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
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)
J.P. Morgan Investment Management Inc.
Gregory S. Samuels
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
1905 Avenue of the Americas
New York, NY 10036 |
Registrant's telephone number, including area code:
Date of reporting period:
Item 1. Report 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 Report. Not Applicable. Notices do not incorporate disclosures from the shareholder reports.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders MSCI US REIT ETF
Ticker: BBRE - Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders MSCI US REIT ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan BetaBuilders MSCI US REIT ETF | $6 | 0.11% |
| * | This charge is annualized. |
| Fund net assets | $871,643,752 | |
| Total number of portfolio holdings | $122 | |
| Portfolio turnover rate | $2 | % |
PORTFOLIO COMPOSITION - SECTOR
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Inflation Managed Bond ETF
Ticker: JCPI - Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Inflation Managed Bond ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan Inflation Managed Bond ETF | $13 | 0.24% |
| * | This charge is annualized. |
| Fund net assets | $669,828,714 | |
| Total number of portfolio holdings | $788 | |
| Portfolio turnover rate | $49 | % |
PORTFOLIO COMPOSITION - ASSET CLASS
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Realty Income ETF
Ticker: JPRE - NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Realty Income ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan Realty Income ETF | $27 | 0.50% |
| * | This charge is annualized. |
| Fund net assets | $387,539,138 | |
| Total number of portfolio holdings | $30 | |
| Portfolio turnover rate | $39 | % |
PORTFOLIO COMPOSITION - SECTOR
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan High Yield Municipal ETF
Ticker: JMHI - NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan High Yield Municipal ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan High Yield Municipal ETF | $17 | 0.34% |
| * | This charge is annualized. |
| Fund net assets | $174,334,211 | |
| Total number of portfolio holdings | $138 | |
| Portfolio turnover rate | $45 | % |
CREDIT QUALITY ALLOCATIONS
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Sustainable Municipal Income ETF
Ticker: JMSI - NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Sustainable Municipal Income ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan Sustainable Municipal Income ETF | $8 | 0.17% |
| * | This charge is annualized. |
| Fund net assets | $218,780,640 | |
| Total number of portfolio holdings | $168 | |
| Portfolio turnover rate | $41 | % |
CREDIT QUALITY ALLOCATIONS
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Limited Duration Bond ETF
Ticker: JPLD - Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Limited Duration Bond ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan Limited Duration Bond ETF | $12 | 0.23% |
| * | This charge is annualized. |
| Fund net assets | $757,842,643 | |
| Total number of portfolio holdings | $325 | |
| Portfolio turnover rate | $16 | % |
PORTFOLIO COMPOSITION - ASSET CLASS
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan International Bond Opportunities ETF
Ticker: JPIB - Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan International Bond Opportunities ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan International Bond Opportunities ETF | $26 | 0.50% |
| * | This charge is annualized. |
| Fund net assets | $474,891,216 | |
| Total number of portfolio holdings | $825 | |
| Portfolio turnover rate | $25 | % |
PORTFOLIO COMPOSITION - ASSET CLASS
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Ultra-Short Municipal Income ETF
Ticker: JMST - Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Ultra-Short Municipal Income ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan Ultra-Short Municipal Income ETF | $9 | 0.17% |
| * | This charge is annualized. |
| Fund net assets | $2,773,935,102 | |
| Total number of portfolio holdings | $2,462 | |
| Portfolio turnover rate | $36 | % |
CREDIT QUALITY ALLOCATIONS
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Core Plus Bond ETF
Ticker: JCPB - Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Core Plus Bond ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan Core Plus Bond ETF | $20 | 0.38% |
| * | This charge is annualized. |
| Fund net assets | $3,855,288,381 | |
| Total number of portfolio holdings | $2,420 | |
| Portfolio turnover rate | $54 | % |
PORTFOLIO COMPOSITION - ASSET CLASS
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Ultra-Short Income ETF
Ticker: JPST - NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Ultra-Short Income ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan Ultra-Short Income ETF | $9 | 0.18% |
| * | This charge is annualized. |
| Fund net assets | $25,376,225,121 | |
| Total number of portfolio holdings | $685 | |
| Portfolio turnover rate | $32 | % |
PORTFOLIO COMPOSITION - ASSET CLASS
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
Ticker: JMUB - Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Municipal ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan Municipal ETF | $9 | 0.17% |
| * | This charge is annualized. |
| Fund net assets | $1,677,586,329 | |
| Total number of portfolio holdings | $891 | |
| Portfolio turnover rate | $24 | % |
CREDIT QUALITY ALLOCATIONS
(% of Total Investments)
| (a) | Amount rounds to less than 0.1%. |
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Short Duration Core Plus ETF
Ticker: JSCP - NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Short Duration Core Plus ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan Short Duration Core Plus ETF | $17 | 0.33% |
| * | This charge is annualized. |
| Fund net assets | $443,618,310 | |
| Total number of portfolio holdings | $868 | |
| Portfolio turnover rate | $34 | % |
PORTFOLIO COMPOSITION - ASSET CLASS
(% of Total Investments)
| (a) | Amount rounds to less than 0.1%. |
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
Ticker: JPIE - NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Income ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan Income ETF | $20 | 0.39% |
| * | This charge is annualized. |
| Fund net assets | $1,879,997,257 | |
| Total number of portfolio holdings | $1,548 | |
| Portfolio turnover rate | $80 | % |
PORTFOLIO COMPOSITION - ASSET CLASS
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
Ticker: JBND - New York Stock Exchange LLC
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Active Bond ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan Active Bond ETF | $14 | 0.27% |
| * | This charge is annualized. |
| Fund net assets | $543,392,775 | |
| Total number of portfolio holdings | $776 | |
| Portfolio turnover rate | $52 | % |
PORTFOLIO COMPOSITION - ASSET CLASS
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF
Ticker: BBCB - NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF | $5 | 0.09% |
| * | This charge is annualized. |
| Fund net assets | $46,286,439 | |
| Total number of portfolio holdings | $987 | |
| Portfolio turnover rate | $7 | % |
PORTFOLIO COMPOSITION - SECTOR
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
Ticker: BBHY - Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders USD High Yield Corporate Bond ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan BetaBuilders USD High Yield Corporate Bond ETF | $8 | 0.15% |
| * | This charge is annualized. |
| Fund net assets | $1,290,922,572 | |
| Total number of portfolio holdings | $1,453 | |
| Portfolio turnover rate | $21 | % |
PORTFOLIO COMPOSITION - ASSET CLASS
(% of Total Investments)
| (a) | Amount rounds to less than 0.1%. |
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan USD Emerging Markets Sovereign Bond ETF
Ticker: JPMB - NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan USD Emerging Markets Sovereign Bond ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan USD Emerging Markets Sovereign Bond ETF | $20 | 0.39% |
| * | This charge is annualized. |
| Fund net assets | $635,948,461 | |
| Total number of portfolio holdings | $422 | |
| Portfolio turnover rate | $11 | % |
PORTFOLIO COMPOSITION - COUNTRY
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
Ticker: BBAG - NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders U.S. Aggregate Bond ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan BetaBuilders U.S. Aggregate Bond ETF | $1 | 0.03% |
| * | This charge is annualized. |
| Fund net assets | $1,421,896,420 | |
| Total number of portfolio holdings | $2,319 | |
| Portfolio turnover rate | $51 | % |
PORTFOLIO COMPOSITION - ASSET CLASS
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
Ticker: BBSA - Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $3 | 0.05% |
| * | This charge is annualized. |
| Fund net assets | $14,522,444 | |
| Total number of portfolio holdings | $410 | |
| Portfolio turnover rate | $23 | % |
PORTFOLIO COMPOSITION - ASSET CLASS
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF
Ticker: BBIB - Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF | $4 | 0.07% |
| * | This charge is annualized. |
| Fund net assets | $6,202,183 | |
| Total number of portfolio holdings | $87 | |
| Portfolio turnover rate | $13 | % |
PORTFOLIO COMPOSITION - ASSET CLASS
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF
Ticker: BBLB - Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF | $4 | 0.07% |
| * | This charge is annualized. |
| Fund net assets | $25,031,494 | |
| Total number of portfolio holdings | $41 | |
| Portfolio turnover rate | $11 | % |
PORTFOLIO COMPOSITION - ASSET CLASS
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF
Ticker: BBSB - Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF | $4 | 0.07% |
| * | This charge is annualized. |
| Fund net assets | $2,973,627 | |
| Total number of portfolio holdings | $84 | |
| Portfolio turnover rate | $31 | % |
PORTFOLIO COMPOSITION - ASSET CLASS
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF
Ticker: BBIP - Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF for the period of March 1, 2024 to August 31, 2024. You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund | Costs of a
$10,000 investment | Costs paid as a percentage
of a $10,000 investment* |
| JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF | $4 | 0.07% |
| * | This charge is annualized. |
| Fund net assets | $1,466,751 | |
| Total number of portfolio holdings | $28 | |
| Portfolio turnover rate | $17 | % |
PORTFOLIO COMPOSITION - ASSET CLASS
(% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
ITEM 2. CODE OF ETHICS.
Not applicable to a semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to a semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to a semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to a semi-annual report.
ITEM 6. 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. FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Semi-Annual Report
J.P. Morgan Exchange-Traded Funds
August 31, 2024 (Unaudited)
| | |
| | New York Stock Exchange LLC |
JPMorgan Core Plus Bond ETF | | |
| | |
JPMorgan International Bond Opportunities ETF | | |
| | |
JPMorgan Short Duration Core Plus ETF | | |
JPMorgan Ultra-Short Income ETF | | |
JPMorgan Ultra-Short Municipal Income ETF | | |
CONTENTS
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at (844) 457-6383 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Shares are bought and sold throughout the day on an exchange at market price (not at net asset value) through a brokerage account, and are not individually subscribed and redeemed from a Fund. Shares may only be subscribed and redeemed directly from a Fund by Authorized Participants, in very large creation/redemption units. Brokerage commissions will reduce returns.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
U.S. Treasury Obligations — 27.6% |
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U.S. Treasury STRIPS Bonds | | |
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Total U.S. Treasury Obligations
(Cost $146,733,275) | | |
Mortgage-Backed Securities — 21.5% |
FHLMC Gold Pools, Other Pool # RE0003, 4.00%, 7/1/2049 | | |
| | |
Pool # SI2041, 3.00%, 10/1/2049 | | |
Pool # QA9530, 2.50%, 5/1/2050 | | |
Pool # QB3756, 2.50%, 9/1/2050 | | |
Pool # RA3653, 1.50%, 10/1/2050 | | |
| | |
|
Pool # RA3838, 3.00%, 10/1/2050 | | |
Pool # QB4903, 2.50%, 11/1/2050 | | |
Pool # QC2061, 2.00%, 5/1/2051 | | |
Pool # RA5680, 2.00%, 8/1/2051 | | |
Pool # SD0809, 3.00%, 1/1/2052 | | |
Pool # SD8190, 3.00%, 1/1/2052 | | |
Pool # RA6815, 2.50%, 2/1/2052 | | |
Pool # QE0399, 3.00%, 4/1/2052 | | |
Pool # QE1075, 3.00%, 4/1/2052 | | |
Pool # SD1373, 3.00%, 5/1/2052 | | |
Pool # SD5754, 3.50%, 6/1/2052 | | |
Pool # QE8520, 3.50%, 8/1/2052 | | |
Pool # SD2355, 4.50%, 12/1/2052 | | |
FNMA UMBS, 20 Year Pool # BM4920, 4.00%, 10/1/2038 | | |
| | |
Pool # AL9058, 3.50%, 9/1/2046 | | |
Pool # AL9397, 3.00%, 10/1/2046 | | |
Pool # BE9590, 3.50%, 5/1/2047 | | |
Pool # BK2113, 2.50%, 3/1/2050 | | |
Pool # BP8608, 2.50%, 6/1/2050 | | |
Pool # CA8670, 2.50%, 8/1/2050 | | |
Pool # BQ1367, 2.50%, 9/1/2050 | | |
Pool # BQ3137, 2.50%, 10/1/2050 | | |
Pool # FM4947, 2.00%, 12/1/2050 | | |
Pool # BP7667, 2.50%, 12/1/2050 | | |
Pool # CA8021, 2.50%, 12/1/2050 | | |
Pool # CA8044, 2.50%, 12/1/2050 | | |
Pool # CB0458, 2.50%, 5/1/2051 | | |
Pool # FM7293, 2.50%, 5/1/2051 | | |
Pool # CB0397, 3.00%, 5/1/2051 | | |
Pool # FM7346, 3.00%, 5/1/2051 | | |
Pool # FM7531, 3.00%, 5/1/2051 | | |
Pool # BT2415, 2.50%, 7/1/2051 | | |
Pool # FM7910, 2.50%, 7/1/2051 | | |
Pool # FM7957, 2.50%, 7/1/2051 | | |
Pool # CB1406, 3.00%, 8/1/2051 | | |
Pool # FM8479, 3.00%, 8/1/2051 | | |
Pool # FS5389, 2.50%, 11/1/2051 | | |
Pool # BU3608, 3.00%, 11/1/2051 | | |
Pool # FM9776, 3.00%, 11/1/2051 | | |
Pool # BU9885, 2.50%, 1/1/2052 | | |
Pool # FS8807, 3.00%, 1/1/2052 | | |
Pool # CB2855, 2.50%, 2/1/2052 | | |
Pool # FS3381, 2.50%, 2/1/2052 | | |
Pool # FS0488, 3.00%, 2/1/2052 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Mortgage-Backed Securities — continued |
Pool # BV4133, 2.50%, 3/1/2052 | | |
Pool # FS8041, 2.50%, 3/1/2052 | | |
Pool # CB3384, 4.00%, 4/1/2052 | | |
Pool # BV5631, 3.00%, 6/1/2052 | | |
Pool # FS8114, 3.50%, 6/1/2052 | | |
Pool # CB3775, 4.00%, 6/1/2052 | | |
Pool # CB4160, 4.50%, 7/1/2052 | | |
Pool # BY9849, 6.00%, 10/1/2053 | | |
| | |
Pool # BS2870, 1.27%, 8/1/2028 | | |
Pool # BL6257, 2.13%, 11/1/2028 | | |
Pool # BS5507, 3.23%, 11/1/2028 | | |
Pool # BS4928, 2.15%, 3/1/2029 | | |
Pool # BL5459, 2.37%, 6/1/2029 | | |
Pool # BS5162, 2.73%, 9/1/2029 | | |
Pool # BZ1679, 4.49%, 9/1/2029 ‡ (b) | | |
Pool # BS7010, 4.81%, 9/1/2029 | | |
Pool # BL4429, 2.25%, 10/1/2029 | | |
Pool # AM6835, 3.58%, 10/1/2029 | | |
Pool # BL4333, 2.52%, 11/1/2029 | | |
Pool # AN8514, 3.27%, 2/1/2030 | | |
Pool # BS6161, 4.47%, 8/1/2030 | | |
Pool # BZ0392, 4.82%, 3/1/2031 | | |
Pool # BZ1791, 4.61%, 8/1/2031 ‡ (b) | | |
Pool # BZ1524, 5.08%, 9/1/2031 ‡ (b) | | |
Pool # BM6857, 1.83%, 12/1/2031 (c) | | |
Pool # BZ1849, 4.74%, 1/1/2032 ‡ (b) | | |
Pool # BS5337, 3.01%, 4/1/2032 | | |
Pool # BZ1869, 4.76%, 4/1/2032 ‡ (b) | | |
Pool # BS5581, 3.46%, 6/1/2032 | | |
Pool # BS5659, 3.66%, 6/1/2032 | | |
Pool # AN5759, 3.29%, 7/1/2032 | | |
Pool # BS5530, 3.30%, 7/1/2032 | | |
Pool # BS6132, 3.86%, 7/1/2032 | | |
Pool # BS6276, 3.97%, 8/1/2032 | | |
Pool # AM0762, 3.29%, 9/1/2032 | | |
Pool # BS5718, 3.46%, 9/1/2032 | | |
Pool # BS6689, 3.83%, 9/1/2032 | | |
Pool # BS6417, 3.83%, 10/1/2032 | | |
Pool # BS6951, 3.90%, 10/1/2032 | | |
Pool # BS6619, 3.91%, 10/1/2032 | | |
Pool # BS6731, 3.78%, 11/1/2032 | | |
Pool # BS5864, 3.75%, 12/1/2032 | | |
Pool # BZ1498, 4.92%, 12/1/2032 | | |
Pool # BZ0159, 4.98%, 1/1/2033 | | |
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|
Pool # BZ1867, 4.74%, 3/1/2033 (b) | | |
Pool # BS1636, 2.25%, 4/1/2033 | | |
Pool # BS1899, 2.17%, 5/1/2033 | | |
Pool # BS9616, 4.79%, 9/1/2033 | | |
Pool # BZ0419, 4.25%, 1/1/2034 | | |
Pool # BZ0430, 4.32%, 2/1/2034 | | |
Pool # BZ0401, 4.52%, 3/1/2034 | | |
Pool # BL2213, 3.34%, 5/1/2034 | | |
Pool # BZ0565, 5.04%, 5/1/2034 | | |
Pool # BL3772, 2.92%, 10/1/2034 | | |
Pool # BL7071, 1.91%, 6/1/2035 | | |
Pool # AN4430, 3.61%, 1/1/2037 | | |
Pool # BS5761, 3.87%, 6/1/2037 | | |
Pool # MA1177, 3.50%, 9/1/2042 | | |
Pool # CA4632, 4.00%, 11/1/2043 | | |
Pool # BF0189, 3.00%, 6/1/2057 | | |
Pool # BF0440, 3.00%, 1/1/2060 | | |
Pool # BF0546, 2.50%, 7/1/2061 | | |
FNMA/FHLMC UMBS, Single Family, 30 Year | | |
TBA, 2.50%, 9/25/2054 (b) | | |
TBA, 3.00%, 9/25/2054 (b) | | |
TBA, 5.00%, 9/25/2054 (b) | | |
TBA, 5.50%, 9/25/2054 (b) | | |
GNMA I, 30 Year Pool # CU0301, 6.50%, 5/15/2053 | | |
GNMA II Pool # CK7234 ARM, 6.67%, 2/20/2072 (c) | | |
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Pool # AQ6679, 3.50%, 10/20/2045 | | |
Pool # AK8802, 3.75%, 3/20/2046 | | |
Pool # 787457, 4.00%, 3/20/2052 | | |
Pool # CO8957, 5.00%, 12/20/2052 | | |
Pool # CX2674, 6.00%, 10/20/2053 | | |
Pool # DD2409, 6.50%, 6/20/2054 | | |
Pool # DD0108, 6.50%, 7/20/2054 | | |
Pool # DD0109, 7.00%, 7/20/2054 | | |
Pool # DD0094, 7.00%, 8/20/2054 | | |
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Pool # AD0019, 3.50%, 2/20/2033 | | |
Pool # 787496, 6.00%, 7/20/2064 | | |
Total Mortgage-Backed Securities
(Cost $113,422,271) | | |
Asset-Backed Securities — 18.1% |
ACM Auto Trust Series 2023-2A, Class A, 7.97%, 6/20/2030 (d) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
American Credit Acceptance Receivables Trust Series 2023-4, Class C, 6.99%, 9/12/2030 (d) | | |
| | |
Series 2020-SFR2, Class E1, 4.03%, 7/17/2037 (d) | | |
Series 2020-SFR2, Class E2, 4.28%, 7/17/2037 (d) | | |
Series 2020-SFR4, Class D, 2.01%, 11/17/2037 (d) | | |
Series 2021-SFR1, Class D, 2.60%, 6/17/2038 (d) | | |
Series 2021-SFR2, Class A, 1.53%, 8/17/2038 (d) | | |
Series 2021-SFR3, Class C, 1.80%, 10/17/2038 (d) | | |
Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 (d) | | |
Series 2019-SFR1, Class D, 3.25%, 1/19/2039 (d) | | |
Series 2022-SFR3, Class E2, 4.00%, 10/17/2039 (d) | | |
Series 2023-SFR1, Class E1, 4.00%, 4/17/2040 (d) | | |
Series 2023-SFR2, Class E1, 3.95%, 6/17/2040 (d) | | |
| | |
Series 2019-A, Class C, 4.01%, 7/16/2040 (d) | | |
Series 2020-AA, Class C, 3.97%, 7/17/2046 (d) | | |
BG Beta Ltd. (Cayman Islands) | | |
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Series 2022-SFR1, Class A, 3.40%, 11/17/2037 (d) | | |
Series 2024-SFR1, Class C, 4.30%, 8/17/2040 (d) | | |
Bridgecrest Lending Auto Securitization Trust | | |
Series 2024-3, Class C, 5.70%, 7/16/2029 | | |
Series 2023-1, Class C, 7.10%, 8/15/2029 | | |
Business Jet Securities LLC | | |
Series 2021-1A, Class A, 2.16%, 4/15/2036 (d) | | |
Series 2021-1A, Class B, 2.92%, 4/15/2036 (d) | | |
Series 2021-1A, Class C, 5.07%, 4/15/2036 (d) | | |
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|
BXG Receivables Note Trust Series 2022-A, Class C, 5.35%, 9/28/2037 (d) | | |
Carvana Auto Receivables Trust | | |
Series 2023-N1, Class B, 5.85%, 11/10/2027 (d) | | |
Series 2021-P4, Class A4, 1.64%, 12/10/2027 | | |
Series 2022-P1, Class A4, 3.52%, 2/10/2028 | | |
Cascade MH Asset Trust Series 2021-MH1, Class M2, 3.69%, 2/25/2046 (d) | | |
CPS Auto Receivables Trust Series 2023-D, Class C, 7.17%, 1/15/2030 (d) | | |
Credit Acceptance Auto Loan Trust | | |
Series 2021-4, Class A, 1.26%, 10/15/2030 (d) | | |
Series 2021-4, Class C, 1.94%, 2/18/2031 (d) | | |
Series 2023-2A, Class A, 5.92%, 5/16/2033 (d) | | |
DP Lion Holdco LLC Series 2023-1A, Class A, 8.24%, 11/30/2043 ‡ | | |
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Series 2022-2A, Class E, 6.45%, 5/15/2029 (d) | | |
Series 2023-1A, Class E, 10.39%, 1/15/2030 (d) | | |
Energy Assets, 8.11%, 8/25/2044 ‡ | | |
| | |
Series 2023-2A, Class B, 7.49%, 11/15/2029 (d) | | |
Series 2024-1A, Class B, 6.26%, 3/15/2030 (d) | | |
First Investors Auto Owner Trust Series 2023-1A, Class C, 6.81%, 12/17/2029 (d) | | |
| | |
Series 2020-SFR1, Class D, 2.24%, 8/17/2037 (d) | | |
Series 2020-SFR1, Class E, 2.79%, 8/17/2037 (d) | | |
Series 2020-SFR2, Class C, 1.67%, 10/19/2037 (d) | | |
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (d) | | |
Series 2021-SFR1, Class C, 1.89%, 8/17/2038 (d) | | |
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (d) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Asset-Backed Securities — continued |
Series 2021-SFR2, Class C, 1.71%, 9/17/2038 (d) | | |
Series 2022-SFRA, Class A, 3.10%, 3/17/2039 (d) | | |
| | |
Series 2020-GT1, Class A, 4.45%, 1/25/2026 (c) (d) | | |
Series 2021-GT1, Class A, 3.62%, 7/25/2026 (c) (d) | | |
Series 2021-GT1, Class B, 4.36%, 7/25/2026 (c) (d) | | |
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (c) (d) | | |
Series 2022-GT1, Class B, 7.17%, 4/25/2027 (d) | | |
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Series 2020-1A, Class C, 5.75%, 7/16/2040 (d) | | |
Series 2021-1A, Class A, 1.27%, 5/15/2041 (d) | | |
Series 2023-2A, Class D, 9.10%, 6/15/2049 (d) | | |
Series 2024-1A, Class C, 6.53%, 12/15/2049 (d) | | |
FRTKL Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (d) | | |
FW Energy Asset Issuer LLC, 7.15%, 8/25/2044 ‡ | | |
GLS Auto Receivables Issuer Trust | | |
Series 2021-4A, Class D, 2.48%, 10/15/2027 (d) | | |
Series 2024-3A, Class D, 5.53%, 2/18/2031 (d) | | |
GLS Auto Select Receivables Trust | | |
Series 2023-2A, Class A3, 6.38%, 2/15/2029 (d) | | |
Series 2024-1A, Class C, 5.69%, 3/15/2030 (d) | | |
Series 2024-3A, Class B, 5.64%, 8/15/2030 (d) | | |
Series 2024-1A, Class D, 6.43%, 1/15/2031 (d) | | |
Goodgreen (Cayman Islands) Series 2019-1A, Class A, 3.86%, 10/15/2054 ‡ (d) | | |
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Series 2024-1A, Class A, 6.29%, 7/15/2056 ‡ (d) | | |
Series 2024-1A, Class B, 8.12%, 7/15/2056 ‡ (d) | | |
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|
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Series 2016-1A, Class A, 3.23%, 10/15/2052 ‡ (d) | | |
Series 2020-1A, Class A, 2.63%, 4/15/2055 ‡ (d) | | |
Granite Park Equipment Leasing LLC | | |
Series 2023-1A, Class A3, 6.46%, 9/20/2032 (d) | | |
Series 2023-1A, Class D, 7.00%, 8/22/2033 (d) | | |
HERO Funding (Cayman Islands) Series 2017-3A, Class A1, 3.19%, 9/20/2048 ‡ (d) | | |
HERO Funding Trust (Cayman Islands) Series 2020-1A, Class A, 2.59%, 9/20/2057 ‡ (d) | | |
Hilton Grand Vacations Trust | | |
Series 2022-2A, Class B, 4.74%, 1/25/2037 (d) | | |
Series 2024-1B, Class B, 5.99%, 9/15/2039 (d) | | |
HIN Timeshare Trust Series 2020-A, Class A, 1.39%, 10/9/2039 (d) | | |
HINNT LLC Series 2024-A, Class C, 6.32%, 3/15/2043 (d) | | |
Home Partners of America Trust | | |
Series 2021-2, Class D, 2.65%, 12/17/2026 (d) | | |
Series 2021-2, Class E1, 2.85%, 12/17/2026 (d) | | |
Series 2022-1, Class D, 4.73%, 4/17/2039 (d) | | |
Series 2020-2, Class E, 3.08%, 1/17/2041 (d) | | |
| | |
Series 2024-SFR1, Class D, 4.25%, 9/17/2029 (b) (d) | | |
Series 2024-SFR1, Class E, 4.50%, 9/17/2029 (b) (d) | | |
| | |
Series 2021-1A, Class B, 2.47%, 11/20/2031 (d) | | |
Series 2021-2A, Class B, 2.37%, 4/20/2032 (d) | | |
Series 2022-1A, Class E, 7.58%, 7/20/2032 ‡ (d) | | |
Mariner Finance Issuance Trust | | |
Series 2020-AA, Class A, 2.19%, 8/21/2034 (d) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
Series 2020-AA, Class B, 3.21%, 8/21/2034 (d) | | |
Series 2021-AA, Class B, 2.33%, 3/20/2036 (d) | | |
Series 2021-AA, Class C, 2.96%, 3/20/2036 (d) | | |
Series 2021-AA, Class D, 3.83%, 3/20/2036 (d) | | |
Series 2024-AA, Class D, 6.77%, 9/22/2036 (d) | | |
Series 2021-BA, Class C, 2.66%, 11/20/2036 (d) | | |
Merchants Fleet Funding LLC Series 2023-1A, Class A, 7.21%, 5/20/2036 (d) | | |
Mercury Financial Credit Card Master Trust Series 2024-2A, Class A, 6.56%, 7/20/2029 (d) | | |
MNR ABS Issuer I LLC, 8.95%, 12/15/2038 ‡ | | |
MVW LLC Series 2021-1WA, Class C, 1.94%, 1/22/2041 (d) | | |
New Residential Mortgage Loan Trust Series 2022-SFR1, Class B, 2.85%, 2/17/2039 (d) | | |
NRZ Excess Spread-Collateralized Notes | | |
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (d) | | |
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (d) | | |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (d) | | |
NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (d) | | |
OneMain Direct Auto Receivables Trust | | |
Series 2021-1A, Class A, 0.87%, 7/14/2028 (d) | | |
Series 2021-1A, Class B, 1.26%, 7/14/2028 (d) | | |
| | |
Series 2024-1A, Class B, 6.55%, 4/8/2031 (d) | | |
Series 2021-B, Class A, 1.47%, 5/8/2031 (d) | | |
Series 2021-B, Class C, 3.65%, 5/8/2031 (d) | | |
Series 2021-C, Class A, 2.18%, 10/8/2031 (d) | | |
Series 2021-C, Class B, 2.67%, 10/8/2031 (d) | | |
Series 2024-2, Class B, 5.83%, 2/9/2032 (d) | | |
| | |
|
Series 2024-2, Class C, 6.61%, 2/9/2032 (d) | | |
Pagaya AI Technology in Housing Trust | | |
Series 2022-1, Class E2, 4.25%, 8/25/2025 (d) | | |
Series 2023-1, Class A, 3.60%, 10/25/2040 (d) | | |
Series 2023-1, Class E2, 3.60%, 10/25/2040 (d) | | |
PEAC Solutions Receivables LLC Series 2024-1A, Class A3, 5.64%, 11/20/2030 (d) | | |
PRET LLC Series 2022-NPL1, Class A1, 2.98%, 1/25/2052 (d) (e) | | |
PRET Trust Series 2024-RPL2, Class A1, 4.07%, 6/25/2064 ‡ (d) (e) | | |
Pretium Mortgage Credit Partners LLC Series 2021-RN1, Class A1, 4.99%, 2/25/2061 (d) (e) | | |
| | |
Series 2021-SFR3, Class A, 1.64%, 5/17/2026 (d) | | |
Series 2021-SFR1, Class C, 1.56%, 4/17/2038 (d) | | |
Progress Residential Trust | | |
Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 (d) | | |
Series 2021-SFR6, Class A, 1.52%, 7/17/2038 (d) | | |
Series 2021-SFR7, Class A, 1.69%, 8/17/2040 (d) | | |
Series 2023-SFR2, Class D, 4.50%, 10/17/2040 (d) | | |
Series 2021-SFR10, Class E1, 3.57%, 12/17/2040 (d) | | |
Series 2022-SFR1, Class E1, 3.93%, 2/17/2041 (d) | | |
Series 2022-SFR4, Class A, 4.44%, 5/17/2041 (d) | | |
Series 2024-SFR4, Class C, 3.32%, 7/17/2041 (c) (d) | | |
PRPM LLC Series 2021-7, Class A1, 4.87%, 8/25/2026 (d) (e) | | |
Regional Management Issuance Trust Series 2022-1, Class B, 3.71%, 3/15/2032 (d) | | |
| | |
Series 2017-2A, Class A, 3.22%, 9/22/2053 ‡ (d) | | |
Series 2023-1A, Class A, 5.90%, 11/20/2058 ‡ (d) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Asset-Backed Securities — continued |
Series 2024-1A, Class A, 6.21%, 11/20/2059 ‡ (d) | | |
Republic Finance Issuance Trust | | |
Series 2020-A, Class B, 3.54%, 11/20/2030 (d) | | |
Series 2024-A, Class A, 5.91%, 8/20/2032 (d) | | |
Santander Drive Auto Receivables Trust | | |
Series 2022-4, Class C, 5.00%, 11/15/2029 | | |
Series 2022-5, Class D, 5.67%, 12/16/2030 | | |
Series 2022-6, Class D, 5.69%, 2/18/2031 | | |
SCF Equipment Leasing LLC | | |
Series 2022-2A, Class A3, 6.50%, 10/21/2030 (d) | | |
Series 2023-1A, Class A3, 6.17%, 5/20/2032 (d) | | |
Series 2024-1A, Class C, 5.82%, 9/20/2032 (d) | | |
Series 2022-2A, Class D, 6.50%, 10/20/2032 (d) | | |
Series 2023-1A, Class D, 7.00%, 8/22/2033 (d) | | |
Sierra Timeshare Receivables Funding LLC | | |
Series 2021-2A, Class A, 1.35%, 9/20/2038 (d) | | |
Series 2021-2A, Class C, 1.95%, 9/20/2038 (d) | | |
Series 2023-1A, Class C, 7.00%, 1/20/2040 (d) | | |
Series 2022-2A, Class C, 6.36%, 6/20/2040 (d) | | |
Series 2024-2A, Class C, 5.83%, 6/20/2041 (d) | | |
Stream Innovations Issuer Trust | | |
Series 2024-1A, Class A, 6.27%, 7/15/2044 (d) | | |
Series 2024-1A, Class B, 7.89%, 7/15/2044 (d) | | |
Tricolor Auto Securitization Trust Series 2022-1A, Class D, 5.38%, 1/15/2026 (d) | | |
Tricon American Homes Trust Series 2020-SFR2, Class E1, 2.73%, 11/17/2039 (d) | | |
| | |
Series 2022-SFR1, Class E1, 5.34%, 4/17/2039 (d) | | |
Series 2023-SFR2, Class C, 5.00%, 12/17/2040 (d) | | |
| | |
|
United Airlines Pass-Through Trust Series 2024-1, Class AA, 5.45%, 2/15/2037 | | |
VOLT C LLC Series 2021-NPL9, Class A1, 4.99%, 5/25/2051 (d) (e) | | |
VOLT CII LLC Series 2021-NP11, Class A1, 4.87%, 8/25/2051 (d) (e) | | |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 4.89%, 2/27/2051 (d) (e) | | |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 5.24%, 2/27/2051 (d) (e) | | |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 5.12%, 3/27/2051 (d) (e) | | |
Westgate Resorts LLC Series 2024-1A, Class B, 6.56%, 1/20/2038 (d) | | |
Westlake Automobile Receivables Trust Series 2023-4A, Class D, 7.19%, 7/16/2029 (d) | | |
Wingspire Equipment Finance LLC Series 2024-1A, Class C, 5.28%, 9/20/2032 (d) | | |
Total Asset-Backed Securities
(Cost $95,634,318) | | |
|
Aerospace & Defense — 0.3% |
BAE Systems plc (United Kingdom) 5.80%, 10/11/2041 (d) | | |
|
| | |
| | |
L3Harris Technologies, Inc. |
| | |
| | |
| | |
Northrop Grumman Corp. 5.15%, 5/1/2040 | | |
RTX Corp. 3.03%, 3/15/2052 | | |
| | |
|
General Motors Co. 5.95%, 4/1/2049 | | |
|
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (d) (f) | | |
AIB Group plc (Ireland) (SOFR + 1.91%), 5.87%, 3/28/2035 (d) (f) | | |
Banco Santander SA (Spain) 5.44%, 7/15/2031 | | |
|
(SOFR + 1.06%), 2.09%, 6/14/2029 (f) | | |
(SOFR + 1.21%), 2.57%, 10/20/2032 (f) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
(SOFR + 1.65%), 5.47%, 1/23/2035 (f) | | |
(SOFR + 1.91%), 5.43%, 8/15/2035 (f) | | |
(SOFR + 1.88%), 2.83%, 10/24/2051 (f) | | |
Bank of Ireland Group plc (Ireland) (SOFR + 1.62%), 5.60%, 3/20/2030 (d) (f) | | |
Banque Federative du Credit Mutuel SA (France) 5.79%, 7/13/2028 (d) | | |
Barclays plc (United Kingdom) |
(SOFR + 2.98%), 6.22%, 5/9/2034 (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 3.33%, 11/24/2042 (f) | | |
(SOFR + 2.42%), 6.04%, 3/12/2055 (f) | | |
|
(SOFR + 1.52%), 5.18%, 1/9/2030 (d) (f) | | |
(SOFR + 1.88%), 5.74%, 2/20/2035 (d) (f) | | |
|
(SOFR + 1.98%), 6.61%, 10/19/2027 (d) (f) | | |
(SOFR + 2.59%), 7.00%, 10/19/2034 (d) (f) | | |
(SOFR + 1.85%), 5.94%, 5/30/2035 (d) (f) | | |
|
(3-MONTH CME TERM SOFR + 1.45%), 4.08%, 4/23/2029 (f) | | |
(SOFR + 1.18%), 2.52%, 11/3/2032 (f) | | |
(SOFR + 1.45%), 5.45%, 6/11/2035 (f) | | |
Credit Agricole SA (France) (SOFR + 1.86%), 6.32%, 10/3/2029 (d) (f) | | |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (d) (f) | | |
HSBC Holdings plc (United Kingdom) |
(SOFR + 1.29%), 2.21%, 8/17/2029 (f) | | |
(SOFR + 1.52%), 5.73%, 5/17/2032 (f) | | |
(SOFR + 2.65%), 6.33%, 3/9/2044 (f) | | |
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 5.72%, 6/5/2030 (f) | | |
Mizuho Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 5.75%, 7/6/2034 (f) | | |
| | |
|
|
NatWest Group plc (United Kingdom) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.95%), 5.81%, 9/13/2029 (f) | | |
(3-MONTH SOFR + 1.87%), 4.45%, 5/8/2030 (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 4.96%, 8/15/2030 (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.78%, 3/1/2035 (f) | | |
Santander Holdings USA, Inc. (SOFR + 2.14%), 6.34%, 5/31/2035 (f) | | |
Skandinaviska Enskilda Banken AB (Sweden) 5.38%, 3/5/2029 (d) | | |
Societe Generale SA (France) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (d) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.95%), 6.69%, 1/10/2034 (d) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.07%, 1/19/2035 (d) (f) | | |
Standard Chartered plc (United Kingdom) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.69%, 5/14/2028 (d) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.45%), 5.91%, 5/14/2035 (d) (f) | | |
Sumitomo Mitsui Financial Group, Inc. (Japan) 5.42%, 7/9/2031 | | |
Truist Financial Corp. (SOFR + 1.92%), 5.71%, 1/24/2035 (f) | | |
US Bancorp (SOFR + 1.86%), 5.68%, 1/23/2035 (f) | | |
|
(SOFR + 1.79%), 6.30%, 10/23/2029 (f) | | |
(SOFR + 2.06%), 6.49%, 10/23/2034 (f) | | |
(SOFR + 1.78%), 5.50%, 1/23/2035 (f) | | |
(SOFR + 2.13%), 4.61%, 4/25/2053 (f) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 5.80%, 1/23/2059 | | |
Molson Coors Beverage Co. 4.20%, 7/15/2046 | | |
| | |
|
|
| | |
| | |
| | |
Amgen, Inc. 5.75%, 3/2/2063 | | |
Gilead Sciences, Inc. 2.60%, 10/1/2040 | | |
| | |
Broadline Retail — 0.0% ^ |
Amazon.com, Inc. 3.25%, 5/12/2061 | | |
Building Products — 0.0% ^ |
Masco Corp. 6.50%, 8/15/2032 | | |
|
Bank of New York Mellon Corp. (The) |
(SOFR + 1.60%), 6.32%, 10/25/2029 (f) | | |
(SOFR + 1.85%), 6.47%, 10/25/2034 (f) | | |
Deutsche Bank AG (Germany) |
(SOFR + 1.59%), 5.71%, 2/8/2028 (f) | | |
| | |
(SOFR + 1.72%), 3.04%, 5/28/2032 (f) | | |
Goldman Sachs Group, Inc. (The) |
(SOFR + 1.27%), 5.73%, 4/25/2030 (f) | | |
(SOFR + 1.21%), 5.05%, 7/23/2030 (f) | | |
(SOFR + 1.25%), 2.38%, 7/21/2032 (f) | | |
(SOFR + 1.55%), 5.85%, 4/25/2035 (f) | | |
(SOFR + 1.55%), 5.33%, 7/23/2035 (f) | | |
(3-MONTH CME TERM SOFR + 1.69%), 4.41%, 4/23/2039 (f) | | |
|
(SOFR + 1.59%), 5.16%, 4/20/2029 (f) | | |
(SOFR + 1.22%), 5.04%, 7/19/2030 (f) | | |
(SOFR + 1.87%), 5.25%, 4/21/2034 (f) | | |
(SOFR + 1.73%), 5.47%, 1/18/2035 (f) | | |
(SOFR + 1.56%), 5.32%, 7/19/2035 (f) | | |
Nomura Holdings, Inc. (Japan) 5.78%, 7/3/2034 | | |
UBS Group AG (Switzerland) |
(USD SOFR ICE Swap Rate 1 Year + 1.34%), 5.62%, 9/13/2030 (d) (f) | | |
| | |
|
Capital Markets — continued |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00%), 6.30%, 9/22/2034 (d) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 3.18%, 2/11/2043 (d) (f) | | |
| | |
|
CF Industries, Inc. 5.15%, 3/15/2034 | | |
DuPont de Nemours, Inc. 5.32%, 11/15/2038 | | |
LYB International Finance III LLC 4.20%, 10/15/2049 | | |
Nutrien Ltd. (Canada) 5.00%, 4/1/2049 | | |
Sherwin-Williams Co. (The) 4.80%, 9/1/2031 | | |
| | |
Commercial Services & Supplies — 0.0% ^ |
Element Fleet Management Corp. (Canada) 6.32%, 12/4/2028 (d) | | |
|
AerCap Ireland Capital DAC (Ireland) |
| | |
| | |
| | |
Avolon Holdings Funding Ltd. (Ireland) |
| | |
| | |
| | |
General Motors Financial Co., Inc. 5.95%, 4/4/2034 | | |
Macquarie Airfinance Holdings Ltd. (United Kingdom) 6.50%, 3/26/2031 (d) | | |
| | |
Consumer Staples Distribution & Retail — 0.1% |
7-Eleven, Inc. 1.80%, 2/10/2031 (d) | | |
Alimentation Couche-Tard, Inc. (Canada) |
| | |
| | |
|
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (d) | | |
Simon Property Group LP 3.25%, 9/13/2049 | | |
WP Carey, Inc. 2.25%, 4/1/2033 | | |
| | |
Diversified Telecommunication Services — 0.3% |
|
| | |
| | |
| | |
Verizon Communications, Inc. |
| | |
| | |
| | |
| | |
Electric Utilities — 1.5% |
Baltimore Gas and Electric Co. 5.65%, 6/1/2054 | | |
|
Series B, 3.25%, 4/1/2051 | | |
Series B, 3.65%, 3/1/2052 | | |
| | |
|
| | |
| | |
Duquesne Light Holdings, Inc. 2.78%, 1/7/2032 (d) | | |
Electricite de France SA (France) 5.95%, 4/22/2034 (d) | | |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | | |
Enel Finance International NV (Italy) |
| | |
| | |
Entergy Arkansas LLC 5.75%, 6/1/2054 | | |
Entergy Mississippi LLC 5.85%, 6/1/2054 | | |
|
| | |
| | |
FirstEnergy Transmission LLC 5.45%, 7/15/2044 (d) | | |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | | |
|
| | |
| | |
|
Electric Utilities — continued |
| | |
Massachusetts Electric Co. 4.00%, 8/15/2046 (d) | | |
Monongahela Power Co. 5.85%, 2/15/2034 (d) | | |
NextEra Energy Capital Holdings, Inc. |
| | |
| | |
Niagara Mohawk Power Corp. 5.66%, 1/17/2054 (d) | | |
Oklahoma Gas and Electric Co. 5.60%, 4/1/2053 | | |
Oncor Electric Delivery Co. LLC 4.95%, 9/15/2052 | | |
Pacific Gas and Electric Co. |
| | |
| | |
| | |
| | |
PG&E Recovery Funding LLC |
Series A-2, 5.23%, 6/1/2042 | | |
Series A-3, 5.53%, 6/1/2049 | | |
PPL Capital Funding, Inc. 5.25%, 9/1/2034 | | |
PPL Electric Utilities Corp. 5.25%, 5/15/2053 | | |
Public Service Co. of Oklahoma |
| | |
Series K, 3.15%, 8/15/2051 | | |
Public Service Electric and Gas Co. 3.00%, 3/1/2051 | | |
Sierra Pacific Power Co. 5.90%, 3/15/2054 | | |
Southern California Edison Co. |
| | |
| | |
| | |
| | |
Union Electric Co. 4.00%, 4/1/2048 | | |
Virginia Electric and Power Co. 5.55%, 8/15/2054 | | |
Vistra Operations Co. LLC 6.00%, 4/15/2034 (d) | | |
Xcel Energy, Inc. 4.80%, 9/15/2041 | | |
| | |
Electronic Equipment, Instruments & Components — 0.0% ^ |
Corning, Inc. 5.35%, 11/15/2048 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
Take-Two Interactive Software, Inc. 5.60%, 6/12/2034 | | |
Warnermedia Holdings, Inc. 5.14%, 3/15/2052 | | |
| | |
Financial Services — 0.2% |
|
| | |
| | |
|
| | |
| | |
Nationwide Building Society (United Kingdom) (3-MONTH SOFR + 1.45%), 4.30%, 3/8/2029 (d) (f) | | |
NTT Finance Corp. (Japan) 5.14%, 7/2/2031 (d) | | |
| | |
|
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | | |
Campbell Soup Co. 3.13%, 4/24/2050 | | |
|
| | |
| | |
|
| | |
| | |
| | |
Kraft Heinz Foods Co. 4.38%, 6/1/2046 | | |
Tyson Foods, Inc. 5.70%, 3/15/2034 | | |
| | |
|
Atmos Energy Corp. 4.13%, 3/15/2049 | | |
Boston Gas Co. 4.49%, 2/15/2042 (d) | | |
Piedmont Natural Gas Co., Inc. 5.05%, 5/15/2052 | | |
Southwest Gas Corp. 3.80%, 9/29/2046 | | |
| | |
Ground Transportation — 0.1% |
Burlington Northern Santa Fe LLC |
| | |
| | |
CSX Corp. 3.35%, 9/15/2049 | | |
| | |
|
Ground Transportation — continued |
Norfolk Southern Corp. 4.05%, 8/15/2052 | | |
Penske Truck Leasing Co. LP 6.05%, 8/1/2028 (d) | | |
Union Pacific Corp. 4.10%, 9/15/2067 | | |
| | |
Health Care Providers & Services — 0.5% |
Aetna, Inc. 4.50%, 5/15/2042 | | |
Cigna Group (The) 3.40%, 3/15/2051 | | |
|
| | |
| | |
Elevance Health, Inc. 4.65%, 1/15/2043 | | |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
Alexandria Real Estate Equities, Inc. 5.25%, 5/15/2036 | | |
Healthcare Realty Holdings LP 3.10%, 2/15/2030 | | |
|
| | |
| | |
| | |
Independent Power and Renewable Electricity Producers — 0.2% |
Constellation Energy Generation LLC |
| | |
| | |
| | |
Southern Power Co. 5.15%, 9/15/2041 | | |
| | |
Industrial Conglomerates — 0.0% ^ |
Honeywell International, Inc. 5.25%, 3/1/2054 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
|
| | |
| | |
| | |
|
Aon North America, Inc. 5.75%, 3/1/2054 | | |
Arthur J Gallagher & Co. 5.75%, 7/15/2054 | | |
Berkshire Hathaway Finance Corp. 3.85%, 3/15/2052 | | |
CNA Financial Corp. 5.13%, 2/15/2034 | | |
Corebridge Global Funding 5.20%, 6/24/2029 (d) | | |
F&G Annuities & Life, Inc. 6.50%, 6/4/2029 | | |
F&G Global Funding 5.88%, 6/10/2027 (d) | | |
Liberty Mutual Group, Inc. 3.95%, 10/15/2050 (d) | | |
Mutual of Omaha Cos. Global Funding 5.45%, 12/12/2028 (d) | | |
New York Life Insurance Co. 3.75%, 5/15/2050 (d) | | |
Pine Street Trust III 6.22%, 5/15/2054 (d) | | |
Prudential Funding Asia plc (Hong Kong) 3.13%, 4/14/2030 | | |
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (d) | | |
| | |
Interactive Media & Services — 0.1% |
|
| | |
| | |
| | |
|
Charter Communications Operating LLC |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
|
Discovery Communications LLC 3.63%, 5/15/2030 | | |
Paramount Global 5.85%, 9/1/2043 | | |
| | |
|
Glencore Funding LLC (Australia) 5.63%, 4/4/2034 (d) | | |
|
| | |
| | |
|
| | |
| | |
| | |
|
Ameren Illinois Co. 5.55%, 7/1/2054 | | |
Consolidated Edison Co. of New York, Inc. 5.70%, 6/15/2040 | | |
Consumers Energy Co. 3.25%, 8/15/2046 | | |
Dominion Energy, Inc. Series C, 4.90%, 8/1/2041 | | |
Puget Energy, Inc. 2.38%, 6/15/2028 | | |
Puget Sound Energy, Inc. 5.69%, 6/15/2054 | | |
San Diego Gas & Electric Co. 3.95%, 11/15/2041 | | |
Southern Co. Gas Capital Corp. |
| | |
Series 21A, 3.15%, 9/30/2051 | | |
| | |
Oil, Gas & Consumable Fuels — 1.1% |
|
| | |
| | |
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (d) | | |
Cheniere Energy, Inc. 5.65%, 4/15/2034 (d) | | |
Columbia Pipelines Operating Co. LLC 5.93%, 8/15/2030 (d) | | |
ConocoPhillips Co. 5.30%, 5/15/2053 | | |
Devon Energy Corp. 5.75%, 9/15/2054 | | |
Enbridge, Inc. (Canada) 5.63%, 4/5/2034 | | |
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
Enterprise Products Operating LLC 5.55%, 2/16/2055 | | |
|
| | |
| | |
Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (d) | | |
|
| | |
| | |
Marathon Petroleum Corp. 6.50%, 3/1/2041 | | |
| | |
|
| | |
| | |
Northern Natural Gas Co. 5.63%, 2/1/2054 (d) | | |
Occidental Petroleum Corp. |
| | |
| | |
|
| | |
| | |
Phillips 66 Co. 4.90%, 10/1/2046 | | |
Plains All American Pipeline LP 4.90%, 2/15/2045 | | |
Targa Resources Corp. 5.50%, 2/15/2035 | | |
TotalEnergies Capital International SA (France) 3.13%, 5/29/2050 | | |
TransCanada PipeLines Ltd. (Canada) |
| | |
| | |
Williams Cos., Inc. (The) 5.80%, 11/15/2054 | | |
| | |
|
|
| | |
| | |
| | |
Eli Lilly & Co. 5.00%, 2/9/2054 | | |
Merck & Co., Inc. 2.90%, 12/10/2061 | | |
Takeda Pharmaceutical Co. Ltd. (Japan) |
| | |
| | |
| | |
| | |
|
|
|
| | |
| | |
UDR, Inc. 3.10%, 11/1/2034 | | |
| | |
|
|
| | |
| | |
|
| | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 0.3% |
|
| | |
| | |
| | |
Foundry JV Holdco LLC 6.15%, 1/25/2032 (d) | | |
Intel Corp. 5.70%, 2/10/2053 | | |
KLA Corp. 3.30%, 3/1/2050 | | |
|
| | |
| | |
QUALCOMM, Inc. 4.50%, 5/20/2052 | | |
Texas Instruments, Inc. 5.05%, 5/18/2063 | | |
| | |
|
Intuit, Inc. 5.50%, 9/15/2053 | | |
|
| | |
| | |
| | |
| | |
Specialized REITs — 0.0% ^ |
Crown Castle, Inc. 4.00%, 3/1/2027 | | |
Extra Space Storage LP 5.90%, 1/15/2031 | | |
| | |
Technology Hardware, Storage & Peripherals — 0.1% |
Apple, Inc. 4.10%, 8/8/2062 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
BAT Capital Corp. (United Kingdom) |
| | |
| | |
| | |
Philip Morris International, Inc. 3.88%, 8/21/2042 | | |
| | |
Trading Companies & Distributors — 0.1% |
Aviation Capital Group LLC 5.38%, 7/15/2029 (d) | | |
|
American Water Capital Corp. 5.45%, 3/1/2054 | | |
Wireless Telecommunication Services — 0.3% |
Rogers Communications, Inc. (Canada) 3.70%, 11/15/2049 | | |
|
| | |
| | |
| | |
Vodafone Group plc (United Kingdom) |
| | |
| | |
| | |
Total Corporate Bonds
(Cost $70,976,359) | | |
Commercial Mortgage-Backed Securities — 8.1% |
BAMLL Re-REMIC Trust Series 2024-FRR3, Class B, 1.50%, 1/27/2050 (c) (d) | | |
Banc of America Re-Remic Trust Series 2024-FRR1, Class B, 0.00%, 4/27/2049 ‡ (d) | | |
BB-UBS Trust Series 2012-SHOW, Class B, 3.88%, 11/5/2036 (d) | | |
| | |
Series 2014-USA, Class A2, 3.95%, 9/15/2037 (d) | | |
Series 2014-USA, Class B, 4.18%, 9/15/2037 (d) | | |
Series 2014-USA, Class C, 4.34%, 9/15/2037 (d) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series KJ36, Class A1, 1.30%, 12/25/2026 | | |
| | |
|
Series KL06, Class XFX, IO, 1.47%, 12/25/2029 (c) | | |
Series KJ40, Class A2, 3.69%, 11/25/2030 (c) | | |
Series K135, Class AM, 1.91%, 10/25/2031 (c) | | |
Series KJ44, Class A2, 4.61%, 2/25/2033 | | |
| | |
Series 2020-M52, Class A1, 0.88%, 10/25/2030 | | |
Series 2022-M2S, Class A1, 3.88%, 5/25/2032 (c) | | |
Series 2020-M53, Class A2, 1.75%, 11/25/2032 (c) | | |
Series 2023-M8, Class A1, 4.62%, 11/25/2032 (c) | | |
Series 2024-M2, Class A1, 4.77%, 4/25/2033 (c) | | |
| | |
Series 2017-K66, Class B, 4.18%, 7/25/2027 (c) (d) | | |
Series 2017-KGX1, Class BFX, 3.71%, 10/25/2027 (c) (d) | | |
Series 2019-KBF3, Class B, 7.97%, 1/25/2029 (c) (d) | | |
Series 2018-K154, Class B, 4.16%, 11/25/2032 (c) (d) | | |
Series 2018-K155, Class B, 4.31%, 4/25/2033 (c) (d) | | |
Series 2015-K46, Class C, 3.82%, 4/25/2048 (c) (d) | | |
Series 2015-K49, Class B, 3.85%, 10/25/2048 (c) (d) | | |
Series 2016-K55, Class C, 4.30%, 4/25/2049 (c) (d) | | |
Series 2016-K58, Class C, 3.87%, 9/25/2049 (c) (d) | | |
Series 2017-K64, Class B, 4.14%, 5/25/2050 (c) (d) | | |
Series 2018-K80, Class B, 4.38%, 8/25/2050 (c) (d) | | |
Series 2017-K71, Class B, 3.88%, 11/25/2050 (c) (d) | | |
Series 2017-K71, Class C, 3.88%, 11/25/2050 (c) (d) | | |
Series 2019-K91, Class C, 4.40%, 4/25/2051 (c) (d) | | |
Series 2018-K79, Class C, 4.35%, 7/25/2051 (c) (d) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
Series 2019-K103, Class B, 3.57%, 12/25/2051 (c) (d) | | |
Series 2019-K102, Class B, 3.65%, 12/25/2051 (c) (d) | | |
Series 2019-K90, Class C, 4.46%, 2/25/2052 (c) (d) | | |
Series 2019-K88, Class C, 4.53%, 2/25/2052 (c) (d) | | |
Series 2019-K94, Class C, 4.10%, 7/25/2052 (c) (d) | | |
Series 2019-K98, Class C, 3.86%, 10/25/2052 (c) (d) | | |
Series 2019-K100, Class C, 3.61%, 11/25/2052 (c) (d) | | |
Series 2020-K737, Class B, 3.42%, 1/25/2053 (c) (d) | | |
Series 2020-K737, Class C, 3.42%, 1/25/2053 (c) (d) | | |
Series 2020-K105, Class C, 3.53%, 3/25/2053 (c) (d) | | |
Series 2019-K96, Class C, 3.94%, 8/25/2056 (c) (d) | | |
| | |
Series 2022-FRR3, Class AK41, PO, , 10/27/2047 ‡ (d) | | |
Series 2022-FRR3, Class BK41, PO, , 10/27/2047 ‡ (d) | | |
Series 2022-FRR3, Class CK41, PO, , 10/27/2047 ‡ (d) | | |
Series 2022-FRR3, Class AK47, 0.70%, 5/27/2048 ‡ (c) (d) | | |
Series 2021-FRR1, Class 2A, PO, , 11/29/2050 ‡ (d) | | |
Series 2021-FRR2, Class BK44, 1.69%, 9/27/2051 ‡ (c) (d) | | |
Series 2021-FRR2, Class AK44, 1.92%, 9/27/2051 ‡ (c) (d) | | |
Series 2021-FRR2, Class BK49, 2.27%, 9/27/2051 ‡ (c) (d) | | |
| | |
Series 2012-132, Class Z, 2.66%, 6/16/2054 (c) | | |
Series 2013-61, Class Z, 2.75%, 10/16/2054 (c) | | |
Series 2013-1, Class Z, 2.38%, 1/16/2055 (c) | | |
Series 2017-76, Class B, 2.60%, 12/16/2056 | | |
| | |
|
Series 2017-191, Class B, 2.50%, 7/16/2059 (c) | | |
MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (d) | | |
Multi-Family Connecticut Avenue Securities Trust Series 2024-01, Class M7, 8.10%, 7/25/2054 (c) (d) | | |
RFM Re-REMIC Trust Series 2024-FRR2, Class A100, PO, 11/27/2052 (d) | | |
Total Commercial Mortgage-Backed Securities
(Cost $43,278,717) | | |
