (Canada) Series 16-A, (3-MONTH SOFR + 5.44%), 6.75%, 6/15/2076 (c) | 783,000 | 767,254 |
FirstEnergy Corp. | ||
Series B, 4.15%, 7/15/2027 (f) | 151,000 | 143,412 |
2.65%, 3/1/2030 | 1,111,000 | 949,720 |
Series B, 2.25%, 9/1/2030 | 412,000 | 339,079 |
Series C, 7.38%, 11/15/2031 | 352,000 | 408,566 |
Series C, 5.10%, 7/15/2047 (f) | 356,000 | 306,742 |
Series C, 3.40%, 3/1/2050 | 1,062,000 | 709,555 |
Leeward Renewable Energy Operations LLC 4.25%, 7/1/2029 (a) | 644,000 | 554,409 |
NextEra Energy Operating Partners LP 4.50%, 9/15/2027 (a) | 368,000 | 343,322 |
NRG Energy, Inc. | ||
5.75%, 1/15/2028 | 484,000 | 476,741 |
5.25%, 6/15/2029 (a) | 876,000 | 830,168 |
3.63%, 2/15/2031 (a) | 712,000 | 598,673 |
3.88%, 2/15/2032 (a) | 29,000 | 24,225 |
Pattern Energy Operations LP 4.50%, 8/15/2028 (a) | 516,000 | 473,304 |
PG&E Corp. | ||
5.00%, 7/1/2028 | 528,000 | 503,596 |
5.25%, 7/1/2030 | 1,164,000 | 1,094,228 |
Terraform Global Operating LP 6.13%, 3/1/2026 (a) | 28,000 | 27,584 |
Vistra Operations Co. LLC | ||
5.50%, 9/1/2026 (a) | 310,000 | 305,250 |
5.63%, 2/15/2027 (a) | 1,318,000 | 1,284,324 |
5.00%, 7/31/2027 (a) | 1,333,000 | 1,277,701 |
4.38%, 5/1/2029 (a) | 721,000 | 657,665 |
7.75%, 10/15/2031 (a) | 636,000 | 657,876 |
14,421,023 | ||
Electrical Equipment — 0.3% | ||
Atkore, Inc. 4.25%, 6/1/2031 (a) | 393,000 | 345,235 |
Sensata Technologies BV | ||
5.00%, 10/1/2025 (a) | 40,000 | 39,627 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Electrical Equipment — continued | ||
4.00%, 4/15/2029 (a) | 990,000 | 897,858 |
Vertiv Group Corp. 4.13%, 11/15/2028 (a) | 930,000 | 858,054 |
2,140,774 | ||
Electronic Equipment, Instruments & Components — 0.2% | ||
Coherent Corp. 5.00%, 12/15/2029 (a) | 587,000 | 547,378 |
Sensata Technologies, Inc. | ||
4.38%, 2/15/2030 (a) | 783,000 | 713,461 |
3.75%, 2/15/2031 (a) | 860,000 | 735,429 |
1,996,268 | ||
Energy Equipment & Services — 1.7% | ||
Archrock Partners LP | ||
6.88%, 4/1/2027 (a) | 428,000 | 425,846 |
6.25%, 4/1/2028 (a) | 338,000 | 329,573 |
Bristow Group, Inc. 6.88%, 3/1/2028 (a) | 290,000 | 283,910 |
CGG SA (France) 8.75%, 4/1/2027 (a) | 250,000 | 222,995 |
CSI Compressco LP 7.50%, 4/1/2025 (a) | 105,000 | 105,105 |
Diamond Foreign Asset Co. 8.50%, 10/1/2030 (a) | 75,000 | 76,802 |
Enerflex Ltd. (Canada) 9.00%, 10/15/2027 (a) | 647,000 | 651,315 |
Global Marine, Inc. 7.00%, 6/1/2028 | 299,000 | 260,831 |
Helix Energy Solutions Group, Inc. 9.75%, 3/1/2029 (a) | 488,000 | 515,714 |
Nabors Industries Ltd. | ||
7.25%, 1/15/2026 (a) | 1,048,000 | 1,032,280 |
7.50%, 1/15/2028 (a) | 203,000 | 186,760 |
Nabors Industries, Inc. 7.38%, 5/15/2027 (a) | 540,000 | 538,013 |
Nine Energy Service, Inc. 13.00%, 2/1/2028 | 15,000 | 12,488 |
Noble Finance II LLC 8.00%, 4/15/2030 (a) | 358,000 | 368,076 |
Oceaneering International, Inc. 6.00%, 2/1/2028 | 222,000 | 218,300 |
Petrofac Ltd. (United Kingdom) 9.75%, 11/15/2026 (a) | 439,000 | 215,231 |
Precision Drilling Corp. (Canada) | ||
7.13%, 1/15/2026 (a) | 115,000 | 114,852 |
6.88%, 1/15/2029 (a) | 410,000 | 404,984 |
Seadrill Finance Ltd. (Norway) 8.38%, 8/1/2030 (a) | 457,000 | 469,644 |
Transocean, Inc. | ||
7.25%, 11/1/2025 (a) | 727,000 | 716,417 |
11.50%, 1/30/2027 (a) | 733,000 | 762,320 |
8.00%, 2/1/2027 (a) | 749,000 | 731,159 |
8.75%, 2/15/2030 (a) | 832,500 | 854,830 |
7.50%, 4/15/2031 | 272,000 | 232,111 |
6.80%, 3/15/2038 | 539,000 | 422,784 |
84 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Energy Equipment & Services — continued | ||
USA Compression Partners LP | ||
6.88%, 4/1/2026 | 1,147,000 | 1,145,438 |
6.88%, 9/1/2027 | 127,000 | 126,347 |
Valaris Ltd. 8.38%, 4/30/2030 (a) | 937,000 | 960,788 |
Weatherford International Ltd. | ||
6.50%, 9/15/2028 (a) | 371,000 | 378,373 |
8.63%, 4/30/2030 (a) | 204,000 | 211,497 |
Welltec International ApS (Denmark) 8.25%, 10/15/2026 (a) | 329,000 | 334,211 |
13,308,994 | ||
Entertainment — 0.9% | ||
Allen Media LLC 10.50%, 2/15/2028 (a) | 555,000 | 277,823 |
AMC Entertainment Holdings, Inc. | ||
10.00% (Cash), 6/15/2026 (a) (b) | 596,000 | 471,600 |
7.50%, 2/15/2029 (a) | 990,000 | 684,210 |
Banijay Entertainment SASU (France) 8.13%, 5/1/2029 (a) | 278,000 | 287,515 |
Cinemark USA, Inc. 5.25%, 7/15/2028 (a) | 459,000 | 428,752 |
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (a) | 407,000 | 307,638 |
Live Nation Entertainment, Inc. | ||
5.63%, 3/15/2026 (a) | 244,000 | 240,940 |
6.50%, 5/15/2027 (a) | 1,043,000 | 1,051,977 |
4.75%, 10/15/2027 (a) | 250,000 | 239,354 |
3.75%, 1/15/2028 (a) | 749,000 | 689,379 |
Odeon Finco plc (United Kingdom) 12.75%, 11/1/2027 (a) | 305,000 | 311,437 |
ROBLOX Corp. 3.88%, 5/1/2030 (a) | 930,000 | 814,522 |
WMG Acquisition Corp. | ||
3.88%, 7/15/2030 (a) | 895,000 | 789,837 |
3.00%, 2/15/2031 (a) | 760,000 | 634,764 |
7,229,748 | ||
Financial Services — 2.8% | ||
Armor Holdco, Inc. 8.50%, 11/15/2029 (a) | 211,000 | 198,549 |
Block, Inc. 3.50%, 6/1/2031 | 926,000 | 789,946 |
Burford Capital Global Finance LLC 9.25%, 7/1/2031 (a) | 481,000 | 505,050 |
CPI CG, Inc. 8.63%, 3/15/2026 (a) | 357,000 | 350,338 |
Freedom Mortgage Corp. | ||
7.63%, 5/1/2026 (a) | 743,000 | 737,520 |
6.63%, 1/15/2027 (a) | 515,000 | 491,056 |
12.00%, 10/1/2028 (a) | 200,000 | 216,669 |
12.25%, 10/1/2030 (a) | 619,000 | 681,042 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Financial Services — continued | ||
GTCR W-2 Merger Sub LLC 7.50%, 1/15/2031 (a) | 760,000 | 792,680 |
Jefferies Finance LLC 5.00%, 8/15/2028 (a) | 798,000 | 717,727 |
Jefferson Capital Holdings LLC 6.00%, 8/15/2026 (a) | 614,000 | 589,458 |
LD Holdings Group LLC 6.13%, 4/1/2028 (a) | 635,000 | 518,319 |
Midcap Financial Issuer Trust | ||
6.50%, 5/1/2028 (a) | 499,000 | 457,209 |
5.63%, 1/15/2030 (a) | 686,000 | 580,225 |
Mobius Merger Sub, Inc. 9.00%, 6/1/2030 (a) | 707,000 | 692,515 |
MPH Acquisition Holdings LLC | ||
5.50%, 9/1/2028 (a) | 1,192,000 | 1,040,020 |
5.75%, 11/1/2028 (a) | 471,000 | 375,622 |
Nationstar Mortgage Holdings, Inc. | ||
5.00%, 2/1/2026 (a) | 948,000 | 920,879 |
5.50%, 8/15/2028 (a) | 1,090,000 | 1,029,002 |
5.13%, 12/15/2030 (a) | 477,000 | 425,773 |
NCR Atleos Corp. 9.50%, 4/1/2029 (a) | 1,042,000 | 1,102,222 |
Oxford Finance LLC 6.38%, 2/1/2027 (a) | 490,000 | 460,701 |
Paysafe Finance plc 4.00%, 6/15/2029 (a) | 508,000 | 454,980 |
PennyMac Financial Services, Inc. | ||
5.38%, 10/15/2025 (a) | 65,000 | 63,968 |
4.25%, 2/15/2029 (a) | 917,000 | 826,740 |
5.75%, 9/15/2031 (a) | 869,000 | 799,047 |
PHH Mortgage Corp. 7.88%, 3/15/2026 (a) | 622,000 | 574,051 |
Rocket Mortgage LLC | ||
3.88%, 3/1/2031 (a) | 1,629,000 | 1,398,594 |
4.00%, 10/15/2033 (a) | 605,000 | 502,295 |
Sabre GLBL, Inc. | ||
8.63%, 6/1/2027 (a) | 778,000 | 684,769 |
11.25%, 12/15/2027 (a) | 436,000 | 409,840 |
Shift4 Payments LLC 4.63%, 11/1/2026 (a) | 598,000 | 573,809 |
Stena International SA (Sweden) 7.25%, 1/15/2031 (a) | 385,000 | 382,800 |
United Wholesale Mortgage LLC | ||
5.75%, 6/15/2027 (a) | 117,000 | 113,499 |
5.50%, 4/15/2029 (a) | 1,276,000 | 1,191,039 |
Verscend Escrow Corp. 9.75%, 8/15/2026 (a) | 580,000 | 581,119 |
22,229,072 | ||
Food Products — 1.3% | ||
B&G Foods, Inc. | ||
5.25%, 4/1/2025 | 566,000 | 564,126 |
5.25%, 9/15/2027 | 576,000 | 535,545 |
8.00%, 9/15/2028 (a) | 97,000 | 100,983 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 85 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Food Products — continued | ||
Chobani LLC 4.63%, 11/15/2028 (a) | 811,000 | 750,163 |
Darling Ingredients, Inc. 5.25%, 4/15/2027 (a) | 854,000 | 837,656 |
H-Food Holdings LLC 8.50%, 6/1/2026 (a) | 256,000 | 10,240 |
Lamb Weston Holdings, Inc. | ||
4.88%, 5/15/2028 (a) | 597,000 | 578,211 |
4.13%, 1/31/2030 (a) | 490,000 | 443,976 |
4.38%, 1/31/2032 (a) | 611,000 | 545,889 |
Pilgrim's Pride Corp. | ||
4.25%, 4/15/2031 | 724,000 | 647,087 |
3.50%, 3/1/2032 | 1,152,000 | 962,542 |
6.25%, 7/1/2033 | 658,000 | 665,043 |
6.88%, 5/15/2034 | 125,000 | 131,641 |
Post Holdings, Inc. | ||
5.75%, 3/1/2027 (a) | 265,000 | 267,539 |
5.63%, 1/15/2028 (a) | 1,009,000 | 990,486 |
5.50%, 12/15/2029 (a) | 1,238,000 | 1,184,542 |
4.50%, 9/15/2031 (a) | 1,074,000 | 956,183 |
Simmons Foods, Inc. 4.63%, 3/1/2029 (a) | 718,000 | 629,152 |
10,801,004 | ||
Gas Utilities — 0.4% | ||
AmeriGas Partners LP | ||
5.50%, 5/20/2025 | 756,000 | 742,014 |
5.88%, 8/20/2026 | 740,000 | 717,159 |
Ferrellgas LP | ||
5.38%, 4/1/2026 (a) | 549,000 | 543,526 |
5.88%, 4/1/2029 (a) | 743,000 | 705,296 |
Suburban Propane Partners LP 5.00%, 6/1/2031 (a) | 627,000 | 563,260 |
3,271,255 | ||
Ground Transportation — 1.1% | ||
AerCap Global Aviation Trust (Ireland) (3-MONTH CME TERM SOFR + 4.56%), 6.50%, 6/15/2045 (a) (c) | 500,000 | 495,851 |
Albion Financing 1 SARL (Luxembourg) 6.13%, 10/15/2026 (a) | 520,000 | 514,228 |
Avis Budget Car Rental LLC | ||
5.75%, 7/15/2027 (a) | 365,000 | 347,790 |
5.38%, 3/1/2029 (a) | 685,000 | 623,637 |
8.00%, 2/15/2031 (a) | 147,000 | 141,918 |
Carriage Purchaser, Inc. 7.88%, 10/15/2029 (a) | 359,000 | 310,535 |
EquipmentShare.com, Inc. 9.00%, 5/15/2028 (a) | 861,000 | 882,288 |
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | 651,000 | 566,370 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Ground Transportation — continued | ||
GN Bondco LLC 9.50%, 10/15/2031 (a) | 697,000 | 690,030 |
Hertz Corp. (The) | ||
4.63%, 12/1/2026 (a) | 248,000 | 219,532 |
5.00%, 12/1/2029 (a) | 1,017,000 | 779,133 |
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (a) | 414,000 | 386,279 |
PECF USS Intermediate Holding III Corp. 8.00%, 11/15/2029 (a) | 484,000 | 211,230 |
RXO, Inc. 7.50%, 11/15/2027 (a) | 120,000 | 123,900 |
Uber Technologies, Inc. | ||
7.50%, 9/15/2027 (a) | 533,000 | 545,258 |
4.50%, 8/15/2029 (a) | 957,000 | 896,067 |
Watco Cos. LLC 6.50%, 6/15/2027 (a) | 600,000 | 583,318 |
XPO CNW, Inc. 6.70%, 5/1/2034 | 425,000 | 439,736 |
XPO, Inc. 7.13%, 2/1/2032 (a) | 310,000 | 315,162 |
9,072,262 | ||
Health Care Equipment & Supplies — 1.0% | ||
Avantor Funding, Inc. 4.63%, 7/15/2028 (a) | 1,761,000 | 1,662,179 |
Embecta Corp. 5.00%, 2/15/2030 (a) | 536,000 | 427,192 |
Hologic, Inc. 3.25%, 2/15/2029 (a) | 1,323,000 | 1,179,597 |
Medline Borrower LP | ||
3.88%, 4/1/2029 (a) | 3,698,000 | 3,315,749 |
5.25%, 10/1/2029 (a) | 1,202,000 | 1,111,833 |
Neogen Food Safety Corp. 8.63%, 7/20/2030 (a) | 289,000 | 306,370 |
8,002,920 | ||
Health Care Providers & Services — 4.0% | ||
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (a) | 638,000 | 616,748 |
AdaptHealth LLC | ||
6.13%, 8/1/2028 (a) | 861,000 | 787,264 |
4.63%, 8/1/2029 (a) | 136,000 | 113,220 |
5.13%, 3/1/2030 (a) | 319,000 | 266,764 |
AHP Health Partners, Inc. 5.75%, 7/15/2029 (a) | 488,000 | 439,552 |
Community Health Systems, Inc. | ||
8.00%, 3/15/2026 (a) | 1,052,000 | 1,041,543 |
5.63%, 3/15/2027 (a) | 1,254,000 | 1,147,317 |
8.00%, 12/15/2027 (a) | 144,000 | 137,714 |
6.88%, 4/1/2028 (a) | 238,000 | 153,636 |
6.00%, 1/15/2029 (a) | 1,015,000 | 872,900 |
6.88%, 4/15/2029 (a) | 880,000 | 561,523 |
6.13%, 4/1/2030 (a) | 846,000 | 529,241 |
5.25%, 5/15/2030 (a) | 1,016,000 | 810,594 |
4.75%, 2/15/2031 (a) | 1,283,000 | 976,312 |
86 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Health Care Providers & Services — continued | ||
DaVita, Inc. | ||
4.63%, 6/1/2030 (a) | 1,588,000 | 1,396,879 |
3.75%, 2/15/2031 (a) | 873,000 | 716,364 |
Encompass Health Corp. | ||
4.50%, 2/1/2028 | 639,000 | 604,663 |
4.75%, 2/1/2030 | 1,038,000 | 962,931 |
4.63%, 4/1/2031 | 184,000 | 166,550 |
Global Medical Response, Inc. 6.50%, 10/1/2025 (a) | 784,000 | 687,960 |
HealthEquity, Inc. 4.50%, 10/1/2029 (a) | 76,000 | 69,853 |
Heartland Dental LLC 10.50%, 4/30/2028 (a) | 916,000 | 961,800 |
Kedrion SpA (Italy) 6.50%, 9/1/2029 (a) | 205,000 | 183,692 |
Legacy LifePoint Health LLC 4.38%, 2/15/2027 (a) | 642,000 | 595,529 |
LifePoint Health, Inc. 5.38%, 1/15/2029 (a) | 589,000 | 469,598 |
ModivCare Escrow Issuer, Inc. 5.00%, 10/1/2029 (a) | 274,000 | 202,075 |
ModivCare, Inc. 5.88%, 11/15/2025 (a) | 754,000 | 736,209 |
Molina Healthcare, Inc. | ||
4.38%, 6/15/2028 (a) | 650,000 | 605,449 |
3.88%, 5/15/2032 (a) | 952,000 | 818,857 |
Owens & Minor, Inc. | ||
4.50%, 3/31/2029 (a) | 387,000 | 345,770 |
6.63%, 4/1/2030 (a) | 449,000 | 433,862 |
Prime Healthcare Services, Inc. 7.25%, 11/1/2025 (a) | 916,000 | 913,710 |
Radiology Partners, Inc. | ||
8.50% (Blend (Cash 5.00% + PIK 3.50%)), 1/31/2029 (a) (b) | 282,370 | 271,209 |
9.78% (PIK), 2/15/2030 (a) (b) | 186,141 | 165,261 |
RegionalCare Hospital Partners Holdings, Inc. 9.75%, 12/1/2026 (a) | 1,496,000 | 1,495,572 |
Select Medical Corp. 6.25%, 8/15/2026 (a) | 1,176,000 | 1,173,035 |
Star Parent, Inc. 9.00%, 10/1/2030 (a) | 166,000 | 175,191 |
Team Health Holdings, Inc. 6.38%, 2/1/2025 (a) | 45,000 | 41,366 |
Tenet Healthcare Corp. | ||
4.88%, 1/1/2026 | 912,000 | 911,057 |
6.25%, 2/1/2027 | 854,000 | 851,973 |
5.13%, 11/1/2027 | 1,325,000 | 1,296,997 |
4.63%, 6/15/2028 | 1,129,000 | 1,074,548 |
6.13%, 10/1/2028 | 1,987,000 | 1,964,646 |
4.25%, 6/1/2029 | 500,000 | 459,844 |
4.38%, 1/15/2030 | 200,000 | 183,179 |
6.75%, 5/15/2031 (a) | 1,135,000 | 1,144,931 |
6.88%, 11/15/2031 | 490,000 | 501,638 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Health Care Providers & Services — continued | ||
Toledo Hospital (The) 6.02%, 11/15/2048 | 363,000 | 293,123 |
US Acute Care Solutions LLC 6.38%, 3/1/2026 (a) | 790,000 | 715,005 |
32,044,654 | ||
Health Care REITs — 0.3% | ||
Diversified Healthcare Trust | ||
9.75%, 6/15/2025 | 711,000 | 707,814 |
4.75%, 2/15/2028 | 519,000 | 412,988 |
MPT Operating Partnership LP | ||
4.63%, 8/1/2029 | 1,078,000 | 802,981 |
3.50%, 3/15/2031 | 300,000 | 200,909 |
2,124,692 | ||
Health Care Technology — 0.2% | ||
IQVIA, Inc. 5.00%, 10/15/2026 (a) | 1,247,000 | 1,218,870 |
Hotel & Resort REITs — 0.8% | ||
Park Intermediate Holdings LLC | ||
7.50%, 6/1/2025 (a) | 10,000 | 10,032 |
5.88%, 10/1/2028 (a) | 931,000 | 904,960 |
4.88%, 5/15/2029 (a) | 355,000 | 326,156 |
RHP Hotel Properties LP 4.75%, 10/15/2027 | 1,141,000 | 1,089,655 |
RLJ Lodging Trust LP 4.00%, 9/15/2029 (a) | 736,000 | 642,425 |
Service Properties Trust | ||
4.50%, 3/15/2025 | 516,000 | 504,136 |
7.50%, 9/15/2025 | 889,000 | 900,662 |
4.75%, 10/1/2026 | 97,000 | 89,732 |
4.95%, 2/15/2027 | 111,000 | 101,916 |
5.50%, 12/15/2027 | 216,000 | 203,341 |
4.38%, 2/15/2030 | 919,000 | 708,400 |
8.63%, 11/15/2031 (a) | 411,000 | 434,062 |
XHR LP | ||
6.38%, 8/15/2025 (a) | 182,000 | 182,218 |
4.88%, 6/1/2029 (a) | 653,000 | 603,049 |
6,700,744 | ||
Hotels, Restaurants & Leisure — 8.1% | ||
1011778 BC ULC (Canada) | ||
3.88%, 1/15/2028 (a) | 1,375,000 | 1,282,572 |
4.38%, 1/15/2028 (a) | 1,052,000 | 987,490 |
3.50%, 2/15/2029 (a) | 158,000 | 142,453 |
4.00%, 10/15/2030 (a) | 1,946,000 | 1,709,374 |
Affinity Interactive 6.88%, 12/15/2027 (a) | 493,000 | 454,748 |
Bloomin' Brands, Inc. 5.13%, 4/15/2029 (a) | 379,000 | 349,427 |
Boyd Gaming Corp. 4.75%, 12/1/2027 | 801,000 | 769,436 |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | 714,000 | 656,433 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 87 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Hotels, Restaurants & Leisure — continued | ||
Brinker International, Inc. 8.25%, 7/15/2030 (a) | 596,000 | 624,614 |
Caesars Entertainment, Inc. | ||
8.13%, 7/1/2027 (a) | 963,000 | 988,795 |
4.63%, 10/15/2029 (a) | 914,000 | 834,478 |
7.00%, 2/15/2030 (a) | 1,805,000 | 1,849,148 |
Carnival Corp. | ||
7.63%, 3/1/2026 (a) | 1,433,000 | 1,451,644 |
5.75%, 3/1/2027 (a) | 1,465,000 | 1,446,650 |
6.00%, 5/1/2029 (a) | 139,000 | 135,833 |
7.00%, 8/15/2029 (a) | 520,000 | 538,200 |
10.50%, 6/1/2030 (a) | 1,286,000 | 1,403,067 |
Carnival Holdings Bermuda Ltd. 10.38%, 5/1/2028 (a) | 309,000 | 337,108 |
Carrols Restaurant Group, Inc. 5.88%, 7/1/2029 (a) | 533,000 | 543,976 |
CEC Entertainment LLC 6.75%, 5/1/2026 (a) | 619,000 | 612,889 |
Cedar Fair LP | ||
5.50%, 5/1/2025 (a) | 227,000 | 226,239 |
5.38%, 4/15/2027 | 189,000 | 186,979 |
5.25%, 7/15/2029 | 400,000 | 377,832 |
Churchill Downs, Inc. | ||
5.50%, 4/1/2027 (a) | 889,000 | 873,107 |
5.75%, 4/1/2030 (a) | 1,398,000 | 1,343,276 |
ClubCorp Holdings, Inc. 8.50%, 9/15/2025 (a) | 220,000 | 198,000 |
Dave & Buster's, Inc. 7.63%, 11/1/2025 (a) | 155,000 | 155,405 |
Empire Resorts, Inc. 7.75%, 11/1/2026 (a) | 470,000 | 432,236 |
Fertitta Entertainment LLC | ||
4.63%, 1/15/2029 (a) | 829,000 | 752,284 |
6.75%, 1/15/2030 (a) | 262,000 | 231,411 |
Full House Resorts, Inc. 8.25%, 2/15/2028 (a) | 524,000 | 491,365 |
GPS Hospitality Holding Co. LLC 7.00%, 8/15/2028 (a) | 338,000 | 274,780 |
Hilton Domestic Operating Co., Inc. | ||
5.75%, 5/1/2028 (a) | 146,000 | 145,597 |
3.75%, 5/1/2029 (a) | 693,000 | 629,471 |
4.88%, 1/15/2030 | 1,417,000 | 1,347,270 |
4.00%, 5/1/2031 (a) | 352,000 | 312,746 |
3.63%, 2/15/2032 (a) | 921,000 | 786,774 |
Hilton Grand Vacations Borrower Escrow LLC 5.00%, 6/1/2029 (a) | 1,209,000 | 1,120,127 |
Hilton Worldwide Finance LLC 4.88%, 4/1/2027 | 705,000 | 687,839 |
International Game Technology plc | ||
6.50%, 2/15/2025 (a) | 231,000 | 231,348 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Hotels, Restaurants & Leisure — continued | ||
4.13%, 4/15/2026 (a) | 1,117,000 | 1,077,981 |
6.25%, 1/15/2027 (a) | 393,000 | 394,659 |
IRB Holding Corp. 7.00%, 6/15/2025 (a) | 452,000 | 452,565 |
Jacobs Entertainment, Inc. 6.75%, 2/15/2029 (a) | 255,000 | 243,135 |
KFC Holding Co. 4.75%, 6/1/2027 (a) | 823,000 | 802,002 |
Las Vegas Sands Corp. | ||
2.90%, 6/25/2025 | 340,000 | 325,142 |
3.50%, 8/18/2026 | 234,000 | 220,024 |
3.90%, 8/8/2029 | 761,000 | 688,248 |
Life Time, Inc. | ||
5.75%, 1/15/2026 (a) | 1,008,000 | 999,540 |
8.00%, 4/15/2026 (a) | 282,000 | 284,580 |
Light & Wonder International, Inc. | ||
7.00%, 5/15/2028 (a) | 657,000 | 660,103 |
7.25%, 11/15/2029 (a) | 807,000 | 825,816 |
Lindblad Expeditions Holdings, Inc. 9.00%, 5/15/2028 (a) | 9,000 | 9,495 |
Lindblad Expeditions LLC 6.75%, 2/15/2027 (a) | 775,000 | 778,189 |
MajorDrive Holdings IV LLC 6.38%, 6/1/2029 (a) | 533,000 | 459,712 |
Marriott Ownership Resorts, Inc. | ||
4.75%, 1/15/2028 | 626,000 | 581,759 |
4.50%, 6/15/2029 (a) | 303,000 | 274,850 |
Merlin Entertainments Ltd. (United Kingdom) 5.75%, 6/15/2026 (a) | 401,000 | 396,360 |
MGM Resorts International | ||
5.75%, 6/15/2025 | 280,000 | 279,605 |
4.63%, 9/1/2026 | 1,010,000 | 979,194 |
5.50%, 4/15/2027 | 229,000 | 224,282 |
4.75%, 10/15/2028 | 217,000 | 203,684 |
Mohegan Tribal Gaming Authority 8.00%, 2/1/2026 (a) | 1,025,000 | 966,062 |
NCL Corp. Ltd. | ||
3.63%, 12/15/2024 (a) | 88,000 | 86,656 |
5.88%, 3/15/2026 (a) | 1,441,000 | 1,407,497 |
5.88%, 2/15/2027 (a) | 1,219,000 | 1,204,764 |
8.38%, 2/1/2028 (a) | 578,000 | 606,764 |
7.75%, 2/15/2029 (a) | 249,000 | 255,263 |
Ontario Gaming GTA LP (Canada) 8.00%, 8/1/2030 (a) | 563,000 | 574,209 |
Penn Entertainment, Inc. 4.13%, 7/1/2029 (a) | 708,000 | 594,720 |
Premier Entertainment Sub LLC | ||
5.63%, 9/1/2029 (a) | 968,000 | 697,096 |
5.88%, 9/1/2031 (a) | 287,000 | 203,299 |
88 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Hotels, Restaurants & Leisure — continued | ||
Resorts World Las Vegas LLC 4.63%, 4/16/2029 (a) | 300,000 | 271,124 |
Royal Caribbean Cruises Ltd. | ||
5.50%, 8/31/2026 (a) | 1,369,000 | 1,353,337 |
5.38%, 7/15/2027 (a) | 591,000 | 579,649 |
11.63%, 8/15/2027 (a) | 664,000 | 718,215 |
7.50%, 10/15/2027 | 583,000 | 611,085 |
3.70%, 3/15/2028 | 567,000 | 523,276 |
8.25%, 1/15/2029 (a) | 925,000 | 980,500 |
9.25%, 1/15/2029 (a) | 267,000 | 287,210 |
7.25%, 1/15/2030 (a) | 86,000 | 89,412 |
Scientific Games Holdings LP 6.63%, 3/1/2030 (a) | 412,000 | 386,250 |
SeaWorld Parks & Entertainment, Inc. 5.25%, 8/15/2029 (a) | 681,000 | 635,036 |
Six Flags Entertainment Corp. | ||
5.50%, 4/15/2027 (a) | 103,000 | 100,811 |
7.25%, 5/15/2031 (a) | 726,000 | 730,537 |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | 277,000 | 277,643 |
Sizzling Platter LLC 8.50%, 11/28/2025 (a) | 274,000 | 274,581 |
Speedway Motorsports LLC 4.88%, 11/1/2027 (a) | 100,000 | 94,648 |
Station Casinos LLC | ||
4.50%, 2/15/2028 (a) | 944,000 | 880,202 |
4.63%, 12/1/2031 (a) | 137,000 | 121,804 |
Sugarhouse HSP Gaming Prop Mezz LP 5.88%, 5/15/2025 (a) | 263,000 | 260,347 |
TKC Holdings, Inc. | ||
6.88%, 5/15/2028 (a) | 408,000 | 381,990 |
10.50%, 5/15/2029 (a) | 524,000 | 475,657 |
Travel + Leisure Co. | ||
6.60%, 10/1/2025 (f) | 365,000 | 369,101 |
6.63%, 7/31/2026 (a) | 523,000 | 528,544 |
6.00%, 4/1/2027 (f) | 643,000 | 640,648 |
4.63%, 3/1/2030 (a) | 361,000 | 325,803 |
Vail Resorts, Inc. 6.25%, 5/15/2025 (a) | 671,000 | 673,422 |
Viking Cruises Ltd. | ||
6.25%, 5/15/2025 (a) | 141,000 | 140,824 |
5.88%, 9/15/2027 (a) | 535,000 | 522,962 |
9.13%, 7/15/2031 (a) | 21,000 | 22,734 |
Viking Ocean Cruises Ship VII Ltd. 5.63%, 2/15/2029 (a) | 658,000 | 634,970 |
VOC Escrow Ltd. 5.00%, 2/15/2028 (a) | 1,248,000 | 1,198,617 |
Wyndham Hotels & Resorts, Inc. 4.38%, 8/15/2028 (a) | 283,000 | 263,120 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Hotels, Restaurants & Leisure — continued | ||
Wynn Las Vegas LLC 5.25%, 5/15/2027 (a) | 920,000 | 900,286 |
Wynn Resorts Finance LLC | ||
5.13%, 10/1/2029 (a) | 733,000 | 691,442 |
7.13%, 2/15/2031 (a) | 20,000 | 20,654 |
Yum! Brands, Inc. | ||
4.75%, 1/15/2030 (a) | 934,000 | 886,048 |
4.63%, 1/31/2032 | 691,000 | 634,345 |
5.38%, 4/1/2032 | 101,000 | 96,981 |
6.88%, 11/15/2037 | 457,000 | 496,265 |
64,759,756 | ||
Household Durables — 1.6% | ||
Ashton Woods USA LLC | ||
6.63%, 1/15/2028 (a) | 99,000 | 98,394 |
4.63%, 4/1/2030 (a) | 403,000 | 362,282 |
Beazer Homes USA, Inc. | ||
5.88%, 10/15/2027 | 286,000 | 277,998 |
7.25%, 10/15/2029 | 270,000 | 270,767 |
Brookfield Residential Properties, Inc. (Canada) | ||
6.25%, 9/15/2027 (a) | 947,000 | 917,498 |
5.00%, 6/15/2029 (a) | 114,000 | 102,003 |
4.88%, 2/15/2030 (a) | 87,000 | 77,268 |
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | 648,000 | 645,440 |
Century Communities, Inc. | ||
6.75%, 6/1/2027 | 353,000 | 353,548 |
3.88%, 8/15/2029 (a) | 677,000 | 597,416 |
Dream Finders Homes, Inc. 8.25%, 8/15/2028 (a) | 100,000 | 103,918 |
Empire Communities Corp. (Canada) 7.00%, 12/15/2025 (a) | 422,000 | 417,206 |
KB Home | ||
4.80%, 11/15/2029 | 437,000 | 409,687 |
7.25%, 7/15/2030 | 319,000 | 327,751 |
4.00%, 6/15/2031 | 290,000 | 251,790 |
LGI Homes, Inc. 8.75%, 12/15/2028 (a) | 120,000 | 125,775 |
M/I Homes, Inc. | ||
4.95%, 2/1/2028 | 80,000 | 76,157 |
3.95%, 2/15/2030 | 140,000 | 124,928 |
Mattamy Group Corp. (Canada) 5.25%, 12/15/2027 (a) | 129,000 | 124,370 |
Newell Brands, Inc. | ||
4.88%, 6/1/2025 | 390,000 | 381,747 |
5.20%, 4/1/2026 (f) | 1,518,000 | 1,474,071 |
6.38%, 9/15/2027 | 813,000 | 787,558 |
6.63%, 9/15/2029 | 231,000 | 221,117 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 89 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Household Durables — continued | ||
6.37%, 4/1/2036 (f) | 47,000 | 41,280 |
6.50%, 4/1/2046 (f) | 258,000 | 205,837 |
Shea Homes LP 4.75%, 2/15/2028 | 315,000 | 300,452 |
SWF Escrow Issuer Corp. 6.50%, 10/1/2029 (a) | 659,000 | 463,499 |
Taylor Morrison Communities, Inc. | ||
5.88%, 6/15/2027 (a) | 886,000 | 881,049 |
5.13%, 8/1/2030 (a) | 260,000 | 245,402 |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | 868,000 | 778,026 |
TopBuild Corp. | ||
3.63%, 3/15/2029 (a) | 497,000 | 445,144 |
4.13%, 2/15/2032 (a) | 53,000 | 46,419 |
Tri Pointe Homes, Inc. 5.70%, 6/15/2028 | 521,000 | 512,304 |
12,448,101 | ||
Household Products — 0.4% | ||
Central Garden & Pet Co. | ||
5.13%, 2/1/2028 | 267,000 | 257,328 |
4.13%, 10/15/2030 | 585,000 | 519,695 |
4.13%, 4/30/2031 (a) | 347,000 | 303,613 |
Energizer Holdings, Inc. | ||
6.50%, 12/31/2027 (a) | 349,000 | 346,072 |
4.75%, 6/15/2028 (a) | 503,000 | 459,917 |
4.38%, 3/31/2029 (a) | 364,000 | 322,497 |
Kronos Acquisition Holdings, Inc. (Canada) | ||
5.00%, 12/31/2026 (a) | 488,000 | 469,090 |
7.00%, 12/31/2027 (a) | 438,000 | 422,670 |
Spectrum Brands, Inc. 5.00%, 10/1/2029 (a) | 389,000 | 377,330 |
3,478,212 | ||
Independent Power and Renewable Electricity Producers — 0.8% | ||
Calpine Corp. | ||
5.25%, 6/1/2026 (a) | 568,000 | 559,590 |
4.50%, 2/15/2028 (a) | 1,242,000 | 1,169,897 |
5.13%, 3/15/2028 (a) | 655,000 | 622,670 |
3.75%, 3/1/2031 (a) | 1,036,000 | 888,063 |
Clearway Energy Operating LLC | ||
4.75%, 3/15/2028 (a) | 345,000 | 322,521 |
3.75%, 2/15/2031 (a) | 1,125,000 | 948,673 |
3.75%, 1/15/2032 (a) | 374,000 | 312,836 |
Talen Energy Supply LLC 8.63%, 6/1/2030 (a) | 1,131,000 | 1,193,252 |
TransAlta Corp. (Canada) 6.50%, 3/15/2040 | 295,000 | 290,814 |
6,308,316 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Insurance — 2.1% | ||
Acrisure LLC | ||
10.13%, 8/1/2026 (a) | 780,000 | 811,203 |
8.25%, 2/1/2029 (a) | 185,000 | 182,786 |
4.25%, 2/15/2029 (a) | 402,000 | 356,564 |
6.00%, 8/1/2029 (a) | 634,000 | 570,794 |
Alliant Holdings Intermediate LLC | ||
4.25%, 10/15/2027 (a) | 517,000 | 477,173 |
6.75%, 10/15/2027 (a) | 675,000 | 655,779 |
6.75%, 4/15/2028 (a) | 1,202,000 | 1,193,983 |
5.88%, 11/1/2029 (a) | 352,000 | 322,217 |
7.00%, 1/15/2031 (a) | 979,000 | 975,172 |
Assurant, Inc. (3-MONTH SOFR + 4.14%), 7.00%, 3/27/2048 (c) | 279,000 | 282,592 |
AssuredPartners, Inc. 5.63%, 1/15/2029 (a) | 768,000 | 706,425 |
BroadStreet Partners, Inc. 5.88%, 4/15/2029 (a) | 671,000 | 622,391 |
Genworth Holdings, Inc. 6.50%, 6/15/2034 | 541,000 | 505,770 |
Global Atlantic Fin Co. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.80%), 4.70%, 10/15/2051 (a) (c) | 563,000 | 497,103 |
HUB International Ltd. | ||
5.63%, 12/1/2029 (a) | 1,027,000 | 953,201 |
7.25%, 6/15/2030 (a) | 2,681,000 | 2,734,910 |
7.38%, 1/31/2032 (a) | 359,000 | 360,137 |
Jones Deslauriers Insurance Management, Inc. (Canada) 8.50%, 3/15/2030 (a) | 436,000 | 453,440 |
Liberty Mutual Group, Inc. | ||
7.80%, 3/15/2037 (a) | 292,000 | 297,553 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.32%), 4.13%, 12/15/2051 (a) (c) | 487,000 | 427,539 |
4.30%, 2/1/2061 (a) | 732,000 | 465,675 |
NFP Corp. | ||
4.88%, 8/15/2028 (a) | 194,000 | 193,515 |
6.88%, 8/15/2028 (a) | 1,118,000 | 1,135,462 |
7.50%, 10/1/2030 (a) | 570,000 | 599,744 |
8.50%, 10/1/2031 (a) | 181,000 | 199,792 |
Ryan Specialty LLC 4.38%, 2/1/2030 (a) | 680,000 | 631,577 |
16,612,497 | ||
Interactive Media & Services — 0.2% | ||
Cars.com, Inc. 6.38%, 11/1/2028 (a) | 225,000 | 216,645 |
Rackspace Technology Global, Inc. | ||
3.50%, 2/15/2028 (a) | 495,000 | 199,300 |
5.38%, 12/1/2028 (a) | 18,000 | 5,241 |
TripAdvisor, Inc. 7.00%, 7/15/2025 (a) | 295,000 | 295,351 |
90 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Interactive Media & Services — continued | ||
Ziff Davis, Inc. 4.63%, 10/15/2030 (a) | 727,000 | 651,973 |
ZipRecruiter, Inc. 5.00%, 1/15/2030 (a) | 175,000 | 154,049 |
1,522,559 | ||
IT Services — 0.6% | ||
Ahead DB Holdings LLC 6.63%, 5/1/2028 (a) | 223,000 | 198,909 |
Arches Buyer, Inc. 6.13%, 12/1/2028 (a) | 811,000 | 687,105 |
Cablevision Lightpath LLC | ||
3.88%, 9/15/2027 (a) | 469,000 | 425,119 |
5.63%, 9/15/2028 (a) | 320,000 | 266,308 |
Conduent Business Services LLC 6.00%, 11/1/2029 (a) | 519,000 | 476,216 |
Newfold Digital Holdings Group, Inc. 6.00%, 2/15/2029 (a) | 472,000 | 369,481 |
Northwest Fiber LLC | ||
4.75%, 4/30/2027 (a) | 454,000 | 435,840 |
10.75%, 6/1/2028 (a) | 136,000 | 139,849 |
Presidio Holdings, Inc. | ||
4.88%, 2/1/2027 (a) | 809,000 | 777,549 |
8.25%, 2/1/2028 (a) | 288,000 | 283,994 |
Twilio, Inc. 3.88%, 3/15/2031 | 618,000 | 537,699 |
Unisys Corp. 6.88%, 11/1/2027 (a) | 423,000 | 380,078 |
4,978,147 | ||
Life Sciences Tools & Services — 0.2% | ||
Charles River Laboratories International, Inc. | ||
4.25%, 5/1/2028 (a) | 763,000 | 715,618 |
3.75%, 3/15/2029 (a) | 601,000 | 542,179 |
Fortrea Holdings, Inc. 7.50%, 7/1/2030 (a) | 614,000 | 627,815 |
1,885,612 | ||
Machinery — 1.2% | ||
Amsted Industries, Inc. 4.63%, 5/15/2030 (a) | 635,000 | 578,151 |
Calderys Financing LLC (France) 11.25%, 6/1/2028 (a) | 514,000 | 550,290 |
Chart Industries, Inc. 7.50%, 1/1/2030 (a) | 1,525,000 | 1,573,054 |
Enpro, Inc. 5.75%, 10/15/2026 | 368,000 | 362,352 |
GrafTech Finance, Inc. 4.63%, 12/15/2028 (a) | 643,000 | 422,653 |
GrafTech Global Enterprises, Inc. 9.88%, 12/15/2028 (a) | 230,000 | 182,620 |
Hillenbrand, Inc. | ||
5.75%, 6/15/2025 | 278,000 | 275,931 |
3.75%, 3/1/2031 | 422,000 | 359,755 |
Husky III Holding Ltd. (Canada) 13.00% (Cash), 2/15/2025 (a) (b) | 751,000 | 750,437 |
Manitowoc Co., Inc. (The) 9.00%, 4/1/2026 (a) | 47,000 | 46,941 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Machinery — continued | ||
Mueller Water Products, Inc. 4.00%, 6/15/2029 (a) | 329,000 | 299,191 |
OT Merger Corp. 7.88%, 10/15/2029 (a) | 295,000 | 191,750 |
Park-Ohio Industries, Inc. 6.63%, 4/15/2027 | 373,000 | 341,295 |
Roller Bearing Co. of America, Inc. 4.38%, 10/15/2029 (a) | 603,000 | 549,354 |
SPX FLOW, Inc. 8.75%, 4/1/2030 (a) | 622,000 | 609,685 |
Terex Corp. 5.00%, 5/15/2029 (a) | 687,000 | 641,522 |
Titan International, Inc. 7.00%, 4/30/2028 | 643,000 | 638,458 |
TK Elevator Holdco GmbH (Germany) 7.63%, 7/15/2028 (a) | 635,000 | 621,322 |
TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027 (a) | 911,000 | 875,058 |
Werner FinCo. LP 14.50% (Blend (Cash 8.75% + PIK 5.75%)), 10/15/2028 (a) (b) | 7,120 | 6,243 |
9,876,062 | ||
Marine Transportation — 0.0% ^ | ||
Danaos Corp. (Greece) 8.50%, 3/1/2028 (a) | 188,000 | 192,929 |
Media — 6.4% | ||
Advantage Sales & Marketing, Inc. 6.50%, 11/15/2028 (a) | 771,000 | 717,608 |
Altice Financing SA (Luxembourg) | ||
5.00%, 1/15/2028 (a) | 729,000 | 644,976 |
5.75%, 8/15/2029 (a) | 862,000 | 742,415 |
AMC Networks, Inc. | ||
4.75%, 8/1/2025 | 103,000 | 98,229 |
4.25%, 2/15/2029 | 372,000 | 240,758 |
Beasley Mezzanine Holdings LLC 8.63%, 2/1/2026 (a) | 60,000 | 37,708 |
Cable One, Inc. 4.00%, 11/15/2030 (a) | 717,000 | 541,765 |
Clear Channel International BV (United Kingdom) 6.63%, 8/1/2025 (a) | 478,000 | 478,124 |
Clear Channel Outdoor Holdings, Inc. | ||
5.13%, 8/15/2027 (a) | 1,415,000 | 1,323,083 |
7.50%, 6/1/2029 (a) | 691,000 | 571,803 |
CMG Media Corp. 8.88%, 12/15/2027 (a) | 379,000 | 253,275 |
CSC Holdings LLC | ||
5.38%, 2/1/2028 (a) | 220,000 | 191,759 |
7.50%, 4/1/2028 (a) | 611,000 | 434,351 |
11.25%, 5/15/2028 (a) | 428,000 | 441,598 |
6.50%, 2/1/2029 (a) | 1,567,000 | 1,365,907 |
5.75%, 1/15/2030 (a) | 1,150,000 | 676,286 |
4.13%, 12/1/2030 (a) | 1,565,000 | 1,165,268 |
4.63%, 12/1/2030 (a) | 1,631,000 | 907,056 |
3.38%, 2/15/2031 (a) | 1,353,000 | 955,123 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 91 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Media — continued | ||
4.50%, 11/15/2031 (a) | 1,687,000 | 1,252,597 |
Cumulus Media New Holdings, Inc. 6.75%, 7/1/2026 (a) | 445,000 | 275,413 |
Directv Financing LLC 5.88%, 8/15/2027 (a) | 2,768,000 | 2,612,631 |
DISH DBS Corp. | ||
7.75%, 7/1/2026 | 740,000 | 471,750 |
5.25%, 12/1/2026 (a) | 1,318,000 | 1,052,752 |
7.38%, 7/1/2028 | 1,546,000 | 754,092 |
5.75%, 12/1/2028 (a) | 1,410,000 | 976,425 |
5.13%, 6/1/2029 | 572,000 | 243,944 |
DISH Network Corp. 11.75%, 11/15/2027 (a) | 2,180,000 | 2,272,821 |
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | 67,000 | 60,544 |
GCI LLC 4.75%, 10/15/2028 (a) | 227,000 | 203,680 |
Gray Television, Inc. | ||
7.00%, 5/15/2027 (a) | 551,000 | 497,939 |
4.75%, 10/15/2030 (a) | 1,343,000 | 865,355 |
5.38%, 11/15/2031 (a) | 225,000 | 145,554 |
iHeartCommunications, Inc. | ||
6.38%, 5/1/2026 | 754,417 | 642,375 |
8.38%, 5/1/2027 | 482,864 | 289,718 |
5.25%, 8/15/2027 (a) | 436,000 | 323,185 |
4.75%, 1/15/2028 (a) | 571,000 | 411,120 |
Lamar Media Corp. | ||
4.88%, 1/15/2029 | 363,000 | 343,943 |
4.00%, 2/15/2030 | 560,000 | 499,800 |
3.63%, 1/15/2031 | 372,000 | 321,215 |
LCPR Senior Secured Financing DAC | ||
6.75%, 10/15/2027 (a) | 1,293,000 | 1,221,885 |
5.13%, 7/15/2029 (a) | 200,000 | 168,064 |
Liberty Interactive LLC 8.25%, 2/1/2030 | 541,000 | 353,074 |
McGraw-Hill Education, Inc. | ||
5.75%, 8/1/2028 (a) | 375,000 | 348,381 |
8.00%, 8/1/2029 (a) | 490,000 | 447,125 |
News Corp. | ||
3.88%, 5/15/2029 (a) | 664,000 | 600,132 |
5.13%, 2/15/2032 (a) | 140,000 | 130,424 |
Nexstar Media, Inc. | ||
5.63%, 7/15/2027 (a) | 895,000 | 848,173 |
4.75%, 11/1/2028 (a) | 469,000 | 416,449 |
Outfront Media Capital LLC | ||
5.00%, 8/15/2027 (a) | 447,000 | 430,027 |
4.25%, 1/15/2029 (a) | 928,000 | 833,483 |
7.38%, 2/15/2031 (a) | 220,000 | 229,607 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Media — continued | ||
Paramount Global (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.00%), 6.38%, 3/30/2062 (c) | 785,000 | 680,988 |
Radiate Holdco LLC | ||
4.50%, 9/15/2026 (a) | 250,000 | 196,866 |
6.50%, 9/15/2028 (a) | 995,000 | 478,844 |
Scripps Escrow II, Inc. | ||
3.88%, 1/15/2029 (a) | 392,000 | 310,065 |
5.38%, 1/15/2031 (a) | 294,000 | 167,664 |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | 484,000 | 392,878 |
Sinclair Television Group, Inc. | ||
5.50%, 3/1/2030 (a) | 625,000 | 453,475 |
4.13%, 12/1/2030 (a) | 459,000 | 335,414 |
Sirius XM Radio, Inc. | ||
3.13%, 9/1/2026 (a) | 1,018,000 | 949,214 |
5.00%, 8/1/2027 (a) | 1,566,000 | 1,491,814 |
4.00%, 7/15/2028 (a) | 607,000 | 546,856 |
5.50%, 7/1/2029 (a) | 1,154,000 | 1,091,286 |
4.13%, 7/1/2030 (a) | 977,000 | 840,570 |
3.88%, 9/1/2031 (a) | 581,000 | 480,241 |
Spanish Broadcasting System, Inc. 9.75%, 3/1/2026 (a) | 48,000 | 25,960 |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | 565,000 | 504,432 |
Summer BC Bidco B LLC 5.50%, 10/31/2026 (a) | 603,000 | 582,142 |
Sunrise FinCo. I BV (Netherlands) 4.88%, 7/15/2031 (a) | 810,000 | 716,850 |
Sunrise HoldCo IV BV (Netherlands) 5.50%, 1/15/2028 (a) | 363,000 | 351,139 |
TEGNA, Inc. | ||
4.75%, 3/15/2026 (a) | 688,000 | 664,780 |
5.00%, 9/15/2029 | 1,353,000 | 1,190,640 |
Townsquare Media, Inc. 6.88%, 2/1/2026 (a) | 697,000 | 672,402 |
Univision Communications, Inc. | ||
8.00%, 8/15/2028 (a) | 551,000 | 553,942 |
4.50%, 5/1/2029 (a) | 1,079,000 | 946,207 |
7.38%, 6/30/2030 (a) | 775,000 | 748,550 |
Urban One, Inc. 7.38%, 2/1/2028 (a) | 643,000 | 551,508 |
Videotron Ltd. (Canada) 5.13%, 4/15/2027 (a) | 959,000 | 939,674 |
Virgin Media Vendor Financing Notes IV DAC (United Kingdom) 5.00%, 7/15/2028 (a) | 470,000 | 433,570 |
VZ Secured Financing BV (Netherlands) 5.00%, 1/15/2032 (a) | 1,019,000 | 869,785 |
Ziggo Bond Co. BV (Netherlands) 5.13%, 2/28/2030 (a) | 966,000 | 826,533 |
51,325,058 |
92 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Metals & Mining — 2.2% | ||
Arsenal AIC Parent LLC 8.00%, 10/1/2030 (a) | 226,000 | 236,735 |
ATI, Inc. 5.13%, 10/1/2031 | 440,000 | 402,763 |
Baffinland Iron Mines Corp. (Canada) 8.75%, 7/15/2026 (a) | 742,000 | 664,200 |
Big River Steel LLC 6.63%, 1/31/2029 (a) | 654,000 | 657,894 |
Carpenter Technology Corp. 6.38%, 7/15/2028 | 454,000 | 452,025 |
Cleveland-Cliffs, Inc. | ||
6.75%, 3/15/2026 (a) | 197,000 | 198,481 |
5.88%, 6/1/2027 | 741,000 | 733,135 |
6.75%, 4/15/2030 (a) | 635,000 | 630,353 |
4.88%, 3/1/2031 (a) | 522,000 | 469,942 |
Coeur Mining, Inc. 5.13%, 2/15/2029 (a) | 229,000 | 210,856 |
Commercial Metals Co. | ||
4.13%, 1/15/2030 | 279,000 | 255,225 |
4.38%, 3/15/2032 | 115,000 | 102,652 |
Compass Minerals International, Inc. 6.75%, 12/1/2027 (a) | 688,000 | 671,137 |
Constellium SE 5.63%, 6/15/2028 (a) | 350,000 | 337,416 |
Eldorado Gold Corp. (Turkey) 6.25%, 9/1/2029 (a) | 537,000 | 503,163 |
FMG Resources August 2006 Pty. Ltd. (Australia) | ||
4.50%, 9/15/2027 (a) | 1,228,000 | 1,175,457 |
5.88%, 4/15/2030 (a) | 260,000 | 254,458 |
4.38%, 4/1/2031 (a) | 250,000 | 224,037 |
6.13%, 4/15/2032 (a) | 734,000 | 725,569 |
Hecla Mining Co. 7.25%, 2/15/2028 | 555,000 | 553,660 |
Hudbay Minerals, Inc. (Canada) | ||
4.50%, 4/1/2026 (a) | 387,000 | 372,930 |
6.13%, 4/1/2029 (a) | 504,000 | 494,538 |
IAMGOLD Corp. (Burkina Faso) 5.75%, 10/15/2028 (a) | 471,000 | 418,931 |
Infrabuild Australia Pty. Ltd. (Australia) 14.50%, 11/15/2028 (a) | 362,000 | 366,246 |
Kaiser Aluminum Corp. 4.63%, 3/1/2028 (a) | 371,000 | 342,075 |
Mineral Resources Ltd. (Australia) | ||
8.13%, 5/1/2027 (a) | 836,000 | 843,424 |
8.00%, 11/1/2027 (a) | 757,000 | 771,012 |
8.50%, 5/1/2030 (a) | 388,000 | 398,482 |
New Gold, Inc. (Canada) 7.50%, 7/15/2027 (a) | 339,000 | 335,714 |
Novelis Corp. | ||
3.25%, 11/15/2026 (a) | 137,000 | 127,047 |
4.75%, 1/30/2030 (a) | 1,220,000 | 1,114,113 |
3.88%, 8/15/2031 (a) | 1,012,000 | 856,413 |
SunCoke Energy, Inc. 4.88%, 6/30/2029 (a) | 408,000 | 366,180 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Metals & Mining — continued | ||
Taseko Mines Ltd. (Canada) 7.00%, 2/15/2026 (a) | 262,000 | 257,983 |
United States Steel Corp. | ||
6.88%, 3/1/2029 | 402,000 | 406,617 |
6.65%, 6/1/2037 | 457,000 | 472,495 |
17,403,358 | ||
Mortgage Real Estate Investment Trusts (REITs) — 0.4% | ||
Apollo Commercial Real Estate Finance, Inc. 4.63%, 6/15/2029 (a) | 679,000 | 561,656 |
Ladder Capital Finance Holdings LLLP | ||
4.25%, 2/1/2027 (a) | 824,000 | 758,218 |
4.75%, 6/15/2029 (a) | 458,000 | 411,029 |
Rithm Capital Corp. 6.25%, 10/15/2025 (a) | 40,000 | 39,483 |
Starwood Property Trust, Inc. | ||
3.75%, 12/31/2024 (a) | 380,000 | 372,395 |
3.63%, 7/15/2026 (a) | 654,000 | 609,855 |
4.38%, 1/15/2027 (a) | 250,000 | 234,375 |
2,987,011 | ||
Multi-Utilities — 0.1% | ||
Algonquin Power & Utilities Corp. (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.25%), 4.75%, 1/18/2082 (c) | 764,000 | 661,091 |
Office REITs — 0.3% | ||
Brandywine Operating Partnership LP | ||
3.95%, 11/15/2027 | 635,000 | 558,066 |
4.55%, 10/1/2029 | 580,000 | 483,862 |
Hudson Pacific Properties LP 3.25%, 1/15/2030 | 1,114,000 | 836,334 |
Office Properties Income Trust | ||
4.50%, 2/1/2025 | 233,000 | 188,730 |
2.65%, 6/15/2026 | 683,000 | 403,645 |
2.40%, 2/1/2027 | 53,000 | 27,332 |
3.45%, 10/15/2031 | 164,000 | 72,155 |
2,570,124 | ||
Oil, Gas & Consumable Fuels — 10.6% | ||
Aethon United BR LP 8.25%, 2/15/2026 (a) | 237,000 | 237,981 |
Alliance Resource Operating Partners LP 7.50%, 5/1/2025 (a) | 242,000 | 242,540 |
Antero Midstream Partners LP | ||
5.75%, 3/1/2027 (a) | 1,159,000 | 1,134,009 |
5.75%, 1/15/2028 (a) | 578,000 | 566,633 |
Ascent Resources Utica Holdings LLC | ||
7.00%, 11/1/2026 (a) | 958,000 | 957,351 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 93 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
5.88%, 6/30/2029 (a) | 337,000 | 313,314 |
Baytex Energy Corp. (Canada) | ||
8.75%, 4/1/2027 (a) | 965,000 | 1,001,044 |
8.50%, 4/30/2030 (a) | 33,000 | 34,314 |
Blue Racer Midstream LLC | ||
7.63%, 12/15/2025 (a) | 498,000 | 502,366 |
6.63%, 7/15/2026 (a) | 346,000 | 343,391 |
Buckeye Partners LP | ||
4.13%, 12/1/2027 | 902,000 | 839,491 |
4.50%, 3/1/2028 (a) | 693,000 | 644,288 |
5.85%, 11/15/2043 | 350,000 | 288,348 |
5.60%, 10/15/2044 | 67,000 | 52,093 |
California Resources Corp. 7.13%, 2/1/2026 (a) | 643,000 | 646,389 |
Callon Petroleum Co. | ||
6.38%, 7/1/2026 | 319,000 | 319,535 |
8.00%, 8/1/2028 (a) | 632,000 | 660,135 |
7.50%, 6/15/2030 (a) | 254,000 | 267,586 |
Calumet Specialty Products Partners LP | ||
11.00%, 4/15/2025 (a) | 280,000 | 282,134 |
8.13%, 1/15/2027 (a) | 241,000 | 238,590 |
9.75%, 7/15/2028 (a) | 358,000 | 354,633 |
Chesapeake Energy Corp. | ||
5.50%, 2/1/2026 (a) | 1,065,000 | 1,055,679 |
6.75%, 4/15/2029 (a) | 373,000 | 374,395 |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 23,000 | 23,029 |
Civitas Resources, Inc. | ||
5.00%, 10/15/2026 (a) | 614,000 | 594,932 |
8.63%, 11/1/2030 (a) | 259,000 | 277,151 |
8.75%, 7/1/2031 (a) | 1,516,000 | 1,612,222 |
CNX Midstream Partners LP 4.75%, 4/15/2030 (a) | 700,000 | 612,398 |
CNX Resources Corp. | ||
7.25%, 3/14/2027 (a) | 316,000 | 321,641 |
6.00%, 1/15/2029 (a) | 11,000 | 10,573 |
7.38%, 1/15/2031 (a) | 651,000 | 656,295 |
Comstock Resources, Inc. | ||
6.75%, 3/1/2029 (a) | 1,107,000 | 1,021,140 |
5.88%, 1/15/2030 (a) | 436,000 | 381,243 |
CQP Holdco LP 5.50%, 6/15/2031 (a) | 1,311,000 | 1,221,394 |
Crescent Energy Finance LLC 9.25%, 2/15/2028 (a) | 886,000 | 927,192 |
CrownRock LP | ||
5.63%, 10/15/2025 (a) | 163,000 | 162,193 |
5.00%, 5/1/2029 (a) | 495,000 | 486,956 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
CVR Energy, Inc. 5.75%, 2/15/2028 (a) | 758,000 | 703,583 |
Delek Logistics Partners LP 7.13%, 6/1/2028 (a) | 621,000 | 594,607 |
DT Midstream, Inc. | ||
4.13%, 6/15/2029 (a) | 770,000 | 703,584 |
4.38%, 6/15/2031 (a) | 1,002,000 | 902,087 |
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a) | 200,000 | 199,679 |
Endeavor Energy Resources LP 5.75%, 1/30/2028 (a) | 599,000 | 603,852 |
Energean plc (Egypt) 6.50%, 4/30/2027 (a) | 596,000 | 543,664 |
Energy Transfer LP | ||
5.63%, 5/1/2027 (a) | 30,000 | 29,731 |
7.38%, 2/1/2031 (a) | 140,000 | 146,489 |
EnLink Midstream LLC | ||
5.38%, 6/1/2029 | 1,127,000 | 1,092,242 |
6.50%, 9/1/2030 (a) | 286,000 | 293,169 |
EnLink Midstream Partners LP | ||
4.85%, 7/15/2026 | 688,000 | 670,809 |
5.60%, 4/1/2044 | 219,000 | 198,480 |
5.05%, 4/1/2045 | 231,000 | 196,472 |
5.45%, 6/1/2047 | 627,000 | 551,760 |
Enviva Partners LP 6.50%, 1/15/2026 (a) | 549,000 | 203,422 |
EQM Midstream Partners LP | ||
4.00%, 8/1/2024 | 239,000 | 237,233 |
6.50%, 7/1/2027 (a) | 628,000 | 634,281 |
5.50%, 7/15/2028 | 892,000 | 874,841 |
4.50%, 1/15/2029 (a) | 1,264,000 | 1,184,898 |
4.75%, 1/15/2031 (a) | 779,000 | 724,403 |
6.50%, 7/15/2048 | 402,000 | 408,045 |
FTAI Infra Escrow Holdings LLC 10.50%, 6/1/2027 (a) | 448,000 | 464,071 |
Genesis Energy LP | ||
8.00%, 1/15/2027 | 1,237,000 | 1,245,558 |
8.25%, 1/15/2029 | 155,000 | 157,585 |
8.88%, 4/15/2030 | 613,000 | 635,557 |
Global Partners LP | ||
6.88%, 1/15/2029 | 470,000 | 463,237 |
8.25%, 1/15/2032 (a) | 681,000 | 698,503 |
Gran Tierra Energy International Holdings Ltd. (Colombia) 6.25%, 2/15/2025 (a) | 219,000 | 204,870 |
Gran Tierra Energy, Inc. (Colombia) 9.50%, 10/15/2029 (a) | 250,000 | 231,250 |
Gulfport Energy Corp. 8.00%, 5/17/2026 | 331,999 | 337,863 |
Harvest Midstream I LP 7.50%, 9/1/2028 (a) | 352,000 | 354,843 |
94 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
Hess Infrastructure Partners LP 5.63%, 2/15/2026 (a) | 25,000 | 24,646 |
Hess Midstream Operations LP | ||
5.63%, 2/15/2026 (a) | 1,006,000 | 991,765 |
5.13%, 6/15/2028 (a) | 822,000 | 789,728 |
5.50%, 10/15/2030 (a) | 74,000 | 71,114 |
Hilcorp Energy I LP | ||
6.25%, 11/1/2028 (a) | 649,000 | 644,248 |
5.75%, 2/1/2029 (a) | 282,000 | 272,716 |
6.00%, 4/15/2030 (a) | 40,000 | 38,834 |
6.00%, 2/1/2031 (a) | 318,000 | 306,656 |
6.25%, 4/15/2032 (a) | 639,000 | 618,232 |
8.38%, 11/1/2033 (a) | 532,000 | 571,501 |
Ithaca Energy North Sea plc (United Kingdom) 9.00%, 7/15/2026 (a) | 637,000 | 641,650 |
ITT Holdings LLC 6.50%, 8/1/2029 (a) | 619,000 | 549,411 |
Kinetik Holdings LP | ||
6.63%, 12/15/2028 (a) | 332,000 | 336,085 |
5.88%, 6/15/2030 (a) | 694,000 | 676,243 |
Martin Midstream Partners LP 11.50%, 2/15/2028 (a) | 546,000 | 573,300 |
Matador Resources Co. 6.88%, 4/15/2028 (a) | 893,000 | 906,790 |
MEG Energy Corp. (Canada) | ||
7.13%, 2/1/2027 (a) | 185,000 | 187,874 |
5.88%, 2/1/2029 (a) | 679,000 | 661,998 |
Moss Creek Resources Holdings, Inc. | ||
7.50%, 1/15/2026 (a) | 490,000 | 487,156 |
10.50%, 5/15/2027 (a) | 312,000 | 319,717 |
Murphy Oil Corp. | ||
6.38%, 7/15/2028 | 160,000 | 160,218 |
7.05%, 5/1/2029 | 63,000 | 65,297 |
5.87%, 12/1/2042 (f) | 361,000 | 317,950 |
Neptune Energy Bondco plc (United Kingdom) 6.63%, 5/15/2025 (a) | 643,000 | 641,714 |
New Fortress Energy, Inc. | ||
6.75%, 9/15/2025 (a) | 1,228,000 | 1,221,663 |
6.50%, 9/30/2026 (a) | 909,000 | 877,674 |
NGL Energy Partners LP 7.50%, 4/15/2026 | 311,000 | 311,297 |
Northern Oil & Gas, Inc. | ||
8.13%, 3/1/2028 (a) | 580,000 | 587,325 |
8.75%, 6/15/2031 (a) | 300,000 | 313,500 |
Northriver Midstream Finance LP (Canada) 5.63%, 2/15/2026 (a) | 706,000 | 692,117 |
NuStar Logistics LP | ||
6.00%, 6/1/2026 | 278,000 | 274,817 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
5.63%, 4/28/2027 | 1,142,000 | 1,130,249 |
Parkland Corp. (Canada) | ||
5.88%, 7/15/2027 (a) | 345,000 | 338,577 |
4.50%, 10/1/2029 (a) | 480,000 | 438,600 |
4.63%, 5/1/2030 (a) | 938,000 | 856,825 |
PBF Holding Co. LLC | ||
6.00%, 2/15/2028 | 939,000 | 913,177 |
7.88%, 9/15/2030 (a) | 312,000 | 319,700 |
Permian Resources Operating LLC | ||
6.88%, 4/1/2027 (a) | 586,000 | 584,390 |
8.00%, 4/15/2027 (a) | 1,062,000 | 1,095,200 |
5.88%, 7/1/2029 (a) | 790,000 | 771,955 |
Range Resources Corp. | ||
8.25%, 1/15/2029 | 991,000 | 1,033,878 |
4.75%, 2/15/2030 (a) | 324,000 | 300,998 |
Rockcliff Energy II LLC 5.50%, 10/15/2029 (a) | 840,000 | 773,597 |
Rockies Express Pipeline LLC | ||
4.95%, 7/15/2029 (a) | 1,005,000 | 939,809 |
4.80%, 5/15/2030 (a) | 506,000 | 468,683 |
6.88%, 4/15/2040 (a) | 137,000 | 134,902 |
SM Energy Co. | ||
5.63%, 6/1/2025 | 583,000 | 578,627 |
6.75%, 9/15/2026 | 598,000 | 594,659 |
6.63%, 1/15/2027 | 175,000 | 174,293 |
Southwestern Energy Co. | ||
5.70%, 1/23/2025 (f) | 615,000 | 611,670 |
8.38%, 9/15/2028 | 159,000 | 165,360 |
5.38%, 3/15/2030 | 677,000 | 647,063 |
4.75%, 2/1/2032 | 1,019,000 | 925,594 |
Strathcona Resources Ltd. (Canada) 6.88%, 8/1/2026 (a) | 168,000 | 166,950 |
Summit Midstream Holdings LLC | ||
5.75%, 4/15/2025 | 244,000 | 236,411 |
9.00%, 10/15/2026 (a) (f) | 616,000 | 609,422 |
Sunnova Energy Corp. | ||
5.88%, 9/1/2026 (a) | 443,000 | 360,093 |
11.75%, 10/1/2028 (a) | 135,000 | 113,582 |
Sunoco LP | ||
6.00%, 4/15/2027 | 526,000 | 524,062 |
5.88%, 3/15/2028 | 436,000 | 431,317 |
4.50%, 5/15/2029 | 440,000 | 406,449 |
4.50%, 4/30/2030 | 1,009,000 | 918,070 |
Tallgrass Energy Partners LP | ||
6.00%, 3/1/2027 (a) | 825,000 | 814,275 |
5.50%, 1/15/2028 (a) | 779,000 | 740,050 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 95 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
6.00%, 12/31/2030 (a) | 169,000 | 157,158 |
6.00%, 9/1/2031 (a) | 540,000 | 494,658 |
Teine Energy Ltd. (Canada) 6.88%, 4/15/2029 (a) | 454,000 | 430,856 |
TerraForm Power Operating LLC | ||
5.00%, 1/31/2028 (a) | 806,000 | 761,604 |
4.75%, 1/15/2030 (a) | 404,000 | 365,252 |
Topaz Solar Farms LLC 5.75%, 9/30/2039 (a) | 217,862 | 216,261 |
TransMontaigne Partners LP 6.13%, 2/15/2026 | 207,000 | 191,069 |
Venture Global Calcasieu Pass LLC | ||
3.88%, 8/15/2029 (a) | 1,392,000 | 1,249,332 |
4.13%, 8/15/2031 (a) | 524,000 | 459,893 |
3.88%, 11/1/2033 (a) | 1,610,000 | 1,350,330 |
Venture Global LNG, Inc. | ||
8.13%, 6/1/2028 (a) | 2,111,000 | 2,144,579 |
9.50%, 2/1/2029 (a) | 1,697,000 | 1,809,364 |
8.38%, 6/1/2031 (a) | 1,787,000 | 1,807,481 |
9.88%, 2/1/2032 (a) | 862,000 | 907,583 |
Vermilion Energy, Inc. (Canada) 6.88%, 5/1/2030 (a) | 244,000 | 235,155 |
Vital Energy, Inc. | ||
10.13%, 1/15/2028 | 368,000 | 385,158 |
7.75%, 7/31/2029 (a) | 705,000 | 701,234 |
9.75%, 10/15/2030 | 141,000 | 151,028 |
W&T Offshore, Inc. 11.75%, 2/1/2026 (a) | 535,000 | 550,351 |
84,775,335 | ||
Paper & Forest Products — 0.3% | ||
Ahlstrom Holding 3 Oy (Finland) 4.88%, 2/4/2028 (a) | 227,000 | 206,570 |
Domtar Corp. 6.75%, 10/1/2028 (a) | 724,000 | 668,829 |
Glatfelter Corp. 4.75%, 11/15/2029 (a) | 34,000 | 28,603 |
Louisiana-Pacific Corp. 3.63%, 3/15/2029 (a) | 362,000 | 324,755 |
Mercer International, Inc. (Germany) | ||
5.50%, 1/15/2026 | 210,000 | 202,655 |
5.13%, 2/1/2029 | 686,000 | 591,003 |
2,022,415 | ||
Passenger Airlines — 1.5% | ||
Air Canada (Canada) 3.88%, 8/15/2026 (a) | 1,171,000 | 1,109,001 |
Allegiant Travel Co. 7.25%, 8/15/2027 (a) | 569,000 | 553,923 |
American Airlines Group, Inc. 3.75%, 3/1/2025 (a) | 963,000 | 940,823 |
American Airlines, Inc. | ||
5.50%, 4/20/2026 (a) | 1,379,256 | 1,366,614 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Passenger Airlines — continued | ||
7.25%, 2/15/2028 (a) | 819,000 | 825,816 |
5.75%, 4/20/2029 (a) | 1,680,009 | 1,642,963 |
Delta Air Lines, Inc. | ||
7.38%, 1/15/2026 | 413,000 | 425,906 |
4.38%, 4/19/2028 | 449,000 | 430,479 |
3.75%, 10/28/2029 | 79,000 | 71,805 |
Hawaiian Brand Intellectual Property Ltd. 5.75%, 1/20/2026 (a) | 707,111 | 667,336 |
Spirit Loyalty Cayman Ltd. 8.00%, 9/20/2025 (a) | 878,000 | 635,022 |
United Airlines Holdings, Inc. 4.88%, 1/15/2025 | 509,000 | 503,910 |
United Airlines, Inc. | ||
4.38%, 4/15/2026 (a) | 414,000 | 398,460 |
4.63%, 4/15/2029 (a) | 1,568,000 | 1,446,331 |
VistaJet Malta Finance plc (Switzerland) | ||
7.88%, 5/1/2027 (a) | 648,000 | 548,559 |
9.50%, 6/1/2028 (a) | 624,000 | 525,720 |
6.38%, 2/1/2030 (a) | 117,000 | 85,410 |
12,178,078 | ||
Personal Care Products — 0.4% | ||
BellRing Brands, Inc. 7.00%, 3/15/2030 (a) | 708,000 | 722,458 |
Coty, Inc. | ||
5.00%, 4/15/2026 (a) | 670,000 | 656,600 |
6.50%, 4/15/2026 (a) | 164,000 | 163,766 |
6.63%, 7/15/2030 (a) | 409,000 | 415,646 |
Herbalife Nutrition Ltd. 7.88%, 9/1/2025 (a) | 762,000 | 739,140 |
Prestige Brands, Inc. | ||
5.13%, 1/15/2028 (a) | 264,000 | 255,172 |
3.75%, 4/1/2031 (a) | 485,000 | 418,996 |
3,371,778 | ||
Pharmaceuticals — 1.5% | ||
Bausch Health Americas, Inc. | ||
9.25%, 4/1/2026 (a) | 195,000 | 183,321 |
8.50%, 1/31/2027 (a) | 1,417,000 | 806,306 |
Bausch Health Cos., Inc. | ||
5.50%, 11/1/2025 (a) | 1,802,000 | 1,676,959 |
9.00%, 12/15/2025 (a) | 673,000 | 640,117 |
6.13%, 2/1/2027 (a) | 378,000 | 241,895 |
5.75%, 8/15/2027 (a) | 437,000 | 263,324 |
5.00%, 1/30/2028 (a) | 469,000 | 213,320 |
11.00%, 9/30/2028 (a) | 737,000 | 495,633 |
5.00%, 2/15/2029 (a) | 32,000 | 14,004 |
6.25%, 2/15/2029 (a) | 258,000 | 118,032 |
96 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Pharmaceuticals — continued | ||
5.25%, 1/30/2030 (a) | 600,000 | 258,823 |
14.00%, 10/15/2030 (a) | 352,000 | 207,007 |
Catalent Pharma Solutions, Inc. | ||
5.00%, 7/15/2027 (a) | 513,000 | 505,080 |
3.13%, 2/15/2029 (a) | 793,000 | 765,824 |
Cheplapharm Arzneimittel GmbH (Germany) 5.50%, 1/15/2028 (a) | 287,000 | 269,780 |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (f) | 857,000 | 863,389 |
HLF Financing SARL LLC 4.88%, 6/1/2029 (a) | 419,000 | 299,694 |
Jazz Securities DAC 4.38%, 1/15/2029 (a) | 650,000 | 598,834 |
Organon & Co. | ||
4.13%, 4/30/2028 (a) | 1,413,000 | 1,292,698 |
5.13%, 4/30/2031 (a) | 825,000 | 707,124 |
Perrigo Finance Unlimited Co. | ||
4.38%, 3/15/2026 | 738,000 | 712,299 |
4.65%, 6/15/2030 (f) | 550,000 | 492,308 |
4.90%, 12/15/2044 | 246,000 | 192,030 |
11,817,801 | ||
Professional Services — 0.3% | ||
AMN Healthcare, Inc. | ||
4.63%, 10/1/2027 (a) | 406,000 | 382,026 |
4.00%, 4/15/2029 (a) | 110,000 | 96,525 |
CoreLogic, Inc. 4.50%, 5/1/2028 (a) | 849,000 | 751,900 |
Dun & Bradstreet Corp. (The) 5.00%, 12/15/2029 (a) | 499,000 | 459,080 |
KBR, Inc. 4.75%, 9/30/2028 (a) | 28,000 | 25,689 |
Science Applications International Corp. 4.88%, 4/1/2028 (a) | 560,000 | 530,292 |
TriNet Group, Inc. 3.50%, 3/1/2029 (a) | 514,000 | 455,116 |
2,700,628 | ||
Real Estate Management & Development — 0.7% | ||
Anywhere Real Estate Group LLC 7.00%, 4/15/2030 (a) | 46,000 | 41,685 |
Cushman & Wakefield US Borrower LLC 6.75%, 5/15/2028 (a) | 676,000 | 665,907 |
Five Point Operating Co. LP 10.50%, 1/15/2028 (a) (f) | 219,132 | 224,095 |
Forestar Group, Inc. | ||
3.85%, 5/15/2026 (a) | 105,000 | 99,742 |
5.00%, 3/1/2028 (a) | 65,000 | 61,439 |
Greystar Real Estate Partners LLC 7.75%, 9/1/2030 (a) | 637,000 | 660,851 |
Howard Hughes Corp. (The) | ||
5.38%, 8/1/2028 (a) | 360,000 | 339,520 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Real Estate Management & Development — continued | ||
4.13%, 2/1/2029 (a) | 883,000 | 783,830 |
4.38%, 2/1/2031 (a) | 482,000 | 410,612 |
Hunt Cos., Inc. 5.25%, 4/15/2029 (a) | 712,000 | 651,425 |
Kennedy-Wilson, Inc. | ||
4.75%, 3/1/2029 | 784,000 | 635,040 |
4.75%, 2/1/2030 | 509,000 | 402,746 |
Realogy Group LLC | ||
5.75%, 1/15/2029 (a) | 923,000 | 686,574 |
5.25%, 4/15/2030 (a) | 148,000 | 103,664 |
WeWork Cos. LLC 5.00%, 7/10/2025 (a) (g) | 217,000 | 8,138 |
5,775,268 | ||
Retail REITs — 0.2% | ||
Brookfield Property REIT, Inc. | ||
5.75%, 5/15/2026 (a) | 846,000 | 815,958 |
4.50%, 4/1/2027 (a) | 466,000 | 409,659 |
1,225,617 | ||
Semiconductors & Semiconductor Equipment — 0.4% | ||
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | 489,000 | 491,597 |
ams-OSRAM AG (Austria) 12.25%, 3/30/2029 (a) | 160,000 | 162,300 |
Entegris, Inc. | ||
4.75%, 4/15/2029 (a) | 1,391,000 | 1,311,613 |
3.63%, 5/1/2029 (a) | 50,000 | 44,250 |
5.95%, 6/15/2030 (a) | 846,000 | 829,549 |
ON Semiconductor Corp. 3.88%, 9/1/2028 (a) | 53,000 | 48,470 |
Synaptics, Inc. 4.00%, 6/15/2029 (a) | 446,000 | 399,440 |
3,287,219 | ||
Software — 2.9% | ||
ACI Worldwide, Inc. 5.75%, 8/15/2026 (a) | 377,000 | 369,827 |
Boxer Parent Co., Inc. 7.13%, 10/2/2025 (a) | 491,000 | 491,486 |
Camelot Finance SA 4.50%, 11/1/2026 (a) | 295,000 | 281,823 |
Capstone Borrower, Inc. 8.00%, 6/15/2030 (a) | 487,000 | 503,339 |
Central Parent LLC 8.00%, 6/15/2029 (a) | 632,000 | 647,763 |
Clarivate Science Holdings Corp. | ||
3.88%, 7/1/2028 (a) | 1,356,000 | 1,237,805 |
4.88%, 7/1/2029 (a) | 250,000 | 226,728 |
Cloud Software Group, Inc. | ||
6.50%, 3/31/2029 (a) | 1,832,000 | 1,706,065 |
9.00%, 9/30/2029 (a) | 2,450,000 | 2,286,607 |
Consensus Cloud Solutions, Inc. 6.50%, 10/15/2028 (a) | 765,000 | 680,559 |
Crowdstrike Holdings, Inc. 3.00%, 2/15/2029 | 927,000 | 818,028 |
Elastic NV 4.13%, 7/15/2029 (a) | 631,000 | 566,784 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 97 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Software — continued | ||
Fair Isaac Corp. | ||
5.25%, 5/15/2026 (a) | 427,000 | 422,472 |
4.00%, 6/15/2028 (a) | 575,000 | 534,126 |
Gen Digital, Inc. | ||
5.00%, 4/15/2025 (a) | 203,000 | 200,970 |
6.75%, 9/30/2027 (a) | 525,000 | 527,698 |
7.13%, 9/30/2030 (a) | 918,000 | 937,851 |
GoTo Group, Inc. 5.50%, 5/1/2028 (a) | 580,579 | 408,684 |
McAfee Corp. 7.38%, 2/15/2030 (a) | 850,000 | 750,191 |
MicroStrategy, Inc. 6.13%, 6/15/2028 (a) | 705,000 | 679,762 |
NCR Voyix Corp. | ||
5.00%, 10/1/2028 (a) | 777,000 | 722,128 |
5.13%, 4/15/2029 (a) | 589,000 | 546,106 |
5.25%, 10/1/2030 (a) | 508,000 | 458,882 |
Open Text Corp. (Canada) | ||
3.88%, 2/15/2028 (a) | 268,000 | 246,260 |
3.88%, 12/1/2029 (a) | 562,000 | 496,731 |
Open Text Holdings, Inc. (Canada) | ||
4.13%, 2/15/2030 (a) | 549,000 | 484,697 |
4.13%, 12/1/2031 (a) | 1,080,000 | 924,392 |
PTC, Inc. 4.00%, 2/15/2028 (a) | 606,000 | 565,392 |
RingCentral, Inc. 8.50%, 8/15/2030 (a) | 295,000 | 304,997 |
Rocket Software, Inc. 6.50%, 2/15/2029 (a) | 697,000 | 590,042 |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | 1,670,000 | 1,626,246 |
Veritas US, Inc. 7.50%, 9/1/2025 (a) | 1,545,000 | 1,416,670 |
ZoomInfo Technologies LLC 3.88%, 2/1/2029 (a) | 388,000 | 347,621 |
23,008,732 | ||
Specialized REITs — 0.8% | ||
Iron Mountain, Inc. | ||
4.88%, 9/15/2027 (a) | 1,124,000 | 1,078,021 |
5.25%, 3/15/2028 (a) | 260,000 | 250,587 |
5.00%, 7/15/2028 (a) | 727,000 | 688,278 |
4.88%, 9/15/2029 (a) | 1,028,000 | 955,992 |
5.25%, 7/15/2030 (a) | 267,000 | 249,853 |
4.50%, 2/15/2031 (a) | 300,000 | 265,481 |
5.63%, 7/15/2032 (a) | 543,000 | 504,666 |
SBA Communications Corp. | ||
3.88%, 2/15/2027 | 1,370,000 | 1,292,715 |
3.13%, 2/1/2029 | 952,000 | 842,515 |
6,128,108 | ||
Specialty Retail — 3.4% | ||
99 Escrow Issuer, Inc. 7.50%, 1/15/2026 (a) | 137,000 | 45,191 |
Advance Auto Parts, Inc. 3.50%, 3/15/2032 | 1,148,000 | 962,876 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Specialty Retail — continued | ||
Arko Corp. 5.13%, 11/15/2029 (a) | 335,000 | 290,445 |
Asbury Automotive Group, Inc. | ||
4.50%, 3/1/2028 | 550,000 | 512,875 |
4.63%, 11/15/2029 (a) | 949,000 | 864,486 |
5.00%, 2/15/2032 (a) | 355,000 | 315,168 |
At Home Group, Inc. 4.88%, 7/15/2028 (a) | 373,000 | 156,660 |
Bath & Body Works, Inc. | ||
9.38%, 7/1/2025 (a) | 539,000 | 561,713 |
6.69%, 1/15/2027 | 435,000 | 440,675 |
5.25%, 2/1/2028 | 460,000 | 446,616 |
7.50%, 6/15/2029 | 375,000 | 386,104 |
6.88%, 11/1/2035 | 857,000 | 857,430 |
6.75%, 7/1/2036 | 405,000 | 398,040 |
BCPE Ulysses Intermediate, Inc. 7.75% (Cash), 4/1/2027 (a) (b) | 30,000 | 28,745 |
Carvana Co. | ||
5.50%, 4/15/2027 (a) | 50,000 | 38,820 |
14.00% (PIK), 6/1/2031 (a) (b) | 1,545,350 | 1,492,720 |
eG Global Finance plc (United Kingdom) 12.00%, 11/30/2028 (a) | 1,065,000 | 1,124,374 |
Evergreen Acqco 1 LP 9.75%, 4/26/2028 (a) | 516,000 | 544,437 |
Foot Locker, Inc. 4.00%, 10/1/2029 (a) | 459,000 | 388,424 |
Gap, Inc. (The) | ||
3.63%, 10/1/2029 (a) | 811,000 | 685,039 |
3.88%, 10/1/2031 (a) | 460,000 | 371,058 |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | 572,000 | 522,123 |
Guitar Center, Inc. 8.50%, 1/15/2026 (a) | 364,000 | 318,656 |
LBM Acquisition LLC 6.25%, 1/15/2029 (a) | 903,000 | 813,493 |
LCM Investments Holdings II LLC | ||
4.88%, 5/1/2029 (a) | 345,000 | 309,827 |
8.25%, 8/1/2031 (a) | 141,000 | 143,904 |
Lithia Motors, Inc. | ||
3.88%, 6/1/2029 (a) | 1,274,000 | 1,137,045 |
4.38%, 1/15/2031 (a) | 243,000 | 215,609 |
LSF9 Atlantis Holdings LLC 7.75%, 2/15/2026 (a) | 868,000 | 859,860 |
Michaels Cos., Inc. (The) | ||
5.25%, 5/1/2028 (a) | 415,000 | 322,205 |
7.88%, 5/1/2029 (a) | 1,031,000 | 665,720 |
Murphy Oil USA, Inc. | ||
5.63%, 5/1/2027 | 468,000 | 460,983 |
4.75%, 9/15/2029 | 282,000 | 262,933 |
3.75%, 2/15/2031 (a) | 495,000 | 422,382 |
98 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Specialty Retail — continued | ||
Park River Holdings, Inc. | ||
5.63%, 2/1/2029 (a) | 213,000 | 179,186 |
6.75%, 8/1/2029 (a) | 106,000 | 90,764 |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | 992,000 | 878,651 |
PetSmart, Inc. | ||
4.75%, 2/15/2028 (a) | 1,076,000 | 1,008,540 |
7.75%, 2/15/2029 (a) | 400,000 | 395,267 |
Sally Holdings LLC 5.63%, 12/1/2025 | 719,000 | 718,531 |
Sonic Automotive, Inc. | ||
4.63%, 11/15/2029 (a) | 706,000 | 623,002 |
4.88%, 11/15/2031 (a) | 471,000 | 404,693 |
Specialty Building Products Holdings LLC 6.38%, 9/30/2026 (a) | 824,000 | 805,906 |
SRS Distribution, Inc. | ||
4.63%, 7/1/2028 (a) | 834,000 | 777,855 |
6.13%, 7/1/2029 (a) | 710,000 | 662,075 |
Staples, Inc. | ||
7.50%, 4/15/2026 (a) | 1,505,000 | 1,446,929 |
10.75%, 4/15/2027 (a) | 652,000 | 596,580 |
Upbound Group, Inc. 6.38%, 2/15/2029 (a) | 400,000 | 382,848 |
Victoria's Secret & Co. 4.63%, 7/15/2029 (a) | 473,000 | 398,986 |
White Cap Buyer LLC 6.88%, 10/15/2028 (a) | 296,000 | 288,616 |
White Cap Parent LLC 8.25% (Cash), 3/15/2026 (a) (b) | 441,000 | 436,796 |
27,461,861 | ||
Technology Hardware, Storage & Peripherals — 0.6% | ||
Seagate HDD Cayman | ||
4.88%, 6/1/2027 | 706,000 | 683,679 |
4.09%, 6/1/2029 | 1,176,000 | 1,073,129 |
8.25%, 12/15/2029 (a) | 100,000 | 107,151 |
8.50%, 7/15/2031 (a) | 40,000 | 43,249 |
9.63%, 12/1/2032 | 162,000 | 183,076 |
Western Digital Corp. | ||
4.75%, 2/15/2026 | 789,000 | 771,101 |
3.10%, 2/1/2032 | 92,000 | 72,009 |
Xerox Corp. | ||
4.80%, 3/1/2035 | 146,000 | 110,764 |
6.75%, 12/15/2039 | 487,000 | 416,565 |
Xerox Holdings Corp. | ||
5.00%, 8/15/2025 (a) | 713,000 | 701,248 |
5.50%, 8/15/2028 (a) | 541,000 | 489,227 |
4,651,198 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Textiles, Apparel & Luxury Goods — 0.5% | ||
Crocs, Inc. | ||
4.25%, 3/15/2029 (a) | 717,000 | 643,515 |
4.13%, 8/15/2031 (a) | 40,000 | 34,032 |
G-III Apparel Group Ltd. 7.88%, 8/15/2025 (a) | 628,000 | 632,817 |
Hanesbrands, Inc. | ||
4.88%, 5/15/2026 (a) | 321,000 | 309,773 |
9.00%, 2/15/2031 (a) | 98,000 | 98,217 |
Kontoor Brands, Inc. 4.13%, 11/15/2029 (a) | 150,000 | 134,142 |
Levi Strauss & Co. 3.50%, 3/1/2031 (a) | 775,000 | 671,592 |
Under Armour, Inc. 3.25%, 6/15/2026 | 694,000 | 653,501 |
William Carter Co. (The) 5.63%, 3/15/2027 (a) | 446,000 | 437,560 |
Wolverine World Wide, Inc. 4.00%, 8/15/2029 (a) | 529,000 | 423,861 |
4,039,010 | ||
Tobacco — 0.2% | ||
Turning Point Brands, Inc. 5.63%, 2/15/2026 (a) | 102,000 | 99,976 |
Vector Group Ltd. | ||
10.50%, 11/1/2026 (a) | 238,000 | 239,488 |
5.75%, 2/1/2029 (a) | 1,091,000 | 999,489 |
1,338,953 | ||
Trading Companies & Distributors — 1.6% | ||
Alta Equipment Group, Inc. 5.63%, 4/15/2026 (a) | 70,000 | 67,692 |
Beacon Roofing Supply, Inc. | ||
4.50%, 11/15/2026 (a) | 410,000 | 395,355 |
4.13%, 5/15/2029 (a) | 380,000 | 341,756 |
6.50%, 8/1/2030 (a) | 405,000 | 407,193 |
BlueLinx Holdings, Inc. 6.00%, 11/15/2029 (a) | 565,000 | 539,151 |
Boise Cascade Co. 4.88%, 7/1/2030 (a) | 438,000 | 404,155 |
Fortress Transportation and Infrastructure Investors LLC | ||
6.50%, 10/1/2025 (a) | 878,000 | 878,425 |
5.50%, 5/1/2028 (a) | 915,000 | 876,077 |
Foundation Building Materials, Inc. 6.00%, 3/1/2029 (a) | 225,000 | 196,331 |
H&E Equipment Services, Inc. 3.88%, 12/15/2028 (a) | 874,000 | 788,643 |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | 1,038,000 | 1,015,887 |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | 1,693,000 | 1,568,734 |
United Rentals North America, Inc. | ||
5.50%, 5/15/2027 | 693,000 | 688,385 |
3.88%, 11/15/2027 | 507,000 | 477,412 |
4.88%, 1/15/2028 | 1,394,000 | 1,345,622 |
5.25%, 1/15/2030 | 976,000 | 945,006 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 99 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Trading Companies & Distributors — continued | ||
3.75%, 1/15/2032 | 723,000 | 625,645 |
WESCO Distribution, Inc. | ||
7.13%, 6/15/2025 (a) | 80,000 | 80,478 |
7.25%, 6/15/2028 (a) | 913,000 | 933,028 |
12,574,975 | ||
Wireless Telecommunication Services — 1.1% | ||
Altice France Holding SA (Luxembourg) | ||
10.50%, 5/15/2027 (a) | 1,581,000 | 1,032,811 |
6.00%, 2/15/2028 (a) | 205,000 | 103,473 |
Connect Finco SARL (United Kingdom) 6.75%, 10/1/2026 (a) | 1,283,000 | 1,258,851 |
Hughes Satellite Systems Corp. | ||
5.25%, 8/1/2026 | 389,000 | 332,350 |
6.63%, 8/1/2026 | 793,000 | 522,603 |
Millicom International Cellular SA (Guatemala) 4.50%, 4/27/2031 (a) | 559,000 | 482,808 |
Rogers Communications, Inc. (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.59%), 5.25%, 3/15/2082 (a) (c) | 619,000 | 590,974 |
United States Cellular Corp. 6.70%, 12/15/2033 | 665,000 | 654,300 |
Vmed O2 UK Financing I plc (United Kingdom) | ||
4.25%, 1/31/2031 (a) | 529,000 | 448,620 |
4.75%, 7/15/2031 (a) | 500,000 | 432,363 |
Vodafone Group plc (United Kingdom) | ||
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (c) | 1,754,000 | 1,797,370 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.45%), 3.25%, 6/4/2081 (c) | 174,000 | 161,483 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.07%), 5.13%, 6/4/2081 (c) | 981,000 | 726,699 |
8,544,705 | ||
Total Corporate Bonds (Cost $791,306,293) | 783,536,577 | |
SHARES | ||
Common Stocks — 0.0% ^ | ||
Financial Services — 0.0% ^ | ||
Mallinckrodt plc (Luxembourg) ‡ | 739 | 28,311 |
INVESTMENTS | SHARES | VALUE($) |
Software — 0.0% ^ | ||
Cwt Travel Group, Inc. ‡ * | 1,455 | 7,275 |
Total Common Stocks (Cost $65,231) | 35,586 | |
Short-Term Investments — 1.0% | ||
Investment Companies — 1.0% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (h) (i) (Cost $7,787,177) | 7,787,177 | 7,787,177 |
Total Investments — 98.9% (Cost $799,158,701) | 791,359,340 | |
Other Assets Less Liabilities — 1.1% | 8,919,844 | |
NET ASSETS — 100.0% | 800,279,184 |
Percentages indicated are based on net assets. |
Abbreviations | |
CME | Chicago Mercantile Exchange |
HB | High Coupon Bonds (a.k.a. "IOettes") represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO's the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. |
ICE | Intercontinental Exchange |
PIK | Payment In Kind |
REIT | Real Estate Investment Trust |
SCA | Limited partnership with share capital |
SOFR | Secured Overnight Financing Rate |
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 29, 2024. | |
(d) | Security is an interest bearing note with preferred security characteristics. |
100 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
(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 29, 2024. | |
(f) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2024. |
(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 29, 2024. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 101 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 98.1% | ||
Aerospace & Defense — 3.1% | ||
Boeing Co. (The) | ||
4.88%, 5/1/2025 | 55,000 | 54,520 |
3.60%, 5/1/2034 | 230,000 | 193,934 |
3.55%, 3/1/2038 | 15,000 | 11,592 |
5.81%, 5/1/2050 | 29,000 | 27,871 |
General Dynamics Corp. | ||
3.25%, 4/1/2025 | 98,000 | 95,947 |
4.25%, 4/1/2040 | 53,000 | 47,251 |
2.85%, 6/1/2041 | 2,000 | 1,448 |
3.60%, 11/15/2042 | 50,000 | 40,249 |
4.25%, 4/1/2050 | 12,000 | 10,329 |
Hexcel Corp. 4.20%, 2/15/2027 (a) | 5,000 | 4,760 |
Huntington Ingalls Industries, Inc. 4.20%, 5/1/2030 | 152,000 | 142,903 |
L3Harris Technologies, Inc. | ||
4.40%, 6/15/2028 | 150,000 | 145,702 |
2.90%, 12/15/2029 | 12,000 | 10,635 |
Lockheed Martin Corp. | ||
3.55%, 1/15/2026 | 54,000 | 52,612 |
4.50%, 5/15/2036 | 27,000 | 25,540 |
5.72%, 6/1/2040 (a) | 85,000 | 89,236 |
4.15%, 6/15/2053 | 48,000 | 39,764 |
5.90%, 11/15/2063 | 32,000 | 34,708 |
Northrop Grumman Corp. | ||
3.25%, 1/15/2028 | 90,000 | 84,394 |
3.85%, 4/15/2045 | 68,000 | 53,974 |
4.03%, 10/15/2047 | 41,000 | 33,012 |
RTX Corp. | ||
3.13%, 5/4/2027 | 146,000 | 137,788 |
4.13%, 11/16/2028 | 34,000 | 32,654 |
4.45%, 11/16/2038 | 40,000 | 35,522 |
Textron, Inc. | ||
3.88%, 3/1/2025 | 12,000 | 11,811 |
3.38%, 3/1/2028 | 35,000 | 32,806 |
1,450,962 | ||
Air Freight & Logistics — 0.4% | ||
FedEx Corp. | ||
2.40%, 5/15/2031 | 93,000 | 77,675 |
4.05%, 2/15/2048 | 6,000 | 4,717 |
United Parcel Service, Inc. | ||
4.25%, 3/15/2049 | 98,000 | 84,227 |
5.30%, 4/1/2050 | 18,000 | 18,049 |
184,668 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Automobile Components — 0.1% | ||
Lear Corp. 3.50%, 5/30/2030 | 28,000 | 25,022 |
Automobiles — 0.7% | ||
Ford Motor Co. | ||
6.63%, 10/1/2028 | 55,000 | 57,453 |
6.10%, 8/19/2032 | 28,000 | 27,923 |
4.75%, 1/15/2043 | 49,000 | 39,720 |
General Motors Co. | ||
6.13%, 10/1/2025 | 116,000 | 116,958 |
5.00%, 4/1/2035 | 15,000 | 14,024 |
5.40%, 4/1/2048 | 10,000 | 8,969 |
5.95%, 4/1/2049 | 64,000 | 61,503 |
Toyota Motor Corp. (Japan) 1.34%, 3/25/2026 | 22,000 | 20,424 |
346,974 | ||
Banks — 16.6% | ||
Banco Santander SA (Spain) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00%), 4.18%, 3/24/2028 (b) | 200,000 | 191,456 |
Bank of America Corp. | ||
4.25%, 10/22/2026 | 16,000 | 15,647 |
(SOFR + 1.29%), 5.08%, 1/20/2027 (b) | 44,000 | 43,718 |
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (b) | 85,000 | 78,916 |
(3-MONTH CME TERM SOFR + 1.32%), 3.56%, 4/23/2027 (b) | 47,000 | 45,202 |
(SOFR + 1.34%), 5.93%, 9/15/2027 (b) | 2,000 | 2,028 |
Series L, 4.18%, 11/25/2027 | 213,000 | 205,684 |
(SOFR + 1.05%), 2.55%, 2/4/2028 (b) | 266,000 | 246,004 |
(SOFR + 2.04%), 4.95%, 7/22/2028 (b) | 47,000 | 46,527 |
(3-MONTH CME TERM SOFR + 1.30%), 3.42%, 12/20/2028 (b) | 105,000 | 98,120 |
(3-MONTH CME TERM SOFR + 1.44%), 3.19%, 7/23/2030 (b) | 75,000 | 67,480 |
(3-MONTH CME TERM SOFR + 1.25%), 2.50%, 2/13/2031 (b) | 237,000 | 202,048 |
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (b) | 36,000 | 30,113 |
(SOFR + 1.32%), 2.69%, 4/22/2032 (b) | 237,000 | 198,365 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.20%), 2.48%, 9/21/2036 (b) | 101,000 | 79,773 |
(3-MONTH CME TERM SOFR + 2.25%), 4.44%, 1/20/2048 (b) | 50,000 | 43,014 |
(3-MONTH CME TERM SOFR + 3.41%), 4.08%, 3/20/2051 (b) | 35,000 | 28,265 |
Bank of Montreal (Canada) (SOFR + 0.60%), 0.95%, 1/22/2027 (b) | 90,000 | 83,040 |
102 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
Bank of Nova Scotia (The) (Canada) | ||
4.85%, 2/1/2030 | 45,000 | 44,388 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 4.59%, 5/4/2037 (b) (c) | 16,000 | 14,321 |
Barclays plc (United Kingdom) | ||
4.38%, 1/12/2026 | 200,000 | 195,881 |
(SOFR + 2.21%), 5.83%, 5/9/2027 (b) | 200,000 | 200,407 |
Canadian Imperial Bank of Commerce (Canada) | ||
5.14%, 4/28/2025 | 135,000 | 134,540 |
6.09%, 10/3/2033 | 48,000 | 49,845 |
Citibank NA 5.86%, 9/29/2025 | 250,000 | 252,973 |
Citigroup, Inc. | ||
3.20%, 10/21/2026 | 197,000 | 187,098 |
(SOFR + 1.89%), 4.66%, 5/24/2028 (b) | 50,000 | 49,088 |
(SOFR + 1.42%), 2.98%, 11/5/2030 (b) | 179,000 | 157,909 |
(SOFR + 1.15%), 2.67%, 1/29/2031 (b) | 137,000 | 117,466 |
(SOFR + 3.91%), 4.41%, 3/31/2031 (b) | 179,000 | 169,128 |
4.75%, 5/18/2046 | 30,000 | 26,240 |
Citizens Financial Group, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.75%), 5.64%, 5/21/2037 (b) | 23,000 | 21,055 |
Cooperatieve Rabobank UA (Netherlands) 5.25%, 5/24/2041 | 150,000 | 151,553 |
Fifth Third Bancorp | ||
(SOFRINDX + 2.19%), 6.36%, 10/27/2028 (b) | 116,000 | 118,207 |
8.25%, 3/1/2038 | 35,000 | 41,379 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 1.10%), 2.25%, 11/22/2027 (b) | 214,000 | 195,883 |
(SOFR + 1.29%), 2.21%, 8/17/2029 (b) | 200,000 | 173,635 |
(SOFR + 2.87%), 5.40%, 8/11/2033 (b) | 271,000 | 266,270 |
6.80%, 6/1/2038 | 149,000 | 156,427 |
6.10%, 1/14/2042 | 32,000 | 34,966 |
Huntington Bancshares, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.17%), 2.49%, 8/15/2036 (b) | 45,000 | 33,963 |
KeyCorp (SOFRINDX + 2.06%), 4.79%, 6/1/2033 (b) | 88,000 | 79,475 |
Lloyds Banking Group plc (United Kingdom) 4.55%, 8/16/2028 | 200,000 | 194,041 |
M&T Bank Corp. (SOFR + 1.85%), 5.05%, 1/27/2034 (b) | 48,000 | 44,118 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
3.78%, 3/2/2025 | 17,000 | 16,725 |
3.96%, 3/2/2028 | 50,000 | 48,160 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
4.05%, 9/11/2028 | 5,000 | 4,839 |
3.74%, 3/7/2029 | 210,000 | 198,274 |
Mizuho Financial Group, Inc. (Japan) 4.02%, 3/5/2028 | 200,000 | 192,275 |
PNC Financial Services Group, Inc. (The) | ||
3.15%, 5/19/2027 | 96,000 | 90,354 |
3.45%, 4/23/2029 | 261,000 | 241,001 |
Regions Financial Corp. | ||
2.25%, 5/18/2025 | 2,000 | 1,915 |
7.38%, 12/10/2037 | 25,000 | 28,109 |
Royal Bank of Canada (Canada) | ||
3.38%, 4/14/2025 | 98,000 | 95,975 |
5.00%, 2/1/2033 | 128,000 | 125,814 |
5.00%, 5/2/2033 | 105,000 | 103,390 |
Santander Holdings USA, Inc. | ||
4.50%, 7/17/2025 | 91,000 | 89,210 |
4.40%, 7/13/2027 | 93,000 | 89,128 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
3.78%, 3/9/2026 | 75,000 | 72,951 |
3.35%, 10/18/2027 | 39,000 | 36,785 |
3.94%, 7/19/2028 | 5,000 | 4,785 |
4.31%, 10/16/2028 | 12,000 | 11,740 |
2.14%, 9/23/2030 (c) | 31,000 | 25,460 |
Toronto-Dominion Bank (The) (Canada) 3.77%, 6/6/2025 | 248,000 | 243,579 |
Truist Financial Corp. | ||
(SOFR + 1.46%), 4.26%, 7/28/2026 (b) | 54,000 | 52,895 |
3.88%, 3/19/2029 | 21,000 | 19,339 |
US Bancorp | ||
(SOFR + 2.11%), 4.97%, 7/22/2033 (b) | 55,000 | 51,466 |
(SOFR + 1.60%), 4.84%, 2/1/2034 (b) | 21,000 | 19,765 |
Wells Fargo & Co. | ||
(SOFR + 1.98%), 4.81%, 7/25/2028 (b) | 20,000 | 19,646 |
(SOFR + 1.74%), 5.57%, 7/25/2029 (b) | 28,000 | 28,195 |
(3-MONTH CME TERM SOFR + 1.43%), 2.88%, 10/30/2030 (b) | 249,000 | 218,186 |
(SOFR + 2.02%), 5.39%, 4/24/2034 (b) | 32,000 | 31,480 |
(SOFR + 1.99%), 5.56%, 7/25/2034 (b) | 82,000 | 81,687 |
(SOFR + 2.06%), 6.49%, 10/23/2034 (b) | 217,000 | 230,792 |
5.38%, 2/7/2035 | 79,000 | 79,732 |
5.38%, 11/2/2043 | 221,000 | 210,882 |
5.61%, 1/15/2044 | 109,000 | 105,986 |
4.75%, 12/7/2046 | 18,000 | 15,557 |
(SOFR + 2.13%), 4.61%, 4/25/2053 (b) | 33,000 | 28,793 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 103 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
Westpac Banking Corp. (Australia) | ||
3.74%, 8/26/2025 | 38,000 | 37,263 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.00%), 4.11%, 7/24/2034 (b) (c) | 27,000 | 24,663 |
4.42%, 7/24/2039 (c) | 115,000 | 99,549 |
7,892,001 | ||
Beverages — 2.0% | ||
Anheuser-Busch Cos. LLC (Belgium) | ||
4.70%, 2/1/2036 | 76,000 | 72,735 |
4.90%, 2/1/2046 | 144,000 | 134,414 |
Anheuser-Busch InBev Finance, Inc. (Belgium) 4.70%, 2/1/2036 | 55,000 | 52,436 |
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | ||
4.90%, 1/23/2031 | 16,000 | 16,083 |
4.60%, 4/15/2048 | 105,000 | 94,318 |
4.75%, 4/15/2058 | 53,000 | 47,680 |
5.80%, 1/23/2059 | 55,000 | 58,084 |
Coca-Cola Co. (The) 1.65%, 6/1/2030 | 66,000 | 55,122 |
Constellation Brands, Inc. | ||
5.00%, 2/2/2026 | 80,000 | 79,498 |
3.15%, 8/1/2029 | 66,000 | 59,878 |
Keurig Dr. Pepper, Inc. | ||
3.80%, 5/1/2050 | 20,000 | 15,211 |
3.35%, 3/15/2051 | 90,000 | 62,571 |
Molson Coors Beverage Co. 4.20%, 7/15/2046 | 46,000 | 37,476 |
PepsiCo, Inc. | ||
4.55%, 2/13/2026 | 2,000 | 1,988 |
2.85%, 2/24/2026 | 2,000 | 1,924 |
2.75%, 3/19/2030 | 18,000 | 16,057 |
4.25%, 10/22/2044 | 129,000 | 111,853 |
2.75%, 10/21/2051 | 77,000 | 50,596 |
967,924 | ||
Biotechnology — 2.1% | ||
AbbVie, Inc. | ||
3.60%, 5/14/2025 | 47,000 | 46,057 |
2.95%, 11/21/2026 | 273,000 | 258,884 |
4.30%, 5/14/2036 | 86,000 | 80,060 |
Amgen, Inc. | ||
5.51%, 3/2/2026 | 2,000 | 1,998 |
2.45%, 2/21/2030 | 75,000 | 65,198 |
4.20%, 3/1/2033 | 24,000 | 22,221 |
5.25%, 3/2/2033 | 15,000 | 14,955 |
2.80%, 8/15/2041 | 102,000 | 72,629 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Biotechnology — continued | ||
5.65%, 6/15/2042 | 41,000 | 41,314 |
5.60%, 3/2/2043 | 10,000 | 10,033 |
4.40%, 2/22/2062 | 74,000 | 59,458 |
Biogen, Inc. 3.15%, 5/1/2050 | 125,000 | 82,540 |
Gilead Sciences, Inc. | ||
3.65%, 3/1/2026 | 206,000 | 200,070 |
4.15%, 3/1/2047 | 71,000 | 58,585 |
1,014,002 | ||
Broadline Retail — 1.2% | ||
Alibaba Group Holding Ltd. (China) 2.13%, 2/9/2031 | 200,000 | 165,437 |
Amazon.com, Inc. | ||
1.00%, 5/12/2026 | 62,000 | 57,064 |
3.30%, 4/13/2027 | 21,000 | 20,129 |
1.50%, 6/3/2030 | 3,000 | 2,481 |
4.80%, 12/5/2034 | 95,000 | 94,973 |
3.88%, 8/22/2037 | 150,000 | 134,086 |
4.10%, 4/13/2062 | 51,000 | 42,152 |
eBay, Inc. 4.00%, 7/15/2042 | 59,000 | 46,806 |
563,128 | ||
Building Products — 0.1% | ||
Carrier Global Corp. 3.58%, 4/5/2050 | 15,000 | 11,054 |
Masco Corp. 2.00%, 10/1/2030 | 51,000 | 41,496 |
52,550 | ||
Capital Markets — 7.0% | ||
Ares Capital Corp. 3.88%, 1/15/2026 | 2,000 | 1,919 |
Bank of New York Mellon Corp. (The) | ||
1.60%, 4/24/2025 | 42,000 | 40,348 |
(SOFR + 1.76%), 4.60%, 7/26/2030 (b) | 1,000 | 977 |
BlackRock, Inc. | ||
1.90%, 1/28/2031 | 169,000 | 139,843 |
4.75%, 5/25/2033 | 27,000 | 26,481 |
Blue Owl Capital Corp. II 8.45%, 11/15/2026 (d) | 12,000 | 12,306 |
Blue Owl Capital Corp. III 3.13%, 4/13/2027 | 61,000 | 55,072 |
Blue Owl Credit Income Corp. 5.50%, 3/21/2025 | 2,000 | 1,982 |
Brookfield Finance, Inc. (Canada) 4.85%, 3/29/2029 | 120,000 | 118,280 |
Charles Schwab Corp. (The) (SOFR + 2.50%), 5.85%, 5/19/2034 (b) | 5,000 | 5,075 |
CME Group, Inc. 4.15%, 6/15/2048 | 44,000 | 37,771 |
Credit Suisse USA, Inc. (Switzerland) 7.13%, 7/15/2032 | 41,000 | 45,753 |
Deutsche Bank AG (Germany) (SOFR + 1.87%), 2.13%, 11/24/2026 (b) | 151,000 | 141,580 |
104 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
FS KKR Capital Corp. 3.25%, 7/15/2027 | 22,000 | 19,976 |
Goldman Sachs Group, Inc. (The) | ||
3.50%, 4/1/2025 | 72,000 | 70,512 |
3.85%, 1/26/2027 | 51,000 | 49,277 |
(SOFR + 0.82%), 1.54%, 9/10/2027 (b) | 20,000 | 18,179 |
(SOFR + 1.85%), 3.62%, 3/15/2028 (b) | 125,000 | 119,194 |
(3-MONTH CME TERM SOFR + 1.56%), 4.22%, 5/1/2029 (b) | 100,000 | 95,885 |
3.80%, 3/15/2030 | 363,000 | 337,514 |
(SOFR + 1.25%), 2.38%, 7/21/2032 (b) | 18,000 | 14,647 |
6.13%, 2/15/2033 | 41,000 | 43,968 |
Hercules Capital, Inc. 3.38%, 1/20/2027 | 47,000 | 42,621 |
Intercontinental Exchange, Inc. | ||
4.25%, 9/21/2048 | 75,000 | 63,476 |
5.20%, 6/15/2062 | 63,000 | 60,544 |
Moody's Corp. 3.75%, 2/25/2052 | 11,000 | 8,513 |
Morgan Stanley | ||
4.00%, 7/23/2025 | 96,000 | 94,359 |
(SOFR + 1.77%), 6.14%, 10/16/2026 (b) | 18,000 | 18,213 |
3.63%, 1/20/2027 | 105,000 | 101,234 |
3.95%, 4/23/2027 | 118,000 | 113,573 |
(SOFR + 0.88%), 1.59%, 5/4/2027 (b) | 88,000 | 81,131 |
(SOFR + 1.61%), 4.21%, 4/20/2028 (b) | 10,000 | 9,678 |
(3-MONTH CME TERM SOFR + 1.40%), 3.77%, 1/24/2029 (b) | 254,000 | 240,062 |
(SOFR + 3.12%), 3.62%, 4/1/2031 (b) | 61,000 | 55,391 |
(SOFR + 1.03%), 1.79%, 2/13/2032 (b) | 5,000 | 3,959 |
7.25%, 4/1/2032 | 82,000 | 93,445 |
(SOFR + 1.29%), 2.94%, 1/21/2033 (b) | 15,000 | 12,583 |
(SOFR + 1.36%), 2.48%, 9/16/2036 (b) | 49,000 | 38,506 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (b) | 10,000 | 9,970 |
3.97%, 7/22/2038 (e) | 153,000 | 130,427 |
(SOFR + 1.43%), 2.80%, 1/25/2052 (b) | 2,000 | 1,286 |
Nomura Holdings, Inc. (Japan) 2.33%, 1/22/2027 | 200,000 | 183,276 |
Northern Trust Corp. | ||
3.15%, 5/3/2029 | 24,000 | 22,213 |
6.13%, 11/2/2032 | 57,000 | 59,870 |
Prospect Capital Corp. | ||
3.71%, 1/22/2026 | 56,000 | 52,783 |
3.36%, 11/15/2026 | 66,000 | 59,552 |
S&P Global, Inc. 3.70%, 3/1/2052 | 68,000 | 52,578 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Capital Markets — continued | ||
State Street Corp. | ||
(SOFR + 1.72%), 5.82%, 11/4/2028 (b) | 31,000 | 31,714 |
(SOFR + 1.00%), 2.62%, 2/7/2033 (b) | 41,000 | 34,031 |
(SOFR + 1.49%), 3.03%, 11/1/2034 (b) | 26,000 | 22,935 |
UBS AG (Switzerland) 5.80%, 9/11/2025 | 215,000 | 216,520 |
3,310,982 | ||
Chemicals — 1.5% | ||
Albemarle Corp. | ||