Collateralized Mortgage Obligations — 7.4% |
Alta Apartments, 4.82%, 5/1/2029 ‡ (b) | | |
| | |
Series 2024-HB15, Class M1, 4.00%, 8/25/2034 ‡ (c) (d) | | |
Series 2024-HB15, Class M2, 4.00%, 8/25/2034 ‡ (c) (d) | | |
CSMC Trust Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (d) (e) | | |
FHLMC Seasoned Credit Risk Transfer Trust | | |
Series 2017-2, Class HT, 3.00%, 8/25/2056 (e) | | |
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | | |
Series 2017-4, Class M60C, 3.50%, 6/25/2057 | | |
Series 2017-4, Class MT, 3.50%, 6/25/2057 | | |
Series 2019-1, Class MA, 3.50%, 7/25/2058 | | |
Series 2019-1, Class MT, 3.50%, 7/25/2058 | | |
Series 2019-2, Class HT, 3.00%, 8/25/2058 | | |
Series 2021-1, Class MTU, 2.50%, 9/25/2060 | | |
Series 2021-2, Class MTU, 2.50%, 11/25/2060 | | |
Series 2022-2, Class M5TU, 4.00%, 4/25/2062 | | |
| | |
Series 4016, Class KZ, 4.00%, 3/15/2042 | | |
Series 5073, Class GA, 1.50%, 8/25/2044 | | |
Series 5027, Class JA, 2.00%, 10/25/2044 | | |
Series 4487, Class TL, 3.00%, 5/15/2045 | | |
Series 4585, Class DA, 3.00%, 6/15/2045 | | |
Series 4480, Class NB, 3.50%, 6/15/2045 | | |
Series 4710, Class JE, 2.75%, 6/15/2047 | | |
Series 5149, Class HB, 1.25%, 8/25/2048 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Collateralized Mortgage Obligations — continued |
Series 4994, Class LI, IO, 4.00%, 12/25/2048 | | |
Series 4913, Class UA, 3.00%, 3/15/2049 | | |
Series 4863, Class H, 7.00%, 3/15/2049 | | |
Series 4896, Class CG, 3.50%, 4/15/2049 | | |
Series 5141, Class PA, 1.00%, 4/25/2050 | | |
Series 5023, Class TE, 1.00%, 10/25/2050 | | |
Series 5088, Class MP, 1.00%, 12/25/2050 | | |
Series 5063, Class LC, 0.75%, 1/25/2051 | | |
Series 4862, Class NO, PO, 8/15/2057 | | |
| | |
Series 276, Class 20, 2.00%, 9/15/2042 | | |
Series 326, Class 350, 3.50%, 3/15/2044 | | |
| | |
Series 2012-4, Class NB, 4.00%, 2/25/2042 | | |
Series 2012-124, Class PA, 2.50%, 7/25/2042 | | |
Series 2012-130, Class DC, 3.00%, 12/25/2042 | | |
Series 2015-92, Class GZ, 3.00%, 4/25/2043 | | |
Series 2017-87, Class EA, 3.00%, 4/25/2044 | | |
Series 2019-60, Class DA, 2.50%, 3/25/2049 | | |
Series 2019-12, Class BA, 3.00%, 4/25/2049 | | |
Series 2020-50, Class A, 2.00%, 7/25/2050 | | |
Series 2020-54, Class UB, 5.00%, 7/25/2050 | | |
Series 2020-70, Class AD, 1.50%, 10/25/2050 | | |
Series 2021-27, Class EC, 1.50%, 5/25/2051 | | |
| | |
Series 2012-13, Class FQ, 5.77%, 1/20/2038 (c) | | |
Series 2019-83, Class YA, 4.77%, 6/20/2040 (c) | | |
Series 2013-91, Class WA, 4.43%, 4/20/2043 (c) | | |
Series 2021-50, Class LD, 1.50%, 1/20/2048 | | |
Series 2021-66, Class QA, 1.00%, 3/20/2050 | | |
Series 2020-65, Class KC, 1.00%, 5/20/2050 | | |
| | |
|
Series 2021-16, Class JB, 1.50%, 1/20/2051 | | |
Series 2022-9, Class P, 2.00%, 9/20/2051 | | |
Series 2022-34, Class PN, 3.00%, 2/20/2052 | | |
GS Mortgage-Backed Securities Trust Series 2024-RPL4, Class A1, 3.90%, 9/25/2061 (d) (e) | | |
Jonah, 7.63%, 8/10/2039 ‡ | | |
MFA Trust Series 2024-RPL1, Class A1, 4.25%, 2/25/2066 (c) (d) | | |
New Residential Mortgage Loan Trust Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (d) (e) | | |
| | |
Series 2020-4, Class A1, 5.61%, 10/25/2025 (d) (e) | | |
Series 2023-RCF2, Class A1, 4.00%, 11/25/2053 (d) (e) | | |
Series 2024-RCF1, Class A1, 4.00%, 1/25/2054 (d) (e) | | |
Series 2024-RPL1, Class A1, 4.20%, 12/25/2064 (d) (e) | | |
Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (c) (d) | | |
| | |
Series 2010-1, Class DZ, 4.25%, 4/15/2040 | | |
Series 2011-1, Class DZ, 3.75%, 9/15/2046 | | |
Total Collateralized Mortgage Obligations
(Cost $39,049,575) | | |
Foreign Government Securities — 0.2% |
| | |
| | |
| | |
Total Foreign Government Securities
(Cost $878,018) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Short-Term Investments — 7.6% |
Investment Companies — 7.6% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (g) (h)
(Cost $41,465,102) | | |
Total Investments — 104.1%
(Cost $551,437,635) | | |
Liabilities in Excess of Other Assets — (4.1)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| Alternative Credit Enhancement Securities |
| Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2024. |
| Chicago Mercantile Exchange |
| Credit Suisse Mortgage Trust |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| 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. |
| Intercontinental Exchange |
| 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. |
| 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. |
| Real Estate Investment Trust |
| Real Estate Mortgage Investment Conduit |
| Combined Real Estate Mortgage Investment Conduit |
| Secured Overnight Financing Rate |
| 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. |
| To Be Announced; Security is subject to delayed delivery. |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| The rate shown is the effective yield as of August 31, 2024. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| 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 August 31, 2024. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| 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 August 31, 2024. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2024. | |
| 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. | |
| The rate shown is the current yield as of August 31, 2024. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
Futures contracts outstanding as of August 31, 2024:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
|
Aerospace & Defense — 0.4% |
BAE Systems plc (United Kingdom) 1.90%, 2/15/2031 (a) | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Bombardier, Inc. (Canada) 6.00%, 2/15/2028 (a) | | |
BWX Technologies, Inc. 4.13%, 4/15/2029 (a) | | |
L3Harris Technologies, Inc. |
| | |
| | |
|
| | |
| | |
Precision Castparts Corp. 4.38%, 6/15/2045 | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a) | | |
|
| | |
| | |
| | |
Wesco Aircraft Holdings, Inc. 9.00%, 11/15/2026 (a) (b) | | |
| | |
Automobile Components — 0.2% |
Adient Global Holdings Ltd. |
| | |
| | |
| | |
|
Automobile Components — continued |
Allison Transmission, Inc. |
| | |
| | |
American Axle & Manufacturing, Inc. |
| | |
| | |
| | |
Aptiv plc 5.40%, 3/15/2049 | | |
|
| | |
| | |
Cooper-Standard Automotive, Inc. |
13.50% (Blend (Cash 9.00% + PIK 4.50%)), 3/31/2027 (a) (c) | | |
10.63% (PIK), 5/15/2027 (a) (c) | | |
|
| | |
| | |
| | |
Goodyear Tire & Rubber Co. (The) |
| | |
| | |
| | |
Icahn Enterprises LP 5.25%, 5/15/2027 | | |
Lear Corp. 2.60%, 1/15/2032 | | |
| | |
|
|
| | |
| | |
| | |
General Motors Co. 5.95%, 4/1/2049 | | |
|
| | |
| | |
| | |
| | |
| | |
|
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) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 6.34%, 9/18/2027 (a) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (a) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.90%), 3.32%, 3/13/2037 (a) (d) | | |
AIB Group plc (Ireland) (SOFR + 2.33%), 6.61%, 9/13/2029 (a) (d) | | |
ANZ New Zealand Int'l Ltd. (New Zealand) 5.36%, 8/14/2028 (a) | | |
ASB Bank Ltd. (New Zealand) 2.38%, 10/22/2031 (a) | | |
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) | | |
Banco Santander SA (Spain) |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 9.63%, 11/21/2028 (d) (e) (f) (g) | | |
| | |
|
(SOFR + 1.01%), 1.20%, 10/24/2026 (d) | | |
(3-MONTH CME TERM SOFR + 1.84%), 3.82%, 1/20/2028 (d) | | |
(3-MONTH CME TERM SOFR + 1.77%), 3.71%, 4/24/2028 (d) | | |
(3-MONTH CME TERM SOFR + 1.63%), 3.59%, 7/21/2028 (d) | | |
(SOFR + 2.04%), 4.95%, 7/22/2028 (d) | | |
(3-MONTH CME TERM SOFR + 1.30%), 3.42%, 12/20/2028 (d) | | |
(SOFR + 1.63%), 5.20%, 4/25/2029 (d) | | |
(SOFR + 1.06%), 2.09%, 6/14/2029 (d) | | |
(SOFR + 1.57%), 5.82%, 9/15/2029 (d) | | |
(SOFR + 1.53%), 1.90%, 7/23/2031 (d) | | |
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (d) | | |
(SOFR + 1.22%), 2.30%, 7/21/2032 (d) | | |
(SOFR + 1.21%), 2.57%, 10/20/2032 (d) | | |
| | |
|
|
(SOFR + 1.84%), 5.87%, 9/15/2034 (d) | | |
(SOFR + 1.65%), 5.47%, 1/23/2035 (d) | | |
(SOFR + 1.91%), 5.43%, 8/15/2035 (d) | | |
(3-MONTH CME TERM SOFR + 1.58%), 4.08%, 4/23/2040 (d) | | |
Bank of Ireland Group plc (Ireland) |
(EUR Swap Annual 5 Year + 7.92%), 7.50%, 5/19/2025 (d) (e) (f) (g) (h) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, 9/16/2026 (a) (d) | | |
(SOFR + 1.62%), 5.60%, 3/20/2030 (a) (d) | | |
Bank of Montreal (Canada) |
| | |
| | |
Bank of Nova Scotia (The) (Canada) 2.15%, 8/1/2031 | | |
Banque Federative du Credit Mutuel SA (France) |
| | |
| | |
| | |
Barclays plc (United Kingdom) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.30%), 7.39%, 11/2/2028 (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.50%), 7.44%, 11/2/2033 (d) | | |
|
(SOFR + 1.61%), 1.90%, 9/30/2028 (a) (d) | | |
(SOFR + 1.22%), 2.16%, 9/15/2029 (a) (d) | | |
(SOFR + 1.52%), 5.18%, 1/9/2030 (a) (d) | | |
(SOFR + 1.59%), 5.50%, 5/20/2030 (a) (d) | | |
(SOFR + 1.88%), 5.74%, 2/20/2035 (a) (d) | | |
|
| | |
(SOFR + 1.98%), 6.61%, 10/19/2027 (a) (d) | | |
| | |
(SOFR + 2.27%), 6.71%, 10/19/2029 (a) (d) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
(SOFR + 1.31%), 2.28%, 1/20/2032 (a) (d) | | |
(SOFR + 1.73%), 3.12%, 10/19/2032 (a) (d) | | |
(SOFR + 2.59%), 7.00%, 10/19/2034 (a) (d) | | |
(SOFR + 1.85%), 5.94%, 5/30/2035 (a) (d) | | |
|
(SOFR + 2.08%), 6.68%, 9/13/2027 (a) (d) | | |
(EUR Swap Annual 5 Year + 6.35%), 5.88%, 10/9/2027 (d) (e) (f) (g) (h) | | |
(EUR Swap Annual 5 Year + 3.55%), 6.25%, 2/23/2033 (d) (h) | | |
Canadian Imperial Bank of Commerce (Canada) |
| | |
| | |
|
| | |
| | |
| | |
|
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025 (d) (f) (g) | | |
(SOFR + 0.77%), 1.46%, 6/9/2027 (d) | | |
(3-MONTH CME TERM SOFR + 1.82%), 3.89%, 1/10/2028 (d) | | |
(3-MONTH CME TERM SOFR + 1.65%), 3.67%, 7/24/2028 (d) | | |
(3-MONTH CME TERM SOFR + 1.45%), 4.08%, 4/23/2029 (d) | | |
Series CC, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.69%), 7.13%, 8/15/2029 (d) (f) (g) | | |
(SOFR + 1.36%), 5.17%, 2/13/2030 (d) | | |
(3-MONTH CME TERM SOFR + 1.60%), 3.98%, 3/20/2030 (d) | | |
(SOFR + 1.15%), 2.67%, 1/29/2031 (d) | | |
(SOFR + 3.91%), 4.41%, 3/31/2031 (d) | | |
(SOFR + 2.11%), 2.57%, 6/3/2031 (d) | | |
(SOFR + 1.17%), 2.56%, 5/1/2032 (d) | | |
(SOFR + 1.18%), 2.52%, 11/3/2032 (d) | | |
(SOFR + 1.94%), 3.79%, 3/17/2033 (d) | | |
| | |
|
|
(SOFR + 2.06%), 5.83%, 2/13/2035 (d) | | |
(SOFR + 1.45%), 5.45%, 6/11/2035 (d) | | |
(SOFR + 1.38%), 2.90%, 11/3/2042 (d) | | |
Cooperatieve Rabobank UA (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (a) (d) | | |
Credit Agricole SA (France) |
(SOFR + 0.89%), 1.25%, 1/26/2027 (a) (d) | | |
| | |
(SOFR + 1.86%), 6.32%, 10/3/2029 (a) (d) | | |
(SOFR + 1.69%), 5.34%, 1/10/2030 (a) (d) | | |
Danske Bank A/S (Denmark) |
(3-MONTH SOFR + 1.59%), 3.24%, 12/20/2025 (a) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (a) (d) | | |
DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.13%, 9/16/2026 (a) (d) | | |
Fifth Third Bancorp (SOFRINDX + 2.13%), 4.77%, 7/28/2030 (d) | | |
HSBC Holdings plc (United Kingdom) |
(SOFR + 1.57%), 5.89%, 8/14/2027 (d) | | |
(SOFR + 2.61%), 5.21%, 8/11/2028 (d) | | |
(SOFR + 1.73%), 2.01%, 9/22/2028 (d) | | |
(SOFR + 3.35%), 7.39%, 11/3/2028 (d) | | |
(3-MONTH CME TERM SOFR + 1.87%), 3.97%, 5/22/2030 (d) | | |
(SOFR + 1.52%), 5.73%, 5/17/2032 (d) | | |
(SOFR + 1.19%), 2.80%, 5/24/2032 (d) | | |
(SOFR + 1.41%), 2.87%, 11/22/2032 (d) | | |
(SOFR + 2.65%), 6.33%, 3/9/2044 (d) | | |
Intesa Sanpaolo SpA (Italy) |
(EUR Swap Annual 5 Year + 7.19%), 7.75%, 1/11/2027 (d) (e) (f) (g) (h) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (a) (d) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
KBC Group NV (Belgium) (EURIBOR ICE Swap Rate 5 Year + 4.93%), 8.00%, 9/5/2028 (d) (e) (f) (g) (h) | | |
KeyCorp (SOFRINDX + 2.42%), 6.40%, 3/6/2035 (d) | | |
Lloyds Banking Group plc (United Kingdom) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.38%), 5.46%, 1/5/2028 (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 5.72%, 6/5/2030 (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 4.98%, 8/11/2033 (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 5.68%, 1/5/2035 (d) | | |
Mitsubishi UFJ Financial Group, Inc. (Japan) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (d) | | |
Series 8NC7, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.53%), 5.48%, 2/22/2031 (d) | | |
Mizuho Financial Group, Inc. (Japan) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 5.78%, 7/6/2029 (d) | | |
(3-MONTH CME TERM SOFR + 1.77%), 2.20%, 7/10/2031 (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 5.75%, 7/6/2034 (d) | | |
National Australia Bank Ltd. (Australia) 4.90%, 6/13/2028 | | |
NatWest Group plc (United Kingdom) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 5.85%, 3/2/2027 (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 3.07%, 5/22/2028 (d) | | |
(3-MONTH SOFR + 1.91%), 5.08%, 1/27/2030 (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 4.96%, 8/15/2030 (d) | | |
| | |
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.75%), 8.13%, 11/10/2033 (d) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.78%, 3/1/2035 (d) | | |
NatWest Markets plc (United Kingdom) 5.41%, 5/17/2029 (a) | | |
Nordea Bank Abp (Finland) 5.38%, 9/22/2027 (a) | | |
PNC Financial Services Group, Inc. (The) |
| | |
(SOFR + 0.98%), 2.31%, 4/23/2032 (d) | | |
(SOFR + 1.95%), 5.94%, 8/18/2034 (d) | | |
(SOFR + 2.28%), 6.88%, 10/20/2034 (d) | | |
(SOFR + 1.90%), 5.68%, 1/22/2035 (d) | | |
Royal Bank of Canada (Canada) 4.65%, 1/27/2026 (e) | | |
Santander Holdings USA, Inc. |
(SOFR + 2.50%), 6.17%, 1/9/2030 (d) | | |
(SOFR + 2.14%), 6.34%, 5/31/2035 (d) | | |
Santander UK Group Holdings plc (United Kingdom) |
(SOFR + 2.75%), 6.83%, 11/21/2026 (d) | | |
(SOFR + 0.99%), 1.67%, 6/14/2027 (d) | | |
(SOFR + 1.48%), 2.90%, 3/15/2032 (d) | | |
Skandinaviska Enskilda Banken AB (Sweden) 5.38%, 3/5/2029 (a) | | |
Societe Generale SA (France) |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (a) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.80%, 1/19/2028 (a) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 6.45%, 1/10/2029 (a) (d) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 5.63%, 1/19/2030 (a) (d) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.07%, 1/19/2035 (a) (d) | | |
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) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.69%, 5/14/2028 (a) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (a) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.45%), 6.30%, 1/9/2029 (a) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.20%), 7.02%, 2/8/2030 (a) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.45%), 5.91%, 5/14/2035 (a) (d) | | |
Sumitomo Mitsui Financial Group, Inc. (Japan) |
| | |
| | |
| | |
| | |
Sumitomo Mitsui Trust Bank Ltd. (Japan) 4.95%, 9/15/2027 (a) | | |
Svenska Handelsbanken AB (Sweden) 5.50%, 6/15/2028 (a) | | |
Swedbank AB (Sweden) 5.34%, 9/20/2027 (a) | | |
Toronto-Dominion Bank (The) (Canada) |
| | |
| | |
| | |
| | |
|
(SOFR + 2.05%), 6.05%, 6/8/2027 (d) | | |
(SOFR + 1.85%), 5.12%, 1/26/2034 (d) | | |
(SOFR + 2.36%), 5.87%, 6/8/2034 (d) | | |
(SOFR + 1.92%), 5.71%, 1/24/2035 (d) | | |
| | |
|
|
UniCredit SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (d) | | |
|
(SOFR + 0.73%), 2.22%, 1/27/2028 (d) | | |
(SOFR + 1.56%), 5.38%, 1/23/2030 (d) | | |
(SOFR + 1.86%), 5.68%, 1/23/2035 (d) | | |
|
(SOFR + 1.32%), 3.91%, 4/25/2026 (d) | | |
| | |
(SOFR + 1.07%), 5.71%, 4/22/2028 (d) | | |
(3-MONTH CME TERM SOFR + 1.57%), 3.58%, 5/22/2028 (d) | | |
(SOFR + 1.98%), 4.81%, 7/25/2028 (d) | | |
(SOFR + 1.74%), 5.57%, 7/25/2029 (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 6.85%, 9/15/2029 (d) (f) (g) | | |
(SOFR + 1.79%), 6.30%, 10/23/2029 (d) | | |
(SOFR + 1.50%), 5.20%, 1/23/2030 (d) | | |
(SOFR + 1.50%), 3.35%, 3/2/2033 (d) | | |
(SOFR + 2.02%), 5.39%, 4/24/2034 (d) | | |
(SOFR + 1.99%), 5.56%, 7/25/2034 (d) | | |
(SOFR + 2.06%), 6.49%, 10/23/2034 (d) | | |
| | |
Westpac Banking Corp. (Australia) |
| | |
| | |
Westpac New Zealand Ltd. (New Zealand) 5.20%, 2/28/2029 (a) | | |
| | |
|
Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036 | | |
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.38%, 4/15/2038 | | |
Coca-Cola Femsa SAB de CV (Mexico) 2.75%, 1/22/2030 | | |
Constellation Brands, Inc. |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Diageo Capital plc (United Kingdom) 3.88%, 4/29/2043 | | |
Keurig Dr Pepper, Inc. Series 10, 5.20%, 3/15/2031 | | |
Molson Coors Beverage Co. 4.20%, 7/15/2046 | | |
PepsiCo, Inc. 2.75%, 10/21/2051 | | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
Biogen, Inc. 2.25%, 5/1/2030 | | |
CSL Finance plc (Australia) 5.11%, 4/3/2034 (a) | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Grifols SA (Spain) 4.75%, 10/15/2028 (a) | | |
Regeneron Pharmaceuticals, Inc. |
| | |
| | |
| | |
|
|
| | |
| | |
Go Daddy Operating Co. LLC |
| | |
| | |
Macy's Retail Holdings LLC 5.88%, 4/1/2029 (a) | | |
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a) | | |
| | |
|
Broadline Retail — continued |
Nordstrom, Inc. 4.38%, 4/1/2030 | | |
Shutterfly Finance LLC 8.50% (Blend (Cash 4.25% + PIK 4.25%)), 10/1/2027 (a) (c) | | |
| | |
|
Builders FirstSource, Inc. |
| | |
| | |
Carrier Global Corp. 5.90%, 3/15/2034 | | |
EMRLD Borrower LP 6.63%, 12/15/2030 (a) | | |
Griffon Corp. 5.75%, 3/1/2028 | | |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | | |
Masco Corp. 1.50%, 2/15/2028 | | |
Masterbrand, Inc. 7.00%, 7/15/2032 (a) | | |
Miter Brands Acquisition Holdco, Inc. 6.75%, 4/1/2032 (a) | | |
Smyrna Ready Mix Concrete LLC 8.88%, 11/15/2031 (a) | | |
Standard Industries, Inc. |
| | |
| | |
| | |
|
| | |
| | |
| | |
|
Bank of New York Mellon Corp. (The) |
(SOFR + 1.60%), 6.32%, 10/25/2029 (d) | | |
(SOFR + 1.42%), 4.29%, 6/13/2033 (d) | | |
(SOFR + 1.85%), 6.47%, 10/25/2034 (d) | | |
Credit Suisse USA LLC (Switzerland) 7.13%, 7/15/2032 | | |
Deutsche Bank AG (Germany) |
(SOFR + 2.52%), 7.15%, 7/13/2027 (d) | | |
(SOFR + 1.32%), 2.55%, 1/7/2028 (d) | | |
(SOFR + 1.59%), 5.71%, 2/8/2028 (d) | | |
| | |
(SOFR + 2.51%), 6.82%, 11/20/2029 (d) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Capital Markets — continued |
Goldman Sachs Group, Inc. (The) |
(SOFR + 1.08%), 5.80%, 8/10/2026 (d) | | |
| | |
(SOFR + 0.80%), 1.43%, 3/9/2027 (d) | | |
(SOFR + 1.51%), 4.39%, 6/15/2027 (d) | | |
(SOFR + 1.11%), 2.64%, 2/24/2028 (d) | | |
(3-MONTH CME TERM SOFR + 1.77%), 3.69%, 6/5/2028 (d) | | |
(3-MONTH CME TERM SOFR + 1.42%), 3.81%, 4/23/2029 (d) | | |
(3-MONTH CME TERM SOFR + 1.56%), 4.22%, 5/1/2029 (d) | | |
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.81%), 7.50%, 5/10/2029 (d) (f) (g) | | |
(SOFR + 1.77%), 6.48%, 10/24/2029 (d) | | |
(SOFR + 1.27%), 5.73%, 4/25/2030 (d) | | |
(SOFR + 1.21%), 5.05%, 7/23/2030 (d) | | |
(SOFR + 1.28%), 2.62%, 4/22/2032 (d) | | |
(SOFR + 1.41%), 3.10%, 2/24/2033 (d) | | |
(SOFR + 1.55%), 5.33%, 7/23/2035 (d) | | |
(SOFR + 1.51%), 3.21%, 4/22/2042 (d) | | |
(SOFR + 1.63%), 3.44%, 2/24/2043 (d) | | |
Macquarie Group Ltd. (Australia) (3-MONTH SOFR + 1.75%), 5.03%, 1/15/2030 (a) (d) | | |
|
(SOFR + 0.88%), 1.59%, 5/4/2027 (d) | | |
(SOFR + 1.00%), 2.48%, 1/21/2028 (d) | | |
| | |
(SOFR + 1.73%), 5.12%, 2/1/2029 (d) | | |
(SOFR + 1.63%), 5.45%, 7/20/2029 (d) | | |
(SOFR + 1.83%), 6.41%, 11/1/2029 (d) | | |
(SOFR + 1.45%), 5.17%, 1/16/2030 (d) | | |
(3-MONTH CME TERM SOFR + 1.89%), 4.43%, 1/23/2030 (d) | | |
(SOFR + 1.22%), 5.04%, 7/19/2030 (d) | | |
(SOFR + 1.03%), 1.79%, 2/13/2032 (d) | | |
(SOFR + 1.29%), 2.94%, 1/21/2033 (d) | | |
(SOFR + 1.88%), 5.42%, 7/21/2034 (d) | | |
(SOFR + 1.58%), 5.83%, 4/19/2035 (d) | | |
(SOFR + 1.56%), 5.32%, 7/19/2035 (d) | | |
(SOFR + 1.36%), 2.48%, 9/16/2036 (d) | | |
| | |
|
Capital Markets — continued |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.80%), 5.94%, 2/7/2039 (d) | | |
(SOFR + 1.49%), 3.22%, 4/22/2042 (d) | | |
Nomura Holdings, Inc. (Japan) |
| | |
| | |
Nuveen LLC 4.00%, 11/1/2028 (a) | | |
|
| | |
| | |
| | |
State Street Corp. Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.61%), 6.70%, 3/15/2029 (d) (f) (g) | | |
UBS Group AG (Switzerland) |
(SOFRINDX + 0.98%), 1.31%, 2/2/2027 (a) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.49%, 8/10/2027 (a) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.75%, 5/12/2028 (a) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 9.25%, 11/13/2028 (a) (d) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.52%), 5.43%, 2/8/2030 (a) (d) | | |
(3-MONTH SOFR + 1.47%), 3.13%, 8/13/2030 (a) (d) | | |
(USD SOFR ICE Swap Rate 1 Year + 1.34%), 5.62%, 9/13/2030 (a) (d) | | |
(SOFR + 3.92%), 6.54%, 8/12/2033 (a) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.76%), 9.25%, 11/13/2033 (a) (d) (e) (f) (g) | | |
(SOFR + 5.02%), 9.02%, 11/15/2033 (a) (d) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Capital Markets — continued |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.77%), 5.70%, 2/8/2035 (a) (d) | | |
| | |
| | |
|
Avient Corp. 7.13%, 8/1/2030 (a) | | |
Axalta Coating Systems LLC 4.75%, 6/15/2027 (a) | | |
Celanese US Holdings LLC 6.38%, 7/15/2032 | | |
CF Industries, Inc. 5.15%, 3/15/2034 | | |
|
| | |
| | |
CVR Partners LP 6.13%, 6/15/2028 (a) | | |
Ecolab, Inc. 2.13%, 2/1/2032 | | |
EIDP, Inc. 4.80%, 5/15/2033 | | |
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | | |
INEOS Finance plc (Luxembourg) 6.75%, 5/15/2028 (a) | | |
LYB International Finance III LLC 3.38%, 10/1/2040 | | |
NOVA Chemicals Corp. (Canada) |
| | |
| | |
| | |
|
| | |
| | |
| | |
OCP SA (Morocco) 7.50%, 5/2/2054 (a) | | |
Scotts Miracle-Gro Co. (The) |
| | |
| | |
Sherwin-Williams Co. (The) |
| | |
| | |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a) | | |
|
| | |
| | |
| | |
| | |
|
Commercial Services & Supplies — 0.3% |
ACCO Brands Corp. 4.25%, 3/15/2029 (a) | | |
|
| | |
| | |
Allied Universal Holdco LLC 4.63%, 6/1/2028 (a) | | |
Element Fleet Management Corp. (Canada) 6.27%, 6/26/2026 (a) | | |
Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a) | | |
|
| | |
| | |
| | |
| | |
| | |
Interface, Inc. 5.50%, 12/1/2028 (a) | | |
Madison IAQ LLC 4.13%, 6/30/2028 (a) | | |
Prime Security Services Borrower LLC |
| | |
| | |
Republic Services, Inc. 2.38%, 3/15/2033 | | |
Stericycle, Inc. 3.88%, 1/15/2029 (a) | | |
Waste Management, Inc. 1.50%, 3/15/2031 | | |
Williams Scotsman, Inc. 7.38%, 10/1/2031 (a) | | |
Wrangler Holdco Corp. (Canada) 6.63%, 4/1/2032 (a) | | |
| | |
Communications Equipment — 0.0% ^ |
Ciena Corp. 4.00%, 1/31/2030 (a) | | |
CommScope LLC 6.00%, 3/1/2026 (a) | | |
CommScope Technologies LLC 6.00%, 6/15/2025 (a) | | |
| | |
Construction & Engineering — 0.2% |
Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (a) | | |
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | | |
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | | |
MasTec, Inc. 4.50%, 8/15/2028 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Construction & Engineering — continued |
Quanta Services, Inc. 5.25%, 8/9/2034 | | |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | | |
| | |
Construction Materials — 0.0% ^ |
Knife River Corp. 7.75%, 5/1/2031 (a) | | |
Martin Marietta Materials, Inc. 2.40%, 7/15/2031 | | |
| | |
|
AerCap Ireland Capital DAC (Ireland) |
| | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.72%), 6.95%, 3/10/2055 (d) | | |
|
| | |
| | |
|
| | |
| | |
| | |
(SOFRINDX + 1.28%), 5.28%, 7/27/2029 (d) | | |
Avolon Holdings Funding Ltd. (Ireland) |
| | |
| | |
| | |
| | |
| | |
| | |
Capital One Financial Corp. (SOFR + 1.27%), 2.62%, 11/2/2032 (d) | | |
Ford Motor Credit Co. LLC |
| | |
| | |
| | |
| | |
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General Motors Financial Co., Inc. |
| | |
| | |
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|
Consumer Finance — continued |
| | |
| | |
| | |
John Deere Capital Corp. 4.70%, 6/10/2030 | | |
|
| | |
| | |
| | |
| | |
Volkswagen International Finance NV (Germany) (EUR Swap Annual 10 Year + 3.37%), 3.88%, 6/14/2027 (d) (f) (g) (h) | | |
| | |
Consumer Staples Distribution & Retail — 0.2% |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
Alimentation Couche-Tard, Inc. (Canada) |
| | |
| | |
| | |
|
| | |
| | |
Performance Food Group, Inc. 5.50%, 10/15/2027 (a) | | |
|
8.00% (PIK), 10/18/2024 ‡ (a) (c) | | |
(3-MONTH CME TERM SOFR + 7.00%), 12.32%, 10/18/2024 ‡ (a) (d) | | |
8.00%, 11/15/2026 ‡ (a) (b) | | |
Sysco Corp. 2.40%, 2/15/2030 | | |
|
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Containers & Packaging — 0.4% |
Ardagh Packaging Finance plc 4.13%, 8/15/2026 (a) | | |
|
| | |
| | |
Berry Global, Inc. 5.80%, 6/15/2031 (a) | | |
Canpack SA (Poland) 3.88%, 11/15/2029 (a) | | |
|
| | |
| | |
Graphic Packaging International LLC |
| | |
| | |
| | |
LABL, Inc. 6.75%, 7/15/2026 (a) | | |
Mauser Packaging Solutions Holding Co. 7.88%, 4/15/2027 (a) | | |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | | |
Packaging Corp. of America |
| | |
| | |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | | |
|
| | |
| | |
TriMas Corp. 4.13%, 4/15/2029 (a) | | |
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (j) | | |
WRKCo, Inc. 4.65%, 3/15/2026 | | |
| | |
|
American Builders & Contractors Supply Co., Inc. |
| | |
| | |
Ritchie Bros Holdings, Inc. (Canada) |
| | |
| | |
| | |
| | |
|
Diversified Consumer Services — 0.1% |
Service Corp. International 5.13%, 6/1/2029 | | |
Wand NewCo 3, Inc. 7.63%, 1/30/2032 (a) | | |
| | |
Diversified REITs — 0.0% ^ |
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a) | | |
|
| | |
| | |
|
| | |
| | |
| | |
Diversified Telecommunication Services — 0.6% |
Altice Financing SA (Luxembourg) 5.00%, 1/15/2028 (a) | | |
Altice France SA (France) 5.13%, 7/15/2029 (a) | | |
|
| | |
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|
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| | |
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| | |
| | |
Embarq Corp. 8.00%, 6/1/2036 | | |
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a) | | |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | | |
|
| | |
| | |
NBN Co. Ltd. (Australia) 5.75%, 10/6/2028 (a) | | |
Sprint Capital Corp. 6.88%, 11/15/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Diversified Telecommunication Services — continued |
Telecom Italia Capital SA (Italy) 6.00%, 9/30/2034 | | |
Verizon Communications, Inc. |
| | |
| | |
| | |
| | |
| | |
| | |
Electric Utilities — 2.3% |
|
| | |
| | |
Alliant Energy Finance LLC 5.40%, 6/6/2027 (a) | | |
Baltimore Gas and Electric Co. |
| | |
| | |
| | |
| | |
Comision Federal de Electricidad (Mexico) |
| | |
| | |
Commonwealth Edison Co. 5.30%, 2/1/2053 | | |
Connecticut Light and Power Co. (The) 4.00%, 4/1/2048 | | |
Consumers 2023 Securitization Funding LLC Series A2, 5.21%, 9/1/2030 | | |
|
| | |
Series B, 3.25%, 4/1/2051 | | |
Series B, 3.65%, 3/1/2052 | | |
| | |
DTE Electric Securitization Funding II LLC Series A-2, 6.09%, 9/1/2037 | | |
Duke Energy Carolinas LLC 3.20%, 8/15/2049 | | |
Duke Energy Corp. 5.80%, 6/15/2054 | | |
|
| | |
| | |
|
Series YYY, 3.25%, 10/1/2049 | | |
| | |
| | |
|
Electric Utilities — continued |
| | |
Duke Energy Ohio, Inc. 5.25%, 4/1/2033 | | |
Duquesne Light Holdings, Inc. 2.53%, 10/1/2030 (a) | | |
|
| | |
| | |
| | |
Electricite de France SA (France) |
| | |
| | |
Emera US Finance LP (Canada) |
| | |
| | |
Enel Finance International NV (Italy) |
| | |
| | |
| | |
|
| | |
| | |
| | |
Entergy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.67%), 7.13%, 12/1/2054 (d) | | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Entergy Texas Restoration Funding LLC Series A-2, 3.70%, 12/15/2035 | | |
|
| | |
| | |
Evergy Kansas Central, Inc. 4.13%, 3/1/2042 | | |
|
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
Fells Point Funding Trust 3.05%, 1/31/2027 (a) | | |
FirstEnergy Transmission LLC |
| | |
| | |
Florida Power & Light Co. |
| | |
| | |
Georgia Power Co. 5.25%, 3/15/2034 | | |
Interchile SA (Chile) 4.50%, 6/30/2056 (a) | | |
|
| | |
| | |
| | |
| | |
Kentucky Utilities Co. 5.13%, 11/1/2040 | | |
|
| | |
| | |
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (a) | | |
Mississippi Power Co. Series 12-A, 4.25%, 3/15/2042 | | |
Monongahela Power Co. 5.85%, 2/15/2034 (a) | | |
Nevada Power Co. 6.00%, 3/15/2054 | | |
NextEra Energy Capital Holdings, Inc. |
| | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.46%), 6.75%, 6/15/2054 (d) | | |
Northern States Power Co. 2.60%, 6/1/2051 | | |
|
| | |
| | |
| | |
| | |
| | |
OGE Energy Corp. 5.45%, 5/15/2029 | | |
Ohio Power Co. Series R, 2.90%, 10/1/2051 | | |
Oklahoma Gas and Electric Co. 5.40%, 1/15/2033 | | |
| | |
|
Electric Utilities — continued |
Oncor Electric Delivery Co. LLC |
| | |
| | |
Pacific Gas and Electric Co. |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Palomino Funding Trust I 7.23%, 5/17/2028 (a) | | |
|
| | |
| | |
PG&E Recovery Funding LLC |
Series A-2, 5.23%, 6/1/2042 | | |
Series A-3, 5.54%, 7/15/2047 | | |
Series A-3, 5.53%, 6/1/2049 | | |
PG&E Wildfire Recovery Funding LLC |
Series A-2, 4.26%, 6/1/2036 | | |
Series A-4, 5.21%, 12/1/2047 | | |
Series A-5, 5.10%, 6/1/2052 | | |
PPL Capital Funding, Inc. 5.25%, 9/1/2034 | | |
PPL Electric Utilities Corp. |
| | |
| | |
Public Service Co. of Oklahoma |
| | |
Series G, 6.63%, 11/15/2037 | | |
Series K, 3.15%, 8/15/2051 | | |
Public Service Electric and Gas Co. 4.65%, 3/15/2033 | | |
RWE Finance US LLC (Germany) 5.88%, 4/16/2034 (a) | | |
SCE Recovery Funding LLC Series A-1, 4.70%, 6/15/2040 | | |
Sigeco Securitization I LLC |
Series A1, 5.03%, 11/15/2036 | | |
Series A2, 5.17%, 5/15/2041 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
Southern California Edison Co. |
| | |
| | |
Series G, 2.50%, 6/1/2031 | | |
| | |
| | |
Series C, 4.13%, 3/1/2048 | | |
Series 20A, 2.95%, 2/1/2051 | | |
| | |
| | |
|
| | |
| | |
Southwestern Electric Power Co. |
| | |
| | |
Southwestern Public Service Co. 4.50%, 8/15/2041 | | |
Tierra Mojada Luxembourg II SARL (Mexico) 5.75%, 12/1/2040 (a) | | |
Tucson Electric Power Co. |
| | |
| | |
| | |
|
| | |
| | |
| | |
Virginia Electric and Power Co. |
| | |
| | |
Vistra Operations Co. LLC |
| | |
| | |
| | |
| | |
| | |
| | |
Wisconsin Public Service Corp. 4.75%, 11/1/2044 | | |
| | |
Electrical Equipment — 0.1% |
Eaton Corp. 4.15%, 3/15/2033 | | |
EnerSys 4.38%, 12/15/2027 (a) | | |
| | |
|
Electrical Equipment — continued |
|
| | |
| | |
Sensata Technologies BV 4.00%, 4/15/2029 (a) | | |
Vertiv Group Corp. 4.13%, 11/15/2028 (a) | | |
| | |
Electronic Equipment, Instruments & Components — 0.1% |
Coherent Corp. 5.00%, 12/15/2029 (a) | | |
Corning, Inc. 3.90%, 11/15/2049 | | |
Insight Enterprises, Inc. 6.63%, 5/15/2032 (a) | | |
Sensata Technologies, Inc. 4.38%, 2/15/2030 (a) | | |
| | |
Energy Equipment & Services — 0.2% |
|
| | |
| | |
Baker Hughes Holdings LLC |
| | |
| | |
Diamond Foreign Asset Co. 8.50%, 10/1/2030 (a) | | |
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a) | | |
Nabors Industries, Inc. 7.38%, 5/15/2027 (a) | | |
Noble Finance II LLC 8.00%, 4/15/2030 (a) | | |
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a) | | |
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (a) | | |
Transocean, Inc. 8.75%, 2/15/2030 (a) | | |
USA Compression Partners LP 6.88%, 9/1/2027 | | |
Valaris Ltd. 8.38%, 4/30/2030 (a) | | |
Yinson Boronia Production BV (Brazil) 8.95%, 7/31/2042 (a) | | |
| | |
|
|
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Entertainment — continued |
Live Nation Entertainment, Inc. |
| | |
| | |
| | |
Take-Two Interactive Software, Inc. |
| | |
| | |
Walt Disney Co. (The) 6.65%, 11/15/2037 | | |
Warnermedia Holdings, Inc. |
| | |
| | |
| | |
| | |
| | |
Financial Services — 0.3% |
|
| | |
| | |
Boost Newco Borrower LLC 7.50%, 1/15/2031 (a) | | |
|
| | |
| | |
Global Payments, Inc. 3.20%, 8/15/2029 | | |
Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (a) | | |
Nationwide Building Society (United Kingdom) |
(3-MONTH SOFR + 1.45%), 4.30%, 3/8/2029 (a) (d) | | |
| | |
NCR Atleos Corp. 9.50%, 4/1/2029 (a) | | |
NTT Finance Corp. (Japan) 5.14%, 7/2/2031 (a) | | |
PayPal Holdings, Inc. 5.05%, 6/1/2052 | | |
|
| | |
| | |
Shell International Finance BV |
| | |
| | |
| | |
| | |
Shift4 Payments LLC 6.75%, 8/15/2032 (a) | | |
| | |
|
Financial Services — continued |
Siemens Financieringsmaatschappij NV (Germany) 3.30%, 9/15/2046 (a) | | |
Visa, Inc. 2.70%, 4/15/2040 | | |
| | |
|
Bimbo Bakeries USA, Inc. (Mexico) 6.05%, 1/15/2029 (a) | | |
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | | |
Campbell Soup Co. 4.15%, 3/15/2028 | | |
Cargill, Inc. 4.38%, 4/22/2052 (a) | | |
Darling Ingredients, Inc. |
| | |
| | |
General Mills, Inc. 4.15%, 2/15/2043 | | |
|
| | |
| | |
| | |
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (a) | | |
|
| | |
| | |
Viterra Finance BV (Netherlands) 3.20%, 4/21/2031 (a) | | |
| | |
|
|
| | |
| | |
| | |
|
| | |
| | |
| | |
Boston Gas Co. 3.00%, 8/1/2029 (a) | | |
Piedmont Natural Gas Co., Inc. 5.05%, 5/15/2052 | | |
Southern California Gas Co. Series XX, 2.55%, 2/1/2030 | | |
Superior Plus LP (Canada) 4.50%, 3/15/2029 (a) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Ground Transportation — 0.4% |
Avis Budget Car Rental LLC |
| | |
| | |
| | |
| | |
Burlington Northern Santa Fe LLC |
| | |
| | |
| | |
| | |
Canadian Pacific Railway Co. (Canada) |
| | |
| | |
CSX Corp. 4.50%, 11/15/2052 | | |
|
| | |
| | |
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | | |
Hertz Corp. (The) 4.63%, 12/1/2026 (a) | | |
Norfolk Southern Corp. 3.95%, 10/1/2042 | | |
Penske Truck Leasing Co. LP |
| | |
| | |
RXO, Inc. 7.50%, 11/15/2027 (a) | | |
SMBC Aviation Capital Finance DAC (Ireland) 5.30%, 4/3/2029 (a) | | |
Uber Technologies, Inc. 7.50%, 9/15/2027 (a) | | |
|
| | |
| | |
|
| | |
| | |
| | |
Health Care Equipment & Supplies — 0.2% |
Abbott Laboratories 4.75%, 11/30/2036 | | |
Avantor Funding, Inc. 4.63%, 7/15/2028 (a) | | |
Baxter International, Inc. |
| | |
| | |
Becton Dickinson & Co. 3.70%, 6/6/2027 | | |
| | |
|
Health Care Equipment & Supplies — continued |
Boston Scientific Corp. 6.50%, 11/15/2035 (j) | | |
DH Europe Finance II SARL 3.25%, 11/15/2039 | | |
Hologic, Inc. 3.25%, 2/15/2029 (a) | | |
|
| | |
| | |
| | |
Solventum Corp. 5.60%, 3/23/2034 (a) | | |
Teleflex, Inc. 4.25%, 6/1/2028 (a) | | |
| | |
Health Care Providers & Services — 1.2% |
Acadia Healthcare Co., Inc. |
| | |
| | |
AdaptHealth LLC 4.63%, 8/1/2029 (a) | | |
|
| | |
| | |
Cencora, Inc. 5.13%, 2/15/2034 | | |
|
| | |
| | |
|
| | |
| | |
| | |
Community Health Network, Inc. Series 20-A, 3.10%, 5/1/2050 | | |
Community Health Systems, Inc. 5.63%, 3/15/2027 (a) | | |
|
| | |
| | |
| | |
| | |
DaVita, Inc. 4.63%, 6/1/2030 (a) | | |
|
| | |
| | |
| | |
Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Health Care Providers & Services — continued |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Memorial Health Services 3.45%, 11/1/2049 | | |
MultiCare Health System 2.80%, 8/15/2050 | | |
MyMichigan Health Series 2020, 3.41%, 6/1/2050 | | |
New York and Presbyterian Hospital (The) 2.61%, 8/1/2060 | | |
Northwell Healthcare, Inc. 4.26%, 11/1/2047 | | |
Northwestern Memorial Healthcare Obligated Group Series 2021, 2.63%, 7/15/2051 | | |
Owens & Minor, Inc. 4.50%, 3/31/2029 (a) | | |
|
| | |
| | |
| | |
| | |
| | |
Sutter Health 5.55%, 8/15/2053 | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
Health Care Providers & Services — continued |
| | |
| | |
| | |
|
Alexandria Real Estate Equities, Inc. |
| | |
| | |
Healthcare Realty Holdings LP 3.10%, 2/15/2030 | | |
|
| | |
| | |
Sabra Health Care LP 3.20%, 12/1/2031 | | |
|
| | |
| | |
| | |
Health Care Technology — 0.0% ^ |
|
| | |
| | |
| | |
Hotel & Resort REITs — 0.0% ^ |
|
| | |
| | |
| | |
Hotels, Restaurants & Leisure — 0.8% |
|
| | |
| | |
Acushnet Co. 7.38%, 10/15/2028 (a) | | |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | | |
Caesars Entertainment, Inc. |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Hotels, Restaurants & Leisure — continued |
Carnival Holdings Bermuda Ltd. 10.38%, 5/1/2028 (a) | | |
|
| | |
| | |
Hilton Domestic Operating Co., Inc. |
| | |
| | |
| | |
| | |
Marriott International, Inc. 5.35%, 3/15/2035 | | |
|
| | |
| | |
MGM Resorts International |
| | |
| | |
| | |
Royal Caribbean Cruises Ltd. |
| | |
| | |
| | |
| | |
Six Flags Entertainment Corp. |
| | |
| | |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | | |
|
| | |
| | |
| | |
Station Casinos LLC 4.50%, 2/15/2028 (a) | | |
Vail Resorts, Inc. 6.50%, 5/15/2032 (a) | | |
Wynn Las Vegas LLC 5.25%, 5/15/2027 (a) | | |
|
| | |
| | |
| | |
|
| | |
| | |
Yum! Brands, Inc. 4.63%, 1/31/2032 | | |
| | |
| | |
|
Household Durables — 0.1% |
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | | |
|
| | |
| | |
| | |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | | |
| | |
Household Products — 0.1% |
|
| | |
| | |
|
| | |
| | |
| | |
Independent Power and Renewable Electricity Producers — 0.2% |
|
| | |
| | |
| | |
Constellation Energy Generation LLC |
| | |
| | |
| | |
| | |
| | |
| | |
Industrial Conglomerates — 0.0% ^ |
Honeywell International, Inc. 5.25%, 3/1/2054 | | |
Industrial REITs — 0.0% ^ |
|
| | |
| | |
| | |
| | |
|
Alleghany Corp. 3.25%, 8/15/2051 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Allianz SE (Germany) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 5.60%, 9/3/2054 (a) (d) | | |
Aon Corp. 5.35%, 2/28/2033 | | |
Aon North America, Inc. 5.75%, 3/1/2054 | | |
|
| | |
| | |
Berkshire Hathaway Finance Corp. |
| | |
| | |
Cincinnati Financial Corp. 6.13%, 11/1/2034 | | |
CNA Financial Corp. 5.13%, 2/15/2034 | | |
CNO Global Funding 5.88%, 6/4/2027 (a) | | |
Corebridge Global Funding |
| | |
| | |
Equitable Financial Life Global Funding 1.70%, 11/12/2026 (a) | | |
F&G Annuities & Life, Inc. 6.50%, 6/4/2029 | | |
|
| | |
| | |
Fidelity & Guaranty Life Holdings, Inc. 5.50%, 5/1/2025 (a) | | |
Great-West Lifeco Finance 2018 LP (Canada) 4.58%, 5/17/2048 (a) | | |
Guardian Life Global Funding 5.74%, 10/2/2028 (a) | | |
High Street Funding Trust I 4.11%, 2/15/2028 (a) | | |
Manulife Financial Corp. (Canada) 4.15%, 3/4/2026 | | |
Marsh & McLennan Cos., Inc. 5.45%, 3/15/2053 | | |
|
| | |
| | |
Metropolitan Life Global Funding I 5.15%, 3/28/2033 (a) | | |
Mutual of Omaha Cos. Global Funding 5.45%, 12/12/2028 (a) | | |
New York Life Global Funding 3.00%, 1/10/2028 (a) | | |
| | |
|
|
New York Life Insurance Co. 4.45%, 5/15/2069 (a) | | |
Northwestern Mutual Global Funding 5.16%, 5/28/2031 (a) | | |
Pacific Life Global Funding II 5.50%, 8/28/2026 (a) | | |
Pacific Life Insurance Co. (3-MONTH SOFR + 2.80%), 4.30%, 10/24/2067 (a) (d) | | |
Pine Street Trust III 6.22%, 5/15/2054 (a) | | |
Pricoa Global Funding I 5.55%, 8/28/2026 (a) | | |
Principal Financial Group, Inc. 3.70%, 5/15/2029 | | |
Principal Life Global Funding II 5.10%, 1/25/2029 (a) | | |
Protective Life Global Funding 5.47%, 12/8/2028 (a) | | |
Prudential Financial, Inc. |
| | |
| | |
Prudential Funding Asia plc (Hong Kong) 3.13%, 4/14/2030 | | |
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (a) | | |
W R Berkley Corp. 3.55%, 3/30/2052 | | |
| | |
Interactive Media & Services — 0.1% |
|
| | |
| | |
| | |
|
Arches Buyer, Inc. 4.25%, 6/1/2028 (a) | | |
CGI, Inc. (Canada) 1.45%, 9/14/2026 | | |
IBM International Capital Pte. Ltd. 5.30%, 2/5/2054 | | |
Twilio, Inc. 3.63%, 3/15/2029 | | |
| | |
Leisure Products — 0.0% ^ |
Amer Sports Co. (Finland) 6.75%, 2/16/2031 (a) | | |
Hasbro, Inc. 3.90%, 11/19/2029 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Life Sciences Tools & Services — 0.0% ^ |
Danaher Corp. 2.80%, 12/10/2051 | | |
|
Chart Industries, Inc. 7.50%, 1/1/2030 (a) | | |
Esab Corp. 6.25%, 4/15/2029 (a) | | |
Hillenbrand, Inc. 3.75%, 3/1/2031 | | |
Illinois Tool Works, Inc. 3.90%, 9/1/2042 | | |
|
| | |
| | |
Terex Corp. 5.00%, 5/15/2029 (a) | | |
Trinity Industries, Inc. 7.75%, 7/15/2028 (a) | | |
Wabash National Corp. 4.50%, 10/15/2028 (a) | | |
Xylem, Inc. 1.95%, 1/30/2028 | | |
| | |
Marine Transportation — 0.0% ^ |
MV24 Capital BV (Brazil) 6.75%, 6/1/2034 (a) | | |
|
Charter Communications Operating LLC |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Clear Channel Outdoor Holdings, Inc. 5.13%, 8/15/2027 (a) | | |
|
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|
|
|
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| | |
Directv Financing LLC 5.88%, 8/15/2027 (a) | | |
|
| | |
| | |
DISH Network Corp. 11.75%, 11/15/2027 (a) | | |
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | | |
|
| | |
| | |
| | |
iHeartCommunications, Inc. |
| | |
| | |
| | |
|
| | |
| | |
News Corp. 3.88%, 5/15/2029 (a) | | |
|
| | |
| | |
Outfront Media Capital LLC |
| | |
| | |
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a) | | |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | | |
Sinclair Television Group, Inc. 4.13%, 12/1/2030 (a) | | |
|
| | |
| | |
| | |
| | |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | | |
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Univision Communications, Inc. |
| | |
| | |
| | |
|
Alcoa Nederland Holding BV |
| | |
| | |
|
| | |
| | |
BHP Billiton Finance USA Ltd. (Australia) 4.90%, 2/28/2033 | | |
Big River Steel LLC 6.63%, 1/31/2029 (a) | | |
Carpenter Technology Corp. 6.38%, 7/15/2028 | | |
|
| | |
| | |
| | |
| | |
Corp. Nacional del Cobre de Chile (Chile) |
| | |
| | |
Freeport-McMoRan, Inc. 4.63%, 8/1/2030 | | |
Glencore Funding LLC (Australia) |
| | |
| | |
| | |
| | |
| | |
Newmont Corp. 5.75%, 11/15/2041 (a) | | |
Rio Tinto Finance USA Ltd. (Australia) 5.20%, 11/2/2040 | | |
Rio Tinto Finance USA plc (Australia) 4.13%, 8/21/2042 | | |
Steel Dynamics, Inc. 5.38%, 8/15/2034 | | |
United States Steel Corp. 6.88%, 3/1/2029 | | |
Vale Overseas Ltd. (Brazil) |
| | |
| | |
| | |
| | |
| | |
|
Mortgage Real Estate Investment Trusts (REITs) — 0.1% |
Great Ajax Operating Partnership LP Series QIB, 8.88%, 9/1/2027 (a) | | |
Starwood Property Trust, Inc. 7.25%, 4/1/2029 (a) | | |
| | |
|
|
| | |
| | |
|
| | |
| | |
Berkshire Hathaway Energy Co. 5.15%, 11/15/2043 | | |
Consolidated Edison Co. of New York, Inc. |
Series E, 4.65%, 12/1/2048 | | |
Series A, 4.13%, 5/15/2049 | | |
| | |
|
| | |
| | |
|
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.51%), 7.00%, 6/1/2054 (d) | | |
Series A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.39%), 6.88%, 2/1/2055 (d) | | |
|
| | |
| | |
|
| | |
| | |
|
| | |
| | |
PG&E Energy Recovery Funding LLC Series A-3, 2.82%, 7/15/2046 | | |
Public Service Enterprise Group, Inc. 5.45%, 4/1/2034 | | |
|
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Multi-Utilities — continued |
San Diego Gas & Electric Co. |
| | |
| | |
| | |
Sempra (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.79%), 6.88%, 10/1/2054 (d) | | |
Southern Co. Gas Capital Corp. |
| | |
| | |
Series 21A, 3.15%, 9/30/2051 | | |
WEC Energy Group, Inc. 5.60%, 9/12/2026 | | |
| | |
|
COPT Defense Properties LP 2.25%, 3/15/2026 | | |
Oil, Gas & Consumable Fuels — 3.2% |
|
| | |
| | |
Aker BP ASA (Norway) 3.10%, 7/15/2031 (a) | | |
Antero Midstream Partners LP |
| | |
| | |
| | |
Antero Resources Corp. 7.63%, 2/1/2029 (a) | | |
Ascent Resources Utica Holdings LLC 8.25%, 12/31/2028 (a) | | |
Baytex Energy Corp. (Canada) 8.50%, 4/30/2030 (a) | | |
|
| | |
| | |
| | |
BP Capital Markets America, Inc. |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
BP Capital Markets plc (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (d) (f) (g) | | |
|
| | |
| | |
California Resources Corp. 7.13%, 2/1/2026 (a) | | |
Cameron LNG LLC 3.70%, 1/15/2039 (a) | | |
Cheniere Energy Partners LP |
| | |
| | |
| | |
|
| | |
| | |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | | |
|
| | |
| | |
| | |
Columbia Pipelines Operating Co. LLC |
| | |
| | |
|
| | |
| | |
|
| | |
| | |
Coterra Energy, Inc. 3.90%, 5/15/2027 | | |
Crescent Energy Finance LLC 9.25%, 2/15/2028 (a) | | |
Devon Energy Corp. 5.75%, 9/15/2054 | | |
|
| | |
| | |
|
| | |
| | |
| | |
Ecopetrol SA (Colombia) 8.38%, 1/19/2036 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
|
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.43%), 8.50%, 1/15/2084 (d) | | |
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a) | | |
|
| | |
| | |
| | |
| | |
Eni SpA (Italy) 5.95%, 5/15/2054 (a) | | |
Eni USA, Inc. (Italy) 7.30%, 11/15/2027 | | |
EnLink Midstream LLC 5.38%, 6/1/2029 | | |
EnLink Midstream Partners LP |
| | |
| | |
Enterprise Products Operating LLC |
Series H, 6.65%, 10/15/2034 | | |
| | |
EQM Midstream Partners LP |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
Flex Intermediate Holdco LLC |
| | |
| | |
|
| | |
| | |
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (a) | | |
Greenko Dutch BV (India) 3.85%, 3/29/2026 (a) | | |
Greensaif Pipelines Bidco SARL (Saudi Arabia) 6.51%, 2/23/2042 (a) | | |
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
Harvest Midstream I LP 7.50%, 5/15/2032 (a) | | |
Hess Corp. 4.30%, 4/1/2027 | | |
Hess Midstream Operations LP |
| | |
| | |
Hilcorp Energy I LP 5.75%, 2/1/2029 (a) | | |
|
| | |
| | |
| | |
|
| | |
| | |
Marathon Oil Corp. 5.70%, 4/1/2034 | | |
Matador Resources Co. 6.50%, 4/15/2032 (a) | | |
MEG Energy Corp. (Canada) 5.88%, 2/1/2029 (a) | | |
|
| | |
| | |
| | |
|
| | |
| | |
NGPL PipeCo LLC 3.25%, 7/15/2031 (a) | | |
Northriver Midstream Finance LP (Canada) 6.75%, 7/15/2032 (a) | | |
|
| | |
| | |
| | |
Occidental Petroleum Corp. |
| | |
| | |
| | |
| | |
Ovintiv, Inc. 6.25%, 7/15/2033 | | |
Permian Resources Operating LLC |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
Petroleos Mexicanos (Mexico) |
| | |
| | |
| | |
| | |
| | |
Phillips 66 4.65%, 11/15/2034 | | |
Pioneer Natural Resources Co. 1.90%, 8/15/2030 | | |
Raizen Fuels Finance SA (Brazil) 6.45%, 3/5/2034 (a) | | |
|
| | |
| | |
Rockies Express Pipeline LLC |
| | |
| | |
| | |
Sabine Pass Liquefaction LLC |
| | |
| | |
| | |
|
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| | |
| | |
|
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| | |
| | |
Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038 | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Tallgrass Energy Partners LP |
| | |
| | |
| | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
| | |
| | |
Targa Resources Corp. 5.50%, 2/15/2035 | | |
TotalEnergies Capital International SA (France) |
| | |
| | |
TotalEnergies Capital SA (France) |
| | |
| | |
TransCanada PipeLines Ltd. (Canada) |
| | |
| | |
| | |
| | |
Valero Energy Corp. 2.15%, 9/15/2027 | | |
Venture Global Calcasieu Pass LLC 3.88%, 8/15/2029 (a) | | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
Williams Cos., Inc. (The) 5.80%, 11/15/2054 | | |
| | |
Passenger Airlines — 0.1% |
|
| | |
| | |
| | |
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | | |
JetBlue Airways Corp. 9.88%, 9/20/2031 (a) | | |
Mileage Plus Holdings LLC 6.50%, 6/20/2027 (a) | | |
United Airlines Holdings, Inc. 4.88%, 1/15/2025 | | |
United Airlines Pass-Through Trust Series 2016-2, Class A Shares, 3.10%, 10/7/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Passenger Airlines — continued |
United Airlines, Inc. 4.63%, 4/15/2029 (a) | | |
VistaJet Malta Finance plc (Switzerland) 9.50%, 6/1/2028 (a) | | |
| | |
Personal Care Products — 0.0% ^ |
Edgewell Personal Care Co. |
| | |
| | |
Estee Lauder Cos., Inc. (The) 2.60%, 4/15/2030 | | |
Kenvue, Inc. 5.10%, 3/22/2043 | | |
Perrigo Finance Unlimited Co. 5.15%, 6/15/2030 (j) | | |
| | |
|
Astrazeneca Finance LLC (United Kingdom) 4.88%, 3/3/2033 | | |
AstraZeneca plc (United Kingdom) 1.38%, 8/6/2030 | | |
Bausch Health Americas, Inc. |
| | |
| | |
|
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|
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| | |
Eli Lilly & Co. 4.95%, 2/27/2063 | | |
|
| | |
| | |
|
| | |
| | |
| | |
|
Pharmaceuticals — continued |
Pfizer Investment Enterprises Pte. Ltd. |
| | |
| | |
| | |
Pfizer, Inc. 4.40%, 5/15/2044 | | |
|
| | |
| | |
Royalty Pharma plc 1.20%, 9/2/2025 | | |
Takeda Pharmaceutical Co. Ltd. (Japan) |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Professional Services — 0.0% ^ |
Verisk Analytics, Inc. 5.75%, 4/1/2033 | | |
Real Estate Management & Development — 0.0% ^ |
Ontario Teachers' Cadillac Fairview Properties Trust (Canada) 3.88%, 3/20/2027 (a) | | |
|
AvalonBay Communities, Inc. 3.35%, 5/15/2027 | | |
|
| | |
| | |
ERP Operating LP 3.25%, 8/1/2027 | | |
|
| | |
| | |
Mid-America Apartments LP 4.20%, 6/15/2028 | | |
|
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
|
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
Regency Centers LP 3.70%, 6/15/2030 | | |
Scentre Group Trust 1 (Australia) |
| | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 0.4% |
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | | |
ams-OSRAM AG (Austria) 12.25%, 3/30/2029 (a) | | |
|
| | |
| | |
|
| | |
| | |
| | |
Foundry JV Holdco LLC 6.15%, 1/25/2032 (a) | | |
Intel Corp. 5.70%, 2/10/2053 | | |
|
| | |
| | |
| | |
|
| | |
| | |
Micron Technology, Inc. 2.70%, 4/15/2032 | | |
NVIDIA Corp. 3.50%, 4/1/2040 | | |
|
| | |
| | |
|
| | |
| | |
| | |
|
Semiconductors & Semiconductor Equipment — continued |
Synaptics, Inc. 4.00%, 6/15/2029 (a) | | |
|
| | |
| | |
TSMC Arizona Corp. (Taiwan) 2.50%, 10/25/2031 | | |
TSMC Global Ltd. (Taiwan) 1.00%, 9/28/2027 (a) | | |
| | |
|
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | | |
Elastic NV 4.13%, 7/15/2029 (a) | | |
Intuit, Inc. 5.50%, 9/15/2053 | | |
|
| | |
| | |
|
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
RingCentral, Inc. 8.50%, 8/15/2030 (a) | | |
|
| | |
| | |
| | |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | | |
VMware LLC 4.65%, 5/15/2027 | | |
Workday, Inc. 3.70%, 4/1/2029 | | |
| | |
|
|
| | |
| | |
| | |
| | |
Crown Castle, Inc. 2.90%, 3/15/2027 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Specialized REITs — continued |
Equinix, Inc. 3.90%, 4/15/2032 | | |
Extra Space Storage LP 2.20%, 10/15/2030 | | |
|
| | |
| | |
Public Storage Operating Co. |
| | |
| | |
SBA Communications Corp. 3.13%, 2/1/2029 | | |
| | |
|
Asbury Automotive Group, Inc. |
| | |
| | |
|
| | |
| | |
|
| | |
| | |
Gap, Inc. (The) 3.63%, 10/1/2029 (a) | | |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | | |
|
| | |
| | |
| | |
| | |
| | |
Lithia Motors, Inc. 3.88%, 6/1/2029 (a) | | |
|
| | |
| | |
O'Reilly Automotive, Inc. |
| | |
| | |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | | |
PetSmart, Inc. 4.75%, 2/15/2028 (a) | | |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | | |
|
| | |
| | |
|
Specialty Retail — continued |
| | |
TJX Cos., Inc. (The) 3.88%, 4/15/2030 | | |
| | |
Technology Hardware, Storage & Peripherals — 0.2% |
|
| | |
| | |
| | |
| | |
Dell International LLC 3.38%, 12/15/2041 | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Xerox Holdings Corp. 8.88%, 11/30/2029 (a) | | |
| | |
Textiles, Apparel & Luxury Goods — 0.0% ^ |
Hanesbrands, Inc. 4.88%, 5/15/2026 (a) | | |
William Carter Co. (The) 5.63%, 3/15/2027 (a) | | |
| | |
|
Altria Group, Inc. 2.45%, 2/4/2032 | | |
BAT Capital Corp. (United Kingdom) |
| | |
| | |
| | |
| | |
Imperial Brands Finance plc (United Kingdom) 5.88%, 7/1/2034 (a) | | |
Philip Morris International, Inc. |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Trading Companies & Distributors — 0.3% |
Aviation Capital Group LLC |
| | |
| | |
Beacon Roofing Supply, Inc. 6.50%, 8/1/2030 (a) | | |
EquipmentShare.com, Inc. 9.00%, 5/15/2028 (a) | | |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | | |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | | |
United Rentals North America, Inc. |
| | |
| | |
|
| | |
| | |
| | |
| | |
Transportation Infrastructure — 0.0% ^ |
Transurban Finance Co. Pty. Ltd. (Australia) 2.45%, 3/16/2031 (a) | | |
|
American Water Capital Corp. |
| | |
| | |
| | |
Wireless Telecommunication Services — 0.3% |
Altice France Holding SA (Luxembourg) 10.50%, 5/15/2027 (a) | | |
Hughes Satellite Systems Corp. |
| | |
| | |
Rogers Communications, Inc. (Canada) |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Wireless Telecommunication Services — continued |
United States Cellular Corp. 6.70%, 12/15/2033 | | |
Vodafone Group plc (United Kingdom) 5.75%, 6/28/2054 | | |
| | |
Total Corporate Bonds
(Cost $1,099,380,372) | | |
Mortgage-Backed Securities — 26.3% |
FHLMC Gold Pools, 30 Year Pool # G60855, 4.50%, 12/1/2045 | | |
| | |
Pool # WN1158, 1.80%, 11/1/2028 | | |
Pool # WN2203, 3.75%, 8/1/2032 | | |
Pool # WN3233, 3.19%, 7/1/2033 | | |
Pool # N31271, 4.50%, 1/1/2036 | | |
Pool # RE0003, 4.00%, 7/1/2049 | | |
Pool # RE6055, 2.50%, 8/1/2050 | | |
FHLMC UMBS, 20 Year Pool # SC0310, 2.00%, 8/1/2042 | | |
| | |
Pool # SI2041, 3.00%, 10/1/2049 | | |
Pool # QA5045, 4.00%, 11/1/2049 | | |
Pool # RA1983, 3.00%, 2/1/2050 | | |
Pool # QB1397, 2.50%, 7/1/2050 | | |
Pool # SD8089, 2.50%, 7/1/2050 | | |
Pool # QB1686, 2.50%, 8/1/2050 | | |
Pool # QB2772, 2.50%, 8/1/2050 | | |
Pool # SI2064, 3.00%, 8/1/2050 | | |
Pool # RA5422, 3.00%, 6/1/2051 | | |
Pool # QC7968, 2.50%, 10/1/2051 | | |
Pool # RA6228, 2.50%, 11/1/2051 | | |
Pool # RA6222, 3.00%, 11/1/2051 | | |
Pool # SD2968, 2.00%, 12/1/2051 | | |
Pool # RA6359, 2.50%, 12/1/2051 | | |
Pool # RA6617, 2.50%, 1/1/2052 | | |
Pool # RA6815, 2.50%, 2/1/2052 | | |
Pool # SD3770, 2.50%, 3/1/2052 | | |
Pool # SD2301, 3.50%, 3/1/2052 | | |
Pool # SD7554, 2.50%, 4/1/2052 | | |
Pool # QE1075, 3.00%, 4/1/2052 | | |
Pool # SD1464, 3.00%, 5/1/2052 | | |
Pool # RA7468, 4.00%, 6/1/2052 | | |
Pool # SD3781, 4.00%, 7/1/2052 | | |
Pool # SD1303, 4.50%, 7/1/2052 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Mortgage-Backed Securities — continued |
Pool # QE8520, 3.50%, 8/1/2052 | | |
Pool # SD4181, 3.50%, 8/1/2052 | | |
Pool # QE8091, 4.00%, 8/1/2052 | | |
Pool # SD1725, 4.00%, 10/1/2052 | | |
Pool # QF3433, 5.00%, 11/1/2052 | | |
Pool # RA8766, 5.00%, 3/1/2053 | | |
Pool # SD3567, 4.50%, 5/1/2053 | | |
Pool # RA9669, 5.00%, 8/1/2053 | | |
FNMA UMBS, 15 Year Pool # FM8445, 3.00%, 4/1/2033 | | |
FNMA UMBS, 20 Year Pool # MA3004, 4.00%, 5/1/2037 | | |
| | |
Pool # AL2374, 4.00%, 12/1/2041 | | |
Pool # AL4244, 4.00%, 7/1/2042 | | |
Pool # BM1164, 3.50%, 12/1/2045 | | |
Pool # MA3073, 4.50%, 7/1/2047 | | |
Pool # BK4769, 5.00%, 8/1/2048 | | |
Pool # BN5013, 5.00%, 1/1/2049 | | |
Pool # BO1073, 4.50%, 6/1/2049 | | |
Pool # BO3039, 3.00%, 7/1/2049 | | |
Pool # BN6475, 4.00%, 7/1/2049 | | |
Pool # BO2562, 4.00%, 7/1/2049 | | |
Pool # BO4519, 4.00%, 8/1/2049 | | |
Pool # BO2203, 3.50%, 9/1/2049 | | |
Pool # FS1186, 3.50%, 1/1/2050 | | |
Pool # FM3365, 3.00%, 3/1/2050 | | |
Pool # CA5702, 2.50%, 5/1/2050 | | |
Pool # CA6417, 3.00%, 7/1/2050 | | |
Pool # CA6587, 2.00%, 8/1/2050 | | |
Pool # CA6989, 2.50%, 9/1/2050 | | |
Pool # FM5179, 2.00%, 12/1/2050 | | |
Pool # BQ4516, 2.00%, 2/1/2051 | | |
Pool # CB0397, 3.00%, 5/1/2051 | | |
Pool # FS5384, 2.50%, 6/1/2051 | | |
Pool # BT2415, 2.50%, 7/1/2051 | | |
Pool # FM7957, 2.50%, 7/1/2051 | | |
Pool # CB1401, 3.00%, 8/1/2051 | | |
Pool # CB1406, 3.00%, 8/1/2051 | | |
Pool # CB1411, 3.00%, 8/1/2051 | | |
Pool # BU0070, 2.50%, 10/1/2051 | | |
Pool # FM9198, 2.50%, 11/1/2051 | | |
Pool # FS5389, 2.50%, 11/1/2051 | | |
Pool # FS0009, 3.50%, 11/1/2051 | | |
Pool # FM9961, 3.00%, 12/1/2051 | | |
Pool # MA4494, 3.00%, 12/1/2051 | | |
| | |
|
Pool # FS4108, 4.00%, 12/1/2051 | | |
Pool # CB2637, 2.50%, 1/1/2052 | | |
Pool # FS0374, 2.50%, 1/1/2052 | | |
Pool # BV0273, 3.00%, 1/1/2052 | | |
Pool # BV0492, 3.00%, 1/1/2052 | | |
Pool # CB2670, 3.00%, 1/1/2052 | | |
Pool # CB2869, 2.50%, 2/1/2052 | | |
Pool # MA4548, 2.50%, 2/1/2052 | | |
Pool # BV3930, 3.00%, 2/1/2052 | | |
Pool # BV0295, 3.50%, 2/1/2052 | | |
Pool # FS7119, 2.50%, 3/1/2052 | | |
Pool # FS7150, 2.50%, 3/1/2052 | | |
Pool # FS7942, 2.50%, 3/1/2052 | | |
Pool # FS0957, 3.00%, 3/1/2052 | | |
Pool # FS1954, 3.00%, 3/1/2052 | | |
Pool # FS4393, 3.00%, 3/1/2052 | | |
Pool # CB3132, 3.50%, 3/1/2052 | | |
Pool # FS1538, 3.00%, 4/1/2052 | | |
Pool # CB3378, 4.00%, 4/1/2052 | | |
Pool # CB3384, 4.00%, 4/1/2052 | | |
Pool # BW6017, 3.50%, 5/1/2052 | | |
Pool # CB3504, 3.50%, 5/1/2052 | | |
Pool # CB3608, 3.50%, 5/1/2052 | | |
Pool # FS2588, 4.50%, 8/1/2052 | | |
Pool # FS3536, 4.50%, 8/1/2052 | | |
Pool # CB4830, 4.50%, 9/1/2052 | | |
Pool # FS3829, 4.50%, 9/1/2052 | | |
Pool # CB4628, 5.00%, 9/1/2052 | | |
Pool # FS2982, 5.00%, 9/1/2052 | | |
Pool # CB4837, 5.00%, 10/1/2052 | | |
Pool # BX0627, 5.00%, 11/1/2052 | | |
Pool # CB5413, 4.00%, 12/1/2052 | | |
Pool # CB5428, 4.50%, 12/1/2052 | | |
Pool # BX3808, 5.00%, 3/1/2053 | | |
Pool # BX3811, 5.00%, 3/1/2053 | | |
Pool # CB5896, 5.00%, 3/1/2053 | | |
Pool # BX3824, 5.50%, 3/1/2053 | | |
Pool # CB5907, 5.50%, 3/1/2053 | | |
Pool # BY4714, 5.00%, 6/1/2053 | | |
Pool # BY4776, 5.00%, 7/1/2053 | | |
Pool # BY4736, 5.50%, 7/1/2053 | | |
Pool # BY7218, 5.00%, 9/1/2053 | | |
Pool # DB3630, 5.50%, 6/1/2054 | | |
| | |
Pool # AM8846, 2.68%, 5/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Mortgage-Backed Securities — continued |
Pool # AM0414, 2.87%, 9/1/2027 | | |
Pool # AN7560, 2.90%, 12/1/2027 | | |
Pool # BS8981, 5.04%, 2/1/2029 | | |
Pool # BL2367, 3.48%, 5/1/2029 | | |
Pool # BS6079, 3.52%, 7/1/2029 | | |
Pool # AN6730, 3.01%, 9/1/2029 | | |
Pool # BS6621, 3.50%, 9/1/2029 | | |
Pool # BS7011, 4.81%, 9/1/2029 | | |
Pool # BS8075, 5.00%, 9/1/2029 | | |
Pool # BS1577, 1.82%, 2/1/2030 | | |
Pool # BS6827, 4.19%, 5/1/2030 | | |
Pool # BS4878, 2.44%, 6/1/2030 | | |
Pool # BS8846, 4.09%, 7/1/2030 | | |
Pool # BS9022, 4.46%, 7/1/2030 | | |
Pool # 387898, 3.71%, 8/1/2030 | | |
Pool # BS6088, 4.04%, 8/1/2030 | | |
Pool # BS5171, 2.51%, 10/1/2030 | | |
Pool # BS5985, 3.99%, 11/1/2030 | | |
Pool # BS8033, 4.43%, 11/1/2030 | | |
Pool # BS8306, 4.52%, 12/1/2030 | | |
Pool # BS9296, 4.80%, 12/1/2030 | | |
Pool # BL9645, 1.50%, 1/1/2031 | | |
Pool # BL9627, 1.56%, 1/1/2031 | | |
Pool # BS1731, 1.82%, 1/1/2031 | | |
Pool # BS1304, 1.54%, 3/1/2031 | | |
Pool # BS2422, 1.67%, 7/1/2031 | | |
Pool # BS2898, 1.56%, 9/1/2031 | | |
Pool # BS4116, 2.28%, 10/1/2031 | | |
Pool # BS3612, 1.93%, 11/1/2031 | | |
Pool # BM6857, 1.83%, 12/1/2031 (i) | | |
Pool # BS4505, 1.93%, 1/1/2032 | | |
Pool # BS4563, 2.01%, 1/1/2032 | | |
Pool # BS3464, 2.03%, 1/1/2032 | | |
Pool # BS4709, 2.22%, 2/1/2032 | | |
Pool # BM7037, 1.75%, 3/1/2032 (i) | | |
Pool # BS4654, 2.39%, 3/1/2032 | | |
Pool # BL6367, 1.82%, 4/1/2032 | | |
Pool # BS5130, 2.55%, 4/1/2032 | | |
Pool # BS5463, 3.34%, 5/1/2032 | | |
Pool # BS5597, 3.59%, 5/1/2032 | | |
Pool # BS5195, 2.80%, 6/1/2032 | | |
Pool # BS5875, 3.66%, 6/1/2032 | | |
Pool # BS6301, 3.67%, 8/1/2032 | | |
Pool # BS6385, 3.89%, 8/1/2032 | | |
Pool # BS6448, 3.93%, 8/1/2032 | | |
| | |
|
Pool # BS6502, 3.41%, 9/1/2032 | | |
Pool # BS6335, 3.75%, 9/1/2032 | | |
Pool # BS6339, 3.80%, 9/1/2032 | | |
Pool # BS6347, 4.03%, 9/1/2032 | | |
Pool # BS6417, 3.83%, 10/1/2032 | | |
Pool # BS6951, 3.90%, 10/1/2032 | | |
Pool # BS6759, 3.97%, 10/1/2032 | | |
Pool # BZ1174, 5.33%, 10/1/2032 | | |
Pool # BL8708, 1.40%, 11/1/2032 | | |
Pool # BS6995, 4.18%, 11/1/2032 | | |
Pool # BS6849, 4.23%, 11/1/2032 | | |
Pool # BS6815, 4.71%, 11/1/2032 | | |
Pool # BS6994, 4.85%, 11/1/2032 | | |
Pool # BS7203, 4.98%, 11/1/2032 | | |
Pool # BS7095, 4.80%, 12/1/2032 | | |
Pool # BS7663, 4.71%, 1/1/2033 | | |
Pool # AN8257, 3.26%, 2/1/2033 | | |
Pool # BS7671, 4.76%, 2/1/2033 | | |
Pool # BS8334, 4.71%, 3/1/2033 | | |
Pool # BS1636, 2.25%, 4/1/2033 | | |
Pool # BS7740, 4.11%, 4/1/2033 | | |
Pool # BS8277, 4.39%, 4/1/2033 | | |
Pool # BS8157, 4.51%, 4/1/2033 | | |
Pool # BS8256, 4.53%, 4/1/2033 | | |
Pool # BS8055, 4.71%, 4/1/2033 | | |
Pool # BS8250, 4.51%, 5/1/2033 | | |
Pool # BS8152, 4.55%, 5/1/2033 | | |
Pool # BS8703, 4.48%, 6/1/2033 | | |
Pool # AN6000, 3.21%, 7/1/2033 | | |
Pool # AN9725, 3.76%, 7/1/2033 | | |
Pool # BS8883, 4.58%, 7/1/2033 | | |
Pool # BS9146, 4.35%, 8/1/2033 | | |
Pool # BS6038, 3.98%, 9/1/2033 | | |
Pool # BS8897, 4.55%, 9/1/2033 | | |
Pool # BS9616, 4.79%, 9/1/2033 | | |
Pool # BS9470, 4.45%, 10/1/2033 | | |
Pool # BS9182, 4.52%, 10/1/2033 | | |
Pool # BS9310, 4.64%, 10/1/2033 | | |
Pool # BS4197, 2.14%, 12/1/2033 | | |
Pool # BZ0419, 4.25%, 1/1/2034 | | |
Pool # BZ0410, 4.52%, 1/1/2034 | | |
Pool # BZ0430, 4.32%, 2/1/2034 | | |
Pool # BZ0420, 4.60%, 2/1/2034 | | |
Pool # BZ0401, 4.52%, 3/1/2034 | | |
Pool # BL3625, 2.89%, 9/1/2034 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Mortgage-Backed Securities — continued |
Pool # BL3756, 2.92%, 9/1/2034 | | |
Pool # BS6427, 3.75%, 9/1/2034 | | |
Pool # BL3772, 2.92%, 10/1/2034 | | |
Pool # BS5018, 2.88%, 10/1/2035 | | |
Pool # AN7345, 3.21%, 11/1/2037 | | |
Pool # MA1072, 3.50%, 5/1/2042 | | |
Pool # BF0533, 2.50%, 11/1/2050 | | |
Pool # BF0230, 5.50%, 1/1/2058 | | |
Pool # BF0300, 4.00%, 8/1/2058 | | |
Pool # BF0400, 4.00%, 8/1/2059 | | |
Pool # BF0440, 3.00%, 1/1/2060 | | |
Pool # BF0497, 3.00%, 7/1/2060 | | |
Pool # BF0520, 3.00%, 1/1/2061 | | |
Pool # BF0560, 2.50%, 9/1/2061 | | |
Pool # BF0562, 3.50%, 9/1/2061 | | |
Pool # BF0583, 4.00%, 12/1/2061 | | |
Pool # BF0586, 5.00%, 12/1/2061 | | |
Pool # BF0617, 2.50%, 3/1/2062 | | |
Pool # BF0759, 2.50%, 5/1/2062 | | |
Pool # BF0677, 4.00%, 9/1/2062 | | |
FNMA/FHLMC UMBS, Single Family, 30 Year | | |
TBA, 2.50%, 9/25/2054 (k) | | |
TBA, 3.00%, 9/25/2054 (k) | | |
TBA, 5.00%, 9/25/2054 (k) | | |
TBA, 5.50%, 9/25/2054 (k) | | |
TBA, 6.00%, 9/25/2054 (k) | | |
| | |
Pool # 783473, 3.50%, 11/15/2041 | | |
Pool # CO1928, 5.50%, 10/15/2052 | | |
Pool # CR2369, 6.00%, 1/15/2053 | | |
| | |
Pool # CE9366, ARM, 6.57%, 10/20/2071 (i) | | |
Pool # CH4945, ARM, 6.60%, 10/20/2071 (i) | | |
Pool # CH7776, ARM, 6.69%, 10/20/2071 (i) | | |
Pool # CJ7125, ARM, 6.73%, 10/20/2071 (i) | | |
Pool # CJ7141, ARM, 6.69%, 11/20/2071 (i) | | |
Pool # CE9384, ARM, 6.75%, 11/20/2071 (i) | | |
Pool # CE5557, ARM, 6.85%, 11/20/2071 (i) | | |
Pool # CK7234, ARM, 6.67%, 2/20/2072 (i) | | |
| | |
|
Pool # CK2792, ARM, 6.84%, 3/20/2072 (i) | | |
Pool # CO0363, ARM, 7.01%, 7/20/2072 (i) | | |
| | |
Pool # AJ9020, 4.50%, 10/20/2044 | | |
Pool # BB3525, 4.00%, 9/20/2047 | | |
Pool # AY2413, 4.25%, 10/20/2048 | | |
Pool # BJ9820, 4.20%, 1/20/2049 | | |
Pool # BM2418, 4.00%, 8/20/2049 | | |
Pool # BN7049, 4.50%, 8/20/2049 | | |
Pool # BP7160, 4.50%, 9/20/2049 | | |
Pool # CH1162, 3.50%, 6/20/2050 | | |
Pool # CB8492, 3.50%, 1/20/2051 | | |
Pool # CB8531, 3.50%, 2/20/2051 | | |
Pool # CC9803, 4.00%, 4/20/2051 | | |
Pool # MA7534, 2.50%, 8/20/2051 | | |
Pool # CH1291, 3.50%, 9/20/2051 | | |
Pool # CH1293, 3.50%, 9/20/2051 | | |
Pool # CH1292, 3.50%, 10/20/2051 | | |
Pool # MA7705, 2.50%, 11/20/2051 | | |
Pool # CH7863, 3.50%, 12/20/2051 | | |
Pool # CI2080, 3.50%, 12/20/2051 | | |
Pool # CH0876, 3.00%, 1/20/2052 | | |
Pool # CH0877, 3.00%, 1/20/2052 | | |
Pool # CH0878, 3.00%, 1/20/2052 | | |
Pool # CJ3916, 3.00%, 1/20/2052 | | |
Pool # CK2608, 3.00%, 1/20/2052 | | |
Pool # CK4909, 3.00%, 1/20/2052 | | |
Pool # CK4916, 3.00%, 1/20/2052 | | |
Pool # CJ8184, 3.50%, 1/20/2052 | | |
Pool # CK4918, 3.50%, 1/20/2052 | | |
Pool # CK7137, 4.00%, 1/20/2052 | | |
Pool # CK2667, 3.00%, 2/20/2052 | | |
Pool # CK2672, 3.50%, 2/20/2052 | | |
Pool # CM2154, 3.00%, 3/20/2052 | | |
Pool # CM2278, 3.50%, 4/20/2052 | | |
Pool # CO4826, 5.00%, 6/20/2052 | | |
Pool # CO4847, 5.00%, 7/20/2052 | | |
Pool # MA8200, 4.00%, 8/20/2052 | | |
Pool # CO1924, 4.50%, 10/20/2052 | | |
Pool # CP8517, 4.50%, 10/20/2052 | | |
Pool # CO1925, 5.00%, 10/20/2052 | | |
Pool # CO8957, 5.00%, 12/20/2052 | | |
Pool # CS4305, 5.50%, 6/20/2053 | | |
Pool # CV0175, 6.50%, 6/20/2053 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Mortgage-Backed Securities — continued |
Pool # CS4391, 5.50%, 7/20/2053 | | |
Pool # CW7288, 6.50%, 9/20/2053 | | |
Pool # DD2409, 6.50%, 6/20/2054 | | |
GNMA II, Other Pool # 787496, 6.00%, 7/20/2064 | | |
GNMA II, Single Family, 30 Year | | |
TBA, 5.00%, 9/15/2054 (k) | | |
TBA, 5.50%, 9/15/2054 (k) | | |
Total Mortgage-Backed Securities
(Cost $998,947,142) | | |
Asset-Backed Securities — 14.8% |
ACC Trust Series 2022-1, Class C, 3.24%, 10/20/2025 (a) | | |
| | |
Series 2023-1PL, Class C, 7.42%, 3/18/2030 (a) | | |
Series 2023-2PL, Class C, 7.27%, 5/20/2030 (a) | | |
Series 2023-3PL, Class C, 7.35%, 8/19/2030 (a) | | |
ACM Auto Trust Series 2023-2A, Class A, 7.97%, 6/20/2030 (a) | | |
ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class B, 6.86%, 12/18/2037 (a) (i) | | |
Air Canada Pass-Through Trust (Canada) Series 2017-1, Class AA, 3.30%, 1/15/2030 (a) | | |
Ajax Mortgage Loan Trust Series 2021-G, Class A, 1.87%, 6/25/2061 (a) (i) | | |
American Airlines Pass-Through Trust Series 2015-2, Class A, 4.00%, 9/22/2027 | | |
American Credit Acceptance Receivables Trust | | |
Series 2023-3, Class A, 6.00%, 3/12/2027 (a) | | |
Series 2022-2, Class E, 6.57%, 6/13/2028 (a) | | |
Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | | |
Series 2023-3, Class D, 6.82%, 10/12/2029 (a) | | |
American Homes 4 Rent Trust | | |
Series 2014-SFR3, Class B, 4.20%, 12/17/2036 (a) | | |
Series 2015-SFR1, Class E, 5.64%, 4/17/2052 (a) | | |
| | |
|
Series 2015-SFR1, Class F, 5.89%, 4/17/2052 (a) | | |
Series 2015-SFR2, Class A, 3.73%, 10/17/2052 (a) | | |
| | |
Series 2020-SFR1, Class E, 3.22%, 4/17/2037 (a) | | |
Series 2020-SFR2, Class E2, 4.28%, 7/17/2037 (a) | | |
Series 2020-SFR3, Class E1, 2.56%, 9/17/2037 (a) | | |
Series 2020-SFR3, Class E2, 2.76%, 9/17/2037 (a) | | |
Series 2020-SFR4, Class A, 1.36%, 11/17/2037 (a) | | |
Series 2020-SFR5, Class D, 2.18%, 11/17/2037 (a) | | |
Series 2020-SFR4, Class E2, 2.46%, 11/17/2037 (a) | | |
Series 2020-SFR5, Class F, 2.69%, 11/17/2037 (a) | | |
Series 2021-SFR3, Class C, 1.80%, 10/17/2038 (a) | | |
Series 2022-SFR1, Class F, 6.02%, 3/17/2039 (a) | | |
Series 2022-SFR3, Class D, 4.00%, 10/17/2039 (a) | | |
Series 2022-SFR3, Class E1, 4.00%, 10/17/2039 (a) | | |
Series 2022-SFR3, Class E2, 4.00%, 10/17/2039 (a) | | |
Series 2023-SFR1, Class E2, 4.00%, 4/17/2040 (a) | | |
Series 2023-SFR1, Class F, 4.00%, 4/17/2040 (a) | | |
Series 2023-SFR2, Class E1, 3.95%, 6/17/2040 (a) | | |
| | |
Series 2019-A, Class B, 3.47%, 7/16/2040 (a) | | |
Series 2019-A, Class D, 6.07%, 7/16/2040 (a) | | |
Series 2020-AA, Class D, 7.15%, 7/17/2046 (a) | | |
Avis Budget Rental Car Funding AESOP LLC | | |
Series 2020-1A, Class D, 3.34%, 8/20/2026 (a) | | |
Series 2024-2A, Class C, 6.01%, 10/20/2028 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
Bastion Funding I LLC Series 2023-1A, Class A2, 7.12%, 4/25/2038 ‡ (a) | | |
BG Beta Ltd. (Cayman Islands) | | |
| | |
| | |
Bridge Trust Series 2022-SFR1, Class A, 3.40%, 11/17/2037 (a) | | |
Bridgecrest Lending Auto Securitization Trust | | |
Series 2023-1, Class C, 7.10%, 8/15/2029 | | |
Series 2024-3, Class D, 5.83%, 5/15/2030 | | |
Business Jet Securities LLC | | |
Series 2021-1A, Class A, 2.16%, 4/15/2036 (a) | | |
Series 2021-1A, Class B, 2.92%, 4/15/2036 (a) | | |
Series 2021-1A, Class C, 5.07%, 4/15/2036 (a) | | |
BXG Receivables Note Trust | | |
Series 2020-A, Class C, 4.22%, 2/28/2036 (a) | | |
Series 2022-A, Class A, 4.12%, 9/28/2037 (a) | | |
Series 2023-A, Class C, 7.38%, 11/15/2038 (a) | | |
CarMax Auto Owner Trust Series 2023-4, Class A3, 6.00%, 7/17/2028 | | |
Carvana Auto Receivables Trust | | |
Series 2022-P1, Class A4, 3.52%, 2/10/2028 | | |
Series 2023-P2, Class A4, 5.38%, 3/12/2029 (a) | | |
Series 2023-P3, Class A4, 5.71%, 7/10/2029 (a) | | |
Series 2023-N3, Class C, 6.55%, 12/10/2029 (a) | | |
| | |
Series 2019-MH1, Class B, 5.00%, 11/25/2044 ‡ (a) (i) | | |
Series 2021-MH1, Class A1, 1.75%, 2/25/2046 (a) | | |
Series 2022-MH1, Class M, 4.25%, 8/25/2054 ‡ (a) (j) | | |
Continental Finance Credit Card ABS Master Trust Series 2022-A, Class A, 6.19%, 10/15/2030 (a) | | |
| | |
|
CoreVest American Finance Trust | | |
Series 2019-1, Class E, 5.69%, 3/15/2052 (a) (i) | | |
Series 2019-2, Class E, 5.33%, 6/15/2052 (a) (i) | | |
Series 2019-3, Class E, 4.85%, 10/15/2052 (a) (i) | | |
CPS Auto Receivables Trust | | |
Series 2022-D, Class D, 8.73%, 1/16/2029 (a) | | |
Series 2023-A, Class D, 6.44%, 4/16/2029 (a) | | |
Series 2023-D, Class C, 7.17%, 1/15/2030 (a) | | |
Series 2022-C, Class C, 5.28%, 4/15/2030 (a) | | |
Credit Acceptance Auto Loan Trust | | |
Series 2021-3A, Class C, 1.63%, 9/16/2030 (a) | | |
Series 2021-4, Class A, 1.26%, 10/15/2030 (a) | | |
Series 2022-3A, Class D, 9.00%, 4/18/2033 (a) | | |
Series 2023-1A, Class C, 7.71%, 7/15/2033 (a) | | |
Series 2023-2A, Class C, 7.15%, 9/15/2033 (a) | | |
Series 2023-3A, Class C, 7.62%, 12/15/2033 (a) | | |
Series 2023-5A, Class C, 7.30%, 4/17/2034 (a) | | |
| | |
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (a) | | |
Diamond Resorts Owner Trust | | |
Series 2021-1A, Class A, 1.51%, 11/21/2033 (a) | | |
Series 2021-1A, Class D, 3.83%, 11/21/2033 (a) | | |
DLLAA LLC Series 2023-1A, Class A3, 5.64%, 2/22/2028 (a) | | |
DP Lion Holdco LLC Series 2023-1A, Class B, 12.73%, 11/30/2043 ‡ | | |
| | |
Series 2020-2A, Class D, 4.73%, 3/16/2026 (a) | | |
Series 2022-3A, Class C, 7.69%, 7/17/2028 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Asset-Backed Securities — continued |
Series 2023-1A, Class D, 6.44%, 11/15/2028 (a) | | |
Series 2023-2A, Class D, 6.62%, 2/15/2029 (a) | | |
Elara HGV Timeshare Issuer LLC | | |
Series 2021-A, Class C, 2.09%, 8/27/2035 (a) | | |
Series 2021-A, Class D, 3.32%, 8/27/2035 (a) | | |
Energy Assets, 8.11%, 8/25/2044 ‡ | | |
Exeter Automobile Receivables Trust | | |
Series 2023-2A, Class C, 5.75%, 7/17/2028 | | |
Series 2022-3A, Class D, 6.76%, 9/15/2028 | | |
Series 2022-5A, Class D, 7.40%, 2/15/2029 | | |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | | |
Series 2023-4A, Class D, 6.95%, 12/17/2029 | | |
Series 2024-2A, Class D, 5.92%, 2/15/2030 | | |
Series 2022-4A, Class E, 8.23%, 3/15/2030 (a) | | |
Series 2024-1A, Class D, 5.84%, 6/17/2030 | | |
Series 2023-4A, Class E, 9.57%, 2/18/2031 (a) | | |
| | |
Series 2023-2A, Class B, 7.49%, 11/15/2029 (a) | | |
Series 2024-1A, Class B, 6.26%, 3/15/2030 (a) | | |
| | |
Series 2021-1A, Class A, 1.27%, 3/15/2027 (a) | | |
Series 2022-2A, Class A, 6.14%, 12/15/2027 (a) | | |
First Investors Auto Owner Trust | | |
Series 2021-2A, Class C, 1.47%, 11/15/2027 (a) | | |
Series 2023-1A, Class C, 6.81%, 12/17/2029 (a) | | |
| | |
Series 2020-SFR1, Class H, PO, 8/17/2037 ‡ (a) | | |
Series 2020-SFR1, Class E, 2.79%, 8/17/2037 (a) | | |
| | |
|
Series 2020-SFR1, Class F1, 3.64%, 8/17/2037 (a) | | |
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (a) | | |
Series 2020-SFR2, Class F1, 3.02%, 10/19/2037 (a) | | |
Series 2020-SFR2, Class F2, 3.12%, 10/19/2037 (a) | | |
Series 2022-SFR3, Class D, 3.50%, 7/17/2038 (a) | | |
Series 2022-SFR3, Class E1, 3.50%, 7/17/2038 (a) | | |
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (a) | | |
Series 2021-SFR1, Class F1, 3.24%, 8/17/2038 (a) | | |
Series 2021-SFR1, Class F2, 3.45%, 8/17/2038 (a) | | |
Series 2021-SFR2, Class E1, 2.26%, 9/17/2038 (a) | | |
Series 2021-SFR2, Class E2, 2.36%, 9/17/2038 (a) | | |
Series 2021-SFR2, Class F2, 3.16%, 9/17/2038 (a) | | |
Series 2022-SFR1, Class E1, 5.00%, 5/19/2039 (a) | | |
Series 2022-SFR1, Class E2, 5.00%, 5/19/2039 (a) | | |
Series 2022-SFR2, Class E2, 4.50%, 7/17/2039 (a) | | |
Flagship Credit Auto Trust | | |
Series 2020-4, Class D, 2.18%, 2/16/2027 (a) | | |
Series 2021-4, Class C, 1.96%, 12/15/2027 (a) | | |
Series 2023-2, Class C, 5.81%, 5/15/2029 (a) | | |
| | |
Series 2021-GT1, Class B, 4.36%, 7/25/2026 (a) (i) | | |
Series 2024-SAT1, Class A, 6.50%, 3/26/2027 (a) (i) | | |
Series 2022-GT1, Class A, 6.19%, 4/25/2027 (a) | | |
Series 2022-GT1, Class B, 7.17%, 4/25/2027 (a) | | |
Series 2022-GT2, Class B, 10.07%, 7/25/2027 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
| | |
Series 2020-1A, Class B, 4.62%, 7/16/2040 (a) | | |
Series 2020-1A, Class C, 5.75%, 7/16/2040 (a) | | |
Series 2021-1A, Class C, 2.99%, 5/15/2041 (a) | | |
Series 2023-1A, Class D, 9.18%, 12/15/2043 (a) | | |
Series 2024-1A, Class C, 6.53%, 12/15/2049 (a) | | |
| | |
Series 2021-2, Class C, 1.94%, 6/19/2028 (a) | | |
Series 2022-1FP, Class D, 3.35%, 3/19/2029 (a) | | |
Series 2022-3FP, Class C, 7.05%, 8/20/2029 (a) | | |
Series 2022-4FP, Class C, 8.59%, 12/18/2029 (a) | | |
FRTKL Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (a) | | |
FW Energy Asset Issuer LLC, 7.15%, 8/25/2044 ‡ | | |
GLS Auto Receivables Issuer Trust | | |
Series 2022-1A, Class D, 3.97%, 1/18/2028 (a) | | |
Series 2021-2A, Class E, 2.87%, 5/15/2028 (a) | | |
Series 2023-2A, Class E, 9.37%, 1/15/2030 (a) | | |
Series 2023-1A, Class E, 11.42%, 3/15/2030 (a) | | |
GLS Auto Select Receivables Trust | | |
Series 2023-1A, Class A2, 6.27%, 8/16/2027 (a) | | |
Series 2024-1A, Class B, 5.32%, 3/15/2030 (a) | | |
Series 2024-1A, Class C, 5.69%, 3/15/2030 (a) | | |
Series 2024-1A, Class D, 6.43%, 1/15/2031 (a) | | |
Hertz Vehicle Financing LLC Series 2023-3A, Class A, 5.94%, 2/25/2028 (a) | | |
HGI CRE CLO Ltd. (Cayman Islands) | | |
Series 2022-FL3, Class B, 7.95%, 4/20/2037 (a) (i) | | |
| | |
|
Series 2022-FL3, Class E, 9.65%, 4/20/2037 (a) (i) | | |
Hilton Grand Vacations Trust | | |
Series 2022-1D, Class D, 6.79%, 6/20/2034 (a) | | |
Series 2022-2A, Class D, 8.73%, 1/25/2037 (a) | | |
Series 2020-AA, Class C, 6.42%, 2/25/2039 (a) | | |
Series 2024-1B, Class D, 8.85%, 9/15/2039 (a) | | |
| | |
Series 2020-A, Class D, 5.50%, 10/9/2039 (a) | | |
Series 2020-A, Class E, 6.50%, 10/9/2039 (a) | | |
| | |
Series 2022-A, Class D, 6.50%, 5/15/2041 (a) | | |
Series 2022-A, Class E, 8.00%, 5/15/2041 (a) | | |
Series 2024-A, Class D, 7.00%, 3/15/2043 (a) | | |
Series 2024-A, Class E, 8.00%, 3/15/2043 (a) | | |
Home Partners of America Trust | | |
Series 2021-2, Class D, 2.65%, 12/17/2026 (a) | | |
Series 2021-2, Class F, 3.80%, 12/17/2026 (a) | | |
Series 2022-1, Class D, 4.73%, 4/17/2039 (a) | | |
Series 2019-2, Class A, 2.70%, 10/19/2039 (a) | | |
Series 2021-3, Class D, 3.00%, 1/17/2041 (a) | | |
| | |
Series 2024-SFR1, Class B, 4.00%, 9/17/2029 (a) (k) | | |
Series 2024-SFR1, Class E, 4.50%, 9/17/2029 (a) (k) | | |
John Deere Owner Trust Series 2023-B, Class A4, 5.11%, 5/15/2030 | | |
| | |
Series 2020-2A, Class A, 2.32%, 4/21/2031 (a) | | |
Series 2020-2A, Class D, 6.77%, 4/21/2031 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Asset-Backed Securities — continued |
Lendingpoint Asset Securitization Trust Series 2022-A, Class D, 4.54%, 6/15/2029 (a) | | |
| | |
Series 2021-1A, Class A, 1.90%, 11/20/2031 (a) | | |
Series 2021-1A, Class D, 5.05%, 11/20/2031 (a) | | |
Series 2021-2A, Class B, 2.37%, 4/20/2032 (a) | | |
Series 2021-2A, Class D, 4.46%, 4/20/2032 (a) | | |
Series 2022-1A, Class E, 7.58%, 7/20/2032 ‡ (a) | | |
Series 2023-1A, Class D, 8.69%, 5/20/2033 (a) | | |
LP LMS Asset Securitization Trust | | |
Series 2023-1A, Class B, 7.48%, 10/17/2033 (a) | | |
Series 2023-1A, Class A, 8.18%, 10/17/2033 (a) | | |
Mariner Finance Issuance Trust | | |
Series 2019-AA, Class D, 5.44%, 7/20/2032 (a) | | |
Series 2020-AA, Class D, 5.75%, 8/21/2034 (a) | | |
Series 2023-AA, Class E, 11.12%, 10/22/2035 (a) | | |
Series 2021-AA, Class B, 2.33%, 3/20/2036 (a) | | |
Series 2021-AA, Class C, 2.96%, 3/20/2036 (a) | | |
Series 2021-AA, Class D, 3.83%, 3/20/2036 (a) | | |
Series 2021-AA, Class E, 5.40%, 3/20/2036 (a) | | |
Series 2021-BA, Class E, 4.68%, 11/20/2036 (a) | | |
Series 2022-AA, Class D, 9.10%, 10/20/2037 (a) | | |
Series 2022-AA, Class E, 10.98%, 10/20/2037 ‡ (a) | | |
| | |
Series 2023-1A, Class C, 7.20%, 4/15/2033 (a) | | |
Series 2023-2A, Class C, 6.96%, 6/15/2033 (a) | | |
| | |
|
Merchants Fleet Funding LLC Series 2023-1A, Class A, 7.21%, 5/20/2036 (a) | | |
Mercury Financial Credit Card Master Trust | | |
Series 2023-1A, Class A, 8.04%, 9/20/2027 (a) | | |
Series 2024-2A, Class A, 6.56%, 7/20/2029 (a) | | |
MNR ABS Issuer I LLC, 12.44%, 12/15/2038 ‡ | | |
| | |
Series 2020-1A, Class C, 4.21%, 10/20/2037 (a) | | |
Series 2020-1A, Class D, 7.14%, 10/20/2037 (a) | | |
Series 2019-2A, Class B, 2.44%, 10/20/2038 (a) | | |
Series 2023-1A, Class C, 6.54%, 10/20/2040 (a) | | |
Series 2022-2A, Class C, 7.62%, 10/21/2041 (a) | | |
Series 2022-2A, Class D, 9.00%, 10/21/2041 (a) | | |
MVW Owner Trust Series 2019-1A, Class C, 3.33%, 11/20/2036 (a) | | |
New Residential Mortgage LLC Series 2020-FNT1, Class A, 5.44%, 6/25/2025 (a) | | |
New Residential Mortgage Loan Trust | | |
Series 2022-SFR1, Class D, 3.30%, 2/17/2039 (a) | | |
Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (a) | | |
Nissan Auto Lease Trust Series 2023-B, Class A4, 5.61%, 11/15/2027 | | |
NMEF Funding LLC Series 2021-A, Class C, 2.58%, 12/15/2027 (a) | | |
NRZ Excess Spread-Collateralized Notes | | |
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (a) | | |
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a) | | |
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a) | | |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a) | | |
NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
| | |
Series 2020-1A, Class C, 2.89%, 3/20/2026 (a) | | |
Series 2022-2A, Class C, 6.29%, 7/20/2028 (a) | | |
Series 2022-2A, Class D, 7.70%, 2/20/2030 (a) | | |
Series 2024-1A, Class D, 6.43%, 10/21/2030 (a) | | |
OneMain Direct Auto Receivables Trust Series 2019-1A, Class B, 3.95%, 11/14/2028 (a) | | |
| | |
Series 2021-A, Class A, 1.21%, 3/8/2028 (a) | | |
Series 2021-A, Class C, 3.44%, 3/8/2028 (a) | | |
| | |
Series 2022-2, Class C, 9.36%, 10/9/2029 (a) | | |
Series 2022-3, Class C, 10.15%, 1/8/2030 (a) | | |
Series 2024-1A, Class C, 7.42%, 4/8/2031 (a) | | |
Series 2021-B, Class B, 1.96%, 5/8/2031 (a) | | |
Series 2021-B, Class C, 3.65%, 5/8/2031 (a) | | |
Series 2022-A, Class C, 7.40%, 6/9/2031 (a) | | |
Series 2021-C, Class A, 2.18%, 10/8/2031 (a) | | |
Pagaya AI Technology in Housing Trust Series 2023-1, Class E2, 3.60%, 10/25/2040 (a) | | |
Porsche Financial Auto Securitization Trust | | |
Series 2023-1A, Class A3, 4.81%, 9/22/2028 (a) | | |
Series 2023-2A, Class A3, 5.79%, 1/22/2029 (a) | | |
Prestige Auto Receivables Trust Series 2022-1A, Class C, 7.09%, 8/15/2028 (a) | | |
| | |
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (j) | | |
Series 2021-RN3, Class A1, 1.84%, 9/25/2051 (a) (j) | | |
| | |
|
Series 2022-NPL1, Class A1, 2.98%, 1/25/2052 (a) (j) | | |
| | |
Series 2021-SFR3, Class E1, 2.54%, 5/17/2026 (a) | | |
Series 2021-SFR3, Class E2, 2.69%, 5/17/2026 (a) | | |
Progress Residential Trust | | |
Series 2022-SFR2, Class E2, 4.80%, 4/17/2027 (a) | | |
Series 2024-SFR5, Class E1, 3.38%, 8/9/2029 (a) (i) | | |
Series 2021-SFR2, Class E2, 2.65%, 4/19/2038 (a) | | |
Series 2021-SFR5, Class E1, 2.21%, 7/17/2038 (a) | | |
Series 2021-SFR5, Class E2, 2.36%, 7/17/2038 (a) | | |
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a) | | |
Series 2022-SFR3, Class D, 4.45%, 4/17/2039 (a) | | |
Series 2022-SFR3, Class E2, 5.60%, 4/17/2039 (a) | | |
Series 2022-SFR3, Class F, 6.60%, 4/17/2039 (a) | | |
Series 2021-SFR7, Class E1, 2.59%, 8/17/2040 (a) | | |
Series 2023-SFR2, Class E1, 4.75%, 10/17/2040 (a) | | |
Series 2021-SFR9, Class F, 4.05%, 11/17/2040 (a) | | |
Series 2022-SFR1, Class E2, 3.99%, 2/17/2041 (a) | | |
Series 2022-SFR1, Class F, 4.88%, 2/17/2041 (a) | | |
Series 2024-SFR2, Class D, 3.40%, 4/17/2041 (a) (i) | | |
Series 2024-SFR2, Class E1, 3.40%, 4/17/2041 (a) (i) | | |
RCO VI Mortgage LLC Series 2022-1, Class A1, 3.00%, 1/25/2027 (a) (j) | | |
ReadyCap Lending Small Business Loan Trust Series 2019-2, Class A, 8.00%, 12/27/2044 (a) (i) | | |
Regional Management Issuance Trust | | |
Series 2020-1, Class C, 3.80%, 10/15/2030 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Asset-Backed Securities — continued |
Series 2021-1, Class D, 5.07%, 3/17/2031 (a) | | |
Series 2022-1, Class B, 3.71%, 3/15/2032 (a) | | |
Series 2022-2B, Class B, 8.51%, 11/17/2032 (a) | | |
Renew Series 2023-1A, Class A, 5.90%, 11/20/2058 ‡ (a) | | |
RT Fin LLC, 7.85%, 10/15/2043 ‡ | | |
Santander Drive Auto Receivables Trust | | |
Series 2024-S1, Class R2, 8.32%, 3/16/2029 ‡ (a) | | |
Series 2022-4, Class C, 5.00%, 11/15/2029 | | |
Series 2023-2, Class C, 5.47%, 12/16/2030 | | |
Series 2022-5, Class D, 5.67%, 12/16/2030 | | |
Series 2022-6, Class D, 5.69%, 2/18/2031 | | |
Series 2024-4, Class D, 5.32%, 12/15/2031 | | |
Santander Revolving Auto Loan Trust Series 2019-A, Class D, 3.45%, 1/26/2032 (a) | | |
SCF Equipment Leasing LLC | | |
Series 2022-2A, Class A3, 6.50%, 10/21/2030 (a) | | |
Series 2023-1A, Class B, 6.37%, 5/20/2032 (a) | | |
Series 2024-1A, Class D, 6.58%, 6/21/2033 (a) | | |
Series 2024-1A, Class E, 9.00%, 12/20/2034 (a) | | |
Series 2022-2A, Class E, 6.50%, 6/20/2035 (a) | | |
Series 2022-2A, Class F1, 6.50%, 6/20/2035 (a) | | |
Series 2023-1A, Class E, 7.00%, 7/21/2036 (a) | | |
Sierra Timeshare Receivables Funding LLC | | |
Series 2020-2A, Class D, 6.59%, 7/20/2037 (a) | | |
Series 2021-1A, Class D, 3.17%, 11/20/2037 (a) | | |
Series 2022-1A, Class D, 6.00%, 10/20/2038 (a) | | |
Series 2022-3A, Class D, 10.52%, 7/20/2039 (a) | | |
| | |
|
Series 2023-1A, Class D, 9.80%, 1/20/2040 (a) | | |
Series 2023-2A, Class D, 9.72%, 4/20/2040 (a) | | |
Series 2022-2A, Class D, 9.22%, 6/20/2040 (a) | | |
Series 2024-2A, Class D, 7.48%, 6/20/2041 (a) | | |
SpringCastle America Funding LLC Series 2020-AA, Class A, 1.97%, 9/25/2037 (a) | | |
Tesla Auto Lease Trust Series 2023-B, Class A4, 6.22%, 3/22/2027 (a) | | |
Theorem Funding Trust Series 2022-2A, Class A, 6.06%, 12/15/2028 (a) | | |
Tricolor Auto Securitization Trust Series 2022-1A, Class D, 5.38%, 1/15/2026 (a) | | |
Tricon American Homes Series 2020-SFR1, Class E, 3.54%, 7/17/2038 (a) | | |
United Airlines Pass-Through Trust | | |
Series 2014-1, Class A, 4.00%, 4/11/2026 | | |
Series 2014-2, Class A, 3.75%, 9/3/2026 | | |
Series 2018-1, Class A, 3.70%, 3/1/2030 | | |
Series 2024-1, Class AA, 5.45%, 2/15/2037 | | |
United Auto Credit Securitization Trust | | |
Series 2022-2, Class C, 5.81%, 5/10/2027 (a) | | |
Series 2022-2, Class E, 10.00%, 4/10/2029 (a) | | |
UOG ABS Issuer I LLC Series 2023-1, Class A1, 8.35%, 6/5/2040 ‡ (a) | | |
Upstart Securitization Trust Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | | |
Upstart Structured Pass-Through Trust Series 2022-4A, Class A, 7.01%, 11/15/2030 (a) | | |
| | |
Series 2022-1A, Class B, 5.13%, 12/15/2025 ‡ (a) | | |
Series 2022-1A, Class D, 9.14%, 7/15/2027 ‡ (a) | | |
| | |
Series 2021-NPL1, Class A1, 5.29%, 12/26/2050 (a) (j) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
Series 2021-NPL5, Class A1, 4.87%, 8/25/2051 (a) (j) | | |
VOLT CII LLC Series 2021-NP11, Class A1, 4.87%, 8/25/2051 (a) (j) | | |
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (a) (j) | | |
VOLT XCII LLC Series 2021-NPL1, Class A1, 4.89%, 2/27/2051 (a) (j) | | |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 4.89%, 2/27/2051 (a) (j) | | |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 5.24%, 2/27/2051 (a) (j) | | |
| | |
Series 2022-1A, Class B, 2.29%, 8/20/2036 (a) | | |
Series 2022-1A, Class D, 3.84%, 8/20/2036 (a) | | |
Series 2023-1A, Class C, 7.49%, 12/20/2037 (a) | | |
Westlake Automobile Receivables Trust | | |
Series 2021-3A, Class D, 2.12%, 1/15/2027 (a) | | |
Series 2021-3A, Class E, 3.42%, 4/15/2027 (a) | | |
Series 2022-2A, Class D, 5.48%, 9/15/2027 (a) | | |
Series 2023-3A, Class C, 6.02%, 9/15/2028 (a) | | |
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | | |
Series 2023-2A, Class D, 7.01%, 11/15/2028 (a) | | |
Series 2023-4A, Class D, 7.19%, 7/16/2029 (a) | | |
Total Asset-Backed Securities
(Cost $557,666,228) | | |
U.S. Treasury Obligations — 7.5% |
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U.S. Treasury STRIPS Bonds | | |
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Total U.S. Treasury Obligations
(Cost $290,990,615) | | |
Commercial Mortgage-Backed Securities — 7.5% |
| | |
Series 2014-FRR8, Class C, 0.00%, 11/26/2047 ‡ (a) (i) | | |
Series 2024-FRR4, Class D, 1.46%, 11/27/2048 (a) (i) | | |
Banc of America Re-Remic Trust | | |
Series 2024-FRR1, Class B, 0.00%, 4/27/2049 ‡ (a) | | |
Series 2024-FRR1, Class C, 0.00%, 4/27/2049 ‡ (a) | | |
Series 2024-FRR1, Class A, 2.12%, 4/27/2049 ‡ (a) (i) | | |
BBCMS Mortgage Trust Series 2016-ETC, Class E, 3.73%, 8/14/2036 (a) (i) | | |
BB-UBS Trust Series 2012-SHOW, Class E, 4.16%, 11/5/2036 (a) (i) | | |
| | |
Series 2019-FRR1, Class 4D1, PO, , 5/25/2052 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
Series 2019-FRR1, Class 5D1, PO, , 5/25/2052 ‡ (a) | | |
Series 2019-FRR1, Class 5B13, 2.19%, 5/25/2052 ‡ (a) (i) | | |
BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (a) | | |
Cascade Funding Mortgage Trust | | |
Series 2021-FRR1, Class DK45, 0.00%, 2/28/2025 (a) | | |
Series 2021-FRR1, Class CK45, 1.32%, 2/28/2025 (a) (i) | | |
Series 2021-FRR1, Class BK45, 2.03%, 2/28/2025 (a) (i) | | |
Series 2021-FRR1, Class CK54, 0.00%, 2/28/2026 (a) | | |
Series 2021-FRR1, Class DKW1, 0.00%, 2/28/2026 (a) | | |
Series 2021-FRR1, Class BK98, 0.00%, 8/29/2029 (a) | | |
Series 2021-FRR1, Class AK99, 0.00%, 9/29/2029 (a) | | |
Series 2021-FRR1, Class BK99, 0.00%, 9/29/2029 (a) | | |
| | |
Series 2014-USA, Class C, 4.34%, 9/15/2037 (a) | | |
Series 2014-USA, Class D, 4.37%, 9/15/2037 (a) | | |
| | |
Series 2023-MN7, Class M2, 11.05%, 9/25/2043 (a) (i) | | |
Series 2024-MN8, Class M2, 9.60%, 5/25/2044 (a) (i) | | |
FHLMC, Multi-Family Structured Credit Risk | | |
Series 2021-MN1, Class M1, 7.35%, 1/25/2051 (a) (i) | | |
Series 2021-MN1, Class M2, 9.10%, 1/25/2051 (a) (i) | | |
Series 2021-MN3, Class M1, 7.65%, 11/25/2051 (a) (i) | | |
Series 2021-MN3, Class M2, 9.35%, 11/25/2051 (a) (i) | | |
Series 2022-MN4, Class M1, 9.60%, 5/25/2052 (a) (i) | | |
Series 2022-MN4, Class M2, 11.85%, 5/25/2052 (a) (i) | | |
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|
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series KW06, Class A2, 3.80%, 6/25/2028 (i) | | |
Series K088, Class A2, 3.69%, 1/25/2029 | | |
Series K128, Class X3, IO, 2.88%, 4/25/2031 (i) | | |
Series KJ48, Class A2, 5.03%, 10/25/2031 | | |
Series K136, Class A2, 2.13%, 11/25/2031 | | |
Series K142, Class A2, 2.40%, 3/25/2032 | | |
Series K-151, Class A2, 3.80%, 10/25/2032 (i) | | |
Series K-153, Class A2, 3.82%, 12/25/2032 (i) | | |
Series KJ44, Class A2, 4.61%, 2/25/2033 | | |
Series K-160, Class A2, 4.50%, 8/25/2033 (i) | | |
Series K-1520, Class X1, IO, 0.58%, 2/25/2036 (i) | | |
Series K-1520, Class X3, IO, 3.20%, 4/25/2039 (i) | | |
Series K145, Class AM, 2.58%, 6/25/2055 | | |
Series Q014, Class X, IO, 2.78%, 10/25/2055 (i) | | |
FHLMC, Multi-Family, Structured Pass-Through Certificates Series K753, Class A2, 4.40%, 10/25/2030 | | |
| | |
Series 2017-M3, Class A2, 2.55%, 12/25/2026 (i) | | |
Series 2021-M11, Class A2, 1.51%, 3/25/2031 (i) | | |
Series 2023-M2, Class PT, 3.24%, 4/25/2031 (i) | | |
Series 2022-M1G, Class A2, 1.58%, 9/25/2031 (i) | | |
Series 2022-M1, Class A1, 1.72%, 10/25/2031 (i) | | |
Series 2022-M3, Class A2, 1.76%, 11/25/2031 (i) | | |
Series 2021-M15, Class A2, 2.00%, 11/25/2031 | | |
Series 2022-M8, Class A2, 2.00%, 12/25/2031 (i) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Commercial Mortgage-Backed Securities — continued |
Series 2022-M2S, Class A1, 3.88%, 5/25/2032 (i) | | |
Series 2022-M13, Class A2, 2.68%, 6/25/2032 (i) | | |
Series 2020-M53, Class A2, 1.75%, 11/25/2032 (i) | | |
Series 2023-M8, Class A2, 4.62%, 3/25/2033 (i) | | |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | | |
Series 2021-M3, Class X1, IO, 2.03%, 11/25/2033 (i) | | |
| | |
Series 2018-KL3W, Class CW, 4.23%, 8/25/2025 (a) (i) | | |
Series 2018-KBX1, Class B, 3.73%, 1/25/2026 (a) (i) | | |
Series 2018-K82, Class X2A, IO, 0.10%, 9/25/2028 (a) | | |
Series 2021-KHG3, Class BFX, 2.48%, 9/25/2028 (a) (i) | | |
Series 2018-K82, Class D, PO, , 10/25/2028 (a) | | |
Series 2018-K82, Class X2B, IO, 0.10%, 10/25/2028 (a) | | |
Series 2018-K84, Class D, PO, , 11/25/2028 (a) | | |
Series 2019-K92, Class X2A, IO, 0.10%, 4/25/2029 (a) | | |
Series 2019-K92, Class X2B, IO, 0.10%, 7/25/2029 (a) | | |
Series 2020-K107, Class D, 3.62%, 2/25/2030 (a) (i) | | |
Series 2019-KW10, Class C, PO, , 10/25/2032 (a) | | |
Series 2019-KW10, Class X2A, IO, 0.10%, 10/25/2032 (a) | | |
Series 2019-KW10, Class X2B, IO, 0.10%, 10/25/2032 (a) | | |
Series 2018-K157, Class C, PO, , 9/25/2033 (a) | | |
Series 19K-1510, Class C, 0.00%, 1/25/2034 (a) | | |
Series 2015-K44, Class B, 3.84%, 1/25/2048 (a) (i) | | |
Series 2015-K45, Class B, 3.72%, 4/25/2048 (a) (i) | | |
Series 2015-K48, Class B, 3.77%, 8/25/2048 (a) (i) | | |
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|
Series 2015-K50, Class B, 3.91%, 10/25/2048 (a) (i) | | |
Series 2015-K51, Class B, 4.09%, 10/25/2048 (a) (i) | | |
Series 2016-K52, Class B, 4.07%, 1/25/2049 (a) (i) | | |
Series 2016-K53, Class C, 4.16%, 3/25/2049 (a) (i) | | |
Series 2016-K57, Class B, 4.05%, 8/25/2049 (a) (i) | | |
Series 2017-K68, Class D, PO, , 10/25/2049 (a) | | |
Series 2017-K69, Class D, PO, , 10/25/2049 (a) | | |
Series 2017-K69, Class X2B, IO, 0.10%, 10/25/2049 (a) | | |
Series 2017-K729, Class B, 3.80%, 11/25/2049 (a) (i) | | |
Series 2018-K80, Class B, 4.38%, 8/25/2050 (a) (i) | | |
Series 2018-K81, Class D, PO, , 9/25/2051 (a) | | |
Series 2019-K88, Class C, 4.53%, 2/25/2052 (a) (i) | | |
Series 2019-K92, Class D, PO, , 5/25/2052 (a) | | |
Series 2020-K116, Class D, PO, , 9/25/2052 (a) | | |
Series 2020-K116, Class X2A, IO, 0.10%, 9/25/2052 (a) | | |
Series 2020-K116, Class X2B, IO, 0.10%, 9/25/2052 (a) | | |
Series 2019-K100, Class C, 3.61%, 11/25/2052 (a) (i) | | |
Series 2020-K105, Class D, PO, , 3/25/2053 (a) | | |
Series 2020-K105, Class X2A, IO, 0.10%, 3/25/2053 (a) | | |
Series 2020-K105, Class X2B, IO, 0.10%, 3/25/2053 (a) | | |
Series 2020-K113, Class D, PO, , 5/25/2053 (a) | | |
Series 2020-K739, Class D, PO, , 11/25/2053 (a) | | |
Series 2020-K739, Class X2A, IO, 0.10%, 11/25/2053 (a) | | |
Series 2020-K739, Class X2B, IO, 0.10%, 11/25/2053 (a) | | |
Series 2020-K122, Class D, PO, , 1/25/2054 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
Series 2020-K122, Class X2B, IO, 0.10%, 1/25/2054 (a) | | |
FREMF Trust Series 2018-KW04, Class C, PO, 12/25/2032 (a) | | |
FRR Re-REMIC Trust Series 2018-C1, Class CK43, PO, 2/27/2048 (a) | | |
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Series 2022-FRR3, Class AK41, PO, , 10/27/2047 ‡ (a) | | |
Series 2022-FRR3, Class BK71, 1.99%, 11/27/2050 ‡ (a) (i) | | |
Series 2021-FRR1, Class 1B, PO, , 11/29/2050 ‡ (a) | | |
Series 2021-FRR1, Class 2B, PO, , 11/29/2050 ‡ (a) | | |
Series 2022-FRR3, Class BK89, PO, , 1/27/2052 ‡ (a) | | |
GS Mortgage Securities Corp. Trust Series 2023-SHIP, Class A, 4.47%, 9/10/2038 (a) (i) | | |
Hudson Yards Mortgage Trust Series 2019-30HY, Class A, 3.23%, 7/10/2039 (a) | | |
MHC Commercial Mortgage Trust Series 2021-MHC, Class F, 8.05%, 4/15/2038 (a) (i) | | |