4.65%, 6/1/2027 | 89,000 | 87,433 |
5.05%, 6/1/2032 | 60,000 | 56,966 |
Celanese US Holdings LLC | ||
6.05%, 3/15/2025 | 65,000 | 65,150 |
6.33%, 7/15/2029 | 33,000 | 33,912 |
Dow Chemical Co. (The) 6.90%, 5/15/2053 | 27,000 | 30,860 |
Eastman Chemical Co. 4.65%, 10/15/2044 | 65,000 | 54,938 |
Ecolab, Inc. 2.75%, 8/18/2055 | 27,000 | 16,782 |
FMC Corp. 4.50%, 10/1/2049 | 18,000 | 13,379 |
International Flavors & Fragrances, Inc. 4.45%, 9/26/2028 | 90,000 | 86,942 |
Nutrien Ltd. (Canada) 5.88%, 12/1/2036 | 28,000 | 28,654 |
RPM International, Inc. 3.75%, 3/15/2027 | 66,000 | 62,974 |
Sherwin-Williams Co. (The) 2.95%, 8/15/2029 | 167,000 | 150,186 |
688,176 | ||
Commercial Services & Supplies — 0.1% | ||
Cintas Corp. No. 2 4.00%, 5/1/2032 | 5,000 | 4,683 |
Republic Services, Inc. 6.20%, 3/1/2040 | 53,000 | 57,743 |
Veralto Corp. 5.50%, 9/18/2026 (d) | 2,000 | 2,009 |
64,435 | ||
Communications Equipment — 0.4% | ||
Cisco Systems, Inc. | ||
2.50%, 9/20/2026 | 98,000 | 92,479 |
5.90%, 2/15/2039 | 91,000 | 97,655 |
Nokia OYJ (Finland) 6.63%, 5/15/2039 | 15,000 | 14,474 |
204,608 | ||
Construction & Engineering — 0.1% | ||
Quanta Services, Inc. | ||
2.90%, 10/1/2030 | 50,000 | 43,350 |
2.35%, 1/15/2032 | 22,000 | 17,610 |
60,960 | ||
Construction Materials — 0.1% | ||
Martin Marietta Materials, Inc. 3.20%, 7/15/2051 | 36,000 | 24,918 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 105 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Consumer Finance — 3.2% | ||
AerCap Ireland Capital DAC (Ireland) 1.75%, 1/30/2026 | 150,000 | 139,352 |
Ally Financial, Inc. 4.75%, 6/9/2027 | 90,000 | 87,389 |
American Express Co. | ||
4.20%, 11/6/2025 | 70,000 | 69,049 |
4.90%, 2/13/2026 | 2,000 | 1,993 |
2.55%, 3/4/2027 | 4,000 | 3,716 |
American Honda Finance Corp. | ||
1.00%, 9/10/2025 | 63,000 | 59,204 |
5.80%, 10/3/2025 | 50,000 | 50,490 |
Capital One Financial Corp. | ||
3.75%, 7/28/2026 | 164,000 | 157,397 |
(SOFR + 2.60%), 5.25%, 7/26/2030 (b) | 90,000 | 87,753 |
(SOFR + 1.34%), 2.36%, 7/29/2032 (b) | 6,000 | 4,521 |
Caterpillar Financial Services Corp. | ||
1.45%, 5/15/2025 | 23,000 | 21,996 |
1.10%, 9/14/2027 | 5,000 | 4,406 |
Discover Financial Services (SOFRINDX + 3.37%), 7.96%, 11/2/2034 (b) | 62,000 | 69,483 |
Ford Motor Credit Co. LLC 4.54%, 8/1/2026 | 229,000 | 221,933 |
General Motors Financial Co., Inc. | ||
1.50%, 6/10/2026 | 82,000 | 75,117 |
3.60%, 6/21/2030 | 106,000 | 95,064 |
John Deere Capital Corp. | ||
3.40%, 9/11/2025 | 37,000 | 36,128 |
0.70%, 1/15/2026 | 21,000 | 19,440 |
PACCAR Financial Corp. 2.85%, 4/7/2025 | 10,000 | 9,765 |
Synchrony Financial | ||
4.88%, 6/13/2025 | 19,000 | 18,696 |
3.95%, 12/1/2027 | 55,000 | 50,942 |
5.15%, 3/19/2029 | 14,000 | 13,355 |
Toyota Motor Credit Corp. | ||
3.65%, 8/18/2025 | 118,000 | 115,617 |
1.65%, 1/10/2031 | 114,000 | 92,499 |
1,505,305 | ||
Consumer Staples Distribution & Retail — 1.0% | ||
Dollar General Corp. 5.50%, 11/1/2052 | 28,000 | 26,386 |
Kroger Co. (The) 5.40%, 1/15/2049 | 37,000 | 36,083 |
Sysco Corp. 6.60%, 4/1/2050 | 38,000 | 42,909 |
Target Corp. | ||
3.38%, 4/15/2029 | 196,000 | 183,697 |
4.00%, 7/1/2042 | 17,000 | 14,629 |
Walmart, Inc. | ||
4.00%, 4/15/2026 | 20,000 | 19,692 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Consumer Staples Distribution & Retail — continued | ||
7.55%, 2/15/2030 | 12,000 | 13,882 |
5.25%, 9/1/2035 | 82,000 | 84,876 |
2.50%, 9/22/2041 | 67,000 | 47,250 |
469,404 | ||
Containers & Packaging — 0.3% | ||
International Paper Co. 6.00%, 11/15/2041 | 99,000 | 101,971 |
Sonoco Products Co. 5.75%, 11/1/2040 | 14,000 | 14,083 |
WRKCo, Inc. 4.90%, 3/15/2029 | 10,000 | 9,901 |
125,955 | ||
Diversified Consumer Services — 0.2% | ||
Duke University | ||
Series 2020, 2.68%, 10/1/2044 | 40,000 | 29,213 |
Series 2020, 2.83%, 10/1/2055 | 8,000 | 5,433 |
Georgetown University (The) Series A, 5.22%, 10/1/2118 | 5,000 | 4,628 |
Johns Hopkins University Series 2013, 4.08%, 7/1/2053 | 11,000 | 9,651 |
Northwestern University Series 2020, 2.64%, 12/1/2050 | 13,000 | 8,585 |
President and Fellows of Harvard College 3.30%, 7/15/2056 | 48,000 | 35,552 |
University of Southern California 3.03%, 10/1/2039 | 9,000 | 7,112 |
100,174 | ||
Diversified REITs — 0.8% | ||
American Assets Trust LP 3.38%, 2/1/2031 | 24,000 | 19,413 |
Simon Property Group LP | ||
2.45%, 9/13/2029 | 62,000 | 54,014 |
2.20%, 2/1/2031 | 100,000 | 81,977 |
2.65%, 2/1/2032 | 129,000 | 107,155 |
Store Capital LLC | ||
4.50%, 3/15/2028 | 37,000 | 34,764 |
2.75%, 11/18/2030 | 10,000 | 7,916 |
VICI Properties LP | ||
4.95%, 2/15/2030 | 44,000 | 41,996 |
5.63%, 5/15/2052 | 15,000 | 13,523 |
360,758 | ||
Diversified Telecommunication Services — 2.4% | ||
AT&T, Inc. | ||
3.80%, 2/15/2027 | 165,000 | 158,983 |
1.65%, 2/1/2028 | 87,000 | 76,561 |
2.55%, 12/1/2033 | 99,000 | 78,065 |
6.38%, 3/1/2041 | 12,000 | 12,626 |
106 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Diversified Telecommunication Services — continued | ||
4.50%, 3/9/2048 | 90,000 | 75,197 |
3.55%, 9/15/2055 | 193,000 | 131,491 |
3.65%, 9/15/2059 | 30,000 | 20,329 |
3.50%, 2/1/2061 | 72,000 | 48,056 |
Deutsche Telekom International Finance BV (Germany) 9.25%, 6/1/2032 | 10,000 | 12,620 |
Orange SA (France) 5.38%, 1/13/2042 | 5,000 | 4,918 |
Telefonica Emisiones SA (Spain) 7.05%, 6/20/2036 | 86,000 | 94,756 |
Verizon Communications, Inc. | ||
2.10%, 3/22/2028 | 29,000 | 25,821 |
4.02%, 12/3/2029 | 10,000 | 9,492 |
1.50%, 9/18/2030 | 135,000 | 108,310 |
3.40%, 3/22/2041 | 202,000 | 154,684 |
2.85%, 9/3/2041 | 50,000 | 35,218 |
4.75%, 11/1/2041 | 85,000 | 78,222 |
3.70%, 3/22/2061 | 23,000 | 16,360 |
1,141,709 | ||
Electric Utilities — 6.3% | ||
AEP Texas, Inc. 3.45%, 5/15/2051 | 79,000 | 54,423 |
AEP Transmission Co. LLC | ||
4.25%, 9/15/2048 | 141,000 | 116,232 |
Series M, 3.65%, 4/1/2050 | 128,000 | 96,146 |
Alabama Power Co. | ||
3.94%, 9/1/2032 | 64,000 | 58,960 |
Series A, 4.30%, 7/15/2048 | 46,000 | 38,414 |
Baltimore Gas and Electric Co. 3.20%, 9/15/2049 | 38,000 | 26,045 |
Commonwealth Edison Co. | ||
4.00%, 3/1/2049 | 5,000 | 3,968 |
3.00%, 3/1/2050 | 9,000 | 5,930 |
Connecticut Light and Power Co. (The) Series A, 4.15%, 6/1/2045 | 29,000 | 24,467 |
Dominion Energy South Carolina, Inc. 5.10%, 6/1/2065 | 19,000 | 17,493 |
DTE Electric Co. Series C, 2.63%, 3/1/2031 | 41,000 | 35,213 |
Duke Energy Carolinas LLC 3.70%, 12/1/2047 | 36,000 | 26,821 |
Duke Energy Corp. | ||
2.65%, 9/1/2026 | 69,000 | 64,940 |
3.75%, 9/1/2046 | 188,000 | 139,808 |
3.95%, 8/15/2047 | 27,000 | 20,493 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.32%), 3.25%, 1/15/2082 (b) | 33,000 | 27,972 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Electric Utilities — continued | ||
Duke Energy Indiana LLC Series YYY, 3.25%, 10/1/2049 | 14,000 | 9,692 |
Duke Energy Ohio, Inc. 4.30%, 2/1/2049 | 18,000 | 14,712 |
Emera US Finance LP (Canada) 2.64%, 6/15/2031 | 7,000 | 5,635 |
Entergy Corp. 0.90%, 9/15/2025 | 59,000 | 55,173 |
Entergy Louisiana LLC 4.00%, 3/15/2033 | 141,000 | 128,108 |
Evergy, Inc. 2.90%, 9/15/2029 | 88,000 | 77,989 |
Eversource Energy | ||
4.75%, 5/15/2026 | 69,000 | 68,124 |
Series R, 1.65%, 8/15/2030 | 106,000 | 84,345 |
5.13%, 5/15/2033 | 42,000 | 40,573 |
Exelon Corp. | ||
2.75%, 3/15/2027 | 81,000 | 75,373 |
4.95%, 6/15/2035 | 6,000 | 5,606 |
Florida Power & Light Co. | ||
2.85%, 4/1/2025 | 76,000 | 74,095 |
Series A, 3.30%, 5/30/2027 | 10,000 | 9,468 |
5.63%, 4/1/2034 | 19,000 | 19,861 |
5.69%, 3/1/2040 | 64,000 | 65,573 |
3.95%, 3/1/2048 | 40,000 | 32,375 |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 80,000 | 75,526 |
Georgia Power Co. | ||
4.30%, 3/15/2043 | 24,000 | 20,156 |
Series B, 3.70%, 1/30/2050 | 39,000 | 29,528 |
Idaho Power Co. 5.50%, 3/15/2053 | 41,000 | 40,321 |
MidAmerican Energy Co. 4.25%, 5/1/2046 | 126,000 | 105,639 |
NextEra Energy Capital Holdings, Inc. | ||
4.45%, 6/20/2025 | 2,000 | 1,974 |
1.90%, 6/15/2028 | 217,000 | 190,059 |
5.25%, 2/28/2053 | 22,000 | 20,428 |
Oncor Electric Delivery Co. LLC | ||
3.80%, 9/30/2047 | 50,000 | 38,573 |
4.10%, 11/15/2048 | 26,000 | 21,306 |
Pacific Gas and Electric Co. | ||
3.00%, 6/15/2028 | 25,000 | 22,684 |
2.50%, 2/1/2031 | 10,000 | 8,201 |
3.25%, 6/1/2031 | 127,000 | 108,813 |
4.50%, 7/1/2040 | 47,000 | 39,486 |
4.60%, 6/15/2043 | 34,000 | 27,869 |
4.95%, 7/1/2050 | 3,000 | 2,548 |
6.75%, 1/15/2053 | 5,000 | 5,359 |
PacifiCorp | ||
7.70%, 11/15/2031 | 29,000 | 33,216 |
5.45%, 2/15/2034 | 3,000 | 2,959 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 107 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
5.75%, 4/1/2037 | 23,000 | 22,863 |
6.00%, 1/15/2039 | 11,000 | 11,295 |
3.30%, 3/15/2051 | 55,000 | 36,068 |
PECO Energy Co. 5.95%, 10/1/2036 | 5,000 | 5,289 |
PPL Electric Utilities Corp. 5.00%, 5/15/2033 | 48,000 | 47,726 |
Public Service Co. of Colorado | ||
Series 17, 6.25%, 9/1/2037 | 16,000 | 16,971 |
4.05%, 9/15/2049 | 19,000 | 14,820 |
Public Service Electric and Gas Co. | ||
3.10%, 3/15/2032 | 45,000 | 39,170 |
3.15%, 1/1/2050 | 113,000 | 78,526 |
Southern California Edison Co. | ||
Series 20C, 1.20%, 2/1/2026 | 26,000 | 24,115 |
Series D, 4.70%, 6/1/2027 | 27,000 | 26,690 |
6.00%, 1/15/2034 | 1,000 | 1,042 |
Series C, 3.60%, 2/1/2045 | 22,000 | 16,286 |
Southern Co. (The) | ||
5.15%, 10/6/2025 | 186,000 | 185,708 |
4.25%, 7/1/2036 | 38,000 | 33,557 |
Union Electric Co. 5.45%, 3/15/2053 | 5,000 | 4,894 |
Virginia Electric and Power Co. | ||
Series C, 4.00%, 11/15/2046 | 20,000 | 15,857 |
4.60%, 12/1/2048 | 112,000 | 96,922 |
2,996,471 | ||
Electrical Equipment — 0.3% | ||
Emerson Electric Co. 2.20%, 12/21/2031 | 19,000 | 15,742 |
Regal Rexnord Corp. 6.05%, 4/15/2028 (d) | 50,000 | 50,289 |
Rockwell Automation, Inc. 2.80%, 8/15/2061 | 125,000 | 74,692 |
140,723 | ||
Electronic Equipment, Instruments & Components — 0.4% | ||
Arrow Electronics, Inc. 6.13%, 3/1/2026 | 10,000 | 9,999 |
Corning, Inc. | ||
4.75%, 3/15/2042 | 149,000 | 133,486 |
5.45%, 11/15/2079 | 18,000 | 16,624 |
Keysight Technologies, Inc. 4.60%, 4/6/2027 | 9,000 | 8,856 |
Vontier Corp. 2.95%, 4/1/2031 | 22,000 | 18,110 |
187,075 | ||
Energy Equipment & Services — 0.0% ^ | ||
Halliburton Co. 4.85%, 11/15/2035 | 10,000 | 9,621 |
Entertainment — 0.9% | ||
TWDC Enterprises 18 Corp. 7.00%, 3/1/2032 | 67,000 | 75,799 |
Walt Disney Co. (The) | ||
2.65%, 1/13/2031 | 175,000 | 152,023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Entertainment — continued | ||
3.50%, 5/13/2040 | 178,000 | 142,893 |
Warnermedia Holdings, Inc. | ||
6.41%, 3/15/2026 | 20,000 | 19,992 |
5.39%, 3/15/2062 | 39,000 | 31,392 |
422,099 | ||
Financial Services — 1.6% | ||
Berkshire Hathaway, Inc. 3.13%, 3/15/2026 | 124,000 | 119,863 |
Corebridge Financial, Inc. | ||
4.40%, 4/5/2052 | 5,000 | 4,019 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.88%, 12/15/2052 (b) | 15,000 | 14,984 |
Equitable Holdings, Inc. | ||
4.35%, 4/20/2028 | 75,000 | 72,260 |
5.00%, 4/20/2048 | 15,000 | 13,603 |
Fidelity National Information Services, Inc. | ||
5.10%, 7/15/2032 | 10,000 | 9,994 |
3.10%, 3/1/2041 | 124,000 | 89,279 |
Fiserv, Inc. 4.40%, 7/1/2049 | 10,000 | 8,363 |
Mastercard, Inc. | ||
2.00%, 3/3/2025 | 4,000 | 3,877 |
4.85%, 3/9/2033 | 30,000 | 29,960 |
3.85%, 3/26/2050 | 75,000 | 61,922 |
National Rural Utilities Cooperative Finance Corp. (3-MONTH SOFR + 3.63%), 5.25%, 4/20/2046 (b) | 30,000 | 29,101 |
ORIX Corp. (Japan) 5.20%, 9/13/2032 | 28,000 | 28,295 |
PayPal Holdings, Inc. 5.25%, 6/1/2062 | 10,000 | 9,309 |
Shell International Finance BV (Netherlands) | ||
3.25%, 5/11/2025 | 141,000 | 137,896 |
3.13%, 11/7/2049 | 26,000 | 18,079 |
3.00%, 11/26/2051 | 7,000 | 4,691 |
Visa, Inc. 0.75%, 8/15/2027 | 72,000 | 63,221 |
Voya Financial, Inc. (3-MONTH SOFR + 2.08%), 4.70%, 1/23/2048 (b) | 19,000 | 15,972 |
734,688 | ||
Food Products — 1.3% | ||
Archer-Daniels-Midland Co. 3.75%, 9/15/2047 | 122,000 | 92,620 |
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | 60,000 | 51,048 |
Conagra Brands, Inc. 5.40%, 11/1/2048 | 28,000 | 25,841 |
Hershey Co. (The) 0.90%, 6/1/2025 | 93,000 | 88,365 |
J M Smucker Co. (The) 3.50%, 3/15/2025 | 3,000 | 2,940 |
Kraft Heinz Foods Co. | ||
3.00%, 6/1/2026 | 134,000 | 127,855 |
108 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Food Products — continued | ||
5.50%, 6/1/2050 | 18,000 | 17,519 |
Pilgrim's Pride Corp. | ||
4.25%, 4/15/2031 | 38,000 | 33,951 |
6.25%, 7/1/2033 | 2,000 | 2,025 |
6.88%, 5/15/2034 | 13,000 | 13,687 |
Tyson Foods, Inc. | ||
3.55%, 6/2/2027 | 142,000 | 134,611 |
5.10%, 9/28/2048 | 42,000 | 37,037 |
627,499 | ||
Gas Utilities — 0.4% | ||
Atmos Energy Corp. | ||
1.50%, 1/15/2031 | 38,000 | 30,224 |
4.13%, 3/15/2049 | 32,000 | 26,346 |
5.75%, 10/15/2052 | 10,000 | 10,468 |
Piedmont Natural Gas Co., Inc. 5.05%, 5/15/2052 | 28,000 | 25,230 |
Southern California Gas Co. Series VV, 4.30%, 1/15/2049 | 58,000 | 47,541 |
Washington Gas Light Co. | ||
Series K, 3.80%, 9/15/2046 | 34,000 | 25,084 |
3.65%, 9/15/2049 | 22,000 | 16,214 |
181,107 | ||
Ground Transportation — 1.6% | ||
Burlington Northern Santa Fe LLC 4.45%, 1/15/2053 | 78,000 | 68,368 |
Canadian National Railway Co. (Canada) 4.40%, 8/5/2052 | 10,000 | 8,807 |
Canadian Pacific Railway Co. (Canada) | ||
1.75%, 12/2/2026 | 77,000 | 70,595 |
2.45%, 12/2/2031 | 24,000 | 21,317 |
3.00%, 12/2/2041 | 40,000 | 33,711 |
4.30%, 5/15/2043 | 59,000 | 50,465 |
4.70%, 5/1/2048 | 23,000 | 20,225 |
6.13%, 9/15/2115 | 4,000 | 4,204 |
CSX Corp. | ||
3.95%, 5/1/2050 | 141,000 | 112,676 |
4.65%, 3/1/2068 | 44,000 | 37,815 |
Norfolk Southern Corp. | ||
4.15%, 2/28/2048 | 68,000 | 56,201 |
3.70%, 3/15/2053 | 9,000 | 6,692 |
5.10%, 8/1/2118 | 20,000 | 17,376 |
4.10%, 5/15/2121 | 5,000 | 3,608 |
Ryder System, Inc. 2.85%, 3/1/2027 | 153,000 | 143,077 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Ground Transportation — continued | ||
Union Pacific Corp. | ||
4.75%, 2/21/2026 | 26,000 | 25,939 |
4.50%, 9/10/2048 | 17,000 | 14,906 |
3.88%, 2/1/2055 | 83,000 | 64,418 |
2.97%, 9/16/2062 | 6,000 | 3,711 |
764,111 | ||
Health Care Equipment & Supplies — 1.3% | ||
Abbott Laboratories | ||
3.75%, 11/30/2026 | 2,000 | 1,949 |
4.75%, 4/15/2043 | 11,000 | 10,530 |
4.90%, 11/30/2046 | 80,000 | 77,117 |
Baxter International, Inc. | ||
1.73%, 4/1/2031 | 3,000 | 2,367 |
3.13%, 12/1/2051 | 81,000 | 52,678 |
Becton Dickinson & Co. | ||
2.82%, 5/20/2030 | 35,000 | 30,697 |
4.69%, 12/15/2044 | 20,000 | 17,946 |
Boston Scientific Corp. 4.70%, 3/1/2049 | 33,000 | 30,214 |
DENTSPLY SIRONA, Inc. 3.25%, 6/1/2030 | 3,000 | 2,615 |
DH Europe Finance II SARL 2.60%, 11/15/2029 | 59,000 | 52,397 |
GE HealthCare Technologies, Inc. 5.65%, 11/15/2027 | 171,000 | 173,618 |
Medtronic, Inc. | ||
4.38%, 3/15/2035 | 58,000 | 54,684 |
4.63%, 3/15/2045 | 10,000 | 9,259 |
Stryker Corp. | ||
1.15%, 6/15/2025 | 3,000 | 2,846 |
3.50%, 3/15/2026 | 36,000 | 34,907 |
4.38%, 5/15/2044 | 51,000 | 44,892 |
598,716 | ||
Health Care Providers & Services — 4.1% | ||
Aetna, Inc. 3.88%, 8/15/2047 | 15,000 | 11,148 |
Ascension Health | ||
3.95%, 11/15/2046 | 53,000 | 44,419 |
4.85%, 11/15/2053 | 1,000 | 955 |
Centene Corp. 3.00%, 10/15/2030 | 24,000 | 20,497 |
Cigna Group (The) | ||
4.13%, 11/15/2025 | 161,000 | 158,271 |
2.40%, 3/15/2030 | 99,000 | 84,872 |
4.80%, 8/15/2038 | 64,000 | 59,355 |
4.90%, 12/15/2048 | 3,000 | 2,695 |
CommonSpirit Health 6.07%, 11/1/2027 | 113,000 | 115,801 |
CVS Health Corp. | ||
4.10%, 3/25/2025 | 37,000 | 36,543 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 109 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Health Care Providers & Services — continued | ||
3.75%, 4/1/2030 | 117,000 | 107,957 |
6.13%, 9/15/2039 | 11,000 | 11,298 |
5.05%, 3/25/2048 | 79,000 | 70,582 |
5.63%, 2/21/2053 | 140,000 | 134,408 |
6.00%, 6/1/2063 | 5,000 | 5,007 |
Elevance Health, Inc. | ||
2.25%, 5/15/2030 | 38,000 | 32,281 |
4.55%, 5/15/2052 | 62,000 | 53,772 |
6.10%, 10/15/2052 | 10,000 | 10,727 |
HCA, Inc. | ||
5.25%, 4/15/2025 | 134,000 | 133,401 |
4.13%, 6/15/2029 | 11,000 | 10,345 |
5.50%, 6/1/2033 | 17,000 | 16,883 |
5.13%, 6/15/2039 | 15,000 | 13,945 |
5.25%, 6/15/2049 | 22,000 | 19,708 |
3.50%, 7/15/2051 | 4,000 | 2,700 |
4.63%, 3/15/2052 | 15,000 | 12,275 |
Humana, Inc. | ||
4.50%, 4/1/2025 | 111,000 | 109,850 |
4.80%, 3/15/2047 | 26,000 | 22,652 |
New York and Presbyterian Hospital (The) Series 2019, 3.95%, 8/1/2119 | 10,000 | 7,257 |
Providence St. Joseph Health Obligated Group Series A, 3.93%, 10/1/2048 | 40,000 | 30,916 |
Quest Diagnostics, Inc. | ||
3.50%, 3/30/2025 | 24,000 | 23,562 |
2.80%, 6/30/2031 | 115,000 | 98,152 |
SSM Health Care Corp. Series A, 3.82%, 6/1/2027 | 76,000 | 72,915 |
UnitedHealth Group, Inc. | ||
3.75%, 7/15/2025 | 147,000 | 144,271 |
5.80%, 3/15/2036 | 6,000 | 6,343 |
6.63%, 11/15/2037 | 32,000 | 36,052 |
3.50%, 8/15/2039 | 146,000 | 117,993 |
4.63%, 11/15/2041 | 65,000 | 59,333 |
3.13%, 5/15/2060 | 67,000 | 43,830 |
6.05%, 2/15/2063 | 8,000 | 8,682 |
1,951,653 | ||
Health Care REITs — 0.2% | ||
Healthpeak OP LLC 2.88%, 1/15/2031 | 68,000 | 57,828 |
Sabra Health Care LP 3.90%, 10/15/2029 | 21,000 | 18,705 |
Ventas Realty LP 4.38%, 2/1/2045 | 3,000 | 2,375 |
Welltower OP LLC 4.95%, 9/1/2048 | 26,000 | 23,379 |
102,287 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Hotels, Restaurants & Leisure — 1.0% | ||
Booking Holdings, Inc. 3.65%, 3/15/2025 | 7,000 | 6,883 |
Choice Hotels International, Inc. 3.70%, 1/15/2031 | 49,000 | 42,101 |
Expedia Group, Inc. | ||
4.63%, 8/1/2027 | 5,000 | 4,893 |
3.25%, 2/15/2030 | 60,000 | 53,467 |
Hyatt Hotels Corp. 4.38%, 9/15/2028 | 3,000 | 2,879 |
McDonald's Corp. | ||
1.45%, 9/1/2025 | 30,000 | 28,397 |
2.13%, 3/1/2030 | 50,000 | 42,782 |
4.60%, 9/9/2032 | 9,000 | 8,787 |
3.63%, 5/1/2043 | 81,000 | 63,791 |
5.15%, 9/9/2052 | 35,000 | 33,239 |
Starbucks Corp. | ||
3.80%, 8/15/2025 | 24,000 | 23,503 |
3.00%, 2/14/2032 | 162,000 | 140,351 |
4.50%, 11/15/2048 | 28,000 | 24,199 |
3.35%, 3/12/2050 | 16,000 | 11,293 |
486,565 | ||
Household Durables — 0.9% | ||
DR Horton, Inc. 1.40%, 10/15/2027 | 90,000 | 79,388 |
Leggett & Platt, Inc. 3.50%, 11/15/2051 | 19,000 | 13,100 |
Lennar Corp. | ||
4.75%, 5/30/2025 | 11,000 | 10,894 |
4.75%, 11/29/2027 | 121,000 | 119,065 |
Mohawk Industries, Inc. 3.63%, 5/15/2030 | 150,000 | 136,492 |
Toll Brothers Finance Corp. 4.88%, 11/15/2025 | 46,000 | 45,459 |
Whirlpool Corp. 4.60%, 5/15/2050 | 55,000 | 44,284 |
448,682 | ||
Household Products — 0.4% | ||
Colgate-Palmolive Co. | ||
4.80%, 3/2/2026 | 12,000 | 12,029 |
4.00%, 8/15/2045 | 25,000 | 21,885 |
Kimberly-Clark Corp. 6.63%, 8/1/2037 | 107,000 | 123,270 |
Procter & Gamble Co. (The) | ||
2.85%, 8/11/2027 | 12,000 | 11,324 |
3.50%, 10/25/2047 | 47,000 | 37,780 |
206,288 | ||
Industrial Conglomerates — 0.5% | ||
3M Co. 3.38%, 3/1/2029 | 131,000 | 120,641 |
GE Capital Funding LLC 4.55%, 5/15/2032 | 50,000 | 48,021 |
Honeywell International, Inc. 5.70%, 3/15/2036 | 80,000 | 84,471 |
253,133 |
110 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Industrial REITs — 0.2% | ||
Prologis LP 3.00%, 4/15/2050 | 67,000 | 45,308 |
Rexford Industrial Realty LP 2.13%, 12/1/2030 | 70,000 | 56,678 |
101,986 | ||
Insurance — 2.5% | ||
ACE Capital Trust II 9.70%, 4/1/2030 | 10,000 | 11,747 |
Aflac, Inc. 3.60%, 4/1/2030 | 100,000 | 92,696 |
Alleghany Corp. 3.25%, 8/15/2051 | 36,000 | 25,113 |
Allstate Corp. (The) | ||
5.25%, 3/30/2033 | 99,000 | 98,613 |
(3-MONTH SOFR + 2.12%), 6.50%, 5/15/2057 (b) | 10,000 | 10,067 |
American International Group, Inc. 3.88%, 1/15/2035 | 6,000 | 5,279 |
Aon Corp. | ||
4.50%, 12/15/2028 | 9,000 | 8,787 |
6.25%, 9/30/2040 | 10,000 | 10,594 |
Arch Capital Group Ltd. 3.64%, 6/30/2050 | 64,000 | 47,146 |
Assured Guaranty US Holdings, Inc. 6.13%, 9/15/2028 | 42,000 | 43,336 |
AXIS Specialty Finance LLC (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.19%), 4.90%, 1/15/2040 (b) | 11,000 | 9,708 |
Berkshire Hathaway Finance Corp. | ||
5.75%, 1/15/2040 | 22,000 | 23,655 |
2.85%, 10/15/2050 | 113,000 | 74,551 |
3.85%, 3/15/2052 | 10,000 | 7,927 |
Brighthouse Financial, Inc. 3.85%, 12/22/2051 | 66,000 | 42,750 |
Chubb INA Holdings, Inc. | ||
6.70%, 5/15/2036 | 11,000 | 12,509 |
3.05%, 12/15/2061 | 5,000 | 3,319 |
Cincinnati Financial Corp. 6.13%, 11/1/2034 | 30,000 | 31,340 |
Enstar Finance LLC (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.01%), 5.50%, 1/15/2042 (b) | 2,000 | 1,819 |
Hartford Financial Services Group, Inc. (The) 2.90%, 9/15/2051 | 71,000 | 45,504 |
Manulife Financial Corp. (Canada) (USD ICE Swap Rate 5 Year + 1.65%), 4.06%, 2/24/2032 (b) | 47,000 | 44,795 |
Markel Group, Inc. 3.35%, 9/17/2029 | 32,000 | 28,827 |
Marsh & McLennan Cos., Inc. | ||
3.50%, 3/10/2025 | 34,000 | 33,394 |
6.25%, 11/1/2052 | 10,000 | 11,051 |
MetLife, Inc. | ||
10.75%, 8/1/2039 | 11,000 | 14,973 |
5.25%, 1/15/2054 | 26,000 | 25,139 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Insurance — continued | ||
Principal Financial Group, Inc. | ||
3.70%, 5/15/2029 | 90,000 | 83,954 |
5.50%, 3/15/2053 | 5,000 | 4,888 |
Progressive Corp. (The) 4.13%, 4/15/2047 | 56,000 | 47,029 |
Prudential Financial, Inc. | ||
3.94%, 12/7/2049 | 41,000 | 32,134 |
3.70%, 3/13/2051 | 41,000 | 31,128 |
Selective Insurance Group, Inc. 5.38%, 3/1/2049 | 18,000 | 17,040 |
Transatlantic Holdings, Inc. 8.00%, 11/30/2039 | 22,000 | 28,110 |
Travelers Cos., Inc. (The) 4.10%, 3/4/2049 | 15,000 | 12,607 |
Travelers Property Casualty Corp. 6.38%, 3/15/2033 | 109,000 | 120,962 |
Willis North America, Inc. 3.88%, 9/15/2049 | 33,000 | 24,465 |
WR Berkley Corp. 4.75%, 8/1/2044 | 7,000 | 6,072 |
1,173,028 | ||
Interactive Media & Services — 0.9% | ||
Alphabet, Inc. | ||
1.90%, 8/15/2040 | 100,000 | 66,129 |
2.05%, 8/15/2050 | 26,000 | 15,357 |
2.25%, 8/15/2060 | 141,000 | 80,948 |
Meta Platforms, Inc. | ||
3.50%, 8/15/2027 | 22,000 | 21,093 |
4.80%, 5/15/2030 | 176,000 | 175,959 |
4.65%, 8/15/2062 | 77,000 | 67,915 |
427,401 | ||
IT Services — 0.6% | ||
International Business Machines Corp. | ||
4.00%, 7/27/2025 | 180,000 | 177,227 |
6.22%, 8/1/2027 | 41,000 | 42,773 |
5.88%, 11/29/2032 | 22,000 | 23,291 |
7.13%, 12/1/2096 | 24,000 | 30,138 |
VeriSign, Inc. 2.70%, 6/15/2031 | 41,000 | 34,081 |
307,510 | ||
Leisure Products — 0.2% | ||
Brunswick Corp. 5.10%, 4/1/2052 | 20,000 | 15,808 |
Hasbro, Inc. 3.90%, 11/19/2029 | 64,000 | 58,725 |
74,533 | ||
Life Sciences Tools & Services — 0.1% | ||
Agilent Technologies, Inc. 2.30%, 3/12/2031 | 58,000 | 48,391 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 111 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Machinery — 0.5% | ||
Caterpillar, Inc. | ||
6.05%, 8/15/2036 | 21,000 | 23,005 |
4.75%, 5/15/2064 | 16,000 | 14,468 |
CNH Industrial Capital LLC 3.95%, 5/23/2025 | 7,000 | 6,868 |
Deere & Co. 2.88%, 9/7/2049 | 33,000 | 22,964 |
Illinois Tool Works, Inc. 2.65%, 11/15/2026 | 160,000 | 152,113 |
Otis Worldwide Corp. 3.36%, 2/15/2050 | 5,000 | 3,616 |
Snap-on, Inc. 4.10%, 3/1/2048 | 40,000 | 33,383 |
256,417 | ||
Media — 2.3% | ||
Charter Communications Operating LLC | ||
5.38%, 5/1/2047 | 30,000 | 23,604 |
4.80%, 3/1/2050 | 31,000 | 22,398 |
3.85%, 4/1/2061 | 107,000 | 62,005 |
4.40%, 12/1/2061 | 28,000 | 17,969 |
5.50%, 4/1/2063 | 52,000 | 39,948 |
Comcast Corp. | ||
5.25%, 11/7/2025 | 140,000 | 140,611 |
7.05%, 3/15/2033 | 81,000 | 91,044 |
6.55%, 7/1/2039 | 37,000 | 40,668 |
3.75%, 4/1/2040 | 57,000 | 46,584 |
4.00%, 11/1/2049 | 228,000 | 180,319 |
2.89%, 11/1/2051 | 22,000 | 13,937 |
Discovery Communications LLC | ||
3.95%, 3/20/2028 | 104,000 | 97,230 |
3.63%, 5/15/2030 | 10,000 | 8,788 |
5.30%, 5/15/2049 | 14,000 | 11,418 |
4.65%, 5/15/2050 | 75,000 | 56,942 |
4.00%, 9/15/2055 | 40,000 | 26,478 |
Fox Corp. 5.58%, 1/25/2049 | 10,000 | 9,144 |
Paramount Global | ||
4.95%, 1/15/2031 | 5,000 | 4,378 |
4.20%, 5/19/2032 | 139,000 | 113,280 |
5.25%, 4/1/2044 | 13,000 | 9,583 |
4.95%, 5/19/2050 | 11,000 | 7,880 |
Time Warner Cable LLC | ||
6.55%, 5/1/2037 | 47,000 | 44,122 |
5.88%, 11/15/2040 | 19,000 | 16,335 |
1,084,665 | ||
Metals & Mining — 0.7% | ||
ArcelorMittal SA (Luxembourg) 6.75%, 3/1/2041 (a) | 56,000 | 57,458 |
BHP Billiton Finance USA Ltd. (Australia) | ||
5.10%, 9/8/2028 | 2,000 | 2,012 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Metals & Mining — continued | ||
5.25%, 9/8/2033 | 2,000 | 2,008 |
Kinross Gold Corp. (Canada) 4.50%, 7/15/2027 | 85,000 | 82,607 |
Rio Tinto Finance USA plc (Australia) 5.13%, 3/9/2053 | 18,000 | 17,297 |
Southern Copper Corp. (Mexico) | ||
5.25%, 11/8/2042 | 35,000 | 32,918 |
5.88%, 4/23/2045 | 53,000 | 52,720 |
Teck Resources Ltd. (Canada) 5.40%, 2/1/2043 | 25,000 | 23,167 |
Vale Overseas Ltd. (Brazil) | ||
3.75%, 7/8/2030 | 31,000 | 27,893 |
6.88%, 11/10/2039 | 42,000 | 44,910 |
342,990 | ||
Multi-Utilities — 1.8% | ||
Ameren Corp. 3.50%, 1/15/2031 | 30,000 | 27,026 |
Berkshire Hathaway Energy Co. 6.13%, 4/1/2036 | 50,000 | 52,724 |
Black Hills Corp. 6.15%, 5/15/2034 | 12,000 | 12,326 |
CMS Energy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.12%), 4.75%, 6/1/2050 (b) | 50,000 | 45,622 |
Consolidated Edison Co. of New York, Inc. | ||
Series 20B, 3.95%, 4/1/2050 | 76,000 | 60,848 |
3.20%, 12/1/2051 | 64,000 | 43,330 |
3.70%, 11/15/2059 | 72,000 | 51,247 |
Consumers Energy Co. | ||
4.63%, 5/15/2033 | 85,000 | 82,178 |
3.95%, 7/15/2047 | 85,000 | 69,040 |
Dominion Energy, Inc. | ||
Series A, 3.30%, 3/15/2025 | 106,000 | 103,588 |
3.90%, 10/1/2025 | 8,000 | 7,813 |
National Grid plc (United Kingdom) 5.81%, 6/12/2033 | 41,000 | 41,432 |
NiSource, Inc. | ||
0.95%, 8/15/2025 | 39,000 | 36,605 |
3.49%, 5/15/2027 | 22,000 | 20,916 |
3.60%, 5/1/2030 | 11,000 | 10,069 |
5.00%, 6/15/2052 | 13,000 | 11,750 |
San Diego Gas & Electric Co. | ||
2.95%, 8/15/2051 | 46,000 | 30,509 |
3.70%, 3/15/2052 | 1,000 | 741 |
Southern Co. Gas Capital Corp. 4.40%, 5/30/2047 | 10,000 | 8,115 |
WEC Energy Group, Inc. | ||
5.00%, 9/27/2025 | 43,000 | 42,796 |
112 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Multi-Utilities — continued | ||
4.75%, 1/15/2028 | 1,000 | 988 |
2.20%, 12/15/2028 | 125,000 | 109,755 |
869,418 | ||
Office REITs — 0.6% | ||
Alexandria Real Estate Equities, Inc. 2.95%, 3/15/2034 | 52,000 | 41,920 |
Boston Properties LP 2.75%, 10/1/2026 | 130,000 | 120,353 |
COPT Defense Properties LP 2.75%, 4/15/2031 | 89,000 | 71,787 |
Kilroy Realty LP | ||
4.38%, 10/1/2025 | 19,000 | 18,519 |
4.25%, 8/15/2029 | 5,000 | 4,562 |
Piedmont Operating Partnership LP | ||
9.25%, 7/20/2028 | 12,000 | 12,649 |
3.15%, 8/15/2030 | 5,000 | 3,836 |
273,626 | ||
Oil, Gas & Consumable Fuels — 6.5% | ||
Apache Corp. 4.25%, 1/15/2030 | 36,000 | 33,079 |
BP Capital Markets America, Inc. | ||
3.02%, 1/16/2027 | 4,000 | 3,800 |
4.23%, 11/6/2028 | 144,000 | 140,132 |
3.00%, 3/17/2052 | 58,000 | 38,491 |
3.38%, 2/8/2061 | 67,000 | 45,093 |
BP Capital Markets plc (United Kingdom) 3.28%, 9/19/2027 | 37,000 | 35,031 |
Cenovus Energy, Inc. (Canada) 4.25%, 4/15/2027 | 10,000 | 9,684 |
Cheniere Energy, Inc. 4.63%, 10/15/2028 | 100,000 | 96,046 |
Chevron Corp. 2.95%, 5/16/2026 | 79,000 | 75,877 |
Chevron USA, Inc. 0.69%, 8/12/2025 | 48,000 | 45,149 |
Columbia Pipeline Group, Inc. 4.50%, 6/1/2025 | 41,000 | 40,401 |
ConocoPhillips Co. | ||
4.03%, 3/15/2062 | 73,000 | 56,550 |
5.70%, 9/15/2063 | 30,000 | 30,648 |
Devon Energy Corp. | ||
5.60%, 7/15/2041 | 132,000 | 124,382 |
5.00%, 6/15/2045 | 10,000 | 8,625 |
Diamondback Energy, Inc. | ||
3.25%, 12/1/2026 | 74,000 | 70,730 |
3.50%, 12/1/2029 | 4,000 | 3,672 |
Enbridge Energy Partners LP Series B, 7.50%, 4/15/2038 | 23,000 | 26,583 |
Enbridge, Inc. (Canada) 2.50%, 8/1/2033 | 67,000 | 52,945 |
Energy Transfer LP | ||
5.75%, 4/1/2025 | 76,000 | 75,864 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
4.95%, 5/15/2028 | 49,000 | 48,349 |
3.75%, 5/15/2030 | 27,000 | 24,634 |
5.40%, 10/1/2047 | 96,000 | 86,819 |
5.00%, 5/15/2050 | 11,000 | 9,485 |
Enterprise Products Operating LLC | ||
4.85%, 8/15/2042 | 43,000 | 39,333 |
3.20%, 2/15/2052 | 10,000 | 6,827 |
3.95%, 1/31/2060 | 35,000 | 26,473 |
Series E, (3-MONTH CME TERM SOFR + 3.29%), 5.25%, 8/16/2077 (b) | 28,000 | 26,621 |
EQT Corp. 7.00%, 2/1/2030 (a) | 48,000 | 50,843 |
Exxon Mobil Corp. | ||
3.04%, 3/1/2026 | 2,000 | 1,932 |
2.44%, 8/16/2029 | 118,000 | 105,399 |
4.23%, 3/19/2040 | 166,000 | 148,863 |
3.10%, 8/16/2049 | 61,000 | 42,635 |
3.45%, 4/15/2051 | 17,000 | 12,603 |
Hess Corp. | ||
4.30%, 4/1/2027 | 83,000 | 80,840 |
7.88%, 10/1/2029 | 10,000 | 11,213 |
5.80%, 4/1/2047 | 45,000 | 45,639 |
Kinder Morgan, Inc. | ||
4.30%, 6/1/2025 | 46,000 | 45,326 |
1.75%, 11/15/2026 | 12,000 | 10,956 |
Marathon Oil Corp. | ||
4.40%, 7/15/2027 | 90,000 | 87,399 |
6.60%, 10/1/2037 | 36,000 | 37,557 |
Marathon Petroleum Corp. 5.00%, 9/15/2054 | 58,000 | 49,841 |
MPLX LP | ||
5.20%, 12/1/2047 | 9,000 | 8,015 |
4.95%, 3/14/2052 | 84,000 | 72,341 |
4.90%, 4/15/2058 | 16,000 | 13,247 |
Occidental Petroleum Corp. 4.40%, 4/15/2046 | 21,000 | 16,849 |
ONEOK, Inc. | ||
4.95%, 7/13/2047 | 81,000 | 69,727 |
5.20%, 7/15/2048 | 70,000 | 63,197 |
Ovintiv, Inc. 6.50%, 8/15/2034 | 14,000 | 14,665 |
Phillips 66 4.88%, 11/15/2044 | 10,000 | 9,128 |
Plains All American Pipeline LP 6.65%, 1/15/2037 | 10,000 | 10,553 |
Sabine Pass Liquefaction LLC | ||
5.63%, 3/1/2025 | 123,000 | 122,850 |
4.20%, 3/15/2028 | 59,000 | 56,929 |
Suncor Energy, Inc. (Canada) 3.75%, 3/4/2051 | 28,000 | 20,315 |
Targa Resources Corp. 6.50%, 2/15/2053 | 15,000 | 15,790 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 113 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
Targa Resources Partners LP 4.88%, 2/1/2031 | 25,000 | 23,724 |
TotalEnergies Capital International SA (France) | ||
2.83%, 1/10/2030 | 151,000 | 135,641 |
3.39%, 6/29/2060 | 77,000 | 53,220 |
TransCanada PipeLines Ltd. (Canada) | ||
4.63%, 3/1/2034 | 1,000 | 927 |
6.20%, 10/15/2037 | 11,000 | 11,317 |
6.10%, 6/1/2040 | 55,000 | 56,183 |
4.88%, 5/15/2048 | 10,000 | 8,723 |
Transcontinental Gas Pipe Line Co. LLC 4.60%, 3/15/2048 | 150,000 | 131,161 |
Valero Energy Corp. | ||
3.40%, 9/15/2026 | 42,000 | 40,156 |
3.65%, 12/1/2051 | 40,000 | 28,153 |
Western Midstream Operating LP | ||
4.50%, 3/1/2028 | 42,000 | 40,223 |
5.30%, 3/1/2048 | 2,000 | 1,725 |
5.25%, 2/1/2050 (a) | 35,000 | 31,007 |
3,068,135 | ||
Paper & Forest Products — 0.1% | ||
Suzano Austria GmbH (Brazil) 3.75%, 1/15/2031 | 65,000 | 56,792 |
Personal Care Products — 0.7% | ||
Estee Lauder Cos., Inc. (The) | ||
3.15%, 3/15/2027 | 105,000 | 100,016 |
6.00%, 5/15/2037 | 19,000 | 20,248 |
Kenvue, Inc. | ||
4.90%, 3/22/2033 | 133,000 | 131,499 |
5.10%, 3/22/2043 | 61,000 | 59,427 |
311,190 | ||
Pharmaceuticals — 2.9% | ||
AstraZeneca plc (United Kingdom) | ||
3.38%, 11/16/2025 | 62,000 | 60,302 |
6.45%, 9/15/2037 | 24,000 | 27,027 |
4.38%, 11/16/2045 | 68,000 | 60,111 |
3.00%, 5/28/2051 | 51,000 | 35,267 |
Bristol-Myers Squibb Co. | ||
2.90%, 7/26/2024 | 68,000 | 67,286 |
5.90%, 11/15/2033 | 66,000 | 69,883 |
4.35%, 11/15/2047 | 13,000 | 11,042 |
3.90%, 3/15/2062 | 10,000 | 7,457 |
Eli Lilly & Co. | ||
3.38%, 3/15/2029 | 90,000 | 84,796 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pharmaceuticals — continued | ||
4.15%, 3/15/2059 | 33,000 | 27,748 |
2.50%, 9/15/2060 | 6,000 | 3,491 |
GlaxoSmithKline Capital, Inc. (United Kingdom) | ||
6.38%, 5/15/2038 | 26,000 | 29,151 |
4.20%, 3/18/2043 | 21,000 | 18,451 |
Johnson & Johnson | ||
4.38%, 12/5/2033 | 27,000 | 26,667 |
5.95%, 8/15/2037 | 62,000 | 68,349 |
3.40%, 1/15/2038 | 116,000 | 98,412 |
2.45%, 9/1/2060 | 57,000 | 33,566 |
Merck & Co., Inc. | ||
0.75%, 2/24/2026 | 2,000 | 1,849 |
6.50%, 12/1/2033 (a) | 8,000 | 9,018 |
3.60%, 9/15/2042 | 85,000 | 68,799 |
2.90%, 12/10/2061 | 133,000 | 82,378 |
Merck Sharp & Dohme Corp. 5.95%, 12/1/2028 | 30,000 | 31,472 |
Novartis Capital Corp. (Switzerland) 3.00%, 11/20/2025 | 112,000 | 108,505 |
Pfizer, Inc. | ||
0.80%, 5/28/2025 | 5,000 | 4,746 |
2.75%, 6/3/2026 | 59,000 | 56,437 |
4.00%, 12/15/2036 | 5,000 | 4,491 |
4.10%, 9/15/2038 | 40,000 | 35,543 |
Royalty Pharma plc | ||
3.55%, 9/2/2050 | 51,000 | 34,715 |
3.35%, 9/2/2051 | 2,000 | 1,299 |
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | 20,000 | 19,056 |
Wyeth LLC | ||
6.50%, 2/1/2034 | 87,000 | 95,762 |
6.00%, 2/15/2036 | 91,000 | 97,315 |
1,380,391 | ||
Professional Services — 0.4% | ||
Automatic Data Processing, Inc. 3.38%, 9/15/2025 | 2,000 | 1,954 |
Equifax, Inc. 2.35%, 9/15/2031 | 151,000 | 123,303 |
Jacobs Engineering Group, Inc. 5.90%, 3/1/2033 | 41,000 | 40,993 |
166,250 | ||
Residential REITs — 0.1% | ||
American Homes 4 Rent LP 3.38%, 7/15/2051 | 10,000 | 6,608 |
Camden Property Trust 2.80%, 5/15/2030 | 60,000 | 52,724 |
UDR, Inc. 3.00%, 8/15/2031 | 11,000 | 9,437 |
68,769 |
114 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Retail REITs — 0.6% | ||
Brixmor Operating Partnership LP 4.05%, 7/1/2030 | 60,000 | 55,098 |
Kimco Realty OP LLC 2.25%, 12/1/2031 | 10,000 | 7,962 |
NNN REIT, Inc. 3.00%, 4/15/2052 | 46,000 | 29,313 |
Realty Income Corp. | ||
4.85%, 3/15/2030 | 138,000 | 135,271 |
3.20%, 2/15/2031 | 29,000 | 25,336 |
4.65%, 3/15/2047 | 10,000 | 8,722 |
261,702 | ||
Semiconductors & Semiconductor Equipment — 2.3% | ||
Analog Devices, Inc. 3.50%, 12/5/2026 | 5,000 | 4,829 |
Broadcom Corp. 3.88%, 1/15/2027 | 72,000 | 69,604 |
Broadcom, Inc. | ||
1.95%, 2/15/2028 (d) | 183,000 | 162,427 |
2.45%, 2/15/2031 (d) | 2,000 | 1,665 |
4.15%, 4/15/2032 (d) | 2,000 | 1,836 |
4.30%, 11/15/2032 | 2,000 | 1,852 |
4.93%, 5/15/2037 (d) | 142,000 | 132,310 |
Intel Corp. | ||
3.40%, 3/25/2025 | 23,000 | 22,556 |
3.90%, 3/25/2030 | 4,000 | 3,761 |
4.25%, 12/15/2042 | 129,000 | 109,977 |
5.63%, 2/10/2043 | 10,000 | 10,164 |
4.90%, 7/29/2045 | 39,000 | 36,890 |
KLA Corp. 4.10%, 3/15/2029 | 86,000 | 83,408 |
Micron Technology, Inc. 5.88%, 9/15/2033 | 48,000 | 48,922 |
NVIDIA Corp. 2.00%, 6/15/2031 | 123,000 | 102,754 |
NXP BV (China) | ||
5.55%, 12/1/2028 | 40,000 | 40,441 |
3.25%, 5/11/2041 | 42,000 | 30,865 |
QUALCOMM, Inc. 3.25%, 5/20/2027 | 161,000 | 153,502 |
Texas Instruments, Inc. | ||
1.38%, 3/12/2025 | 17,000 | 16,352 |
1.75%, 5/4/2030 | 23,000 | 19,247 |
4.10%, 8/16/2052 | 55,000 | 46,020 |
5.00%, 3/14/2053 | 5,000 | 4,830 |
5.05%, 5/18/2063 | 4,000 | 3,826 |
1,108,038 | ||
Software — 1.8% | ||
Microsoft Corp. | ||
3.13%, 11/3/2025 | 19,000 | 18,468 |
3.30%, 2/6/2027 | 6,000 | 5,796 |
1.35%, 9/15/2030 (d) | 15,000 | 12,276 |
4.10%, 2/6/2037 | 146,000 | 137,550 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Software — continued | ||
5.20%, 6/1/2039 | 77,000 | 81,327 |
Oracle Corp. | ||
2.50%, 4/1/2025 | 121,000 | 117,193 |
2.95%, 5/15/2025 | 8,000 | 7,764 |
2.65%, 7/15/2026 | 27,000 | 25,431 |
2.30%, 3/25/2028 | 30,000 | 26,877 |
3.90%, 5/15/2035 | 57,000 | 48,927 |
3.85%, 7/15/2036 | 242,000 | 203,432 |
6.50%, 4/15/2038 | 15,000 | 16,020 |
3.60%, 4/1/2050 | 27,000 | 19,003 |
3.95%, 3/25/2051 | 73,000 | 54,409 |
3.85%, 4/1/2060 | 4,000 | 2,779 |
4.10%, 3/25/2061 | 69,000 | 50,503 |
Salesforce, Inc. 3.05%, 7/15/2061 | 10,000 | 6,431 |
834,186 | ||
Specialized REITs — 1.4% | ||
American Tower Corp. 2.10%, 6/15/2030 | 258,000 | 212,356 |
Crown Castle, Inc. | ||
1.35%, 7/15/2025 | 25,000 | 23,653 |
3.65%, 9/1/2027 | 33,000 | 31,144 |
3.10%, 11/15/2029 | 12,000 | 10,618 |
5.20%, 2/15/2049 | 32,000 | 28,944 |
EPR Properties 4.50%, 6/1/2027 | 16,000 | 15,121 |
Equinix, Inc. | ||
1.25%, 7/15/2025 | 81,000 | 76,422 |
3.20%, 11/18/2029 | 128,000 | 115,039 |
Public Storage Operating Co. | ||
1.50%, 11/9/2026 | 61,000 | 55,714 |
2.25%, 11/9/2031 | 45,000 | 37,104 |
Weyerhaeuser Co. 4.00%, 3/9/2052 | 46,000 | 36,059 |
642,174 | ||
Specialty Retail — 1.2% | ||
Home Depot, Inc. (The) | ||
2.70%, 4/15/2030 | 273,000 | 241,503 |
5.88%, 12/16/2036 | 20,000 | 21,305 |
4.20%, 4/1/2043 | 46,000 | 39,622 |
2.75%, 9/15/2051 | 57,000 | 36,299 |
Lowe's Cos., Inc. | ||
3.10%, 5/3/2027 | 82,000 | 77,492 |
4.05%, 5/3/2047 | 66,000 | 52,286 |
4.45%, 4/1/2062 | 43,000 | 34,377 |
5.85%, 4/1/2063 | 20,000 | 20,178 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 115 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Specialty Retail — continued | ||
O'Reilly Automotive, Inc. | ||
4.35%, 6/1/2028 | 44,000 | 42,871 |
4.20%, 4/1/2030 | 19,000 | 18,035 |
583,968 | ||
Technology Hardware, Storage & Peripherals — 1.9% | ||
Apple, Inc. | ||
0.70%, 2/8/2026 | 104,000 | 96,137 |
2.90%, 9/12/2027 | 27,000 | 25,466 |
3.00%, 11/13/2027 | 7,000 | 6,621 |
1.20%, 2/8/2028 | 5,000 | 4,394 |
1.40%, 8/5/2028 | 50,000 | 43,700 |
4.15%, 5/10/2030 | 63,000 | 61,852 |
1.65%, 2/8/2031 | 29,000 | 23,879 |
4.50%, 2/23/2036 | 43,000 | 42,261 |
3.45%, 2/9/2045 | 29,000 | 23,035 |
4.65%, 2/23/2046 | 153,000 | 144,589 |
4.10%, 8/8/2062 | 14,000 | 11,728 |
Dell International LLC | ||
6.02%, 6/15/2026 | 80,000 | 80,882 |
6.10%, 7/15/2027 | 50,000 | 51,298 |
5.30%, 10/1/2029 | 40,000 | 40,076 |
6.20%, 7/15/2030 | 2,000 | 2,093 |
8.10%, 7/15/2036 | 46,000 | 55,123 |
HP, Inc. | ||
4.00%, 4/15/2029 | 192,000 | 182,849 |
6.00%, 9/15/2041 | 7,000 | 7,158 |
903,141 | ||
Textiles, Apparel & Luxury Goods — 0.0% ^ | ||
NIKE, Inc. 3.88%, 11/1/2045 | 20,000 | 16,531 |
Tobacco — 1.5% | ||
Altria Group, Inc. | ||
4.50%, 5/2/2043 | 45,000 | 37,261 |
5.95%, 2/14/2049 | 46,000 | 45,786 |
4.45%, 5/6/2050 | 5,000 | 3,914 |
4.00%, 2/4/2061 | 70,000 | 49,996 |
BAT Capital Corp. (United Kingdom) | ||
4.70%, 4/2/2027 | 64,000 | 62,612 |
2.73%, 3/25/2031 | 49,000 | 40,396 |
5.28%, 4/2/2050 | 69,000 | 57,076 |
5.65%, 3/16/2052 | 10,000 | 8,778 |
Philip Morris International, Inc. | ||
4.88%, 2/15/2028 | 117,000 | 116,315 |
5.13%, 2/15/2030 | 131,000 | 130,364 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Tobacco — continued | ||
5.75%, 11/17/2032 | 54,000 | 55,039 |
6.38%, 5/16/2038 | 8,000 | 8,633 |
4.38%, 11/15/2041 | 30,000 | 25,497 |
Reynolds American, Inc. (United Kingdom) 4.45%, 6/12/2025 | 48,000 | 47,269 |
688,936 | ||
Trading Companies & Distributors — 0.3% | ||
Air Lease Corp. | ||
3.25%, 3/1/2025 | 15,000 | 14,645 |
3.13%, 12/1/2030 | 40,000 | 34,440 |
GATX Corp. | ||
3.25%, 3/30/2025 | 12,000 | 11,700 |
3.50%, 6/1/2032 | 1,000 | 865 |
5.45%, 9/15/2033 | 7,000 | 6,971 |
6.05%, 3/15/2034 | 52,000 | 53,233 |
121,854 | ||
Water Utilities — 0.1% | ||
American Water Capital Corp. | ||
2.80%, 5/1/2030 | 7,000 | 6,127 |
6.59%, 10/15/2037 | 3,000 | 3,368 |
3.75%, 9/1/2047 | 18,000 | 13,970 |
4.20%, 9/1/2048 | 11,000 | 9,238 |
Essential Utilities, Inc. 5.30%, 5/1/2052 | 15,000 | 13,930 |
46,633 | ||
Wireless Telecommunication Services — 1.3% | ||
Rogers Communications, Inc. (Canada) 5.45%, 10/1/2043 | 65,000 | 62,164 |