Multi-Family Connecticut Avenue Securities Trust | | |
Series 2019-01, Class M10, 8.71%, 10/25/2049 (a) (i) | | |
Series 2020-01, Class M10, 9.21%, 3/25/2050 (a) (i) | | |
Series 2023-01, Class M10, 11.85%, 11/25/2053 (a) (i) | | |
Series 2024-01, Class M10, 9.20%, 7/25/2054 (a) (i) | | |
RFM Reremic Trust Series 2022-FRR1, Class BK64, 1.70%, 3/1/2050 (a) (i) | | |
Total Commercial Mortgage-Backed Securities
(Cost $282,110,145) | | |
Collateralized Mortgage Obligations — 4.0% |
Alta Apartments, 4.82%, 5/1/2029 ‡ (k) | | |
Anchor Mortgage Trust, 10.14%, 3/25/2031 ‡ (i) | | |
CFMT LLC Series 2024-HB14, Class A, 3.00%, 6/25/2034 ‡ (a) (i) | | |
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Connecticut Avenue Securities Trust Series 2023-R06, Class 1M2, 8.05%, 7/25/2043 (a) (i) | | |
Credit One, 6.47%, 2/25/2029 ‡ | | |
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Series 2021-JR1, Class A1, 5.47%, 9/27/2066 (a) (i) | | |
Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (a) (j) | | |
FHLMC Seasoned Credit Risk Transfer Trust | | |
Series 2018-1, Class MA, 3.00%, 5/25/2057 | | |
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | | |
Series 2018-3, Class MA, 3.50%, 8/25/2057 (i) | | |
Series 2018-3, Class M55D, 4.00%, 8/25/2057 (i) | | |
Series 2018-2, Class MT, 3.50%, 11/25/2057 | | |
Series 2018-2, Class M55D, 4.00%, 11/25/2057 | | |
Series 2019-1, Class MA, 3.50%, 7/25/2058 | | |
Series 2019-2, Class MA, 3.50%, 8/25/2058 | | |
Series 2019-3, Class MT, 3.50%, 10/25/2058 | | |
Series 2020-1, Class MA, 2.50%, 8/25/2059 | | |
Series 2020-3, Class M5TW, 3.00%, 5/25/2060 | | |
Series 2020-3, Class TTW, 3.00%, 5/25/2060 | | |
Series 2021-1, Class BXS, 11.13%, 9/25/2060 (a) (i) | | |
Series 2022-1, Class MTU, 3.25%, 11/25/2061 | | |
Series 2023-1, Class MT, 3.00%, 10/25/2062 | | |
| | |
Series 5200, Class YV, 2.50%, 7/25/2033 | | |
Series 2708, Class ZD, 5.50%, 11/15/2033 | | |
Series 4302, Class PA, 4.00%, 12/15/2043 | | |
Series 4281, Class BC, 4.50%, 12/15/2043 (i) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Collateralized Mortgage Obligations — continued |
Series 5141, Class AH, 2.25%, 11/25/2047 | | |
Series 5200, Class MA, 2.50%, 8/25/2048 | | |
Series 4913, Class UA, 3.00%, 3/15/2049 | | |
Series 5028, Class JG, 1.50%, 8/25/2050 | | |
Series 5155, Class JD, 1.25%, 10/25/2051 | | |
Series 5347, PO, 10/25/2053 | | |
Series 4862, Class NO, PO, 8/15/2057 | | |
FHLMC, STRIPS Series 406, PO, 10/25/2053 | | |
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 | | |
| | |
Series 2003-7, Class FA, 6.21%, 2/25/2033 (i) | | |
Series 2013-108, Class GU, 3.00%, 10/25/2033 | | |
Series 2005-110, Class TY, 5.50%, 12/25/2035 | | |
Series 2007-89, Class F, 6.04%, 9/25/2037 (i) | | |
Series 2011-112, Class PB, 4.00%, 11/25/2041 | | |
Series 2014-57, Class PE, 3.00%, 9/25/2044 | | |
Series 2019-25, Class PB, 2.00%, 5/25/2048 | | |
Series 2021-14, Class CB, 1.00%, 11/25/2049 | | |
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Series 2012-13, Class FQ, 5.77%, 1/20/2038 (i) | | |
Series 2010-14, Class FH, 5.95%, 2/16/2040 (i) | | |
Series 2010-61, Class FK, 5.95%, 5/16/2040 (i) | | |
Series 2012-61, Class FM, 5.85%, 5/16/2042 (i) | | |
Series 2020-165, Class UD, 1.50%, 11/20/2050 | | |
Series 2010-H24, Class FA, 5.80%, 10/20/2060 (i) | | |
Series 2014-H03, Class FA, 6.05%, 1/20/2064 (i) | | |
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Series 2015-H02, Class FA, 6.10%, 1/20/2065 (i) | | |
Series 2015-H05, Class FC, 5.93%, 2/20/2065 (i) | | |
Series 2021-H14, Class CF, 6.75%, 9/20/2071 (i) | | |
GS Mortgage-Backed Securities Corp. Trust Series 2021-RPL1, Class A1, 1.75%, 12/25/2060 (a) (i) | | |
GS Mortgage-Backed Securities Trust Series 2024-RPL4, Class A1, 3.90%, 9/25/2061 (a) (j) | | |
Home RE Ltd. (Bermuda) Series 2022-1, Class M1C, 10.85%, 10/25/2034 (a) (i) | | |
Jonah, 11.24%, 8/10/2039 ‡ | | |
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Series 2023-RTL1, Class A1, 7.87%, 1/25/2028 (a) (j) | | |
Series 2023-RTL2, Class A1, 8.00%, 6/25/2028 (a) (j) | | |
Series 2023-RTL4, Class A1, 7.63%, 11/25/2028 (a) (j) | | |
MFA Trust Series 2024-RPL1, Class A1, 4.25%, 2/25/2066 (a) (i) | | |
New Residential Mortgage Loan Trust | | |
Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (a) (j) | | |
Series 2024-RTL1, Class M1, 9.23%, 3/25/2039 (a) (i) | | |
Onah Energy, 0.00%, 8/10/2039 ‡ | | |
Radnor RE Ltd. (Bermuda) Series 2022-1, Class M1B, 12.10%, 9/25/2032 (a) (i) | | |
Toorak Mortgage Trust Series 2024-RRTL1, Class A1, 6.60%, 2/25/2039 (a) (j) | | |
Towd Point Mortgage Trust Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (a) | | |
Two Harbors Msr Frn, 7.55%, 10/25/2024 ‡ (a) | | |
VM Master Issuer LLC Series 2022-1, Class B, 7.88%, 5/24/2025 ‡ (a) (j) | | |
Total Collateralized Mortgage Obligations
(Cost $150,754,313) | | |
Loan Assignments — 1.1% (d) (m) |
Automobile Components — 0.0% ^ |
Adient US LLC, 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.75%), 8.00%, 1/31/2031 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Loan Assignments — continued |
|
Triton Water Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.85%, 3/31/2028 | | |
|
Emerson Climate Technologies, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.56%, 5/31/2030 | | |
MIWD Holdco II LLC, 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 3.50%), 8.75%, 3/28/2031 | | |
Quikrete Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 7.50%, 3/19/2029 | | |
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DuPont Performance, 1st Lien Term Loan B-6 (3-MONTH CME TERM SOFR + 2.00%), 7.33%, 12/20/2029 | | |
INEOS US Finance LLC, 1st Lien Term Loan B (Luxembourg) (1-MONTH CME TERM SOFR + 3.25%), 8.59%, 2/18/2030 | | |
| | |
Commercial Services & Supplies — 0.0% ^ |
Madison IAQ LLC, 1st Lien Term Loan (6-MONTH CME TERM SOFR + 2.75%), 7.89%, 6/21/2028 | | |
Construction & Engineering — 0.0% ^ |
Zekelman Industries, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 7.56%, 1/24/2031 | | |
Containers & Packaging — 0.0% ^ |
Graham Packaging Co., Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.75%, 8/4/2027 | | |
Diversified Telecommunication Services — 0.0% ^ |
Iridium Communications, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 7.50%, 9/20/2030 | | |
Electrical Equipment — 0.0% ^ |
Vertiv Group Corp., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.00%), 7.34%, 3/2/2027 | | |
| | |
|
Financial Services — 0.1% |
GTCR W Merger Sub LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.75%, 1/31/2031 | | |
NCR Atleos LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.75 %; 3-MONTH CME TERM SOFR + 4.75%), 10.10%, 3/22/2029 | | |
| | |
Ground Transportation — 0.0% ^ |
Genesee & Wyoming, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.00%), 7.33%, 4/10/2031 | | |
Health Care Equipment & Supplies — 0.0% ^ |
Medline Borrower LP, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.85%, 10/23/2028 | | |
Health Care Providers & Services — 0.1% |
DaVita, Inc., 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR + 2.00%), 7.25%, 4/25/2031 | | |
Parexel International Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.25%, 11/15/2028 | | |
Syneos Health,Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 9.08%, 9/27/2030 | | |
| | |
Hotels, Restaurants & Leisure — 0.0% ^ |
Carnival Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.00%, 8/9/2027 | | |
Household Durables — 0.0% ^ |
KDC Development Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.50%), 9.75%, 8/15/2028 | | |
|
Asurion LLC, 1st Lien Term Loan B-11 (1-MONTH CME TERM SOFR + 4.25%), 9.60%, 8/21/2028 | | |
Hub International Ltd., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.53%, 6/20/2030 | | |
USI, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.75%), 8.08%, 9/27/2030 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Loan Assignments — continued |
|
Ahead DB Holdings LLC, 1st Lien Term Loan B-3 (3-MONTH CME TERM SOFR + 3.50%), 8.80%, 1/24/2031 | | |
MH Sub I LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.25%), 9.50%, 5/3/2028 | | |
| | |
Leisure Products — 0.0% ^ |
Hercules Achievement, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.00%), 4.00%, 7/26/2031 (n) | | |
Topgolf Callaway, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.25%, 3/18/2030 | | |
| | |
|
SPX Flow, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.75%, 4/5/2029 | | |
|
Charter Communications Operating LLC, 1st Lien Term Loan B-4 (3-MONTH CME TERM SOFR + 2.00%), 7.33%, 12/9/2030 | | |
Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%), 9.36%, 8/23/2028 | | |
CSC Holdings LLC, Term Loan B-6 (1-MONTH CME TERM SOFR + 4.50%), 9.84%, 1/18/2028 | | |
| | |
Oil, Gas & Consumable Fuels — 0.1% |
Buckeye Partners LP, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.00%), 7.25%, 11/22/2030 | | |
NorthRiver Midstream, 1st Lien Term Loan B (Canada) (3-MONTH CME TERM SOFR + 2.50%), 7.83%, 8/16/2030 | | |
| | |
Passenger Airlines — 0.1% |
AAdvantage Loyalty IP Ltd., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.75%), 10.29%, 4/20/2028 | | |
Personal Care Products — 0.0% ^ |
Conair Holdings LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.11%, 5/17/2028 | | |
| | |
|
|
Elanco Animal Health, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 1.75%), 7.19%, 8/13/2031 | | |
Professional Services — 0.1% |
Brookfield WEC Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.00%, 1/27/2031 | | |
Dun & Bradstreet Corp., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.75%), 8.03%, 1/18/2029 | | |
KBR, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.00%), 7.34%, 1/17/2031 | | |
| | |
Semiconductors & Semiconductor Equipment — 0.1% |
Altar Bidco, Inc., 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 3.10%), 7.95%, 2/1/2029 | | |
|
AthenaHealth, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.50%, 2/15/2029 | | |
Camelot U.S. Acquisition LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.00%, 1/31/2031 | | |
Central Parent LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.58%, 7/6/2029 | | |
Genesys Cloud Services Holdings, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.75%, 12/1/2027 | | |
UKG, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.55%, 2/10/2031 (n) | | |
| | |
|
Petco Health & Wellness Co., Inc., Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.85%, 3/3/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Loan Assignments — continued |
Specialty Retail — continued |
PrimeSource, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.84%, 12/28/2027 | | |
White Cap Buyer LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.50%, 10/19/2029 | | |
| | |
Total Loan Assignments
(Cost $41,889,625) | | |
Foreign Government Securities — 1.0% |
| | |
| | |
| | |
| | |
| | |
| | |
Benin Government Bond 7.96%, 2/13/2038 (a) | | |
Dominican Republic Government Bond | | |
| | |
| | |
| | |
| | |
| | |
Federal Republic of Nigeria | | |
| | |
| | |
| | |
| | |
Federative Republic of Brazil | | |
| | |
| | |
Finance Department Government of Sharjah 6.13%, 3/6/2036 (a) | | |
Gabonese Republic 6.95%, 6/16/2025 (h) | | |
Hashemite Kingdom of Jordan 7.38%, 10/10/2047 (h) | | |
| | |
| | |
| | |
Istanbul Metropolitan Municipality 10.50%, 12/6/2028 (a) | | |
Kingdom of Bahrain 5.45%, 9/16/2032 (a) | | |
Kingdom of Morocco 6.50%, 9/8/2033 (h) | | |
| | |
|
Kingdom of Saudi Arabia 5.75%, 1/16/2054 (a) | | |
Republic of Angola 8.25%, 5/9/2028 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Republic of Cote d'Ivoire | | |
| | |
| | |
| | |
| | |
| | |
Republic of Iraq 5.80%, 1/15/2028 (h) | | |
Republic of Panama 7.88%, 3/1/2057 | | |
| | |
| | |
| | |
| | |
| | |
Republic of Philippines 5.60%, 5/14/2049 | | |
| | |
| | |
| | |
Republic of Senegal 6.75%, 3/13/2048 (h) | | |
Republic of South Africa 7.30%, 4/20/2052 | | |
Republic of Turkiye (The) | | |
| | |
| | |
| | |
| | |
| | |
State of Israel Government Bond 5.75%, 3/12/2054 | | |
State of Mongolia 8.65%, 1/19/2028 (h) | | |
Sultanate of Oman Government Bond 7.00%, 1/25/2051 (a) | | |
Turkiye Ihracat Kredi Bankasi A/S 9.38%, 1/31/2026 (a) | | |
United Mexican States 6.34%, 5/4/2053 | | |
Total Foreign Government Securities
(Cost $38,042,153) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — 0.0% (o) ^ |
|
Ohio University, General Receipts, Federally Taxable Rev., 5.59%, 12/1/2114 | | |
|
Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds Series 2023A-2, Rev., 5.17%, 4/1/2041 | | |
Total Municipal Bonds
(Cost $77,763) | | |
| | |
|
Diversified Telecommunication Services — 0.0% ^ |
Windstream Holdings, Inc. ‡ * | | |
Health Care Providers & Services — 0.0% ^ |
Envision Healthcare Corp. ‡ * | | |
Oil, Gas & Consumable Fuels — 0.0% ^ |
| | |
Specialty Retail — 0.0% ^ |
| | |
Wireless Telecommunication Services — 0.0% ^ |
Intelsat SA (Luxembourg) ‡ * | | |
Total Common Stocks
(Cost $10,146) | | |
Preferred Stocks — 0.0% ^ |
Broadline Retail — 0.0% ^ |
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡
(Cost $2,753) | | |
| | |
|
|
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) ‡ *
(Cost $1) | | |
| | |
Short-Term Investments — 15.1% |
Investment Companies — 15.1% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (p) (q)
(Cost $581,319,017) | | |
Total Investments — 106.5%
(Cost $4,041,190,273) | | |
Liabilities in Excess of Other Assets — (6.5)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| Alternative Credit Enhancement Securities |
| Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2024. |
| Chicago Mercantile Exchange |
| Credit Suisse Mortgage Trust |
| Euro Interbank Offered Rate |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| |
| Government National Mortgage Association |
| Intercontinental Exchange |
| 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. |
| |
| 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. |
| Limited liability company |
| Real Estate Investment Trust |
| Real Estate Mortgage Investment Conduit |
| Combined Real Estate Mortgage Investment Conduit |
| |
| Limited partnership with share capital |
| Secured Overnight Financing Rate |
| Compounding index of the Secured Overnight Financing Rate |
| 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| To Be Announced; Security is subject to delayed delivery. |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| Non-income producing security. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| | |
| Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2024. | |
| 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 August 31, 2024 is $7,543,078 or 0.20% of the Fund’s net assets as of August 31, 2024. | |
| Security is an interest bearing note with preferred security characteristics. | |
| 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 August 31, 2024. | |
| 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. | |
| 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 August 31, 2024. | |
| 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 August 31, 2024. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| The rate shown is the effective yield as of August 31, 2024. | |
| Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
| All or a portion of this security is unsettled as of August 31, 2024. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position. | |
| The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
| 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. | |
| The rate shown is the current yield as of August 31, 2024. | |
Futures contracts outstanding as of August 31, 2024:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
U.S. Treasury 10 Year Note | | | | | |
U.S. Treasury 10 Year Ultra Note | | | | | |
| | | | | |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
Forward foreign currency exchange contracts outstanding as of August 31, 2024:
| | | | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | | |
Total unrealized appreciation | |
| | | | | | |
Total unrealized depreciation | |
Net unrealized depreciation | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
Mortgage-Backed Securities — 28.2% |
| | |
Pool # WN1250, 4.40%, 5/1/2028 | | |
Pool # WN2453, 4.62%, 5/1/2028 | | |
Pool # WN2492, 4.93%, 6/1/2028 | | |
Pool # WN2435, 3.99%, 7/1/2030 | | |
Pool # WN2184, 2.50%, 4/1/2032 | | |
Pool # WN2266, 3.55%, 10/1/2032 | | |
Pool # WN2326, 4.45%, 12/1/2032 | | |
Pool # WN2587, 4.72%, 3/1/2033 | | |
| | |
Pool # RJ0003, 6.50%, 10/1/2053 | | |
Pool # SD5883, 6.50%, 6/1/2054 | | |
Pool # SD6268, 6.50%, 8/1/2054 ‡ (a) | | |
| | |
Pool # MA4894, 6.00%, 1/1/2053 | | |
Pool # MA5073, 6.00%, 7/1/2053 | | |
Pool # MA5192, 6.50%, 11/1/2053 | | |
Pool # FS8911, 6.50%, 8/1/2054 (a) | | |
| | |
Pool # BS9065, 4.62%, 7/1/2028 | | |
Pool # BS9617, 4.79%, 10/1/2028 | | |
Pool # BS7094, 4.78%, 11/1/2029 | | |
Pool # BS9607, 5.06%, 9/1/2030 | | |
Pool # BS9738, 4.97%, 10/1/2030 | | |
Pool # BS3390, 1.69%, 10/1/2031 | | |
Pool # BS3377, 1.72%, 10/1/2031 | | |
Pool # BS4789, 2.17%, 2/1/2032 | | |
Pool # BS8929, 4.52%, 7/1/2033 | | |
Pool # BS4294, 1.97%, 1/1/2034 | | |
Pool # BZ1211, 4.99%, 6/1/2034 | | |
Pool # BZ1109, 5.04%, 6/1/2034 | | |
| | |
Pool # DB5978, 6.50%, 4/20/2044 | | |
Pool # DA9696, 6.50%, 4/20/2045 | | |
Pool # DD9127, 6.50%, 7/20/2049 | | |
Pool # MA8151, 4.50%, 7/20/2052 | | |
Pool # MA8649, 6.00%, 2/20/2053 | | |
Pool # MA9109, 7.00%, 8/20/2053 | | |
Pool # MA9110, 7.50%, 8/20/2053 | | |
Pool # CW1603, 6.50%, 12/20/2053 | | |
Pool # DA0555, 6.50%, 2/20/2054 | | |
Pool # DA1949, 6.50%, 2/20/2054 | | |
Pool # 787307, 6.50%, 3/20/2054 | | |
Pool # DB1810, 6.50%, 3/20/2054 | | |
Pool # DB1811, 6.50%, 3/20/2054 | | |
| | |
|
Pool # DB1838, 6.50%, 3/20/2054 | | |
Pool # DB1521, 6.00%, 4/20/2054 | | |
Pool # DB1161, 6.50%, 4/20/2054 | | |
Pool # MA9608, 7.00%, 4/20/2054 | | |
Pool # DA0802, 6.50%, 5/20/2054 | | |
Pool # DA5191, 6.50%, 5/20/2054 | | |
Pool # DA9805, 6.50%, 5/20/2054 | | |
Pool # DB7176, 6.50%, 5/20/2054 | | |
Pool # MA9725, 5.50%, 6/20/2054 | | |
Pool # DB7182, 6.00%, 6/20/2054 | | |
Pool # DB9010, 6.00%, 6/20/2054 | | |
Pool # DC6423, 6.00%, 6/20/2054 | | |
Pool # DC6424, 6.00%, 6/20/2054 | | |
Pool # DC6462, 6.00%, 6/20/2054 | | |
Pool # DC6464, 6.00%, 6/20/2054 | | |
Pool # DC7762, 6.00%, 6/20/2054 | | |
Pool # MA9726, 6.00%, 6/20/2054 | | |
Pool # CP4226, 6.50%, 6/20/2054 | | |
Pool # CZ1406, 6.50%, 6/20/2054 | | |
Pool # DA1016, 6.50%, 6/20/2054 | | |
Pool # DB7470, 6.50%, 6/20/2054 | | |
Pool # DB7473, 6.50%, 6/20/2054 | | |
Pool # DC6270, 6.50%, 6/20/2054 | | |
Pool # MA9727, 6.50%, 6/20/2054 | | |
Pool # DB7520, 6.00%, 7/20/2054 | | |
Pool # DC0348, 6.00%, 7/20/2054 | | |
Pool # DC6650, 6.00%, 7/20/2054 | | |
Pool # DC8318, 6.00%, 7/20/2054 | | |
Pool # DC8319, 6.00%, 7/20/2054 | | |
Pool # MA9780, 6.00%, 7/20/2054 | | |
Pool # DA1123, 6.50%, 7/20/2054 | | |
Pool # DB7614, 6.50%, 7/20/2054 | | |
Pool # DB7642, 6.50%, 7/20/2054 | | |
Pool # DC4806, 6.50%, 7/20/2054 | | |
Pool # DC4815, 6.50%, 7/20/2054 | | |
Pool # DC4824, 6.50%, 7/20/2054 | | |
Pool # DC4836, 6.50%, 7/20/2054 | | |
Pool # DC4838, 6.50%, 7/20/2054 | | |
Pool # DC6344, 6.50%, 7/20/2054 | | |
Pool # DC7719, 6.50%, 7/20/2054 | | |
Pool # DD0243, 6.50%, 7/20/2054 | | |
Pool # DD0244, 6.50%, 7/20/2054 | | |
Pool # DD0258, 6.50%, 7/20/2054 | | |
Pool # DD1474, 6.50%, 7/20/2054 | | |
Pool # DD6149, 6.50%, 7/20/2054 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Mortgage-Backed Securities — continued |
Pool # DD7932, 6.50%, 7/20/2054 | | |
Pool # DD7934, 6.50%, 7/20/2054 | | |
Pool # DD7935, 6.50%, 7/20/2054 | | |
Pool # MA9781, 6.50%, 7/20/2054 | | |
Pool # DE1862, 6.00%, 8/20/2054 | | |
Pool # 787524, 6.50%, 8/20/2054 | | |
Pool # 787526, 6.50%, 8/20/2054 | | |
Pool # 787527, 6.50%, 8/20/2054 | | |
Pool # 787528, 6.50%, 8/20/2054 | | |
Pool # CZ7222, 6.50%, 8/20/2054 | | |
Pool # DA1146, 6.50%, 8/20/2054 | | |
Pool # DA2943, 6.50%, 8/20/2054 | | |
Pool # DC5089, 6.50%, 8/20/2054 | | |
Pool # DC8297, 6.50%, 8/20/2054 | | |
Pool # DD0605, 6.50%, 8/20/2054 | | |
Pool # DD1553, 6.50%, 8/20/2054 | | |
Pool # DD7840, 6.50%, 8/20/2054 | | |
Pool # DD8028, 6.50%, 8/20/2054 | | |
Pool # DD8029, 6.50%, 8/20/2054 | | |
Pool # DD8031, 6.50%, 8/20/2054 | | |
Pool # DD8032, 6.50%, 8/20/2054 | | |
Pool # DD8033, 6.50%, 8/20/2054 | | |
Pool # DD9128, 6.50%, 8/20/2054 | | |
Pool # DE0930, 6.50%, 8/20/2054 | | |
Pool # DE0931, 6.50%, 8/20/2054 | | |
Pool # DE0933, 6.50%, 8/20/2054 | | |
Pool # DE0936, 6.50%, 8/20/2054 | | |
Pool # DE1872, 6.50%, 8/20/2054 | | |
Pool # MA9853, 6.50%, 8/20/2054 | | |
GNMA II, Single Family, 30 Year | | |
TBA, 5.50%, 9/15/2054 (a) | | |
TBA, 6.00%, 9/15/2054 (a) | | |
TBA, 7.00%, 9/15/2054 (a) | | |
Total Mortgage-Backed Securities
(Cost $527,585,525) | | |
|
Aerospace & Defense — 0.3% |
Bombardier, Inc. (Canada) |
| | |
| | |
| | |
| | |
BWX Technologies, Inc. 4.13%, 6/30/2028 (b) | | |
| | |
|
Aerospace & Defense — continued |
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (b) | | |
|
| | |
| | |
Triumph Group, Inc. 9.00%, 3/15/2028 (b) | | |
| | |
Automobile Components — 0.8% |
Adient Global Holdings Ltd. |
| | |
| | |
| | |
Allison Transmission, Inc. |
| | |
| | |
| | |
American Axle & Manufacturing, Inc. |
| | |
| | |
| | |
|
| | |
| | |
| | |
Cooper-Standard Automotive, Inc. 13.50% (Blend (Cash 9.00% + PIK 4.50%)), 3/31/2027 (b) (c) | | |
|
| | |
| | |
| | |
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (b) | | |
Goodyear Tire & Rubber Co. (The) |
| | |
| | |
Icahn Enterprises LP 6.25%, 5/15/2026 | | |
ZF North America Capital, Inc. (Germany) 6.75%, 4/23/2030 (b) | | |
| | |
|
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) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
Banco del Estado de Chile (Chile) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%), 7.95%, 5/2/2029 (d) (e) (f) (g) (h) | | |
Banco Mercantil del Norte SA (Mexico) (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 5.47%), 7.50%, 6/27/2029 (d) (e) (f) (g) (h) | | |
Banco Santander SA (Spain) |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 9.63%, 11/21/2028 (d) (e) (f) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.45%), 5.54%, 3/14/2030 (g) | | |
Bank of America Corp. (3-MONTH CME TERM SOFR + 1.32%), 3.56%, 4/23/2027 (g) | | |
Bank of Nova Scotia (The) (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.39%), 8.63%, 10/27/2082 (d) (g) | | |
BBVA Bancomer SA (Mexico) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%), 5.13%, 1/18/2033 (d) (g) (h) | | |
BNP Paribas SA (France) (SOFR + 1.59%), 5.50%, 5/20/2030 (b) (g) | | |
|
(SOFR + 2.10%), 5.98%, 1/18/2027 (b) (g) | | |
| | |
|
Series U, (SOFR + 3.81%), 5.00%, 9/12/2024 (e) (f) (g) | | |
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (e) (f) (g) | | |
Series CC, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.69%), 7.13%, 8/15/2029 (e) (f) (g) | | |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (b) (g) | | |
HSBC Holdings plc (United Kingdom) |
(SOFR + 3.35%), 7.39%, 11/3/2028 (g) | | |
| | |
|
|
(SOFR + 1.46%), 5.55%, 3/4/2030 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (d) (e) (f) (g) | | |
NatWest Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.75%), 8.13%, 11/10/2033 (d) (e) (f) (g) | | |
Nordea Bank Abp (Finland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.11%), 6.63%, 3/26/2026 (b) (d) (e) (f) (g) | | |
Santander UK Group Holdings plc (United Kingdom) (SOFR + 2.60%), 6.53%, 1/10/2029 (g) | | |
Societe Generale SA (France) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (b) (g) | | |
Toronto-Dominion Bank (The) (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.08%), 8.13%, 10/31/2082 (d) (g) | | |
|
Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (e) (f) (g) | | |
(SOFR + 1.07%), 5.71%, 4/22/2028 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 6.85%, 9/15/2029 (e) (f) (g) | | |
| | |
|
Grifols SA (Spain) 4.75%, 10/15/2028 (b) | | |
|
NMG Holding Co., Inc. 7.13%, 4/1/2026 (b) | | |
Nordstrom, Inc. 4.25%, 8/1/2031 | | |
|
8.50% (Blend (Cash 4.25% + PIK 4.25%)), 10/1/2027 (b) (c) | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
|
Advanced Drainage Systems, Inc. 5.00%, 9/30/2027 (b) | | |
Builders FirstSource, Inc. |
| | |
| | |
| | |
EMRLD Borrower LP 6.63%, 12/15/2030 (b) | | |
Griffon Corp. 5.75%, 3/1/2028 | | |
JELD-WEN, Inc. 4.88%, 12/15/2027 (b) | | |
Masterbrand, Inc. 7.00%, 7/15/2032 (b) | | |
Miter Brands Acquisition Holdco, Inc. 6.75%, 4/1/2032 (b) | | |
MIWD Holdco II LLC 5.50%, 2/1/2030 (b) | | |
Standard Industries, Inc. |
| | |
| | |
Summit Materials LLC 7.25%, 1/15/2031 (b) | | |
| | |
|
Coinbase Global, Inc. 3.38%, 10/1/2028 (b) | | |
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 (e) (f) (g) | | |
(SOFR + 1.08%), 5.80%, 8/10/2026 (g) | | |
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 7.50%, 2/10/2029 (e) (f) (g) | | |
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.81%), 7.50%, 5/10/2029 (e) (f) (g) | | |
Nasdaq, Inc. 5.35%, 6/28/2028 | | |
State Street Corp. Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.61%), 6.70%, 3/15/2029 (e) (f) (g) | | |
Turkiye Varlik Fonu Yonetimi A/S (Turkey) 8.25%, 2/14/2029 (h) | | |
| | |
| | |
|
|
Axalta Coating Systems LLC |
| | |
| | |
Braskem Idesa SAPI (Mexico) 6.99%, 2/20/2032 (b) | | |
Braskem Netherlands Finance BV (Brazil) 7.25%, 2/13/2033 (b) | | |
Celanese US Holdings LLC 1.40%, 8/5/2026 | | |
|
| | |
| | |
Element Solutions, Inc. 3.88%, 9/1/2028 (b) | | |
INEOS Finance plc (Luxembourg) |
| | |
| | |
INEOS Quattro Finance 2 plc (United Kingdom) 9.63%, 3/15/2029 (b) | | |
NOVA Chemicals Corp. (Canada) |
| | |
| | |
| | |
| | |
|
| | |
| | |
Scotts Miracle-Gro Co. (The) |
| | |
| | |
| | |
Trinseo Materials Operating SCA |
| | |
| | |
|
| | |
| | |
| | |
Commercial Services & Supplies — 0.8% |
ACCO Brands Corp. 4.25%, 3/15/2029 (b) | | |
|
| | |
| | |
Aramark Services, Inc. 5.00%, 2/1/2028 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Commercial Services & Supplies — continued |
Brink's Co. (The) 4.63%, 10/15/2027 (b) | | |
CoreCivic, Inc. 8.25%, 4/15/2029 | | |
Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (b) | | |
|
| | |
| | |
| | |
| | |
| | |
Madison IAQ LLC 4.13%, 6/30/2028 (b) | | |
Prime Security Services Borrower LLC |
| | |
| | |
Stericycle, Inc. 3.88%, 1/15/2029 (b) | | |
Williams Scotsman, Inc. 7.38%, 10/1/2031 (b) | | |
| | |
Communications Equipment — 0.1% |
Ciena Corp. 4.00%, 1/31/2030 (b) | | |
|
| | |
| | |
| | |
| | |
Construction & Engineering — 0.1% |
Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (h) | | |
Dycom Industries, Inc. 4.50%, 4/15/2029 (b) | | |
International Airport Finance SA (Ecuador) 12.00%, 3/15/2033 (h) | | |
Mexico City Airport Trust (Mexico) 5.50%, 10/31/2046 (h) | | |
Pike Corp. 8.63%, 1/31/2031 (b) | | |
Weekley Homes LLC 4.88%, 9/15/2028 (b) | | |
| | |
Construction Materials — 0.0% ^ |
Knife River Corp. 7.75%, 5/1/2031 (b) | | |
|
AerCap Ireland Capital DAC (Ireland) |
| | |
| | |
| | |
|
Consumer Finance — continued |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.72%), 6.95%, 3/10/2055 (g) | | |
Avolon Holdings Funding Ltd. (Ireland) |
| | |
| | |
| | |
| | |
Ford Motor Credit Co. LLC |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Consumer Staples Distribution & Retail — 0.6% |
|
| | |
| | |
| | |
| | |
Performance Food Group, Inc. |
| | |
| | |
|
8.00% (PIK), 10/18/2024 ‡ (b) (c) | | |
(3-MONTH CME TERM SOFR + 7.00%), 12.32%, 10/18/2024 ‡ (b) (g) | | |
7.50%, 7/1/2025 ‡ (b) (i) | | |
8.00%, 11/15/2026 ‡ (b) (i) | | |
|
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
Containers & Packaging — 0.7% |
Ardagh Packaging Finance plc |
| | |
| | |
LABL, Inc. 6.75%, 7/15/2026 (b) | | |
Mauser Packaging Solutions Holding Co. |
| | |
| | |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (b) | | |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (b) | | |
TriMas Corp. 4.13%, 4/15/2029 (b) | | |
Trivium Packaging Finance BV (Netherlands) |
| | |
| | |
| | |
|
Ritchie Bros Holdings, Inc. (Canada) 6.75%, 3/15/2028 (b) | | |
Diversified Consumer Services — 0.1% |
Service Corp. International 3.38%, 8/15/2030 | | |
Wand NewCo 3, Inc. 7.63%, 1/30/2032 (b) | | |
| | |
Diversified REITs — 0.0% ^ |
|
| | |
| | |
| | |
Diversified Telecommunication Services — 1.5% |
Altice France SA (France) |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Frontier Communications Holdings LLC |
| | |
| | |
|
Diversified Telecommunication Services — continued |
| | |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (b) | | |
|
| | |
| | |
| | |
|
| | |
| | |
Telecom Italia Capital SA (Italy) 6.38%, 11/15/2033 | | |
| | |
Electric Utilities — 0.7% |
Comision Federal de Electricidad (Mexico) 4.68%, 2/9/2051 (h) | | |
Electricidad Firme de Mexico Holdings SA de CV (Mexico) 4.90%, 11/20/2026 (b) | | |
Energuate Trust (Guatemala) 5.88%, 5/3/2027 (h) | | |
EnfraGen Energia Sur SA (Colombia) 5.38%, 12/30/2030 (h) | | |
Entergy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.67%), 7.13%, 12/1/2054 (g) | | |
Eskom Holdings SOC Ltd. (South Africa) |
| | |
| | |
Instituto Costarricense de Electricidad (Costa Rica) |
| | |
| | |
NextEra Energy Capital Holdings, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.36%), 6.70%, 9/1/2054 (g) | | |
|
| | |
| | |
| | |
| | |
Tierra Mojada Luxembourg II SARL (Mexico) 5.75%, 12/1/2040 (h) | | |
Trinidad Generation UnLtd (Trinidad And Tobago) 5.25%, 11/4/2027 (h) | | |
Vistra Operations Co. LLC |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
| | |
| | |
| | |
| | |
Electrical Equipment — 0.0% ^ |
|
| | |
| | |
| | |
Electronic Equipment, Instruments & Components — 0.2% |
Coherent Corp. 5.00%, 12/15/2029 (b) | | |
Sensata Technologies, Inc. 3.75%, 2/15/2031 (b) | | |
| | |
Energy Equipment & Services — 0.2% |
|
| | |
| | |
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (h) | | |
Nabors Industries, Inc. 7.38%, 5/15/2027 (b) | | |
Precision Drilling Corp. (Canada) |
| | |
| | |
|
| | |
| | |
Yinson Boronia Production BV (Brazil) 8.95%, 7/31/2042 (b) | | |
| | |
|
Cinemark USA, Inc. 7.00%, 8/1/2032 (b) | | |
Live Nation Entertainment, Inc. |
| | |
| | |
| | |
| | |
Warnermedia Holdings, Inc. 3.76%, 3/15/2027 | | |
| | |
|
Entertainment — continued |
|
| | |
| | |
| | |
Financial Services — 0.4% |
|
| | |
| | |
Corebridge Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.88%, 12/15/2052 (g) | | |
Nationstar Mortgage Holdings, Inc. 5.50%, 8/15/2028 (b) | | |
NCR Atleos Corp. 9.50%, 4/1/2029 (b) | | |
|
| | |
| | |
Shift4 Payments LLC 6.75%, 8/15/2032 (b) | | |
| | |
|
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (b) | | |
Minerva Luxembourg SA (Brazil) 8.88%, 9/13/2033 (b) | | |
|
| | |
| | |
| | |
| | |
Sigma Holdco BV (Netherlands) 7.88%, 5/15/2026 (b) | | |
| | |
|
|
| | |
| | |
| | |
Superior Plus LP (Canada) 4.50%, 3/15/2029 (b) | | |
| | |
Ground Transportation — 0.5% |
Avis Budget Car Rental LLC |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
Ground Transportation — continued |
| | |
| | |
First Student Bidco, Inc. 4.00%, 7/31/2029 (b) | | |
|
| | |
| | |
| | |
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (b) | | |
RXO, Inc. 7.50%, 11/15/2027 (b) | | |
Transnet SOC Ltd. (South Africa) 8.25%, 2/6/2028 (b) | | |
|
| | |
| | |
XPO, Inc. 6.25%, 6/1/2028 (b) | | |
| | |
Health Care Equipment & Supplies — 0.5% |
Avantor Funding, Inc. 4.63%, 7/15/2028 (b) | | |
|
| | |
| | |
|
| | |
| | |
| | |
| | |
Health Care Providers & Services — 1.0% |
180 Medical, Inc. (United Kingdom) 3.88%, 10/15/2029 (b) | | |
Acadia Healthcare Co., Inc. |
| | |
| | |
Community Health Systems, Inc. |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
|
Health Care Providers & Services — continued |
|
| | |
| | |
| | |
McKesson Corp. 5.25%, 2/15/2026 | | |
Owens & Minor, Inc. 4.50%, 3/31/2029 (b) | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Health Care Technology — 0.1% |
IQVIA, Inc. 5.00%, 5/15/2027 (b) | | |
Hotel & Resort REITs — 0.2% |
|
| | |
| | |
| | |
Hotels, Restaurants & Leisure — 1.1% |
|
| | |
| | |
Boyne USA, Inc. 4.75%, 5/15/2029 (b) | | |
Caesars Entertainment, Inc. |
| | |
| | |
| | |
| | |
Carnival Corp. 5.75%, 3/1/2027 (b) | | |
Carnival Holdings Bermuda Ltd. 10.38%, 5/1/2028 (b) | | |
Cedar Fair LP 5.25%, 7/15/2029 | | |
Hilton Domestic Operating Co., Inc. 3.75%, 5/1/2029 (b) | | |
Hilton Worldwide Finance LLC 4.88%, 4/1/2027 | | |
MGM Resorts International |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Hotels, Restaurants & Leisure — continued |
Royal Caribbean Cruises Ltd. |
| | |
| | |
| | |
Six Flags Entertainment Corp. |
| | |
| | |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (b) | | |
Station Casinos LLC 4.50%, 2/15/2028 (b) | | |
Studio City Finance Ltd. (Macau) |
| | |
| | |
Vail Resorts, Inc. 6.50%, 5/15/2032 (b) | | |
Wynn Macau Ltd. (Macau) 5.63%, 8/26/2028 (h) | | |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (b) | | |
| | |
Household Durables — 0.3% |
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (b) | | |
|
| | |
| | |
| | |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (b) | | |
| | |
Household Products — 0.2% |
|
| | |
| | |
|
| | |
| | |
Spectrum Brands, Inc. 3.88%, 3/15/2031 (b) | | |
| | |
Independent Power and Renewable Electricity Producers — 0.1% |
Calpine Corp. 4.63%, 2/1/2029 (b) | | |
Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029 (h) | | |
| | |
| | |
|
|
Prudential Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%), 6.00%, 9/1/2052 (g) | | |
|
Amer Sports Co. (Finland) 6.75%, 2/16/2031 (b) | | |
Mattel, Inc. 5.88%, 12/15/2027 (b) | | |
Vista Outdoor, Inc. 4.50%, 3/15/2029 (b) | | |
| | |
|
ATS Corp. (Canada) 4.13%, 12/15/2028 (b) | | |
Chart Industries, Inc. 7.50%, 1/1/2030 (b) | | |
Esab Corp. 6.25%, 4/15/2029 (b) | | |
Hillenbrand, Inc. 3.75%, 3/1/2031 | | |
Terex Corp. 5.00%, 5/15/2029 (b) | | |
Trinity Industries, Inc. 7.75%, 7/15/2028 (b) | | |
Wabash National Corp. 4.50%, 10/15/2028 (b) | | |
| | |
Marine Transportation — 0.1% |
MV24 Capital BV (Brazil) 6.75%, 6/1/2034 (h) | | |
|
Charter Communications Operating LLC |
| | |
| | |
| | |
| | |
Clear Channel Outdoor Holdings, Inc. |
| | |
| | |
| | |
|
| | |
| | |
Directv Financing LLC 5.88%, 8/15/2027 (b) | | |
|
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
|
DISH Network Corp. 11.75%, 11/15/2027 (b) | | |
GCI LLC 4.75%, 10/15/2028 (b) | | |
|
| | |
| | |
| | |
| | |
iHeartCommunications, Inc. |
| | |
| | |
Lamar Media Corp. 4.88%, 1/15/2029 | | |
Midcontinent Communications 8.00%, 8/15/2032 (b) | | |
|
| | |
| | |
|
| | |
| | |
Outfront Media Capital LLC |
| | |
| | |
Sinclair Television Group, Inc. 4.13%, 12/1/2030 (b) | | |
|
| | |
| | |
| | |
Stagwell Global LLC 5.63%, 8/15/2029 (b) | | |
TEGNA, Inc. 5.00%, 9/15/2029 | | |
Univision Communications, Inc. |
| | |
| | |
Videotron Ltd. (Canada) 5.13%, 4/15/2027 (b) | | |
| | |
|
Alcoa Nederland Holding BV |
| | |
| | |
| | |
|
| | |
| | |
| | |
|
Metals & Mining — continued |
| | |
Big River Steel LLC 6.63%, 1/31/2029 (b) | | |
|
| | |
| | |
CSN Inova Ventures (Brazil) 6.75%, 1/28/2028 (h) | | |
|
| | |
| | |
Vale Overseas Ltd. (Brazil) 6.40%, 6/28/2054 | | |
| | |
|
Dominion Energy, Inc. Series A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.39%), 6.88%, 2/1/2055 (g) | | |
NiSource, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.45%), 6.95%, 11/30/2054 (g) | | |
| | |
Oil, Gas & Consumable Fuels — 3.9% |
6297782 LLC (Canada) 4.91%, 9/1/2027 (b) | | |
AL Candelaria -spain- SA (Colombia) |
| | |
| | |
Antero Midstream Partners LP |
| | |
| | |
| | |
|
| | |
| | |
| | |
Ascent Resources Utica Holdings LLC 7.00%, 11/1/2026 (b) | | |
Bapco Energies BSC Closed (Bahrain) 7.50%, 10/25/2027 (h) | | |
Baytex Energy Corp. (Canada) |
| | |
| | |
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
BP Capital Markets plc (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (e) (f) (g) | | |
|
| | |
| | |
| | |
California Resources Corp. 7.13%, 2/1/2026 (b) | | |
|
| | |
| | |
Chord Energy Corp. 6.38%, 6/1/2026 (b) | | |
|
| | |
| | |
| | |
Columbia Pipelines Holding Co. LLC 6.04%, 8/15/2028 (b) | | |
|
| | |
| | |
Crescent Energy Finance LLC |
| | |
| | |
DT Midstream, Inc. 4.13%, 6/15/2029 (b) | | |
|
| | |
| | |
| | |
| | |
|
Series 20-A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 5.75%, 7/15/2080 (g) | | |
Series NC5, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.79%), 8.25%, 1/15/2084 (g) | | |
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (b) | | |
Energean Israel Finance Ltd. (Israel) |
| | |
| | |
|
| | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.02%), 8.00%, 5/15/2054 (g) | | |
EQM Midstream Partners LP |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Greenko Dutch BV (India) 3.85%, 3/29/2026 (h) | | |
Greenko Solar Mauritius Ltd. (India) 5.55%, 1/29/2025 (h) | | |
Greenko Wind Projects Mauritius Ltd. (India) 5.50%, 4/6/2025 (h) | | |
Gulfport Energy Corp. 8.00%, 5/17/2026 (b) | | |
Hess Midstream Operations LP |
| | |
| | |
| | |
Howard Midstream Energy Partners LLC 8.88%, 7/15/2028 (b) | | |
Kinetik Holdings LP 5.88%, 6/15/2030 (b) | | |
Leviathan Bond Ltd. (Israel) |
| | |
| | |
| | |
Medco Bell Pte. Ltd. (Indonesia) 6.38%, 1/30/2027 (h) | | |
|
| | |
| | |
|
| | |
| | |
| | |
Permian Resources Operating LLC |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
Peru LNG Srl (Peru) 5.38%, 3/22/2030 (h) | | |
Petroleos del Peru SA (Peru) |
| | |
| | |
Petroleos Mexicanos (Mexico) |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
Rockies Express Pipeline LLC |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
Tallgrass Energy Partners LP |
| | |
| | |
| | |
| | |
Targa Resources Partners LP 6.50%, 7/15/2027 | | |
Transcanada Trust (Canada) (SOFR + 4.42%), 5.50%, 9/15/2079 (g) | | |
|
| | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
| | |
| | |
| | |
|
| | |
| | |
| | |
Passenger Airlines — 0.3% |
|
| | |
| | |
JetBlue Airways Corp. 9.88%, 9/20/2031 (b) | | |
Mileage Plus Holdings LLC 6.50%, 6/20/2027 (b) | | |
United Airlines, Inc. 4.38%, 4/15/2026 (b) | | |
| | |
Personal Care Products — 0.2% |
|
| | |
| | |
Edgewell Personal Care Co. 5.50%, 6/1/2028 (b) | | |
Prestige Brands, Inc. 5.13%, 1/15/2028 (b) | | |
| | |
|
Bausch Health Americas, Inc. 9.25%, 4/1/2026 (b) | | |
|
| | |
| | |
| | |
| | |
Catalent Pharma Solutions, Inc. |
| | |
| | |
Cheplapharm Arzneimittel GmbH (Germany) 5.50%, 1/15/2028 (b) | | |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (j) | | |
Endo Finance Holdings, Inc. 8.50%, 4/15/2031 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Pharmaceuticals — continued |
|
| | |
| | |
| | |
Professional Services — 0.0% ^ |
TriNet Group, Inc. 7.13%, 8/15/2031 (b) | | |
Real Estate Management & Development — 0.0% ^ |
Anywhere Real Estate Group LLC |
| | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 0.2% |
Amkor Technology, Inc. 6.63%, 9/15/2027 (b) | | |
|
| | |
| | |
| | |
ON Semiconductor Corp. 3.88%, 9/1/2028 (b) | | |
Synaptics, Inc. 4.00%, 6/15/2029 (b) | | |
| | |
|
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (b) | | |
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (b) | | |
NCR Voyix Corp. 5.13%, 4/15/2029 (b) | | |
RingCentral, Inc. 8.50%, 8/15/2030 (b) | | |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (b) | | |
| | |
Specialized REITs — 0.0% ^ |
Iron Mountain, Inc. 5.00%, 7/15/2028 (b) | | |
|
Asbury Automotive Group, Inc. |
| | |
| | |
| | |
|
| | |
| | |
Gap, Inc. (The) 3.63%, 10/1/2029 (b) | | |
| | |
|
Specialty Retail — continued |
|
| | |
| | |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | | |
PetSmart, Inc. 4.75%, 2/15/2028 (b) | | |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (b) | | |
Staples, Inc. 10.75%, 9/1/2029 (b) | | |
| | |
Technology Hardware, Storage & Peripherals — 0.1% |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
Textiles, Apparel & Luxury Goods — 0.0% ^ |
William Carter Co. (The) 5.63%, 3/15/2027 (b) | | |
Trading Companies & Distributors — 0.6% |
Air Lease Corp. 5.85%, 12/15/2027 | | |
|
| | |
| | |
Herc Holdings, Inc. 5.50%, 7/15/2027 (b) | | |
Imola Merger Corp. 4.75%, 5/15/2029 (b) | | |
United Rentals North America, Inc. 4.88%, 1/15/2028 | | |
|
| | |
| | |
| | |
| | |
Wireless Telecommunication Services — 0.1% |
Altice France Holding SA 10.50%, 5/15/2027 (b) | | |
Millicom International Cellular SA (Guatemala) |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
Wireless Telecommunication Services — continued |
United States Cellular Corp. 6.70%, 12/15/2033 | | |
Vodafone Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.13%, 6/4/2081 (g) | | |
| | |
Total Corporate Bonds
(Cost $498,973,190) | | |
Commercial Mortgage-Backed Securities — 21.9% |
1211 Avenue of the Americas Trust Series 2015-1211, Class C, 4.28%, 8/10/2035 (b) (k) | | |
BAMLL Commercial Mortgage Securities Trust | | |
Series 2015-200P, Class A, 3.22%, 4/14/2033 (b) | | |
Series 2015-200P, Class C, 3.72%, 4/14/2033 (b) (k) | | |
Series 2015-200P, Class D, 3.72%, 4/14/2033 (b) (k) | | |
Banc of America Re-Remic Trust Series 2024-FRR1, Class C, 0.00%, 4/27/2049 ‡ (b) | | |
| | |
Series 2022-BNK39, Class XA, IO, 0.53%, 2/15/2055 (k) | | |
Series 2019-BN20, Class D, 2.50%, 9/15/2062 (b) | | |
Series 2020-BN28, Class XA, IO, 1.88%, 3/15/2063 (k) | | |
Series 2020-BN26, Class E, 2.50%, 3/15/2063 (b) | | |
| | |
Series 2023-5YR1, Class A3, 6.26%, 4/15/2056 (k) | | |
Series 2023-5YR3, Class A2, 6.26%, 9/15/2056 | | |
Series 2023-5YR4, Class A3, 6.50%, 12/15/2056 | | |
| | |
Series 2021-C11, Class XB, IO, 1.08%, 9/15/2054 (k) | | |
Series 2023-C20, Class XA, IO, 1.07%, 7/15/2056 (k) | | |
Series 2023-C21, Class A5, 6.00%, 9/15/2056 (k) | | |
| | |
|
Series 2023-C22, Class A5, 6.80%, 11/15/2056 (k) | | |
Series 2023-5C23, Class A3, 6.68%, 12/15/2056 (k) | | |
| | |
Series 2021-B26, Class ASB, 2.26%, 6/15/2054 | | |
Series 2022-B33, Class A5, 3.46%, 3/15/2055 | | |
Series 2022-B36, Class A5, 4.47%, 7/15/2055 (k) | | |
Series 2022-B37, Class A5, 5.94%, 11/15/2055 (k) | | |
Series 2023-V3, Class A3, 6.36%, 7/15/2056 (k) | | |
Series 2024-V5, Class A3, 5.81%, 1/10/2057 | | |
Series 2024-V5, Class C, 7.20%, 1/10/2057 (k) | | |
Series 2024-V9, Class A3, 5.60%, 8/15/2057 | | |
BHMS Series 2018-ATLS, Class A, 6.88%, 7/15/2035 (b) (k) | | |
BMARK Series 2023-V4, Class A3, 6.84%, 11/15/2056 (k) | | |
BMD2 Re-REMIC Trust Series 2019-FRR1, Class 4D1, PO, 5/25/2052 (b) | | |
| | |
Series 2023-C5, Class A5, 5.77%, 6/15/2056 | | |
Series 2023-5C1, Class A3, 6.53%, 8/15/2056 (k) | | |
Series 2023-5C2, Class A3, 7.30%, 11/15/2056 (k) | | |
Series 2023-C7, Class A5, 6.16%, 12/15/2056 | | |
Series 2024-5C3, Class A3, 5.74%, 2/15/2057 | | |
Series 2024-5C3, Class C, 7.09%, 2/15/2057 (k) | | |
Series 2024-5C4, Class A3, 6.53%, 5/15/2057 (k) | | |
Series 2024-C9, Class XA, IO, 1.08%, 7/15/2057 (k) | | |
Series 2024-C9, Class A5, 5.76%, 7/15/2057 | | |
BX Series 2021-MFM1, Class A, 6.15%, 1/15/2034 (b) (k) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
BX Commercial Mortgage Trust | | |
Series 2021-21M, Class A, 6.18%, 10/15/2036 (b) (k) | | |
Series 2021-VINO, Class A, 6.10%, 5/15/2038 (b) (k) | | |
Series 2021-ACNT, Class A, 6.30%, 11/15/2038 (b) (k) | | |
Series 2024-MF, Class A, 6.78%, 2/15/2039 (b) (k) | | |
Series 2024-MF, Class B, 7.03%, 2/15/2039 (b) (k) | | |
BX Trust Series 2022-LBA6, Class A, 6.34%, 1/15/2039 (b) (k) | | |
| | |
Series 2017-CD3, Class A4, 3.63%, 2/10/2050 | | |
Series 2018-CD7, Class C, 5.00%, 8/15/2051 (k) | | |
Series 2019-CD8, Class E, 3.00%, 8/15/2057 (b) | | |
CGMS Commercial Mortgage Trust Series 2017-B1, Class D, 3.00%, 8/15/2050 (b) | | |
Citigroup Commercial Mortgage Trust | | |
Series 2014-GC25, Class B, 4.34%, 10/10/2047 (k) | | |
Series 2018-C5, Class XA, IO, 0.83%, 6/10/2051 (k) | | |
Series 2018-C6, Class XA, IO, 0.93%, 11/10/2051 (k) | | |
Series 2015-GC33, Class D, 3.17%, 9/10/2058 | | |
Series 2015-GC33, Class B, 4.73%, 9/10/2058 (k) | | |
Commercial Mortgage Trust | | |
Series 2014-CR14, Class C, 3.80%, 2/10/2047 (k) | | |
Series 2014-CR15, Class C, 4.08%, 2/10/2047 (k) | | |
Series 2014-UBS5, Class C, 4.76%, 9/10/2047 (k) | | |
Series 2015-LC19, Class D, 2.87%, 2/10/2048 (b) | | |
Series 2015-CR22, Class D, 4.20%, 3/10/2048 (b) (k) | | |
Series 2015-LC23, Class E, 3.70%, 10/10/2048 (b) (k) | | |
Series 2015-PC1, Class B, 4.42%, 7/10/2050 (k) | | |
| | |
|
CSAIL Commercial Mortgage Trust Series 2015-C2, Class C, 4.31%, 6/15/2057 (k) | | |
ELM Trust Series 2024-ELM, Class C10, 6.40%, 6/10/2039 (b) (k) | | |
| | |
Series 2023-MN7, Class M1, 8.95%, 9/25/2043 (b) (k) | | |
Series 2023-MN7, Class B1, 14.20%, 9/25/2043 (b) (k) | | |
Series 2024-MN8, Class M1, 8.20%, 5/25/2044 (b) (k) | | |
Series 2024-MN8, Class M2, 9.60%, 5/25/2044 (b) (k) | | |
Series 2024-MN8, Class B1, 12.70%, 5/25/2044 (b) (k) | | |
FHLMC, Multi-Class Certificates | | |
Series 2020-RR12, Class X, IO, 2.10%, 10/27/2027 (k) | | |
Series 2020-RR06, Class AX, IO, 1.88%, 10/27/2028 (k) | | |
Series 2020-RR14, Class X, IO, 2.13%, 3/27/2034 (k) | | |
Series 2021-RR16, Class X, IO, 0.96%, 10/27/2034 (k) | | |
Series 2023-RR21, Class X, IO, 3.28%, 4/27/2036 (k) | | |
FHLMC, Multi-Family Structured Credit Risk | | |
Series 2021-MN2, Class B1, 10.85%, 7/25/2041 (b) (k) | | |
Series 2021-MN1, Class M1, 7.35%, 1/25/2051 (b) (k) | | |
Series 2021-MN1, Class M2, 9.10%, 1/25/2051 (b) (k) | | |