T-Mobile USA, Inc. | ||
3.75%, 4/15/2027 | 142,000 | 136,126 |
3.88%, 4/15/2030 | 168,000 | 155,997 |
3.50%, 4/15/2031 | 218,000 | 195,080 |
Vodafone Group plc (United Kingdom) | ||
4.38%, 5/30/2028 | 1,000 | 983 |
5.13%, 6/19/2059 | 78,000 | 68,646 |
618,996 | ||
Total Corporate Bonds (Cost $47,828,672) | 46,502,984 |
116 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | SHARES | VALUE($) |
Short-Term Investments — 0.1% | ||
Investment Companies — 0.1% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (f) (g) (Cost $56,033) | 56,033 | 56,033 |
Total Investments — 98.2% (Cost $47,884,705) | 46,559,017 | |
Other Assets Less Liabilities — 1.8% | 859,711 | |
NET ASSETS — 100.0% | 47,418,728 |
Percentages indicated are based on net assets. |
Abbreviations | |
CME | Chicago Mercantile Exchange |
ICE | Intercontinental Exchange |
OYJ | Public Limited Company |
REIT | Real Estate Investment Trust |
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) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2024. |
(b) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2024. | |
(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 29, 2024 is $163,993 or 0.35% of the Fund’s net assets as of February 29, 2024. | |
(d) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 29, 2024. | |
(f) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(g) | The rate shown is the current yield as of February 29, 2024. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 117 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — 84.9% | ||
Angola — 0.3% | ||
Republic of Angola | ||
8.00%, 11/26/2029 (a) | 200,000 | 177,906 |
8.75%, 4/14/2032 (a) | 2,148,000 | 1,887,233 |
9.38%, 5/8/2048 (a) | 200,000 | 163,760 |
2,228,899 | ||
Azerbaijan — 0.2% | ||
Republic of Azerbaijan | ||
3.50%, 9/1/2032 (a) | 1,897,000 | 1,597,862 |
3.50%, 9/1/2032 (b) | 1,000 | 842 |
1,598,704 | ||
Bahrain — 4.2% | ||
CBB International Sukuk Co. 7 SPC 6.88%, 10/5/2025 (a) | 1,758,000 | 1,777,777 |
CBB International Sukuk Programme Co. SPC | ||
4.50%, 3/30/2027 (a) | 1,200,000 | 1,156,404 |
3.95%, 9/16/2027 (a) | 1,815,000 | 1,711,205 |
CBB International Sukuk Programme Co. WLL 3.88%, 5/18/2029 (a) | 209,000 | 189,973 |
Kingdom of Bahrain | ||
7.00%, 1/26/2026 (a) | 1,975,000 | 1,990,741 |
7.00%, 10/12/2028 (a) | 2,889,000 | 2,956,711 |
7.00%, 10/12/2028 (b) | 402,000 | 411,422 |
6.75%, 9/20/2029 (a) | 3,307,000 | 3,305,967 |
7.38%, 5/14/2030 (a) | 847,000 | 872,537 |
5.63%, 9/30/2031 (a) | 3,406,000 | 3,167,580 |
5.45%, 9/16/2032 (a) | 4,185,000 | 3,780,886 |
5.25%, 1/25/2033 (a) | 3,832,000 | 3,363,777 |
5.63%, 5/18/2034 (a) | 3,009,000 | 2,674,790 |
6.00%, 9/19/2044 (a) | 700,000 | 564,830 |
27,924,600 | ||
Brazil — 5.8% | ||
Federative Republic of Brazil | ||
2.88%, 6/6/2025 | 671,000 | 647,616 |
6.00%, 4/7/2026 | 2,936,000 | 2,981,185 |
4.63%, 1/13/2028 | 1,077,000 | 1,054,458 |
4.50%, 5/30/2029 | 5,067,000 | 4,790,848 |
3.88%, 6/12/2030 | 6,636,000 | 5,945,591 |
3.75%, 9/12/2031 | 2,359,000 | 2,049,947 |
6.00%, 10/20/2033 | 5,273,000 | 5,227,283 |
8.25%, 1/20/2034 | 1,978,000 | 2,267,283 |
5.00%, 1/27/2045 | 3,053,000 | 2,432,997 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Brazil—continued | ||
5.63%, 2/21/2047 | 4,730,000 | 4,027,690 |
4.75%, 1/14/2050 | 8,640,000 | 6,388,675 |
37,813,573 | ||
Chile — 1.9% | ||
Republic of Chile | ||
3.24%, 2/6/2028 | 1,507,000 | 1,409,723 |
2.55%, 1/27/2032 | 2,083,000 | 1,753,761 |
2.55%, 7/27/2033 | 4,386,000 | 3,549,063 |
3.50%, 1/31/2034 | 300,000 | 261,222 |
4.95%, 1/5/2036 | 608,000 | 588,520 |
3.10%, 5/7/2041 | 4,263,000 | 3,127,081 |
3.25%, 9/21/2071 | 2,465,000 | 1,545,654 |
12,235,024 | ||
China — 1.1% | ||
Export-Import Bank of China (The) 2.88%, 4/26/2026 (a) | 1,813,000 | 1,741,677 |
People's Republic of China | ||
1.25%, 10/26/2026 (a) | 2,443,000 | 2,242,161 |
2.63%, 11/2/2027 (a) | 2,806,000 | 2,644,094 |
3.50%, 10/19/2028 (a) | 776,000 | 751,377 |
7,379,309 | ||
Colombia — 4.6% | ||
Republic of Colombia | ||
4.50%, 3/15/2029 | 3,513,000 | 3,205,648 |
3.00%, 1/30/2030 | 4,475,000 | 3,671,380 |
3.13%, 4/15/2031 | 2,451,000 | 1,939,844 |
3.25%, 4/22/2032 | 6,009,000 | 4,638,708 |
8.00%, 4/20/2033 (c) | 555,000 | 580,960 |
7.38%, 9/18/2037 | 5,194,000 | 5,097,703 |
6.13%, 1/18/2041 | 3,479,000 | 2,963,864 |
4.13%, 2/22/2042 | 3,261,000 | 2,174,924 |
5.63%, 2/26/2044 | 1,386,000 | 1,085,973 |
5.00%, 6/15/2045 | 2,039,000 | 1,465,327 |
5.20%, 5/15/2049 | 3,665,000 | 2,661,486 |
8.75%, 11/14/2053 | 239,000 | 255,914 |
3.88%, 2/15/2061 | 603,000 | 344,958 |
30,086,689 | ||
Costa Rica — 1.3% | ||
Republic of Costa Rica | ||
6.13%, 2/19/2031 (a) | 2,451,000 | 2,486,540 |
6.55%, 4/3/2034 (a) | 623,000 | 642,836 |
7.00%, 4/4/2044 (a) | 2,323,000 | 2,381,656 |
118 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Costa Rica—continued | ||
7.16%, 3/12/2045 (a) | 2,955,000 | 3,067,659 |
7.30%, 11/13/2054 (a) | 200,000 | 210,946 |
8,789,637 | ||
Dominican Republic — 4.7% | ||
Dominican Republic Government Bond | ||
6.88%, 1/29/2026 (a) | 2,215,000 | 2,238,534 |
5.95%, 1/25/2027 (a) | 2,171,000 | 2,166,419 |
6.00%, 7/19/2028 (a) | 3,747,000 | 3,736,696 |
4.50%, 1/30/2030 (a) | 5,992,000 | 5,441,994 |
4.88%, 9/23/2032 (a) | 2,319,000 | 2,065,023 |
6.00%, 2/22/2033 (a) | 2,520,000 | 2,435,580 |
5.30%, 1/21/2041 (a) | 4,093,000 | 3,436,074 |
7.45%, 4/30/2044 (b) | 109,000 | 113,905 |
6.85%, 1/27/2045 (a) | 787,000 | 772,834 |
6.40%, 6/5/2049 (b) | 2,968,000 | 2,772,298 |
6.40%, 6/5/2049 (a) (c) | 1,518,000 | 1,417,907 |
5.88%, 1/30/2060 (a) | 5,239,000 | 4,424,911 |
31,022,175 | ||
Guatemala — 0.6% | ||
Republic of Guatemala | ||
6.60%, 6/13/2036 (a) (c) | 1,233,000 | 1,246,255 |
6.13%, 6/1/2050 (a) | 2,604,000 | 2,379,730 |
3,625,985 | ||
Hungary — 1.9% | ||
Hungary Government Bond | ||
6.13%, 5/22/2028 (a) | 1,394,000 | 1,422,688 |
5.25%, 6/16/2029 (a) | 3,693,000 | 3,625,344 |
2.13%, 9/22/2031 (a) | 332,000 | 259,508 |
6.25%, 9/22/2032 (a) | 700,000 | 722,113 |
5.50%, 6/16/2034 (a) | 553,000 | 537,947 |
5.50%, 3/26/2036 (a) | 393,000 | 378,428 |
7.63%, 3/29/2041 | 2,534,000 | 2,897,680 |
3.13%, 9/21/2051 (a) | 575,000 | 357,989 |
6.75%, 9/25/2052 (a) | 1,364,000 | 1,447,395 |
Magyar Export-Import Bank Zrt. 6.13%, 12/4/2027 (a) | 964,000 | 968,724 |
12,617,816 | ||
India — 0.6% | ||
Export-Import Bank of India | ||
3.88%, 2/1/2028 (a) | 200,000 | 190,184 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
India—continued | ||
3.25%, 1/15/2030 (a) | 389,000 | 348,804 |
2.25%, 1/13/2031 (a) | 2,212,000 | 1,821,444 |
5.50%, 1/18/2033 (a) | 1,273,000 | 1,283,757 |
3,644,189 | ||
Indonesia — 3.4% | ||
Perusahaan Penerbit SBSN Indonesia III | ||
4.33%, 5/28/2025 (a) | 578,000 | 574,035 |
4.55%, 3/29/2026 (a) | 1,013,000 | 1,002,161 |
1.50%, 6/9/2026 (a) | 314,000 | 290,406 |
4.15%, 3/29/2027 (a) | 1,260,000 | 1,230,201 |
4.45%, 2/20/2029 (a) | 465,000 | 453,421 |
2.80%, 6/23/2030 (a) | 981,000 | 865,242 |
2.55%, 6/9/2031 (a) | 287,000 | 244,030 |
4.70%, 6/6/2032 (a) | 339,000 | 332,189 |
5.60%, 11/15/2033 (a) | 875,000 | 908,119 |
Republic of Indonesia | ||
3.50%, 1/11/2028 | 3,088,000 | 2,930,790 |
4.10%, 4/24/2028 | 2,014,000 | 1,944,154 |
4.75%, 2/11/2029 | 200,000 | 197,744 |
4.65%, 9/20/2032 | 2,443,000 | 2,361,184 |
4.85%, 1/11/2033 | 1,850,000 | 1,815,923 |
6.63%, 2/17/2037 (a) | 1,314,000 | 1,465,885 |
6.63%, 2/17/2037 (b) | 145,000 | 161,761 |
7.75%, 1/17/2038 (a) | 753,000 | 923,984 |
4.63%, 4/15/2043 (a) | 326,000 | 300,022 |
6.75%, 1/15/2044 (a) | 220,000 | 254,994 |
3.70%, 10/30/2049 | 493,000 | 380,226 |
4.20%, 10/15/2050 (c) | 3,263,000 | 2,713,592 |
3.05%, 3/12/2051 | 1,418,000 | 992,884 |
4.45%, 4/15/2070 | 334,000 | 277,763 |
22,620,710 | ||
Iraq — 0.3% | ||
Republic of Iraq 5.80%, 1/15/2028 (a) | 2,088,000 | 1,948,292 |
Ivory Coast — 0.3% | ||
Republic of Cote d'Ivoire 6.13%, 6/15/2033 (a) | 2,468,000 | 2,164,930 |
Jamaica — 1.2% | ||
Jamaica Government Bond | ||
6.75%, 4/28/2028 | 2,568,000 | 2,644,655 |
7.88%, 7/28/2045 | 4,556,000 | 5,275,984 |
7,920,639 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 119 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Jordan — 1.3% | ||
Hashemite Kingdom of Jordan | ||
5.75%, 1/31/2027 (a) | 3,519,000 | 3,394,287 |
7.50%, 1/13/2029 (a) | 1,283,000 | 1,265,359 |
5.85%, 7/7/2030 (a) | 3,046,000 | 2,749,015 |
7.38%, 10/10/2047 (a) | 1,377,000 | 1,185,941 |
8,594,602 | ||
Kazakhstan — 0.6% | ||
Republic of Kazakhstan | ||
3.88%, 10/14/2024 (b) | 350,000 | 348,541 |
3.88%, 10/14/2024 (a) | 499,000 | 496,919 |
5.13%, 7/21/2025 (a) | 307,000 | 309,878 |
4.88%, 10/14/2044 (a) | 1,690,000 | 1,582,516 |
6.50%, 7/21/2045 (a) | 1,006,000 | 1,113,139 |
3,850,993 | ||
Kuwait — 0.7% | ||
State of Kuwait 3.50%, 3/20/2027 (a) | 4,440,000 | 4,299,518 |
Malaysia — 0.2% | ||
Malaysia Sovereign Sukuk Bhd. 3.04%, 4/22/2025 (a) | 600,000 | 586,914 |
Malaysia Sukuk Global Bhd. 3.18%, 4/27/2026 (a) | 1,002,000 | 968,809 |
1,555,723 | ||
Mexico — 4.6% | ||
United Mexican States | ||
4.15%, 3/28/2027 | 1,142,000 | 1,116,191 |
3.75%, 1/11/2028 (c) | 3,644,000 | 3,455,423 |
4.50%, 4/22/2029 | 1,477,000 | 1,419,988 |
2.66%, 5/24/2031 | 1,586,000 | 1,315,159 |
4.75%, 4/27/2032 | 800,000 | 752,400 |
3.50%, 2/12/2034 | 5,210,000 | 4,310,129 |
6.75%, 9/27/2034 | 1,823,000 | 1,925,544 |
6.35%, 2/9/2035 | 766,000 | 783,947 |
6.05%, 1/11/2040 | 1,000,000 | 980,850 |
4.75%, 3/8/2044 | 2,718,000 | 2,240,719 |
5.55%, 1/21/2045 (c) | 854,000 | 787,704 |
4.60%, 1/23/2046 | 4,519,000 | 3,605,258 |
4.40%, 2/12/2052 (c) | 3,350,000 | 2,528,982 |
6.34%, 5/4/2053 | 1,198,000 | 1,168,499 |
3.77%, 5/24/2061 | 1,000,000 | 643,550 |
3.75%, 4/19/2071 | 5,169,000 | 3,258,021 |
30,292,364 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Morocco — 1.1% | ||
Kingdom of Morocco | ||
5.95%, 3/8/2028 (a) | 1,410,000 | 1,423,219 |
3.00%, 12/15/2032 (a) | 4,372,000 | 3,478,713 |
6.50%, 9/8/2033 (a) | 1,318,000 | 1,352,360 |
4.00%, 12/15/2050 (a) | 1,252,000 | 844,709 |
7,099,001 | ||
Nigeria — 3.2% | ||
Federal Republic of Nigeria | ||
7.63%, 11/21/2025 (a) | 2,300,000 | 2,263,344 |
6.50%, 11/28/2027 (a) | 735,000 | 668,284 |
6.13%, 9/28/2028 (a) | 1,900,000 | 1,669,093 |
8.38%, 3/24/2029 (a) | 2,400,000 | 2,274,504 |
7.14%, 2/23/2030 (a) | 1,448,000 | 1,278,765 |
8.75%, 1/21/2031 (a) | 1,962,000 | 1,847,753 |
7.88%, 2/16/2032 (a) | 2,200,000 | 1,933,558 |
7.38%, 9/28/2033 (a) | 6,528,000 | 5,468,832 |
7.63%, 11/28/2047 (a) | 3,251,000 | 2,507,268 |
8.25%, 9/28/2051 (a) | 1,061,000 | 862,190 |
20,773,591 | ||
Oman — 5.2% | ||
Oman Sovereign Sukuk SAOC | ||
5.93%, 10/31/2025 (a) | 1,504,000 | 1,509,174 |
4.88%, 6/15/2030 (a) | 3,092,000 | 3,024,007 |
Sultanate of Oman Government Bond | ||
4.75%, 6/15/2026 (a) | 3,378,000 | 3,308,143 |
6.75%, 10/28/2027 (a) | 2,233,000 | 2,312,785 |
5.63%, 1/17/2028 (a) | 3,587,000 | 3,587,000 |
6.00%, 8/1/2029 (a) | 4,690,000 | 4,757,419 |
6.00%, 8/1/2029 (b) | 221,000 | 224,177 |
6.25%, 1/25/2031 (a) | 3,823,000 | 3,917,380 |
7.38%, 10/28/2032 (a) | 3,380,000 | 3,714,831 |
6.50%, 3/8/2047 (a) | 2,182,000 | 2,151,234 |
6.50%, 3/8/2047 (b) | 271,000 | 267,179 |
6.75%, 1/17/2048 (a) | 2,560,000 | 2,574,694 |
7.00%, 1/25/2051 (a) | 2,649,000 | 2,747,755 |
34,095,778 | ||
Panama — 2.1% | ||
Republic of Panama | ||
3.88%, 3/17/2028 | 700,000 | 634,813 |
3.16%, 1/23/2030 | 2,322,000 | 1,908,823 |
2.25%, 9/29/2032 | 2,545,000 | 1,785,477 |
3.30%, 1/19/2033 | 997,000 | 753,981 |
6.70%, 1/26/2036 | 2,612,000 | 2,462,985 |
120 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Panama—continued | ||
6.88%, 1/31/2036 | 316,000 | 298,462 |
4.30%, 4/29/2053 | 1,602,000 | 1,006,757 |
6.85%, 3/28/2054 | 808,000 | 712,050 |
3.87%, 7/23/2060 | 4,142,000 | 2,316,931 |
4.50%, 1/19/2063 | 3,243,000 | 2,014,714 |
13,894,993 | ||
Paraguay — 0.7% | ||
Republic of Paraguay | ||
4.95%, 4/28/2031 (a) | 1,610,000 | 1,544,763 |
6.10%, 8/11/2044 (a) | 3,536,000 | 3,359,200 |
4,903,963 | ||
Peru — 2.1% | ||
Republic of Peru | ||
4.13%, 8/25/2027 | 350,000 | 338,905 |
2.78%, 1/23/2031 | 1,547,000 | 1,316,311 |
1.86%, 12/1/2032 | 4,866,000 | 3,676,993 |
8.75%, 11/21/2033 | 1,166,000 | 1,431,090 |
3.00%, 1/15/2034 | 622,000 | 506,538 |
6.55%, 3/14/2037 | 172,000 | 185,519 |
3.30%, 3/11/2041 | 3,118,000 | 2,314,866 |
3.55%, 3/10/2051 | 364,000 | 261,323 |
2.78%, 12/1/2060 | 2,309,000 | 1,324,189 |
3.23%, 7/28/2121 | 3,962,000 | 2,262,381 |
13,618,115 | ||
Philippines — 3.1% | ||
Republic of Philippines | ||
5.50%, 3/30/2026 | 2,408,000 | 2,435,090 |
3.00%, 2/1/2028 | 2,263,000 | 2,100,132 |
3.75%, 1/14/2029 | 2,268,000 | 2,147,343 |
9.50%, 2/2/2030 | 661,000 | 808,972 |
2.46%, 5/5/2030 | 1,848,000 | 1,593,013 |
6.38%, 1/15/2032 | 200,000 | 216,308 |
5.00%, 7/17/2033 | 500,000 | 498,540 |
6.38%, 10/23/2034 | 408,000 | 447,845 |
5.00%, 1/13/2037 | 2,535,000 | 2,496,696 |
3.95%, 1/20/2040 | 200,000 | 171,356 |
3.70%, 3/1/2041 (c) | 3,031,000 | 2,477,236 |
3.70%, 2/2/2042 | 2,592,000 | 2,102,760 |
2.65%, 12/10/2045 | 3,447,000 | 2,256,337 |
4.20%, 3/29/2047 | 422,000 | 352,817 |
5.50%, 1/17/2048 | 300,000 | 303,300 |
20,407,745 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Poland — 1.3% | ||
Republic of Poland | ||
3.25%, 4/6/2026 | 4,348,000 | 4,227,778 |
5.50%, 11/16/2027 | 302,000 | 309,655 |
5.75%, 11/16/2032 | 524,000 | 546,286 |
4.88%, 10/4/2033 | 317,000 | 310,961 |
5.50%, 4/4/2053 | 2,979,000 | 2,976,468 |
8,371,148 | ||
Qatar — 2.8% | ||
State of Qatar | ||
3.40%, 4/16/2025 (a) | 3,825,000 | 3,753,511 |
3.25%, 6/2/2026 (a) | 1,286,000 | 1,242,597 |
4.50%, 4/23/2028 (a) | 1,028,000 | 1,024,145 |
4.00%, 3/14/2029 (a) | 1,773,000 | 1,726,459 |
3.75%, 4/16/2030 (a) | 500,000 | 478,125 |
6.40%, 1/20/2040 (a) | 1,710,000 | 1,928,025 |
5.75%, 1/20/2042 (a) | 200,000 | 212,534 |
4.63%, 6/2/2046 (a) | 559,000 | 509,953 |
5.10%, 4/23/2048 (a) | 413,000 | 397,744 |
4.82%, 3/14/2049 (a) | 1,987,000 | 1,838,333 |
4.40%, 4/16/2050 (a) | 5,750,000 | 5,019,060 |
18,130,486 | ||
Romania — 1.7% | ||
Romania Government Bond | ||
3.00%, 2/27/2027 (a) | 3,234,000 | 3,001,540 |
5.25%, 11/25/2027 (a) | 540,000 | 528,682 |
6.63%, 2/17/2028 (a) | 686,000 | 706,312 |
3.63%, 3/27/2032 (a) | 550,000 | 465,086 |
6.00%, 5/25/2034 (a) | 934,000 | 911,220 |
6.13%, 1/22/2044 (a) (c) | 3,972,000 | 3,776,895 |
5.13%, 6/15/2048 (a) | 1,050,000 | 870,754 |
4.00%, 2/14/2051 (a) | 366,000 | 253,693 |
7.63%, 1/17/2053 (a) | 542,000 | 590,981 |
11,105,163 | ||
Saudi Arabia — 4.2% | ||
Kingdom of Saudi Arabia | ||
4.00%, 4/17/2025 (a) | 2,213,000 | 2,176,641 |
3.25%, 10/26/2026 (a) | 1,204,000 | 1,150,530 |
2.50%, 2/3/2027 (a) | 4,048,000 | 3,771,522 |
4.75%, 1/18/2028 (a) | 500,000 | 496,000 |
3.63%, 3/4/2028 (a) | 4,620,000 | 4,391,310 |
4.38%, 4/16/2029 (a) | 1,269,000 | 1,232,554 |
4.50%, 4/17/2030 (b) | 282,000 | 273,709 |
4.50%, 4/17/2030 (a) | 500,000 | 485,300 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 121 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Saudi Arabia—continued | ||
2.25%, 2/2/2033 (a) | 3,723,000 | 2,959,785 |
4.50%, 10/26/2046 (a) | 5,188,000 | 4,353,056 |
4.63%, 10/4/2047 (a) | 1,967,000 | 1,667,033 |
5.00%, 4/17/2049 (a) | 300,000 | 266,706 |
5.25%, 1/16/2050 (a) | 1,858,000 | 1,709,360 |
3.75%, 1/21/2055 (a) | 1,100,000 | 779,614 |
3.45%, 2/2/2061 (a) | 2,024,000 | 1,325,254 |
KSA Sukuk Ltd. | ||
3.63%, 4/20/2027 (a) | 213,000 | 204,857 |
2.25%, 5/17/2031 (a) | 661,000 | 550,283 |
27,793,514 | ||
Senegal — 0.4% | ||
Republic of Senegal | ||
6.25%, 5/23/2033 (a) | 631,000 | 525,307 |
6.75%, 3/13/2048 (a) | 2,500,000 | 1,809,375 |
2,334,682 | ||
Serbia — 0.4% | ||
Republic of Serbia | ||
2.13%, 12/1/2030 (a) | 200,000 | 157,718 |
6.50%, 9/26/2033 (a) | 2,729,000 | 2,775,393 |
2,933,111 | ||
South Africa — 4.3% | ||
Republic of South Africa | ||
5.88%, 9/16/2025 | 3,130,000 | 3,124,742 |
4.88%, 4/14/2026 | 1,645,000 | 1,602,904 |
4.85%, 9/27/2027 | 2,272,000 | 2,164,080 |
4.30%, 10/12/2028 | 3,475,000 | 3,129,672 |
4.85%, 9/30/2029 | 7,269,000 | 6,530,742 |
5.88%, 6/22/2030 | 693,000 | 642,758 |
5.88%, 4/20/2032 | 203,000 | 183,144 |
5.38%, 7/24/2044 | 376,000 | 274,245 |
5.00%, 10/12/2046 | 1,401,000 | 951,804 |
5.65%, 9/27/2047 | 5,322,000 | 3,870,092 |
5.75%, 9/30/2049 | 1,489,000 | 1,084,178 |
7.30%, 4/20/2052 | 5,246,000 | 4,557,462 |
28,115,823 | ||
Trinidad And Tobago — 0.3% | ||
Republic of Trinidad and Tobago 4.50%, 8/4/2026 (a) | 1,905,000 | 1,843,373 |
Turkey — 8.0% | ||
Hazine Mustesarligi Varlik Kiralama A/S | ||
9.76%, 11/13/2025 (a) | 473,000 | 498,684 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Turkey—continued | ||
5.13%, 6/22/2026 (a) | 2,390,000 | 2,308,620 |
7.25%, 2/24/2027 (a) | 5,115,000 | 5,171,674 |
8.51%, 1/14/2029 (a) | 400,000 | 417,712 |
Republic of Turkey | ||
7.38%, 2/5/2025 | 975,000 | 989,723 |
6.38%, 10/14/2025 | 680,000 | 681,387 |
4.75%, 1/26/2026 | 4,696,000 | 4,569,795 |
4.25%, 4/14/2026 | 2,969,000 | 2,846,737 |
4.88%, 10/9/2026 | 2,855,000 | 2,751,563 |
6.00%, 3/25/2027 | 651,000 | 639,438 |
5.13%, 2/17/2028 | 3,356,000 | 3,163,601 |
6.13%, 10/24/2028 | 1,791,000 | 1,739,921 |
7.63%, 4/26/2029 | 1,252,000 | 1,274,574 |
9.13%, 7/13/2030 | 625,000 | 673,700 |
5.95%, 1/15/2031 | 5,289,000 | 4,869,159 |
5.88%, 6/26/2031 | 3,726,000 | 3,397,646 |
9.38%, 1/19/2033 | 2,137,000 | 2,367,155 |
6.50%, 9/20/2033 | 2,273,000 | 2,113,890 |
6.88%, 3/17/2036 | 3,477,000 | 3,242,163 |
6.75%, 5/30/2040 | 955,000 | 844,096 |
6.00%, 1/14/2041 | 3,880,000 | 3,157,389 |
5.75%, 5/11/2047 | 6,777,000 | 5,080,310 |
52,798,937 | ||
United Arab Emirates — 2.6% | ||
Sharjah Sukuk Program Ltd. | ||
4.23%, 3/14/2028 (a) | 700,000 | 668,017 |
3.23%, 10/23/2029 (a) | 438,000 | 391,568 |
United Arab Emirates Government Bond | ||
2.50%, 4/16/2025 (a) | 2,190,000 | 2,125,044 |
3.13%, 5/3/2026 (a) | 201,000 | 193,782 |
3.13%, 10/11/2027 (a) | 1,975,000 | 1,871,930 |
1.63%, 6/2/2028 (a) | 3,364,000 | 2,963,886 |
2.50%, 9/30/2029 (a) | 758,000 | 676,386 |
2.00%, 10/19/2031 (a) | 1,810,000 | 1,503,241 |
6.50%, 11/23/2032 (a) | 400,000 | 411,424 |
4.92%, 9/25/2033 (a) | 263,000 | 267,739 |
2.88%, 10/19/2041 (a) | 519,000 | 377,116 |
5.25%, 1/30/2043 (a) | 499,000 | 473,401 |
3.13%, 9/30/2049 (a) | 1,804,000 | 1,252,409 |
3.88%, 4/16/2050 (a) | 568,000 | 449,947 |
4.00%, 7/28/2050 (a) | 281,000 | 178,143 |
3.90%, 9/9/2050 (a) | 430,000 | 317,723 |
3.00%, 9/15/2051 (a) | 211,000 | 141,294 |
4.95%, 7/7/2052 (a) | 567,000 | 533,575 |
122 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
United Arab Emirates—continued | ||
3.25%, 10/19/2061 (a) | 765,000 | 518,043 |
2.70%, 9/2/2070 (a) | 3,361,000 | 1,946,557 |
17,261,225 | ||
Uruguay — 1.6% | ||
Oriental Republic of Uruguay | ||
4.38%, 10/27/2027 | 750,000 | 738,938 |
4.38%, 1/23/2031 | 2,921,000 | 2,840,672 |
5.75%, 10/28/2034 | 895,000 | 939,481 |
7.63%, 3/21/2036 | 180,000 | 216,113 |
5.10%, 6/18/2050 (c) | 2,939,000 | 2,820,705 |
4.98%, 4/20/2055 | 3,127,000 | 2,908,485 |
10,464,394 | ||
Total Foreign Government Securities (Cost $555,534,325) | 558,159,413 | |
Corporate Bonds — 13.0% | ||
Azerbaijan — 0.4% | ||
Southern Gas Corridor CJSC 6.88%, 3/24/2026 (a) | 2,749,000 | 2,782,813 |
Bahrain — 0.3% | ||
Bapco Energies BSCC 7.50%, 10/25/2027 (a) | 1,669,000 | 1,724,807 |
Chile — 0.9% | ||
Corp. Nacional del Cobre de Chile | ||
3.63%, 8/1/2027 (a) | 360,000 | 338,962 |
3.00%, 9/30/2029 (a) | 1,395,000 | 1,222,927 |
5.95%, 1/8/2034 (a) | 766,000 | 757,143 |
4.50%, 8/1/2047 (a) | 1,350,000 | 1,044,468 |
4.38%, 2/5/2049 (a) | 956,000 | 725,843 |
3.70%, 1/30/2050 (a) | 2,185,000 | 1,471,401 |
Empresa de Transporte de Pasajeros Metro SA 4.70%, 5/7/2050 (a) | 483,000 | 389,721 |
5,950,465 | ||
China — 1.6% | ||
China Development Bank 1.00%, 10/27/2025 (a) | 1,090,000 | 1,019,008 |
CNAC HK Finbridge Co. Ltd. 4.13%, 7/19/2027 (a) | 200,000 | 191,906 |
Minmetals Bounteous Finance BVI Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.21%), 3.38%, 9/3/2024 (a) (d) (e) (f) | 270,000 | 266,358 |
Sinopec Group Overseas Development 2012 Ltd. 4.88%, 5/17/2042 (a) | 1,320,000 | 1,274,797 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
China — continued | ||
Sinopec Group Overseas Development 2018 Ltd. | ||
2.15%, 5/13/2025 (a) | 2,113,000 | 2,035,390 |
2.95%, 11/12/2029 (a) | 905,000 | 825,930 |
2.70%, 5/13/2030 (a) | 718,000 | 641,425 |
2.30%, 1/8/2031 (a) | 1,154,000 | 991,424 |
SPIC MTN Co. Ltd. 1.63%, 7/27/2025 (a) | 1,076,000 | 1,019,779 |
State Grid Overseas Investment BVI Ltd. | ||
3.50%, 5/4/2027 (a) | 2,149,000 | 2,062,771 |
1.63%, 8/5/2030 (a) | 541,000 | 448,430 |
10,777,218 | ||
Hong Kong — 0.3% | ||
China Life Insurance Overseas Co. Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.23%), 5.35%, 8/15/2033 (a) (f) | 1,862,000 | 1,873,842 |
Hungary — 0.2% | ||
MFB Magyar Fejlesztesi Bank Zrt. 6.50%, 6/29/2028 (a) | 1,082,000 | 1,097,505 |
Indonesia — 0.8% | ||
Indonesia Asahan Aluminium PT 4.75%, 5/15/2025 (a) | 343,000 | 338,325 |
Pelabuhan Indonesia Persero PT 4.25%, 5/5/2025 (a) | 1,053,000 | 1,035,267 |
Pertamina Persero PT | ||
5.63%, 5/20/2043 (a) | 400,000 | 382,112 |
6.45%, 5/30/2044 (a) | 497,000 | 517,967 |
4.18%, 1/21/2050 (a) | 1,466,000 | 1,126,988 |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | ||
4.13%, 5/15/2027 (a) | 200,000 | 192,208 |
5.45%, 5/21/2028 (a) | 253,000 | 251,950 |
5.25%, 10/24/2042 (a) | 788,000 | 709,744 |
6.15%, 5/21/2048 (a) | 262,000 | 254,842 |
4.00%, 6/30/2050 (a) | 230,000 | 164,321 |
4,973,724 | ||
Malaysia — 1.4% | ||
Petronas Capital Ltd. | ||
3.50%, 3/18/2025 (a) | 267,000 | 261,708 |
3.50%, 4/21/2030 (a) | 1,840,000 | 1,683,025 |
2.48%, 1/28/2032 (a) | 4,344,000 | 3,611,797 |
3.40%, 4/28/2061 (a) | 5,827,000 | 3,962,185 |
9,518,715 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 123 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Mexico — 3.4% | ||
Banco Nacional de Comercio Exterior SNC 4.38%, 10/14/2025 (a) | 758,000 | 743,954 |
Comision Federal de Electricidad 4.69%, 5/15/2029 (a) | 200,000 | 188,250 |
Mexico City Airport Trust 5.50%, 7/31/2047 (a) | 644,000 | 535,834 |
Petroleos Mexicanos | ||
4.50%, 1/23/2026 | 2,552,000 | 2,375,912 |
6.88%, 8/4/2026 | 868,000 | 836,231 |
6.50%, 1/23/2029 (c) | 795,000 | 696,404 |
8.75%, 6/2/2029 | 3,455,000 | 3,301,252 |
6.84%, 1/23/2030 | 651,000 | 556,462 |
6.70%, 2/16/2032 | 4,209,000 | 3,395,400 |
10.00%, 2/7/2033 | 743,000 | 719,893 |
6.63%, 6/15/2035 | 3,258,000 | 2,410,464 |
6.50%, 6/2/2041 | 5,655,000 | 3,732,300 |
6.75%, 9/21/2047 | 2,924,000 | 1,856,740 |
6.35%, 2/12/2048 | 402,000 | 246,024 |
7.69%, 1/23/2050 | 1,041,000 | 717,093 |
22,312,213 | ||
Oman — 0.2% | ||
EDO Sukuk Ltd. | ||
5.88%, 9/21/2033 (a) | 250,000 | 253,125 |
5.88%, 9/21/2033 (b) | 903,000 | 914,288 |
1,167,413 | ||
Panama — 0.2% | ||
Aeropuerto Internacional de Tocumen SA 5.13%, 8/11/2061 (a) | 1,082,000 | 759,575 |
Banco Nacional de Panama 2.50%, 8/11/2030 (a) | 601,000 | 456,201 |
1,215,776 | ||
Peru — 0.3% | ||
Petroleos del Peru SA | ||
4.75%, 6/19/2032 (a) | 667,000 | 524,012 |
5.63%, 6/19/2047 (a) | 1,894,000 | 1,297,390 |
1,821,402 | ||
Poland — 0.2% | ||
Bank Gospodarstwa Krajowego 5.38%, 5/22/2033 (a) | 1,624,000 | 1,605,222 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Qatar — 0.6% | ||
QatarEnergy 2.25%, 7/12/2031 (a) | 400,000 | 333,232 |
QatarEnergy Trading LLC 3.13%, 7/12/2041 (a) | 5,380,000 | 3,957,636 |
4,290,868 | ||
Saudi Arabia — 0.4% | ||
Gaci First Investment Co. | ||
5.00%, 10/13/2027 (a) | 500,000 | 496,965 |
4.75%, 2/14/2030 (a) | 820,000 | 794,375 |
4.88%, 2/14/2035 (a) | 1,169,000 | 1,107,993 |
5.13%, 2/14/2053 (a) | 502,000 | 431,519 |
2,830,852 | ||
South Africa — 0.6% | ||
Eskom Holdings SOC Ltd. 6.35%, 8/10/2028 (a) | 1,994,000 | 1,907,501 |
Transnet SOC Ltd. 8.25%, 2/6/2028 (a) | 1,782,000 | 1,771,976 |
3,679,477 | ||
United Arab Emirates — 1.2% | ||
Abu Dhabi Crude Oil Pipeline LLC 4.60%, 11/2/2047 (a) | 1,370,000 | 1,220,615 |
DP World Ltd. 6.85%, 7/2/2037 (a) | 1,900,000 | 2,055,021 |
DP World Salaam (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.75%), 6.00%, 10/1/2025 (a) (d) (e) (f) | 561,000 | 558,823 |
MDGH GMTN RSC Ltd. | ||
2.88%, 11/7/2029 (a) | 1,878,000 | 1,686,679 |
2.88%, 5/21/2030 (a) | 202,000 | 179,305 |
3.38%, 3/28/2032 (a) | 1,266,000 | 1,132,323 |
4.38%, 11/22/2033 (a) | 536,000 | 509,254 |
3.40%, 6/7/2051 (a) | 758,000 | 537,490 |
7,879,510 | ||
Total Corporate Bonds (Cost $84,944,478) | 85,501,822 | |
SHARES | ||
Short-Term Investments — 1.8% | ||
Investment Companies — 0.6% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (g) (h)(Cost $3,914,092) | 3,914,092 | 3,914,092 |
Investment of Cash Collateral from Securities Loaned — 1.2% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.48% (g) (h) | 6,999,300 | 7,001,400 |
124 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INVESTMENTS | SHARES | VALUE($) |
Short-Term Investments — continued | ||
Investment of Cash Collateral from Securities Loaned — continued | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (g) (h) | 896,718 | 896,718 |
Total Investment of Cash Collateral from Securities Loaned (Cost $7,898,818) | 7,898,118 | |
Total Short-Term Investments (Cost $11,812,910) | 11,812,210 | |
Total Investments — 99.7% (Cost $652,291,713) | 655,473,445 | |
Other Assets Less Liabilities — 0.3% | 2,221,196 | |
NET ASSETS — 100.0% | 657,694,641 |
Percentages indicated are based on net assets. |
Abbreviations | |
CJSC | Closed Joint Stock Company |
GMTN | Global Medium Term Note |
MTN | 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 29, 2024. The total value of securities on loan at February 29, 2024 is $7,704,114. |
(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 29, 2024. |
(f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2024. |
(g) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(h) | The rate shown is the current yield as of February 29, 2024. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 125 |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | JPMorgan BetaBuilders U.S. Aggregate Bond ETF | JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF | |
ASSETS: | |||
Investments in non-affiliates, at value | $15,297,873 | $1,640,805,692 | $7,580,113 |
Investments in affiliates, at value | 130,683 | 87,934,755 | 14,211 |
Investments of cash collateral received from securities loaned, at value (See Note 2.D.) | — | 7,794,936 | — |
Cash | 450 | 373,595 | 64 |
Foreign currency, at value | 21 | 163 | — |
Receivables: | |||
Investment securities sold | 497,936 | 21,972,905 | — |
Investment securities sold — delayed delivery securities | — | 14,042,089 | — |
Interest from non-affiliates | 78,821 | 9,363,639 | 15,144 |
Dividends from affiliates | 19 | 12,645 | 2 |
Securities lending income (See Note 2.D.) | — | 2,734 | — |
Total Assets | 16,005,803 | 1,782,303,153 | 7,609,534 |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 503,762 | 27,418,572 | 63 |
Investment securities purchased — delayed delivery securities | 63,468 | 99,198,333 | — |
Collateral received on securities loaned (See Note 2.D.) | — | 7,794,936 | — |
Accrued liabilities: | |||
Management fees (See Note 3.A.) | 592 | 31,438 | 417 |
Total Liabilities | 567,822 | 134,443,279 | 480 |
Net Assets | $15,437,981 | $1,647,859,874 | $7,609,054 |
NET ASSETS: | |||
Paid-in-Capital | $16,582,320 | $1,819,230,661 | $7,672,823 |
Total distributable earnings (loss) | (1,144,339 ) | (171,370,787 ) | (63,769 ) |
Total Net Assets | $15,437,981 | $1,647,859,874 | $7,609,054 |
Outstanding number of shares (unlimited number of shares authorized - par value $0.0001) | 324,946 | 36,123,203 | 77,500 |
Net asset value, per share | $47.51 | $45.62 | $98.18 |
Cost of investments in non-affiliates | $15,655,212 | $1,735,736,397 | $7,610,806 |
Cost of investments in affiliates | 130,683 | 87,934,755 | 14,206 |
Cost of foreign currency | 20 | 160 | — |
Investment securities on loan, at value (See Note 2.D.) | — | 7,495,969 | — |
Cost of investment of cash collateral (See Note 2.D.) | — | 7,795,436 | — |
126 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF | JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF | JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF | |
ASSETS: | |||
Investments in non-affiliates, at value | $4,369,971 | $30,868,697 | $8,397,117 |
Investments in affiliates, at value | 12,560 | 10,827 | 15,759 |
Cash | — | 621 | 52 |
Receivables: | |||
Investment securities sold | 284,630 | 972,229 | 154,881 |
Interest from non-affiliates | 25,188 | 193,550 | 48,649 |
Dividends from affiliates | 2 | 2 | 2 |
Total Assets | 4,692,351 | 32,045,926 | 8,616,460 |
LIABILITIES: | |||
Payables: | |||
Due to custodian | 596 | — | — |
Investment securities purchased | 268,837 | 818,042 | 136,731 |
Accrued liabilities: | |||
Management fees (See Note 3.A.) | 244 | 2,462 | 444 |
Total Liabilities | 269,677 | 820,504 | 137,175 |
Net Assets | $4,422,674 | $31,225,422 | $8,479,285 |
NET ASSETS: | |||
Paid-in-Capital | $4,491,666 | $33,846,580 | $8,581,510 |
Total distributable earnings (loss) | (68,992 ) | (2,621,158 ) | (102,225 ) |
Total Net Assets | $4,422,674 | $31,225,422 | $8,479,285 |
Outstanding number of shares (unlimited number of shares authorized - par value $0.0001) | 45,000 | 347,500 | 87,500 |
Net asset value, per share | $98.28 | $89.86 | $96.91 |
Cost of investments in non-affiliates | $4,362,050 | $33,105,953 | $8,497,295 |
Cost of investments in affiliates | 12,559 | 10,824 | 15,758 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 127 |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF | JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF | JPMorgan USD Emerging Markets Sovereign Bond ETF | |
ASSETS: | |||
Investments in non-affiliates, at value | $783,572,163 | $46,502,984 | $643,661,235 |
Investments in affiliates, at value | 7,787,177 | 56,033 | 3,914,092 |
Investments of cash collateral received from securities loaned, at value (See Note 2.D.) | — | — | 7,898,118 |
Cash | 82,461 | — | — |
Foreign currency, at value | 429 | — | 2,954 |
Segregated cash balance with Authorized Participant for deposit securities | 698,742 | — | 4,935,055 |
Receivables: | |||
Investment securities sold | 61,663 | 863,836 | 11,446,882 |
Interest from non-affiliates | 12,970,395 | 581,002 | 9,270,815 |
Dividends from affiliates | 1,120 | 8 | 563 |
Securities lending income (See Note 2.D.) | — | — | 3,395 |
Total Assets | 805,174,150 | 48,003,863 | 681,133,109 |
LIABILITIES: | |||
Payables: | |||
Due to custodian | — | 361 | 27,113 |
Investment securities purchased | 3,966,942 | 580,708 | 10,386,794 |
Collateral received on securities loaned (See Note 2.D.) | — | — | 7,898,118 |
Fund shares redeemed | 149,552 | — | — |
Collateral upon return of deposit securities | 698,742 | — | 4,935,055 |
Accrued liabilities: | |||
Management fees (See Note 3.A.) | 79,730 | 4,066 | 191,388 |
Total Liabilities | 4,894,966 | 585,135 | 23,438,468 |
Net Assets | $800,279,184 | $47,418,728 | $657,694,641 |
NET ASSETS: | |||
Paid-in-Capital | $863,282,995 | $51,847,454 | $669,394,032 |
Total distributable earnings (loss) | (63,003,811 ) | (4,428,726 ) | (11,699,391 ) |
Total Net Assets | $800,279,184 | $47,418,728 | $657,694,641 |
Outstanding number of shares (unlimited number of shares authorized - par value $0.0001) | 17,475,000 | 1,050,000 | 16,900,000 |
Net asset value, per share | $45.80 | $45.16 | $38.92 |
Cost of investments in non-affiliates | $791,371,524 | $47,828,672 | $640,478,803 |
Cost of investments in affiliates | 7,787,177 | 56,033 | 3,914,092 |
Cost of foreign currency | 431 | — | 2,930 |
Investment securities on loan, at value (See Note 2.D.) | — | — | 7,704,114 |
Cost of investment of cash collateral (See Note 2.D.) | — | — | 7,898,818 |
128 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | JPMorgan BetaBuilders U.S. Aggregate Bond ETF | JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF (a) | |
INVESTMENT INCOME: | |||
Interest income from non-affiliates | $525,416 | $66,215,412 | $253,097 |
Interest income from affiliates | — | 26 | — |
Dividend income from affiliates | 12,066 | 6,511,094 | 3,329 |
Income from securities lending (net) (See Note 2.D.) | — | 135,386 | — |
Total investment income | 537,482 | 72,861,918 | 256,426 |
EXPENSES: | |||
Management fees (See Note 3.A.) | 8,151 | 393,720 | 4,161 |
Interest expense to affiliates | 27 | 1,162 | — |
Total expenses | 8,178 | 394,882 | 4,161 |
Net investment income (loss) | 529,304 | 72,467,036 | 252,265 |
REALIZED/UNREALIZED GAINS (LOSSES): | |||
Net realized gain (loss) on transactions from: | |||
Investments in non-affiliates | (415,583 ) | (34,052,943 ) | (27,654 ) |
Investments in affiliates | — | — | 5 |
In-kind redemptions of investments in non-affiliates (See Note 4) | (1,126,507 ) | (22,308,749 ) | — |
Net realized gain (loss) | (1,542,090 ) | (56,361,692 ) | (27,649 ) |
Change in net unrealized appreciation/depreciation on: | |||
Investments in non-affiliates | 1,809,965 | 29,915,883 | (30,693 ) |
Investments in affiliates | — | (500 ) | 5 |
Foreign currency translations | — | 3 | — |
Change in net unrealized appreciation/depreciation | 1,809,965 | 29,915,386 | (30,688 ) |
Net realized/unrealized gains (losses) | 267,875 | (26,446,306 ) | (58,337 ) |
Change in net assets resulting from operations | $797,179 | $46,020,730 | $193,928 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 129 |
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF (a) | JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF (a) | JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF (a) | |
INVESTMENT INCOME: | |||
Interest income from non-affiliates | $203,736 | $1,715,097 | $200,507 |
Dividend income from affiliates | 414 | 3,201 | 515 |
Total investment income | 204,150 | 1,718,298 | 201,022 |
EXPENSES: | |||
Management fees (See Note 3.A.) | 3,041 | 27,012 | 3,483 |
Total expenses | 3,041 | 27,012 | 3,483 |
Net investment income (loss) | 201,109 | 1,691,286 | 197,539 |
REALIZED/UNREALIZED GAINS (LOSSES): | |||
Net realized gain (loss) on transactions from: | |||
Investments in non-affiliates | (90,412 ) | (870,227 ) | (24,683 ) |
Investments in affiliates | 5 | 33 | 3 |
In-kind redemptions of investments in non-affiliates (See Note 4) | — | (1,256,284 ) | — |
Net realized gain (loss) | (90,407 ) | (2,126,478 ) | (24,680 ) |
Change in net unrealized appreciation/depreciation on: | |||
Investments in non-affiliates | 7,921 | (2,237,256 ) | (100,178 ) |
Investments in affiliates | 1 | 3 | 1 |
Change in net unrealized appreciation/depreciation | 7,922 | (2,237,253 ) | (100,177 ) |
Net realized/unrealized gains (losses) | (82,485 ) | (4,363,731 ) | (124,857 ) |
Change in net assets resulting from operations | $118,624 | $(2,672,445 ) | $72,682 |
130 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF | JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF | JPMorgan USD Emerging Markets Sovereign Bond ETF | |
INVESTMENT INCOME: | |||
Interest income from non-affiliates | $29,845,586 | $2,580,789 | $30,925,147 |
Interest income from affiliates | 23 | 2 | 25 |
Dividend income from affiliates | 165,395 | 10,576 | 110,939 |
Income from securities lending (net) (See Note 2.D.) | — | — | 98,548 |
Total investment income | 30,011,004 | 2,591,367 | 31,134,659 |
EXPENSES: | |||
Management fees (See Note 3.A.) | 618,253 | 47,695 | 1,804,823 |
Interest expense to non-affiliates | — | 25 | — |
Interest expense to affiliates | 477 | 151 | — |
Excise tax expense | — | — | 6,205 |
Total expenses | 618,730 | 47,871 | 1,811,028 |
Net investment income (loss) | 29,392,274 | 2,543,496 | 29,323,631 |
REALIZED/UNREALIZED GAINS (LOSSES): | |||
Net realized gain (loss) on transactions from: | |||
Investments in non-affiliates | (4,962,797 ) | (329,744 ) | (5,680,404 ) |
In-kind redemptions of investments in non-affiliates (See Note 4) | (5,744,905 ) | (1,564,162 ) | (7,827,084 ) |
Foreign currency transactions | (3 ) | — | (6 ) |
Net realized gain (loss) | (10,707,705 ) | (1,893,906 ) | (13,507,494 ) |
Change in net unrealized appreciation/depreciation on: | |||
Investments in non-affiliates | 23,578,853 | 3,032,096 | 12,879,382 |
Investments in affiliates | — | — | (500 ) |
Foreign currency translations | (2 ) | — | 26 |
Change in net unrealized appreciation/depreciation | 23,578,851 | 3,032,096 | 12,878,908 |
Net realized/unrealized gains (losses) | 12,871,146 | 1,138,190 | (628,586 ) |
Change in net assets resulting from operations | $42,263,420 | $3,681,686 | $28,695,045 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 131 |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | JPMorgan BetaBuilders U.S. Aggregate Bond ETF | |||
Year Ended February 29, 2024 | Year Ended February 28, 2023 | Year Ended February 29, 2024 | Year Ended February 28, 2023 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $529,304 | $618,439 | $72,467,036 | $27,085,611 |
Net realized gain (loss) | (1,542,090 ) | (671,516 ) | (56,361,692 ) | (60,818,934 ) |
Change in net unrealized appreciation/depreciation | 1,809,965 | (1,509,960 ) | 29,915,386 | (86,597,705 ) |
Change in net assets resulting from operations | 797,179 | (1,563,037 ) | 46,020,730 | (120,331,028 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Total distributions to shareholders | (555,353 ) | (595,951 ) | (70,295,004 ) | (25,156,927 ) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | (20,022,636 ) | 2,484,884 | 360,033,171 | 433,321,856 |
NET ASSETS: | ||||
Change in net assets | (19,780,810 ) | 325,896 | 335,758,897 | 287,833,901 |
Beginning of period | 35,218,791 | 34,892,895 | 1,312,100,977 | 1,024,267,076 |
End of period | $15,437,981 | $35,218,791 | $1,647,859,874 | $1,312,100,977 |
CAPITAL TRANSACTIONS: | ||||
Proceeds from shares issued | $7,016,343 | $9,656,173 | $1,267,186,630 | $874,225,342 |
Cost of shares redeemed | (27,038,979 ) | (7,171,289 ) | (907,153,459 ) | (440,903,486 ) |
Total change in net assets resulting from capital transactions | $(20,022,636 ) | $2,484,884 | $360,033,171 | $433,321,856 |
SHARE TRANSACTIONS: | ||||
Issued | 150,000 | 200,000 | 27,350,000 | 18,200,000 |
Redeemed | (575,000 ) | (150,000 ) | (19,800,000 ) | (9,275,000 ) |
Net increase (decrease) in shares from share transactions | (425,000 ) | 50,000 | 7,550,000 | 8,925,000 |
132 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF | JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF | |
Period Ended February 29, 2024 (a) | Period Ended February 29, 2024 (b) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||
Net investment income (loss) | $252,265 | $201,109 |
Net realized gain (loss) | (27,649 ) | (90,407 ) |
Change in net unrealized appreciation/depreciation | (30,688 ) | 7,922 |
Change in net assets resulting from operations | 193,928 | 118,624 |
DISTRIBUTIONS TO SHAREHOLDERS: | ||
From net investment income | (257,697 ) | (187,616 ) |
Return of capital | (6,239 ) | — |
Total distributions to shareholders | (263,936 ) | (187,616 ) |
CAPITAL TRANSACTIONS: | ||
Change in net assets resulting from capital transactions | 7,679,062 | 4,491,666 |
NET ASSETS: | ||
Change in net assets | 7,609,054 | 4,422,674 |
Beginning of period | — | — |
End of period | $7,609,054 | $4,422,674 |
CAPITAL TRANSACTIONS: | ||
Proceeds from shares issued | $7,679,062 | $24,365,924 |
Cost of shares redeemed | — | (19,874,258 ) |
Total change in net assets resulting from capital transactions | $7,679,062 | $4,491,666 |
SHARE TRANSACTIONS: | ||
Issued | 77,500 | 247,500 |
Redeemed | — | (202,500 ) |
Net increase in shares from transactions | 77,500 | 45,000 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 133 |
JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF | JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF | |
Period Ended February 29, 2024 (a) | Period Ended February 29, 2024 (a) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||
Net investment income (loss) | $1,691,286 | $197,539 |
Net realized gain (loss) | (2,126,478 ) | (24,680 ) |
Change in net unrealized appreciation/depreciation | (2,237,253 ) | (100,177 ) |
Change in net assets resulting from operations | (2,672,445 ) | 72,682 |
DISTRIBUTIONS TO SHAREHOLDERS: | ||
Total distributions to shareholders | (1,535,292 ) | (174,907 ) |
CAPITAL TRANSACTIONS: | ||
Change in net assets resulting from capital transactions | 35,433,159 | 8,581,510 |
NET ASSETS: | ||
Change in net assets | 31,225,422 | 8,479,285 |
Beginning of period | — | — |
End of period | $31,225,422 | $8,479,285 |
CAPITAL TRANSACTIONS: | ||
Proceeds from shares issued | $67,463,018 | $8,581,602 |
Cost of shares redeemed | (32,029,859 ) | (92 ) |
Total change in net assets resulting from capital transactions | $35,433,159 | $8,581,510 |
SHARE TRANSACTIONS: | ||
Issued | 705,000 | 87,500 |
Redeemed | (357,500 ) | — |
Net increase in shares from transactions | 347,500 | 87,500 |
134 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF | JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF | |||
Year Ended February 29, 2024 | Year Ended February 28, 2023 | Year Ended February 29, 2024 | Year Ended February 28, 2023 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $29,392,274 | $27,163,062 | $2,543,496 | $1,436,779 |
Net realized gain (loss) | (10,707,705 ) | (110,265,808 ) | (1,893,906 ) | (4,223,398 ) |
Change in net unrealized appreciation/depreciation | 23,578,851 | 25,674,401 | 3,032,096 | (2,465,567 ) |
Change in net assets resulting from operations | 42,263,420 | (57,428,345 ) | 3,681,686 | (5,252,186 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Total distributions to shareholders | (27,562,688 ) | (32,446,703 ) | (2,485,282 ) | (1,407,883 ) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | 448,099,146 | (1,026,204,410 ) | 1,519,568 | (115,868 ) |
NET ASSETS: | ||||
Change in net assets | 462,799,878 | (1,116,079,458 ) | 2,715,972 | (6,775,937 ) |
Beginning of period | 337,479,306 | 1,453,558,764 | 44,702,756 | 51,478,693 |
End of period | $800,279,184 | $337,479,306 | $47,418,728 | $44,702,756 |
CAPITAL TRANSACTIONS: | ||||
Proceeds from shares issued | $581,385,583 | $175,355,945 | $60,153,501 | $25,305,039 |
Cost of shares redeemed | (133,286,437 ) | (1,201,560,355 ) | (58,633,933 ) | (25,420,907 ) |
Total change in net assets resulting from capital transactions | $448,099,146 | $(1,026,204,410 ) | $1,519,568 | $(115,868 ) |
SHARE TRANSACTIONS: | ||||
Issued | 12,875,000 | 3,900,000 | 1,350,000 | 550,000 |
Redeemed | (3,000,000 ) | (25,600,000 ) | (1,300,000 ) | (550,000 ) |
Net increase (decrease) in shares from share transactions | 9,875,000 | (21,700,000 ) | 50,000 | — |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 135 |
JPMorgan USD Emerging Markets Sovereign Bond ETF | ||
Year Ended February 29, 2024 | Year Ended February 28, 2023 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||
Net investment income (loss) | $29,323,631 | $5,523,518 |
Net realized gain (loss) | (13,507,494 ) | (8,459,957 ) |
Change in net unrealized appreciation/depreciation | 12,878,908 | (1,837,558 ) |
Change in net assets resulting from operations | 28,695,045 | (4,773,997 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||
Total distributions to shareholders | (27,334,059 ) | (4,644,990 ) |
CAPITAL TRANSACTIONS: | ||
Change in net assets resulting from capital transactions | 428,749,290 | 167,527,357 |
NET ASSETS: | ||
Change in net assets | 430,110,276 | 158,108,370 |
Beginning of period | 227,584,365 | 69,475,995 |
End of period | $657,694,641 | $227,584,365 |
CAPITAL TRANSACTIONS: | ||
Proceeds from shares issued | $714,431,871 | $167,527,357 |
Cost of shares redeemed | (285,682,581 ) | — |
Total change in net assets resulting from capital transactions | $428,749,290 | $167,527,357 |
SHARE TRANSACTIONS: | ||
Issued | 18,600,000 | 4,300,000 |
Redeemed | (7,600,000 ) | — |
Net increase in shares from transactions | 11,000,000 | 4,300,000 |
136 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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 | Return of capital | Total distributions | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | ||||||||
Year Ended February 29, 2024 | $46.96 | $1.47 | $0.55 | $2.02 | $(1.47 ) | $— | $— | $(1.47 ) |
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 | ||||||||
Year Ended February 29, 2024 | 45.92 | 1.79 | (0.36 ) | 1.43 | (1.73 ) | — | — | (1.73 ) |
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 ) |
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF | ||||||||
May 10, 2023 (g) through February 29, 2024 | 99.50 | 3.34 | (1.25 ) | 2.09 | (3.33 ) | — | (0.08 ) | (3.41 ) |
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF | ||||||||
April 19, 2023 (g) through February 29, 2024 | 99.50 | 3.93 | (1.30 ) | 2.63 | (3.85 ) | — | — | (3.85 ) |
JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF | ||||||||
April 19, 2023 (g) through February 29, 2024 | 99.50 | 3.43 | (10.06 ) | (6.63 ) | (3.01 ) | — | — | (3.01 ) |
JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF | ||||||||
April 19, 2023 (g) through February 29, 2024 | 99.50 | 3.32 | (2.93 ) | 0.39 | (2.98 ) | — | — | (2.98 ) |
(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. |
138 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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) |
$47.51 | $47.52 | 4.36 % | 4.29 % | $15,437,981 | 0.05 % | 3.11 % | 0.05 % | 55 % |
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 |
45.62 | 45.63 | 3.19 | 3.21 | 1,647,859,874 | 0.02 | 3.93 | 0.02 | 138 |
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 |
98.18 | 98.26 | 2.18 | 2.26 | 7,609,054 | 0.07 | 4.24 | 0.07 | 20 |
98.28 | 98.33 | 2.71 | 2.76 | 4,422,674 | 0.07 | 4.61 | 0.07 | 419 |
89.86 | 89.85 | (6.66 ) | (6.67 ) | 31,225,422 | 0.07 | 4.38 | 0.07 | 29 |
96.91 | 96.95 | 0.43 | 0.47 | 8,479,285 | 0.07 | 3.97 | 0.07 | 31 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 139 |
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF | |||||||
Year Ended February 29, 2024 | $44.41 | $3.16 | $1.23 | $4.39 | $(3.00 ) | $— | $(3.00 ) |
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 (d) | 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 ) |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF | |||||||
Year Ended February 29, 2024 | 44.70 | 2.14 | 0.34 | 2.48 | (2.02 ) | — | (2.02 ) |
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 ) |
JPMorgan USD Emerging Markets Sovereign Bond ETF | |||||||
Year Ended February 29, 2024 | 38.57 | 2.40 | 0.30 (d) | 2.70 | (2.35 ) | — | (2.35 ) |
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 ) |
(a) | Calculated based upon average shares outstanding. |
(b) | 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. |
(c) | 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. |
(d) | 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 Statements of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
(e) | 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. |
140 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Ratios/Supplemental data | ||||||||
Ratios to average net assets | ||||||||
Net asset value, end of period | Market price, end of period | Total return (b) | Market price total return (c) | Net assets, end of period | Net expenses | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$45.80 | $45.88 | 10.34 % | 10.43 % | $800,279,184 | 0.15 % | 7.09 % | 0.15 % | 16 % |
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 (e) | 128 |
45.16 | 45.15 | 5.70 | 5.58 | 47,418,728 | 0.09 | 4.77 | 0.09 | 13 |
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 (e) | 67 |
38.92 | 38.95 | 7.26 | 6.59 | 657,694,641 | 0.39 | 6.29 | 0.39 | 26 |
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 (e) | 53 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 141 |
Diversification Classification | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | Diversified |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF | Diversified |
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF(1) | Diversified |
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF(2) | Diversified |
JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF(2) | Diversified |
JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF(2) | Diversified |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF | Diversified |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF | Diversified |
JPMorgan USD Emerging Markets Sovereign Bond ETF | Diversified |
(1) | Commencement of operations was May 10, 2023. |
(2) | Commencement of operations was April 19, 2023. |
142 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Listing Exchange | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | Cboe BZX Exchange, Inc. |
BetaBuilders U.S. Aggregate Bond ETF | NYSE Arca, Inc. |
BetaBuilders U.S. TIPS 0-5 Year ETF | Cboe BZX Exchange, Inc. |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | Cboe BZX Exchange, Inc. |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | Cboe BZX Exchange, Inc. |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | Cboe BZX Exchange, Inc. |
BetaBuilders USD High Yield Corporate Bond ETF | Cboe BZX Exchange, Inc. |
BetaBuilders USD Investment Grade Corporate Bond ETF | NYSE Arca, Inc. |
USD Emerging Markets Sovereign Bond ETF | NYSE Arca, Inc. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 143 |
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 | $— | $70,823 | $— | $70,823 |
Commercial Mortgage-Backed Securities | — | 290,528 | — | 290,528 |
Corporate Bonds | — | 3,939,230 | — | 3,939,230 |
Foreign Government Securities | — | 189,695 | — | 189,695 |
Mortgage-Backed Securities | — | 1,031,503 | — | 1,031,503 |
Municipal Bonds | — | 37,160 | — | 37,160 |
Supranational | — | 388,745 | — | 388,745 |
U.S. Government Agency Securities | — | 236,989 | — | 236,989 |
U.S. Treasury Obligations | — | 9,113,200 | — | 9,113,200 |
Short-Term Investments | ||||
Investment Companies | 130,683 | — | — | 130,683 |
Total Investments in Securities | $130,683 | $15,297,873 | $— | $15,428,556 |
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 | $— | $8,173,982 | $— | $8,173,982 |
Commercial Mortgage-Backed Securities | — | 25,984,923 | — | 25,984,923 |
Corporate Bonds | — | 408,671,997 | — | 408,671,997 |
Foreign Government Securities | — | 29,044,379 | — | 29,044,379 |
Mortgage-Backed Securities | — | 435,069,388 | — | 435,069,388 |
Municipal Bonds | — | 7,078,236 | — | 7,078,236 |
Supranational | — | 21,431,520 | — | 21,431,520 |
U.S. Government Agency Securities | — | 18,796,782 | — | 18,796,782 |
U.S. Treasury Obligations | — | 686,554,485 | — | 686,554,485 |
144 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
BetaBuilders U.S. Aggregate Bond ETF (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Short-Term Investments | ||||
Investment Companies | $87,934,755 | $— | $— | $87,934,755 |
Investment of Cash Collateral from Securities Loaned | 7,794,936 | — | — | 7,794,936 |
Total Short-Term Investments | 95,729,691 | — | — | 95,729,691 |
Total Investments in Securities | $95,729,691 | $1,640,805,692 | $— | $1,736,535,383 |
BetaBuilders U.S. TIPS 0-5 Year ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
U.S. Treasury Obligations | $— | $7,580,113 | $— | $7,580,113 |
Short-Term Investments | ||||
Investment Companies | 14,211 | — | — | 14,211 |
Total Investments in Securities | $14,211 | $7,580,113 | $— | $7,594,324 |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
U.S. Treasury Obligations | $— | $4,369,971 | $— | $4,369,971 |
Short-Term Investments | ||||
Investment Companies | 12,560 | — | — | 12,560 |
Total Investments in Securities | $12,560 | $4,369,971 | $— | $4,382,531 |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
U.S. Treasury Obligations | $— | $30,868,697 | $— | $30,868,697 |
Short-Term Investments | ||||
Investment Companies | 10,827 | — | — | 10,827 |
Total Investments in Securities | $10,827 | $30,868,697 | $— | $30,879,524 |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
U.S. Treasury Obligations | $— | $8,397,117 | $— | $8,397,117 |
Short-Term Investments | ||||
Investment Companies | 15,759 | — | — | 15,759 |
Total Investments in Securities | $15,759 | $8,397,117 | $— | $8,412,876 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 145 |
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 | ||||
Common Stocks | $— | $— | $35,586 | $35,586 |
Corporate Bonds | — | 782,032,752 | 1,503,825 | 783,536,577 |
Short-Term Investments | ||||
Investment Companies | 7,787,177 | — | — | 7,787,177 |
Total Investments in Securities | $7,787,177 | $782,032,752 | $1,539,411 | $791,359,340 |
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 | ||||
Corporate Bonds | $— | $46,502,984 | $— | $46,502,984 |
Short-Term Investments | ||||
Investment Companies | 56,033 | — | — | 56,033 |
Total Investments in Securities | $56,033 | $46,502,984 | $— | $46,559,017 |
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 | $— | $85,501,822 | $— | $85,501,822 |
Foreign Government Securities | — | 558,159,413 | — | 558,159,413 |
Short-Term Investments | ||||
Investment Companies | 3,914,092 | — | — | 3,914,092 |
Investment of Cash Collateral from Securities Loaned | 7,898,118 | — | — | 7,898,118 |
Total Short-Term Investments | 11,812,210 | — | — | 11,812,210 |
Total Investments in Securities | $11,812,210 | $643,661,235 | $— | $655,473,445 |
146 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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 | $7,495,969 | $(7,495,969 ) | $— |
USD Emerging Markets Sovereign Bond ETF | 7,704,114 | (7,704,114 ) | — |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 147 |
BetaBuilders U.S. Aggregate Bond ETF | $1,444 |
USD Emerging Markets Sovereign Bond ETF | 1,524 |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | |||||||||
For the year ended February 29, 2024 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (a) (b) | $758,888 | $2,310,752 | $2,938,957 | $— | $— | $130,683 | 130,683 | $12,066 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
BetaBuilders U.S. Aggregate Bond ETF | |||||||||
For the year ended February 29, 2024 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.48% (a) (b) | $12,994,643 | $46,000,002 | $54,000,000 | $(1 )* | $(500 ) | $4,994,144 | 4,992,646 | $571,503 * | $— |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (a) (b) | 2,787,225 | 67,283,968 | 67,270,401 | — | — | 2,800,792 | 2,800,792 | 112,535 * | — |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (a) (b) | 91,260,954 | 469,082,490 | 472,408,689 | — | — | 87,934,755 | 87,934,755 | 6,511,094 | — |
Total | $107,042,822 | $582,366,460 | $593,679,090 | $(1 ) | $(500 ) | $95,729,691 | $7,195,132 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
148 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
BetaBuilders U.S. TIPS 0-5 Year ETF | |||||||||
For the period ended February 29, 2024 | |||||||||
Security Description | Value at May 10, 2023(a) | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (b) (c) | $— | $4,426,203 | $4,412,002 | $5 | $5 | $14,211 | 14,204 | $3,329 | $— |
(a) | Commencement of operations was May 10, 2023. |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(c) | The rate shown is the current yield as of February 29, 2024. |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | |||||||||
For the period ended February 29, 2024 | |||||||||
Security Description | Value at April 19, 2023(a) | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (b) (c) | $— | $221,901 | $209,347 | $5 | $1 | $12,560 | 12,553 | $414 | $— |
(a) | Commencement of operations was April 19, 2023. |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(c) | The rate shown is the current yield as of February 29, 2024. |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | |||||||||
For the period ended February 29, 2024 | |||||||||
Security Description | Value at April 19, 2023(a) | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (b) (c) | $— | $2,909,043 | $2,898,252 | $33 | $3 | $10,827 | 10,822 | $3,201 | $— |
(a) | Commencement of operations was April 19, 2023. |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(c) | The rate shown is the current yield as of February 29, 2024. |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | |||||||||
For the period ended February 29, 2024 | |||||||||
Security Description | Value at April 19, 2023(a) | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (b) (c) | $— | $217,932 | $202,177 | $3 | $1 | $15,759 | 15,751 | $515 | $— |
(a) | Commencement of operations was April 19, 2023. |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(c) | The rate shown is the current yield as of February 29, 2024. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 149 |
BetaBuilders USD High Yield Corporate Bond ETF | |||||||||
For the year ended February 29, 2024 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (a) (b) | $3,094,499 | $69,091,248 | $64,398,570 | $— | $— | $7,787,177 | 7,787,177 | $165,395 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
BetaBuilders USD Investment Grade Corporate Bond ETF | |||||||||
For the year ended February 29, 2024 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (a) (b) | $265,119 | $3,866,652 | $4,075,738 | $— | $— | $56,033 | 56,033 | $10,576 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
USD Emerging Markets Sovereign Bond ETF | |||||||||
For the year ended February 29, 2024 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.48% (a) (b) | $8,802,300 | $82,000,000 | $83,799,340 | $(1,060 )* | $(500 ) | $7,001,400 | 6,999,300 | $467,466 * | $— |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (a) (b) | 1,809,720 | 105,597,608 | 106,510,610 | — | — | 896,718 | 896,718 | 115,076 * | — |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.25% (a) (b) | 1,134,608 | 105,544,169 | 102,764,685 | — | — | 3,914,092 | 3,914,092 | 110,939 | — |
Total | $11,746,628 | $293,141,777 | $293,074,635 | $(1,060 ) | $(500 ) | $11,812,210 | $693,481 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
150 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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 | $(1,127,221 ) | $10,753 | $1,116,468 |
BetaBuilders U.S. Aggregate Bond ETF | (22,854,189 ) | 88,003 | 22,766,186 |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | (1,586,579 ) | — | 1,586,579 |
BetaBuilders USD High Yield Corporate Bond ETF | (5,881,998 ) | 389,375 | 5,492,623 |
BetaBuilders USD Investment Grade Corporate Bond ETF | (1,570,404 ) | 11,153 | 1,559,251 |
USD Emerging Markets Sovereign Bond ETF | (8,065,990 ) | (115 ) | 8,066,105 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 151 |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | 0.05 % |
BetaBuilders U.S. Aggregate Bond ETF | 0.03 |
BetaBuilders U.S. TIPS 0-5 Year ETF | 0.07 |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | 0.07 |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | 0.07 |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | 0.07 |
BetaBuilders USD High Yield Corporate Bond ETF | 0.15 |
BetaBuilders USD Investment Grade Corporate Bond ETF | 0.09 |
USD Emerging Markets Sovereign Bond ETF | 0.39 |
152 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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 | $6,194,469 | $8,727,412 | $3,670,732 | $3,239,208 |
BetaBuilders U.S. Aggregate Bond ETF | 2,462,584,102 | 2,377,397,702 | 154,315,508 | 124,905,569 |
BetaBuilders U.S. TIPS 0-5 Year ETF | — | — | 8,480,275 | 1,324,853 |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | — | — | 24,482,639 | 20,135,273 |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | — | — | 17,098,111 | 11,486,817 |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | — | — | 7,825,919 | 1,772,521 |
BetaBuilders USD High Yield Corporate Bond ETF | 69,739,108 | 65,882,520 | — | — |
BetaBuilders USD Investment Grade Corporate Bond ETF | 6,830,420 | 8,133,621 | — | — |
USD Emerging Markets Sovereign Bond ETF | 117,871,030 | 125,935,884 | — | — |
In-Kind Purchases | In-Kind Sales | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $6,260,750 | $24,250,321 |
BetaBuilders U.S. Aggregate Bond ETF | 928,358,864 | 687,489,732 |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | 61,053,516 | 31,764,559 |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | 2,389,592 | — |
BetaBuilders USD High Yield Corporate Bond ETF | 563,932,053 | 130,257,175 |
BetaBuilders USD Investment Grade Corporate Bond ETF | 59,835,295 | 57,260,790 |
USD Emerging Markets Sovereign Bond ETF | 702,977,186 | 275,884,876 |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $15,792,040 | $66,779 | $430,263 | $(363,484 ) |
BetaBuilders U.S. Aggregate Bond ETF | 1,831,804,998 | 4,369,208 | 99,638,823 | (95,269,615 ) |
BetaBuilders U.S. TIPS 0-5 Year ETF | 7,638,785 | 8,666 | 53,127 | (44,461 ) |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | 4,398,658 | — | 16,127 | (16,127 ) |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | 33,150,692 | 301 | 2,271,469 | (2,271,168 ) |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | 8,513,364 | 8,840 | 109,328 | (100,488 ) |
BetaBuilders USD High Yield Corporate Bond ETF | 800,989,943 | 8,244,537 | 17,875,140 | (9,630,603 ) |
BetaBuilders USD Investment Grade Corporate Bond ETF | 47,898,180 | 401,848 | 1,741,011 | (1,339,163 ) |
USD Emerging Markets Sovereign Bond ETF | 652,736,264 | 9,368,084 | 6,630,903 | 2,737,181 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 153 |
Ordinary Income* | Return of Capital | Total Distributions Paid | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $555,353 | $— | $555,353 |
BetaBuilders U.S. Aggregate Bond ETF | 70,295,004 | — | 70,295,004 |
BetaBuilders U.S. TIPS 0-5 Year ETF | 257,697 | 6,239 | 263,936 |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | 187,616 | — | 187,616 |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | 1,535,292 | — | 1,535,292 |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | 174,907 | — | 174,907 |
BetaBuilders USD High Yield Corporate Bond ETF | 27,562,688 | — | 27,562,688 |
BetaBuilders USD Investment Grade Corporate Bond ETF | 2,485,282 | — | 2,485,282 |
USD Emerging Markets Sovereign Bond ETF | 27,334,059 | — | 27,334,059 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
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. |
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $51,515 | $(807,075 ) | $(363,484 ) |
BetaBuilders U.S. Aggregate Bond ETF | 5,683,484 | (72,807,520 ) | (95,269,612 ) |
BetaBuilders U.S. TIPS 0-5 Year ETF | — | (11,447 ) | (44,461 ) |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | 18,924 | (65,545 ) | (16,127 ) |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | 161,448 | (309,827 ) | (2,271,168 ) |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | 28,063 | (22,773 ) | (100,488 ) |
BetaBuilders USD High Yield Corporate Bond ETF | 4,267,543 | (57,433,004 ) | (9,630,605 ) |
BetaBuilders USD Investment Grade Corporate Bond ETF | 242,130 | (3,259,044 ) | (1,339,163 ) |
USD Emerging Markets Sovereign Bond ETF | 3,127,515 | (16,994,844 )* | 2,737,206 |
* | Amount includes capital loss carryforwards which are limited in future years under Internal Revenue Code sections 381-384. |
154 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Capital Loss Carryforward Character | ||
Short-Term | Long-Term | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $217,994 | $589,081 |
BetaBuilders U.S. Aggregate Bond ETF | 45,823,372 | 26,984,148 |
BetaBuilders U.S. TIPS 0-5 Year ETF | 11,447 | — |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | 65,545 | — |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | 309,827 | — |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | 22,773 | — |
BetaBuilders USD High Yield Corporate Bond ETF | 16,712,124 | 40,720,880 |
BetaBuilders USD Investment Grade Corporate Bond ETF | 673,732 | 2,585,312 |
USD Emerging Markets Sovereign Bond ETF | 9,330,219 * | 7,664,625 * |
* | 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 | $(18,286 ) | $28,515 | $— |
BetaBuilders U.S. Aggregate Bond ETF | (4,478,621 ) | 13,438,454 | — |
BetaBuilders U.S. TIPS 0-5 Year ETF | 2,429 | — | — |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | 812 | — | — |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | 196,158 | — | — |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | 1,596 | — | — |
BetaBuilders USD High Yield Corporate Bond ETF | (159,552 ) | 351,380 | 3 |
BetaBuilders USD Investment Grade Corporate Bond ETF | (13,709 ) | 71,263 | — |
USD Emerging Markets Sovereign Bond ETF | (325,149 ) | 879,004 | — |
Capital Loss Utilized | |
Short-Term | |
BetaBuilders USD High Yield Corporate Bond ETF | $34,762 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 155 |
JPMorgan SmartRetirement Funds | JPMorgan SmartRetirement Blend Funds | |
BetaBuilders U.S. Aggregate Bond ETF | — % | 21.8 % |
BetaBuilders USD High Yield Corporate Bond ETF | 22.7 | 14.8 |
156 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 157 |
158 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF (1) |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF (1) |
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF (2) |
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF (3) |
JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF (3) |
JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF (3) |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (1) |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (1) |
JPMorgan USD Emerging Markets Sovereign Bond ETF (1) |
(1) | Statement of operations for the year ended February 29, 2024 and statement of changes in net assets for the years ended February 29, 2024 and February 28, 2023 |
(2) | Statement of operations and statement of changes in net assets for the period May 10, 2023 (commencement of operations) through February 29, 2024 |
(3) | Statement of operations and statement of changes in net assets for the period April 19, 2023 (commencement of operations) through February 29, 2024 |
159 |
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). | 167 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-2023); 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). | 167 | None |
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). | 167 | 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). | 167 | 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). | 167 | None |
160 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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 (continued) | |||
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). | 167 | None |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 167 | 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. | 167 | (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). | 167 | 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). | 167 | None |
Marilyn McCoy (1948); Trustee since 1999. | Retired; Vice President of Administration and Planning, Northwestern University (1985-2023). | 167 | None |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 161 |
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 (continued) | |||
Dr. Robert A. Oden, Jr. (1946); Trustee since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 167 | 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). | 167 | 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. | 167 | 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). | 167 | 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. | 167 | 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 eight registered investment companies (167 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. |
162 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
** | 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 29, 2024 | J.P. Morgan Exchange-Traded Funds | 163 |
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) | Managing Director, J.P. Morgan Investment Management Inc. 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. Mr. House has been with J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2023) | Vice President, J.P. Morgan Investment Management Inc. Mr. Mannarino has been with J.P. Morgan Investment Management Inc. since 2014. |
164 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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)* | Executive Director, 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 September 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. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 165 |
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | ||||
Actual | $1,000.00 | $1,026.70 | $0.25 | 0.05 % |
Hypothetical | 1,000.00 | 1,024.61 | 0.25 | 0.05 |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF | ||||
Actual | 1,000.00 | 1,023.00 | 0.10 | 0.02 |
Hypothetical | 1,000.00 | 1,024.76 | 0.10 | 0.02 |
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF | ||||
Actual | 1,000.00 | 1,026.10 | 0.35 | 0.07 |
Hypothetical | 1,000.00 | 1,024.51 | 0.35 | 0.07 |
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF | ||||
Actual | 1,000.00 | 1,024.10 | 0.35 | 0.07 |
Hypothetical | 1,000.00 | 1,024.51 | 0.35 | 0.07 |
JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF | ||||
Actual | 1,000.00 | 993.10 | 0.35 | 0.07 |
Hypothetical | 1,000.00 | 1,024.51 | 0.35 | 0.07 |
JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF | ||||
Actual | 1,000.00 | 1,018.40 | 0.35 | 0.07 |
Hypothetical | 1,000.00 | 1,024.51 | 0.35 | 0.07 |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF | ||||
Actual | 1,000.00 | 1,061.40 | 0.77 | 0.15 |
Hypothetical | 1,000.00 | 1,024.12 | 0.75 | 0.15 |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF | ||||
Actual | 1,000.00 | 1,037.20 | 0.46 | 0.09 |
Hypothetical | 1,000.00 | 1,024.42 | 0.45 | 0.09 |
166 |
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan USD Emerging Markets Sovereign Bond ETF | ||||
Actual | $1,000.00 | $1,043.60 | $1.98 | 0.39 % |
Hypothetical | 1,000.00 | 1,022.92 | 1.96 | 0.39 |
* | Expenses are equal to each Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
167 |
168 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Qualified Interest Income | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $500,990 |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF | 64,375,935 |
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF | 260,815 |
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF | 184,333 |
JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF | 1,535,292 |
JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF | 171,589 |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF | 22,024,412 |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF | 2,083,464 |
Income from U.S. Treasury Obligations | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | 52.3 % |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF | 33.4 |
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF | 94.3 |
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF | 97.9 |
JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF | 99.8 |
JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF | 97.7 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 169 |
Fund | Ticker | Listing Exchange |
JPMorgan High Yield Municipal ETF | JMHI | NYSE Arca, Inc. |
JPMorgan Limited Duration Bond ETF | JPLD | Cboe BZX Exchange, Inc. |
JPMorgan Sustainable Municipal Income ETF | JMSI | NYSE Arca, Inc. |
1 | |
2 | |
3 | |
3 | |
6 | |
9 | |
12 | |
34 | |
44 | |
50 | |
66 | |
67 | |
71 | |
73 | |
74 | |
75 |
“The global economic outlook for the year ahead remains positive and financial markets appear more resilient than a year ago.” — 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 29, 2024 | J.P. Morgan Exchange-Traded Funds | 1 |
2 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 4.85% |
Market Price ** | 4.38% |
Bloomberg US Municipal Index | 5.42% |
Bloomberg High Yield Municipal Bond Index | 8.30% |
Bloomberg 65% High Grade Index / 35% High Yield Total Return Index | 6.42% |
Net Assets as of 2/29/2024 | $174,959,795 |
Duration as of 2/29/2024 | 7.8 Years |
Fund Ticker | JMHI |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 3 |
CREDIT QUALITY ALLOCATIONS AS OF FEBRUARY 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
AAA | 13.8% |
AA | 14.7 |
A | 11.0 |
BBB | 10.4 |
BB | 11.1 |
CCC | 2.6 |
NR | 36.4 |
4 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INCEPTION DATE | 1 YEAR | 5 YEAR | 10 YEAR | |
JPMorgan High Yield Municipal ETF | ||||
Net Asset Value | September 17, 2007* | 4.85 % | 1.19 % | 2.11 % |
Market Price | 4.38 | 1.10 | 2.07 |
* | Inception date for Class I Shares of the Predecessor Fund (as defined below). |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 5 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 6.05% |
Market Price ** | 5.74% |
Bloomberg 1-3 Year U.S. Government/Credit Bond Index | 4.58% |
Net Assets as of 2/29/2024 | $727,270,847 |
Duration as of 2/29/2024 | 1.5 Years |
Fund Ticker | JPLD |
6 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
PORTFOLIO COMPOSITION AS OF February 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
Asset-Backed Securities | 37.8% |
Collateralized Mortgage Obligations | 28.8 |
Mortgage-Backed Securities | 10.1 |
Commercial Mortgage-Backed Securities | 9.7 |
Corporate Bonds | 3.7 |
Short-Term Investments | 9.9 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 7 |
INCEPTION DATE | 1 YEAR | 5 YEAR | 10 YEAR | |
JPMorgan Limited Duration Bond ETF | ||||
Net Asset Value | February 22, 2005 | 6.05 % | 2.08 % | 1.88 % |
Market Price | 5.74 | 2.02 | 1.85 |
8 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
REPORTING PERIOD RETURN: | |
Net Asset Value * | 5.32% |
Market Price ** | 5.20% |
Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index | 4.62% |
Net Assets as of 2/29/2024 | $217,726,100 |
Duration as of 2/29/2024 | 5.3 Years |
Fund Ticker | JMSI |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 9 |
CREDIT QUALITY ALLOCATIONS AS OF FEBRUARY 29, 2024 | PERCENT OF TOTAL INVESTMENTS |
AAA | 26.7% |
AA | 30.1 |
A | 14.9 |
BBB | 16.0 |
BB | 4.4 |
NR | 7.9 |
10 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
INCEPTION DATE | 1 YEAR | 5 YEAR | 10 YEAR | |
JPMorgan Sustainable Municipal Income ETF | ||||
Net Asset Value | February 9, 1993* | 5.32 % | 1.49 % | 2.04 % |
Market Price | 5.20 | 1.47 | 2.03 |
* | Inception date for Class I Shares of the Predecessor Fund (as defined below). |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 11 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — 91.0% (a) | ||
Alabama — 4.2% | ||
Black Belt Energy Gas District, Gas Project | ||
Series 2023D-1, Rev., 5.50%, 2/1/2029 (b) | 2,030,000 | 2,161,595 |
Series 2021A, Rev., 4.00%, 12/1/2031 (b) | 3,000,000 | 2,986,119 |
County of Jefferson | ||
Series 2024, Rev., 5.25%, 10/1/2049 | 1,000,000 | 1,073,991 |
Series 2024, Rev., 5.50%, 10/1/2053 | 1,000,000 | 1,091,279 |
Total Alabama | 7,312,984 | |
Arizona — 3.1% | ||
Arizona Industrial Development Authority, Doral Academy of Northern Nevada Project Series 2021A, Rev., 4.00%, 7/15/2041 (c) | 660,000 | 556,030 |
Arizona Industrial Development Authority, Great Lakes Senior Living Communities LLC Project | ||
Series 2019A, Rev., 5.00%, 1/1/2029 | 1,500,000 | 1,272,937 |
Series 2019A, Rev., 5.00%, 1/1/2037 | 1,000,000 | 706,793 |
Series 2019A, Rev., 5.00%, 1/1/2038 | 1,000,000 | 704,523 |
Series 2019A, Rev., 4.25%, 1/1/2039 | 1,000,000 | 636,508 |
Series 2019A, Rev., 4.50%, 1/1/2049 | 2,000,000 | 1,152,660 |
Maricopa County Industrial Development Authority, Ottawa University | ||
Rev., 5.00%, 10/1/2026 (c) | 100,000 | 100,500 |
Rev., 5.13%, 10/1/2030 (c) | 210,000 | 216,908 |
Total Arizona | 5,346,859 | |
Arkansas — 0.6% | ||
Arkansas Development Finance Authority, Industrial Development , Hybar Steel Project Series 2023B, Rev., AMT, 7.38%, 7/1/2048 (c) | 1,000,000 | 1,098,347 |
California — 9.9% | ||
California Community Choice Financing Authority, Clean Energy Project Series 2023B-1, Rev., 5.00%, 8/1/2029 (b) | 1,280,000 | 1,349,423 |
California Community Housing Agency, Glendale Properties Series 2021A-2, Rev., 4.00%, 8/1/2047 (c) | 1,500,000 | 1,219,337 |
California Infrastructure and Economic Development Bank, Brightline West Passenger Rail Project | ||
Series 2020A-3, Rev., AMT, 8.00%, 8/15/2024 (b) (c) | 2,000,000 | 2,034,301 |
Series 2020A, Rev., AMT, 3.95%, 1/30/2025 (b) (c) | 1,000,000 | 999,861 |
California Municipal Finance Authority, Linxs Apartments Project, Senior Lien Series 2018 A, Rev., AMT, 5.00%, 12/31/2047 | 1,000,000 | 998,559 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
California — continued | ||
California Public Finance Authority, Laverne Elementary Preparatory Academy Series 2019A, Rev., 5.00%, 6/15/2039 (c) | 785,000 | 750,972 |