Series 2021-MN3, Class M2, 9.35%, 11/25/2051 (b) (k) | | |
Series 2021-MN3, Class B1, 12.20%, 11/25/2051 (b) (k) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series KC06, Class X1, IO, 1.01%, 6/25/2026 (k) | | |
Series K738, Class X1, IO, 1.62%, 1/25/2027 (k) | | |
Series K063, Class X3, IO, 2.15%, 2/25/2027 (k) | | |
Series K740, Class X1, IO, 0.82%, 9/25/2027 (k) | | |
Series K072, Class X1, IO, 0.49%, 12/25/2027 (k) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Commercial Mortgage-Backed Securities — continued |
Series K742, Class X1, IO, 0.86%, 3/25/2028 (k) | | |
Series K742, Class X3, IO, 2.68%, 4/25/2028 (k) | | |
Series K743, Class X1, IO, 1.02%, 5/25/2028 (k) | | |
Series K078, Class X1, IO, 0.22%, 6/25/2028 (k) | | |
Series K745, Class X1, IO, 0.76%, 8/25/2028 (k) | | |
Series K082, Class X1, IO, 0.15%, 9/25/2028 (k) | | |
Series K083, Class X1, IO, 0.18%, 9/25/2028 (k) | | |
Series K084, Class X3, IO, 2.31%, 11/25/2028 (k) | | |
Series K091, Class X1, IO, 0.71%, 3/25/2029 (k) | | |
Series K519, Class AS, 5.83%, 3/25/2029 (k) | | |
Series K749, Class XAM, IO, 0.31%, 4/25/2029 (k) | | |
Series K094, Class X1, IO, 1.01%, 6/25/2029 (k) | | |
Series K100, Class X1, IO, 0.77%, 9/25/2029 (k) | | |
Series K101, Class X3, IO, 1.95%, 10/25/2029 (k) | | |
Series K090, Class X3, IO, 2.39%, 10/25/2029 (k) | | |
Series K103, Class X1, IO, 0.76%, 11/25/2029 (k) | | |
Series K104, Class X1, IO, 1.24%, 1/25/2030 (k) | | |
Series K107, Class X1, IO, 1.71%, 1/25/2030 (k) | | |
Series K109, Class X1, IO, 1.69%, 4/25/2030 (k) | | |
Series K110, Class X1, IO, 1.81%, 4/25/2030 (k) | | |
Series K114, Class X1, IO, 1.21%, 6/25/2030 (k) | | |
Series K115, Class X1, IO, 1.42%, 6/25/2030 (k) | | |
Series K119, Class X1, IO, 1.02%, 9/25/2030 (k) | | |
Series K120, Class X1, IO, 1.13%, 10/25/2030 (k) | | |
Series K754, Class XAM, IO, 0.21%, 11/25/2030 (k) | | |
| | |
|
Series K123, Class X1, IO, 0.86%, 12/25/2030 (k) | | |
Series K129, Class X3, IO, 3.27%, 5/25/2031 (k) | | |
Series K131, Class X1, IO, 0.83%, 7/25/2031 (k) | | |
Series K-152, Class A1, 3.78%, 1/25/2032 | | |
Series K-161, Class A1, 5.08%, 7/25/2032 | | |
Series K-161, Class X3, IO, 5.66%, 11/25/2033 (k) | | |
Series K-163, Class X3, IO, 5.88%, 4/25/2034 (k) | | |
Series K-1514, Class X1, IO, 0.70%, 10/25/2034 (k) | | |
Series K-1514, Class X3, IO, 2.86%, 10/25/2034 (k) | | |
Series K-1512, Class X3, IO, 3.26%, 10/25/2034 (k) | | |
Series Q012, Class X, IO, 4.08%, 9/25/2035 (k) | | |
Series K-1518, Class X1, IO, 0.95%, 10/25/2035 (k) | | |
Series K-1519, Class X1, IO, 0.69%, 12/25/2035 (k) | | |
Series K-1520, Class X1, IO, 0.58%, 2/25/2036 (k) | | |
Series K-1513, Class X3, IO, 3.03%, 12/25/2037 (k) | | |
Series K-1515, Class X3, IO, 3.81%, 3/25/2038 (k) | | |
Series K-1516, Class X3, IO, 3.58%, 10/25/2038 (k) | | |
Series K044, Class X3, IO, 1.55%, 1/25/2043 (k) | | |
Series K067, Class X3, IO, 2.19%, 9/25/2044 (k) | | |
Series K068, Class X3, IO, 2.13%, 10/25/2044 (k) | | |
Series K060, Class X3, IO, 1.96%, 12/25/2044 (k) | | |
Series K062, Class X3, IO, 2.15%, 1/25/2045 (k) | | |
Series K730, Class X3, IO, 2.10%, 2/25/2045 (k) | | |
Series K065, Class X3, IO, 2.26%, 7/25/2045 (k) | | |
Series K066, Class X3, IO, 2.24%, 8/25/2045 (k) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
Series K071, Class X3, IO, 2.08%, 11/25/2045 (k) | | |
Series K085, Class X3, IO, 2.39%, 12/25/2045 (k) | | |
Series K097, Class X3, IO, 2.09%, 9/25/2046 (k) | | |
Series K082, Class X3, IO, 2.29%, 10/25/2046 (k) | | |
Series K083, Class X3, IO, 2.37%, 11/25/2046 (k) | | |
Series K092, Class X3, IO, 2.33%, 5/25/2047 (k) | | |
Series K737, Class X3, IO, 1.83%, 1/25/2048 (k) | | |
Series K109, Class X3, IO, 3.50%, 5/25/2048 (k) | | |
Series K119, Class X3, IO, 2.82%, 9/25/2048 (k) | | |
Series K121, Class X3, IO, 2.87%, 11/25/2048 (k) | | |
Series K126, Class X3, IO, 2.72%, 1/25/2049 (k) | | |
Series K124, Class X3, IO, 2.71%, 2/25/2049 (k) | | |
Series K125, Class X3, IO, 2.74%, 2/25/2049 (k) | | |
Series K741, Class X3, IO, 2.53%, 3/25/2049 (k) | | |
Series K127, Class X3, IO, 2.74%, 3/25/2049 (k) | | |
Series K743, Class X3, IO, 3.06%, 6/25/2049 (k) | | |
Series K147, Class X3, IO, 3.93%, 6/25/2050 (k) | | |
Series K096, Class X3, IO, 2.11%, 8/25/2051 (k) | | |
Series K148, Class X3, IO, 4.29%, 8/25/2054 (k) | | |
Series K-152, Class X3, IO, 4.48%, 11/25/2055 (k) | | |
FHLMC, Multi-Family, Structured Pass-Through Certificates Series K-153, Class X1, IO, 0.60%, 12/25/2032 (k) | | |
FIVE Mortgage Trust Series 2023-V1, Class XA, IO, 0.89%, 2/10/2056 (k) | | |
| | |
Series 2020-M3, Class X1, IO, 0.40%, 2/25/2030 (k) | | |
Series 2022-M2, Class X2, IO, 0.29%, 1/25/2032 (k) | | |
| | |
|
Series 2020-M31, Class AB, 0.50%, 10/25/2032 | | |
Series 2023-M8, Class A2, 4.62%, 3/25/2033 (k) | | |
| | |
Series 2017-KF38, Class B, 7.97%, 9/25/2024 (b) (k) | | |
Series 2018-KF45, Class B, 7.42%, 3/25/2025 (b) (k) | | |
Series 2018-KF47, Class B, 7.47%, 5/25/2025 (b) (k) | | |
Series 2018-KC02, Class B, 4.22%, 7/25/2025 (b) (k) | | |
Series 2018-KF53, Class B, 7.52%, 10/25/2025 (k) | | |
Series 2019-KF60, Class B, 7.82%, 2/25/2026 (b) (k) | | |
Series 2019-KF62, Class B, 7.52%, 4/25/2026 (b) (k) | | |
Series 2019-K735, Class B, 4.16%, 5/25/2026 (b) (k) | | |
Series 2019-KF72, Class B, 7.57%, 11/25/2026 (b) (k) | | |
Series 2017-KF40, Class B, 8.17%, 11/25/2027 (b) (k) | | |
Series 2018-KF43, Class B, 7.62%, 1/25/2028 (b) (k) | | |
Series 2018-KF50, Class B, 7.37%, 7/25/2028 (b) (k) | | |
Series 2018-K84, Class D, PO, , 11/25/2028 (b) | | |
Series 2018-KF54, Class B, 7.67%, 11/25/2028 (k) | | |
Series 2019-KF59, Class B, 7.82%, 2/25/2029 (b) (k) | | |
Series 2019-K92, Class X2A, IO, 0.10%, 4/25/2029 (b) | | |
Series 2019-KW09, Class X2A, IO, 0.10%, 5/25/2029 (b) | | |
Series 2019-KW09, Class C, PO, , 6/25/2029 (b) | | |
Series 2019-KW09, Class X2B, IO, 0.10%, 6/25/2029 (b) | | |
Series 2019-K92, Class X2B, IO, 0.10%, 7/25/2029 (b) | | |
Series 2019-KF67, Class C, 11.47%, 8/25/2029 (b) (k) | | |
Series 2020-KF76, Class B, 8.22%, 1/25/2030 (b) (k) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Commercial Mortgage-Backed Securities — continued |
Series 2020-K107, Class D, 3.62%, 2/25/2030 (b) (k) | | |
Series 2018-KW07, Class B, 4.22%, 10/25/2031 (b) (k) | | |
Series 2022-KF132, Class CS, 11.75%, 2/25/2032 (b) (k) | | |
Series 2019-KW10, Class C, PO, , 10/25/2032 (b) | | |
Series 2019-KW10, Class X2A, IO, 0.10%, 10/25/2032 (b) | | |
Series 2019-KW10, Class X2B, IO, 0.10%, 10/25/2032 (b) | | |
Series 2023-KF149, Class CS, 11.50%, 12/25/2032 (b) (k) | | |
Series 19K-1513, Class X2A, IO, 0.10%, 8/25/2034 (b) | | |
Series 2015-K46, Class C, 3.82%, 4/25/2048 (b) (k) | | |
Series 2017-K69, Class D, PO, , 10/25/2049 (b) | | |
Series 2017-K724, Class D, PO, , 12/25/2049 (b) | | |
Series 2017-K62, Class B, 4.01%, 1/25/2050 (b) (k) | | |
Series 2018-K730, Class B, 3.92%, 2/25/2050 (b) (k) | | |
Series 2019-K91, Class C, 4.40%, 4/25/2051 (b) (k) | | |
Series 2019-K92, Class D, PO, , 5/25/2052 (b) | | |
Series 2020-K116, Class D, PO, , 9/25/2052 (b) | | |
Series 2020-K116, Class X2A, IO, 0.10%, 9/25/2052 (b) | | |
Series 2020-K116, Class X2B, IO, 0.10%, 9/25/2052 (b) | | |
Series 2020-K105, Class D, PO, , 3/25/2053 (b) | | |
Series 2020-K105, Class X2A, IO, 0.10%, 3/25/2053 (b) | | |
Series 2020-K105, Class X2B, IO, 0.10%, 3/25/2053 (b) | | |
Series 2020-K113, Class D, PO, , 5/25/2053 (b) | | |
Series 2020-K739, Class D, PO, , 11/25/2053 (b) | | |
Series 2020-K739, Class X2A, IO, 0.10%, 11/25/2053 (b) | | |
Series 2020-K739, Class X2B, IO, 0.10%, 11/25/2053 (b) | | |
| | |
|
Series 2020-K122, Class D, PO, , 1/25/2054 (b) | | |
Series 2020-K122, Class X2B, IO, 0.10%, 1/25/2054 (b) | | |
| | |
Series 2014-88, Class AJ, 2.99%, 3/16/2055 (k) | | |
Series 2015-33, IO, 0.25%, 2/16/2056 (k) | | |
Series 2017-76, IO, 0.77%, 12/16/2056 (k) | | |
Series 2017-9, IO, 0.66%, 1/16/2057 (k) | | |
Series 2023-127, IO, 0.42%, 7/16/2057 (k) | | |
Series 2016-165, IO, 0.63%, 12/16/2057 (k) | | |
Series 2017-16, IO, 0.38%, 9/16/2058 (k) | | |
Series 2017-70, IO, 0.38%, 2/16/2059 (k) | | |
Series 2023-108, IO, 0.69%, 8/16/2059 (k) | | |
Series 2018-9, IO, 0.44%, 1/16/2060 (k) | | |
Series 2019-109, IO, 0.80%, 4/16/2060 (k) | | |
Series 2018-85, IO, 0.55%, 7/16/2060 (k) | | |
Series 2021-17, IO, 1.05%, 1/16/2061 (k) | | |
Series 2021-82, Class TA, IF, IO, 3.64%, 4/16/2061 (k) | | |
Series 2021-90, IO, 0.83%, 5/16/2061 (k) | | |
Series 2019-53, Class IA, IO, 0.77%, 6/16/2061 (k) | | |
Series 2021-147, IO, 0.99%, 6/16/2061 (k) | | |
Series 2019-155, IO, 0.53%, 7/16/2061 (k) | | |
Series 2021-153, Class SA, IF, IO, 3.60%, 8/16/2061 (k) | | |
Series 2019-154, IO, 0.58%, 9/16/2061 (k) | | |
Series 2021-218, IO, 0.96%, 10/16/2061 (k) | | |
Series 2021-178, Class SA, IF, IO, 3.60%, 10/16/2061 (k) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
Series 2020-28, IO, 0.82%, 11/16/2061 (k) | | |
Series 2019-130, IO, 0.68%, 1/16/2062 (k) | | |
Series 2020-2, IO, 0.59%, 3/16/2062 (k) | | |
Series 2020-143, Class IB, IO, 0.87%, 3/16/2062 (k) | | |
Series 2020-110, IO, 0.98%, 3/16/2062 (k) | | |
Series 2020-10, IO, 0.58%, 4/16/2062 (k) | | |
Series 2020-23, IO, 0.66%, 4/16/2062 (k) | | |
Series 2020-38, IO, 0.82%, 4/16/2062 (k) | | |
Series 2020-120, IO, 0.77%, 5/16/2062 (k) | | |
Series 2020-100, IO, 0.78%, 5/16/2062 (k) | | |
Series 2020-91, Class IU, IO, 0.99%, 5/16/2062 (k) | | |
Series 2020-118, IO, 0.88%, 6/16/2062 (k) | | |
Series 2020-194, IO, 1.08%, 6/16/2062 (k) | | |
Series 2020-169, IO, 0.85%, 7/16/2062 (k) | | |
Series 2020-64, IO, 1.20%, 7/16/2062 (k) | | |
Series 2020-161, IO, 1.05%, 8/16/2062 (k) | | |
Series 2020-6, IO, 0.70%, 10/16/2062 (k) | | |
Series 2021-33, IO, 0.84%, 10/16/2062 (k) | | |
Series 2021-71, IO, 0.86%, 10/16/2062 (k) | | |
Series 2021-28, IO, 1.04%, 10/16/2062 (k) | | |
Series 2021-11, IO, 1.02%, 12/16/2062 (k) | | |
Series 2021-35, IO, 1.03%, 12/16/2062 (k) | | |
Series 2021-40, IO, 0.82%, 2/16/2063 (k) | | |
Series 2021-120, IO, 0.99%, 2/16/2063 (k) | | |
Series 2021-62, Class SA, IF, IO, 3.37%, 2/16/2063 (k) | | |
| | |
|
Series 2021-106, IO, 0.86%, 4/16/2063 (k) | | |
Series 2021-151, IO, 0.92%, 4/16/2063 (k) | | |
Series 2021-168, IO, 0.80%, 5/16/2063 (k) | | |
Series 2021-60, IO, 0.83%, 5/16/2063 (k) | | |
Series 2021-126, IO, 0.85%, 5/16/2063 (k) | | |
Series 2021-22, IO, 0.97%, 5/16/2063 (k) | | |
Series 2021-10, IO, 0.99%, 5/16/2063 (k) | | |
Series 2021-170, IO, 0.99%, 5/16/2063 (k) | | |
Series 2024-32, IO, 0.71%, 6/16/2063 (k) | | |
Series 2021-141, Class SA, IF, IO, 3.65%, 6/16/2063 (k) | | |
Series 2021-133, IO, 0.88%, 7/16/2063 (k) | | |
Series 2022-67, IO, 0.89%, 8/16/2063 (k) | | |
Series 2021-61, IO, 1.04%, 8/16/2063 (k) | | |
Series 2023-15, Class AB, 4.00%, 8/16/2063 (k) | | |
Series 2023-179, IO, 0.61%, 9/16/2063 (k) | | |
Series 2021-164, IO, 0.95%, 10/16/2063 (k) | | |
Series 2021-110, IO, 0.87%, 11/16/2063 (k) | | |
Series 2021-200, IO, 0.88%, 11/16/2063 (k) | | |
Series 2021-180, IO, 0.91%, 11/16/2063 (k) | | |
Series 2021-185, IO, 1.10%, 11/16/2063 (k) | | |
Series 2021-220, IO, 0.83%, 12/16/2063 (k) | | |
Series 2022-106, IO, 0.69%, 2/16/2064 (k) | | |
Series 2022-7, Class SA, IF, IO, 3.37%, 2/16/2064 (k) | | |
Series 2021-224, IO, 0.78%, 4/16/2064 (k) | | |
Series 2022-149, IO, 0.45%, 6/16/2064 (k) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Commercial Mortgage-Backed Securities — continued |
Series 2022-134, IO, 0.51%, 6/16/2064 (k) | | |
Series 2022-165, IO, 0.59%, 6/16/2064 (k) | | |
Series 2022-80, IO, 0.59%, 6/16/2064 (k) | | |
Series 2022-62, IO, 0.62%, 6/16/2064 (k) | | |
Series 2022-52, IO, 0.77%, 6/16/2064 (k) | | |
Series 2022-141, IO, 0.78%, 6/16/2064 (k) | | |
Series 2022-210, IO, 0.70%, 7/16/2064 (k) | | |
Series 2022-199, IO, 0.76%, 7/16/2064 (k) | | |
Series 2023-15, IO, 0.92%, 8/16/2064 (k) | | |
Series 2023-144, Class IB, IO, 0.75%, 12/16/2064 (k) | | |
Series 2023-28, IO, 0.86%, 2/16/2065 (k) | | |
Series 2023-26, IO, 0.97%, 4/16/2065 (k) | | |
Series 2023-51, IO, 1.12%, 5/16/2065 (k) | | |
Series 2024-17, IO, 1.06%, 6/16/2065 (k) | | |
Series 2023-126, IO, 0.88%, 7/16/2065 (k) | | |
Series 2023-46, IO, 1.15%, 7/16/2065 (k) | | |
Series 2024-56, IO, 1.04%, 11/16/2065 (k) | | |
Series 2024-31, IO, 1.21%, 2/16/2066 (k) | | |
Series 2024-121, IO, 0.64%, 7/1/2066 (k) | | |
Series 2024-90, IO, 0.80%, 7/16/2066 (k) | | |
GS Mortgage Securities Corp. Trust Series 2023-SHIP, Class A, 4.47%, 9/10/2038 (b) (k) | | |
GS Mortgage Securities Trust | | |
Series 2016-GS2, Class D, 2.75%, 5/10/2049 (b) | | |
Series 2019-GC40, Class E, 3.00%, 7/10/2052 (b) | | |
| | |
|
Harvest Commercial Capital Loan Trust Series 2024-1, Class A, 6.16%, 10/25/2056 | | |
ILPT Commercial Mortgage Trust | | |
Series 2022-LPF2, Class A, 7.58%, 10/15/2039 (b) (k) | | |
Series 2022-LPF2, Class E, 11.28%, 10/15/2039 (b) (k) | | |
JPMBB Commercial Mortgage Securities Trust | | |
Series 2014-C26, Class D, 3.99%, 1/15/2048 (b) (k) | | |
Series 2015-C30, Class C, 4.37%, 7/15/2048 (k) | | |
Series 2015-C31, Class B, 4.78%, 8/15/2048 (k) | | |
Series 2015-C33, Class C, 4.79%, 12/15/2048 (k) | | |
JPMCC Commercial Mortgage Securities Trust | | |
Series 2017-JP5, Class C, 3.90%, 3/15/2050 (k) | | |
Series 2017-JP5, Class B, 4.08%, 3/15/2050 (k) | | |
JPMorgan Chase Commercial Mortgage Securities Trust | | |
Series 2013-C16, Class D, 5.05%, 12/15/2046 (b) (k) | | |
Series 2015-JP1, Class C, 4.88%, 1/15/2049 (k) | | |
Series 2016-JP3, Class C, 3.56%, 8/15/2049 (k) | | |
Morgan Stanley Bank of America Merrill Lynch Trust | | |
Series 2014-C18, Class B, 4.50%, 10/15/2047 (k) | | |
Series 2014-C19, Class D, 3.25%, 12/15/2047 (b) | | |
Series 2015-C26, Class D, 3.06%, 10/15/2048 (b) | | |
Series 2016-C31, Class C, 4.40%, 11/15/2049 (k) | | |
Series 2015-C23, Class B, 4.28%, 7/15/2050 (k) | | |
Morgan Stanley Capital I Trust | | |
Series 2016-UBS9, Class B, 4.73%, 3/15/2049 (k) | | |
Series 2020-L4, Class D, 2.50%, 2/15/2053 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
MRCD MARK Mortgage Trust Series 2019-PARK, Class E, 2.72%, 12/15/2036 (b) | | |
MSC Trust Series 2021-ILP, Class A, 6.23%, 11/15/2036 (b) (k) | | |
MSWF Commercial Mortgage Trust Series 2023-2, Class A5, 6.01%, 12/15/2056 (k) | | |
Multi-Family Connecticut Avenue Securities Trust | | |
Series 2019-01, Class M10, 8.71%, 10/25/2049 (b) (k) | | |
Series 2020-01, Class M10, 9.21%, 3/25/2050 (b) (k) | | |
Series 2023-01, Class M7, 9.35%, 11/25/2053 (b) (k) | | |
Series 2023-01, Class M10, 11.85%, 11/25/2053 (b) (k) | | |
Series 2024-01, Class M7, 8.10%, 7/25/2054 (b) (k) | | |
Series 2024-01, Class M10, 9.20%, 7/25/2054 (b) (k) | | |
SDR Commercial Mortgage Trust | | |
Series 2024-DSNY, Class A, 6.73%, 5/15/2039 (b) (k) | | |
Series 2024-DSNY, Class B, 7.08%, 5/15/2039 (b) (k) | | |
SREIT Trust Series 2021-MFP, Class G, 8.43%, 11/15/2038 (b) (k) | | |
UBS Commercial Mortgage Trust Series 2018-C10, Class D, 3.00%, 5/15/2051 (b) | | |
Velocity Commercial Capital Loan Trust | | |
Series 2018-1, Class A, 3.59%, 4/25/2048 (b) | | |
Series 2022-3, Class A, 5.22%, 6/25/2052 (b) (k) | | |
Series 2022-4, Class A, 5.63%, 8/25/2052 (b) (k) | | |
Wells Fargo Commercial Mortgage Trust | | |
Series 2024-1CHI, Class A, 5.48%, 7/15/2035 (b) (k) | | |
Series 2024-1CHI, Class B, 5.93%, 7/15/2035 (b) (k) | | |
Series 2015-C29, Class D, 4.36%, 6/15/2048 (k) | | |
Series 2017-C39, Class A5, 3.42%, 9/15/2050 | | |
Series 2018-C44, Class D, 3.00%, 5/15/2051 (b) | | |
| | |
|
Series 2018-C44, Class A5, 4.21%, 5/15/2051 | | |
Series 2022-C62, Class C, 4.50%, 4/15/2055 (k) | | |
Series 2015-NXS2, Class B, 4.41%, 7/15/2058 (k) | | |
WFRBS Commercial Mortgage Trust | | |
Series 2014-C21, Class D, 3.50%, 8/15/2047 (b) | | |
Series 2014-C21, Class C, 4.23%, 8/15/2047 (k) | | |
Series 2014-C22, Class C, 3.87%, 9/15/2057 (k) | | |
Series 2014-C22, Class B, 4.37%, 9/15/2057 (k) | | |
Total Commercial Mortgage-Backed Securities
(Cost $407,027,091) | | |
Asset-Backed Securities — 16.1% |
ACHV ABS TRUST Series 2023-2PL, Class B, 6.88%, 5/20/2030 (b) | | |
Affirm Asset Securitization Trust | | |
Series 2023-A, Class 1A, 6.61%, 1/18/2028 (b) | | |
Series 2023-A, Class A, 6.61%, 1/18/2028 (b) | | |
AIMCO CLO (Cayman Islands) Series 2015-AA, Class BR2, 7.15%, 10/17/2034 (b) (k) | | |
AIMCO CLO Ltd. (Cayman Islands) | | |
Series 2021-16A, Class AR, 6.72%, 7/17/2037 (b) (k) | | |
Series 2021-16A, Class BR, 6.97%, 7/17/2037 (b) (k) | | |
Air Canada Pass-Through Trust (Canada) Series 2020-2, Class B, 9.00%, 10/1/2025 (b) | | |
American Airlines Pass-Through Trust Series 2021-1, Class B, 3.95%, 7/11/2030 | | |
American Credit Acceptance Receivables Trust | | |
Series 2024-1, Class B, 5.60%, 11/12/2027 (b) | | |
Series 2023-4, Class B, 6.63%, 2/14/2028 (b) | | |
Series 2022-1, Class E, 3.64%, 3/13/2028 (b) | | |
Series 2022-2, Class E, 6.57%, 6/13/2028 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Asset-Backed Securities — continued |
Series 2022-3, Class D, 5.83%, 10/13/2028 (b) | | |
Series 2022-4, Class C, 7.86%, 2/15/2029 (b) | | |
Series 2023-1, Class D, 6.35%, 4/12/2029 (b) | | |
Series 2023-3, Class C, 6.44%, 10/12/2029 (b) | | |
Series 2023-3, Class D, 6.82%, 10/12/2029 (b) | | |
Series 2024-1, Class C, 5.63%, 1/14/2030 (b) | | |
Series 2024-2, Class D, 6.53%, 4/12/2030 (b) | | |
Series 2024-1, Class D, 5.86%, 5/13/2030 (b) | | |
Series 2024-3, Class D, 6.04%, 7/12/2030 (b) | | |
Series 2023-4, Class D, 7.65%, 9/12/2030 (b) | | |
| | |
Series 2020-SFR1, Class H, 5.30%, 4/17/2037 (b) | | |
Series 2020-SFR3, Class G, 4.99%, 9/17/2037 (b) | | |
Series 2020-SFR5, Class F, 2.69%, 11/17/2037 (b) | | |
Apidos CLO (Cayman Islands) | | |
Series 2018-29A, Class A2, 7.10%, 7/25/2030 (b) (k) | | |
Series 2019-31A, Class A1R, 6.66%, 4/15/2031 (b) (k) | | |
Series 2020-33A, Class BR, 7.14%, 10/24/2034 (b) (k) | | |
Ares CLO Ltd. (Cayman Islands) | | |
Series 2015-4A, Class A3RR, 6.70%, 10/15/2030 (b) (k) | | |
Series 2015-4A, Class BRR, 7.05%, 10/15/2030 (b) (k) | | |
Series 2017-43A, Class BR, 7.26%, 7/15/2034 (b) (k) | | |
ARES CLO Ltd. (Cayman Islands) Series 2018-47A, Class B, 7.01%, 4/15/2030 (b) (k) | | |
Avis Budget Rental Car Funding AESOP LLC | | |
Series 2020-1A, Class C, 3.02%, 8/20/2026 (b) | | |
Series 2022-3A, Class A, 4.62%, 2/20/2027 (b) | | |
| | |
|
Series 2023-1A, Class C, 6.23%, 4/20/2029 (b) | | |
Series 2023-4A, Class A, 5.49%, 6/20/2029 (b) | | |
Series 2023-4A, Class C, 7.24%, 6/20/2029 (b) | | |
Series 2024-3A, Class A, 5.23%, 12/20/2030 (b) | | |
Series 2024-3A, Class B, 5.58%, 12/20/2030 (b) | | |
Series 2024-3A, Class C, 6.11%, 12/20/2030 (b) | | |
Ballyrock CLO Ltd. (Cayman Islands) Series 2020-2A, Class A2R, 7.09%, 10/20/2031 (b) (k) | | |
Barings CLO Ltd. (Cayman Islands) Series 2022-1A, Class B, 7.23%, 4/15/2035 (b) (k) | | |
Bayview Opportunity Master Fund LLC | | |
Series 2024-CAR1, Class C, 6.85%, 12/26/2031 (b) (k) | | |
Series 2024-CAR1, Class D, 7.40%, 12/26/2031 (b) (k) | | |
Bridgecrest Lending Auto Securitization Trust | | |
Series 2023-1, Class B, 6.80%, 8/15/2029 | | |
Series 2024-3, Class D, 5.83%, 5/15/2030 | | |
British Airways Pass-Through Trust (United Kingdom) Series 2020-1, Class B, 8.38%, 11/15/2028 (b) | | |
| | |
Series 2021-FL7, Class D, 8.20%, 12/15/2038 (b) (k) | | |
Series 2021-FL7, Class E, 8.85%, 12/15/2038 (b) (k) | | |
Buckhorn Park CLO Ltd. (Cayman Islands) | | |
Series 2019-1A, Class AR, 6.66%, 7/18/2034 (b) (k) | | |
Series 2019-1A, Class CR, 7.54%, 7/18/2034 (b) (k) | | |
Business Jet Securities LLC Series 2024-1A, Class A, 6.20%, 5/15/2039 (b) | | |
Buttermilk Park CLO Ltd. (Cayman Islands) | | |
Series 2018-1A, Class B1R, 6.90%, 10/15/2031 (b) (k) | | |
Series 2018-1A, Class CR, 7.25%, 10/15/2031 (b) (k) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Asset-Backed Securities — continued |
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands) | | |
Series 2014-1A, Class A1R2, 6.52%, 4/17/2031 (b) (k) | | |
Series 2012-3A, Class BR2, 7.76%, 1/14/2032 (b) (k) | | |
Series 2015-4A, Class A2RR, 7.13%, 7/20/2032 (b) (k) | | |
Series 2015-4A, Class BRR, 7.73%, 7/20/2032 (b) (k) | | |
Carlyle US CLO Ltd. (Cayman Islands) Series 2021-7A, Class A2, 7.21%, 10/15/2035 (b) (k) | | |
CBAM Ltd. (Cayman Islands) Series 2018-5A, Class B2, 6.95%, 4/17/2031 (b) (k) | | |
CIFC Funding Ltd. (Cayman Islands) | | |
Series 2014-1A, Class BR2, 6.94%, 1/18/2031 (b) (k) | | |
Series 2018-1A, Class B, 6.94%, 4/18/2031 (b) (k) | | |
Series 2019-5A, Class A2RS, 7.31%, 1/15/2035 (b) (k) | | |
CoreVest American Finance Trust | | |
Series 2019-1, Class E, 5.69%, 3/15/2052 (b) (k) | | |
Series 2019-2, Class E, 5.33%, 6/15/2052 (b) (k) | | |
Series 2019-3, Class E, 4.85%, 10/15/2052 (b) (k) | | |
Credit Acceptance Auto Loan Trust | | |
Series 2022-3A, Class A, 6.57%, 10/15/2032 (b) | | |
Series 2023-1A, Class A, 6.48%, 3/15/2033 (b) | | |
Series 2022-3A, Class D, 9.00%, 4/18/2033 (b) | | |
Series 2023-2A, Class A, 5.92%, 5/16/2033 (b) | | |
Series 2023-3A, Class B, 7.09%, 10/17/2033 (b) | | |
Series 2023-5A, Class A, 6.13%, 12/15/2033 (b) | | |
Series 2023-5A, Class B, 6.71%, 2/15/2034 (b) | | |
Series 2024-1A, Class A, 5.68%, 3/15/2034 (b) | | |
Series 2024-1A, Class B, 6.03%, 5/15/2034 (b) | | |
| | |
|
Series 2024-2A, Class A, 5.95%, 6/15/2034 (b) | | |
Series 2024-1A, Class C, 6.71%, 7/17/2034 (b) | | |
DB Master Finance LLC Series 2021-1A, Class A23, 2.79%, 11/20/2051 (b) | | |
Diversified ABS Phase LLC Series 2024-1A, Class A2, 7.67%, 5/30/2044 ‡ (b) | | |
Domino's Pizza Master Issuer LLC Series 2015-1A, Class A2II, 4.47%, 10/25/2045 (b) | | |
Driven Brands Funding LLC | | |
Series 2019-1A, Class A2, 4.64%, 4/20/2049 (b) | | |
Series 2021-1A, Class A2, 2.79%, 10/20/2051 (b) | | |
Series 2022-1A, Class A2, 7.39%, 10/20/2052 (b) | | |
Dryden CLO Ltd. (Cayman Islands) | | |
Series 2017-53A, Class C, 7.26%, 1/15/2031 (b) (k) | | |
Series 2018-64A, Class A, 6.51%, 4/18/2031 (b) (k) | | |
Series 2018-58A, Class B, 7.05%, 7/17/2031 (b) (k) | | |
Series 2019-68A, Class AR, 6.73%, 7/15/2035 (b) (k) | | |
Series 2019-68A, Class BR, 7.26%, 7/15/2035 (b) (k) | | |
Dryden Senior Loan Fund (Cayman Islands) | | |
Series 2017-47A, Class A1R, 6.54%, 4/15/2028 (b) (k) | | |
Series 2016-45A, Class BR, 7.26%, 10/15/2030 (b) (k) | | |
Series 2015-41A, Class AR, 6.53%, 4/15/2031 (b) (k) | | |
| | |
Series 2021-4A, Class E, 3.34%, 7/17/2028 (b) | | |
Series 2023-1A, Class B, 5.19%, 10/16/2028 (b) | | |
Series 2023-1A, Class C, 5.55%, 10/16/2028 (b) | | |
Series 2022-1A, Class E, 5.53%, 3/15/2029 (b) | | |
Series 2023-3A, Class C, 6.40%, 5/15/2029 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Asset-Backed Securities — continued |
Elmwood CLO Ltd. (Cayman Islands) | | |
Series 2021-3A, Class BR, 7.03%, 4/20/2034 (b) (k) | | |
Series 2021-3A, Class CR, 7.48%, 4/20/2034 (b) (k) | | |
Series 2021-4A, Class B, 7.14%, 10/20/2034 (b) (k) | | |
Series 2023-2A, Class C, 8.29%, 4/16/2036 (b) (k) | | |
Series 2024-3A, Class A, 6.80%, 4/18/2037 (b) (k) | | |
Series 2019-3A, Class BRR, 7.02%, 7/18/2037 (b) (k) | | |
Exeter Automobile Receivables Trust | | |
Series 2020-3A, Class E, 3.44%, 8/17/2026 (b) | | |
Series 2021-2A, Class D, 1.40%, 4/15/2027 | | |
Series 2023-1A, Class B, 5.72%, 4/15/2027 | | |
Series 2023-3A, Class C, 6.21%, 6/15/2028 | | |
Series 2021-2A, Class E, 2.90%, 7/17/2028 (b) | | |
Series 2023-2A, Class C, 5.75%, 7/17/2028 | | |
Series 2023-4A, Class C, 6.51%, 8/15/2028 | | |
Series 2022-3A, Class D, 6.76%, 9/15/2028 | | |
Series 2021-3A, Class E, 3.04%, 12/15/2028 (b) | | |
Series 2022-4A, Class D, 5.98%, 12/15/2028 | | |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | | |
Series 2023-3A, Class D, 6.68%, 4/16/2029 | | |
Series 2023-1A, Class D, 6.69%, 6/15/2029 | | |
Series 2023-2A, Class D, 6.32%, 8/15/2029 | | |
Series 2022-1A, Class E, 5.02%, 10/15/2029 (b) | | |
Series 2022-2A, Class E, 6.34%, 10/15/2029 (b) | | |
Series 2023-1A, Class E, 12.07%, 9/16/2030 (b) | | |
| | |
|
FirstKey Homes Trust Series 2020-SFR1, Class F1, 3.64%, 8/17/2037 (b) | | |
Flagship Credit Auto Trust | | |
Series 2023-1, Class A3, 5.01%, 8/16/2027 (b) | | |
Series 2023-1, Class B, 5.05%, 1/18/2028 (b) | | |
FMC GMSR Issuer Trust Series 2022-GT1, Class B, 7.17%, 4/25/2027 (b) | | |
Foundation Finance Trust Series 2023-1A, Class D, 9.18%, 12/15/2043 (b) | | |
| | |
Series 2022-1FP, Class D, 3.35%, 3/19/2029 (b) | | |
Series 2022-3FP, Class C, 7.05%, 8/20/2029 (b) | | |
Galaxy CLO Ltd. (Cayman Islands) Series 2015-19A, Class A2RR, 6.94%, 7/24/2030 (b) (k) | | |
GLS Auto Receivables Issuer Trust | | |
Series 2023-1A, Class A2, 5.98%, 8/17/2026 (b) | | |
Series 2021-1A, Class E, 3.14%, 1/18/2028 (b) | | |
Series 2022-2A, Class D, 6.15%, 4/17/2028 (b) | | |
Series 2023-1A, Class D, 7.01%, 1/16/2029 (b) | | |
Series 2022-2A, Class E, 5.50%, 6/15/2029 (b) | | |
GoldenTree Loan Opportunities XII Ltd. (Cayman Islands) Series 2016-12A, Class CR, 7.49%, 7/21/2030 (b) (k) | | |
Hertz Vehicle Financing III LLC Series 2023-4A, Class D, 9.44%, 3/25/2030 (b) | | |
Hertz Vehicle Financing LLC | | |
Series 2022-4A, Class D, 6.56%, 9/25/2026 (b) | | |
Series 2023-1A, Class A, 5.49%, 6/25/2027 (b) | | |
Series 2023-1A, Class C, 6.91%, 6/25/2027 (b) | | |
Series 2023-3A, Class A, 5.94%, 2/25/2028 (b) | | |
Series 2023-3A, Class D, 9.43%, 2/25/2028 (b) | | |
Series 2023-2A, Class D, 9.40%, 9/25/2029 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Asset-Backed Securities — continued |
HGI CRE CLO Ltd. (Cayman Islands) Series 2022-FL3, Class E, 9.65%, 4/20/2037 (b) (k) | | |
Hilton Grand Vacations Trust Series 2022-1D, Class D, 6.79%, 6/20/2034 (b) | | |
HINNT LLC Series 2022-A, Class D, 6.50%, 5/15/2041 (b) | | |
KKR CLO Ltd. (Cayman Islands) | | |
Series 22A, Class B, 7.14%, 7/20/2031 (b) (k) | | |
Series 39A, Class B1, 7.26%, 10/15/2034 (b) (k) | | |
Series 40A, Class BR, 6.98%, 10/20/2034 (b) (k) | | |
KKR Financial CLO Ltd. (Cayman Islands) Series 2013-1A, Class A2R2, 6.75%, 4/15/2029 (b) (k) | | |
LCM Ltd. (Cayman Islands) | | |
Series 26A, Class A1, 6.61%, 1/20/2031 (b) (k) | | |
Series 31A, Class AR, 6.56%, 7/20/2034 (b) (k) | | |
LendingClub Loan Certificate Issuer Trust | | |
Series 2022-NP1, Class CERT, 0.00%, 3/16/2037 ‡ (b) | | |
Series 2022-P1, Class CERT, 0.00%, 3/16/2037 ‡ (b) | | |
Series 2022-P2, Class CERT, 0.00%, 4/15/2037 ‡ (b) | | |
Lendingpoint Asset Securitization Trust | | |
Series 2022-A, Class D, 4.54%, 6/15/2029 (b) | | |
Series 2022-B, Class A, 4.77%, 10/15/2029 (b) | | |
Series 2022-C, Class C, 8.68%, 2/15/2030 (b) | | |
Lendmark Funding Trust Series 2024-1A, Class A, 5.53%, 6/21/2032 (b) | | |
Madison Park Funding Ltd. (Cayman Islands) | | |
Series 2018-28A, Class C, 7.41%, 7/15/2030 (b) (k) | | |
Series 2016-20A, Class BR, 7.08%, 7/27/2030 (b) (k) | | |
Series 2017-23A, Class AR, 6.50%, 7/27/2031 (b) (k) | | |
Series 2019-34A, Class AR, 6.67%, 4/25/2032 (b) (k) | | |
| | |
|
Magnetite Ltd. (Cayman Islands) | | |
Series 2016-17A, Class AR2, 6.78%, 4/20/2037 (b) (k) | | |
Series 2016-17A, Class BR2, 7.23%, 4/20/2037 (b) (k) | | |
Series 2024-40A, Class B1, 7.08%, 7/15/2037 (b) (k) | | |
Mariner Finance Issuance Trust Series 2023-AA, Class E, 11.12%, 10/22/2035 (b) | | |
| | |
Series 2023-1A, Class A, 6.07%, 4/15/2033 (b) | | |
Series 2023-1A, Class B, 6.50%, 4/15/2033 (b) | | |
Series 2023-1A, Class C, 7.20%, 4/15/2033 (b) | | |
Neuberger Berman CLO Ltd. (Cayman Islands) Series 2016-22A, Class BR2, 7.30%, 4/15/2038 (b) (k) | | |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) | | |
Series 2017-26A, Class AR, 6.46%, 10/18/2030 (b) (k) | | |
Series 2017-26A, Class C, 7.29%, 10/18/2030 (b) (k) | | |
Series 2018-29A, Class B1R, 7.08%, 10/19/2031 (b) (k) | | |
Series 2019-34A, Class BR, 7.03%, 1/20/2035 (b) (k) | | |
New Residential Mortgage LLC Series 2020-FNT2, Class A, 5.44%, 7/25/2025 (b) | | |
New Residential Mortgage Loan Trust Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (b) | | |
NRZ Excess Spread-Collateralized Notes | | |
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (b) | | |
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (b) | | |
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (b) | | |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b) | | |
OCP CLO Ltd. (Cayman Islands) | | |
Series 2014-6A, Class A2R2, 6.79%, 10/17/2030 (b) (k) | | |
Series 2014-6A, Class BR2, 7.19%, 10/17/2030 (b) (k) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Asset-Backed Securities — continued |
Series 2018-15A, Class A1, 6.64%, 7/20/2031 (b) (k) | | |
Series 2015-9A, Class A1R2, 6.55%, 1/15/2033 (b) (k) | | |
Series 2022-25A, Class B1R, 7.03%, 7/20/2037 (b) (k) | | |
Octagon Investment Partners Ltd. (Cayman Islands) | | |
Series 2018-2A, Class A1B, 6.80%, 7/25/2030 (b) (k) | | |
Series 2018-1A, Class A1A, 6.60%, 1/20/2031 (b) (k) | | |
Series 2018-1A, Class C, 7.26%, 4/15/2031 (b) (k) | | |
Series 2019-1A, Class BR, 7.13%, 10/25/2032 (b) (k) | | |
Series 2019-1A, Class CR, 7.73%, 10/25/2032 (b) (k) | | |
Series 2019-1A, Class BR, 7.15%, 4/15/2035 (b) (k) | | |
OnDeck Asset Securitization Trust IV LLC Series 2023-1A, Class A, 7.00%, 8/19/2030 (b) | | |
OneMain Financial Issuance Trust | | |
Series 2018-2A, Class A, 3.57%, 3/14/2033 (b) | | |
Series 2023-2A, Class A2, 6.85%, 9/15/2036 (b) (k) | | |
Oportun Issuance Trust Series 2022-2, Class D, 11.34%, 10/9/2029 | | |
Pagaya AI Debt Selection Trust Series 2021-3, Class C, 3.27%, 5/15/2029 (b) | | |
Palmer Square CLO Ltd. (Cayman Islands) Series 2015-1A, Class A1A4, 6.52%, 5/21/2034 (b) (k) | | |
Palmer Square Loan Funding Ltd. (Cayman Islands) | | |
Series 2022-3A, Class BR, 7.30%, 4/15/2031 (b) (k) | | |
Series 2024-3A, Class A2, 6.81%, 8/8/2032 (b) (k) | | |
Series 2024-3A, Class B, 7.06%, 8/8/2032 (b) (k) | | |
PMT Issuer Trust-FMSR Series 2021-FT1, Class A, 8.39%, 3/25/2026 (b) (k) | | |
PNMAC GMSR ISSUER TRUST Series 2022-GT1, Class A, 9.60%, 5/25/2027 (b) (k) | | |
| | |
|
| | |
Series 2024-NPL2, Class A1, 7.02%, 2/25/2054 (b) (j) | | |
Series 2024-RN1, Class A1, 7.14%, 3/25/2054 (b) (j) | | |
Series 2024-NPL3, Class A1, 7.52%, 4/27/2054 (b) (j) | | |
Progress Residential Trust Series 2023-SFR1, Class E1, 6.15%, 3/17/2040 (b) | | |
PRPM LLC Series 2021-11, Class A2, 4.58%, 11/25/2026 (b) (j) | | |
RCO VI Mortgage LLC Series 2022-1, Class A1, 3.00%, 1/25/2027 (b) (j) | | |
Republic Finance Issuance Trust | | |
Series 2021-A, Class D, 5.23%, 12/22/2031 (b) | | |
Series 2024-A, Class A, 5.91%, 8/20/2032 (b) | | |
RR Ltd. (Cayman Islands) Series 2020-12A, Class A2R3, 6.90%, 1/15/2036 (b) (k) | | |
Santander Bank Auto Credit-Linked Notes | | |
Series 2022-C, Class B, 6.45%, 12/15/2032 (b) | | |
Series 2022-C, Class C, 6.99%, 12/15/2032 (b) | | |
Series 2022-C, Class D, 8.20%, 12/15/2032 (b) | | |
Series 2022-C, Class E, 11.37%, 12/15/2032 (b) | | |
Santander Drive Auto Receivables Trust | | |
Series 2021-3, Class D, 1.33%, 9/15/2027 | | |
Series 2024-1, Class B, 5.23%, 12/15/2028 | | |
Series 2023-4, Class B, 5.77%, 12/15/2028 | | |
Series 2022-4, Class C, 5.00%, 11/15/2029 | | |
Series 2024-1, Class C, 5.45%, 3/15/2030 | | |
Series 2024-4, Class C, 4.95%, 4/15/2030 | | |
Series 2023-3, Class C, 5.77%, 11/15/2030 | | |
Series 2023-5, Class C, 6.43%, 2/18/2031 | | |
Series 2023-6, Class C, 6.40%, 3/17/2031 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Asset-Backed Securities — continued |
Series 2022-7, Class C, 6.69%, 3/17/2031 | | |
Series 2024-3, Class D, 5.97%, 10/15/2031 | | |
Series 2024-4, Class D, 5.32%, 12/15/2031 | | |
SBA Small Business Investment Cos. | | |
Series 2023-10A, Class 1, 5.17%, 3/10/2033 | | |
Series 2023-10B, Class 1, 5.69%, 9/10/2033 | | |
Series 2024-10A, Class 1, 5.04%, 3/10/2034 | | |
SoFi Consumer Loan Program Trust Series 2023-1S, Class A, 5.81%, 5/15/2031 (b) | | |
Subway Funding LLC Series 2024-1A, Class A23, 6.51%, 7/30/2054 (b) | | |
Symphony CLO Ltd. (Cayman Islands) | | |
Series 2018-19A, Class B, 6.90%, 4/16/2031 (b) (k) | | |
Series 2018-19A, Class C, 7.30%, 4/16/2031 (b) (k) | | |
Series 2015-16A, Class B1RR, 7.00%, 10/15/2031 (b) (k) | | |
Series 2020-23A, Class AR, 6.58%, 1/15/2034 (b) (k) | | |
| | |
Series 2022-2A, Class B, 9.27%, 12/15/2028 (b) | | |
Series 2022-3A, Class A, 7.60%, 4/15/2029 (b) | | |
Tricon Residential Trust Series 2022-SFR1, Class E2, 5.74%, 4/17/2039 (b) | | |
United Airlines Pass-Through Trust | | |
Series 2016-2, Class B, 3.65%, 10/7/2025 | | |
Series 2016-1, Class B, 3.65%, 1/7/2026 | | |
Upstart Pass-Through Trust | | |
Series 2022-PT2, Class A, 17.91%, 2/20/2030 ‡ (b) (k) | | |
Series 2022-PT3, Class A, HB, 20.28%, 4/20/2030 ‡ (b) (k) | | |
Upstart Securitization Trust Series 2022-2, Class B, 6.10%, 5/20/2032 (b) | | |
Westlake Automobile Receivables Trust | | |
Series 2023-1A, Class B, 5.41%, 1/18/2028 (b) | | |
| | |
|
Series 2021-3A, Class F, 4.25%, 6/15/2028 (b) | | |
Series 2023-1A, Class C, 5.74%, 8/15/2028 (b) | | |
Series 2023-1A, Class D, 6.79%, 11/15/2028 (b) | | |
Series 2024-1A, Class C, 5.65%, 2/15/2029 (b) | | |
Series 2023-3A, Class D, 6.47%, 3/15/2029 (b) | | |
Series 2024-1A, Class D, 6.02%, 10/15/2029 (b) | | |
Total Asset-Backed Securities
(Cost $301,079,774) | | |
Collateralized Mortgage Obligations — 6.0% |
Angel Oak Mortgage Trust I LLC Series 2019-4, Class B2, 5.66%, 7/26/2049 (b) (k) | | |
CHL Mortgage Pass-Through Trust Series 2006-OA5, Class 2A1, 5.79%, 4/25/2046 (k) | | |
COLT Mortgage Loan Trust Series 2023-2, Class A1, 6.60%, 7/25/2068 (b) (j) | | |
Connecticut Avenue Securities Trust | | |
Series 2019-R04, Class 2B1, 10.71%, 6/25/2039 (b) (k) | | |
Series 2019-R07, Class 1B1, 8.86%, 10/25/2039 (b) (k) | | |
Series 2020-R01, Class 1B1, 8.71%, 1/25/2040 (b) (k) | | |
Series 2022-R01, Class 1M1, 6.35%, 12/25/2041 (b) (k) | | |
Series 2022-R06, Class 1M2, 9.20%, 5/25/2042 (b) (k) | | |
Series 2023-R01, Class 1M1, 7.75%, 12/25/2042 (b) (k) | | |
Series 2023-R02, Class 1M1, 7.65%, 1/25/2043 (b) (k) | | |
Series 2023-R02, Class 1M2, 8.70%, 1/25/2043 (b) (k) | | |
Series 2023-R02, Class 1B1, 10.90%, 1/25/2043 (b) (k) | | |
Series 2023-R04, Class 1M1, 7.65%, 5/25/2043 (b) (k) | | |
Series 2023-R04, Class 1M2, 8.90%, 5/25/2043 (b) (k) | | |
Series 2023-R06, Class 1M2, 8.05%, 7/25/2043 (b) (k) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Collateralized Mortgage Obligations — continued |
Series 2023-R07, Class 2M2, 8.60%, 9/25/2043 (b) (k) | | |
Series 2024-R01, Class 1M1, 6.40%, 1/25/2044 (b) (k) | | |
Series 2024-R01, Class 1B1, 8.05%, 1/25/2044 (b) (k) | | |
Series 2024-R02, Class 1M1, 6.45%, 2/25/2044 (b) (k) | | |
Series 2024-R02, Class 1M2, 7.15%, 2/25/2044 (b) (k) | | |
Series 2024-R04, Class 1M2, 7.00%, 5/25/2044 (b) (k) | | |
Series 2024-R05, Class 2M2, 7.05%, 7/25/2044 (b) (k) | | |
Deephaven Residential Mortgage Trust Series 2022-2, Class A1, 4.30%, 3/25/2067 (b) (k) | | |
| | |
Series 2022-DNA3, Class M1B, 8.25%, 4/25/2042 (b) (k) | | |
Series 2022-DNA4, Class M2, 10.60%, 5/25/2042 (b) (k) | | |
Series 2022-DNA5, Class M2, 12.10%, 6/25/2042 (b) (k) | | |
Series 2023-DNA1, Class M1A, 7.45%, 3/25/2043 (b) (k) | | |
Series 2023-DNA2, Class M1A, 7.45%, 4/25/2043 (b) (k) | | |
Series 2023-HQA2, Class M1B, 8.70%, 6/25/2043 (b) (k) | | |
Series 2024-DNA1, Class M2, 7.30%, 2/25/2044 (b) (k) | | |
FHLMC STACR Trust Series 2018-DNA3, Class B1, 9.36%, 9/25/2048 (b) (k) | | |
| | |
Series 2017-DNA2, Class B1, 10.61%, 10/25/2029 (k) | | |
Series 2017-DNA3, Class B1, 9.91%, 3/25/2030 (k) | | |
| | |
Series 5164, Class J, 2.50%, 5/25/2049 | | |
Series 5387, Class KB, 6.00%, 3/25/2054 | | |
FNMA, Connecticut Avenue Securities | | |
Series 2017-C02, Class 2B1, 10.96%, 9/25/2029 (k) | | |
Series 2017-C03, Class 1B1, 10.31%, 10/25/2029 (k) | | |
| | |
|
Series 2017-C05, Class 1B1, 9.06%, 1/25/2030 (k) | | |
Series 2017-C06, Class 1B1, 9.61%, 2/25/2030 (k) | | |
Series 2017-C07, Class 1B1, 9.46%, 5/25/2030 (k) | | |
Series 2018-C01, Class 1B1, 9.01%, 7/25/2030 (k) | | |
Series 2018-C03, Class 1B1, 9.21%, 10/25/2030 (k) | | |
Series 2021-R02, Class 2M2, 7.35%, 11/25/2041 (b) (k) | | |
Series 2021-R02, Class 2B1, 8.65%, 11/25/2041 (b) (k) | | |
| | |
Series 2021-86, Class T, 2.50%, 9/25/2048 | | |
Series 2024-25, Class ZA, 6.00%, 9/25/2053 | | |
Series 2024-25, Class ZB, 5.50%, 3/25/2054 | | |
FWD Securitization Trust Series 2020-INV1, Class A1, 2.24%, 1/25/2050 (b) (k) | | |
| | |
Series 2014-181, Class SL, IF, IO, 0.15%, 12/20/2044 (k) | | |
Series 2021-78, Class IB, IO, 3.00%, 5/20/2051 | | |
Series 2021-107, Class XI, IO, 3.00%, 6/20/2051 | | |
Series 2021-142, Class XI, IO, 3.00%, 8/20/2051 | | |
Series 2021-188, Class IJ, IO, 3.00%, 10/20/2051 | | |
Series 2023-102, Class BG, 5.50%, 7/20/2053 | | |
Series 2024-27, Class GB, 5.00%, 2/20/2054 | | |
Homeward Opportunities Fund Trust Series 2024-RTL1, Class A1, 7.12%, 7/25/2029 (b) (j) | | |
| | |
Series 2023-RTL1, Class A1, 7.87%, 1/25/2028 (b) (j) | | |
Series 2023-RTL2, Class A1, 8.00%, 6/25/2028 (b) (j) | | |
Series 2023-RTL3, Class A1, 8.00%, 8/25/2028 (b) (j) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Collateralized Mortgage Obligations — continued |
Series 2024-RTL1, Class A1, 7.02%, 1/25/2029 (b) (j) | | |
Series 2024-RTL2, Class A1, 7.13%, 3/25/2029 (b) (j) | | |
Series 2024-RTL3, Class A1, 6.90%, 5/25/2029 (b) (j) | | |
Series 2024-RTL4, Class A1, 5.92%, 7/25/2039 (b) (j) | | |
Series 2024-RTL4, Class A2, 6.09%, 7/25/2039 ‡ (b) (j) | | |
| | |
Series 2022-RTL1, Class A1, 5.07%, 4/26/2027 (b) (j) | | |
Series 2023-RTL1, Class A1, 7.58%, 8/25/2027 (b) (j) | | |
Series 2021-NQM1, Class A1, 1.15%, 4/25/2065 (b) (k) | | |
New Residential Mortgage Loan Trust | | |
Series 2018-3A, Class A1C, 3.00%, 5/25/2058 (b) (k) | | |
Series 2019-NQM5, Class A1, 2.71%, 11/25/2059 (b) (k) | | |
| | |
Series 2023-NQM3, Class A1, 5.95%, 2/25/2063 (b) (j) | | |
Series 2023-NQM7, Class A1, 6.84%, 4/25/2063 (b) (j) | | |
Series 2023-NQM6, Class A1, 6.52%, 7/25/2063 (b) (j) | | |
Onah Energy, 0.00%, 8/10/2039 ‡ | | |
| | |
Series 2020-6, Class A1, 5.36%, 11/25/2025 (b) (j) | | |
Series 2024-1, Class A1, 6.96%, 2/25/2029 (b) (j) | | |
Series 2024-2, Class A1, 7.03%, 3/25/2029 (b) (j) | | |
STACR Trust Series 2018-HRP2, Class B1, 9.66%, 2/25/2047 (b) (k) | | |
Starwood Mortgage Residential Trust Series 2020-INV1, Class B2, 4.26%, 11/25/2055 (b) | | |
Verus Securitization Trust | | |
Series 2023-1, Class A1, 5.85%, 12/25/2067 (b) (j) | | |
Series 2023-2, Class A1, 6.19%, 3/25/2068 (b) (j) | | |
Series 2023-4, Class A1, 5.81%, 5/25/2068 (b) (j) | | |
| | |
|
VM Master Issuer LLC Series 2022-1, Class B, 7.88%, 5/24/2025 ‡ (b) (j) | | |
Total Collateralized Mortgage Obligations
(Cost $111,488,236) | | |
Foreign Government Securities — 3.7% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Banque Centrale de Tunisie 5.75%, 1/30/2025 (h) | | |
| | |
| | |
| | |
Commonwealth of the Bahamas 6.00%, 11/21/2028 (h) | | |
Democratic Socialist Republic of Sri Lanka 7.85%, 3/14/2029 (h) (i) | | |
Dominican Republic Government Bond | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Federal Republic of Nigeria | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Federative Republic of Brazil 7.13%, 5/13/2054 | | |
| | |
| | |
| | |
Hashemite Kingdom of Jordan | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Foreign Government Securities — continued |
| | |
Islamic Republic of Pakistan | | |
| | |
| | |
| | |
| | |
Istanbul Metropolitan Municipality 10.50%, 12/6/2028 (b) | | |
| | |
| | |
| | |
| | |
Kingdom of Morocco 6.50%, 9/8/2033 (h) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Republic of Armenia 3.60%, 2/2/2031 (h) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Republic of Cote d'Ivoire | | |
| | |
5.75%, 12/31/2032 (h) (j) | | |
| | |
| | |
| | |
Republic of Ecuador 5.00%, 7/31/2040 (h) (j) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Republic of Ghana 6.38%, 2/11/2027 (h) (i) | | |
| | |
| | |
| | |
Republic of Honduras 6.25%, 1/19/2027 (h) | | |
Republic of Iraq 5.80%, 1/15/2028 (h) | | |
| | |
| | |
| | |
| | |
Republic of Montenegro 7.25%, 3/12/2031 (b) | | |
Republic of Namibia 5.25%, 10/29/2025 (h) | | |
Republic of Panama 6.40%, 2/14/2035 | | |
| | |
| | |
| | |
| | |
Republic of Rwanda 5.50%, 8/9/2031 (b) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Republic of Turkiye (The) | | |
| | |
| | |
| | |
| | |
Republic of Uzbekistan 5.38%, 2/20/2029 (h) | | |
Republic of Uzbekistan International Bond 7.85%, 10/12/2028 (b) | | |
Republic of Zambia 5.75%, 6/30/2033 (b) (j) | | |
Romania Government Bond 6.38%, 1/30/2034 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Foreign Government Securities — continued |
| | |
| | |
| | |
| | |
Sultanate of Oman Government Bond | | |
| | |
| | |
| | |
| | |
Suriname Government International Bond 7.95%, 7/15/2033 (c) (h) | | |
Turkiye Ihracat Kredi Bankasi A/S | | |
| | |
| | |
Total Foreign Government Securities
(Cost $68,139,081) | | |
Loan Assignments — 0.2% (g) (l) |
Automobile Components — 0.1% |
Adient US LLC, 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.75%), 8.00%, 1/31/2031 | | |
Building Products — 0.0% ^ |
Emerald Debt Merger Sub LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.56%, 8/4/2031 | | |
Health Care Providers & Services — 0.0% ^ |
Parexel International Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.25%, 11/15/2028 (m) | | |
|
Ahead DB Holdings LLC, 1st Lien Term Loan B-3 (3-MONTH CME TERM SOFR + 3.50%), 8.80%, 2/3/2031 | | |
|
Hercules Achievement, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.00%), 4.00%, 7/26/2031 (m) | | |
|
CSC Holdings LLC, Term Loan B-6 (1-MONTH CME TERM SOFR + 4.50%), 9.84%, 1/18/2028 | | |
Passenger Airlines — 0.0% ^ |
AAdvantage Loyalty IP Ltd., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.75%), 10.29%, 4/20/2028 (m) | | |
| | |
|
|
Rocket Software, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.75%), 10.00%, 11/28/2028 | | |
Specialty Retail — 0.0% ^ |
Petco Health & Wellness Co., Inc., Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.85%, 3/3/2028 | | |
Total Loan Assignments
(Cost $4,602,353) | | |
| | |
Short-Term Investments — 3.2% |
Investment Companies — 3.2% |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (n) (o)
(Cost $59,279,315) | | |
Total Investments — 106.4%
(Cost $1,978,174,565) | | |
Liabilities in Excess of Other Assets — (6.4)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| Alternative Credit Enhancement Securities |
| Commercial Industrial Finance Corp. |
| Chicago Mercantile Exchange |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| 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. |
| 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 August 31, 2024. The rate may be subject to a cap and floor. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 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. |
| |
| 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. |
| Real Estate Investment Trust |
| Real Estate Mortgage Investment Conduit |
| Combined Real Estate Mortgage Investment Conduit |
| Limited partnership with share capital |
| Secured Overnight Financing Rate |
| To Be Announced; Security is subject to delayed delivery. |
| Uniform Mortgage-Backed Securities |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
| 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 August 31, 2024 is $8,349,906 or 0.44% of the Fund’s net assets as of August 31, 2024. | |
| Security is an interest bearing note with preferred security characteristics. | |
| 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 August 31, 2024. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2024. | |
| 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. | |
| | |
| 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 August 31, 2024. | |
| 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 August 31, 2024. | |
| Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
| All or a portion of this security is unsettled as of August 31, 2024. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position. | |
| 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. | |
| The rate shown is the current yield as of August 31, 2024. | |
| | |
FNMA / FHLMC UMBS, Single Family, 30 Year TBA, 4.00%, 9/25/2054(a) | | |
GNMA II, Single Family, 30 Year | | |
| | |
| | |
| | |
(Proceeds received of $105,830,739) | | |
| |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| To Be Announced; Security is subject to delayed delivery. |
| Uniform Mortgage-Backed Securities |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
Futures contracts outstanding as of August 31, 2024:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
| | | | | |
U.S. Treasury 10 Year Note | | | | | |
U.S. Treasury 10 Year Ultra Note | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Over-the-Counter ("OTC") Credit default swap contracts outstanding — buy protection (*) as of August 31, 2024:
REFERENCE
OBLIGATION/INDEX | FINANCING
RATE PAID
BY THE FUND
(%) | | | | | | UPFRONT
PAYMENTS
(RECEIPTS)
| UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | |
Bank of America Corp., 3.50%, 4/19/2026 | | | | | | | | | |
Bank of America Corp., 3.50%, 4/19/2026 | | | | | | | | | |
| | | | | | | | | |
|
| 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. | |
| 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. |
| 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. |
| 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). |
SEE NOTES TO FINANCIAL STATEMENTS.