California School Facilities Financing Authority, Capital Appreciation, Azusa Unified School District Series 2009A, Rev., AGM, Zero Coupon, 8/1/2030 | 200,000 | 162,901 |
California Statewide Communities Development Authority, Loma Linda University Medical Center Series 2016 A, Rev., 5.25%, 12/1/2056 (c) | 3,000,000 | 3,013,276 |
CSCDA Community Improvement Authority, Essential Housing, Mezzanine Lien Series 2021B, Rev., 4.00%, 2/1/2057 (c) | 1,500,000 | 1,103,607 |
CSCDA Community Improvement Authority, Essential Housing, Oceanaire-Long Beach Series 2021A-2, Rev., 4.00%, 9/1/2056 (c) | 2,115,000 | 1,598,359 |
CSCDA Community Improvement Authority, Essential Housing, Towne at Glendale Apartments Series 2022B, Rev., 5.00%, 9/1/2037 (c) | 225,000 | 230,314 |
Golden State Tobacco Securitization Corp., Enhanced Tobacco Settlement Series 2021B-2, Rev., Zero Coupon, 6/1/2066 | 25,000,000 | 2,834,125 |
San Diego County Regional Airport Authority Series 2023B, Rev., AMT, 5.00%, 7/1/2048 | 1,000,000 | 1,056,033 |
Total California | 17,351,068 | |
Colorado — 5.6% | ||
Bradburn Metropolitan District No. 2, Limited Tax | ||
Series 2018A, GO, 5.00%, 12/1/2038 | 500,000 | 500,177 |
Series 2018B, GO, 7.25%, 12/15/2047 | 500,000 | 497,696 |
Canyon Pines Metropolitan District Special Improvement District No. 1 Series 2021A-2, 3.75%, 12/1/2040 | 1,042,378 | 828,049 |
Colorado Housing and Finance Authority Series 2023L, Class III, Rev., GNMA COLL, 5.75%, 11/1/2053 | 1,000,000 | 1,068,980 |
Dominion Water and Sanitation District Rev., 5.25%, 12/1/2032 | 515,000 | 525,630 |
Raindance Metropolitan District No. 1, Non-Potable Water System Rev., 5.00%, 12/1/2040 | 750,000 | 744,312 |
Reunion Metropolitan District Series 2021A, Rev., 3.63%, 12/1/2044 | 480,192 | 369,417 |
Rocky Mountain Rail Park Metropolitan District, Limited Tax Series 2021A, GO, 5.00%, 12/1/2041 (c) | 1,250,000 | 878,580 |
12 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Colorado — continued | ||
Third Creek Metropolitan District No. 1, Limited Tax | ||
Series 2022A-1, GO, 4.50%, 12/1/2037 | 825,000 | 730,635 |
Series 2022A-1, GO, 4.75%, 12/1/2051 | 760,000 | 607,658 |
Verve Metropolitan District No. 1 GO, 5.00%, 12/1/2041 | 1,125,000 | 940,652 |
Westerly Metropolitan District No. 4, Limited Tax Series 2021A, GO, 5.00%, 12/1/2040 | 700,000 | 662,178 |
Windler Public Improvement Authority, Limited Tax Series 2021A-1, Rev., 4.00%, 12/1/2036 | 1,865,000 | 1,386,352 |
Total Colorado | 9,740,316 | |
Connecticut — 0.8% | ||
Stamford Housing Authority, The Dogwoods Project Rev., BAN, 11.00%, 12/1/2027 (c) | 1,500,000 | 1,456,867 |
Delaware — 0.6% | ||
Delaware State Economic Development Authority, Delmarva Power and Light Co. Project Series 2020A, Rev., 1.05%, 7/1/2025 (b) | 1,000,000 | 961,643 |
Florida — 3.5% | ||
Capital Trust Agency, Inc., Legends Academy Project Series 2021A, Rev., 5.00%, 12/1/2045 (c) | 1,625,000 | 1,267,500 |
Florida Development Finance Corp., Educational Facilities, UCP Charter Schools Project Series 2020A, Rev., 5.00%, 6/1/2040 | 830,000 | 771,404 |
Florida Development Finance Corp., Idea Florida, Inc., Jacksonville IV Project Rev., 5.25%, 6/15/2029 (c) | 650,000 | 662,484 |
Martin County Health Facilities Authority, Cleveland Clinic Health System Obligated Group Series 2019A, Rev., 4.00%, 1/1/2046 | 1,500,000 | 1,448,199 |
Miami-Dade County Industrial Development Authority, Solid Waste Disposal, Waste Management, Inc., Project Series 2011, Rev., AMT, 5.00%, 11/1/2024 (b) | 1,000,000 | 1,004,934 |
Palm Beach County Health Facilities Authority, Jupiter Medical Center Series 2022, Rev., 5.00%, 11/1/2052 | 1,000,000 | 1,018,926 |
Total Florida | 6,173,447 | |
Georgia — 3.2% | ||
Columbia County Hospital Authority, Wellstart Health System Inc., Project Series 2023A, Rev., AGM, 5.00%, 4/1/2048 | 1,000,000 | 1,078,006 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Georgia — continued | ||
Main Street Natural Gas, Inc., Gas Supply Series 2023A, Rev., 5.00%, 6/1/2030 (b) | 1,925,000 | 2,025,966 |
Municipal Electric Authority of Georgia, Plant Vogtle Units 3 and 4 Project Series 2019B, Rev., 5.00%, 1/1/2059 | 2,500,000 | 2,527,432 |
Total Georgia | 5,631,404 | |
Idaho — 0.1% | ||
Idaho Housing and Finance Association, Compass Public Charter School, Inc., Project Series 2018A, Rev., 4.63%, 7/1/2029 (c) | 150,000 | 149,886 |
Illinois — 6.7% | ||
Chicago O'Hare International Airport, General Airport, Senior Lien Series 2018A, Rev., AMT, 5.00%, 1/1/2053 | 3,500,000 | 3,574,148 |
Chicago Transit Authority Sales Tax Receipts Fund Series 2014, Rev., 5.25%, 12/1/2049 | 3,000,000 | 3,011,667 |
Illinois Finance Authority, Plymouth Place, Inc. Series 2022B-1, Rev., 6.00%, 11/15/2027 | 200,000 | 200,045 |
State of Illinois | ||
GO, 4.00%, 6/1/2032 | 2,400,000 | 2,419,040 |
Series 2019C, GO, 4.00%, 11/1/2042 | 1,500,000 | 1,455,496 |
Series 2020C, GO, 4.25%, 10/1/2045 | 1,000,000 | 976,359 |
Series 2023B, GO, 4.50%, 5/1/2048 | 160,000 | 159,053 |
Total Illinois | 11,795,808 | |
Indiana — 2.6% | ||
City of Goshen, Multi-Family, Green Oaks of Goshen Project Series 2021A, Rev., 5.00%, 8/1/2041 (c) | 1,000,000 | 815,232 |
City of Valparaiso Rev., 5.38%, 12/1/2041 (c) | 1,550,000 | 1,216,835 |
Indiana Finance Authority, Educational Facilities, Kipp Indianapolis, Inc., Project Series 2020A, Rev., 5.00%, 7/1/2055 | 455,000 | 421,161 |
Indiana Housing and Community Development Authority, Vita of Marion Project Series 2021A, Rev., 5.25%, 4/1/2041 (c) | 1,250,000 | 1,011,506 |
Indianapolis Local Public Improvement Bond Bank Series 2023F-1, Rev., 5.25%, 3/1/2067 | 1,000,000 | 1,066,009 |
Total Indiana | 4,530,743 | |
Kansas — 0.5% | ||
City of Wichita, Health Care Facilities, Presbyterian Manors, Inc. | ||
Series 2018 I, Rev., 5.00%, 5/15/2033 | 500,000 | 456,078 |
Series 2018 I, Rev., 5.00%, 5/15/2038 | 500,000 | 404,285 |
Total Kansas | 860,363 |
13 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Louisiana — 1.2% | ||
Louisiana Public Facilities Authority, Lincoln Preparatory School Project Series 2021A, Rev., 5.25%, 6/1/2051 (c) | 1,145,000 | 961,964 |
Louisiana Public Facilities Authority, Mentorship Steam Academy Project | ||
Series 2021A, Rev., 5.00%, 6/1/2051 (c) | 700,000 | 568,192 |
Series 2021A, Rev., 5.00%, 6/1/2056 (c) | 740,000 | 585,090 |
Total Louisiana | 2,115,246 | |
Maryland — 0.6% | ||
Maryland Health and Higher Educational Facilities Authority, University of Maryland Medical System Series 2008D, Rev., VRDO, LOC : TD Bank NA, 3.65%, 3/1/2024 (b) | 1,000,000 | 1,000,000 |
Michigan — 2.9% | ||
City of Detroit, Unlimited Tax Series 2020, GO, 5.50%, 4/1/2050 | 2,460,000 | 2,550,129 |
State of Michigan Trunk Line Series 2020 B, Rev., 4.00%, 11/15/2045 | 2,550,000 | 2,566,764 |
Total Michigan | 5,116,893 | |
Montana — 0.5% | ||
County of Gallatin, Bozeman Fiber Project Series 2021A, Rev., 4.00%, 10/15/2032 (c) | 1,000,000 | 933,205 |
Nebraska — 0.6% | ||
Central Plains Energy Project, Gas Project No. 4 Series 2023 A-1, Rev., 5.00%, 11/1/2029 (b) | 1,000,000 | 1,056,921 |
New Jersey — 3.1% | ||
New Jersey Economic Development Authority Series 2020, Rev., 5.00%, 1/1/2040 (c) (d) | 3,000,000 | 2,076,180 |
New Jersey Economic Development Authority, Black Horse EHT Urban Renewal LLC Project Series 2019A, Rev., 5.00%, 10/1/2039 (c) (d) | 2,000,000 | 1,321,614 |
New Jersey Economic Development Authority, Marion P. Thomas Charter School, Inc., Project Series 2018A, Rev., 5.00%, 10/1/2033 (c) | 1,000,000 | 971,083 |
Tobacco Settlement Financing Corp. Series 2018B, Rev., 5.00%, 6/1/2046 | 1,000,000 | 1,018,664 |
Total New Jersey | 5,387,541 | |
New York — 12.3% | ||
Buffalo & Fort Erie Public Bridge Authority Series 2017, Rev., 5.00%, 1/1/2047 | 1,000,000 | 1,024,528 |
Build NYC Resource Corp., Richmond Charter Schools Series 2021A, Rev., 5.00%, 6/1/2051 (c) | 575,000 | 538,448 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New York — continued | ||
City of New York, Fiscal Year 2023 Series 2023A, Subseries A-3, GO, VRDO, LIQ : Bank of Montreal, 3.65%, 3/1/2024 (b) | 3,800,000 | 3,800,000 |
Jefferson County Civic Facility Development Corp., Samaritan Medical Center Project Series 2017A, Rev., 4.00%, 11/1/2042 | 1,000,000 | 768,826 |
Monroe County Industrial Development Corp.,Rochester Regional Health Project Series 2020A, Rev., 4.00%, 12/1/2036 | 1,000,000 | 985,802 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2019 Series 2019C-4, Rev., VRDO, LIQ : Barclays Bank plc, 2.85%, 3/1/2024 (b) | 5,000,000 | 5,000,000 |
New York Counties Tobacco Trust Series 2016 A-2B, Rev., 5.00%, 6/1/2051 | 1,500,000 | 1,414,787 |
New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project | ||
Rev., AMT, 5.00%, 1/1/2028 | 500,000 | 518,801 |
Rev., AMT, 5.00%, 1/1/2034 | 375,000 | 387,137 |
Series 2023, Rev., AMT, 6.00%, 4/1/2035 | 1,000,000 | 1,127,371 |
Rev., AMT, 4.38%, 10/1/2045 | 3,000,000 | 2,947,945 |
Series 2016 A, Rev., AMT, 5.00%, 7/1/2046 | 2,000,000 | 1,986,619 |
New York Transportation Development Corp., JFK International Airport New Terminal One Project Series 2023, Rev., AMT, AGM, 5.00%, 6/30/2049 | 1,000,000 | 1,049,360 |
Total New York | 21,549,624 | |
North Carolina — 0.6% | ||
Water and Sewer Authority of Cabarrus County Series 2024, Rev., 4.00%, 6/1/2049 | 1,000,000 | 987,615 |
Ohio — 4.7% | ||
Buckeye Tobacco Settlement Financing Authority | ||
Series 2020A-2 CL 1, Rev., 4.00%, 6/1/2039 | 1,155,000 | 1,162,504 |
Series 2020B-2, Rev., 5.00%, 6/1/2055 | 2,000,000 | 1,905,786 |
Series 2020B-3, Rev., Zero Coupon, 6/1/2057 | 25,000,000 | 2,613,352 |
Jefferson County Port Authority, JSW Steel USA Ohio, Inc., Project Series 2023, Rev., 5.00%, 12/1/2028 (b) (c) | 1,515,000 | 1,538,121 |
Ohio Air Quality Development Authority, Duke Energy Corp. Series 2022A, Rev., AMT, 4.25%, 6/1/2027 (b) | 1,000,000 | 1,009,384 |
Total Ohio | 8,229,147 |
14 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Oklahoma — 1.5% | ||
Oklahoma Development Finance Authority, Health System, OU Medicine Project Series 2018B, Rev., 5.50%, 8/15/2057 | 2,600,000 | 2,637,235 |
Pennsylvania — 1.7% | ||
Allegheny County Airport Authority, Pittsburgh International Airport Series 2023A, Rev., AMT, AGM, 5.50%, 1/1/2048 | 1,000,000 | 1,102,370 |
Pennsylvania Economic Development Financing Authority, Senior Insured, Capitol Region Parking System Series 2024 A, Rev., AGM, 4.00%, 1/1/2041 (e) | 1,200,000 | 1,171,944 |
Philadelphia Authority for Industrial Development, International Education and Community Initiatives Project Series 2018A, Rev., 4.50%, 6/1/2029 (c) | 600,000 | 598,854 |
Total Pennsylvania | 2,873,168 | |
Puerto Rico — 4.1% | ||
Commonwealth of Puerto Rico Series A, GO, 0.00%, 11/1/2043 (b) | 2,441,233 | 1,428,121 |
Puerto Rico Sales Tax Financing Corp. Sales Tax (Puerto Rico) | ||
Series A-1, Rev., Zero Coupon, 7/1/2046 | 8,230,000 | 2,669,124 |
Series A-2, Rev., 4.78%, 7/1/2058 | 3,100,000 | 3,084,507 |
Total Puerto Rico | 7,181,752 | |
Tennessee — 2.0% | ||
Nashville Metropolitan Development and Housing Agency, Tax Increment, Fifth Broadway Development Project Series 2018, Rev., 5.13%, 6/1/2036 (c) | 425,000 | 433,603 |
Shelby County Health Educational and Housing Facilities Board Retirement Facility The Farm At Bailey Station Series 2019A, Rev., 5.50%, 10/1/2039 | 3,000,000 | 2,354,292 |
Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station Project Series 2019A, Rev., 5.75%, 10/1/2059 | 1,000,000 | 694,763 |
Total Tennessee | 3,482,658 | |
Texas — 3.2% | ||
Arlington Higher Education Finance Corp., Winfree Academy Charter Schools Series 2019A, Rev., 5.75%, 8/15/2043 | 1,000,000 | 1,001,812 |
City of Houston, Combined Utility System, Junior Lien Series A, Rev., AGM, Zero Coupon, 12/1/2027 (f) | 30,000 | 26,782 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Texas — continued | ||
New Hope Cultural Education Facilities Finance Corp., Legacy Midtown Park Project Series 2018A, Rev., 5.50%, 7/1/2054 | 1,000,000 | 780,350 |
New Hope Cultural Education Facilities Finance Corp., Morningside Ministries Project Rev., 4.00%, 1/1/2037 | 625,000 | 489,942 |
Tarrant County Cultural Education Facilities Finance Corp., Retirement Facility, MRC Stevenson Oaks Project Series 2020A, Rev., 6.25%, 11/15/2031 | 500,000 | 486,286 |
Texas Private Activity Bond Surface Transportation Corp., NTE Mobility Partners Segments 3 LLC Project Series 2019, Rev., AMT, 5.00%, 6/30/2058 | 1,625,000 | 1,646,857 |
Texas Water Development Board Series 2023 A, Rev., 5.00%, 10/15/2058 | 1,080,000 | 1,174,905 |
Total Texas | 5,606,934 | |
Utah — 1.4% | ||
Mida Golf and Equestrian Center Public Infrastructure District, Limited Tax GO, 4.25%, 6/1/2041 (c) | 1,100,000 | 870,720 |
Mida Mountain Village Public Infrastructure District, Mountain Village Assessment Area Series 2020B, 6.25%, 8/1/2030 (c) | 1,000,000 | 937,224 |
Utah Charter School Finance Authority, Wallace Stegner Academy | ||
Series 2022A, Rev., 5.25%, 6/15/2032 (c) | 250,000 | 252,642 |
Series 2022A, Rev., 5.63%, 6/15/2042 (c) | 400,000 | 400,380 |
Total Utah | 2,460,966 | |
Virginia — 3.2% | ||
Fredericksburg Economic Development Authority, Stadium Project | ||
Series 2021A, Rev., 7.00%, 11/15/2026 (c) | 475,000 | 475,711 |
Series 2019B, Rev., 6.13%, 9/1/2029 (c) | 1,480,000 | 1,229,827 |
Series 2019B, Rev., 7.00%, 9/1/2044 (c) | 1,000,000 | 579,444 |
Roanoke County Economic Development Authority, Residential Care Facility, Richfield Living | ||
Series 2019A, Rev., 4.75%, 9/1/2029 (d) | 805,000 | 744,392 |
Series 2019A, Rev., 5.00%, 9/1/2034 (d) | 1,660,000 | 1,535,019 |
Virginia Small Business Financing Authority, Environmental Facilities Series 2022, Rev., 5.00%, 11/15/2024 (b) | 1,000,000 | 1,000,983 |
Total Virginia | 5,565,376 |
15 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Washington — 0.6% | ||
Washington State Housing Finance Commission, Seattle Academy of Arts and Science Project Series 2023, Rev., 6.38%, 7/1/2063 (c) | 1,000,000 | 1,090,784 |
Wisconsin — 5.4% | ||
Public Finance Authority, Cedars Obligated Group Series 2019, Rev., 4.25%, 5/1/2029 (c) | 855,000 | 770,367 |
Public Finance Authority, Presbyterian Villages of Michigan Obligated Group Series 2020A, Rev., 4.00%, 11/15/2042 (c) | 3,955,000 | 2,903,909 |
Public Finance Authority, Ripple Ranch, LLC Obligate Series 2021A, Rev., 5.25%, 12/1/2051 (c) | 800,000 | 560,690 |
Public Finance Authority, The Franklin School of Innovation Rev., 5.00%, 1/1/2042 (c) | 250,000 | 221,836 |
Public Finance Authority, Viticus Group Project Series 2022A, Rev., 4.00%, 12/1/2031 (c) | 400,000 | 369,221 |
Public Finance Authority, Wilson Preparatory Academy | ||
Series 2019A, Rev., 5.00%, 6/15/2039 (c) | 500,000 | 487,962 |
Series 2019A, Rev., 5.00%, 6/15/2049 (c) | 1,100,000 | 1,015,409 |
Wisconsin Health and Educational Facilities Authority, Ascension Senior Credit Group Series 2016 A, Rev., 5.00%, 11/15/2035 | 1,000,000 | 1,031,417 |
Wisconsin Health and Educational Facilities Authority, Forensic science and Protective Medicine Collaboration, Inc. Project Series 2024, Rev., 5.00%, 8/1/2027 (c) (e) | 1,000,000 | 1,024,489 |
Wisconsin Housing and Economic Development Authority Home Ownership Series 2024 A, Rev., GNMA / FNMA / FHLMC, 6.00%, 9/1/2054 | 1,000,000 | 1,094,091 |
Total Wisconsin | 9,479,391 | |
Total Municipal Bonds (Cost $166,895,711) | 159,164,191 |
INVESTMENTS | SHARES | VALUE($) |
Short-Term Investments — 9.1% | ||
Investment Companies — 9.1% | ||
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.37% (g) (h) (Cost $15,937,390) | 15,936,656 | 15,938,250 |
Total Investments — 100.1% (Cost $182,833,101) | 175,102,441 | |
Liabilities in Excess of Other Assets — (0.1)% | (142,646 ) | |
NET ASSETS — 100.0% | 174,959,795 |
Percentages indicated are based on net assets. |
Abbreviations | |
AGM | Insured by Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAN | Bond Anticipation Note |
COLL | Collateral |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
GO | General Obligation |
LIQ | Liquidity Agreement |
LOC | Letter of Credit |
Rev. | Revenue |
VRDO | Variable Rate Demand Obligation |
(a) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
(b) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 29, 2024. |
(c) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
(d) | Defaulted security. |
(e) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
(f) | Security is prerefunded or escrowed to maturity. |
(g) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(h) | The rate shown is the current yield as of February 29, 2024. |
16 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — 37.7% | ||
ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class A, 6.26%, 12/18/2037 (a) (b) | 201,838 | 201,157 |
American Credit Acceptance Receivables Trust Series 2023-1, Class A, 5.45%, 9/14/2026 (a) | 701,919 | 701,598 |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2003-7, Class M1, 4.84%, 8/25/2033 (b) | 3,197 | 3,297 |
Amortizing Residential Collateral Trust Series 2002-BC9, Class M1, 7.09%, 12/25/2032 (b) | 1,111,109 | 1,037,414 |
AMSR Trust | ||
Series 2020-SFR3, Class A, 1.36%, 9/17/2037 (a) | 7,104,240 | 6,666,198 |
Series 2021-SFR2, Class A, 1.53%, 8/17/2038 (a) | 4,000,000 | 3,645,736 |
Apidos CLO (Cayman Islands) Series 2019-31A, Class A1R, 6.68%, 4/15/2031 (a) (b) | 4,350,000 | 4,357,430 |
Arivo Acceptance Auto Loan Receivables Trust Series 2021-1A, Class A, 1.19%, 1/15/2027 (a) | 74,473 | 73,691 |
Auxilior Term Funding LLC Series 2023-1A, Class A2, 6.18%, 12/15/2028 (a) | 1,015,000 | 1,019,351 |
Ballyrock CLO Ltd. (Cayman Islands) | ||
Series 2020-2A, Class A1R, 6.59%, 10/20/2031 (a) (b) | 3,164,637 | 3,165,061 |
Series 2019-1A, Class A1R, 6.61%, 7/15/2032 (a) (b) | 6,415,000 | 6,427,978 |
Bear Stearns Asset-Backed Securities I Trust Series 2005-HE1, Class M2, 5.24%, 1/25/2035 (b) | 320,946 | 323,150 |
Bear Stearns Asset-Backed Securities Trust Series 2003-SD1, Class A, 6.34%, 12/25/2033 (b) | 392,475 | 372,207 |
BRE Grand Islander Timeshare Issuer LLC Series 2019-A, Class A, 3.28%, 9/26/2033 (a) | 1,096,057 | 1,046,700 |
BSPRT Issuer Ltd. (Cayman Islands) Series 2022-FL8, Class A, 6.82%, 2/15/2037 (a) (b) | 5,000,000 | 4,978,535 |
Business Jet Securities LLC | ||
Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (a) | 644,633 | 624,900 |
Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (a) | 1,286,271 | 1,203,363 |
Series 2022-1A, Class A, 4.46%, 6/15/2037 ‡ (a) | 7,555,502 | 7,298,679 |
BXG Receivables Note Trust Series 2018-A, Class A, 3.77%, 2/2/2034 (a) | 738,958 | 718,241 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
BXMT Ltd. (Cayman Islands) Series 2020-FL3, Class A, 6.84%, 11/15/2037 (a) (b) | 7,137,021 | 6,899,401 |
CarMax Auto Owner Trust | ||
Series 2020-4, Class A3, 0.50%, 8/15/2025 | 274,680 | 273,011 |
Series 2022-2, Class A3, 3.49%, 2/16/2027 | 4,155,052 | 4,090,127 |
Carvana Auto Receivables Trust | ||
Series 2020-P1, Class A4, 0.61%, 10/8/2026 | 1,450,606 | 1,413,935 |
Series 2023-N4, Class A, 6.42%, 1/10/2028 (a) | 4,588,169 | 4,616,019 |
Centex Home Equity Loan Trust Series 2002-A, Class MV1, 6.29%, 1/25/2032 (b) | 68,034 | 68,564 |
CF Hippolyta Issuer LLC Series 2020-1, Class A1, 1.69%, 7/15/2060 (a) | 2,307,094 | 2,145,476 |
CoreVest American Finance Trust | ||
Series 2020-2, Class A, 3.38%, 5/15/2052 (a) | 623,372 | 605,366 |
Series 2020-4, Class A, 1.17%, 12/15/2052 (a) | 3,761,794 | 3,512,803 |
Countrywide Asset-Backed Certificates | ||
Series 2003-BC2, Class 2A1, 6.04%, 6/25/2033 (b) | 227,054 | 222,718 |
Series 2004-S1, Class M2, 5.58%, 2/25/2035 (c) | 14,789 | 14,581 |
CPS Auto Receivables Trust | ||
Series 2023-A, Class A, 5.54%, 3/16/2026 (a) | 1,000,125 | 999,536 |
Series 2022-C, Class A, 4.18%, 4/15/2030 (a) | 1,086,630 | 1,084,796 |
Credit Acceptance Auto Loan Trust Series 2023-3A, Class A, 6.39%, 8/15/2033 (a) | 2,375,000 | 2,402,522 |
Diamond Resorts Owner Trust Series 2021-1A, Class A, 1.51%, 11/21/2033 (a) | 436,958 | 408,924 |
DLLST LLC Series 2022-1A, Class A3, 3.40%, 1/21/2025 (a) | 1,856,303 | 1,847,553 |
DT Auto Owner Trust | ||
Series 2022-2A, Class A, 2.88%, 6/15/2026 (a) | 70,632 | 70,569 |
Series 2021-1A, Class C, 0.84%, 10/15/2026 (a) | 369,550 | 366,655 |
Series 2023-1A, Class A, 5.48%, 4/15/2027 (a) | 1,957,091 | 1,953,700 |
Elmwood CLO Ltd. (Cayman Islands) Series 2020-2A, Class AR, 6.73%, 10/20/2034 (a) (b) | 7,500,000 | 7,500,697 |
Enterprise Fleet Financing LLC Series 2022-1, Class A2, 3.03%, 1/20/2028 (a) | 1,818,871 | 1,792,714 |
Exeter Automobile Receivables Trust Series 2023-4A, Class C, 6.51%, 8/15/2028 | 2,500,000 | 2,533,956 |
17 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
First Franklin Mortgage Loan Trust | ||
Series 2002-FF1, Class M1, 6.49%, 4/25/2032 (b) | 47,044 | 47,917 |
Series 2002-FF4, Class M1, 7.01%, 2/25/2033 (b) | 578,174 | 465,474 |
Series 2003-FFH1, Class M2, 8.06%, 9/25/2033 (b) | 226,749 | 199,146 |
Series 2004-FF8, Class M4, 7.04%, 10/25/2034 (b) | 205,394 | 126,282 |
FirstKey Homes Trust Series 2021-SFR1, Class A, 1.54%, 8/17/2038 (a) | 6,824,509 | 6,227,786 |
FS Rialto (Cayman Islands) Series 2021-FL3, Class A, 6.69%, 11/16/2036 (a) (b) | 5,237,191 | 5,208,476 |
Galaxy CLO Ltd. (Cayman Islands) Series 2013-15A, Class ARR, 6.55%, 10/15/2030 (a) (b) | 1,512,702 | 1,513,006 |
Goodgreen (Cayman Islands) | ||
Series 2018-1A, Class A, 3.93%, 10/15/2053 ‡ (a) (b) | 1,944,999 | 1,766,909 |
Series 2019-1A, Class A, 3.86%, 10/15/2054 ‡ (a) | 1,384,892 | 1,229,311 |
Goodgreen Trust Series 2017-2A, Class A, 3.26%, 10/15/2053 ‡ (a) | 1,217,769 | 1,084,597 |
GreenPoint Mortgage Funding Trust Series 2005-HE3, Class A, 5.61%, 9/15/2030 (b) | 7,921 | 7,689 |
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (a) | 774,350 | 685,861 |
Hilton Grand Vacations Trust | ||
Series 2018-AA, Class A, 3.54%, 2/25/2032 (a) | 314,190 | 307,185 |
Series 2022-2A, Class A, 4.30%, 1/25/2037 (a) | 1,721,183 | 1,663,523 |
Series 2020-AA, Class A, 2.74%, 2/25/2039 (a) | 708,156 | 669,705 |
LCM Ltd. (Cayman Islands) Series 29A, Class AR, 6.65%, 4/15/2031 (a) (b) | 5,000,000 | 4,999,405 |
Lendingpoint Asset Securitization Trust | ||
Series 2022-B, Class A, 4.77%, 10/15/2029 (a) | 1,383,265 | 1,373,443 |
Series 2022-C, Class A, 6.56%, 2/15/2030 (a) | 1,178,033 | 1,177,696 |
Lendmark Funding Trust Series 2022-1A, Class A, 5.12%, 7/20/2032 (a) | 3,000,000 | 2,965,797 |
LP LMS Asset Securitization Trust | ||
Series 2021-2A, Class A, 1.75%, 1/15/2029 (a) | 55,429 | 55,269 |
Series 2023-1A, Class A, 8.18%, 10/17/2033 (a) | 1,826,467 | 1,833,093 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mariner Finance Issuance Trust | ||
Series 2020-AA, Class A, 2.19%, 8/21/2034 (a) | 1,184,360 | 1,167,031 |
Series 2021-AA, Class A, 1.86%, 3/20/2036 (a) | 3,000,000 | 2,747,608 |
Marlin Receivables LLC Series 2022-1A, Class A2, 4.53%, 9/20/2025 (a) | 974,606 | 972,033 |
MF1 Ltd. (Cayman Islands) | ||
Series 2021-FL7, Class A, 6.51%, 10/16/2036 (a) (b) | 3,300,386 | 3,278,923 |
Series 2022-FL8, Class A, 6.67%, 2/19/2037 (a) (b) | 5,000,000 | 4,968,245 |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) Series 2020-37A, Class AR, 6.55%, 7/20/2031 (a) (b) | 4,368,570 | 4,367,286 |
New Century Home Equity Loan Trust Series 2003-5, Class AII, 3.84%, 11/25/2033 (b) | 172,305 | 140,087 |
OCP CLO Ltd. (Cayman Islands) Series 2015-9A, Class A1R2, 6.57%, 1/15/2033 (a) (b) | 5,000,000 | 5,004,235 |
OneMain Financial Issuance Trust Series 2021-1A, Class A1, 1.55%, 6/16/2036 (a) | 5,000,000 | 4,488,768 |
Oportun Issuance Trust Series 2022-A, Class A, 5.05%, 6/9/2031 (a) | 5,000,000 | 4,949,081 |
Pagaya AI Technology in Housing Trust Series 2023-1, Class A, 3.60%, 10/25/2040 (a) | 3,500,000 | 3,200,288 |
Palmer Square Loan Funding Ltd. (Cayman Islands) | ||
Series 2021-3A, Class A1, 6.38%, 7/20/2029 (a) (b) | 1,630,044 | 1,630,689 |
Series 2021-4A, Class A1, 6.38%, 10/15/2029 (a) (b) | 2,910,944 | 2,905,614 |
Series 2022-2A, Class A1, 6.58%, 10/15/2030 (a) (b) | 3,774,165 | 3,771,357 |
PRET LLC Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (c) | 1,620,796 | 1,596,827 |
Progress Residential | ||
Series 2021-SFR1, Class A, 1.05%, 4/17/2038 (a) | 3,010,165 | 2,756,684 |
Series 2021-SFR4, Class A, 1.56%, 5/17/2038 (a) | 4,984,281 | 4,585,801 |
Progress Residential Trust | ||
Series 2020-SFR3, Class A, 1.29%, 10/17/2027 (a) | 8,925,255 | 8,342,619 |
Series 2020-SFR2, Class A, 2.08%, 6/17/2037 (a) | 5,038,016 | 4,823,449 |
Series 2021-SFR8, Class A, 1.51%, 10/17/2038 (a) | 4,466,301 | 4,051,718 |
Series 2023-SFR1, Class A, 4.30%, 3/17/2040 (a) | 3,392,478 | 3,278,265 |
18 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2024-SFR1, Class A, 3.35%, 2/17/2041 (a) | 5,500,000 | 5,052,527 |
PRPM LLC Series 2021-10, Class A1, 2.49%, 10/25/2026 (a) (c) | 1,140,637 | 1,117,000 |
RASC Trust Series 2003-KS4, Class MI2, 5.01%, 6/25/2033 (c) | 493,376 | 371,948 |
Santander Consumer Auto Receivables Trust Series 2021-AA, Class B, 0.71%, 8/17/2026 (a) | 2,750,000 | 2,639,357 |
Santander Drive Auto Receivables Trust Series 2022-4, Class A3, 4.14%, 2/16/2027 | 4,166,846 | 4,144,835 |
SCF Equipment Leasing LLC Series 2022-2A, Class A3, 6.50%, 10/21/2030 (a) | 5,900,000 | 5,959,347 |
Sierra Timeshare Receivables Funding LLC | ||
Series 2019-2A, Class A, 2.59%, 5/20/2036 (a) | 309,988 | 306,768 |
Series 2020-2A, Class A, 1.33%, 7/20/2037 (a) | 455,383 | 435,007 |
SoFi Professional Loan Program Trust | ||
Series 2021-B, Class AFX, 1.14%, 2/15/2047 (a) | 2,831,519 | 2,402,929 |
Series 2018-B, Class A2FX, 3.34%, 8/25/2047 (a) | 635,160 | 620,165 |
Structured Asset Investment Loan Trust Series 2003-BC2, Class A3, 6.14%, 4/25/2033 (b) | 7,894 | 7,942 |
Symphony CLO Ltd. (Cayman Islands) Series 2016-18A, Class A1RR, 6.68%, 7/23/2033 (a) (b) | 5,000,000 | 5,007,970 |
Tesla Auto Lease Trust Series 2021-B, Class A4, 0.63%, 9/22/2025 (a) | 2,680,000 | 2,654,463 |
Toyota Auto Receivables Owner Trust Series 2020-C, Class A4, 0.57%, 10/15/2025 | 2,792,444 | 2,764,122 |
Tricon American Homes Series 2020-SFR1, Class A, 1.50%, 7/17/2038 (a) | 5,974,566 | 5,471,229 |
Tricon American Homes Trust Series 2019-SFR1, Class A, 2.75%, 3/17/2038 (a) | 3,253,046 | 3,079,111 |
Upstart Securitization Trust | ||
Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | 1,772,741 | 1,766,304 |
Series 2023-1, Class A, 6.59%, 2/20/2033 (a) | 1,940,771 | 1,940,415 |
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 (a) | 1,195,816 | 1,166,715 |
VCAT LLC Series 2021-NPL1, Class A1, 5.29%, 12/26/2050 (a) (c) | 481,066 | 477,912 |
Verdant Receivables LLC Series 2023-1A, Class A2, 6.24%, 1/13/2031 (a) | 2,808,187 | 2,811,276 |
VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (a) (c) | 1,336,949 | 1,285,578 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
VOLT XCII LLC Series 2021-NPL1, Class A1, 4.89%, 2/27/2051 (a) (c) | 894,430 | 872,499 |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 4.89%, 2/27/2051 (a) (c) | 3,374,647 | 3,274,078 |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (c) | 2,774,878 | 2,711,789 |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (a) (c) | 959,357 | 931,625 |
VOLT XCV LLC Series 2021-NPL4, Class A1, 5.24%, 3/27/2051 (a) (c) | 1,530,136 | 1,497,707 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 5.12%, 3/27/2051 (a) (c) | 1,915,026 | 1,873,517 |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (c) | 2,773,214 | 2,715,596 |
Westgate Resorts LLC Series 2020-1A, Class A, 2.71%, 3/20/2034 (a) | 361,772 | 358,230 |
Westlake Automobile Receivables Trust | ||
Series 2022-3A, Class A2, 5.24%, 7/15/2025 (a) | 635,405 | 635,367 |
Series 2022-2A, Class A3, 3.75%, 4/15/2026 (a) | 5,003,787 | 4,980,046 |
Series 2023-3A, Class A3, 5.82%, 5/17/2027 (a) | 4,000,000 | 4,024,590 |
World Omni Auto Receivables Trust Series 2024-A, Class A4, 4.84%, 10/15/2029 | 2,890,000 | 2,880,105 |
World Omni Select Auto Trust Series 2020-A, Class B, 0.84%, 6/15/2026 | 669,262 | 667,133 |
Total Asset-Backed Securities (Cost $282,000,935) | 274,227,689 | |
Collateralized Mortgage Obligations — 28.8% | ||
Alternative Loan Trust | ||
Series 2004-J4, Class 1A6, 5.40%, 6/25/2034 (c) | 207 | 201 |
Series 2004-33, Class 3A3, 4.50%, 12/25/2034 (b) | 102,988 | 94,379 |
Banc of America Funding Trust Series 2006-1, Class 2A1, 5.50%, 1/25/2036 | 85,252 | 71,235 |
Banc of America Mortgage Trust Series 2004-D, Class 2A2, 4.60%, 5/25/2034 (b) | 76,882 | 72,578 |
Bear Stearns Asset-Backed Securities I Trust Series 2004-AC6, Class M1, 6.44%, 11/25/2034 (b) | 89,508 | 19,623 |
Connecticut Avenue Securities Trust | ||
Series 2021-R01, Class 1M1, 6.07%, 10/25/2041 (a) (b) | 133,118 | 133,077 |
Series 2021-R03, Class 1M1, 6.17%, 12/25/2041 (a) (b) | 3,248,321 | 3,246,806 |
Series 2022-R01, Class 1M1, 6.32%, 12/25/2041 (a) (b) | 1,967,144 | 1,967,451 |
19 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 2022-R06, Class 1M1, 8.07%, 5/25/2042 (a) (b) | 2,682,879 | 2,748,287 |
Series 2022-R07, Class 1M1, 8.27%, 6/25/2042 (a) (b) | 4,049,107 | 4,161,989 |
Series 2022-R08, Class 1M1, 7.87%, 7/25/2042 (a) (b) | 1,550,676 | 1,592,839 |
Series 2024-R01, Class 1M1, 6.37%, 1/25/2044 (a) (b) | 2,604,840 | 2,605,431 |
Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) | ||
Series 2005-5, Class 1A1, 5.00%, 7/25/2020 | 2,285 | 2,124 |
Series 2004-5, Class 4A1, 6.00%, 9/25/2034 | 230,267 | 220,192 |
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-AR24, Class 2A4, 6.30%, 10/25/2033 (b) | 135,042 | 129,585 |
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 3.74%, 2/25/2020 (b) | 21,176 | 20,476 |
FHLMC STACR REMIC Trust Series 2021-DNA3, Class M1, 6.07%, 10/25/2033 (a) (b) | 909,739 | 909,175 |
FHLMC, REMIC | ||
Series 1974, Class ZA, 7.00%, 7/15/2027 | 9,698 | 9,696 |
Series 3737, Class DG, 5.00%, 10/15/2030 | 67,362 | 66,850 |
Series 4120, Class KI, IO, 3.00%, 10/15/2032 | 677,256 | 38,627 |
Series 5000, Class CB, 1.25%, 1/25/2035 | 4,171,747 | 3,615,841 |
Series 3300, Class FA, 5.74%, 8/15/2035 (b) | 100,627 | 99,471 |
Series 3085, Class VS, IF, 6.96%, 12/15/2035 (b) | 94,846 | 102,457 |
Series 4867, Class WF, 5.65%, 4/15/2037 (b) | 6,802,800 | 6,745,094 |
Series 4350, Class AF, 5.81%, 12/15/2037 (b) | 1,827,363 | 1,764,186 |
Series 4350, Class FK, 5.55%, 6/15/2038 (b) | 2,117,492 | 2,045,457 |
Series 4515, Class FA, 5.83%, 8/15/2038 (b) | 1,040,208 | 1,028,667 |
Series 4350, Class KF, 5.81%, 1/15/2039 (b) | 346,138 | 334,231 |
Series 4448, Class TF, 5.56%, 5/15/2040 (b) | 2,033,566 | 1,993,298 |
Series 4480, Class FM, 5.47%, 6/15/2040 (b) | 2,587,460 | 2,494,650 |
Series 4457, Class KF, 5.42%, 10/15/2040 (b) | 3,448,881 | 3,373,294 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 4363, Class FA, 5.36%, 9/15/2041 (b) | 1,648,001 | 1,612,433 |
Series 4413, Class WF, 5.49%, 10/15/2041 (b) | 1,516,364 | 1,466,041 |
Series 4559, Class AF, 5.83%, 3/15/2042 (b) | 1,062,236 | 1,059,715 |
Series 4074, Class FE, 5.84%, 7/15/2042 (b) | 1,260,075 | 1,232,827 |
Series 4150, Class F, 5.81%, 1/15/2043 (b) | 3,454,292 | 3,346,164 |
Series 4161, Class YF, 5.81%, 2/15/2043 (b) | 2,537,297 | 2,459,279 |
Series 4281, Class FB, 5.99%, 12/15/2043 (b) | 1,735,767 | 1,698,621 |
Series 4606, Class FL, 5.94%, 12/15/2044 (b) | 3,579,572 | 3,491,511 |
Series 4594, Class GN, 2.50%, 2/15/2045 | 1,721,031 | 1,541,068 |
Series 5072, Class QC, 1.00%, 10/25/2050 | 5,200,574 | 4,006,117 |
FHLMC, STRIPS | ||
Series 343, Class F4, 5.81%, 10/15/2037 (b) | 1,717,943 | 1,692,239 |
Series 328, Class S4, IF, IO, 1.82%, 2/15/2038 (b) | 3,227,516 | 196,258 |
FHLMC, Structured Pass-Through Certificates, Whole Loan | ||
Series T-51, Class 1A, PO, 9/25/2042 | 38,032 | 31,228 |
Series T-54, Class 4A, 4.18%, 2/25/2043 (b) | 686,162 | 618,138 |
First Horizon Mortgage Pass-Through Trust Series 2004-AR6, Class 2A1, 4.73%, 12/25/2034 (b) | 74,648 | 68,510 |
Flagstar Mortgage Trust Series 2019-2, Class A2, 3.50%, 12/25/2049 (a) (b) | 1,387,087 | 1,216,977 |
FNMA Trust, Whole Loan Series 2004-W2, Class 4A, 4.24%, 2/25/2044 (b) | 103,423 | 99,663 |
FNMA, Grantor Trust, Whole Loan | ||
Series 2002-T6, Class A4, 5.11%, 3/25/2041 (b) | 351,177 | 332,841 |
Series 2001-T8, Class A1, 7.50%, 7/25/2041 | 119,125 | 119,711 |
FNMA, REMIC | ||
Series G94-9, Class PJ, 6.50%, 8/17/2024 | 123 | 123 |
Series 2013-43, Class YH, 2.50%, 5/25/2033 | 678,305 | 634,156 |
Series 2004-17, Class BF, 5.79%, 1/25/2034 (b) | 86,565 | 86,420 |
Series 2006-3, Class SB, IF, IO, 1.26%, 7/25/2035 (b) | 78,081 | 798 |
Series 2006-16, Class HZ, 5.50%, 3/25/2036 | 104,837 | 102,765 |
20 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 2006-124, Class FC, 5.79%, 1/25/2037 (b) | 542,981 | 531,203 |
Series 2014-23, Class FA, 5.67%, 10/25/2039 (b) | 7,744,436 | 7,599,188 |
Series 2012-38, Class PA, 2.00%, 9/25/2041 | 814,759 | 744,042 |
Series 2012-93, Class ME, 2.50%, 1/25/2042 | 997,391 | 912,072 |
Series 2012-13, Class FA, 6.02%, 2/25/2042 (b) | 4,841,288 | 4,747,768 |
Series 2012-31, Class FB, 5.99%, 4/25/2042 (b) | 3,840,302 | 3,762,116 |
Series 2013-23, Class KJ, 2.25%, 5/25/2042 | 1,527,463 | 1,377,067 |
Series 2012-119, Class FB, 5.79%, 11/25/2042 (b) | 2,543,000 | 2,462,079 |
Series 2012-139, Class JA, 3.50%, 12/25/2042 | 1,905,066 | 1,771,235 |
Series 2013-6, Class FL, 5.84%, 2/25/2043 (b) | 624,545 | 607,137 |
Series 2014-49, Class AF, 5.68%, 8/25/2044 (b) | 104,671 | 101,536 |
Series 2015-42, Class BF, 5.77%, 6/25/2045 (b) | 2,423,863 | 2,384,254 |
Series 2016-25, Class LA, 3.00%, 7/25/2045 | 6,695,122 | 6,137,417 |
Series 2016-33, Class JA, 3.00%, 7/25/2045 | 2,315,752 | 2,128,246 |
Series 2015-91, Class AF, 5.53%, 12/25/2045 (b) | 2,436,523 | 2,403,169 |
Series 2016-58, Class SA, IO, 1.33%, 8/25/2046 (b) | 6,237,968 | 269,952 |
Series 2017-108, Class PA, 3.00%, 6/25/2047 | 1,463,820 | 1,329,096 |
Series 2017-104, Class LA, 3.00%, 11/25/2047 | 1,019,624 | 909,537 |
Series 2019-38, Class PC, 3.00%, 2/25/2048 | 2,297,623 | 2,101,548 |
Series 2019-77, Class FP, 5.99%, 1/25/2050 (b) | 9,252,507 | 9,009,067 |
Series 2014-66, Class WF, 5.81%, 10/25/2054 (b) | 998,979 | 988,406 |
Series 2019-74, Class BF, 5.99%, 12/25/2059 (b) | 4,437,864 | 4,310,778 |
FNMA, REMIC Trust, Whole Loan | ||
Series 2003-W4, Class 5A, 4.05%, 10/25/2042 (b) | 333,863 | 320,468 |
Series 2003-W15, Class 3A, 4.60%, 12/25/2042 (b) | 360,470 | 336,935 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2003-W1, Class 2A, 5.28%, 12/25/2042 (b) | 109,434 | 104,431 |
Series 2009-W1, Class A, 6.00%, 12/25/2049 | 118,202 | 120,471 |
GNMA | ||
Series 2011-158, Class EB, 4.00%, 12/20/2026 | 1,906,661 | 1,866,191 |
Series 2010-166, Class GP, 3.00%, 4/20/2039 | 167,144 | 164,842 |
Series 2012-61, Class FM, 5.84%, 5/16/2042 (b) | 3,379,959 | 3,338,657 |
Series 2012-H21, Class FA, 5.96%, 7/20/2062 (b) | 795,878 | 792,614 |
Series 2012-H29, Class FA, 5.98%, 10/20/2062 (b) | 664,718 | 662,502 |
Series 2013-H16, Class FA, 6.00%, 7/20/2063 (b) | 1,789,815 | 1,783,448 |
Series 2014-H07, Class FC, 6.06%, 5/20/2064 (b) | 8,569,003 | 8,545,194 |
Series 2014-H11, Class JA, 5.96%, 6/20/2064 (b) | 1,980,281 | 1,970,917 |
Series 2014-H17, Class FM, 5.94%, 8/20/2064 (b) | 6,301,979 | 6,273,713 |
Series 2015-H03, Class FD, 6.10%, 1/20/2065 (b) | 3,523,915 | 3,498,433 |
Series 2015-H04, Class FL, 5.93%, 2/20/2065 (b) | 5,448,862 | 5,426,921 |
Series 2015-H12, Class FJ, 5.89%, 5/20/2065 (b) | 2,817,582 | 2,805,372 |
Series 2015-H14, Class FB, 5.89%, 5/20/2065 (b) | 2,850,286 | 2,837,982 |
Series 2015-H12, Class FA, 5.94%, 5/20/2065 (b) | 3,831,782 | 3,817,687 |
Series 2015-H15, Class FB, 6.06%, 6/20/2065 (b) | 5,682,841 | 5,644,275 |
Series 2015-H19, Class FN, 5.90%, 7/20/2065 (b) | 5,816,414 | 5,787,975 |
Series 2015-H23, Class TA, 5.93%, 9/20/2065 (b) | 8,365,743 | 8,327,571 |
GSAA Trust Series 2004-CW1, Class 1A1, 5.50%, 4/1/2034 | 353,631 | 326,374 |
GSR Mortgage Loan Trust Series 2004-10F, Class 7A1, 5.50%, 9/25/2034 | 64,388 | 61,520 |
Impac CMB Trust | ||
Series 2004-6, Class 1A2, 6.22%, 10/25/2034 (b) | 29,789 | 28,941 |
Series 2005-5, Class A1, 6.08%, 8/25/2035 (b) | 277,251 | 251,715 |
21 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
IndyMac INDA Mortgage Loan Trust Series 2007-AR1, Class 1A1, 3.72%, 3/25/2037 (b) | 193,966 | 140,293 |
JPMorgan Mortgage Trust Series 2003-A1, Class 1A1, 4.69%, 10/25/2033 (b) | 18,344 | 16,574 |
MASTR Adjustable Rate Mortgages Trust | ||
Series 2004-13, Class 2A1, 5.95%, 4/21/2034 (b) | 51,768 | 48,654 |
Series 2004-13, Class 3A7B, 6.80%, 11/21/2034 (b) | 167,716 | 154,826 |
MASTR Seasoned Securitization Trust Series 2003-1, Class 3A2, 5.84%, 2/25/2033 (b) | 33,833 | 31,882 |
Mellon Residential Funding Corp. Mortgage Pass-Through Certificates | ||
Series 2002-TBC1, Class B1, 6.43%, 9/15/2030 (b) | 11,481 | 10,664 |
Series 2002-TBC1, Class B2, 6.83%, 9/15/2030 (b) | 4,730 | 3,736 |
Series 2001-TBC1, Class B1, 6.31%, 11/15/2031 (b) | 51,699 | 47,110 |
Merrill Lynch Mortgage Investors Trust | ||
Series 2004-D, Class A1, 6.10%, 9/25/2029 (b) | 72,432 | 68,556 |
Series 2004-1, Class 2A3, 5.07%, 12/25/2034 (b) | 58,747 | 52,864 |
Metlife Securitization Trust | ||
Series 2017-1A, Class A, 3.00%, 4/25/2055 (a) (b) | 551,872 | 515,338 |
Series 2018-1A, Class A, 3.75%, 3/25/2057 (a) (b) | 1,698,685 | 1,600,430 |
Morgan Stanley Dean Witter Capital I, Inc. Trust | ||
Series 2003-HYB1, Class A4, 6.32%, 3/25/2033 (b) | 36,909 | 31,565 |
Series 2003-HYB1, Class B1, 6.32%, 3/25/2033 (b) | 36,238 | 19,558 |
Morgan Stanley Mortgage Loan Trust | ||
Series 2004-3, Class 4A, 5.64%, 4/25/2034 (b) | 542,866 | 528,388 |
Series 2004-5AR, Class 3A3, 5.54%, 7/25/2034 (b) | 67,348 | 59,567 |
Series 2004-5AR, Class 3A5, 5.54%, 7/25/2034 (b) | 379,536 | 350,326 |
Series 2004-11AR, Class 1A2A, 5.75%, 1/25/2035 (b) | 168,952 | 155,145 |
MRFC Mortgage Pass-Through Trust Series 2002-TBC2, Class B1, 6.28%, 8/15/2032 (b) | 29,928 | 26,904 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
NAAC Reperforming Loan REMIC Trust Certificates Series 2004-R3, Class AF, 5.89%, 2/25/2035 (a) (b) | 503,385 | 399,325 |
New Residential Mortgage Loan Trust Series 2018-4A, Class A1S, 6.19%, 1/25/2048 (a) (b) | 1,057,944 | 1,020,584 |
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-A3, Class A1, 5.50%, 8/25/2033 (c) | 123,139 | 120,309 |
Prime Mortgage Trust Series 2005-2, Class 2A1, 5.88%, 10/25/2032 (b) | 169,474 | 165,773 |
PRPM LLC Series 2020-6, Class A1, 5.36%, 11/25/2025 (a) (c) | 1,780,685 | 1,776,184 |
RFMSI Trust | ||
Series 2005-SA2, Class 2A2, 5.26%, 6/25/2035 (b) | 298,745 | 279,385 |