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of August 31, 2024:
REFERENCE
OBLIGATION/INDEX | FINANCING
RATE PAID
BY THE FUND
(%) | | | | | UPFRONT
PAYMENTS
(RECEIPTS)
| UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | |
| | | | | | | | |
| 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. |
| 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. |
| 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. |
| 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). |
| |
| Credit Default Swap Index |
| |
Centrally Cleared Credit default swap contracts outstanding — sell protection(**) as of August 31, 2024:
REFERENCE
OBLIGATION/INDEX | FINANCING
RATE PAID
BY THE FUND
(%) | | | | | UPFRONT
PAYMENTS
(RECEIPTS)
| UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | |
| | | | | | | | |
| The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an upfront premium from or to the protection buyer, and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
| Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract.Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
| The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. |
| Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
| |
| Credit Default Swap Index |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
Summary of total OTC swap contracts outstanding as of August 31, 2024:
| NET UPFRONT
PAYMENTS
(RECEIPTS)
($) | |
| | |
OTC Credit default swap contracts outstanding - buy protection | | |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
|
|
APA Infrastructure Ltd. 2.00%, 7/15/2030 (a) | | |
Commonwealth Bank of Australia 2.69%, 3/11/2031 (b) (c) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Benteler International AG | | |
| | |
| | |
| | |
|
Azelis Finance NV 5.75%, 3/15/2028 (a) | | |
| | |
(EURIBOR ICE Swap Rate 5 Year + 4.93%), 8.00%, 9/5/2028 (a) (c) (d) (e) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (b) (f) | | |
(EUR Swap Annual 5 Year + 1.25%), 1.63%, 9/18/2029 (a) (f) | | |
Ontex Group NV 3.50%, 7/15/2026 (a) | | |
Telenet Finance Luxembourg Notes SARL 3.50%, 3/1/2028 (a) | | |
| | |
|
Braskem Netherlands Finance BV 7.25%, 2/13/2033 (a) | | |
Guara Norte SARL 5.20%, 6/15/2034 (b) | | |
| | |
|
|
Klabin Austria GmbH 7.00%, 4/3/2049 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Bank of Nova Scotia (The) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 4.59%, 5/4/2037 (c) (f) | | |
Canadian Pacific Railway Co. 3.50%, 5/1/2050 | | |
Emera US Finance LP 2.64%, 6/15/2031 | | |
Emera, Inc. Series 16-A, (3-MONTH SOFR + 5.44%), 6.75%, 6/15/2076 (f) | | |
| | |
Series NC5, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.79%), 8.25%, 1/15/2084 (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.43%), 8.50%, 1/15/2084 (f) | | |
Transcanada Trust Series 16-A, (3-MONTH SOFR + 4.64%), 5.88%, 8/15/2076 (f) | | |
| | |
|
Alfa Desarrollo SpA 4.55%, 9/27/2051 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
Country Garden Holdings Co. Ltd. 3.13%, 10/22/2025 (a) (g) | | |
Huarong Finance 2017 Co. Ltd. 4.25%, 11/7/2027 (a) | | |
| | |
|
AL Candelaria -spain- SA 5.75%, 6/15/2033 (b) | | |
|
| | |
(EURIBOR ICE Swap Rate 1 Year + 0.88%), 0.75%, 6/9/2029 (a) (f) | | |
(EURIBOR ICE Swap Rate 1 Year + 1.70%), 4.75%, 6/21/2030 (a) (f) | | |
| | |
|
| | |
| | |
(EUR Swap Annual 5 Year + 4.11%), 7.25%, 1/11/2029 (a) (d) (e) (f) | | |
| | |
| | |
| | |
Alstom SA (EURIBOR ICE Swap Rate 5 Year + 2.93%), 5.87%, 5/29/2029 (a) (d) (e) (f) | | |
Altice France SA 3.38%, 1/15/2028 (a) | | |
Autoroutes du Sud de la France SA | | |
| | |
| | |
AXA SA (EURIBOR 3 Month + 3.75%), 3.38%, 7/6/2047 (a) (f) | | |
Banijay Entertainment SAS | | |
| | |
| | |
| | |
|
|
Bertrand Franchise Finance SAS | | |
| | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.35%), 8.50%, 8/14/2028 (b) (c) (d) (e) (f) | | |
(EURIBOR ICE Swap Rate 5 Year + 4.63%), 7.38%, 6/11/2030 (a) (c) (d) (e) (f) | | |
| | |
(SOFR + 2.10%), 5.98%, 1/18/2027 (b) (f) | | |
(EURIBOR 3 Month + 1.00%), 0.50%, 9/15/2027 (a) (f) | | |
| | |
(SOFR + 1.31%), 2.28%, 1/20/2032 (b) (f) | | |
(SOFR + 1.73%), 3.12%, 10/19/2032 (b) (f) | | |
Cerba Healthcare SACA 3.50%, 5/31/2028 (a) | | |
Chrome Holdco SAS 5.00%, 5/31/2029 (a) | | |
| | |
(SOFR + 0.89%), 1.25%, 1/26/2027 (b) (f) | | |
(U.K. Government Bonds 1 Year Note Generic Bid Yield + 2.60%), 5.75%, 11/29/2027 (a) (f) | | |
| | |
(SOFR + 1.86%), 6.32%, 10/3/2029 (b) (f) | | |
Credit Mutuel Arkea SA (EURIBOR ICE Swap Rate 5 Year + 1.45%), 1.88%, 10/25/2029 (a) (f) | | |
| | |
(EUR Swap Annual 5 Year + 2.86%), 2.63%, 12/1/2027 (a) (d) (e) (f) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
(EUR Swap Annual 5 Year + 3.97%), 3.38%, 6/15/2030 (a) (d) (e) (f) | | |
| | |
Elis SA 1.63%, 4/3/2028 (a) | | |
ELO SACA 6.00%, 3/22/2029 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Lune Holdings SARL 5.63%, 11/15/2028 (a) | | |
Orange SA (EUR Swap Annual 5 Year + 2.10%), 1.75%, 7/15/2028 (a) (d) (e) (f) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Rexel SA 2.13%, 6/15/2028 (a) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.93%), 4.75%, 5/26/2026 (b) (c) (d) (e) (f) | | |
| | |
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.51%), 5.38%, 11/18/2030 (b) (c) (d) (e) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.34%, 1/21/2033 (b) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.95%), 6.69%, 1/10/2034 (b) (f) | | |
SPIE SA 2.63%, 6/18/2026 (a) | | |
TotalEnergies Capital International SA 3.13%, 5/29/2050 | | |
Veolia Environnement SA (EURIBOR ICE Swap Rate 5 Year + 2.15%), 1.63%, 6/1/2026 (a) (d) (e) (f) | | |
Vinci SA 1.75%, 9/26/2030 (a) | | |
Viridien 7.75%, 4/1/2027 (a) | | |
| | |
|
Adler Pelzer Holding GmbH | | |
| | |
| | |
Allianz SE (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 5.60%, 9/3/2054 (b) (f) | | |
Bayer AG (EUR Swap Annual 5 Year + 3.90%), 7.00%, 9/25/2083 (a) (f) | | |
Birkenstock Financing SARL 5.25%, 4/30/2029 (a) | | |
Cheplapharm Arzneimittel GmbH | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
Commerzbank AG (EUR Swap Annual 5 Year + 4.35%), 4.00%, 12/5/2030 (a) (f) | | |
| | |
| | |
| | |
Deutsche Bank AG (SOFR + 2.26%), 3.74%, 1/7/2033 (f) | | |
Deutsche Lufthansa AG 2.88%, 2/11/2025 (a) | | |
Evonik Industries AG (EUR Swap Annual 5 Year + 1.84%), 1.38%, 9/2/2081 (a) (f) | | |
Heidelberg Materials Finance Luxembourg SA 4.88%, 11/21/2033 (a) | | |
| | |
3.75% (Cash), 9/15/2026 (a) (i) | | |
3.88% (Cash), 5/15/2027 (a) (i) (j) | | |
8.75% (Cash), 5/15/2028 (b) (i) | | |
8.75% (Cash), 5/15/2028 (a) (i) (j) | | |
Nidda Healthcare Holding GmbH 7.50%, 8/21/2026 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Techem Verwaltungsgesellschaft 674 mbH 6.00%, 7/30/2026 (a) | | |
Techem Verwaltungsgesellschaft 675 mbH | | |
| | |
| | |
thyssenkrupp AG 2.50%, 2/25/2025 (a) | | |
| | |
|
|
TK Elevator Midco GmbH 4.38%, 7/15/2027 (a) | | |
| | |
| | |
| | |
| | |
Volkswagen International Finance NV | | |
(EUR Swap Annual 10 Year + 3.98%), 4.63%, 6/27/2028 (a) (d) (e) (f) | | |
| | |
Volkswagen Leasing GmbH 4.00%, 4/11/2031 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Greenko Dutch BV 3.85%, 3/29/2026 (b) | | |
Greenko Power II Ltd. 4.30%, 12/13/2028 (b) | | |
| | |
|
Indonesia Asahan Aluminium PT 5.45%, 5/15/2030 (b) | | |
Pertamina Persero PT 3.65%, 7/30/2029 (b) | | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 4.13%, 5/15/2027 (a) | | |
| | |
|
AerCap Ireland Capital DAC | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
| | |
(EUR Swap Annual 5 Year + 6.63%), 6.25%, 6/23/2025 (a) (c) (d) (e) (f) | | |
(EUR Swap Annual 1 Year + 1.95%), 4.63%, 7/23/2029 (a) (f) | | |
Avolon Holdings Funding Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Bank of Ireland Group plc | | |
(EUR Swap Annual 5 Year + 7.92%), 7.50%, 5/19/2025 (a) (c) (d) (e) (f) | | |
(EUR Swap Annual 5 Year + 6.43%), 6.00%, 9/1/2025 (a) (c) (d) (e) (f) | | |
| | |
| | |
| | |
SMBC Aviation Capital Finance DAC 5.55%, 4/3/2034 (b) | | |
| | |
|
Energean Israel Finance Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Autostrade per l'Italia SpA 5.13%, 6/14/2033 (a) | | |
Enel Finance International NV | | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Series 63.5, (EUR Swap Annual 5 Year + 2.58%), 3.38%, 8/24/2026 (a) (d) (e) (f) | | |
Series 9.5Y, (EUR Swap Annual 5 Year + 2.01%), 1.88%, 6/8/2030 (a) (d) (e) (f) | | |
Eni SpA 4.25%, 5/9/2029 (b) | | |
| | |
| | |
(EURIBOR 3 Month + 5.35%), 5.50%, 10/27/2047 (a) (f) | | |
Guala Closures SpA 3.25%, 6/15/2028 (a) | | |
Infrastrutture Wireless Italiane SpA 1.63%, 10/21/2028 (a) | | |
| | |
(EUR Swap Annual 5 Year + 7.19%), 7.75%, 1/11/2027 (a) (c) (d) (e) (f) | | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (b) (f) | | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Pro-Gest SpA 3.25%, 12/15/2024 (a) (g) | | |
Rossini SARL 6.75%, 12/31/2029 (b) | | |
Shiba Bidco SpA 4.50%, 10/31/2028 (a) | | |
TeamSystem SpA 3.50%, 2/15/2028 (a) | | |
| | |
| | |
| | |
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| | |
(EUR Swap Annual 5 Year + 4.93%), 5.38%, 6/3/2025 (a) (c) (d) (e) (f) | | |
(EURIBOR ICE Swap Rate 5 Year + 7.33%), 7.50%, 6/3/2026 (a) (c) (d) (e) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (f) | | |
(EURIBOR 3 Month + 0.85%), 0.93%, 1/18/2028 (a) (f) | | |
| | |
|
|
(EURIBOR 3 Month + 1.90%), 4.80%, 1/17/2029 (a) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 3.13%, 6/3/2032 (b) (f) | | |
| | |
|
Mitsubishi UFJ Financial Group, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (f) | | |
Takeda Pharmaceutical Co. Ltd. | | |
| | |
| | |
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|
KazMunayGas National Co. JSC | | |
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| | |
|
MEGlobal Canada ULC 5.00%, 5/18/2025 (b) | | |
|
Altice Financing SA 3.00%, 1/15/2028 (a) | | |
Altice Finco SA 4.75%, 1/15/2028 (a) | | |
| | |
| | |
| | |
| | |
ARD Finance SA 5.00% (Cash), 6/30/2027 (a) (i) (j) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Herens Midco SARL 5.25%, 5/15/2029 (a) | | |
| | |
| | |
| | |
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| | |
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Monitchem HoldCo 3 SA 8.75%, 5/1/2028 (a) | | |
| | |
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| | |
SELP Finance SARL, REIT 0.88%, 5/27/2029 (a) | | |
| | |
(EUR Swap Annual 5 Year + 3.19%), 2.88%, 5/27/2026 (a) (d) (e) (f) | | |
| | |
Summer BC Holdco B SARL 5.75%, 10/31/2026 (a) | | |
| | |
|
Petronas Capital Ltd. 3.40%, 4/28/2061 (b) | | |
|
BBVA Bancomer SA (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%), 5.13%, 1/18/2033 (b) (c) (f) | | |
Bimbo Bakeries USA, Inc. 5.38%, 1/9/2036 (b) | | |
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) | | |
Petroleos Mexicanos 6.88%, 8/4/2026 | | |
Southern Copper Corp. 5.88%, 4/23/2045 | | |
| | |
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|
|
OCP SA 6.88%, 4/25/2044 (a) | | |
|
| | |
| | |
(EUR Swap Annual 5 Year + 4.67%), 4.38%, 9/22/2025 (a) (c) (d) (e) (f) | | |
(EUR Swap Annual 5 Year + 3.90%), 4.75%, 9/22/2027 (a) (c) (d) (e) (f) | | |
| | |
(EUR Swap Annual 5 Year + 4.68%), 4.38%, 6/29/2027 (a) (c) (d) (e) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (b) (f) | | |
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) | | |
| | |
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Sigma Holdco BV 5.75%, 5/15/2026 (a) | | |
Sunrise HoldCo IV BV 3.88%, 6/15/2029 (a) | | |
Titan Holdings II BV 5.13%, 7/15/2029 (a) | | |
Trivium Packaging Finance BV 3.75%, 8/15/2026 (a) (h) | | |
Upfield BV 6.88%, 7/2/2029 (b) | | |
VZ Vendor Financing II BV 2.88%, 1/15/2029 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
Wolters Kluwer NV 3.75%, 4/3/2031 (a) | | |
Ziggo Bond Co. BV 3.38%, 2/28/2030 (a) | | |
| | |
|
ANZ New Zealand Int'l Ltd. 2.55%, 2/13/2030 (b) | | |
|
Aker BP ASA 6.00%, 6/13/2033 (b) | | |
DNB Bank ASA (U.K. Government Bonds 1 Year Note Generic Bid Yield + 1.35%), 2.63%, 6/10/2026 (a) (f) | | |
| | |
|
EDP Finance BV 1.50%, 11/22/2027 (a) | | |
| | |
(EUR Swap Annual 5 Year + 1.84%), 1.70%, 7/20/2080 (a) (f) | | |
(EUR Swap Annual 5 Year + 2.38%), 1.88%, 8/2/2081 (a) (f) | | |
Series NC5., (EUR Swap Annual 5 Year + 1.89%), 1.50%, 3/14/2082 (a) (f) | | |
(EUR Swap Annual 5 Year + 3.18%), 5.94%, 4/23/2083 (a) (f) | | |
| | |
|
Anglo American Capital plc | | |
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|
Abertis Infraestructuras Finance BV | | |
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|
|
(EUR Swap Annual 5 Year + 3.69%), 3.25%, 11/24/2025 (a) (d) (e) (f) | | |
(EUR Swap Annual 5 Year + 3.27%), 2.63%, 1/26/2027 (a) (d) (e) (f) | | |
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) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.10%), 9.38%, 3/19/2029 (c) (d) (e) (f) | | |
Banco de Sabadell SA (EUR Swap Annual 1 Year + 0.97%), 0.63%, 11/7/2025 (a) (f) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 9.63%, 11/21/2028 (c) (d) (e) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.30%), 9.63%, 5/21/2033 (c) (d) (e) (f) | | |
| | |
| | |
(EUR Swap Annual 5 Year + 6.35%), 5.88%, 10/9/2027 (a) (c) (d) (e) (f) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
(SOFR + 2.77%), 6.84%, 9/13/2034 (b) (f) | | |
Cellnex Finance Co. SA 2.25%, 4/12/2026 (a) | | |
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Cirsa Finance International SARL | | |
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(TW + 50.00%), 10.38%, 1/30/2030 (b) | | |
Iberdrola International BV Series NC5, (EUR Swap Annual 5 Year + 2.32%), 1.87%, 1/28/2026 (a) (d) (e) (f) | | |
Kaixo Bondco Telecom SA 5.13%, 9/30/2029 (a) | | |
| | |
| | |
| | |
Naturgy Finance Iberia SA (EUR Swap Annual 5 Year + 2.44%), 2.37%, 11/23/2026 (a) (d) (e) (f) | | |
Repsol International Finance BV (EUR Swap Annual 10 Year + 4.20%), 4.50%, 3/25/2075 (a) (f) | | |
Telefonica Emisiones SA 4.67%, 3/6/2038 | | |
| | |
|
|
| | |
(EUR Swap Annual 8 Year + 2.97%), 3.88%, 6/22/2026 (a) (d) (e) (f) | | |
(EUR Swap Annual 6 Year + 2.87%), 2.88%, 2/24/2028 (a) (d) (e) (f) | | |
(EUR Swap Annual 7 Year + 3.35%), 6.14%, 2/3/2030 (a) (d) (e) (f) | | |
| | |
|
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) | | |
| | |
| | |
| | |
| | |
Verisure Midholding AB 5.25%, 2/15/2029 (a) | | |
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|
Dufry One BV 2.00%, 2/15/2027 (a) | | |
Holcim Finance Luxembourg SA 0.50%, 4/23/2031 (a) | | |
Holcim Sterling Finance Netherlands BV 2.25%, 4/4/2034 (a) | | |
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) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (b) (f) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 9.25%, 11/13/2028 (b) (c) (d) (e) (f) | | |
(SOFR + 3.73%), 4.19%, 4/1/2031 (b) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.10%, 2/11/2032 (b) (f) | | |
(SOFR + 1.73%), 3.09%, 5/14/2032 (b) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.76%), 9.25%, 11/13/2033 (b) (c) (d) (e) (f) | | |
Zurich Insurance Co. Ltd. (EURIBOR 3 Month + 3.95%), 3.50%, 10/1/2046 (a) (f) | | |
| | |
|
TSMC Arizona Corp. 4.25%, 4/22/2032 | | |
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|
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| | |
|
United Kingdom — continued |
| | |
Amber Finco plc 6.63%, 7/15/2029 (b) | | |
| | |
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| | |
Barclays plc (SOFR + 2.22%), 6.49%, 9/13/2029 (f) | | |
| | |
| | |
| | |
Cadent Finance plc 0.63%, 3/19/2030 (a) | | |
Centrica plc 4.38%, 3/13/2029 (a) | | |
CPUK Finance Ltd. 4.50%, 8/28/2027 (a) | | |
EC Finance plc 3.00%, 10/15/2026 (a) | | |
Eversholt Funding plc 2.74%, 6/30/2040 (a) | | |
Gatwick Funding Ltd. 2.50%, 4/15/2030 (a) | | |
| | |
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| | |
(SOFR + 3.03%), 7.34%, 11/3/2026 (f) | | |
| | |
(SOFR + 2.61%), 5.21%, 8/11/2028 (f) | | |
(SOFR + 1.73%), 2.01%, 9/22/2028 (f) | | |
(3-MONTH CME TERM SOFR + 1.87%), 3.97%, 5/22/2030 (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (c) (d) (e) (f) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
United Kingdom — continued |
(SOFR + 1.41%), 2.87%, 11/22/2032 (f) | | |
| | |
| | |
| | |
INEOS Quattro Finance 1 plc 3.75%, 7/15/2026 (a) | | |
INEOS Quattro Finance 2 plc | | |
| | |
| | |
INEOS Styrolution Ludwigshafen GmbH 2.25%, 1/16/2027 (a) | | |
International Consolidated Airlines Group SA | | |
| | |
| | |
Jaguar Land Rover Automotive plc | | |
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(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.48%), 5.99%, 8/7/2027 (f) | | |
Macquarie Airfinance Holdings Ltd. 6.40%, 3/26/2029 (b) | | |
| | |
| | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (c) (d) (e) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.27%), 5.52%, 9/30/2028 (f) | | |
| | |
|
United Kingdom — continued |
(EURIBOR 3 Month + 0.89%), 0.67%, 9/14/2029 (a) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.75%), 8.13%, 11/10/2033 (c) (d) (e) (f) | | |
NGG Finance plc (EUR Swap Annual 5 Year + 2.53%), 2.13%, 9/5/2082 (a) (f) | | |
Nomad Foods Bondco plc 2.50%, 6/24/2028 (a) | | |
| | |
| | |
| | |
Punch Finance plc 6.13%, 6/30/2026 (a) | | |
RAC Bond Co. plc 5.25%, 11/4/2027 (a) | | |
RELX Finance BV 0.88%, 3/10/2032 (a) | | |
| | |
| | |
| | |
Santander UK Group Holdings plc | | |
(SOFR + 2.75%), 6.83%, 11/21/2026 (f) | | |
(SOFR + 0.99%), 1.67%, 6/14/2027 (f) | | |
(SOFR + 2.60%), 6.53%, 1/10/2029 (f) | | |
South Eastern Power Networks plc 5.63%, 9/30/2030 (a) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (b) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.85%), 4.64%, 4/1/2031 (b) (f) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United Kingdom — continued |
Thames Water Utilities Finance plc 4.38%, 1/18/2031 (a) | | |
Virgin Media Finance plc 3.75%, 7/15/2030 (a) | | |
Vmed O2 UK Financing I plc 3.25%, 1/31/2031 (a) | | |
| | |
(EUR Swap Annual 5 Year + 3.43%), 4.20%, 10/3/2078 (a) (f) | | |
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (f) | | |
(EUR Swap Annual 5 Year + 3.48%), 3.00%, 8/27/2080 (a) (f) | | |
(EUR Swap Annual 5 Year + 3.49%), 6.50%, 8/30/2084 (a) (f) | | |
| | |
|
| | |
| | |
| | |
| | |
AES Corp. (The) 3.95%, 7/15/2030 (b) | | |
American Express Co. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 3.55%, 9/15/2026 (d) (e) (f) | | |
American Medical Systems Europe BV 1.63%, 3/8/2031 | | |
Ardagh Packaging Finance plc 2.13%, 8/15/2026 (a) | | |
| | |
| | |
| | |
| | |
(SOFR + 1.29%), 5.08%, 1/20/2027 (f) | | |
(SOFR + 1.05%), 2.55%, 2/4/2028 (f) | | |
| | |
|
United States — continued |
(SOFR + 1.63%), 5.20%, 4/25/2029 (f) | | |
(SOFR + 1.57%), 5.82%, 9/15/2029 (f) | | |
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (f) | | |
(SOFR + 1.32%), 2.69%, 4/22/2032 (f) | | |
(SOFR + 1.22%), 2.30%, 7/21/2032 (f) | | |
(SOFR + 1.65%), 5.47%, 1/23/2035 (f) | | |
Baxter International, Inc. 2.54%, 2/1/2032 | | |
Berkshire Hathaway Energy Co. 4.60%, 5/1/2053 | | |
Berry Global, Inc. 5.80%, 6/15/2031 (b) | | |
| | |
| | |
| | |
BP Capital Markets America, Inc. | | |
| | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (d) (e) (f) | | |
(EUR Swap Annual 5 Year + 3.52%), 3.25%, 3/22/2026 (a) (d) (e) (f) | | |
(EUR Swap Annual 5 Year + 3.78%), 3.63%, 3/22/2029 (a) (d) (e) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (d) (e) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.15%), 6.45%, 12/1/2033 (d) (e) (f) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
United States — continued |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
CCO Holdings LLC 5.13%, 5/1/2027 (b) | | |
Cencora, Inc. 2.70%, 3/15/2031 | | |
CF Industries, Inc. 4.95%, 6/1/2043 | | |
Charter Communications Operating LLC | | |
| | |
| | |
Cheniere Energy Partners LP | | |
| | |
| | |
Citibank NA 5.57%, 4/30/2034 | | |
| | |
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025 (d) (e) (f) | | |
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (d) (e) (f) | | |
Series CC, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.69%), 7.13%, 8/15/2029 (d) (e) (f) | | |
(SOFR + 1.17%), 2.56%, 5/1/2032 (f) | | |
(SOFR + 1.18%), 2.52%, 11/3/2032 (f) | | |
(SOFR + 2.06%), 5.83%, 2/13/2035 (f) | | |
| | |
|
United States — continued |
(SOFR + 1.45%), 5.45%, 6/11/2035 (f) | | |
Columbia Pipelines Operating Co. LLC | | |
| | |
| | |
| | |
| | |
| | |
| | |
Constellation Energy Generation LLC | | |
| | |
| | |
Crown Castle, Inc., REIT 4.80%, 9/1/2028 | | |
CVS Health Corp. 5.25%, 2/21/2033 | | |
Danaher Corp. 2.80%, 12/10/2051 | | |
Diamondback Energy, Inc. 3.13%, 3/24/2031 | | |
Discovery Communications LLC 3.63%, 5/15/2030 | | |
| | |
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.51%), 7.00%, 6/1/2054 (f) | | |
Series A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.39%), 6.88%, 2/1/2055 (f) | | |
Duke Energy Indiana LLC 5.40%, 4/1/2053 | | |
| | |
| | |
| | |
Duquesne Light Holdings, Inc. 2.78%, 1/7/2032 (b) | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United States — continued |
Energy Transfer LP (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.02%), 8.00%, 5/15/2054 (f) | | |
Entergy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.67%), 7.13%, 12/1/2054 (f) | | |
Entergy Louisiana LLC 5.15%, 9/15/2034 | | |
Entergy Texas, Inc. 1.75%, 3/15/2031 | | |
Fells Point Funding Trust 3.05%, 1/31/2027 (b) | | |
Fifth Third Bancorp (SOFRINDX + 2.13%), 4.77%, 7/28/2030 (f) | | |
FirstEnergy Transmission LLC 2.87%, 9/15/2028 (b) | | |
Ford Motor Credit Co. LLC | | |
| | |
| | |
Foundry JV Holdco LLC 6.15%, 1/25/2032 (b) | | |
| | |
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| | |
General Electric Co. 4.13%, 9/19/2035 (a) | | |
| | |
| | |
| | |
Global Payments, Inc. 2.90%, 11/15/2031 | | |
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) | | |
(SOFR + 0.91%), 1.95%, 10/21/2027 (f) | | |
| | |
|
United States — continued |
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.81%), 7.50%, 5/10/2029 (d) (e) (f) | | |
(SOFR + 1.28%), 2.62%, 4/22/2032 (f) | | |
(SOFR + 1.25%), 2.38%, 7/21/2032 (f) | | |
(SOFR + 1.26%), 2.65%, 10/21/2032 (f) | | |
(SOFR + 1.55%), 5.33%, 7/23/2035 (f) | | |
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (b) | | |
| | |
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Healthpeak OP LLC, REIT 5.25%, 12/15/2032 | | |
| | |
| | |
| | |
| | |
International Game Technology plc 2.38%, 4/15/2028 (a) | | |
| | |
| | |
| | |
| | |
KeyCorp (SOFRINDX + 2.42%), 6.40%, 3/6/2035 (f) | | |
Kinder Morgan, Inc. 5.20%, 6/1/2033 | | |
Kraft Heinz Foods Co. 4.88%, 10/1/2049 | | |
Kroger Co. (The) 5.50%, 9/15/2054 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
United States — continued |
Marriott International, Inc. 5.35%, 3/15/2035 | | |
Marvell Technology, Inc. 5.95%, 9/15/2033 | | |
| | |
| | |
| | |
Metropolitan Life Global Funding I 3.30%, 3/21/2029 (b) | | |
| | |
(SOFR + 0.88%), 1.59%, 5/4/2027 (f) | | |
(SOFR + 1.61%), 4.21%, 4/20/2028 (f) | | |
(SOFR + 1.73%), 5.12%, 2/1/2029 (f) | | |
(SOFR + 1.59%), 5.16%, 4/20/2029 (f) | | |
(SOFR + 1.63%), 5.45%, 7/20/2029 (f) | | |
(SOFR + 1.20%), 2.51%, 10/20/2032 (f) | | |
(SOFR + 1.88%), 5.42%, 7/21/2034 (f) | | |
(SOFR + 1.58%), 5.83%, 4/19/2035 (f) | | |
(SOFR + 1.56%), 5.32%, 7/19/2035 (f) | | |
(SOFR + 1.36%), 2.48%, 9/16/2036 (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.80%), 5.94%, 2/7/2039 (f) | | |
Netflix, Inc. 5.38%, 11/15/2029 (b) | | |
NextEra Energy Capital Holdings, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.46%), 6.75%, 6/15/2054 (f) | | |
| | |
|
United States — continued |
NiSource, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.45%), 6.95%, 11/30/2054 (f) | | |
Occidental Petroleum Corp. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Pacific Gas and Electric Co. | | |
| | |
| | |
| | |
| | |
Pfizer Investment Enterprises Pte. Ltd. | | |
| | |
| | |
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) | | |
(SOFR + 1.90%), 5.68%, 1/22/2035 (f) | | |
PPL Capital Funding, Inc. 5.25%, 9/1/2034 | | |
Prudential Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.40%), 6.50%, 3/15/2054 (f) | | |
Regency Centers LP, REIT 2.95%, 9/15/2029 | | |
Roper Technologies, Inc. 2.95%, 9/15/2029 | | |
SCIL IV LLC 9.50%, 7/15/2028 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
United States — continued |
Sempra (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.79%), 6.88%, 10/1/2054 (f) | | |
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) | | |
Take-Two Interactive Software, Inc. | | |
| | |
| | |
| | |
| | |
| | |
Thermo Fisher Scientific, Inc. 0.88%, 10/1/2031 | | |
TI Automotive Finance plc 3.75%, 4/15/2029 (a) | | |
| | |
| | |
| | |
| | |
(SOFR + 2.30%), 6.12%, 10/28/2033 (f) | | |
(SOFR + 1.85%), 5.12%, 1/26/2034 (f) | | |
(SOFR + 2.36%), 5.87%, 6/8/2034 (f) | | |
(SOFR + 1.92%), 5.71%, 1/24/2035 (f) | | |
UGI International LLC 2.50%, 12/1/2029 (a) | | |
Union Electric Co. 3.90%, 4/1/2052 | | |
US Bancorp (SOFR + 1.86%), 5.68%, 1/23/2035 (f) | | |
Virginia Electric and Power Co. 5.55%, 8/15/2054 | | |
Vistra Operations Co. LLC 6.00%, 4/15/2034 (b) | | |
Warnermedia Holdings, Inc. | | |
| | |
| | |
| | |
| | |
|
United States — continued |
| | |
| | |
(SOFR + 1.74%), 5.57%, 7/25/2029 (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 6.85%, 9/15/2029 (d) (e) (f) | | |
(SOFR + 1.99%), 5.56%, 7/25/2034 (f) | | |
(SOFR + 1.78%), 5.50%, 1/23/2035 (f) | | |
Welltower OP LLC, REIT 2.80%, 6/1/2031 | | |
| | |
Total Corporate Bonds
(Cost $287,545,469) | | |
Foreign Government Securities — 30.2% |
|
| | |
| | |
| | |
| | |
|
Commonwealth of Australia | | |
| | |
| | |
| | |
|
Notas do Tesouro Nacional 10.00%, 1/1/2027 (g) | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Foreign Government Securities — continued |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
Dominican Republic — 0.3% |
Dominican Republic Government Bond | | |
| | |
| | |
| | |
| | |
|
Arab Republic of Egypt 7.63%, 5/29/2032 (a) | | |
|
Bundesobligation 2.10%, 4/12/2029 (a) | | |
Bundesrepublik Deutschland | | |
| | |
| | |
Bundesschatzanweisungen 2.90%, 6/18/2026 (a) | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
|
Republic of Indonesia 6.75%, 7/15/2035 | | |
|
State of Israel Government Bond 3.38%, 1/15/2050 | | |
|
Italian Republic Government Bond 2.88%, 10/17/2029 | | |
|
Republic of Cote d'Ivoire | | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Foreign Government Securities — continued |
|
New Zealand Government Bond | | |
| | |
| | |
| | |
|
Federal Republic of Nigeria | | |
| | |
| | |
| | |
|
Sultanate of Oman Government Bond | | |
| | |
| | |
| | |
| | |
|
Republic of Paraguay 4.95%, 4/28/2031 (b) | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
Kingdom of Saudi Arabia 5.00%, 1/18/2053 (b) | | |
|
Republic of Senegal 6.25%, 5/23/2033 (a) | | |
| | |
|
|
| | |
| | |
| | |
| | |
|
Bonos and Obligaciones del Estado | | |
| | |
| | |
| | |
|
Istanbul Metropolitan Municipality | | |
| | |
| | |
Republic of Turkiye (The) | | |
| | |
| | |
| | |
United Arab Emirates — 0.1% |
United Arab Emirates Government Bond 4.00%, 7/28/2050 (b) | | |
|
United Kingdom of Great Britain and Northern Ireland 4.25%, 3/7/2036 (a) | | |
|
Oriental Republic of Uruguay 5.10%, 6/18/2050 | | |
Total Foreign Government Securities
(Cost $149,634,171) | | |
|
European Union, 3.00%, 3/4/2053 (a)
(Cost $4,846,798) | | |
U.S. Treasury Obligations — 0.9% |
|
U.S. Treasury Inflation Linked Notes , 1.38%, 7/15/2033
(Cost $4,457,769) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Commercial Mortgage-Backed Securities — 0.7% |
|
BANK Series 2018-BN13, Class C, 4.69%, 8/15/2061 (j) | | |
Benchmark Mortgage Trust Series 2019-B11, Class C, 3.75%, 5/15/2052 (j) | | |
BHMS Series 2018-ATLS, Class A, 6.88%, 7/15/2035 (b) (j) | | |
BX Commercial Mortgage Trust Series 2024-MF, Class B, 7.03%, 2/15/2039 (b) (j) | | |
Cascade Funding Mortgage Trust Series 2021-FRR1, Class BK45, 2.03%, 2/28/2025 (b) (j) | | |
CCUBS Commercial Mortgage Trust Series 2017-C1, Class C, 4.58%, 11/15/2050 (j) | | |
CD Mortgage Trust Series 2016-CD2, Class C, 4.11%, 11/10/2049 (j) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series K739, Class X1, IO, 1.30%, 9/25/2027 (j) | | |
Series K072, Class X3, IO, 2.21%, 12/25/2045 (j) | | |
Series K089, Class X3, IO, 2.38%, 1/25/2046 (j) | | |
Series K078, Class X3, IO, 2.29%, 6/25/2046 (j) | | |
Series K088, Class X3, IO, 2.43%, 2/25/2047 (j) | | |
FREMF Series 2018-KF46, Class B, 7.42%, 3/25/2028 (b) (j) | | |
| | |
Series 2017-KF38, Class B, 7.97%, 9/25/2024 (b) (j) | | |
Series 2018-KF47, Class B, 7.47%, 5/25/2025 (b) (j) | | |
| | |
|
United States — continued |
Series 2018-KF49, Class B, 7.37%, 6/25/2025 (b) (j) | | |
Series 2017-K728, Class C, 3.86%, 11/25/2050 (b) (j) | | |
GS Mortgage Securities Trust | | |
Series 2012-GCJ9, Class D, 4.75%, 11/10/2045 (b) (j) | | |
Series 2015-GC30, Class C, 4.20%, 5/10/2050 (j) | | |
JPMBB Commercial Mortgage Securities Trust | | |
Series 2015-C30, Class C, 4.37%, 7/15/2048 (j) | | |
Series 2015-C31, Class C, 4.78%, 8/15/2048 (j) | | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-JP4, Class C, 3.51%, 12/15/2049 (j) | | |
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 (j) | | |
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24, Class C, 4.47%, 5/15/2048 (j) | | |
Morgan Stanley Capital I Trust | | |
Series 2005-HQ7, Class E, 5.44%, 11/14/2042 (j) | | |
Series 2015-MS1, Class B, 4.16%, 5/15/2048 (j) | | |
SDR Commercial Mortgage Trust Series 2024-DSNY, Class B, 7.08%, 5/15/2039 (b) (j) | | |
UBS Commercial Mortgage Trust Series 2017-C7, Class B, 4.29%, 12/15/2050 (j) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
United States — continued |
Velocity Commercial Capital Loan Trust | | |
Series 2018-2, Class A, 4.05%, 10/26/2048 (b) (j) | | |
Series 2019-1, Class M1, 3.94%, 3/25/2049 (b) (j) | | |
Total Commercial Mortgage-Backed Securities
(Cost $3,824,879) | | |
Asset-Backed Securities — 0.6% |
|
Bain Capital Credit CLO Ltd. Series 2021-7A, Class A1, 6.68%, 1/22/2035 (b) (j) | | |
Dryden CLO Ltd. Series 2019-68A, Class AR, 6.73%, 7/15/2035 (b) (j) | | |
Galaxy CLO Ltd. Series 2013-15A, Class ARR, 6.53%, 10/15/2030 (b) (j) | | |
| | |
|
Accelerated Assets LLC Series 2018-1, Class C, 6.65%, 12/2/2033 (b) | | |
BMW Vehicle Lease Trust Series 2023-1, Class A3, 5.16%, 11/25/2025 | | |
Chase Funding Trust Series 2003-6, Class 1A7, 5.28%, 11/25/2034 (h) | | |
Credit-Based Asset Servicing and Securitization LLC Series 2004-CB5, Class M1, 6.31%, 1/25/2034 (j) | | |
Exeter Automobile Receivables Trust Series 2024-3A, Class D, 5.98%, 9/16/2030 | | |
Flagship Credit Auto Trust | | |
Series 2023-1, Class A3, 5.01%, 8/16/2027 (b) | | |
| | |
|
United States — continued |
Series 2023-1, Class B, 5.05%, 1/18/2028 (b) | | |
GM Financial Automobile Leasing Trust Series 2023-1, Class A3, 5.16%, 4/20/2026 | | |
JetBlue Pass-Through Trust Series 2019-1, Class A, 2.95%, 5/15/2028 | | |
Progress Residential Series 2021-SFR1, Class E, 2.11%, 4/17/2038 (b) | | |
Santander Revolving Auto Loan Trust Series 2019-A, Class D, 3.45%, 1/26/2032 (b) | | |
Structured Asset Investment Loan Trust Series 2005-HE3, Class M1, 6.11%, 9/25/2035 (j) | | |
US Auto Funding Series 2021-1A, Class C, 2.20%, 5/15/2026 (b) | | |
| | |
Total Asset-Backed Securities
(Cost $3,025,617) | | |
Collateralized Mortgage Obligations — 0.5% |
|
| | |
Series 2004-25CB, Class A1, 6.00%, 12/25/2034 | | |
Series 2005-6CB, Class 1A6, 5.50%, 4/25/2035 | | |
Series 2007-2CB, Class 1A6, 5.75%, 3/25/2037 | | |
Chase Mortgage Finance Trust Series 2007-A1, Class 1A5, 6.22%, 2/25/2037 (j) | | |
CHL Mortgage Pass-Through Trust Series 2007-16, Class A1, 6.50%, 10/25/2037 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Collateralized Mortgage Obligations — continued |
United States — continued |
Connecticut Avenue Securities Trust Series 2023-R02, Class 1M1, 7.65%, 1/25/2043 (b) (j) | | |
| | |
Series 4305, Class SK, IF, IO, 1.13%, 2/15/2044 (j) | | |
Series 4689, Class SD, IF, IO, 0.68%, 6/15/2047 (j) | | |
Series 5022, IO, 3.00%, 9/25/2050 | | |
Series 5023, Class MI, IO, 3.00%, 10/25/2050 | | |
Series 4839, Class WS, IF, IO, 0.63%, 8/15/2056 (j) | | |
| | |
Series 2012-146, Class AI, IO, 3.00%, 1/25/2028 | | |
Series 2016-68, Class BI, IO, 3.00%, 10/25/2031 | | |
Series 2012-93, Class SE, IF, IO, 0.64%, 9/25/2042 (j) | | |
Series 2012-124, Class UI, IO, 4.00%, 11/25/2042 | | |
Series 2015-40, Class LS, IF, IO, 0.71%, 6/25/2045 (j) | | |
Series 2017-31, Class SG, IF, IO, 0.64%, 5/25/2047 (j) | | |
Series 2017-39, Class ST, IF, IO, 0.64%, 5/25/2047 (j) | | |
FNMA, STRIPS Series 409, Class 27, IO, 4.00%, 4/25/2027 (j) | | |
GNMA Series 2015-H13, Class GI, IO, 1.55%, 4/20/2065 (j) | | |
Merrill Lynch Mortgage Investors Trust Series 2004-C, Class A1, 5.95%, 7/25/2029 (j) | | |
| | |
|
United States — continued |
MFA Trust Series 2023-RTL1, Class A1, 7.58%, 8/25/2027 (b) (h) | | |
Structured Adjustable Rate Mortgage Loan Trust Series 2004-8, Class 3A, 6.55%, 7/25/2034 (j) | | |
VM Master Issuer LLC Series 2022-1, Class A1, 6.16%, 5/24/2025 ‡ (b) (h) | | |
Total Collateralized Mortgage Obligations
(Cost $2,668,613) | | |
| | |
|
|
Windstream Holdings, Inc. ‡ *(Cost $—) | | |
Short-Term Investments — 2.9% |
Investment Companies — 2.9% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (k) (l)(Cost $13,623,183) | | |
Total Investments — 97.2%
(Cost $469,626,499) | | |
Other Assets Less Liabilities — 2.8% | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| |
| |
| Collateralized Loan Obligations |
| Chicago Mercantile Exchange |
| |
| |
| Euro Interbank Offered Rate |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| |
| Government National Mortgage Association |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| Intercontinental Exchange |
| |
| 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 August 31, 2024. The rate may be subject to a cap and floor. |
| 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. |
| |
| |
| |
| |
| Limited liability company |
| Real Estate Investment Trust |
| Real Estate Mortgage Investment Conduit |
| Secured Overnight Financing Rate |
| Compounding index of the Secured Overnight Financing Rate |
| 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. |
| |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| Non-income producing security. | |
| 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. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| 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 August 31, 2024 is $16,566,635 or 3.49% of the Fund’s net assets as of August 31, 2024. | |
| Security is an interest bearing note with preferred security characteristics. | |
| Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of August 31, 2024. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2024. | |
| | |
| Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of August 31, 2024. | |
| Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
| Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2024. | |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| The rate shown is the current yield as of August 31, 2024. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
Futures contracts outstanding as of August 31, 2024:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
U.S. Treasury 10 Year Note | | | | | |
U.S. Treasury 10 Year Ultra Note | | | | | |
| | | | | |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
U.S. Treasury 10 Year Note | | | | | |
U.S. Treasury 10 Year Ultra Note | | | | | |
| | | | | |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
Forward foreign currency exchange contracts outstanding as of August 31, 2024:
| | | | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International | | |
| | | | Goldman Sachs International | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International | | |
| | | | Goldman Sachs International** | | |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International** | | |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
Total unrealized appreciation | |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International** | | |
| | | | Goldman Sachs International | | |
| | | | | | |
| | | | Goldman Sachs International | | |
| | | | Goldman Sachs International** | | |
| | | | | | |
| | | | Goldman Sachs International | | |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International** | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International** | | |
| | | | | | |
| | | | | | |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | | | UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| | | | | | |
| | | | Goldman Sachs International | | |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International | | |
Total unrealized depreciation | |
Net unrealized depreciation | |
Centrally Cleared interest rate swap contracts outstanding as of August 31, 2024:
| | | | | UPFRONT
PAYMENTS
(RECEIPTS)
($) | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | | | | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| Value of floating rate index at August 31, 2024 was as follows: |
| |
| |
| Certificate of interbank deposits |
| Secured Overnight Financing Rate |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
Municipal Bonds — 93.9% (a) |
|
Alabama Federal Aid Highway Finance Authority Series 2015, Rev., 4.00%, 9/1/2024 (b) | | |
Black Belt Energy Gas District, Gas Project | | |
Series 2023A, Rev., 5.25%, 10/1/2030 (c) | | |
Series 2023B-2, Rev., LIQ : Royal Bank of Canada, 5.25%, 12/1/2030 (c) | | |
Black Belt Energy Gas District, Gas Project No. 8 Series 2022A, Rev., 4.00%, 12/1/2029 (c) | | |
City of Pell City, Warrants Series 2015A, GO, 5.00%, 2/1/2025 | | |
County of Jefferson sewer | | |
Series 2024, Rev., 5.00%, 10/1/2035 | | |
Series 2024, Rev., 5.00%, 10/1/2038 | | |
Series 2024, Rev., 5.00%, 10/1/2039 | | |
Energy Southeast A Cooperative District Series 2023A-1, Rev., 5.50%, 1/1/2031 (c) | | |
Lower Alabama Gas District (The), Gas Project Series 2016A, Rev., 5.00%, 9/1/2031 | | |
Mobile County Industrial Development Authority, Calvert LLC Project Series 2024 A, Rev., AMT, 5.00%, 6/1/2054 | | |
Selma Industrial Development Board, International Paper Co. Project Series 2020A, Rev., 1.38%, 6/16/2025 (c) | | |
Southeast Alabama Gas Supply District (The), Project No. 2 Series 2024 B, Rev., 5.00%, 5/1/2032 (c) | | |
Southeast Energy Authority A Cooperative District Project No.06 Series 2023B, Rev., LIQ : Royal Bank of Canada, 5.00%, 6/1/2030 (c) | | |
Southeast Energy Authority A Cooperative District, Project No. 2 Series 2021B, Rev., 4.00%, 12/1/2031 (c) | | |
Southeast Energy Authority A Cooperative District, Project No. 3 Series 2022A-1, Rev., 5.50%, 12/1/2029 (c) | | |
University of Alabama (The), Huntsville General Fee Series 2018B-2, Rev., 5.00%, 9/1/2031 | | |
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|
|
Alaska Housing Finance Corp., State Capital Project Series II 2024A, Rev., 5.00%, 12/1/2027 (d) | | |
Alaska Industrial Development and Export Authority, Tanana Chiefs Conference Project | | |
Series 2019 A, Rev., 5.00%, 10/1/2033 | | |
Series 2019 A, Rev., 4.00%, 10/1/2034 | | |
Series 2019 A, Rev., 4.00%, 10/1/2036 | | |
Northern Tobacco Securitization Corp., Tobacco Settlement Asset-Backed Senior Capital Appreciation Series 2021 B-2, Class 2, Rev., Zero Coupon, 6/1/2066 | | |
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|
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Series 2020A, Rev., 5.00%, 7/1/2030 | | |
Series 2020A, Rev., 5.00%, 7/1/2033 | | |
Series 2024B, Rev., 5.00%, 7/1/2042 | | |
Series 2024, Rev., 5.00%, 8/1/2042 | | |
Arizona Industrial Development Authority, Academies of Math and Science Projects Rev., 4.50%, 7/1/2033 (e) | | |
Arizona Industrial Development Authority, Great Lakes Senior Living Communities LLC Project Series 2019A, Rev., 5.00%, 1/1/2036 | | |
Arizona Industrial Development Authority, KIPP Nashville Project | | |
Series 2022A, Rev., 5.00%, 7/1/2028 | | |
Series 2022A, Rev., 5.00%, 7/1/2029 | | |
Arizona Industrial Development Authority, National Charter School Revolving Loan Fund | | |
Series 2020A, Rev., 4.00%, 11/1/2038 | | |
Series 2023A, Rev., 5.00%, 11/1/2038 | | |
Series 2023A, Rev., 5.00%, 11/1/2040 | | |
Series 2023A, Rev., 5.25%, 11/1/2048 | | |
| | |
Series 2024, GO, 5.00%, 7/1/2042 (d) | | |
Series 2024, GO, 5.00%, 7/1/2043 (d) | | |
City of Glendale Water and Sewer, Senior Lien | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
City of Phoenix Civic Improvement Corp., Junior Lien, Airport System Series 2019A, Rev., 5.00%, 7/1/2044 | | |
City of Phoenix Civic Improvement Corp., Junior Lien, Wastewater System | | |
Series 2023, Rev., 5.00%, 7/1/2041 | | |
Series 2023, Rev., 5.00%, 7/1/2043 | | |
City of Phoenix Civic Improvement Corp., Senior Lien, Airport System Series 2023, Rev., AMT, 5.00%, 7/1/2025 | | |
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) | | |
Maricopa County Industrial Development Authority, Banner Health | | |
Series 2016 A, Rev., 5.00%, 1/1/2025 | | |
Series 2023A-1, Rev., 5.00%, 5/15/2026 (c) | | |
Series A, Rev., 4.00%, 1/1/2041 | | |
Maricopa County Industrial Development Authority, Honorhealth | | |
Series 2024 D, Rev., 5.00%, 12/1/2041 | | |
Series 2024 D, Rev., 5.00%, 12/1/2043 | | |
Series 2024 D, Rev., 5.00%, 12/1/2044 | | |
Maricopa County Industrial Development Authority, Valley Christian Schools Project Series 2023A, Rev., 6.00%, 7/1/2043 (e) | | |
Maricopa County School District No. 3, Tempe Elementary, School Improvement, Project of 2016 Series 2017A, GO, 5.00%, 7/1/2027 | | |
Maricopa County Unified School District No. 60 Higley COP, AGM, 5.00%, 6/1/2036 | | |
Pima County Unified School District No. 1 Tucson, Project Of 2023 | | |
Series 2024 A, GO, AGM, 5.00%, 7/1/2025 | | |
Series 2024 A, GO, AGM, 5.00%, 7/1/2036 | | |
Series 2024 A, GO, AGM, 5.00%, 7/1/2038 | | |
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|
|
Salt River Project Agricultural Improvement and Power District, Arizona Electric System Series 2023B, Rev., 5.25%, 1/1/2053 | | |
Salt Verde Financial Corp. Series 2007-1, Rev., 5.25%, 12/1/2026 | | |
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|
City of Fort Smith, Water and Sewer Construction Rev., 5.00%, 10/1/2024 | | |
County of Pulaski, Arkansas Children's Hospital Rev., 5.00%, 3/1/2037 | | |
University of Arkansas, Various Facilities Fayetteville Campus Series 2024 B, Rev., 5.00%, 11/1/2031 | | |
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|
Burbank-Glendale-Pasadena Airport Authority Brick Campaign Series 2024B, Rev., AMT, AGM, 4.38%, 7/1/2049 | | |
California Community Choice Financing Authority, Clean Energy Project | | |
Series 2023B-1, Rev., 5.00%, 8/1/2029 (c) | | |
Series 2023 G-1, Rev., 5.25%, 4/1/2030 (c) | | |
Series 2021B-1, Rev., 4.00%, 8/1/2031 (c) | | |
Series 2024 A, Rev., 5.00%, 4/1/2032 (c) | | |
California County Tobacco Securitization Agency, Los Angeles County Securitization Corp. Series 2020 B-2, Rev., Zero Coupon, 6/1/2055 | | |
California Health Facilities Financing Authority, Adventist Health System | | |
Series 2024A, Rev., 5.00%, 12/1/2034 | | |
Series 2024A, Rev., 5.00%, 12/1/2036 | | |
Series 2024A, Rev., 5.00%, 12/1/2037 | | |
Series 2024A, Rev., 5.00%, 12/1/2038 | | |
California Health Facilities Financing Authority, On Lok Senior Health Service Rev., 5.00%, 8/1/2040 | | |
California Infrastructure and Economic Development Bank, Brightline West Passenger Rail Project Series 2020 A-4, Rev., AMT, 8.00%, 8/15/2025 (c) (e) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
California Infrastructure and Economic Development Bank, California Academy Of Science Series 2024A, Rev., 3.25%, 8/1/2029 | | |
California Municipal Finance Authority Series 2021A, Rev., AMT, 4.00%, 10/1/2024 (c) | | |
California Municipal Finance Authority, Community Health System Series 2021A, Rev., 5.00%, 2/1/2033 | | |
California Municipal Finance Authority, Waste Management, Inc. Project Series 2022A, Rev., AMT, 4.13%, 10/1/2025 (c) | | |
California Pollution Control Financing Authority, Poseidon Resources Channelside LP Desalination Project Rev., AMT, 5.00%, 7/1/2036 (e) | | |
California School Finance Authority, Kipp SoCal Public Schools Series 2019A, Rev., 5.00%, 7/1/2039 (e) | | |
California Statewide Communities Development Authority, John Muir Health Series 2024A, Rev., 5.00%, 12/1/2028 | | |
California Statewide Communities Development Authority, Loma Linda University Medical Center Series 2018 A, Rev., 5.25%, 12/1/2048 (e) | | |
City of Aliso Viejo COP, 4.00%, 11/1/2028 | | |
City of Los Angeles Department of Airports, International Airport Subordinate Series 2021A, Rev., AMT, 5.00%, 5/15/2039 | | |
City of Santa Rosa, Courthouse Square Project and Lease COP, 4.00%, 10/1/2024 | | |
El Centro Financing Authority, Police Station Project | | |
Series 2023A, Rev., 5.00%, 10/1/2024 | | |
Series 2023A, Rev., 5.00%, 10/1/2025 | | |
Golden State Tobacco Securitization Corp., Enhanced Tobacco Settlement | | |
Series 2018A-1, Rev., 5.00%, 6/1/2028 (b) | | |
Series 2021B-2, Rev., Zero Coupon, 6/1/2066 | | |
Indio Finance Authority, City of Indio | | |
Series 2022A, Rev., 5.00%, 11/1/2028 | | |
Series 2022A, Rev., 5.00%, 11/1/2029 | | |
Series 2022A, Rev., 5.00%, 11/1/2030 | | |
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Series 2022A, Rev., 5.00%, 11/1/2034 | | |
Los Angeles County Development Authority, West LA Building 156 and 157 Apartments Series 2023C, Rev., 3.75%, 12/1/2026 (c) | | |
Los Angeles Department of Water and Power, Power System Series 2022A, Rev., 5.00%, 7/1/2030 | | |
Los Angeles Unified School District Series 2024A, GO, 5.00%, 7/1/2025 | | |
Ontario Public Financing Authority, Civic Center Improvements Series 2022A, Rev., AGM, 5.00%, 11/1/2033 | | |
Petaluma Public Financing Authority, Road Improvement Projects Rev., 5.00%, 5/1/2026 | | |
Redding Joint Powers Financing Authority Series 2019A, Rev., 5.00%, 4/1/2026 | | |
River Islands Public Financing Authority, Facilities District No. 2003 | | |
Series 2022A-1, AGM, 5.00%, 9/1/2029 | | |
Series 2022A-1, AGM, 5.00%, 9/1/2030 | | |
San Diego County Regional Airport Authority | | |
Series 2023B, Rev., AMT, 5.25%, 7/1/2038 | | |
Series 2023B, Rev., AMT, 5.00%, 7/1/2048 | | |
San Jose Evergreen Community College District Series C, GO, 4.00%, 9/1/2043 | | |
Solano Irrigation District, Water COP, 4.00%, 8/1/2031 | | |
South San Francisco Public Facilities Financing Authority, Community Civic Campus and Multiple Capital Projects Series 2021A, Rev., 4.00%, 6/1/2029 | | |
State of California, Various Purpose | | |
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| | |
Tobacco Securitization Authority of Northern California, Sacramento County Tobacco Securitization Corp. Series 2021A, Class 1, Rev., 5.00%, 6/1/2032 | | |
Tobacco Securitization Authority of Southern California Series 2019 A, Class 1, Rev., 5.00%, 6/1/2048 | | |
Tracy Public Financing Authority, Legacy Fields Series 2022A, Rev., 5.00%, 11/1/2036 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
University of California Series 2018AZ, Rev., 4.00%, 5/15/2029 | | |
Vallecito Union School District Series A, GO, 5.00%, 8/1/2031 | | |
Yucaipa Valley Water District Financing Authority, Water and Sewer Series 2022A, Rev., 5.00%, 9/1/2034 | | |
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|
Adams County Housing Authority, Maiker Housing Partners Multifamily Housing, Overlook At Thornton Series 2023, Rev., 4.50%, 5/1/2026 (c) | | |
City and County of Denver Series 2020B, GO, 5.00%, 8/1/2029 | | |
City and County of Denver, Airport System | | |
Series 2018 A, Rev., AMT, 5.00%, 12/1/2028 | | |
Series 2022A, Rev., AMT, 5.00%, 11/15/2032 | | |
Series 2018A, Rev., AMT, 5.00%, 12/1/2035 | | |
City of Colorado Springs Utilities System Series 2024A, Rev., 5.00%, 11/15/2049 | | |
City of Lone Tree COP, 5.00%, 12/1/2041 | | |
Colorado Bridge and Tunnel Enterprise Series 2024 A, Rev., AGM, 5.25%, 12/1/2049 | | |
Colorado Educational and Cultural Facilities Authority, Vega Collegiate Academy Project Series 2021A, Rev., 5.00%, 2/1/2051 (e) | | |
Colorado Health Facilities Authority, Adventist Health System Series 2024 A-1, Rev., 5.00%, 11/15/2029 (c) | | |
Colorado Health Facilities Authority, CommonSpirit Health Series 2024A, Rev., 5.00%, 12/1/2034 | | |
Colorado Housing and Finance Authority Series 2023L, Class III, Rev., GNMA COLL, 5.75%, 11/1/2053 | | |
Colorado Springs School District No. 11 Facilities Corp. | | |
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County of Adams COP, 5.00%, 12/1/2024 | | |
Dominion Water and Sanitation District Rev., 5.00%, 12/1/2027 | | |
San Miguel County School District R-1 Telluride Series 2024, GO, 5.00%, 12/1/2042 | | |
State of Colorado, Building Excellent Schools Today Series S, COP, 4.00%, 3/15/2037 | | |
University of Colorado, Enterprise System Series 2017A-2, Rev., 5.00%, 6/1/2026 | | |
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Series 2023, GO, 4.00%, 6/15/2041 | | |
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Series 2023, GO, 4.00%, 8/15/2042 | | |
Series 2023, GO, 4.00%, 8/15/2043 | | |
Connecticut State Health and Educational Facilities Authority, Yale New Heaven Health Series 2024 B, Rev., 5.00%, 7/1/2029 (c) | | |
Stamford Housing Authority, The Dogwoods Project Rev., BAN, 11.00%, 12/1/2027 (e) | | |
State of Connecticut Series A, GO, 5.00%, 4/15/2033 | | |
State of Connecticut Special Tax | | |
Series 2023A, Rev., 5.00%, 7/1/2037 | | |
Series 2023A, Rev., 5.00%, 7/1/2038 | | |
University of Connecticut Series 2017A, Rev., 5.00%, 1/15/2028 | | |
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|
Delaware State Economic Development Authority, St. Andrews School Project Rev., 4.00%, 7/1/2041 | | |
District of Columbia — 1.8% |
| | |
Series 2023A, GO, 5.00%, 1/1/2036 | | |
Series 2019 A, GO, 5.00%, 10/15/2044 | | |
District of Columbia, Income Tax | | |
Series 2019A, Rev., 5.00%, 3/1/2029 | | |
Series 2023 A, Rev., 5.00%, 5/1/2043 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
District of Columbia — continued |
Series 2023 A, Rev., 5.25%, 5/1/2048 | | |
District of Columbia, Kipp DC Project Rev., 4.00%, 7/1/2039 | | |
District of Columbia, Water and Sewer Authority, Public Utility, Senior Lien Series B, Rev., 5.00%, 10/1/2025 | | |
District of Columbia, Water and Sewer Authority, Public Utility, Subordinate Lien Series 2022C1, Rev., 4.00%, 10/1/2040 | | |
Metropolitan Washington Airports Authority Aviation | | |
Series 2010D, Rev., VRDO, LOC : TD Bank NA, 2.82%, 9/12/2024 (c) | | |
Series 2023A, Rev., AMT, 5.00%, 10/1/2025 | | |
Series 2024A, Rev., AMT, 5.00%, 10/1/2026 | | |
Series 2021A, Rev., AMT, 5.00%, 10/1/2031 | | |
Series 2020A, Rev., AMT, 4.00%, 10/1/2035 | | |
Washington Metropolitan Area Transit Authority Dedicated, Sustainability Climate Transition Bonds Series 2023A, Rev., 5.00%, 7/15/2037 | | |
Total District of Columbia | | |
|
Capital Trust Authority, IPS Enterprises, Inc., Projects | | |
Series 2023 A, Rev., 5.13%, 6/15/2033 (e) | | |
Series 2023 A, Rev., 6.00%, 6/15/2043 (e) | | |
Central Florida Tourism Oversight District Series 2016A, GO, 5.00%, 6/1/2026 | | |
City of Cape Coral, Florida Special Obligation Rev., 5.00%, 10/1/2024 | | |
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Series 2024, Rev., 5.00%, 10/1/2026 | | |
Series 2024, Rev., 5.00%, 10/1/2028 | | |
Series 2024, Rev., 5.00%, 10/1/2029 | | |
Series 2024, Rev., 5.00%, 10/1/2030 | | |
Series 2024, Rev., 5.00%, 10/1/2031 | | |
City of Kissimmee, Sales Tax Rev., 4.00%, 10/1/2025 | | |
City of Miami Series 2024A, Rev., 5.50%, 1/1/2049 | | |
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|
City of Orlando, Capital Improvement Series B, Rev., 5.00%, 10/1/2024 | | |
Cobb County Kennestone Hospital Authority, Ave Maria University, Inc. Project Series 2023, Rev., 5.00%, 6/1/2027 | | |
County of Hillsborough, Communications Services Tax Rev., 5.00%, 10/1/2024 | | |
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Series 2021 B, Rev., AMT, 5.00%, 10/1/2031 | | |
Series 2021A, Rev., AMT, 5.00%, 10/1/2031 | | |
County of Miami-Dade, Aviation System Series A, Rev., AMT, 5.00%, 10/30/2024 | | |
County of Miami-Dade, Jackson Health System Series 2015A, Rev., 5.00%, 6/1/2025 | | |
County of Okaloosa, Sales Tax Rev., 5.00%, 10/1/2024 | | |
East Central Regional Wastewater Treatment Facilities Operation Board, Biosolids Project Rev., 5.00%, 10/1/2024 | | |
Florida Atlantic University Finance Corp., Student Housing Project Series 2019B, Rev., 5.00%, 7/1/2032 | | |
Florida Department of Children and Families, Evaluation Treatment Center Financing Corp. Project Series 2021B, COP, 5.00%, 10/1/2028 | | |
Florida Development Finance Corp., Brightline Florida Passenger Rail Project Series 2024, Rev., AMT, 5.50%, 7/1/2053 | | |
Florida Development Finance Corp., Idea Florida, Inc., Jacksonville IV Project Rev., 5.25%, 6/15/2029 (e) | | |
Florida Housing Finance Corp., Culmer Apartments Series 2023C, Rev., 5.00%, 12/1/2025 (c) | | |
Florida Housing Finance Corp., Hampton Point Apartments Series 2023E, Rev., 5.00%, 5/1/2025 (c) | | |
Florida Housing Finance Corp., Northside Transit Village III Series 2023B, Rev., GNMA COLL, 5.00%, 2/1/2026 (c) | | |
Florida Municipal Loan Council, Village of Palmetto Bay Series 2021A, Rev., 4.00%, 10/1/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Florida Municipal Power Agency, All-Requirements Power Supply Project Series 2016A, Rev., 5.00%, 10/1/2024 | | |
Florida State Board of Governors University of North Florida Dormitory | | |
Series 2023A, Rev., 5.00%, 11/1/2041 | | |
Series 2023A, Rev., 5.00%, 11/1/2042 | | |
Florida State Board of Governors, University of Florida Mandatory Student Fee Series 2021A, Rev., AGM, 5.00%, 11/1/2028 | | |
Hillsborough County Industrial Development Authority, Baycare Health System | | |
Series 2024C, Rev., 5.00%, 11/15/2029 (d) | | |
Series 2024C, Rev., 5.00%, 11/15/2034 (d) | | |
JEA Water and Sewer System Series 2024A, Rev., 5.25%, 10/1/2049 | | |
Lee County School Board (The) Series 2023A, COP, 4.00%, 8/1/2048 | | |
Marion County School Board COP, AGM, 5.25%, 6/1/2044 | | |
Miami-Dade County Housing Finance Authority, Running Brook Apartments Series 202, Rev., 3.55%, 1/1/2026 (c) | | |
Middleton Community Development District A, City of Wildwood, Florida Special Assessment 5.85%, 5/1/2037 | | |
Okaloosa County School Board COP, AGC, 5.00%, 10/1/2049 | | |
Orange County Health Facilities Authority, Orlando Health Obligated Group Series 2023A, Rev., 5.00%, 10/1/2036 | | |
Orange County Health Facilities Authority, The Nemours Foundation Project Series 2009C-2, Rev., VRDO, LOC : TD Bank NA, 2.92%, 9/12/2024 (c) | | |
Palm Beach County Health Facilities Authority, Acts Retirement Life Communities, Inc., Obligated Group Rev., 5.00%, 11/15/2032 | | |
Palm Beach County School District Series 2024A, COP, 5.00%, 8/1/2039 | | |
Polk County Housing Finance Authority, Episcopal Catholic Apartments Series 2023, Rev., 4.15%, 6/1/2026 (c) | | |
St. Johns County School Board Series 2024 A, COP, AGM, 5.00%, 7/1/2041 | | |
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State of Florida Board of Education, Public Education Capital Outlay Series 2017B, GO, 5.00%, 6/1/2031 | | |
State of Florida, State Board of Education, Lottery Series 2016A, Rev., 5.00%, 7/1/2026 | | |
Tampa Bay Water, Regional Water Supply Authority, Utility System Series 2016C, Rev., 5.00%, 10/1/2025 | | |
Tampa-Hillsborough County Expressway Authority Series 2017B, Rev., 5.00%, 7/1/2031 | | |
University of Florida, Department of Housing and Residence Education Housing System Series 2021A, Rev., 5.00%, 7/1/2026 | | |
Village Community Development District No. 15 4.25%, 5/1/2028 (e) | | |
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Augusta Development Authority, AU Health System, Inc. Project Series 2018, Rev., 4.00%, 7/1/2038 | | |
Bartow County Development Authority, Georgia Power Co. Plant Series 2009-1, Rev., 3.95%, 3/8/2028 (c) | | |
City of Atlanta, Airport Passenger Facility Charge, Subordinate Lien Series 2019D, Rev., AMT, 4.00%, 7/1/2037 | | |
City of Atlanta, Georgia Airport Series 2019B, Rev., AMT, 5.00%, 7/1/2031 | | |
Columbia County Hospital Authority, Wellstart Health System Inc., Project Series 2023B, Rev., 5.00%, 4/1/2042 | | |
County of DeKalb, Water and Sewerage Series 2006B, Rev., 5.25%, 10/1/2026 | | |
Development Authority of Burke County (The) Series 2013-1, Rev., 3.38%, 3/12/2027 (c) | | |
Development Authority of Monroe County (The), Georgia Power Co. Plant Scherer Project Series 2009-2, Rev., 3.88%, 3/6/2026 (c) | | |
Fayette County Development Authority, United States Soccer Federation, Inc. Project Series 2024, Rev., 5.00%, 10/1/2040 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Gainesville and Hall County Hospital Authority, Northeast Georgia Health System, Inc., Project | | |
Rev., RAN, 5.00%, 10/15/2030 | | |
Rev., RAN, 5.00%, 10/15/2034 | | |
Georgia Higher Education Facilities Authority, USG Real Estate Foundation II LLC Projects Rev., 4.00%, 6/15/2038 | | |
Georgia Ports Authority Series 2022, Rev., 5.00%, 7/1/2047 | | |
Lawrenceville Housing Authority, Applewood Towers Project Series 2024B, Rev., 5.00%, 10/1/2027 (c) | | |
Main Street Natural Gas, Inc., Gas Supply | | |
Series 2022B, Rev., 5.00%, 6/1/2029 (c) | | |
Series 2023B, Rev., 5.00%, 3/1/2030 (c) | | |
Series 2023A, Rev., 5.00%, 6/1/2030 (c) | | |
Series 2023C, Rev., 5.00%, 9/1/2030 (c) | | |
Series 2023D, Rev., 5.00%, 12/1/2030 (c) | | |
Series 2023E SUB E1, Rev., 5.00%, 6/1/2031 (c) | | |
Series 2024 A, Rev., 5.00%, 9/1/2031 (c) | | |
Series 2024C, Rev., 5.00%, 12/1/2031 (c) | | |
Series 2024B, Rev., 5.00%, 3/1/2032 (c) | | |
Metropolitan Atlanta Rapid Transit Authority, Sales Tax | | |
Series 2017D, Rev., 4.00%, 7/1/2028 | | |
Series 2023A, Rev., 5.00%, 7/1/2036 | | |
Series 2023A, Rev., 5.00%, 7/1/2039 | | |
Rome Building Authority, Rome City School Project Series 2023, Rev., 5.00%, 3/1/2036 | | |
Walton County Water and Sewer Authority, Hard Labor Creek Reservoir Water Treatment Facility Project | | |
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Guam Government Waterworks Authority Series 2024A, Rev., 5.00%, 7/1/2040 | | |
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City and County of Honolulu Series D, GO, 5.00%, 9/1/2032 | | |
State of Hawaii Series FK, GO, 5.00%, 5/1/2033 | | |
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Idaho Health Facilities Authority, St. Luke's Health System Project Series 2021A, Rev., 5.00%, 3/1/2029 | | |
Idaho Housing and Finance Association, Transportation Expansion and Congestion Mitigation Fund Series 2022A, Rev., 5.00%, 8/15/2035 | | |
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Champaign County Community Unit School District No. 4 Champaign, School Building GO, 5.00%, 1/1/2027 | | |
Chicago Midway International Airport, Senior Lien | | |
Series 2023A, Rev., AMT, 5.00%, 1/1/2029 | | |
Series 2023A, Rev., AMT, 5.00%, 1/1/2030 | | |
Series 2023 C, Rev., AMT, 5.00%, 1/1/2034 | | |
Series 2023 C, Rev., AMT, 5.00%, 1/1/2039 | | |
Series 2023A, Rev., AMT, 5.75%, 1/1/2048 | | |
Series 2023A, Rev., AMT, 5.50%, 1/1/2053 | | |
Chicago O'Hare International Airport, Customer Facility Charge Senior Lien | | |
Series 2023, Rev., 5.00%, 1/1/2036 | | |
Series 2023, Rev., 5.00%, 1/1/2037 | | |
Chicago O'Hare International Airport, General Airport, Senior Lien | | |
Series 2020A, Rev., 5.00%, 1/1/2034 | | |
Series B, Rev., 5.00%, 1/1/2034 | | |
Series 2024 B, Rev., 5.00%, 1/1/2048 (d) | | |
Series 2024 B, Rev., 5.50%, 1/1/2059 (d) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
City of Chicago, Waterworks, Second Lien | | |
Series 2023B, Rev., 5.00%, 11/1/2024 | | |
Series 2023A, Rev., AGM, 5.25%, 11/1/2053 | | |
City of Decatur GO, 5.00%, 3/1/2027 | | |
City of Highland Park GO, 4.00%, 12/30/2028 | | |
Cook County School District No. 87 Berkeley GO, AGM, 4.00%, 12/1/2030 | | |
County of Cook, Sales Tax Rev., 5.00%, 11/15/2034 | | |
County of Lake, Sales Tax GO, 4.00%, 11/30/2027 | | |
Illinois Finance Authority, Clean Water Initiative Revolving Fund Rev., 5.00%, 7/1/2032 | | |
Illinois Finance Authority, Lake Forest College | | |
Series 2022A, Rev., 5.00%, 10/1/2029 | | |
Series 2022A, Rev., 5.00%, 10/1/2030 | | |
Series 2022A, Rev., 5.00%, 10/1/2031 | | |
Illinois Finance Authority, Uchicago Medicine Series 2022B-2, Rev., 5.00%, 8/15/2027 (c) | | |
Illinois Finance Authority, University of Chicago Series 2015A, Rev., 5.00%, 10/1/2025 (b) | | |
Illinois Finance Authority, University Of Chicago Series 2024 A, Rev., 5.00%, 4/1/2032 | | |
Illinois Housing Development Authority | | |
Rev., FHA, 4.00%, 6/1/2025 (c) | | |
Series 2024 A, Rev., GNMA / FNMA / FHLMC, 6.00%, 10/1/2054 | | |
Illinois State Toll Highway Authority Series 2019A, Rev., 5.00%, 1/1/2036 | | |
Lake County Community Consolidated School District No. 3 Beach Park GO, AGM, 4.00%, 2/1/2032 | | |
Sales Tax Securitization Corp., Second Lien Series 2020A, Rev., 4.00%, 1/1/2040 | | |
Sales Tax Securitization Corp., Senior Lien Series 2023C, Rev., 5.00%, 1/1/2033 | | |
Southern Illinois University, Housing and Auxiliary Facilities | | |
Series 2022A, Rev., 5.00%, 4/1/2029 | | |
Series 2022A, Rev., 5.00%, 4/1/2030 | | |
Series 2022A, Rev., 5.00%, 4/1/2031 | | |
| | |
|
|
Series 2022A, Rev., 5.00%, 4/1/2032 | | |
| | |
Series 2018A, GO, 5.00%, 10/1/2024 | | |
Series 2023D, GO, 5.00%, 7/1/2025 | | |
Series 2017D, GO, 5.00%, 11/1/2025 | | |
| | |
Series 2017 A, GO, 5.00%, 12/1/2026 | | |
Series 2024B, GO, 5.00%, 5/1/2027 | | |
Series 2018 A, GO, 5.00%, 10/1/2027 | | |
Series 2022A, GO, 5.00%, 3/1/2029 | | |
Series 2018B, GO, 5.00%, 10/1/2029 | | |
| | |
Series 2020B, GO, 4.00%, 10/1/2033 | | |
Series 2018A, GO, 5.00%, 10/1/2033 | | |
Series 2024B, GO, 5.00%, 5/1/2037 | | |
Series 2024B, GO, 5.00%, 5/1/2038 | | |
Series 2024 B, GO, 5.00%, 5/1/2040 | | |
Series 2023B, GO, 5.50%, 5/1/2047 | | |
Series 2023B, GO, 4.50%, 5/1/2048 | | |
University of Illinois, Auxiliary Facilities System Series 2021A, Rev., 5.00%, 4/1/2029 | | |
Village of Bolingbrook Series 2018A, GO, AGM, 5.00%, 1/1/2033 | | |
Village of Wilmette Series 2020B, GO, 5.00%, 12/1/2026 | | |
Will County School District No. 86 Joliet Series 2024, GO, 5.00%, 3/1/2043 | | |
| | |
|
City of Goshen, Multi-Family, Green Oaks of Goshen Project Series 2021A, Rev., 5.00%, 8/1/2041 (e) | | |
City of Valparaiso, Green Oaks of Valparaiso Project Rev., 5.38%, 12/1/2041 (e) | | |
Franklin Township-Marion County Multiple School Building Corp., Valorem Property Tax First Mortgage | | |
Series 2024, Rev., 5.00%, 7/15/2035 | | |
Series 2024, Rev., 5.00%, 7/15/2036 | | |
Series 2024, Rev., 5.00%, 7/15/2037 | | |
Series 2024, Rev., 5.00%, 7/15/2040 | | |
Greater Clark County School Building Corp. Series 2024A, Rev., 5.00%, 1/15/2027 | | |
Indiana Finance Authority Series 2016C, Rev., 5.00%, 12/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Indiana Finance Authority, CHF- Tippecanoe LLC- Student Housing Project | | |
Series 2023A, Rev., 5.00%, 6/1/2038 | | |
Series 2023A, Rev., 5.00%, 6/1/2043 | | |
Series 2023A, Rev., 5.00%, 6/1/2053 | | |
Indiana Finance Authority, Franciscan Alliance, Inc., Obligated Group Series 2017C, Rev., 4.00%, 11/1/2034 | | |
Indiana Finance Authority, Rose-Hulman Institute of Technology Project Rev., 5.00%, 6/1/2030 | | |
Indiana Housing and Community Development Authority, Vita of New Whiteland Project Rev., 6.75%, 1/1/2043 | | |
Indiana State University, Housing and Dining System Rev., 5.00%, 4/1/2031 | | |
Indianapolis Local Public Improvement Bond Bank Series 2021A, Rev., AGM, 4.00%, 6/1/2037 | | |
Perry Township Multi School Building Corp., Ad Valorem Property Tax First Mortgage Rev., 5.00%, 7/15/2025 | | |
Vinton-Tecumseh School Building Corp., Ad Valorem Property Tax | | |
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Cedar Rapids Community School District Infrastructure Sales Services and Use Tax | | |
Series 2023, Rev., AGM, 5.00%, 7/1/2035 | | |
Series 2023, Rev., AGM, 5.00%, 7/1/2036 | | |
Des Moines Independent Community School District, Sales Services and Use Tax Rev., 5.00%, 6/1/2028 | | |
Iowa Finance Authority, State Revolving Fund Rev., 5.00%, 8/1/2027 | | |
Iowa Great Lakes Sanitation District | | |
| | |
| | |
Iowa Student Loan Liquidity Corp., Student Loan | | |
Series 2023B, Rev., AMT, 5.00%, 12/1/2026 | | |
| | |
|
|
Series 2023B, Rev., AMT, 5.00%, 12/1/2027 | | |
Iowa Tobacco Settlement Authority, Subordinate Senior Capital Appreciation Asset Backed Series 2021-B-2, Class 2, Rev., Zero Coupon, 6/1/2065 | | |
| | |
|
City of Topeka, Kansas Health Care Facilities Series 2022A, Rev., 5.75%, 12/1/2033 | | |
Johnson County Community College Foundation, Inc. COP, 5.00%, 10/1/2024 | | |
Johnson County Water District No. 1 Series 2017A, Rev., 5.00%, 1/1/2025 | | |
Kansas Development Finance Authority, AdventHealth Series 2021B, Rev., 5.00%, 11/15/2031 (c) | | |
State of Kansas Department of Transportation Series 2024A, Rev., 5.00%, 9/1/2035 | | |
University of Kansas Hospital Authority, Health System Rev., VRDO, LOC : US Bank NA, 3.90%, 9/3/2024 (c) | | |
| | |
|
County of Boone, Duke Energy Kentucky, Inc. Series 2008A, Rev., 3.70%, 8/1/2027 | | |
County of Knott, Solid Waste Water Project Series 2024, Rev., AMT, 4.00%, 4/1/2025 (c) (e) | | |
Kentucky Economic Development Finance Authority, Baptist Healthcare System Obligated Group Series 2017B, Rev., 5.00%, 8/15/2029 | | |
Kentucky Public Energy Authority | | |
Series 2023 A-1, Rev., 5.25%, 2/1/2032 (c) | | |
Series 2024B, Rev., 5.00%, 8/1/2032 (c) | | |
Louisville and Jefferson County Metropolitan Government, Norton Healthcare, Inc. Series 2016A, Rev., 4.00%, 10/1/2036 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
University of Kentucky, General Receipts Series 2015A, Rev., 4.00%, 4/1/2038 | | |
University of Kentucky, Healthcare Cancer Center Parking Projects Rev., 5.00%, 10/1/2029 (d) | | |
| | |
|
Louisiana Local Government Environmental Facilities and Community Development Authority, Calcasieu Parish Projects Rev., 5.00%, 12/1/2030 | | |
Parish of St. John the Baptist, Marathon Oil Corp., Project Series 2017A-1, Rev., 4.05%, 7/1/2026 (c) | | |
State of Louisiana Series 2016-B, GO, 4.00%, 8/1/2026 | | |
State of Louisiana Gasoline and Fuels Tax Series A, Rev., 4.50%, 5/1/2025 (b) | | |
State of Louisiana Gasoline and Fuels Tax, Second Lien Series 2023A-1, Rev., VRDO, LOC : TD Bank NA, 3.80%, 9/3/2024 (c) | | |
| | |
|
Maine Health and Higher Educational Facilities Authority | | |
Series 2024 A, Rev., AGC, 5.00%, 7/1/2028 (d) | | |
Series 2024 A, Rev., AGC, 5.00%, 7/1/2041 (d) | | |
Series 2024 A, Rev., AGC, 5.00%, 7/1/2042 (d) | | |
Series 2024 A, Rev., AGC, 5.00%, 7/1/2043 (d) | | |
Series 2024 A, Rev., AGC, 5.00%, 7/1/2044 (d) | | |
Maine Health and Higher Educational Facilities Authority, Mainehealth Series 2023A, Rev., AGM, 5.00%, 7/1/2038 | | |
Maine Municipal Bond Bank Series C, Rev., 5.00%, 11/1/2024 | | |
Maine Turnpike Authority Rev., 4.00%, 7/1/2040 | | |
| | |
|
County of Anne Arundel Series 2022, GO, 5.00%, 10/1/2035 | | |
| | |
|
|
County of Baltimore, Consolidated Public Improvement Series 2020, GO, 5.00%, 3/1/2025 | | |
County of St. Mary's, Public Improvement GO, 4.00%, 7/15/2027 | | |
Maryland Health and Higher Educational Facilities Authority, Pooled Loan Program Series 1985B, Rev., VRDO, LOC : TD Bank NA, 2.85%, 9/12/2024 (c) | | |
State of Maryland, Department of Transportation Rev., 5.00%, 9/1/2026 | | |
State of Maryland, State and Local Facilities Loan of 2017 Series 2017A, GO, 5.00%, 8/1/2025 | | |
State of Maryland, State and Local Facilities Loan of 2022 Series 2022A, GO, 5.00%, 6/1/2033 | | |
Town of Ocean City Series 2023, GO, 4.00%, 1/15/2043 | | |
| | |
|
Commonwealth of Massachusetts | | |
Series 2024 A, GO, 5.00%, 3/1/2041 | | |
Series 2020 E, GO, 5.00%, 11/1/2050 | | |
Series 2023 D, GO, 5.00%, 10/1/2051 | | |
Massachusetts Development Finance Agency, Boston Medical Center Issue | | |
Series 2023G, Rev., 5.00%, 7/1/2029 | | |
Series 2023G, Rev., 4.38%, 7/1/2052 | | |
Series 2023G, Rev., 5.25%, 7/1/2052 | | |
Massachusetts State College Building Authority Series 2017D, Rev., 5.00%, 5/1/2027 | | |
Town of Hopkinton, Municipal Purpose Loan GO, 5.00%, 11/15/2024 | | |
| | |
|
Berrien Springs Public Schools, School Building and Site, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2030 | | |
| | |
| | |
| | |
City of Detroit, Unlimited Tax | | |
Series 2023C, GO, 6.00%, 5/1/2043 | | |
Series 2021A, GO, 5.00%, 4/1/2046 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
| | |
Series 2023, GO, 5.00%, 5/1/2041 | | |
Series 2023, GO, 5.00%, 5/1/2042 | | |
Detroit Downtown Development Authority, Catalyst Development Project Series 2024, Rev., 5.00%, 7/1/2048 | | |
Grand Traverse County Hospital Finance Authority, Munson Healthcare Obligated Group Rev., 5.00%, 7/1/2026 | | |
Great Lakes Water Authority Sewage Disposal System, Second Lien Series 2023A, Rev., 5.00%, 7/1/2038 | | |
Lansing Board of Water and Light Series 2024 A, Rev., 5.00%, 7/1/2049 | | |
Michigan Finance Authority, Trinity Health Credit Group Series 2022B, Rev., 5.00%, 12/1/2028 (c) | | |
State of Michigan Trunk Line Series 2021A, Rev., 4.00%, 11/15/2036 | | |
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|
City of Mankato Series 2022B, GO, 5.00%, 2/1/2027 | | |
City of Minneapolis, Health Care System, Fairview Health Services Series 2018A, Rev., 5.00%, 11/15/2033 | | |
County of Hennepin Series 2023 A, GO, 5.00%, 12/1/2034 | | |
Metropolitan Council, Minneapolis St. Paul Metropolitan Area Series 2023C, GO, 4.00%, 3/1/2041 | | |
Minnesota Housing Finance Agency Series 2023F, Rev., GNMA / FNMA / FHLMC, 5.75%, 7/1/2053 | | |
Minnesota Housing Finance Agency, Residential Housing Series 2024 O, Rev., GNMA / FNMA / FHLMC, 6.25%, 1/1/2055 | | |
Minnesota Municipal Gas Agency Subseries, 2022A, Rev., LIQ : Royal Bank of Canada, 4.00%, 6/1/2027 | | |
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|
Mississippi Development Bank, Ranking County Project Rev., 5.00%, 3/1/2026 | | |
| | |
|
|
Mississippi State University Educational Building Corp., New Facilities and Refinancing Project Rev., 5.00%, 8/1/2025 | | |
State of Mississippi Series 2016B, GO, 5.00%, 12/1/2025 | | |
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|
City of Excelsior Springs Series 2020B, COP, 4.00%, 3/1/2030 | | |
City of Springfield Public Utility Series 2015, Rev., 4.00%, 8/1/2035 | | |
Health and Educational Facilities Authority of the State of Missouri Series 2021 C, Rev., 5.00%, 5/1/2028 (c) | | |
Health and Educational Facilities Authority of the State of Missouri, Lutheran Senior Services Projects Series 2016A, Rev., 5.00%, 2/1/2036 | | |
Health and Educational Facilities Authority of the State of Missouri, Mercy Health Series 2018A, Rev., 5.00%, 6/1/2028 | | |
Health and Educational Facilities Authority of the State of Missouri, St. Luke's Episcopal-Presbyterian Hospitals Series 2015B, Rev., 5.00%, 12/1/2026 | | |
Health and Educational Facilities Authority of the State of Missouri, Wright Memorial Hospital Rev., 5.00%, 9/1/2026 | | |
Kansas City Industrial Development Authority Series 2020 B, Rev., 5.00%, 3/1/2025 | | |
Metropolitan St. Louis Sewer District, Wastewater System Improvement Series 2017A, Rev., 5.00%, 5/1/2027 | | |
Missouri Housing Development Commission, Single Family, First Place Homeownership Loan Program Series 2024 A, Rev., GNMA / FNMA / FHLMC, 5.75%, 5/1/2055 | | |
Springfield School District No. R-12 GO, 4.00%, 3/1/2042 | | |
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|
Yellowstone and Carbon Counties School District No. 7-70 Laurel Series 2023, GO, 5.00%, 7/1/2039 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Central Plains Energy Project, Gas Project No. 3 Series 2017A, Rev., 5.00%, 9/1/2030 | | |
Central Plains Energy Project, Gas Project No. 5 Series 2022-1, Rev., 5.00%, 10/1/2029 (c) | | |
City of Lincoln, Electric System | | |
| | |
| | |
Nebraska Educational Health Cultural and Social Services Finance Authority, Immanuel Retirement Communities Obligated Group Series 2019 A, Rev., 4.00%, 1/1/2035 | | |
Omaha Public Power District, Electric System | | |
Series 2016A, Rev., 5.00%, 2/1/2026 | | |
Series 2016A, Rev., 5.00%, 2/1/2027 | | |
Series 2016A, Rev., 5.00%, 2/1/2028 | | |
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|
Clark County School District, Limited Tax | | |
Series 2018A, GO, 5.00%, 6/15/2032 | | |
Series 2018A, GO, 4.00%, 6/15/2035 | | |
Clark County Water Reclamation District Series 2023, GO, 5.00%, 7/1/2043 | | |
County of Clark Department of Aviation, Jet Aviation Fuel tax Series 2022A, Rev., AMT, 5.00%, 7/1/2026 | | |
County of Clark, Limited Tax Series 2018B, GO, 5.00%, 12/1/2027 | | |
County of Clark, Passenger Facility Charge, Las Vegas-McCarran International Airport Passenger Facility Series 2019E, Rev., 5.00%, 7/1/2033 | | |
Nye County School District Series 2023, GO, PSF-GTD, 5.00%, 5/1/2036 | | |
Truckee Meadows Water Authority Rev., 5.00%, 7/1/2029 | | |
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|
New Hampshire Business Finance Authority, Tamarron Project Series 2024, Rev., 5.25%, 12/1/2035 (e) | | |
New Hampshire Business Finance Authority, University of Nevada Reno Project | | |
Series 2023A, Rev., 5.00%, 12/1/2036 | | |
Series 2023A, Rev., 5.00%, 12/1/2037 | | |
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|
New Hampshire — continued |
Series 2023A, Rev., 5.00%, 12/1/2038 | | |
Series 2023A, Rev., 5.25%, 12/1/2039 | | |
Series 2023A, Rev., 5.25%, 6/1/2051 | | |
Series 2023A, Rev., 4.50%, 6/1/2053 | | |
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|
Casino Reinvestment Development Authority, Inc., Luxury Tax | | |
Series 2024A, Rev., AGC, 5.00%, 11/1/2025 (d) | | |
Series 2024B, Rev., AGC, 5.00%, 11/1/2025 (d) | | |
Series 2024A, Rev., AGC, 5.00%, 11/1/2026 (d) | | |
Series 2024B, Rev., AGC, 5.00%, 11/1/2026 (d) | | |
Series 2024A, Rev., AGC, 5.00%, 11/1/2028 (d) | | |
Jersey City Municipal Utilities Authority Series 2024 B, Rev., GTD, 5.00%, 5/1/2025 | | |
New Jersey Economic Development Authority, School Facilities Construction Series 2024SSS, Rev., 5.00%, 6/15/2026 | | |
New Jersey Transportation Trust Fund Authority, Transportation Program Series 2023 BB, Rev., 5.25%, 6/15/2050 | | |
New Jersey Transportation Trust Fund Authority, Transportation System | | |
Series 2018A, Rev., 4.00%, 12/15/2031 | | |
Series 2018A, Rev., 5.00%, 12/15/2033 | | |
New Jersey Turnpike Authority Series 2022B, Rev., 5.00%, 1/1/2042 | | |
Tobacco Settlement Financing Corp. | | |
Series 2018 A, Rev., 5.00%, 6/1/2033 | | |
Series 2018 A, Rev., 5.00%, 6/1/2034 | | |
Series 2018 A, Rev., 5.00%, 6/1/2036 | | |
Series 2018A, Rev., 4.00%, 6/1/2037 | | |
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|
Albuquerque Municipal School District No. 12 | | |
Series 2024, GO, 5.00%, 8/1/2036 | | |
Series 2024, GO, 5.00%, 8/1/2037 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
City of Albuquerque Series 2015A, Rev., 5.00%, 7/1/2026 | | |
City of Farmington, San Juan Project Series 2010 C, Rev., 3.88%, 6/1/2029 (c) | | |
Loving Municipal School District No. 10 Series 2023, GO, 5.00%, 9/15/2024 | | |
New Mexico Finance Authority, State Transportation, Subordinate Lien Series 2018A, Rev., 5.00%, 6/15/2027 | | |
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Build NYC Resource Corp., Kipp NYC Public School Facilities - Canal West Project | | |
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Camden Central School District GO, BAN, 4.50%, 6/26/2025 | | |
Chautauqua Tobacco Asset Securitization Corp. Series 2014, Rev., 5.00%, 6/1/2048 | | |
City of New York, Fiscal Year 2018 | | |
Series B-4, GO, VRDO, LIQ : Barclays Bank plc, 2.50%, 9/3/2024 (c) | | |
Series 2018E, GO, VRDO, LOC : TD Bank NA, 2.55%, 9/3/2024 (c) | | |
Series 2018F-1, GO, 5.00%, 4/1/2033 | | |
City of New York, Fiscal Year 2019 Series 2019E, GO, 5.00%, 8/1/2033 | | |
City of New York, Fiscal Year 2021 | | |
Series 2021A-1, GO, 5.00%, 8/1/2031 | | |
Series 2021-1, GO, 5.00%, 4/1/2033 | | |
Series 2021F, Subseries F-1, GO, 5.00%, 3/1/2037 | | |
City of New York, Fiscal Year 2022 Series 2022B,Subseries B-1, GO, 5.00%, 8/1/2033 | | |
City of New York, Fiscal Year 2023 Series 2023E, Subseries E-1, GO, 4.00%, 4/1/2050 | | |
City of New York, Fiscal Year 2024 Series 2024A, GO, 4.13%, 8/1/2053 | | |
City of Oneida GO, BAN, 4.50%, 3/28/2025 | | |
Dryden Central School District GO, BAN, 4.50%, 6/25/2025 | | |
Gloversville Enlarged School District GO, BAN, 4.50%, 6/26/2025 | | |
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|
Long Island Power Authority, Electric System | | |
Series 2024B, Rev., 3.00%, 9/1/2029 (c) | | |
Series 2024B, Rev., 3.00%, 9/1/2031 (c) | | |
Series 2024A, Rev., 5.00%, 9/1/2049 | | |
Malone Central School District GO, BAN, 4.50%, 6/26/2025 | | |
Metropolitan Transportation Authority Series 2015 E-1, Rev., VRDO, LOC : Barclays Bank plc, 3.90%, 9/3/2024 (c) | | |
Mount Markham Central School District, Unlimited Tax GO, BAN, 4.50%, 6/25/2025 | | |
New York City Municipal Water Finance Authority Series 2024, Subseries CC-1, Rev., 5.25%, 6/15/2054 | | |
New York City Municipal Water Finance Authority, Second Generation, Fiscal Year 2015 Series 2015 GG, Rev., 5.00%, 6/15/2039 | | |
New York City Municipal Water Finance Authority, Second Generation, Fiscal Year 2024 Series 2024, Subseries BB-1, Rev., 5.25%, 6/15/2047 | | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution Series DD-1, Rev., VRDO, LIQ : TD Bank NA, 3.80%, 9/3/2024 (c) | | |
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 | | |
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, 3.90%, 9/3/2024 (c) | | |
Series 2023, Subseries AA-3, Rev., 5.00%, 6/15/2047 | | |
Series 2023AA Subseries AA-1, Rev., 5.25%, 6/15/2052 | | |
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 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
New York City Transitional Finance Authority Building Aid, Subordinate Series 2019 S-2A, Rev., 5.00%, 7/15/2025 (b) | | |
New York City Transitional Finance Authority Building Aid, Subordinate, Fiscal Year 2020 Series 2020S1, Subseries S-1B, Rev., 4.00%, 7/15/2042 | | |
New York City Transitional Finance Authority Future Tax Secured Series 2018 B-1, Rev., 4.00%, 8/1/2042 | | |
New York City Transitional Finance Authority, Building Aid, Fiscal Year 2018 Series 2018S-4A, Rev., 5.00%, 7/15/2033 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2014 Series D-3, Rev., VRDO, LIQ : Mizuho Bank Ltd., 3.85%, 9/3/2024 (c) | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2020 Series 2020A, Subseries A-2, Rev., 5.00%, 5/1/2039 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2021 Series 2021C, Subseries C-1, Rev., 4.00%, 5/1/2035 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2022 Series 2022B, Subseries B-1, Rev., 4.00%, 8/1/2045 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2023 Series 2023F, Subseries F-1, Rev., 4.00%, 2/1/2051 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2024 | | |
Series 2024C, Rev., 5.25%, 5/1/2048 | | |
Series 2024C, Rev., 5.00%, 5/1/2053 | | |
Series 2024F, Subseries F-1, Rev., 4.25%, 2/1/2054 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2025 Series 2025A, Subseries A-1, Rev., 5.00%, 11/1/2029 | | |
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2022 Series 2022F, SubseriesF-1, Rev., 5.00%, 2/1/2036 | | |
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New York Power Authority, Green Transmission Project | | |
Series 2023 A, Rev., AGM, 5.00%, 11/15/2053 | | |
Series 2023 A, Rev., AGM, 5.13%, 11/15/2058 | | |
New York State Dormitory Authority | | |
Series 2024A, Rev., AGM, 5.00%, 10/1/2025 | | |
Series 2024A, Rev., AGM, 5.00%, 10/1/2026 | | |
Series 2024 D, Rev., 5.00%, 10/1/2035 | | |
Series 2024A, Rev., AGM, 5.00%, 10/1/2037 | | |
Series 2024A, Rev., 5.50%, 7/1/2054 | | |
New York State Dormitory Authority, Cornell University Series 2019D, Rev., 5.00%, 7/1/2033 | | |
New York State Dormitory Authority, Northwell Health Obligated Group Series 2019A, Rev., 5.00%, 5/1/2029 | | |
New York State Dormitory Authority, Pace University | | |
Series 2024 A, Rev., 5.25%, 5/1/2032 | | |
Series 2024 A, Rev., 5.25%, 5/1/2036 | | |
Series 2024 A, Rev., 5.25%, 5/1/2041 | | |
Series 2024 A, Rev., 5.25%, 5/1/2042 | | |
New York State Dormitory Authority, Personal Income Tax | | |
Series 2019D, Rev., 5.00%, 2/15/2034 | | |
Series 2015B, Rev., 5.00%, 2/15/2035 | | |
Series 2021A, Rev., 4.00%, 3/15/2037 | | |
New York State Dormitory Authority, Sales Tax Series 2024A, Rev., AGM, 5.00%, 10/1/2027 | | |
New York State Dormitory Authority, State Personal Income Tax, General Purpose | | |
Series 2021 E, Rev., 4.00%, 3/15/2040 | | |
Series 2021 E, Rev., 4.00%, 3/15/2042 | | |
New York State Housing Finance Agency, 160 Madison Avenue LLC Series 2013A, Rev., VRDO, LOC : Landesbank Hessen-Thuringen Girozentrale, 3.60%, 9/3/2024 (c) | | |
New York State Urban Development Corp., State Personal Income Tax, General Purpose Series 2020A, Rev., 4.00%, 3/15/2045 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
New York State Urban Development Corp., State Sales Tax Series 2021A, Rev., 4.00%, 3/15/2046 | | |
New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project | | |
Series 2018, Rev., AMT, 5.00%, 1/1/2025 | | |
Series 2018, Rev., AMT, 5.00%, 1/1/2030 | | |
Series 2018, Rev., AMT, 5.00%, 1/1/2031 | | |
Rev., AMT, 5.00%, 1/1/2034 | | |
Series 2023, Rev., AMT, 6.00%, 4/1/2035 | | |
Series 2023, Rev., AMT, 5.63%, 4/1/2040 | | |
New York Transportation Development Corp., JFK International Airport New Terminal One Project Series 2023, Rev., AMT, AGM, 5.00%, 6/30/2049 | | |
New York Transportation Development Corp., John F. Kennedy International Airport New Terminal One Project | | |
Series 2024, Rev., AMT, AGM, 5.25%, 6/30/2039 | | |
Series 2024, Rev., AMT, AGM, 5.00%, 6/30/2049 | | |
Northeastern Clinton Central School District GO, BAN, 4.50%, 6/26/2025 | | |
Port Authority of New York and New Jersey, Consolidated | | |
Series 214, Rev., AMT, 5.00%, 9/1/2036 | | |
Series 223, Rev., AMT, 4.00%, 7/15/2037 | | |
Series 244, Rev., 5.00%, 7/15/2040 | | |
Series 244, Rev., 5.00%, 7/15/2041 | | |
Smithtown Central School District | | |
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Stillwater Central School District GO, BAN, 4.50%, 6/27/2025 | | |
Suffolk Regional Off-Track Betting Co. Series 2024, Rev., 5.75%, 12/1/2044 | | |
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Syracuse Industrial Development Agency, Syracuse City School District Project Series 2020A, Rev., 4.00%, 5/1/2036 | | |
Thousand Islands Central School District GO, BAN, 4.25%, 6/27/2025 | | |
Town of Stony Point GO, 5.00%, 8/15/2027 | | |
Triborough Bridge and Tunnel Authority Series 2024B, Subseries B-1, Rev., 5.25%, 5/15/2054 | | |
Triborough Bridge and Tunnel Authority Sales Tax, TBTA Capital Lockbox Series 2023A, Rev., 4.13%, 5/15/2053 | | |
Triborough Bridge and Tunnel Authority, Payroll Mobility Tax | | |
Series 2024C, Rev., 5.00%, 11/15/2035 | | |
Series 2022D-1A, Rev., 5.00%, 11/15/2037 | | |
Westchester County Local Development Corp., Kendal on Hudson Project Series 2022B, Rev., 5.00%, 1/1/2032 | | |
Westchester County Local Development Corp., Purchase Senior Learning Community, Inc., Project Series 2021 A, Rev., 5.00%, 7/1/2056 (e) | | |
Yonkers Industrial Development Agency, New Community School Project Rev., 5.00%, 5/1/2042 | | |
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City of Asheville Water System Series 2024, Rev., 5.00%, 8/1/2042 (d) | | |
City of Charlotte Series 2023B, Rev., AMT, 5.00%, 7/1/2048 | | |
City of Charlotte, North Carolina Government Facilities | | |
Series 2023B, COP, 5.00%, 6/1/2026 | | |
Series 2023B, COP, 5.00%, 6/1/2027 | | |
County of Davidson GO, 5.00%, 6/1/2027 | | |
County of Johnston Water and Sewer System | | |
Series 2024, Rev., 5.00%, 4/1/2044 | | |
Series 2024, Rev., 4.00%, 4/1/2054 | | |
Fayetteville State University, Student Housing Project Series 2021, Rev., AGM, 5.00%, 4/1/2037 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
North Carolina — continued |
North Carolina Housing Finance Agency, Homeownership | | |
Series 52-C, Rev., VRDO, GNMA / FNMA / FHLMC, LIQ : TD Bank NA, 3.80%, 9/3/2024 (c) | | |
Series 53-A, Rev., GNMA / FNMA / FHLMC, 6.25%, 1/1/2055 | | |
Town of Fuquay-Varina Combined Utilities | | |
Series 2024B, Rev., 5.00%, 2/1/2035 | | |
Series 2024B, Rev., 5.00%, 2/1/2037 | | |
Series 2024B, Rev., 5.00%, 2/1/2041 | | |
University of North Carolina, Hospital at Chapel Hill Series A, Rev., VRDO, LIQ : TD Bank NA, 2.55%, 9/3/2024 (c) | | |
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North Dakota Housing Finance Agency, Home Mortgage Finance Program | | |
Series 2017H, Rev., VRDO, LIQ : Royal Bank of Canada, 2.87%, 9/12/2024 (c) | | |
Series 2023A, Rev., 5.75%, 7/1/2053 | | |
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Buckeye Tobacco Settlement Financing Authority | | |
Series 2020A-2, Rev., 5.00%, 6/1/2030 | | |
Series 2020A-2, Rev., 5.00%, 6/1/2031 | | |
Series 2020B-2, Rev., 5.00%, 6/1/2055 | | |
Series 2020B-3, Rev., Zero Coupon, 6/1/2057 | | |
City of Cleveland Series 2022A, GO, 5.00%, 12/1/2035 | | |
County of Franklin, Ohio Hospital Facilities Series 2009A, Rev., VRDO, LIQ : Barclays Bank plc, 2.77%, 9/12/2024 (c) | | |
County of Hamilton, Metropolotan Sewer district of Greater Cincinnati | | |
Series 2024 A, Rev., 5.00%, 12/1/2039 | | |
Series 2024 A, Rev., 5.00%, 12/1/2041 | | |
Series 2024 A, Rev., 5.00%, 12/1/2043 | | |
County of Summit, Various Purpose Improvement Series 2022, GO, 5.00%, 12/1/2031 | | |
Jefferson County Port Authority, JSW Steel USA Ohio, Inc., Project Series 2023, Rev., 5.00%, 12/1/2028 (c) (e) | | |
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North Ridgeville City School District | | |
Series 2024, GO, 5.25%, 12/1/2054 | | |
Series 2024, GO, 4.50%, 12/1/2061 | | |
Northeast Ohio Medical University Series 2022, Rev., 5.00%, 12/1/2035 | | |
Ohio Air Quality Development Authority, Duke Energy Corp. | | |
Series 2022B, Rev., 4.00%, 6/1/2027 (c) | | |
Series 2022A, Rev., AMT, 4.25%, 6/1/2027 (c) | | |
Ohio Higher Educational Facility Commission, Cleveland Clinic Health System Series 2008-B4, Rev., VRDO, LIQ : Barclays Bank plc, 2.45%, 9/3/2024 (c) | | |