Series 2006-SA4, Class 2A1, 5.55%, 11/25/2036 (b) | 140,391 | 119,647 |
Seasoned Credit Risk Transfer Trust Series 2020-1, Class M55G, 3.00%, 8/25/2059 | 6,907,478 | 6,159,410 |
Sequoia Mortgage Trust | ||
Series 11, Class A, 6.33%, 12/20/2032 (b) | 7,051 | 6,145 |
Series 2003-3, Class A2, 6.38%, 7/20/2033 (b) | 57,357 | 50,063 |
Series 2004-11, Class A2, 6.44%, 12/20/2034 (b) | 245,228 | 208,262 |
Structured Asset Mortgage Investments II Trust Series 2004-AR1, Class 1A1, 6.13%, 3/19/2034 (b) | 24,960 | 22,748 |
Structured Asset Mortgage Investments Trust Series 2002-AR2, Class A3, 6.18%, 7/19/2032 (b) | 109,107 | 72,775 |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates | ||
Series 2003-24A, Class 2A, 6.97%, 7/25/2033 (b) | 239,411 | 226,260 |
Series 2003-40A, Class 4A, 7.75%, 1/25/2034 (b) | 112,744 | 103,303 |
Thornburg Mortgage Securities Trust Series 2004-4, Class 5A, 3.04%, 12/25/2044 (b) | 1,218,366 | 1,032,643 |
Towd Point Mortgage Trust Series 2018-4, Class A1, 3.00%, 6/25/2058 (a) (b) | 2,805,890 | 2,595,717 |
WaMu Mortgage Pass-Through Certificates Trust | ||
Series 2004-AR3, Class A1, 4.56%, 6/25/2034 (b) | 234,077 | 210,073 |
Series 2004-AR11, Class A, 5.96%, 10/25/2034 (b) | 116,822 | 110,311 |
Total Collateralized Mortgage Obligations (Cost $217,092,157) | 209,044,229 |
22 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — 10.1% | ||
FHLMC Gold Pools, Other Pool # U49009, 3.00%, 8/1/2028 | 733,606 | 707,071 |
FHLMC UMBS, 30 Year | ||
Pool # RA2459, 4.00%, 4/1/2050 | 4,827,564 | 4,484,615 |
Pool # RA2904, 3.00%, 6/1/2050 | 4,587,454 | 3,969,420 |
Pool # RA2970, 2.50%, 7/1/2050 | 5,324,246 | 4,405,474 |
Pool # SD1787, 5.00%, 10/1/2052 | 3,468,019 | 3,443,386 |
Pool # SD8277, 5.50%, 12/1/2052 | 4,556,132 | 4,517,226 |
FNMA UMBS, 15 Year Pool # AD1969, 4.00%, 2/1/2025 | 77,748 | 76,961 |
FNMA UMBS, 20 Year | ||
Pool # MA1338, 3.00%, 2/1/2033 | 804,282 | 752,276 |
Pool # MA1401, 3.00%, 4/1/2033 | 313,642 | 292,988 |
Pool # MA1490, 3.00%, 7/1/2033 | 1,039,919 | 971,125 |
FNMA UMBS, 30 Year | ||
Pool # 995724, 6.00%, 4/1/2039 | 142,417 | 146,900 |
Pool # AD0588, 5.00%, 12/1/2039 | 685,880 | 680,569 |
Pool # AD9721, 5.50%, 8/1/2040 | 168,663 | 168,635 |
Pool # BM3048, 4.00%, 10/1/2042 | 2,965,047 | 2,821,503 |
Pool # AS4592, 4.00%, 2/1/2045 | 5,085,783 | 4,787,826 |
Pool # BM5560, 4.00%, 1/1/2046 | 3,466,195 | 3,298,426 |
Pool # CA0411, 4.00%, 9/1/2047 | 3,348,142 | 3,185,904 |
Pool # CA2489, 4.50%, 10/1/2048 | 600,702 | 571,101 |
Pool # BP7345, 3.00%, 6/1/2050 | 6,100,579 | 5,273,842 |
Pool # BQ7436, 3.00%, 9/1/2051 | 4,284,099 | 3,673,331 |
Pool # BQ7454, 3.00%, 12/1/2051 | 5,752,151 | 4,934,447 |
Pool # FS2898, 4.50%, 9/1/2052 | 5,388,707 | 5,104,848 |
Pool # FS3051, 5.00%, 10/1/2052 | 3,417,761 | 3,393,485 |
Pool # CB4839, 5.50%, 10/1/2052 | 3,640,061 | 3,612,039 |
FNMA, Other Pool # BK7908, 4.00%, 11/1/2048 | 260,301 | 239,588 |
GNMA I, 15 Year Pool # 723171, 4.50%, 10/15/2024 | 22,780 | 22,648 |
GNMA II, 30 Year Pool # CG5224, 3.50%, 8/20/2051 | 8,823,987 | 7,874,277 |
Total Mortgage-Backed Securities (Cost $82,845,786) | 73,409,911 | |
Commercial Mortgage-Backed Securities — 9.6% | ||
20 Times Square Trust Series 2018-20TS, Class A, 3.10%, 5/15/2035 (a) (b) | 1,883,802 | 1,727,494 |
BAMLL Commercial Mortgage Securities Trust Series 2015-200P, Class A, 3.22%, 4/14/2033 (a) | 3,500,000 | 3,365,786 |
BANK Series 2021-BN35, Class A2, 1.87%, 6/15/2064 | 2,650,000 | 2,419,911 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Bayview Commercial Asset Trust | ||
Series 2005-2A, Class A2, 5.96%, 8/25/2035 (a) (b) | 359,020 | 334,549 |
Series 2005-2A, Class M1, 6.08%, 8/25/2035 (a) (b) | 71,704 | 67,055 |
Series 2007-3, Class A2, 5.87%, 7/25/2037 (a) (b) | 351,367 | 316,619 |
BBCMS Mortgage Trust Series 2020-C7, Class A2, 2.02%, 4/15/2053 | 1,000,000 | 923,094 |
BBCMS Trust Series 2015-VFM, Class A1, 2.47%, 3/10/2036 (a) | 685,602 | 655,505 |
BHMS Series 2018-ATLS, Class A, 6.86%, 7/15/2035 (a) (b) | 6,000,000 | 5,980,899 |
BX Series 2021-MFM1, Class A, 6.13%, 1/15/2034 (a) (b) | 3,065,047 | 3,042,059 |
BX Trust | ||
Series 2021-BXMF, Class A, 6.07%, 10/15/2026 (a) (b) | 7,507,721 | 7,418,567 |
Series 2021-LBA, Class AJV, 6.23%, 2/15/2036 (a) (b) | 6,500,000 | 6,455,312 |
Commercial Mortgage Trust Series 2020-CBM, Class A1, 2.24%, 2/10/2037 (a) (b) | 6,000,000 | 5,748,106 |
FHLMC, Multi-Family Structured Credit Risk Series 2021-MN1, Class M1, 7.32%, 1/25/2051 (a) (b) | 152,541 | 149,099 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series Q007, Class APT2, 3.47%, 10/25/2047 (b) | 964,505 | 948,845 |
Series Q013, Class APT1, 2.05%, 5/25/2050 (b) | 2,653,092 | 2,574,026 |
ILPT Commercial Mortgage Trust Series 2022-LPF2, Class A, 7.56%, 10/15/2039 (a) (b) | 3,000,000 | 2,998,116 |
OAKST Commercial Mortgage Trust Series 2023-NLP, Class A, 6.09%, 3/15/2040 (a) (b) | 2,000,000 | 2,008,310 |
One Bryant Park Trust Series 2019-OBP, Class A, 2.52%, 9/15/2054 (a) | 5,000,000 | 4,265,818 |
ONE Mortgage Trust Series 2021-PARK, Class A, 6.13%, 3/15/2036 (a) (b) | 7,000,000 | 6,816,250 |
SMR Mortgage Trust Series 2022-IND, Class A, 6.97%, 2/15/2039 (a) (b) | 7,421,798 | 7,218,778 |
STWD Mortgage Trust (Cayman Islands) Series 2021-LIH, Class B, 7.09%, 11/15/2036 (a) (b) | 2,300,000 | 2,267,656 |
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a) | 36,602 | 33,610 |
23 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Wells Fargo Commercial Mortgage Trust Series 2021-SAVE, Class A, 6.58%, 2/15/2040 (a) (b) | 2,158,874 | 2,145,405 |
Total Commercial Mortgage-Backed Securities (Cost $72,168,431) | 69,880,869 | |
Corporate Bonds — 3.7% | ||
Banks — 1.7% | ||
BNP Paribas SA (France) (SOFR + 1.00%), 1.32%, 1/13/2027 (a) (d) | 6,470,000 | 5,983,886 |
Sumitomo Mitsui Financial Group, Inc. (Japan) 0.95%, 1/12/2026 | 2,900,000 | 2,680,106 |
Truist Financial Corp. 1.20%, 8/5/2025 | 4,000,000 | 3,761,951 |
12,425,943 | ||
Capital Markets — 0.6% | ||
Credit Suisse AG (Switzerland) 7.95%, 1/9/2025 | 4,000,000 | 4,071,473 |
Diversified Telecommunication Services — 0.5% | ||
AT&T, Inc. 1.65%, 2/1/2028 | 4,335,000 | 3,814,374 |
Independent Power and Renewable Electricity Producers — 0.2% | ||
Southern Power Co. 0.90%, 1/15/2026 | 1,780,000 | 1,638,880 |
Insurance — 0.7% | ||
Protective Life Global Funding 1.17%, 7/15/2025 (a) | 5,190,000 | 4,903,458 |
Total Corporate Bonds (Cost $28,665,620) | 26,854,128 | |
SHARES | ||
Short-Term Investments — 9.8% | ||
Investment Companies — 9.8% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (e) (f) (Cost $71,403,879) | 71,372,325 | 71,408,011 |
Total Investments — 99.7% (Cost $754,176,808) | 724,824,837 | |
Other Assets Less Liabilities — 0.3% | 2,446,010 | |
NET ASSETS — 100.0% | 727,270,847 |
Percentages indicated are based on net assets. |
Abbreviations | |
CLO | Collateralized Loan Obligations |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of February 29, 2024. 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. |
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 |
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 |
‡ | 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, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 29, 2024. |
(c) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2024. |
(d) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2024. |
(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 29, 2024. |
24 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — 87.2% (a) | ||
Alabama — 1.0% | ||
County of Jefferson | ||
Series 2024, Rev., 5.00%, 10/1/2035 | 1,000,000 | 1,142,845 |
Series 2024, Rev., 5.25%, 10/1/2049 | 1,000,000 | 1,073,991 |
Total Alabama | 2,216,836 | |
Alaska — 0.1% | ||
Alaska Housing Finance Corp., General Mortgage Series 2016A, Rev., 3.50%, 6/1/2046 | 185,000 | 183,562 |
Arizona — 4.1% | ||
Arizona Industrial Development Authority, Aliante and Skye Canyon Campus Project Series 2021A, Rev., 4.00%, 12/15/2051 (b) | 250,000 | 191,068 |
Arizona Industrial Development Authority, Doral Academy of Nevada - Pebble Campus Project Series 2020A, Rev., 4.00%, 7/15/2030 (b) | 250,000 | 245,274 |
Arizona Industrial Development Authority, Equitable School Revolving Fund LLC Series 2022A, Rev., 5.00%, 11/1/2037 | 900,000 | 995,644 |
Arizona Industrial Development Authority, KIPP Nashville Project | ||
Series 2022A, Rev., 5.00%, 7/1/2030 | 245,000 | 264,349 |
Series 2022A, Rev., 5.00%, 7/1/2031 | 260,000 | 279,805 |
Series 2022A, Rev., 5.00%, 7/1/2032 | 270,000 | 289,788 |
Arizona Industrial Development Authority, Macombs Facility Project Series 2021A, Rev., 4.00%, 7/1/2036 | 155,000 | 153,793 |
Industrial Development Authority of the County of Pima (The), La Posada at Pusch Ridge Project Series 2022B-3, Rev., 5.13%, 11/15/2029 (b) | 750,000 | 756,311 |
La Paz County Industrial Development Authority, Harmony Public School Project Series 2021A, Rev., 4.00%, 2/15/2041 | 420,000 | 372,535 |
Maricopa County Industrial Development Authority, Arizona Autism Charter School Project Series 2021A, Rev., 4.00%, 7/1/2041 (b) | 935,000 | 792,591 |
Maricopa County Industrial Development Authority, Banner Health Series A, Rev., 4.00%, 1/1/2041 | 4,450,000 | 4,458,655 |
Maricopa County Industrial Development Authority, HonorHealth Series 2019A, Rev., 5.00%, 9/1/2032 | 200,000 | 214,466 |
Total Arizona | 9,014,279 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
California — 6.7% | ||
California Community Choice Financing Authority, Clean Energy Project | ||
Series 2023B-1, Rev., 5.00%, 8/1/2029 (c) | 1,090,000 | 1,149,118 |
Series 2024 A, Rev., 5.00%, 4/1/2032 (c) | 2,000,000 | 2,146,617 |
California Community Housing Agency, Fountains at Emerald Park Series 2021A-2, Rev., 4.00%, 8/1/2046 (b) | 300,000 | 258,738 |
California Community Housing Agency, Glendale Properties Series 2021A-2, Rev., 4.00%, 8/1/2047 (b) | 500,000 | 406,446 |
California Enterprise Development Authority, Riverside County, Rocketship Public Schools-Obligated Group No. 2 Series 2022A, Rev., 4.00%, 6/1/2027 (b) | 300,000 | 292,154 |
California Infrastructure and Economic Development Bank, Brightline West Passenger Rail Project Series 2020A, Rev., AMT, 3.95%, 1/30/2025 (b) (c) | 1,100,000 | 1,099,847 |
California Infrastructure and Economic Development Bank, California Academy of Science Series 2024A, Rev., 3.25%, 8/1/2029 (d) | 2,000,000 | 2,018,034 |
California Infrastructure and Economic Development Bank, Equitable School Revolving Fund LLC Series 2022B, Rev., 5.00%, 11/1/2034 | 210,000 | 239,418 |
California Municipal Finance Authority, Eisenhower Medical Center Series 2017B, Rev., 5.00%, 7/1/2026 | 410,000 | 421,748 |
California Pollution Control Financing Authority, Poseidon Resources Channelside LP Desalination Project | ||
Rev., AMT, 5.00%, 7/1/2036 (b) | 250,000 | 269,286 |
Rev., AMT, 5.00%, 7/1/2037 (b) | 1,100,000 | 1,176,898 |
Rev., AMT, 5.00%, 7/1/2038 (b) | 500,000 | 531,763 |
California Public Finance Authority, Enso Village Project Series 2021B-3, Rev., 2.13%, 11/15/2027 (b) | 115,000 | 114,491 |
California School Finance Authority, Green Dot Public Schools Project Series 2022A, Rev., 5.00%, 8/1/2032 (b) | 350,000 | 367,403 |
California School Finance Authority, Kipp SoCal Public Schools Series 2019A, Rev., 5.00%, 7/1/2039 (b) | 500,000 | 513,768 |
California Statewide Communities Development Authority, Emanate Health, Tax-Exempt Series 2020A, Rev., 3.00%, 4/1/2050 | 2,645,000 | 1,983,361 |
California Statewide Communities Development Authority, Front Porch Communities Series 2021A, Rev., 4.00%, 4/1/2039 | 1,000,000 | 1,002,252 |
25 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
California — continued | ||
CSCDA Community Improvement Authority, Essential Housing, Towne at Glendale Apartments Series 2022B, Rev., 5.00%, 9/1/2037 (b) | 175,000 | 179,133 |
River Islands Public Financing Authority, Facilities District No. 2003 Series 2022A-1, AGM, 5.00%, 9/1/2028 | 230,000 | 252,040 |
State of California, Department of Veterans Affairs, Farm and Home Purchase Program Series 2016B, Rev., 3.50%, 12/1/2045 | 145,000 | 144,150 |
Total California | 14,566,665 | |
Colorado — 3.4% | ||
Aspen Fire Protection District | ||
COP, 4.00%, 12/1/2034 | 200,000 | 207,902 |
COP, 4.00%, 12/1/2035 | 225,000 | 232,855 |
COP, 4.00%, 12/1/2036 | 350,000 | 359,030 |
Colorado Educational and Cultural Facilities Authority, Aspen View Academy Project Rev., 4.00%, 5/1/2031 | 30,000 | 29,380 |
Colorado Educational and Cultural Facilities Authority, Global Village Academy Northglenn Project Rev., 4.00%, 12/1/2030 (b) | 510,000 | 469,792 |
Colorado Educational and Cultural Facilities Authority, Vega Collegiate Academy Project Series 2021A, Rev., 5.00%, 2/1/2034 (b) | 300,000 | 300,619 |
Colorado Housing and Finance Authority Series 2023L, Class III, Rev., GNMA COLL, 5.75%, 11/1/2053 | 2,500,000 | 2,672,449 |
Colorado Housing and Finance Authority, Single Family Mortgage | ||
Series 2019F, Rev., GNMA COLL, 4.25%, 11/1/2049 | 165,000 | 165,172 |
Series 2020H, Rev., GNMA COLL, 3.00%, 5/1/2050 | 695,000 | 677,219 |
Series 2020B, Rev., 3.75%, 5/1/2050 | 1,230,000 | 1,216,624 |
Dominion Water and Sanitation District | ||
Rev., 5.00%, 12/1/2027 | 590,000 | 591,101 |
Rev., 5.25%, 12/1/2032 | 500,000 | 510,320 |
Total Colorado | 7,432,463 | |
Connecticut — 0.9% | ||
Connecticut Housing Finance Authority, Housing Mortgage Finance Program | ||
Series A-1, Rev., 4.00%, 11/15/2045 | 40,000 | 39,907 |
Series A-1, Rev., 4.00%, 11/15/2047 | 110,000 | 109,475 |
Series D-1, Rev., GNMA / FNMA / FHLMC, 4.00%, 11/15/2047 | 350,000 | 348,330 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Connecticut — continued | ||
Connecticut State Health and Educational Facilities Authority, Yale New Haven Health Series B, Rev., 1.80%, 7/1/2024 (c) | 225,000 | 223,125 |
Connecticut State Higher Education Supplemental Loan Authority, CHESLA Loan Program Series 2019B, Rev., AMT, 5.00%, 11/15/2027 | 250,000 | 260,868 |
Stamford Housing Authority, The Dogwoods Project Rev., BAN, 11.00%, 12/1/2027 (b) | 1,000,000 | 971,245 |
Total Connecticut | 1,952,950 | |
Delaware — 1.1% | ||
Delaware State Health Facilities Authority, Beebe Medical Center Project Rev., 5.00%, 6/1/2034 | 2,200,000 | 2,292,629 |
District of Columbia — 1.3% | ||
District of Columbia, Two Rivers Public Charter School, Inc. Rev., 5.00%, 6/1/2050 | 1,500,000 | 1,381,357 |
District of Columbia, Water and Sewer Authority, Public Utility, Subordinate Lien Series A, Rev., 5.00%, 10/1/2045 | 1,500,000 | 1,517,127 |
Total District of Columbia | 2,898,484 | |
Florida — 5.5% | ||
Florida Development Finance Corp., Central Charter School Project | ||
Series 2022, Rev., 5.25%, 8/15/2037 (b) | 350,000 | 341,100 |
Series 2022, Rev., 5.63%, 8/15/2042 (b) | 1,515,000 | 1,480,125 |
Florida Development Finance Corp., Educational Facilities, River City Science Academy Projects Series 2022B, Rev., 5.00%, 7/1/2031 | 165,000 | 172,945 |
Florida Development Finance Corp., Idea Florida, Inc., Jacksonville IV Project Rev., 5.25%, 6/15/2029 (b) | 300,000 | 305,762 |
Lee County Industrial Development Authority, Cypress Cove at Healthpeak Florida, Inc., Project Series 2022B2, Rev., 3.25%, 10/1/2026 | 500,000 | 481,307 |
Lee County School Board (The) | ||
Series A, COP, 5.00%, 8/1/2042 | 2,715,000 | 3,008,777 |
Series 2023A, COP, 4.00%, 8/1/2048 | 500,000 | 487,127 |
Lee Memorial Health System Series A-1, Rev., 5.00%, 4/1/2036 | 1,000,000 | 1,073,044 |
Middleton Community Development District A, City of Wildwood, Florida Special Assessment 5.85%, 5/1/2037 | 500,000 | 525,600 |
26 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Florida — continued | ||
Palm Beach County Health Facilities Authority, Jupiter Medical Center Series 2022, Rev., 5.00%, 11/1/2047 | 500,000 | 513,046 |
Palm Beach County School District Series 2023A, COP, 5.00%, 8/1/2040 | 2,865,000 | 3,263,846 |
Village Community Development District No. 15 4.25%, 5/1/2028 (b) | 350,000 | 351,852 |
Total Florida | 12,004,531 | |
Georgia — 2.3% | ||
Cherokee County Water and Sewer Authority | ||
Series 2023, Rev., 5.00%, 8/1/2035 | 135,000 | 161,919 |
Series 2023, Rev., 5.00%, 8/1/2036 | 165,000 | 195,569 |
Series 2023, Rev., 5.00%, 8/1/2037 | 135,000 | 158,515 |
Series 2023, Rev., 5.00%, 8/1/2039 | 375,000 | 433,650 |
Columbus Medical Center Hospital Authority, Piedmont Healthcare Inc., Project Series 2019B, Rev., 5.00%, 7/1/2029 (c) | 500,000 | 538,020 |
Gainesville and Hall County Hospital Authority, Northeast Georgia Health System, Inc., Project Series A, Rev., 5.00%, 2/15/2026 | 860,000 | 886,359 |
Georgia Housing and Finance Authority, Single Family Mortgage | ||
Series 2017A, Rev., 4.00%, 12/1/2047 | 170,000 | 169,249 |
Series 2017B, Rev., 4.00%, 12/1/2047 | 360,000 | 358,303 |
Main Street Natural Gas, Inc., Gas Supply Series 2022B, Rev., 5.00%, 6/1/2029 (c) | 2,050,000 | 2,154,390 |
Total Georgia | 5,055,974 | |
Illinois — 5.3% | ||
City of Aurora, Single Family Mortgage | ||
Series 2007B, Rev., GNMA / FNMA / FHLMC, 5.45%, 12/1/2039 | 39,974 | 39,931 |
Series 2007-A, Rev., AMT, GNMA / FNMA / FHLMC, 5.50%, 12/1/2039 | 45,752 | 45,734 |
City of Chicago, Waterworks, Second Lien | ||
Series 2023B, Rev., AGM, 5.00%, 11/1/2035 | 500,000 | 573,216 |
Series 2023B, Rev., AGM, 5.00%, 11/1/2039 | 1,500,000 | 1,680,202 |
Series 2023B, Rev., AGM, 4.00%, 11/1/2040 | 665,000 | 675,753 |
Illinois Finance Authority, Lake Forest College | ||
Series 2022A, Rev., 5.00%, 10/1/2032 | 215,000 | 228,842 |
Series 2022A, Rev., 5.00%, 10/1/2035 | 475,000 | 500,657 |
Series 2022A, Rev., 5.50%, 10/1/2039 | 380,000 | 401,161 |
Illinois Finance Authority, Plymouth Place, Inc. | ||
Series 2022B-2, Rev., 5.25%, 3/25/2024 | 40,000 | 39,824 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Illinois — continued | ||
Series 2022B-1, Rev., 6.00%, 11/15/2027 | 100,000 | 100,022 |
Illinois Housing Development Authority Series 2024 A, Rev., GNMA / FNMA / FHLMC, 6.00%, 10/1/2054 (d) | 1,000,000 | 1,090,612 |
Illinois Housing Development Authority, Homeowner Mortgage Series C, Rev., 3.50%, 8/1/2046 | 280,000 | 276,596 |
State of Illinois Series 2023B, GO, 4.50%, 5/1/2048 | 160,000 | 159,054 |
Will County Forest Preservation District, Limited Tax | ||
GO, 5.00%, 12/15/2035 | 1,170,000 | 1,307,279 |
GO, 5.00%, 12/15/2036 | 1,460,000 | 1,622,092 |
GO, 4.00%, 12/15/2037 | 1,000,000 | 1,015,318 |
Will County School District No. 86 Joliet | ||
Series 2024, GO, 5.00%, 3/1/2036 | 275,000 | 312,772 |
Series 2024, GO, 5.00%, 3/1/2037 | 300,000 | 338,505 |
Series 2024, GO, 5.00%, 3/1/2042 | 1,000,000 | 1,085,792 |
Total Illinois | 11,493,362 | |
Indiana — 2.1% | ||
City of Goshen, Multi-Family, Green Oaks of Goshen Project Series 2021A, Rev., 5.00%, 8/1/2041 (b) | 500,000 | 407,616 |
City of Jeffersonville, Vivera Senior Living of Jeffersonville Project Series 2020A, Rev., 4.75%, 11/1/2030 (b) | 570,000 | 505,121 |
County of St. Joseph, Economic Development, St. Mary's College Project Series 2017A, Rev., 5.00%, 4/1/2026 | 1,880,000 | 1,934,159 |
Indiana Finance Authority, CHF- Tippecanoe LLC- Student Housing Project Series 2023A, Rev., 5.00%, 6/1/2053 | 150,000 | 155,092 |
Indiana Finance Authority, DePauw University Series 2022A, Rev., 5.00%, 7/1/2032 | 350,000 | 380,515 |
Indiana Housing and Community Development Authority, Single Family Mortgage Series 2020A, Rev., 3.75%, 1/1/2049 | 590,000 | 583,499 |
Indiana Housing and Community Development Authority, Vita of Marion Project Series 2021B, Rev., 4.00%, 4/1/2024 | 500,000 | 499,124 |
Total Indiana | 4,465,126 | |
Iowa — 0.8% | ||
Iowa Finance Authority, Senior Living Facility, Sunrise Retirement Community Project | ||
Rev., 5.00%, 9/1/2028 | 195,000 | 185,726 |
Rev., 5.00%, 9/1/2030 | 110,000 | 102,309 |
Rev., 5.00%, 9/1/2031 | 105,000 | 96,475 |
27 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Iowa — continued | ||
Rev., 5.00%, 9/1/2036 | 445,000 | 387,801 |
Iowa Student Loan Liquidity Corp., Student Loan Series 2015A, Rev., AMT, 5.00%, 12/1/2025 | 1,000,000 | 1,018,561 |
Total Iowa | 1,790,872 | |
Kansas — 0.1% | ||
City of Topeka, Kansas Health Care Facilities Series 2022B, Rev., 5.13%, 12/1/2026 | 250,000 | 249,317 |
Kentucky — 0.5% | ||
Kentucky Public Energy Authority Series 2024A, Rev., 5.00%, 7/1/2030 (c) | 1,000,000 | 1,049,575 |
Louisiana — 1.1% | ||
Louisiana Local Government Environmental Facilities and Community Development Authority, LCTCS Act 391 Project Rev., 5.00%, 10/1/2028 | 670,000 | 727,922 |
Louisiana Public Facilities Authority, Lincoln Preparatory School Project | ||
Series 2021A, Rev., 5.00%, 6/1/2031 (b) | 450,000 | 435,887 |
Series 2021A, Rev., 5.00%, 6/1/2041 (b) | 525,000 | 454,789 |
Louisiana Public Facilities Authority, Mentorship Steam Academy Project | ||
Series 2021A, Rev., 5.00%, 6/1/2036 (b) | 385,000 | 346,961 |
Series 2021A, Rev., 5.00%, 6/1/2042 (b) | 440,000 | 376,321 |
Total Louisiana | 2,341,880 | |
Maine — 0.2% | ||
City of Portland, General Airport Rev., 5.00%, 1/1/2031 | 370,000 | 413,552 |
Maine State Housing Authority, Mortgage Purchase Series 2016A, Rev., 4.00%, 11/15/2045 | 20,000 | 19,960 |
Total Maine | 433,512 | |
Maryland — 0.7% | ||
County of Baltimore, Riderwood Village, Inc., Project | ||
Rev., 4.00%, 1/1/2032 | 475,000 | 479,781 |
Rev., 4.00%, 1/1/2033 | 600,000 | 605,459 |
Montgomery County Housing Opportunities Commission, Single Family Mortgage Series A, Rev., 4.00%, 7/1/2048 | 470,000 | 467,737 |
Total Maryland | 1,552,977 | |
Massachusetts — 3.4% | ||
Massachusetts Clean Water Trust (The), Poll Program Rev., 5.25%, 8/1/2024 | 1,500,000 | 1,512,766 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Massachusetts — continued | ||
Massachusetts Development Finance Agency, Boston Medical Center Issue | ||
Series 2023G, Rev., 5.25%, 7/1/2048 | 1,000,000 | 1,087,133 |
Series 2023G, Rev., 4.38%, 7/1/2052 | 700,000 | 694,883 |
Massachusetts Development Finance Agency, Salem Community Corp. | ||
Rev., 5.00%, 1/1/2026 | 285,000 | 282,244 |
Rev., 5.00%, 1/1/2027 | 305,000 | 301,349 |
Rev., 5.00%, 1/1/2028 | 265,000 | 260,375 |
Rev., 5.00%, 1/1/2029 | 500,000 | 489,079 |
Rev., 5.00%, 1/1/2031 | 240,000 | 232,831 |
Rev., 5.13%, 1/1/2040 | 510,000 | 470,151 |
Massachusetts Development Finance Agency, Southcoast Health System Obligated Group Issue | ||
Series 2021G, Rev., 5.00%, 7/1/2029 | 150,000 | 162,919 |
Series 2021G, Rev., 5.00%, 7/1/2030 | 150,000 | 165,233 |
Massachusetts Health and Educational Facilities Authority, Massachusetts Institute of Technology Series L, Rev., 5.25%, 7/1/2033 | 820,000 | 1,022,077 |
Massachusetts Housing Finance Agency, Single Family Housing | ||
Series 183, Rev., 3.50%, 12/1/2046 | 50,000 | 49,543 |
Series 214, Rev., GNMA / FNMA / FHLMC, 3.75%, 12/1/2049 | 745,000 | 738,110 |
Total Massachusetts | 7,468,693 | |
Michigan — 3.0% | ||
City of Detroit, Unlimited Tax | ||
Series 2021A, GO, 5.00%, 4/1/2031 | 215,000 | 230,628 |
Series 2021A, GO, 5.00%, 4/1/2033 | 770,000 | 821,624 |
Series 2023A, GO, 6.00%, 5/1/2039 | 3,225,000 | 3,674,789 |
Eastern Michigan University Series 2017A, Rev., 5.00%, 3/1/2030 | 575,000 | 606,150 |
Michigan Finance Authority, Trinity Health Credit Group Series 2013MI-4, Rev., 4.00%, 12/1/2038 | 1,000,000 | 1,008,782 |
Michigan State Housing Development Authority, Single Family Mortgage Series B, Rev., AMT, 3.50%, 6/1/2047 | 265,000 | 262,251 |
Total Michigan | 6,604,224 | |
Minnesota — 3.0% | ||
City of Ramsey, PACT Charter School Project Series 2022A, Rev., 5.00%, 6/1/2032 | 535,000 | 540,609 |
City of Rochester, Mayo Clinic Series 2022, Rev., 4.00%, 11/15/2039 | 1,425,000 | 1,499,221 |
28 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Minnesota — continued | ||
Minneapolis-St. Paul Housing Finance Board, Single Family Mortgage, City Living Home Programs Series 2007A-2, Rev., GNMA / FNMA / FHLMC, 5.52%, 3/1/2041 | 100,000 | 99,509 |
Minnesota Housing Finance Agency Series 2022M, Rev., GNMA / FNMA / FHLMC COLL, 6.00%, 1/1/2053 | 1,240,000 | 1,324,927 |
Minnesota Housing Finance Agency, Non Profit Housing, State Appropriation | ||
Rev., 5.25%, 8/1/2024 | 1,015,000 | 1,016,927 |
Rev., 5.25%, 8/1/2025 | 1,070,000 | 1,071,769 |
Rev., 5.25%, 8/1/2026 | 825,000 | 826,270 |
Minnesota Housing Finance Agency, Residential Housing Finance Series 2017B, Rev., AMT, GNMA / FNMA / FHLMC COLL, 4.00%, 7/1/2047 | 195,000 | 194,061 |
Total Minnesota | 6,573,293 | |
Mississippi — 0.3% | ||
Mississippi Home Corp., Single Family Mortgage Series 2019A, Rev., GNMA / FNMA / FHLMC, 4.00%, 12/1/2048 | 730,000 | 726,544 |
Missouri — 1.9% | ||
Health and Educational Facilities Authority of the State of Missouri, Mercy Health Series 2018A, Rev., 5.00%, 6/1/2031 | 1,000,000 | 1,082,026 |
Missouri Housing Development Commission, Single Family, First Place Homeownership Loan Program Series 2024 A, Rev., GNMA / FNMA / FHLMC, 5.75%, 5/1/2055 (d) | 1,000,000 | 1,092,125 |
Missouri State Environmental Improvement and Energy Resources Authority, Water Pollution Control and Drinking Water Series 2015 B, Rev., 5.00%, 7/1/2026 | 2,000,000 | 2,050,937 |
Total Missouri | 4,225,088 | |
Nebraska — 0.8% | ||
Madison County Hospital Authority No. 1, Faith Regional Health Services Project | ||
Rev., 5.00%, 7/1/2030 | 1,020,000 | 1,036,514 |
Rev., 5.00%, 7/1/2031 | 720,000 | 731,305 |
Total Nebraska | 1,767,819 | |
Nevada — 0.6% | ||
Carson City Nevada Hospital, Carson Tahoe Regional Healthcare Project | ||
Rev., 5.00%, 9/1/2026 | 555,000 | 571,763 |
Rev., 5.00%, 9/1/2029 | 620,000 | 643,140 |
Total Nevada | 1,214,903 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New Hampshire — 0.7% | ||
City of Manchester, School Facilities Rev., NATL - RE, 5.50%, 6/1/2027 | 900,000 | 973,973 |
New Hampshire Business Finance Authority, Springpoint Senior Living Project | ||
Rev., 4.00%, 1/1/2029 | 300,000 | 288,008 |
Rev., 4.00%, 1/1/2031 | 290,000 | 274,352 |
Total New Hampshire | 1,536,333 | |
New Jersey — 0.8% | ||
Camden County Improvement Authority (The), Camden Prep High School Project | ||
Rev., 4.00%, 7/15/2027 (b) | 215,000 | 213,344 |
Rev., 5.00%, 7/15/2032 (b) | 285,000 | 300,374 |
Rev., 5.00%, 7/15/2042 (b) | 590,000 | 598,907 |
New Jersey Housing and Mortgage Finance Agency, Single Family Housing Series 2018A, Rev., 4.50%, 10/1/2048 | 515,000 | 518,292 |
Total New Jersey | 1,630,917 | |
New Mexico — 0.3% | ||
New Mexico Mortgage Finance Authority, Single Family Mortgage Program Series 2019C, Class I, Rev., GNMA / FNMA / FHLMC, 4.00%, 1/1/2050 | 665,000 | 662,088 |
New York — 4.6% | ||
Build NYC Resource Corp., Global Community Charter School Series 2022A, Rev., 4.00%, 6/15/2032 | 135,000 | 133,493 |
Build NYC Resource Corp., Grand Concourse Academy Charter School | ||
Series 2022A, Rev., 3.40%, 7/1/2027 | 245,000 | 241,279 |
Series 2022A, Rev., 5.00%, 7/1/2042 | 300,000 | 306,642 |
Build NYC Resource Corp., Kipp NYC Public School Facilities - Canal West Project | ||
Rev., 5.00%, 7/1/2029 | 460,000 | 491,949 |
Rev., 5.00%, 7/1/2031 | 535,000 | 582,108 |
Rev., 5.00%, 7/1/2032 | 550,000 | 602,479 |
Monroe County Industrial Development Corp., Academy of Health Sciences Charter School Project Series 2022A, Rev., 5.00%, 7/1/2032 (b) | 250,000 | 250,996 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2024 Series 2024F, Subseries F-1, Rev., 5.25%, 2/1/2053 | 1,000,000 | 1,103,537 |
New York State Dormitory Authority Series 2024, Rev., 5.25%, 7/1/2049 (d) | 2,400,000 | 2,632,176 |
29 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New York — continued | ||
New York Transportation Development Corp., JFK International Airport New Terminal One Project Series 2023, Rev., AMT, AGM, 5.00%, 6/30/2049 | 2,000,000 | 2,098,721 |
State of New York Mortgage Agency, Homeowner Mortgage | ||
Series 197, Rev., 3.50%, 10/1/2044 | 310,000 | 307,157 |
Series 195, Rev., 4.00%, 10/1/2046 | 265,000 | 264,096 |
Westchester County Local Development Corp., Kendal on Hudson Project | ||
Series 2022B, Rev., 5.00%, 1/1/2027 | 110,000 | 111,875 |
Series 2022B, Rev., 5.00%, 1/1/2037 | 265,000 | 274,428 |
Series 2022B, Rev., 5.00%, 1/1/2041 | 250,000 | 254,758 |
Yonkers Economic Development Corp., Charter School of Educational Excellence Project Series 2020A, Rev., 4.00%, 10/15/2030 | 355,000 | 348,512 |
Total New York | 10,004,206 | |
North Carolina — 0.5% | ||
City of Charlotte Series 2023B, Rev., AMT, 5.00%, 7/1/2048 | 570,000 | 604,190 |
North Carolina Housing Finance Agency, Homeownership Series 43, Rev., GNMA / FNMA / FHLMC, 4.00%, 7/1/2050 | 395,000 | 392,723 |
Total North Carolina | 996,913 | |
North Dakota — 0.4% | ||
North Dakota Housing Finance Agency, Home Mortgage Finance Program | ||
Series 2016D, Rev., 3.50%, 7/1/2046 | 150,000 | 148,229 |
Series 2015D, Rev., 4.00%, 7/1/2046 | 180,000 | 179,468 |
Series D, Rev., FHA, 4.00%, 1/1/2048 | 435,000 | 432,905 |
Total North Dakota | 760,602 | |
Ohio — 3.9% | ||
American Municipal Power, Inc., Solar Electricity Prepayment Project Series 2019A, Rev., 5.00%, 2/15/2035 | 825,000 | 896,013 |
Butler County Port Authority, Community First Solutions | ||
Series 2021A, Rev., 4.00%, 5/15/2038 | 110,000 | 108,620 |
Series 2021A, Rev., 4.00%, 5/15/2039 | 115,000 | 112,142 |
Series 2021A, Rev., 4.00%, 5/15/2040 | 115,000 | 111,537 |
Series 2021A, Rev., 4.00%, 5/15/2041 | 125,000 | 120,378 |
Jefferson County Port Authority, JSW Steel USA Ohio, Inc., Project Series 2023, Rev., 5.00%, 12/1/2028 (b) (c) | 1,000,000 | 1,015,261 |
Lakota Local School District Series A, GO, NATL - RE, 5.25%, 12/1/2025 | 1,500,000 | 1,559,017 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Ohio — continued | ||
Northeast Ohio Medical University | ||
Series 2021A, Rev., 5.00%, 12/1/2028 | 125,000 | 132,077 |
Series 2021A, Rev., 5.00%, 12/1/2030 | 65,000 | 69,857 |
Series 2022, Rev., 5.00%, 12/1/2034 | 950,000 | 1,063,913 |
Series 2021A, Rev., 4.00%, 12/1/2035 | 150,000 | 150,292 |
Series 2022, Rev., 5.00%, 12/1/2037 | 1,100,000 | 1,200,616 |
Ohio Higher Educational Facility Commission, Capital University 2022 Project Rev., 5.00%, 9/1/2030 | 275,000 | 273,896 |
Ohio Higher Educational Facility Commission, Kenyon College Rev., 4.00%, 7/1/2044 | 1,340,000 | 1,313,752 |
Ohio Housing Finance Agency, Mortgage-Backed Securities Program Series 2016D, Rev., GNMA / FNMA / FHLMC, 4.00%, 3/1/2047 | 250,000 | 248,851 |
Ohio Water Development Authority, Water Pollution Control Loan Fund Series 2020A, Rev., 5.00%, 12/1/2036 | 150,000 | 168,369 |
Total Ohio | 8,544,591 | |
Oklahoma — 0.9% | ||
Oklahoma Water Resources Board, State Loan Program Series 2021D, Rev., 4.00%, 10/1/2046 | 2,035,000 | 2,036,934 |
Oregon — 0.7% | ||
Union County Hospital Facility Authority, Grande Ronde Hospital, Inc. Series 2022, Rev., 5.00%, 7/1/2035 | 1,360,000 | 1,453,436 |
Other — 0.4% | ||
Multi-Family Housing, Bond Pass-Through Certificates, Grand Reserve Apartments Series 8, Rev., 5.95%, 11/1/2035 (c) | 820,000 | 820,322 |
Pennsylvania — 3.6% | ||
Allegheny County Hospital Development Authority, Pittsburgh Medical Center Series 2019A, Rev., 5.00%, 7/15/2033 | 600,000 | 655,284 |
Bucks County Water and Sewer Authority | ||
Series 2022A, Rev., AGM, 5.00%, 12/1/2037 | 360,000 | 411,957 |
Series 2022A, Rev., AGM, 5.00%, 12/1/2038 | 525,000 | 596,125 |
Series 2022A, Rev., AGM, 5.00%, 12/1/2039 | 425,000 | 478,933 |
Cambria County General Financing Authority, Mount Aloysius Project Series 2021TT-4, Rev., 4.00%, 11/1/2036 | 535,000 | 512,700 |
30 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Pennsylvania — continued | ||
Chester County Industrial Development Authority, Longwood Gardens Project | ||
Rev., 5.00%, 12/1/2036 | 185,000 | 205,812 |
Rev., 5.00%, 12/1/2037 | 200,000 | 221,286 |
Pennsylvania Economic Development Financing Authority, Presbyterian Senior Living Homes Series 2021, Rev., 4.00%, 7/1/2046 | 750,000 | 661,740 |
Pennsylvania Higher Educational Facilities Authority, University of Pennsylvania Health System Rev., 4.00%, 8/15/2034 | 175,000 | 180,826 |
Pennsylvania Housing Finance Agency, Single Family Mortgage | ||
Series 2016-121, Rev., 3.50%, 10/1/2046 | 320,000 | 317,970 |
Series 2017-122, Rev., AMT, 4.00%, 10/1/2046 | 140,000 | 139,421 |
Philadelphia Authority for Industrial Development, City Service Agreement, Affordable Housing Preservation Programs Project Rev., AGM, 5.00%, 12/1/2027 | 680,000 | 726,195 |
Philadelphia Authority for Industrial Development, Holy Family University Project Rev., 5.00%, 9/1/2026 | 775,000 | 798,035 |
Philadelphia Authority for Industrial Development, Russell Byers Charter School Project Series 2020A, Rev., 5.00%, 5/1/2030 | 1,015,000 | 1,038,696 |
Philadelphia Energy Authority (The), Philadelphia Street Lighting Project Series 2023A, Rev., 5.00%, 11/1/2043 | 750,000 | 821,307 |
Total Pennsylvania | 7,766,287 | |
Rhode Island — 0.4% | ||
Rhode Island Health and Educational Building Corp., Lifespan Obligated Group Series 2024, Rev., 5.00%, 5/15/2044 | 700,000 | 748,611 |
South Carolina — 0.1% | ||
South Carolina State Housing Finance and Development Authority | ||
Series 2017A, Rev., 4.00%, 1/1/2047 | 80,000 | 79,677 |
Series 2017B, Rev., FHA, GNMA / FNMA / FHLMC, 4.00%, 7/1/2047 | 230,000 | 228,915 |
Total South Carolina | 308,592 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
South Dakota — 0.6% | ||
South Dakota Housing Development Authority, Homeownership Mortgage | ||
Series 2015D, Rev., 4.00%, 11/1/2045 | 315,000 | 313,999 |
Series 2019A, Rev., 4.00%, 5/1/2049 | 1,010,000 | 1,005,193 |
Total South Dakota | 1,319,192 | |
Tennessee — 0.8% | ||
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Blakeford at Green Hills Series 2020A, Rev., 4.00%, 11/1/2038 | 1,305,000 | 1,103,824 |
Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station Project Series 2019A, Rev., 5.75%, 10/1/2049 | 1,000,000 | 728,616 |
Total Tennessee | 1,832,440 | |
Texas — 4.2% | ||
Arlington Higher Education Finance Corp. | ||
Series 2021A, Rev., 5.00%, 8/15/2027 | 100,000 | 101,482 |
Series 2021A, Rev., 5.00%, 8/15/2028 | 40,000 | 40,749 |
Series 2021A, Rev., 4.00%, 8/15/2029 | 40,000 | 38,948 |
Series 2021A, Rev., 4.00%, 8/15/2030 | 40,000 | 38,695 |
Series 2021A, Rev., 4.00%, 8/15/2031 | 45,000 | 43,203 |
Clifton Higher Education Finance Corp., Yes Prep Public School, Inc. Series 2023, Rev., PSF-GTD, 4.25%, 4/1/2048 | 1,000,000 | 995,850 |
Denton Independent School District | ||
Series 2023, GO, PSF-GTD, 5.00%, 8/15/2041 | 1,055,000 | 1,197,138 |
Series 2023, GO, PSF-GTD, 5.00%, 8/15/2043 | 1,250,000 | 1,401,185 |
Irving Hospital Authority, Baylor Scott and White Medical Center | ||
Series 2017A, Rev., 5.00%, 10/15/2026 | 250,000 | 258,096 |
Series 2017A, Rev., 5.00%, 10/15/2027 | 500,000 | 517,395 |
Newark Higher Education Finance Corp., The Hughen Center, Inc. | ||
Series 2022A, Rev., PSF-GTD, 5.00%, 8/15/2037 | 250,000 | 284,589 |
Series 2022A, Rev., PSF-GTD, 5.00%, 8/15/2042 | 345,000 | 382,261 |
State of Texas, Water Financial Assistance Series 2015D, GO, 5.00%, 5/15/2033 | 450,000 | 459,270 |
31 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Texas — continued | ||
Texas State Affordable Housing Corp., Single Family Mortgage, Heroes Home Loan Program Series 2019A, Rev., GNMA COLL, 4.25%, 3/1/2049 | 380,000 | 379,579 |
Texas Water Development Board, State Water Implementation Fund Series 2019A, Rev., 4.00%, 10/15/2044 | 3,000,000 | 3,016,809 |
Total Texas | 9,155,249 | |
Utah — 2.0% | ||
Utah Associated Municipal Power Systems, Horse Butte Wind Project Series 2017B, Rev., 5.00%, 9/1/2033 | 1,700,000 | 1,825,980 |
Utah Charter School Finance Authority, Wallace Stegner Academy | ||
Series 2022A, Rev., 5.25%, 6/15/2032 (b) | 250,000 | 252,643 |
Series 2022A, Rev., 5.63%, 6/15/2042 (b) | 400,000 | 400,380 |
Utah Housing Corp., Single Family Mortgage Series D-2, Class III, Rev., FHA, 4.00%, 1/1/2045 | 510,000 | 507,806 |
Utah Infrastructure Agency, Tax-Exempt Telecommunications Rev., 5.00%, 10/15/2032 | 310,000 | 329,917 |
Utah Transit Authority, Sales Tax Series 2006C, Rev., AGM, 5.25%, 6/15/2029 | 970,000 | 1,077,880 |
Total Utah | 4,394,606 | |
Vermont — 1.7% | ||
Vermont Housing Finance Agency, Multiple Purpose Series B, Rev., AMT, 3.75%, 11/1/2045 | 110,000 | 109,655 |
Vermont Student Assistance Corp., Education Loan | ||
Series 2016A, Rev., AMT, 5.00%, 6/15/2024 | 1,400,000 | 1,404,037 |
Series 2016A, Rev., AMT, 5.00%, 6/15/2025 | 2,150,000 | 2,178,322 |
Total Vermont | 3,692,014 | |
Virginia — 0.5% | ||
Henrico County Economic Development Authority, Westminster Canterbury Richmond | ||
Rev., 3.00%, 10/1/2029 | 500,000 | 483,983 |
Rev., 3.00%, 10/1/2030 | 500,000 | 481,605 |
Total Virginia | 965,588 | |
Washington — 5.8% | ||
County of King | ||
Series 2016A, Rev., 4.00%, 7/1/2039 | 1,000,000 | 997,680 |
Series 2016A, Rev., 4.00%, 7/1/2041 | 1,000,000 | 986,957 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Washington — continued | ||
FYI Properties, State of Washington District Project Rev., 5.00%, 6/1/2039 | 5,000,000 | 5,303,726 |
King County Housing Authority, Highland Village Project | ||
Rev., 5.00%, 1/1/2028 | 125,000 | 132,303 |
Rev., 5.00%, 1/1/2029 | 125,000 | 133,928 |
Rev., 4.00%, 1/1/2031 | 330,000 | 336,764 |
Rev., 4.00%, 1/1/2034 | 500,000 | 513,160 |
North Thurston Public Schools, Unlimited Tax GO, 4.00%, 12/1/2036 | 1,000,000 | 1,043,931 |
Washington Health Care Facilities Authority, Multicare Health System Series 2017B, Rev., 5.00%, 8/15/2035 | 1,850,000 | 1,950,749 |
Washington State Housing Finance Commission, Seattle Academy of Arts and Science Project | ||
Series 2023, Rev., 5.00%, 7/1/2028 (b) | 360,000 | 378,416 |
Series 2023, Rev., 5.13%, 7/1/2033 (b) | 740,000 | 810,112 |
Washington State Housing Finance Commission, Single Family Program Series 2016 2A-R, Rev., AMT, 3.50%, 12/1/2046 | 65,000 | 64,576 |
Total Washington | 12,652,302 | |
West Virginia — 0.4% | ||
West Virginia Hospital Finance Authority, University Health System Series 2023 A, Rev., 5.00%, 6/1/2040 | 505,000 | 553,232 |
West Virginia Hospital Finance Authority, Vandalia Health Group Series 2023B, Rev., AGM, 5.00%, 9/1/2040 | 300,000 | 324,514 |
Total West Virginia | 877,746 | |
Wisconsin — 3.6% | ||
Public Finance Authority, College Achieve Central Charter School Project | ||
Series 2021A, Rev., 5.00%, 6/15/2027 (b) | 260,000 | 262,563 |
Series 2021A, Rev., 5.00%, 6/15/2029 (b) | 285,000 | 285,849 |
Series 2021A, Rev., 5.00%, 6/15/2031 (b) | 315,000 | 313,837 |
Public Finance Authority, Coral Academy of Science Series 2021A, Rev., 4.00%, 7/1/2041 | 500,000 | 429,627 |
Public Finance Authority, Ripple Ranch, LLC Obligate Series 2021A, Rev., 5.25%, 12/1/2051 (b) | 200,000 | 140,172 |
Public Finance Authority, The Carmelite System, Inc., Obligated Group Rev., 3.25%, 1/1/2026 | 1,545,000 | 1,511,196 |
Public Finance Authority, The Franklin School of Innovation Rev., 5.00%, 1/1/2042 (b) | 145,000 | 128,665 |
32 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Wisconsin — continued | ||
Public Finance Authority, Viticus Group Project Series 2022A, Rev., 4.00%, 12/1/2031 (b) | 240,000 | 221,532 |
Wisconsin Health and Educational Facilities Authority, Agnesian Healthcare, Inc. | ||
Rev., 5.00%, 7/1/2024 | 250,000 | 251,134 |
Rev., 5.00%, 7/1/2025 | 250,000 | 255,058 |
Wisconsin Health and Educational Facilities Authority, Franciscan Sisters of Christian Charity Sponsored Ministries, Inc. | ||
Series 2017A, Rev., 5.00%, 9/1/2025 (e) | 235,000 | 240,987 |
Series 2017A, Rev., 5.00%, 9/1/2027 (e) | 785,000 | 839,198 |
Wisconsin Health and Educational Facilities Authority, Milwaukee Regional Medical Center Thermal Service Rev., 5.00%, 4/1/2035 | 1,165,000 | 1,245,406 |
Wisconsin Health and Educational Facilities Authority, Three Pillars Senior Living Communities Series 2021A, Rev., 4.00%, 8/15/2041 | 825,000 | 677,587 |
Wisconsin Housing and Economic Development Authority Home Ownership Series 2024 A, Rev., GNMA / FNMA / FHLMC, 6.00%, 9/1/2054 | 1,000,000 | 1,094,091 |
Total Wisconsin | 7,896,902 | |
Wyoming — 0.1% | ||
Wyoming Community Development Authority Series 2017-5, Rev., 4.00%, 12/1/2046 | 300,000 | 298,566 |
Total Municipal Bonds (Cost $192,528,347) | 189,929,995 | |
SHARES | ||
Short-Term Investments — 15.4% | ||
Investment Companies — 15.4% | ||
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.37% (f) (g) (Cost $33,472,873) | 33,469,591 | 33,472,938 |
Total Investments — 102.6% (Cost $226,001,220) | 223,402,933 | |
Liabilities in Excess of Other Assets — (2.6)% | (5,676,833 ) | |
NET ASSETS — 100.0% | 217,726,100 |
Percentages indicated are based on net assets. |
Abbreviations | |
AGM | Insured by Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAN | Bond Anticipation Note |
CHESLA | Connecticut Higher Education Supplemental Loan Authority |
COLL | Collateral |
COP | Certificate of Participation |
FHA | Federal Housing Administration |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
GO | General Obligation |
NATL | Insured by National Public Finance Guarantee Corp. |
PSF-GTD | Permanent School Fund Guaranteed |
RE | Reinsured |
Rev. | Revenue |
(a) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
(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, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 29, 2024. |
(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 29, 2024. |
33 |
JPMorgan High Yield Municipal ETF | JPMorgan Limited Duration Bond ETF | JPMorgan Sustainable Municipal Income ETF | |
ASSETS: | |||
Investments in non-affiliates, at value | $159,164,191 | $653,416,826 | $189,929,995 |
Investments in affiliates, at value | 15,938,250 | 71,408,011 | 33,472,938 |
Cash | — | 249,610 | — |
Receivables: | |||
Investment securities sold | — | 385,770 | — |
Fund shares sold | 586 | — | — |
Interest from non-affiliates | 2,105,939 | 1,578,071 | 2,099,178 |
Dividends from affiliates | 37,151 | 406,756 | 81,223 |
Due from adviser | 3,174 | — | 33,013 |
Total Assets | 177,249,291 | 727,445,044 | 225,616,347 |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | — | — | 992,500 |
Investment securities purchased — delayed delivery securities | 2,197,322 | — | 6,810,674 |
Accrued liabilities: | |||
Investment advisory fees | — | 24,556 | — |
Administration fees | 10,194 | 42,724 | 12,834 |
Printing and mailing costs | — | — | 372 |
Custodian and accounting fees | 26,573 | 17,739 | 24,601 |
Other | 55,407 | 89,178 | 49,266 |
Total Liabilities | 2,289,496 | 174,197 | 7,890,247 |
Net Assets | $174,959,795 | $727,270,847 | $217,726,100 |
34 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan High Yield Municipal ETF | JPMorgan Limited Duration Bond ETF | JPMorgan Sustainable Municipal Income ETF | |
NET ASSETS: | |||
Paid-in-Capital | $237,121,571 | $774,286,882 | $236,694,032 |
Total distributable earnings (loss) | (62,161,776 ) | (47,016,035 ) | (18,967,932 ) |
Total Net Assets | $174,959,795 | $727,270,847 | $217,726,100 |
Outstanding number of shares (unlimited number of shares authorized - par value $0.0001) (a) (b) (c) | 3,500,360 | 14,273,170 | 4,306,783 |
Net asset value, per share | $49.98 | $50.95 | $50.55 |
Cost of investments in non-affiliates | $166,895,711 | $682,772,929 | $192,528,347 |
Cost of investments in affiliates | 15,937,390 | 71,403,879 | 33,472,873 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 35 |
JPMorgan High Yield Municipal ETF (a) | JPMorgan Limited Duration Bond ETF (b) | JPMorgan Sustainable Municipal Income ETF (c) | |
INVESTMENT INCOME: | |||
Interest income from non-affiliates | $10,482,719 | $36,114,843 | $8,485,254 |
Interest income from affiliates | 165 | 4,164 | 446 |
Dividend income from affiliates | 508,895 | 3,425,097 | 346,549 |
Total investment income | 10,991,779 | 39,544,104 | 8,832,249 |
EXPENSES: | |||
Investment advisory fees | 789,357 | 1,781,156 | 718,942 |
Administration fees | 169,149 | 667,933 | 179,736 |
Distribution fees (See Note 3.C.) | 162,173 | 187,512 | 83,166 |
Service fees (See Note 3.D.) | 248,391 | 382,999 | 187,631 |
Custodian and accounting fees | 92,268 | 78,141 | 97,705 |
Interest expense to non-affiliates | 364 | — | 452 |
Interest expense to affiliates | 602 | 27 | — |
Professional fees | 111,612 | 99,692 | 82,113 |
Trustees’ and Chief Compliance Officer’s fees | 24,863 | 27,669 | 24,831 |
Printing and mailing costs | 60,107 | 122,043 | 56,391 |
Registration and filing fees | 37,310 | 91,482 | 69,597 |
Transfer agency fees (See Note 2.H.) | 2,656 | 10,329 | 1,702 |
Other | 11,548 | 10,544 | 9,956 |
Total expenses | 1,710,400 | 3,459,527 | 1,512,222 |
Less fees waived | (490,196 ) | (657,933 ) | (374,560 ) |
Less expense reimbursements | (318,216 ) | (408,285 ) | (474,741 ) |
Net expenses | 901,988 | 2,393,309 | 662,921 |
Net investment income (loss) | 10,089,791 | 37,150,795 | 8,169,328 |
36 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan High Yield Municipal ETF (a) | JPMorgan Limited Duration Bond ETF (b) | JPMorgan Sustainable Municipal Income ETF (c) | |
REALIZED/UNREALIZED GAINS (LOSSES): | |||
Net realized gain (loss) on transactions from: | |||
Investments in non-affiliates | $(36,711,739 ) | $(7,711,140 ) | $(8,277,816 ) |
Investments in affiliates | (3,734 ) | 27,043 | 1,234 |
Futures contracts | — | — | (41,110 ) |
Swaps | (1,030,413 ) | — | (1,529,567 ) |
Net realized gain (loss) | (37,745,886 ) | (7,684,097 ) | (9,847,259 ) |
Change in net unrealized appreciation/depreciation on: | |||
Investments in non-affiliates | 36,203,845 | 20,232,936 | 12,723,372 |
Investments in affiliates | 860 | (32,697 ) | (111 ) |
Futures contracts | — | — | (537 ) |
Swaps | 786,518 | — | 663,141 |
Change in net unrealized appreciation/depreciation | 36,991,223 | 20,200,239 | 13,385,865 |
Net realized/unrealized gains (losses) | (754,663 ) | 12,516,142 | 3,538,606 |
Change in net assets resulting from operations | $9,335,128 | $49,666,937 | $11,707,934 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 37 |
JPMorgan High Yield Municipal ETF | JPMorgan Limited Duration Bond ETF | |||
Year Ended February 29, 2024 (a) | Year Ended February 28, 2023 (a) | Year Ended February 29, 2024 (b) | Year Ended February 28, 2023 (b) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $10,089,791 | $13,708,808 | $37,150,795 | $27,564,224 |
Net realized gain (loss) | (37,745,886 ) | (16,687,330 ) | (7,684,097 ) | (923,264 ) |
Distributions of capital gains received from investment company affiliates | — | 28 | — | — |
Change in net unrealized appreciation/ depreciation | 36,991,223 | (49,939,278 ) | 20,200,239 | (38,858,941 ) |
Change in net assets resulting from operations | 9,335,128 | (52,917,772 ) | 49,666,937 | (12,217,981 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Total distributions to shareholders | (9,444,369 ) | (13,587,353 ) | (34,846,845 ) | (27,004,700 ) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | (130,313,072 ) | (120,748,861 ) | (411,237,336 ) | (107,791,299 ) |
NET ASSETS: | ||||
Change in net assets | (130,422,313 ) | (187,253,986 ) | (396,417,244 ) | (147,013,980 ) |
Beginning of period | 305,382,108 | 492,636,094 | 1,123,688,091 | 1,270,702,071 |
End of period | $174,959,795 | $305,382,108 | $727,270,847 | $1,123,688,091 |
38 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan Sustainable Municipal Income ETF | ||
Year Ended February 29, 2024 (a) | Year Ended February 28, 2023 (a) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||
Net investment income (loss) | $8,169,328 | $7,078,485 |
Net realized gain (loss) | (9,847,259 ) | (6,883,359 ) |
Distributions of capital gains received from investment company affiliates | — | 1,336 |
Change in net unrealized appreciation/depreciation | 13,385,865 | (18,415,859 ) |
Change in net assets resulting from operations | 11,707,934 | (18,219,397 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||
Total distributions to shareholders | (7,551,058 ) | (7,029,156 ) |
CAPITAL TRANSACTIONS: | ||
Change in net assets resulting from capital transactions | (48,084,330 ) | (26,017,228 ) |
NET ASSETS: | ||
Change in net assets | (43,927,454 ) | (51,265,781 ) |
Beginning of period | 261,653,554 | 312,919,335 |
End of period | $217,726,100 | $261,653,554 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 39 |
JPMorgan High Yield Municipal ETF | JPMorgan Limited Duration Bond ETF | |||
Year Ended February 29, 2024(a) | Year Ended February 28, 2023(a) | Year Ended February 29, 2024(b) | Year Ended February 28, 2023(b) | |
CAPITAL TRANSACTIONS: (c) (d) | ||||
Proceeds from shares issued | $3,443,691 | $3,722,949 | $34,129,095 | $60,324,732 |
Distributions reinvested | 182,983 | 582,535 | 11,437,344 | 17,722,105 |
Cost of shares redeemed | (57,631,417 ) | (8,295,343 ) | (363,692,049 ) | (157,664,853 ) |
Change in net assets resulting from capital transactions | (54,004,743 ) | (3,989,859 ) | (318,125,610 ) | (79,618,016 ) |
Class A | ||||
Proceeds from shares issued | 799,749 | 44,304,291 | 3,342,075 | 67,818,108 |
Distributions reinvested | 1,789,218 | 5,573,975 | 2,367,196 | 3,417,443 |
Cost of shares redeemed | (23,938,145 ) | (80,866,511 ) | (47,922,575 ) | (92,530,834 ) |
Change in net assets resulting from Class A capital transactions | (21,349,178 ) | (30,988,245 ) | (42,213,304 ) | (21,295,283 ) |
Class C | ||||
Proceeds from shares issued | 287,941 | 6,148,812 | 301,486 | 4,733,358 |
Distributions reinvested | 202,030 | 610,915 | 143,219 | 166,895 |
Cost of shares redeemed | (6,182,391 ) | (15,721,448 ) | (3,598,701 ) | (7,663,998 ) |
Change in net assets resulting from Class C capital transactions | (5,692,420 ) | (8,961,721 ) | (3,153,996 ) | (2,763,745 ) |
Class I | ||||
Proceeds from shares issued | 19,683,850 | 149,484,047 | 26,567,546 | 142,752,290 |
Distributions reinvested | 1,622,857 | 6,717,825 | 2,914,658 | 4,604,734 |
Cost of shares redeemed | (70,573,438 ) | (233,010,908 ) | (77,226,630 ) | (151,471,279 ) |
Change in net assets resulting from Class I capital transactions | (49,266,731 ) | (76,809,036 ) | (47,744,426 ) | (4,114,255 ) |
Total change in net assets resulting from capital transactions | $(130,313,072 ) | $(120,748,861 ) | $(411,237,336 ) | $(107,791,299 ) |
40 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan High Yield Municipal ETF | JPMorgan Limited Duration Bond ETF | |||
Year Ended February 29, 2024(a) | Year Ended February 28, 2023(a) | Year Ended February 29, 2024(b) | Year Ended February 28, 2023(b) | |
SHARE TRANSACTIONS: (c) (d) | ||||
Issued | 64,935 | 370,970 | 676,744 | 6,202,110 |
Reinvested | 3,670 | 58,472 | 228,552 | 1,829,077 |
Redeemed | (1,177,902 ) | (826,488 ) | (7,241,909 ) | (16,288,548 ) |
Change in Shares | (1,109,297 ) | (397,046 ) | (6,336,613 ) | (8,257,361 ) |
Class A | ||||
Issued | 15,954 | 4,428,926 | 66,595 | 6,977,379 |
Reinvested | 35,889 | 560,662 | 47,292 | 353,475 |
Redeemed | (478,669 ) | (8,023,241 ) | (956,310 ) | (9,526,980 ) |
Change in Class A Shares | (426,826 ) | (3,033,653 ) | (842,423 ) | (2,196,126 ) |
Class C | ||||
Issued | 5,740 | 627,847 | 6,005 | 493,981 |
Reinvested | 4,052 | 61,373 | 2,862 | 17,482 |
Redeemed | (124,088 ) | (1,571,853 ) | (71,843 ) | (799,173 ) |
Change in Class C Shares | (114,296 ) | (882,633 ) | (62,976 ) | (287,710 ) |
Class I | ||||
Issued | 391,412 | 15,019,403 | 529,419 | 14,707,094 |
Reinvested | 32,524 | 673,901 | 58,259 | 476,284 |
Redeemed | (1,411,135 ) | (23,155,741 ) | (1,539,450 ) | (15,640,007 ) |
Change in Class I Shares | (987,199 ) | (7,462,437 ) | (951,772 ) | (456,629 ) |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 41 |
JPMorgan Sustainable Municipal Income ETF | ||
Year Ended February 29, 2024(a) | Year Ended February 28, 2023(a) | |
CAPITAL TRANSACTIONS: (b) | ||
Proceeds from shares issued | $10,765,358 | $67,591,023 |
Distributions reinvested | 672,386 | 1,868,499 |
Cost of shares redeemed | (47,080,166 ) | (78,283,703 ) |
Change in net assets resulting from capital transactions | (35,642,422 ) | (8,824,181 ) |
Class A | ||
Proceeds from shares issued | 412,669 | 15,363,046 |
Distributions reinvested | 763,534 | 2,071,500 |
Cost of shares redeemed | (10,107,211 ) | (38,051,879 ) |
Change in net assets resulting from Class A capital transactions | (8,931,008 ) | (20,617,333 ) |
Class C | ||
Proceeds from shares issued | 11,317 | 314,322 |
Distributions reinvested | 44,105 | 94,302 |
Cost of shares redeemed | (315,902 ) | (2,583,600 ) |
Change in net assets resulting from Class C capital transactions | (260,480 ) | (2,174,976 ) |
Class I | ||
Proceeds from shares issued | 28,984,690 | 151,500,951 |
Distributions reinvested | 1,249,534 | 2,928,191 |
Cost of shares redeemed | (33,484,644 ) | (148,829,880 ) |
Change in net assets resulting from Class I capital transactions | (3,250,420 ) | 5,599,262 |
Total change in net assets resulting from capital transactions | $(48,084,330 ) | $(26,017,228 ) |
42 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
JPMorgan Sustainable Municipal Income ETF | ||
Year Ended February 29, 2024(a) | Year Ended February 28, 2023(a) | |
SHARE TRANSACTIONS: (b) | ||
Issued | 220,384 | 7,508,375 |
Reinvested | 13,475 | 208,900 |
Redeemed | (953,151 ) | (8,786,046 ) |
Change in Shares | (719,292 ) | (1,068,771 ) |
Class A | ||
Issued | 8,221 | 1,703,245 |
Reinvested | 15,299 | 230,157 |
Redeemed | (202,526 ) | (4,198,555 ) |
Change in Class A Shares | (179,006 ) | (2,265,153 ) |
Class C | ||
Issued | 226 | 35,148 |
Reinvested | 884 | 10,586 |
Redeemed | (6,312 ) | (288,123 ) |
Change in Class C Shares | (5,202 ) | (242,389 ) |
Class I | ||
Issued | 578,020 | 16,822,311 |
Reinvested | 25,029 | 327,918 |
Redeemed | (671,881 ) | (16,576,175 ) |
Change in Class I Shares | (68,832 ) | 574,054 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 43 |
Per share operating performance (a) | ||||||||
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 | Net asset value, end of period | |
JPMorgan High Yield Municipal ETF (e) | ||||||||
Year Ended February 29, 2024 | $49.76 | $2.38 | $(0.05 ) | $2.33 | $(2.11 ) | $— | $(2.11 ) | $49.98 |
Year Ended February 28, 2023 | 58.54 | 2.02 | (8.78 ) | (6.76 ) | (2.02 ) | — | (2.02 ) | 49.76 |
Year Ended February 28, 2022 | 59.42 | 1.86 | (0.88 ) | 0.98 | (1.86 ) | — | (1.86 ) | 58.54 |
Year Ended February 28, 2021 | 61.64 | 1.86 | (2.22 ) | (0.36 ) | (1.81 ) | (0.05 ) | (1.86 ) | 59.42 |
Year Ended February 29, 2020 | 56.17 | 1.81 | 5.47 | 7.28 | (1.76 ) | (0.05 ) | (1.81 ) | 61.64 |
(a) | Per share amounts reflect the conversion of the Predecessor Fund into the Fund as of the close of business on July 14, 2023. See Note 1. |
(b) | Calculated based upon average shares outstanding. |
(c) | 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. |
(d) | JPMorgan High Yield Municipal ETF acquired all of the assets and liabilities of the JPMorgan High Yield Municipal Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on July 14, 2023. Market price returns are calculated using the official closing price of the JPMorgan High Yield Municipal ETF on the listing exchange as of the time that the JPMorgan High Yield Municipal ETF's NAV is calculated. Prior to the JPMorgan High Yield Municipal ETF's listing on July 17, 2023, the NAV performance of the Class R6 Shares of the Predecessor Fund are used as proxy market price returns. |
(e) | JPMorgan High Yield Municipal ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan High Yield Municipal Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on July 14, 2023. 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, 2019 up through the reorganization. |
44 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Ratios/Supplemental data | |||||||
Ratios to average net assets | |||||||
Market price, end of period | Total Return(c) | Market price total return(d) | Net assets, end of period | Net expenses | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$49.75 | 4.85 % | 4.38 % | $174,959,795 | 0.35 % | 4.87 % | 0.59 % | 90 % |
49.76 | (11.62 ) | (11.62 ) | 13,436,450 | 0.45 | 3.82 | 0.52 | 21 |
58.54 | 1.60 | 1.60 | 20,315,531 | 0.45 | 3.07 | 0.51 | 24 |
59.42 | (0.41 ) | (0.41 ) | 21,168,811 | 0.45 | 3.16 | 0.51 | 39 |
61.64 | 13.12 | 13.12 | 6,060,120 | 0.44 | 3.01 | 0.56 | 18 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 45 |
Per share operating performance (a) | |||||
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 | |
JPMorgan Limited Duration Bond ETF (f) | |||||
Year Ended February 29, 2024 | $50.00 | $2.14 | $0.81 | $2.95 | $(2.00 ) |
Year Ended February 28, 2023 | 51.60 | 1.19 | (1.60 ) | (0.41 ) | (1.19 ) |
Year Ended February 28, 2022 | 52.68 | 0.57 | (1.08 ) | (0.51 ) | (0.57 ) |
Year Ended February 28, 2021 | 52.63 | 0.83 | 0.05 | 0.88 | (0.83 ) |
Year Ended February 29, 2020 | 51.70 | 1.39 | 0.93 | 2.32 | (1.39 ) |
(a) | Per share amounts reflect the conversion of the Predecessor Fund into the Fund as of the close of business on July 28, 2023. See Note 1. |
(b) | Calculated based upon average shares outstanding. |
(c) | 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. |
(d) | JPMorgan Limited Duration Bond ETF acquired all of the assets and liabilities of the JPMorgan Limited Duration Bond Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on July 28, 2023. Market price returns are calculated using the official closing price of the JPMorgan Limited Duration Bond ETF on the listing exchange as of the time that the JPMorgan Limited Duration Bond ETF's NAV is calculated. Prior to the JPMorgan Limited Duration Bond ETF's listing on July 31, 2023, the NAV performance of the Class R6 Shares of the Predecessor Fund are used as proxy market price returns. |
(e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(f) | JPMorgan Limited Duration Bond ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan Limited Duration Bond Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on July 28, 2023. 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, 2019 up through the reorganization. |
46 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Ratios/Supplemental data | ||||||||
Ratios to average net assets | ||||||||
Net asset value, end of period | Market price, end of period | Total Return(c) | Market price total return(d) | Net assets, end of period | Net expenses(e) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$50.95 | $50.80 | 6.05 % | 5.74 % | $727,270,847 | 0.23 % | 4.27 % | 0.33 % | 6 % |
50.00 | 50.00 | (0.74 ) | (0.74 ) | 716,175,584 | 0.23 | 2.41 | 0.31 | 26 |
51.60 | 51.60 | (0.95 ) | (0.95 ) | 821,093,668 | 0.24 | 1.10 | 0.30 | 24 |
52.68 | 52.68 | 1.70 | 1.70 | 859,503,428 | 0.23 | 1.55 | 0.30 | 35 |
52.63 | 52.63 | 4.53 | 4.53 | 743,296,676 | 0.24 | 2.63 | 0.35 | 27 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 47 |
Per share operating performance (a) | |||||
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 | |
JPMorgan Sustainable Municipal Income ETF (e) | |||||
Year Ended February 29, 2024 | $49.56 | $1.77 | $0.81 | $2.58 | $(1.59 ) |
Year Ended February 28, 2023 | 53.82 | 1.35 | (4.21 ) | (2.86 ) | (1.40 ) |
Year Ended February 28, 2022 | 55.45 | 1.18 | (1.63 ) | (0.45 ) | (1.18 ) |
Year Ended February 28, 2021 | 55.79 | 1.12 | (0.34 ) | 0.78 | (1.12 ) |
Year Ended February 29, 2020 | 53.20 | 1.29 | 2.59 | 3.88 | (1.29 ) |
(a) | Per share amounts reflect the conversion of the Predecessor Fund into the Fund as of the close of business on July 14, 2023. See Note 1. |
(b) | Calculated based upon average shares outstanding. |
(c) | 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. |
(d) | JPMorgan Sustainable Municipal Income ETF acquired all of the assets and liabilities of the JPMorgan Sustainable Municipal Income Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on July 14, 2023. Market price returns are calculated using the official closing price of the JPMorgan Sustainable Municipal Income ETF on the listing exchange as of the time that the JPMorgan Sustainable Municipal Income ETF's NAV is calculated. Prior to the JPMorgan Sustainable Municipal Income ETF's listing on July 17, 2023, the NAV performance of the Class R6 Shares of the Predecessor Fund are used as proxy market price returns. |
(e) | JPMorgan Sustainable Municipal Income ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan Sustainable Municipal Income Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on July 14, 2023. 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, 2019 up through the reorganization. |
48 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Ratios/Supplemental data | ||||||||
Ratios to average net assets | ||||||||
Net asset value, end of period | Market price, end of period | Total Return(c) | Market price total return(d) | Net assets, end of period | Net expenses | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$50.55 | $50.49 | 5.32 % | 5.20 % | $217,726,100 | 0.20 % | 3.57 % | 0.52 % | 35 % |
49.56 | 49.56 | (5.36 ) | (5.36 ) | 65,552,740 | 0.35 | 2.69 | 0.49 | 37 |
53.82 | 53.82 | (0.82 ) | (0.82 ) | 81,399,139 | 0.35 | 2.14 | 0.46 | 18 |
55.45 | 55.45 | 1.46 | 1.46 | 62,415,473 | 0.34 | 2.06 | 0.46 | 22 |
55.79 | 55.79 | 7.36 | 7.36 | 60,936,135 | 0.34 | 2.38 | 0.49 | 7 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 49 |
Diversification Classification | |
JPMorgan High Yield Municipal ETF | Diversified |
JPMorgan Limited Duration Bond ETF | Diversified |
JPMorgan Sustainable Municipal Income ETF | Diversified |
Acquired Fund | Fund | Closing Date |
JPMorgan High Yield Municipal Fund | JPMorgan High Yield Municipal ETF | July 14, 2023 |
JPMorgan Limited Duration Bond Fund | JPMorgan Limited Duration Bond ETF | July 28, 2023 |
JPMorgan Sustainable Municipal Income Fund | JPMorgan Sustainable Municipal Income ETF | July 14, 2023 |
50 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Listing Exchange | |
High Yield Municipal ETF | NYSE Arca, Inc. |
Limited Duration Bond ETF | Cboe BZX Exchange, Inc. |
Sustainable Municipal Income ETF | NYSE Arca, Inc. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 51 |
High Yield Municipal ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Municipal Bonds | $— | $159,164,191 | $— | $159,164,191 |
Short-Term Investments | ||||
Investment Companies | 15,938,250 | — | — | 15,938,250 |
Total Investments in Securities | $15,938,250 | $159,164,191 | $— | $175,102,441 |
Limited Duration Bond ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $260,334,069 | $13,893,620 | $274,227,689 |
Collateralized Mortgage Obligations | — | 209,044,229 | — | 209,044,229 |
Commercial Mortgage-Backed Securities | — | 69,880,869 | — | 69,880,869 |
Corporate Bonds | — | 26,854,128 | — | 26,854,128 |
Mortgage-Backed Securities | — | 73,409,911 | — | 73,409,911 |
Short-Term Investments | ||||
Investment Companies | 71,408,011 | — | — | 71,408,011 |
Total Investments in Securities | $71,408,011 | $639,523,206 | $13,893,620 | $724,824,837 |
Sustainable Municipal Income ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Municipal Bonds | $— | $189,929,995 | $— | $189,929,995 |
Short-Term Investments | ||||
Investment Companies | 33,472,938 | — | — | 33,472,938 |
Total Investments in Securities | $33,472,938 | $189,929,995 | $— | $223,402,933 |
52 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Limited Duration Bond ETF | Balance as of February 28, 2023* | 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 29, 2024 |
Investments in Securities: | |||||||||
Asset-Backed Securities | $18,725,809 | $— | $432,239 | $11,393 | $— | $(5,275,821 ) | $— | $— | $13,893,620 |
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. |
* | As of the close of business on July 28, 2023, JPMorgan Limited Duration Bond Fund (the "Acquired Fund"), a series of JPMorgan Trust II, reorganized ("the Reorganization") into a newly created exchange-traded fund, JPMorgan Limited Duration Bond ETF (the "Fund"). Following the Reorganization, the Acquired Fund's performance and financial history were adopted by the Fund. The table includes transactions from the Acquired Fund for the period March 1, 2023 through July 28, 2023. |
Duration Bond ETF
Fair Value at February 29, 2024 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$13,893,620 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 10.00% (3.33%) | |
Yield (Discount Rate of Cash Flows) | 5.74% - 7.20% (6.27%) | |||
Asset-Backed Securities | 13,893,620 | |||
Total | $13,893,620 |
(a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 53 |
54 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
High Yield Municipal ETF | |||||||||
For the year ended February 29, 2024* | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.37% (a) (b) | $— | $105,818,246 | $89,882,813 | $1,957 | $860 | $15,938,250 | 15,936,656 | $265,540 | $— |
JPMorgan Institutional Tax Free Money Market Fund Class Institutional Shares, 3.28% (a) (b) | — | 119,630,112 | 119,624,421 | (5,691 ) | — | — | — | 243,355 | — |
Total | $— | $225,448,358 | $209,507,234 | $(3,734 ) | $860 | $15,938,250 | $508,895 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
* | As of the close of business on July 14, 2023, JPMorgan High Yield Municipal Fund (the "Acquired Fund"), a series of JPMorgan Trust I, reorganized ("the Reorganization") into a newly created exchange-traded fund, JPMorgan High Yield Municipal ETF (the "Fund"). Following the Reorganization, the Acquired Fund's performance and financial history were adopted by the Fund. The table includes transactions from the Acquired Fund for the period March 1, 2023 through July 14, 2023. |
Limited Duration Bond ETF | |||||||||
For the year ended February 29, 2024* | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.44% (a) (b) | $— | $263,552,735 | $192,162,461 | $13,605 | $4,132 | $71,408,011 | 71,372,325 | $1,764,485 | $— |
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.35% (a) (b) | 98,193,083 | 216,149,340 | 314,319,032 | 13,438 | (36,829 ) | — | — | 1,660,612 | — |
Total | $98,193,083 | $479,702,075 | $506,481,493 | $27,043 | $(32,697 ) | $71,408,011 | $3,425,097 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
* | As of the close of business on July 28, 2023, JPMorgan Limited Duration Bond Fund (the "Acquired Fund"), a series of JPMorgan Trust II, reorganized ("the Reorganization") into a newly created exchange-traded fund, JPMorgan Limited Duration Bond ETF (the "Fund"). Following the Reorganization, the Acquired Fund's performance and financial history were adopted by the Fund. The table includes transactions from the Acquired Fund for the period March 1, 2023 through July 28, 2023. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 55 |
Sustainable Municipal Income ETF | |||||||||
For the year ended February 29, 2024* | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 29, 2024 | Shares at February 29, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.37% (a) (b) | $10,265,129 | $135,197,545 | $111,990,859 | $1,234 | $(111 ) | $33,472,938 | 33,469,591 | $346,549 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of February 29, 2024. |
* | As of the close of business on July 14, 2023, JPMorgan Sustainable Municipal Income Fund (the "Acquired Fund"), a series of JPMorgan Trust II, reorganized ("the Reorganization") into a newly created exchange-traded fund, JPMorgan Sustainable Municipal Income ETF (the "Fund"). Following the Reorganization, the Acquired Fund's performance and financial history were adopted by the Fund. The table includes transactions from the Acquired Fund for the period March 1, 2023 through July 14, 2023. |
56 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
High Yield Municipal ETF | Sustainable Municipal Income ETF | |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: | ||
Interest Rate Risk Exposure: | ||
Futures Contracts | $— | $(41,110 ) |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 57 |
High Yield Municipal ETF | Sustainable Municipal Income ETF | |
Credit Exposure Risk: | ||
Swap Contracts | $(1,030,413 ) | $(1,529,567 ) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||
Interest Rate Risk Exposure: | ||
Futures Contracts | — | (537 ) |
Credit Exposure Risk: | ||
Swap Contracts | 786,518 | 663,141 |
High Yield Municipal ETF | Sustainable Municipal Income ETF | |
Futures Contracts: | ||
Average Notional Balance Short | $— | $220,226 |
Credit Default Swaps: | ||
Average Notional Balance - Buy Protection | 7,026,154 | 8,926,923 |
Class A | Class C | Class I | ETF Shares | Total | |
High Yield Municipal ETF | |||||
Transfer agency fees | $1,739 | $163 | $703 | $51 | $2,656 |
Limited Duration Bond ETF | |||||
Transfer agency fees | 5,050 | 175 | 1,170 | 3,934 | 10,329 |
Sustainable Municipal Income ETF | |||||
Transfer agency fees | 810 | 75 | 607 | 210 | 1,702 |
58 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
High Yield Municipal ETF | $— | $(231,299 ) | $231,299 |
Limited Duration Bond ETF | — | 685 | (685 ) |
Sustainable Municipal Income ETF | — | (9,301 ) | 9,301 |
High Yield Municipal ETF | 0.35 % |
Limited Duration Bond ETF | 0.20 |
Sustainable Municipal Income ETF | 0.30 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 59 |
Class A | Class C | |
High Yield Municipal ETF | 0.25 % | 0.75 % |
Limited Duration Bond ETF | 0.25 | 0.75 |
Sustainable Municipal Income ETF | 0.25 | 0.75 |
Class A | Class C | Class I | |
High Yield Municipal ETF | 0.25 % | 0.25 % | 0.25 % |
Limited Duration Bond ETF | 0.25 | 0.25 | 0.25 |
Sustainable Municipal Income ETF | 0.25 | 0.25 | 0.25 |
60 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Class A | Class C | Class I | Class R6 | |
High Yield Municipal ETF | 0.65 % | 1.15 % | 0.55 % | 0.45 % |
Limited Duration Bond ETF | 0.70 | 1.20 | 0.45 | 0.25 |
Sustainable Municipal Income ETF | 0.70 | 1.25 | 0.45 | 0.35 |
Contractual Waivers | Voluntary Waivers | |||||
Investment Advisory Fees | Administration Fees | Service Fees | Total | Contractual Reimbursements | 12b-1 | |
High Yield Municipal ETF | $71,329 | $42,962 | $203,249 | $317,540 | $317,545 | $162,173 |
Limited Duration Bond ETF | 180,935 | 115,415 | 80,850 | 377,200 | 407,560 | 187,512 |
Sustainable Municipal Income ETF | 103,500 | 63,528 | 112,568 | 279,596 | 474,072 | 83,166 |
High Yield Municipal ETF | $10,483 |
Limited Duration Bond ETF | 93,221 |
Sustainable Municipal Income ETF | 11,798 |
High Yield Municipal ETF | $671 |
Limited Duration Bond ETF | 725 |
Sustainable Municipal Income ETF | 669 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 61 |
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |
High Yield Municipal ETF | $189,734,477 | $331,543,562 |
Limited Duration Bond ETF | 48,877,560 | 445,780,139 |
Sustainable Municipal Income ETF | 78,925,147 | 146,225,643 |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
High Yield Municipal ETF | $182,812,793 | $4,953,863 | $12,664,215 | $(7,710,352 ) |
Limited Duration Bond ETF | 754,368,430 | 932,972 | 30,476,565 | (29,543,593 ) |
Sustainable Municipal Income ETF | 225,992,708 | 2,335,731 | 4,925,506 | (2,589,775 ) |
Ordinary Income* | Tax Exempt Income | Total Distributions Paid | |
High Yield Municipal ETF | $461,845 | $8,982,524 | $9,444,369 |
Limited Duration Bond ETF | 34,846,845 | — | 34,846,845 |
Sustainable Municipal Income ETF | 110,075 | 7,440,983 | 7,551,058 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Ordinary Income* | Tax Exempt Income | Total Distributions Paid | |
High Yield Municipal ETF | $282,527 | $13,304,826 | $13,587,353 |
Limited Duration Bond ETF | 27,004,700 | — | 27,004,700 |
Sustainable Municipal Income ETF | 23,014 | 7,006,142 | 7,029,156 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
62 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Tax Exempt Income | Unrealized Appreciation (Depreciation) | |
High Yield Municipal ETF | $— | $(49,332,087 ) | $706,932 | $(7,710,352 ) |
Limited Duration Bond ETF | 2,606,969 | (20,011,880 ) | — | (29,543,593 ) |
Sustainable Municipal Income ETF | — | (11,183,531 ) | 677,455 | (2,589,775 ) |
Capital Loss Carryforward Character | ||
Short-Term | Long-Term | |
High Yield Municipal ETF | $6,330,658 | $43,001,429 |
Limited Duration Bond ETF | 359,083 | 19,652,797 |
Sustainable Municipal Income ETF | 2,933,838 | 8,249,693 |
Net Capital Losses (Gains) | ||
Short-Term | Long-Term | |
High Yield Municipal ETF | $(354,116 ) | $6,139,314 |
Limited Duration Bond ETF | — | 310 |
Sustainable Municipal Income ETF | 489,597 | 5,324,167 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 63 |
J.P. Morgan Investor Funds | |
Limited Duration Bond ETF | 57.6 % |
64 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 65 |
66 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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). | 167 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-2023); 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). | 167 | None |
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). | 167 | 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). | 167 | 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). | 167 | None |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 67 |
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 (continued) | |||
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). | 167 | None |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 167 | 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. | 167 | (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). | 167 | 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). | 167 | None |
Marilyn McCoy (1948); Trustee since 1999. | Retired; Vice President of Administration and Planning, Northwestern University (1985-2023). | 167 | None |
68 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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 (continued) | |||
Dr. Robert A. Oden, Jr. (1946); Trustee since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 167 | 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). | 167 | 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. | 167 | 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). | 167 | 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. | 167 | 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 eight registered investment companies (167 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. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 69 |
** | 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. |
70 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
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) | Managing Director, J.P. Morgan Investment Management Inc. 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. Mr. House has been with J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2023) | Vice President, J.P. Morgan Investment Management Inc. Mr. Mannarino has been with J.P. Morgan Investment Management Inc. since 2014. |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 71 |
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)* | Executive Director, 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 September 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. |
72 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Beginning Account Value September 1, 2023 | Ending Account Value February 29, 2024 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan High Yield Municipal ETF | ||||
Actual | $1,000.00 | $1,046.80 | $1.73 | 0.34 % |
Hypothetical | 1,000.00 | 1,023.17 | 1.71 | 0.34 |
JPMorgan Limited Duration Bond ETF | ||||
Actual | 1,000.00 | 1,037.30 | 1.17 | 0.23 |
Hypothetical | 1,000.00 | 1,023.72 | 1.16 | 0.23 |
JPMorgan Sustainable Municipal Income ETF | ||||
Actual | 1,000.00 | 1,040.20 | 0.86 | 0.17 |
Hypothetical | 1,000.00 | 1,024.02 | 0.86 | 0.17 |
* | Expenses are equal to each Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 73 |
74 | J.P. Morgan Exchange-Traded Funds | February 29, 2024 |
Qualified Interest Income | |
JPMorgan Limited Duration Bond ETF | $28,905,837 |
Exempt Distributions Paid | |
JPMorgan High Yield Municipal ETF | $8,982,524 |
JPMorgan Sustainable Municipal Income ETF | 7,440,983 |
February 29, 2024 | J.P. Morgan Exchange-Traded Funds | 75 |
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
2024 – $1,343,673
2023 – $769,391
(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
2024 – $132,386
2023 – $85,431
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
2024 – $314,718
2023 – $197,183
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended February 29, 2024 and 2023, 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
2024 – $0
2023 – $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.
2024 – 0.0%
2023 – 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:
2023 – $35.4 million
2022 – $31.6 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 6, 2024 |
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 6, 2024 | ||
By: | /s/ Timothy J. Clemens | |
Timothy J. Clemens | ||
Treasurer and Principal Financial Officer | ||
May 6, 2024 |