Ohio Higher Educational Facility Commission, Denison University 2017 Project Series 2017A, Rev., 5.00%, 11/1/2025 | | |
Ohio Housing Finance Agency, Mortgage- Backed Securities Program Series 2023 B, Rev., GNMA / FNMA / FHLMC COLL, 6.00%, 3/1/2055 | | |
Ohio State University (The), General Receipts Series 2023A-2, Rev., VRDO, 2.90%, 9/12/2024 (c) | | |
Ohio Turnpike and Infrastructure Commission, Junior Lien Series 2018A, Rev., 5.00%, 2/15/2027 | | |
Ohio Water Development Authority | | |
Series 2016B, Rev., 5.00%, 6/1/2026 | | |
Series 2023A, Rev., 5.00%, 12/1/2036 | | |
Ohio Water Development Authority, Drinking Water Assistance Series 2024 A, Rev., 5.00%, 12/1/2041 | | |
Ohio Water Development Authority, Water Pollution Control Loan Fund | | |
Series 2017A, Rev., 5.00%, 12/1/2026 | | |
Series 2020 A, Rev., 5.00%, 12/1/2050 | | |
Port of Greater Cincinnati Development Authority, Duke Energy Convention Center Project | | |
Series 2024B, Rev., 5.00%, 12/1/2037 | | |
Series 2024B, Rev., 5.00%, 12/1/2038 | | |
Series 2024B, Rev., 5.00%, 12/1/2039 | | |
Series 2024B, Rev., 5.00%, 12/1/2063 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
State of Ohio, Capital Facilities Lease Appropriation, Administrative Building Fund Projects, Tax Exempt Series 2018A, Rev., 5.00%, 10/1/2034 | | |
State of Ohio, Children's Hospital Medical Center of Akron Series 2024 B, Rev., 5.00%, 8/15/2032 (c) | | |
State of Ohio, Common School Series 2021B, GO, 5.00%, 9/15/2031 | | |
State of Ohio, Natural Resources Series 2017V, GO, 5.00%, 10/1/2027 | | |
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|
Oklahoma Development Finance Authority Health System, OU Medicine Project Series 2018 B, Rev., 5.25%, 8/15/2048 | | |
Oklahoma Industries Authority, Oklahoma County Independent School District No. 89 Oklahoma City Series 2024, Rev., 5.00%, 4/1/2032 | | |
Oklahoma Water Resources Board, State Loan Program | | |
Series 2024 A, Rev., 5.00%, 10/1/2037 | | |
Series 2024B, Rev., 5.00%, 10/1/2037 | | |
Series 2024B, Rev., 5.00%, 10/1/2039 | | |
Series 2023A, Rev., 4.00%, 10/1/2043 | | |
Series 2024B, Rev., 5.25%, 10/1/2044 | | |
University of Oklahoma (The) | | |
Series 2024A, Rev., 5.00%, 7/1/2038 | | |
Series 2024A, Rev., 5.00%, 7/1/2041 | | |
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|
Multnomah and Clackamas Counties School District No. 10JT Gresham-Barlow Series B, GO, Zero Coupon, 6/15/2035 | | |
Salem Hospital Facility Authority, Multi Model, Salem Health Project Series 2019A, Rev., 5.00%, 5/15/2028 | | |
Tri-County Metropolitan Transportation District of Oregon, Senior Lien Payroll Tax | | |
Series 2018A, Rev., 5.00%, 9/1/2027 (b) | | |
Series 2021A, Rev., 5.00%, 9/1/2035 | | |
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Union County Hospital Facility Authority, Grande Ronde Hospital, Inc. | | |
Series 2022, Rev., 5.00%, 7/1/2026 | | |
Series 2022, Rev., 5.00%, 7/1/2028 | | |
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Allegheny County Airport Authority, Pittsburgh International Airport | | |
Series 2023A, Rev., AMT, AGM, 5.50%, 1/1/2048 | | |
Series 2023A, Rev., AMT, AGM, 5.50%, 1/1/2053 | | |
Allegheny County Higher Education Building Authority, Carnegie Mellon University Series 2008A, Rev., VRDO, LIQ : Bank of New York Mellon (The), 3.80%, 9/3/2024 (c) | | |
Allegheny County Higher Education Building Authority, University Refunding Duquesne University Series 2024, Rev., 5.00%, 3/1/2043 | | |
Bucks County Water and Sewer Authority | | |
Series 2022A, Rev., AGM, 5.00%, 12/1/2032 | | |
Series 2022A, Rev., AGM, 5.00%, 12/1/2033 | | |
Series 2022A, Rev., AGM, 5.00%, 12/1/2036 | | |
City of Philadelphia, Airport System Series 2017B, Rev., AMT, 5.00%, 7/1/2035 | | |
Commonwealth Financing Authority, Tobacco Master Settlement Payment Rev., 5.00%, 6/1/2035 | | |
| | |
Series 2024, GO, 5.00%, 8/1/2040 | | |
Series 2024, GO, 5.00%, 8/1/2041 | | |
County of Lehigh, Lehigh Valley Health Network Hospital Series 2016A, Rev., 4.00%, 7/1/2035 | | |
Delaware Valley Regional Finance Authority, Local Government Series 2022D, Rev., 4.00%, 3/1/2029 | | |
Geisinger Authority, Health System Series 2020B, Rev., 5.00%, 2/15/2027 (c) | | |
Montgomery County Higher Education and Health Authority, Thomas Jefferson University | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Series 2018A, Rev., 4.00%, 9/1/2038 | | |
Montgomery County Industrial Development Authority, Constellation Energy Generation Series 2023A, Rev., 4.10%, 4/3/2028 (c) | | |
Pennsylvania Economic Development Financing Authority, Junior Guaranteed, Capitol Region Parking System Series 2024 B, Rev., GTD, 4.25%, 1/1/2050 | | |
Pennsylvania Economic Development Financing Authority, Senior Insured, Capitol Region Parking System Series 2024 A, Rev., AGM, 4.00%, 1/1/2042 | | |
Pennsylvania Economic Development Financing Authority, The Penndot Major Bridges Rev., AMT, AGM, 5.00%, 12/31/2057 | | |
Pennsylvania Economic Development Financing Authority, Waste Management, Inc. Project Series 2021A-2, Rev., 4.60%, 10/1/2026 (c) | | |
Pennsylvania Housing Finance Agency Series 2024-145A, Rev., 6.00%, 10/1/2054 | | |
Pennsylvania Housing Finance Agency, Single Family Mortgage Series 2023-141A, Rev., 5.75%, 10/1/2053 | | |
Pennsylvania Turnpike Commission | | |
Series A-1, Rev., 5.00%, 12/1/2029 | | |
Series A-1, Rev., 5.00%, 12/1/2031 | | |
Series 2016B, Rev., 4.00%, 6/1/2033 | | |
Series 2022A, Rev., 5.00%, 12/1/2033 | | |
Series 2022B, Rev., 5.25%, 12/1/2041 | | |
Series 2024, Rev., 5.00%, 12/1/2044 (d) | | |
Pennsylvania Turnpike Commission, Subordinate Series 2023-1, Rev., 5.00%, 12/1/2036 | | |
Philadelphia Authority for Industrial Development, Holy Family University Project Rev., 5.00%, 9/1/2027 | | |
Philadelphia Energy Authority (The), Philadelphia Street Lighting Project | | |
Series 2023A, Rev., 5.00%, 11/1/2037 | | |
Series 2023A, Rev., 5.00%, 11/1/2038 | | |
Series 2023A, Rev., 5.00%, 11/1/2041 | | |
Sports and Exhibition Authority of Pittsburgh and Allegheny County Rev., AGM, 4.00%, 2/1/2025 | | |
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Swarthmore Borough Authority Series 2023, Rev., 5.00%, 9/15/2053 | | |
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Puerto Rico Sales Tax Financing Corp. Sales Tax (Puerto Rico) | | |
Series A-1, Rev., Zero Coupon, 7/1/2027 | | |
Series A-1, Rev., Zero Coupon, 7/1/2046 | | |
Series A-2, Rev., 4.78%, 7/1/2058 | | |
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|
Rhode Island Health and Educational Building Corp., Brynt University Issue | | |
Series 2024, Rev., 5.00%, 6/1/2037 | | |
Series 2024, Rev., 5.00%, 6/1/2038 | | |
Series 2024, Rev., 5.00%, 6/1/2040 | | |
Rhode Island Health and Educational Building Corp., Lifespan Obligated Group | | |
Series 2024, Rev., 5.00%, 5/15/2036 | | |
Series 2024, Rev., 5.00%, 5/15/2038 | | |
Series 2024, Rev., 5.00%, 5/15/2042 | | |
Series 2024, Rev., 5.00%, 5/15/2043 | | |
State of Rhode Island and Providence Plantations Consolidated Capital Development Loan Series 2018A, GO, 5.00%, 4/1/2029 | | |
Tobacco Settlement Financing Corp. Series B, Rev., 5.00%, 6/1/2050 | | |
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Charleston County Airport District Rev., 5.00%, 7/1/2035 | | |
County of Dorchester, Waterworks and Sewer System Series 2023, Rev., 4.25%, 10/1/2048 | | |
Horry County School District Series 2015A, GO, SCSDE, 4.00%, 3/1/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
South Carolina — continued |
Patriots Energy Group Financing Agency Series 2023 Subseries B-1, Rev., 5.25%, 3/1/2031 (c) | | |
South Carolina Public Service Authority, Santee Cooper Series 2024 B, Rev., AGM, 5.00%, 12/1/2049 | | |
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South Dakota Housing Development Authority | | |
Series 2023J, Rev., GNMA / FNMA / FHLMC, 3.88%, 12/12/2024 (c) | | |
Series 2024C, Rev., GNMA / FNMA / FHLMC, 6.25%, 11/1/2055 (d) | | |
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Chattanooga Health Educational and Housing Facility Board, CommonSpirit Health Series 2019A-1, Rev., 4.00%, 8/1/2037 | | |
City of Clarksville Series 2021A, Rev., 4.00%, 2/1/2041 | | |
City of Knoxville, Wastewater System Series 2022B, Rev., 4.00%, 4/1/2045 | | |
City of Lenoir City, Electric System Series 2022, Rev., 5.00%, 6/1/2033 | | |
County of Coffee, Rural High School Series 2021A, GO, 5.00%, 6/1/2028 | | |
County of Sullivan GO, 5.00%, 5/1/2026 | | |
Knox County Health Educational and Housing Facility Board, University of Tennessee Project | | |
Series 2024A-1, Rev., 5.00%, 7/1/2037 | | |
Series 2024A-1, Rev., 5.00%, 7/1/2038 | | |
Series 2024A-1, Rev., 5.00%, 7/1/2039 | | |
Series 2024A-1, Rev., 5.25%, 7/1/2049 | | |
Memphis-Shelby County Airport Authority Series 2021A, Rev., AMT, 5.00%, 7/1/2045 | | |
Metropolitan Government Nashville and Davidson County, Health and Educational Facilities Board, Belmont University | | |
| | |
Series 2023, Rev., 5.00%, 5/1/2038 | | |
Metropolitan Government of Nashville and Davidson County | | |
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Series 2024 A, Rev., 5.00%, 5/15/2038 | | |
Series 2024 A, Rev., 5.25%, 5/15/2049 | | |
Metropolitan Nashville Airport Authority (The) | | |
Series 2022B, Rev., AMT, 5.25%, 7/1/2047 | | |
Series 2022B, Rev., AMT, 5.00%, 7/1/2052 | | |
Shelby County Health Educational and Housing Facilities Board, Baptism Memorial Health Obligated Group | | |
Series 2024B, Rev., 5.00%, 9/1/2029 (c) | | |
Series 2024 A, Rev., 5.25%, 9/1/2034 | | |
Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station Project | | |
Series 2019A, Rev., 5.00%, 10/1/2029 | | |
Series 2019A, Rev., 5.50%, 10/1/2034 | | |
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Series A, GO, 5.00%, 9/1/2024 (b) | | |
Series 2023A, GO, 5.00%, 5/1/2038 | | |
Tennessee Energy Acquisition Corp., Commodity Project Series 2021A, Rev., 5.00%, 11/1/2031 (c) | | |
Tennessee Energy Acquisition Corp., Gas Project Series 2023A-1, Rev., 5.00%, 5/1/2028 (c) | | |
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Aledo Independent School District, Unlimited Tax | | |
GO, PSF-GTD, 5.00%, 2/15/2042 | | |
GO, PSF-GTD, 5.00%, 2/15/2048 | | |
Arlington Higher Education Finance Corp., Trinity Basin Preparatory, Inc. | | |
Rev., PSF-GTD, 5.00%, 8/15/2026 | | |
Rev., PSF-GTD, 5.00%, 8/15/2027 | | |
Rev., PSF-GTD, 5.00%, 8/15/2028 | | |
Rev., PSF-GTD, 5.00%, 8/15/2029 | | |
Rev., PSF-GTD, 5.00%, 8/15/2030 | | |
Bell County Water Control and Improvement District No. 1 | | |
Series 2024, Rev., 5.00%, 7/10/2038 | | |
Series 2024, Rev., 5.00%, 7/10/2039 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Board of Regents of the University of Texas System Series 2008B, Rev., VRDO, LIQ : University of Texas Investment Management Co. (The), 2.80%, 9/12/2024 (c) | | |
Brushy Creek Regional Utility Authority, Inc., Brushy Creek Regional Water Treatment and Distribution Project Rev., 5.00%, 8/1/2026 | | |
Cedar Hill Independent School District, Unlimited Tax | | |
Series 2024, GO, PSF-GTD, 5.00%, 2/15/2036 | | |
Series 2024, GO, PSF-GTD, 5.00%, 2/15/2037 | | |
Series 2024, GO, PSF-GTD, 5.00%, 2/15/2038 | | |
Series 2024, GO, PSF-GTD, 5.00%, 2/15/2039 | | |
Series 2024, GO, PSF-GTD, 4.00%, 2/15/2050 | | |
Central Texas Turnpike System, First Tier | | |
Series 2024 B, Rev., 5.00%, 5/15/2030 (c) | | |
Series 2024 A, Rev., 5.00%, 8/15/2032 | | |
Central Texas Turnpike System, Second Tier | | |
Series 2024 C, Rev., 5.00%, 8/15/2032 | | |
Series 2024 C, Rev., 5.00%, 8/15/2034 | | |
City of Allen Series 2024, GO, 5.00%, 8/15/2030 (d) | | |
City of Austin, Airport System | | |
Rev., AMT, 5.00%, 11/15/2035 | | |
Series 2017B, Rev., AMT, 5.00%, 11/15/2046 | | |
City of Corpus Christi, Utility System Series 2022B, Rev., 5.00%, 7/15/2032 | | |
City of Dallas Housing Finance Corp., Rosemont At Ash Creek Apartments Series 2023, Rev., FHA, 5.00%, 12/1/2025 (c) | | |
City of Fort Worth Water and Sewer System Series 2024, Rev., 4.25%, 2/15/2054 | | |
City of Georgetown Series 2022, GO, 4.00%, 8/15/2041 | | |
City of Georgetown, Utilities System | | |
Series 2023, Rev., 5.00%, 8/15/2025 | | |
Series 2023, Rev., 5.00%, 8/15/2038 | | |
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City of Grand Prairie Series 2023, GO, 4.00%, 2/15/2037 | | |
City of Houston Combined Utility System, First Lien Series 2024 A, Rev., 5.25%, 11/15/2049 | | |
City of Houston, Combined Utility System, First Lien Series 2018D, Rev., 5.00%, 11/15/2030 | | |
City of Irving Waterworks and Sewer System | | |
Series 2024, Rev., 5.00%, 8/15/2037 | | |
Series 2024, Rev., 5.00%, 8/15/2038 | | |
City of Round Rock GO, 5.00%, 8/15/2026 | | |
City of San Antonio Series 2024, GO, 5.00%, 2/1/2027 (d) | | |
City of San Antonio Electric and Gas Systems Series 2024 B, Rev., 5.00%, 2/1/2038 | | |
City of San Antonio, Electric and Gas Systems Series 2023B, Rev., 5.25%, 2/1/2041 | | |
City of San Marcos, Combination Tax GO, 5.00%, 8/15/2031 | | |
City of Waco Series 2024, GO, 5.00%, 2/1/2026 | | |
City of Waco, Combination Tax | | |
Series 2024 A, GO, 5.00%, 2/1/2025 | | |
Series 2024 A, GO, 5.00%, 2/1/2026 | | |
Clifton Higher Education Finance Corp., Idea Public Schools | | |
Series 2024, Rev., PSF-GTD, 5.00%, 8/15/2026 | | |
Series 2024, Rev., PSF-GTD, 5.00%, 8/15/2027 | | |
Clifton Higher Education Finance Corp., Yes Prep Public School, Inc. | | |
Series 2023, Rev., PSF-GTD, 5.00%, 4/1/2025 | | |
Series 2023, Rev., PSF-GTD, 5.00%, 4/1/2026 | | |
Series 2023, Rev., PSF-GTD, 5.00%, 4/1/2038 | | |
Series 2023, Rev., PSF-GTD, 4.25%, 4/1/2048 | | |
County of Fort Bend Toll Road, Senior Lien | | |
Series 2024, Rev., AGM, 5.00%, 3/1/2035 | | |
Series 2024, Rev., AGM, 5.00%, 3/1/2036 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Series 2024, Rev., AGM, 5.00%, 3/1/2042 | | |
County of Hays, Limited Tax GO, 5.00%, 2/15/2026 | | |
County of Williamson, Limited Tax GO, 5.00%, 2/15/2026 | | |
Crandall Independent School District, Unlimited Tax | | |
Series 2023, GO, PSF-GTD, 5.00%, 2/1/2039 | | |
Series 2023, GO, PSF-GTD, 5.00%, 2/1/2041 | | |
Cypress-Fairbanks Independent School District, Unlimited Tax Series 2015A, GO, PSF-GTD, 5.00%, 2/15/2025 | | |
Dallas Area Rapid Transit, Sales Tax, Senior Lien Series 2014A, Rev., 5.00%, 12/1/2024 (b) | | |
Garland Independent School District Series 2020, GO, PSF-GTD, 5.00%, 2/15/2025 | | |
Garland Independent School District, Unlimited Tax, School Building Series 2023A, GO, PSF-GTD, 5.00%, 2/15/2040 | | |
Glen Rose Independent School District, Unlimited tax Series 2023, GO, PSF-GTD, 5.00%, 8/15/2035 | | |
Glen Rose Independent School District, Unlimited Tax Series 2023, GO, PSF-GTD, 5.00%, 8/15/2036 | | |
Harris County Cultural Education Facilities Finance Corp., Memorial Hermann Health System Series 2024 B, Rev., 5.00%, 7/1/2034 | | |
Hutto Independent School District Series 2024, GO, PSF-GTD, 5.00%, 8/1/2054 | | |
Irving Independent School District Series 2023, GO, PSF-GTD, 5.00%, 2/15/2037 | | |
Katy Independent School District Series 2017, GO, PSF-GTD, 5.00%, 2/15/2025 | | |
Laredo Independent School District Series 2024, GO, PSF-GTD, 5.00%, 8/1/2025 | | |
Little Elm Independent School District Series 2024, GO, PSF-GTD, 4.00%, 8/15/2054 | | |
Lower Colorado River Authority | | |
Series 2024, Rev., 5.00%, 5/15/2026 | | |
Series 2024, Rev., 5.00%, 5/15/2036 | | |
Lower Colorado River Authority, LCRA Transmission Services Corp. Project | | |
| | |
| | |
|
|
Series 2024, Rev., AGM, 5.00%, 5/15/2045 | | |
Mabank Independent School District, Unlimited Tax | | |
Series 2024, GO, PSF-GTD, 5.00%, 8/15/2025 (d) | | |
Series 2024, GO, PSF-GTD, 5.00%, 8/15/2026 (d) | | |
Series 2024, GO, PSF-GTD, 5.00%, 8/15/2027 (d) | | |
Mansfield Independent School District, Unlimited Tax Series 2024, GO, PSF-GTD, 4.00%, 2/15/2054 | | |
Melissa Independent School District, Unlimited Tax | | |
Series 2024, GO, PSF-GTD, 5.00%, 2/1/2027 (d) | | |
Series 2024, GO, PSF-GTD, 5.00%, 2/1/2028 (d) | | |
Series 2024, GO, PSF-GTD, 5.00%, 2/1/2029 (d) | | |
Series 2024, GO, PSF-GTD, 5.00%, 2/1/2030 (d) | | |
Series 2024, GO, PSF-GTD, 5.00%, 2/1/2031 (d) | | |
Series 2023, GO, PSF-GTD, 5.00%, 2/1/2041 | | |
Midland Independent School District Series 2024, GO, PSF-GTD, 4.00%, 2/15/2054 | | |
North Texas Tollway Authority, First Tier Series 2023 A, Rev., 5.00%, 1/1/2026 | | |
Northwest Independent School District, Unlimited Tax | | |
Series 2023, GO, PSF-GTD, 5.00%, 2/15/2039 | | |
Series 2024 A, GO, PSF-GTD, 5.00%, 2/15/2039 | | |
Series 2024 A, GO, PSF-GTD, 5.00%, 2/15/2042 | | |
Series 2024 A, GO, PSF-GTD, 5.00%, 2/15/2049 | | |
Permanent University Fund - University of Texas System Series 2016 B, Rev., 4.00%, 7/1/2038 | | |
San Antonio Education Facilities Corp., Trinity University Project Series 2024 A, Rev., 5.00%, 6/1/2034 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
State of Texas, Transportation Commission Mobility Fund Series 2015-A, GO, 5.00%, 10/1/2024 | | |
Tarrant County College District Series 2022, GO, 5.00%, 8/15/2028 | | |
Tarrant County Cultural Education Facilities Finance Corp., Baylor Scott & White Health Project Series 2022F, Rev., 5.00%, 11/15/2030 (c) | | |
Tarrant County Cultural Education Facilities Finance Corp., Christus Health | | |
Series 2024B, Rev., 5.00%, 7/1/2025 | | |
Series 2024B, Rev., 5.00%, 7/1/2026 | | |
Series 2024B, Rev., 5.00%, 7/1/2027 | | |
Series 2024B, Rev., 5.00%, 7/1/2028 | | |
Series 2024B, Rev., 5.00%, 7/1/2029 | | |
Tarrant County Cultural Education Facilities Finance Corp., Texas Health Resources System Series 2008A, Rev., VRDO, 2.95%, 9/12/2024 (c) | | |
Tarrant Regional Water District Water Supply System Series 2022, Rev., 5.00%, 3/1/2048 | | |
Texas A&M University Series 2024A, Rev., 5.00%, 5/15/2040 | | |
Texas A&M University, Financing System Series 2017E, Rev., 5.00%, 5/15/2030 | | |
Texas Municipal Gas Acquisition and Supply Corp. IV Series 2023B, Rev., 5.50%, 1/1/2034 (c) | | |
Texas Private Activity Bond Surface Transportation Corp., NTE Mobility Partners Segments 3 LLC Project Series 2023, Rev., AMT, 5.25%, 12/31/2036 | | |
Texas Public Finance Authority, Texas Southern University | | |
Series 2023, Rev., 5.00%, 5/1/2026 | | |
Series 2023, Rev., 5.00%, 5/1/2027 | | |
Texas State Affordable Housing Corp., Juniper Creek Apartments Project Series 2023, Rev., 3.75%, 7/1/2026 (c) | | |
Texas Water Development Board | | |
Series 2023 A, Rev., 5.00%, 10/15/2024 | | |
Series 2023 A, Rev., 5.00%, 10/15/2037 | | |
Series 2023 A, Rev., 5.00%, 10/15/2058 | | |
| | |
|
|
Texas Water Development Board, State Water Implementation Fund Master Trust Series 2022, Rev., 5.00%, 10/15/2047 | | |
Trinity River Authority of Texas, Livingston Regional Water Supply System Project | | |
Series 2023, Rev., 5.00%, 8/1/2036 | | |
Series 2023, Rev., 5.00%, 8/1/2037 | | |
Trinity River Authority, Tarrant County Water Project | | |
Series 2023, Rev., 5.00%, 2/1/2041 | | |
Series 2023, Rev., 5.00%, 2/1/2042 | | |
Trinity River Authority, Water Project Rev., 5.00%, 2/1/2026 | | |
Waxahachie Independent School District Series 2024, GO, PSF-GTD, 5.00%, 2/15/2038 | | |
Weslaco Independent School District, Unlimited Tax | | |
Series 2024, GO, PSF-GTD, 5.00%, 2/15/2037 | | |
Series 2024, GO, PSF-GTD, 5.00%, 2/15/2038 | | |
Series 2024, GO, PSF-GTD, 5.00%, 2/15/2041 | | |
| | |
|
City of Salt Lake City, Airport System | | |
Series 2021A, Rev., AMT, 5.00%, 7/1/2029 | | |
Series 2023A, Rev., AMT, 5.25%, 7/1/2040 | | |
City of Salt Lake City, Sales and Excise Tax Series 2022A, Rev., 4.00%, 10/1/2030 | | |
Utah Telecommunication Open Infrastructure Agency, Sales Tax and Telecommunications | | |
| | |
| | |
| | |
Utah Transit Authority, Sales Tax | | |
Series 2007A, Rev., BHAC - CR, MBIA, 5.00%, 6/15/2035 | | |
Series 2023, Rev., 5.00%, 12/15/2041 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Vermont Municipal Bond Bank Series 2024 1, Rev., 5.00%, 12/1/2036 | | |
|
City of Richmond, Public Improvement Series 2017B, GO, 5.00%, 7/15/2027 | | |
| | |
Series 2023A, GO, 4.00%, 10/1/2038 | | |
Series 2023A, GO, 4.00%, 10/1/2039 | | |
County of Spotsylvania, Public Improvement GO, 5.00%, 7/15/2029 | | |
Halifax County Industrial Development Authority, Virginia Electric and Power Series 2010A, Rev., 3.80%, 5/28/2027 (c) | | |
Loudoun County Economic Development Authority, Howard Hughes Medical Institute Series E, Rev., VRDO, 2.85%, 9/12/2024 (c) | | |
Northern Virginia Transportation Commission, Transforming Rail in Virginia Program Rev., 5.00%, 6/1/2040 | | |
Virginia College Building Authority Educational Facilities, 21St Century College and Equipment Programs Series 2023A, Rev., 4.00%, 9/1/2040 | | |
Virginia Public Building Authority Series 2015A, Rev., 4.00%, 8/1/2031 | | |
Virginia Resources Authority, Virginia Pooled Financing Program | | |
Series 2024 A, Rev., 5.00%, 11/1/2037 | | |
Series 2024 A, Rev., 5.00%, 11/1/2040 | | |
Virginia Small Business Financing Authority, Environmental Facilities Series 2022, Rev., 5.00%, 11/15/2024 (c) | | |
Virginia Small Business Financing Authority, Senior Lien Rev., AMT, 4.00%, 7/1/2032 | | |
Virginia Small Business Financing Authority, Senior Lien, Elizabeth River Crossing Opco, LLC Project Rev., AMT, 4.00%, 1/1/2036 | | |
| | |
|
Auburn School District No. 408 of King and Pierce Counties, Unlimited Tax GO, 4.00%, 12/1/2036 | | |
| | |
|
|
Central Puget Sound Regional Transit Authority, Sales and Use Tax | | |
Series 2015S-1, Rev., 5.00%, 11/1/2024 | | |
Series 2021S-1, Rev., 4.00%, 11/1/2040 | | |
Chelan County Public Utility District No.1 Series 2008B, Rev., VRDO, LIQ : Barclays Bank plc, 2.80%, 9/12/2024 (c) | | |
City of Seattle, Municipal Light and Power Series 2021 A, Rev., 4.00%, 7/1/2047 | | |
Clark County School District No. 101 La Center, Unlimited Tax GO, 5.00%, 12/1/2029 | | |
County of King Series 2016A, Rev., 4.00%, 7/1/2038 | | |
County of King, Limited Tax Series 2023 B, GO, 5.00%, 12/1/2053 | | |
Energy Northwest Series 2024A, Rev., 5.00%, 7/1/2040 | | |
Energy Northwest, Columbia Generating Station Series 2021A, Rev., 4.00%, 7/1/2042 | | |
Energy Northwest, Project 1 Series 2017A, Rev., 5.00%, 7/1/2028 | | |
King County Public Hospital District No. 2, Evergreen Healthcare, Limited Tax GO, 5.00%, 12/1/2024 (b) | | |
King County School District No. 411 Issaquah, Unlimited Tax GO, 5.00%, 12/1/2024 | | |
Mason County School District No. 309 Shelton, Unlimited Tax GO, 5.00%, 12/1/2029 | | |
Pierce County School District No. 416 White River, Unlimited Tax GO, 5.00%, 12/1/2025 | | |
Snohomish County School District No. 4 Lake Stevens, Unlimited Tax GO, 5.00%, 12/1/2024 | | |
Spokane County School District No. 354 Mead, Unlimited Tax GO, 5.00%, 12/1/2024 | | |
State of Washington, State and Local Agency Real and Personal Property Series 2015-C, COP, 5.00%, 1/1/2029 | | |
State of Washington, Various Purpose | | |
Series 2020C, GO, 5.00%, 2/1/2043 | | |
Series 2023B, GO, 5.00%, 2/1/2043 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Series 2022A, GO, 5.00%, 8/1/2043 | | |
Three Rivers Regional Wastewater Authority Series 2024, Rev., 5.00%, 9/1/2037 | | |
Washington State Housing Finance Commission | | |
Series 2024, Rev., 5.50%, 7/1/2049 | | |
Series 2024, Rev., 5.00%, 7/1/2054 | | |
Washington State Housing Finance Commission, Seattle Academy Of Arts and Science Project Series 2023, Rev., 5.63%, 7/1/2038 (e) | | |
| | |
|
State of West Virginia Series 2019 A, GO, 5.00%, 12/1/2035 | | |
West Virginia Hospital Finance Authority, University Health System Series 2023 A, Rev., 5.00%, 6/1/2040 | | |
| | |
|
City of Oshkosh, Sewer Series 2022E, Rev., 5.00%, 5/1/2027 | | |
| | |
Series 2022D, Rev., 5.00%, 1/1/2027 | | |
Series 2022D, Rev., 5.00%, 1/1/2028 | | |
Public Finance Authority, AFCO Airport Real Estate Group | | |
Series 2023, Rev., AMT, 5.00%, 7/1/2025 | | |
Series 2023, Rev., AMT, 5.00%, 7/1/2026 | | |
Series 2023, Rev., AMT, 5.00%, 7/1/2027 | | |
Public Finance Authority, Astro Texas Land Projects Series 2024, Rev., 5.50%, 12/15/2028 (e) | | |
Public Finance Authority, Eastern Michigan University Student Housing Project Series 2022A-1, Rev., 5.00%, 7/1/2032 | | |
| | |
Series 2016-1, GO, 5.00%, 11/1/2024 | | |
Series 2016-2, GO, 5.00%, 11/1/2026 | | |
Series 2015-1, GO, 5.00%, 5/1/2027 | | |
Series 2023B, GO, 5.00%, 5/1/2035 | | |
State of Wisconsin Environmental Improvement Fund Series 2018A, Rev., 5.00%, 6/1/2025 | | |
| | |
|
|
University of Wisconsin Hospitals and Clinics Series 2024B, Rev., 5.00%, 10/1/2031 (c) | | |
Wisconsin Health and Educational Facilities Authority, Forensic science and Protective Medicine Collaboration, Inc. Project Series 2024, Rev., 5.00%, 8/1/2027 (e) | | |
Wisconsin Housing and Economic Development Authority Home Ownership Series 2024 A, Rev., GNMA / FNMA / FHLMC, 6.00%, 9/1/2054 | | |
| | |
|
Wyoming Community Development Authority Series 2024 1, Rev., 6.00%, 12/1/2054 | | |
Total Municipal Bonds
(Cost $1,551,782,034) | | |
| | |
Short-Term Investments — 8.4% |
Investment Companies — 8.4% |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.24% (f) (g)
(Cost $141,630,893) | | |
Total Investments — 102.3%
(Cost $1,693,412,927) | | |
Liabilities in Excess of Other Assets — (2.3)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Insured by Assured Guaranty Corp. |
| Insured by Assured Guaranty Municipal Corp. |
| |
| |
| Insured by Berkshire Hathaway Assurance Corp. |
| |
| Certificate of Participation |
| |
| Federal Housing Administration |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| |
| Insured by Municipal Bond Insurance Corp. |
| Permanent School Fund Guaranteed |
| Qualified School Bond Loan Fund |
| Revenue Anticipation Note |
| |
| South Carolina School District Enhancement |
| Variable Rate Demand Obligation |
| Amount rounds to less than 0.1% of net assets. |
| The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
| Security is prerefunded or escrowed to maturity. | |
| Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2024. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| The rate shown is the current yield as of August 31, 2024. | |
Futures contracts outstanding as of August 31, 2024:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
|
Aerospace & Defense — 0.4% |
Boeing Co. (The) 6.30%, 5/1/2029 (a) | | |
Bombardier, Inc. (Canada) |
| | |
| | |
RTX Corp. 5.75%, 11/8/2026 | | |
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a) | | |
TransDigm, Inc. 6.38%, 3/1/2029 (a) | | |
| | |
Automobile Components — 0.2% |
Adient Global Holdings Ltd. |
| | |
| | |
Allison Transmission, Inc. 5.88%, 6/1/2029 (a) | | |
American Axle & Manufacturing, Inc. 6.88%, 7/1/2028 | | |
|
| | |
| | |
|
| | |
| | |
Goodyear Tire & Rubber Co. (The) 5.25%, 4/30/2031 | | |
Icahn Enterprises LP 5.25%, 5/15/2027 | | |
| | |
|
BMW US Capital LLC (Germany) 4.65%, 8/13/2029 (a) | | |
Ford Motor Co. 9.63%, 4/22/2030 | | |
|
| | |
| | |
Volkswagen Group of America Finance LLC (Germany) |
| | |
| | |
| | |
|
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) | | |
| | |
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 6.34%, 9/18/2027 (a) (b) | | |
AIB Group plc (Ireland) (SOFR + 2.33%), 6.61%, 9/13/2029 (a) (b) | | |
ASB Bank Ltd. (New Zealand) |
| | |
| | |
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) | | |
| | |
Banco Continental SAECA (Paraguay) 2.75%, 12/10/2025 (a) | | |
Banco Santander SA (Spain) |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (b) | | |
| | |
| | |
|
(3-MONTH CME TERM SOFR + 0.90%), 2.02%, 2/13/2026 (b) | | |
(SOFR + 1.33%), 3.38%, 4/2/2026 (b) | | |
(SOFR + 0.96%), 1.73%, 7/22/2027 (b) | | |
(SOFR + 1.34%), 5.93%, 9/15/2027 (b) | | |
(SOFR + 1.05%), 2.55%, 2/4/2028 (b) | | |
(SOFR + 2.04%), 4.95%, 7/22/2028 (b) | | |
(SOFR + 1.99%), 6.20%, 11/10/2028 (b) | | |
(SOFR + 1.63%), 5.20%, 4/25/2029 (b) | | |
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) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (a) (b) | | |
(SOFR + 1.62%), 5.60%, 3/20/2030 (a) (b) | | |
Bank of New Zealand (New Zealand) 5.08%, 1/30/2029 (a) | | |
Bank of Nova Scotia (The) (Canada) 5.35%, 12/7/2026 | | |
Banque Federative du Credit Mutuel SA (France) |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Barclays plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.28%, 11/24/2027 (b) | | |
|
(SOFR + 2.07%), 2.22%, 6/9/2026 (a) (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.34%, 6/12/2029 (a) (b) | | |
|
(SOFR + 1.52%), 1.65%, 10/6/2026 (a) (b) | | |
(SOFR + 2.10%), 5.98%, 1/18/2027 (a) (b) | | |
(SOFR + 1.98%), 6.61%, 10/19/2027 (a) (b) | | |
|
(SOFR + 2.08%), 6.68%, 9/13/2027 (a) (b) | | |
(SOFR + 1.78%), 5.67%, 3/15/2030 (a) (b) | | |
Canadian Imperial Bank of Commerce (Canada) 5.26%, 4/8/2029 | | |
|
(SOFR + 0.69%), 2.01%, 1/25/2026 (b) | | |
(SOFR + 2.84%), 3.11%, 4/8/2026 (b) | | |
(SOFR + 1.55%), 5.61%, 9/29/2026 (b) | | |
(SOFR + 0.77%), 1.12%, 1/28/2027 (b) | | |
(3-MONTH CME TERM SOFR + 1.82%), 3.89%, 1/10/2028 (b) | | |
(SOFR + 1.28%), 3.07%, 2/24/2028 (b) | | |
(SOFR + 1.36%), 5.17%, 2/13/2030 (b) | | |
Cooperatieve Rabobank UA (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (a) (b) | | |
Credit Agricole SA (France) (SOFR + 1.68%), 1.91%, 6/16/2026 (a) (b) | | |
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) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.18%), 6.26%, 9/22/2026 (a) (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (a) (b) | | |
DNB Bank ASA (Norway) (SOFRINDX + 1.95%), 5.90%, 10/9/2026 (a) (b) | | |
Federation des Caisses Desjardins du Quebec (Canada) |
| | |
| | |
|
|
| | |
| | |
HSBC Holdings plc (United Kingdom) |
(SOFR + 1.57%), 5.89%, 8/14/2027 (b) | | |
(SOFR + 1.97%), 6.16%, 3/9/2029 (b) | | |
(SOFR + 1.46%), 5.55%, 3/4/2030 (b) | | |
ING Groep NV (Netherlands) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.40%, 7/1/2026 (a) (b) | | |
(SOFR + 1.01%), 1.73%, 4/1/2027 (b) | | |
KBC Group NV (Belgium) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (a) (b) | | |
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) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.48%), 5.99%, 8/7/2027 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.38%), 5.46%, 1/5/2028 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.70%), 5.87%, 3/6/2029 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 5.72%, 6/5/2030 (b) | | |
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) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (b) | | |
Mizuho Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 2.65%, 5/22/2026 (b) | | |
Morgan Stanley Bank NA (SOFR + 0.87%), 5.50%, 5/26/2028 (b) | | |
National Bank of Canada (Canada) 5.60%, 12/18/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
NatWest Group plc (United Kingdom) 4.80%, 4/5/2026 | | |
NatWest Markets plc (United Kingdom) |
| | |
| | |
Nordea Bank Abp (Finland) 1.50%, 9/30/2026 (a) | | |
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) | | |
Skandinaviska Enskilda Banken AB (Sweden) 5.38%, 3/5/2029 (a) | | |
Societe Generale SA (France) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.23%, 1/21/2026 (a) (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 5.63%, 1/19/2030 (a) (b) | | |
Standard Chartered plc (United Kingdom) |
(3-MONTH SOFR + 1.21%), 2.82%, 1/30/2026 (a) (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 3.97%, 3/30/2026 (a) (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.85%), 6.19%, 7/6/2027 (a) (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.69%, 5/14/2028 (a) (b) | | |
Sumitomo Mitsui Financial Group, Inc. (Japan) 5.52%, 1/13/2028 | | |
Sumitomo Mitsui Trust Bank Ltd. (Japan) 5.20%, 3/7/2029 (a) | | |
Svenska Handelsbanken AB (Sweden) 5.50%, 6/15/2028 (a) | | |
|
(3-MONTH CME TERM SOFR + 1.01%), 2.16%, 2/11/2026 (b) | | |
(SOFR + 1.51%), 3.53%, 3/24/2028 (b) | | |
(SOFR + 1.07%), 5.71%, 4/22/2028 (b) | | |
(SOFR + 1.98%), 4.81%, 7/25/2028 (b) | | |
| | |
|
|
(SOFR + 1.74%), 5.57%, 7/25/2029 (b) | | |
(SOFR + 1.79%), 6.30%, 10/23/2029 (b) | | |
| | |
|
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a) | | |
|
Grifols SA (Spain) 4.75%, 10/15/2028 (a) | | |
Broadline Retail — 0.0% ^ |
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a) | | |
Nordstrom, Inc. 4.38%, 4/1/2030 | | |
| | |
|
Builders FirstSource, Inc. 4.25%, 2/1/2032 (a) | | |
EMRLD Borrower LP 6.63%, 12/15/2030 (a) | | |
Griffon Corp. 5.75%, 3/1/2028 | | |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | | |
Miter Brands Acquisition Holdco, Inc. 6.75%, 4/1/2032 (a) | | |
Smyrna Ready Mix Concrete LLC 8.88%, 11/15/2031 (a) | | |
Standard Industries, Inc. 4.75%, 1/15/2028 (a) | | |
Summit Materials LLC 5.25%, 1/15/2029 (a) | | |
| | |
|
Bank of New York Mellon Corp. (The) (SOFR + 1.03%), 4.95%, 4/26/2027 (b) | | |
Deutsche Bank AG (Germany) |
(SOFR + 1.87%), 2.13%, 11/24/2026 (b) | | |
(SOFR + 2.52%), 7.15%, 7/13/2027 (b) | | |
(SOFR + 1.22%), 2.31%, 11/16/2027 (b) | | |
(SOFR + 2.51%), 6.82%, 11/20/2029 (b) | | |
Goldman Sachs Group, Inc. (The) |
(SOFR + 0.91%), 1.95%, 10/21/2027 (b) | | |
(SOFR + 1.11%), 2.64%, 2/24/2028 (b) | | |
(SOFR + 1.85%), 3.62%, 3/15/2028 (b) | | |
(SOFR + 1.73%), 4.48%, 8/23/2028 (b) | | |
(SOFR + 1.21%), 5.05%, 7/23/2030 (b) | | |
Macquarie Bank Ltd. (Australia) 5.21%, 6/15/2026 (a) | | |
Macquarie Group Ltd. (Australia) |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Capital Markets — continued |
(SOFR + 0.91%), 1.63%, 9/23/2027 (a) (b) | | |
(SOFR + 2.13%), 4.10%, 6/21/2028 (a) (b) | | |
|
(SOFR + 0.72%), 0.99%, 12/10/2026 (b) | | |
(SOFR + 0.86%), 1.51%, 7/20/2027 (b) | | |
(SOFR + 1.00%), 2.48%, 1/21/2028 (b) | | |
(SOFR + 2.24%), 6.30%, 10/18/2028 (b) | | |
(SOFR + 1.59%), 5.16%, 4/20/2029 (b) | | |
(SOFR + 1.63%), 5.45%, 7/20/2029 (b) | | |
(SOFR + 1.26%), 5.66%, 4/18/2030 (b) | | |
Nomura Holdings, Inc. (Japan) 1.85%, 7/16/2025 | | |
State Street Corp. (SOFR + 1.02%), 4.53%, 2/20/2029 (b) | | |
UBS AG (Switzerland) 7.50%, 2/15/2028 | | |
UBS Group AG (Switzerland) |
(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (b) | | |
(SOFR + 3.34%), 6.37%, 7/15/2026 (a) (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.71%, 1/12/2027 (a) (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (a) (b) | | |
(SOFR + 3.70%), 6.44%, 8/11/2028 (a) (b) | | |
(USD SOFR ICE Swap Rate 1 Year + 1.34%), 5.62%, 9/13/2030 (a) (b) | | |
| | |
|
Avient Corp. 5.75%, 5/15/2025 (a) | | |
Braskem Netherlands Finance BV (Brazil) 4.50%, 1/31/2030 (c) | | |
Chemours Co. (The) 5.75%, 11/15/2028 (a) | | |
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | | |
INEOS Finance plc (Luxembourg) 6.75%, 5/15/2028 (a) | | |
NOVA Chemicals Corp. (Canada) |
| | |
| | |
| | |
Scotts Miracle-Gro Co. (The) 4.50%, 10/15/2029 | | |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a) | | |
| | |
|
|
|
| | |
| | |
| | |
Commercial Services & Supplies — 0.7% |
ACCO Brands Corp. 4.25%, 3/15/2029 (a) | | |
Allied Universal Holdco LLC 4.63%, 6/1/2028 (a) | | |
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | | |
Element Fleet Management Corp. (Canada) |
| | |
| | |
Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a) | | |
|
| | |
| | |
Madison IAQ LLC 4.13%, 6/30/2028 (a) | | |
Prime Security Services Borrower LLC |
| | |
| | |
| | |
Communications Equipment — 0.0% ^ |
|
| | |
| | |
| | |
Construction & Engineering — 0.1% |
Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (c) | | |
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | | |
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | | |
Pike Corp. 5.50%, 9/1/2028 (a) | | |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | | |
| | |
|
AerCap Ireland Capital DAC (Ireland) |
| | |
| | |
Ally Financial, Inc. 5.75%, 11/20/2025 | | |
|
(SOFR + 1.33%), 6.34%, 10/30/2026 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Consumer Finance — continued |
(SOFRINDX + 1.09%), 5.53%, 4/25/2030 (b) | | |
Avolon Holdings Funding Ltd. (Ireland) |
| | |
| | |
Capital One Financial Corp. |
(SOFR + 2.08%), 5.47%, 2/1/2029 (b) | | |
(SOFR + 1.91%), 5.70%, 2/1/2030 (b) | | |
General Motors Financial Co., Inc. |
| | |
| | |
|
| | |
| | |
| | |
| | |
Consumer Staples Distribution & Retail — 0.4% |
|
| | |
| | |
Kroger Co. (The) 4.65%, 9/15/2029 | | |
|
8.00% (PIK), 10/18/2024 ‡ (a) (d) | | |
(3-MONTH CME TERM SOFR + 7.00%), 12.32%, 10/18/2024 ‡ (a) (b) | | |
8.00%, 11/15/2026 ‡ (a) (e) | | |
| | |
Containers & Packaging — 0.3% |
Ardagh Packaging Finance plc 4.13%, 8/15/2026 (a) | | |
Graphic Packaging International LLC |
| | |
| | |
LABL, Inc. 6.75%, 7/15/2026 (a) | | |
Mauser Packaging Solutions Holding Co. 7.88%, 4/15/2027 (a) | | |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | | |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | | |
TriMas Corp. 4.13%, 4/15/2029 (a) | | |
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (f) | | |
| | |
| | |
|
Diversified Telecommunication Services — 0.4% |
Altice Financing SA (Luxembourg) 5.00%, 1/15/2028 (a) | | |
Altice France SA (France) 5.13%, 7/15/2029 (a) | | |
|
| | |
| | |
| | |
| | |
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a) | | |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | | |
|
| | |
| | |
Telecom Italia Capital SA (Italy) 6.38%, 11/15/2033 | | |
| | |
Electric Utilities — 1.9% |
Alliant Energy Finance LLC 5.40%, 6/6/2027 (a) | | |
Enel Finance America LLC (Italy) 7.10%, 10/14/2027 (a) | | |
Enel Finance International NV (Italy) 4.63%, 6/15/2027 (a) | | |
EnfraGen Energia Sur SA (Colombia) 5.38%, 12/30/2030 (c) | | |
Eskom Holdings SOC Ltd. (South Africa) 7.13%, 2/11/2025 (c) | | |
Exelon Corp. 5.15%, 3/15/2028 | | |
Fells Point Funding Trust 3.05%, 1/31/2027 (a) | | |
FirstEnergy Pennsylvania Electric Co. |
| | |
| | |
Instituto Costarricense de Electricidad (Costa Rica) 6.75%, 10/7/2031 (a) | | |
NextEra Energy Capital Holdings, Inc. 5.75%, 9/1/2025 | | |
|
| | |
| | |
Pacific Gas and Electric Co. 5.55%, 5/15/2029 | | |
PG&E Corp. 5.00%, 7/1/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
Southern California Edison Co. 5.15%, 6/1/2029 | | |
Vistra Operations Co. LLC |
| | |
| | |
| | |
| | |
Electrical Equipment — 0.0% ^ |
EnerSys 6.63%, 1/15/2032 (a) | | |
Vertiv Group Corp. 4.13%, 11/15/2028 (a) | | |
| | |
Electronic Equipment, Instruments & Components — 0.0% ^ |
Coherent Corp. 5.00%, 12/15/2029 (a) | | |
Energy Equipment & Services — 0.2% |
Archrock Partners LP 6.88%, 4/1/2027 (a) | | |
Diamond Foreign Asset Co. 8.50%, 10/1/2030 (a) | | |
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a) | | |
Nabors Industries, Inc. 7.38%, 5/15/2027 (a) | | |
Noble Finance II LLC 8.00%, 4/15/2030 (a) | | |
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a) | | |
Transocean, Inc. 8.75%, 2/15/2030 (a) | | |
USA Compression Partners LP 6.88%, 9/1/2027 | | |
Valaris Ltd. 8.38%, 4/30/2030 (a) | | |
Yinson Boronia Production BV (Brazil) 8.95%, 7/31/2042 (a) | | |
| | |
|
|
| | |
| | |
Live Nation Entertainment, Inc. |
| | |
| | |
Take-Two Interactive Software, Inc. 5.00%, 3/28/2026 | | |
| | |
Financial Services — 0.7% |
Block, Inc. 3.50%, 6/1/2031 | | |
| | |
|
Financial Services — continued |
Boost Newco Borrower LLC 7.50%, 1/15/2031 (a) | | |
|
| | |
| | |
Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (a) | | |
Nationwide Building Society (United Kingdom) (SOFR + 1.29%), 2.97%, 2/16/2028 (a) (b) | | |
NCR Atleos Corp. 9.50%, 4/1/2029 (a) | | |
|
| | |
| | |
| | |
| | |
|
|
| | |
| | |
Viterra Finance BV (Netherlands) |
| | |
| | |
| | |
|
|
| | |
| | |
Superior Plus LP (Canada) 4.50%, 3/15/2029 (a) | | |
| | |
Ground Transportation — 0.1% |
Avis Budget Car Rental LLC |
| | |
| | |
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | | |
Hertz Corp. (The) 4.63%, 12/1/2026 (a) | | |
RXO, Inc. 7.50%, 11/15/2027 (a) | | |
|
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Health Care Equipment & Supplies — 0.1% |
|
| | |
| | |
| | |
| | |
Health Care Providers & Services — 1.1% |
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (a) | | |
AdaptHealth LLC 4.63%, 8/1/2029 (a) | | |
Cardinal Health, Inc. 5.13%, 2/15/2029 | | |
Community Health Systems, Inc. |
| | |
| | |
| | |
DaVita, Inc. 4.63%, 6/1/2030 (a) | | |
Encompass Health Corp. 4.75%, 2/1/2030 | | |
HCA, Inc. 5.20%, 6/1/2028 | | |
Owens & Minor, Inc. 4.50%, 3/31/2029 (a) | | |
Quest Diagnostics, Inc. 4.63%, 12/15/2029 | | |
Star Parent, Inc. 9.00%, 10/1/2030 (a) | | |
|
| | |
| | |
| | |
Hotel & Resort REITs — 0.0% ^ |
|
| | |
| | |
| | |
Hotels, Restaurants & Leisure — 0.4% |
1011778 BC ULC (Canada) 3.88%, 1/15/2028 (a) | | |
Boyd Gaming Corp. 4.75%, 12/1/2027 | | |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | | |
Caesars Entertainment, Inc. |
| | |
| | |
|
| | |
| | |
| | |
Cedar Fair LP 5.25%, 7/15/2029 | | |
| | |
|
Hotels, Restaurants & Leisure — continued |
Hilton Domestic Operating Co., Inc. 4.88%, 1/15/2030 | | |
Marriott Ownership Resorts, Inc. |
| | |
| | |
MGM Resorts International |
| | |
| | |
| | |
Royal Caribbean Cruises Ltd. 7.25%, 1/15/2030 (a) | | |
Six Flags Entertainment Corp. 5.50%, 4/15/2027 (a) | | |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | | |
Station Casinos LLC 4.50%, 2/15/2028 (a) | | |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a) | | |
| | |
Household Durables — 0.1% |
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | | |
Newell Brands, Inc. 6.38%, 9/15/2027 | | |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | | |
| | |
Household Products — 0.1% |
|
| | |
| | |
|
| | |
| | |
| | |
Independent Power and Renewable Electricity Producers — 0.1% |
Calpine Corp. 4.50%, 2/15/2028 (a) | | |
Constellation Energy Generation LLC 5.60%, 3/1/2028 | | |
Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029 (c) | | |
| | |
|
|
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
| | |
CNO Global Funding 5.88%, 6/4/2027 (a) | | |
Corebridge Global Funding 5.90%, 9/19/2028 (a) | | |
F&G Global Funding 5.88%, 6/10/2027 (a) | | |
HUB International Ltd. 7.25%, 6/15/2030 (a) | | |
Jackson National Life Global Funding |
| | |
| | |
Met Tower Global Funding 5.40%, 6/20/2026 (a) | | |
| | |
|
Ahead DB Holdings LLC 6.63%, 5/1/2028 (a) | | |
Arches Buyer, Inc. 4.25%, 6/1/2028 (a) | | |
| | |
Leisure Products — 0.0% ^ |
Amer Sports Co. (Finland) 6.75%, 2/16/2031 (a) | | |
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) | | |
| | |
|
|
| | |
| | |
Esab Corp. 6.25%, 4/15/2029 (a) | | |
Hillenbrand, Inc. 6.25%, 2/15/2029 | | |
Terex Corp. 5.00%, 5/15/2029 (a) | | |
Trinity Industries, Inc. 7.75%, 7/15/2028 (a) | | |
| | |
|
Charter Communications Operating LLC 6.15%, 11/10/2026 | | |
Clear Channel Outdoor Holdings, Inc. |
| | |
| | |
| | |
|
| | |
| | |
Directv Financing LLC 5.88%, 8/15/2027 (a) | | |
|
| | |
| | |
|
|
| | |
| | |
DISH Network Corp. 11.75%, 11/15/2027 (a) | | |
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | | |
|
| | |
| | |
iHeartCommunications, Inc. |
| | |
| | |
| | |
News Corp. 3.88%, 5/15/2029 (a) | | |
Nexstar Media, Inc. 5.63%, 7/15/2027 (a) | | |
Outfront Media Capital LLC 4.25%, 1/15/2029 (a) | | |
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a) | | |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | | |
Sinclair Television Group, Inc. |
| | |
| | |
|
| | |
| | |
| | |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | | |
|
| | |
| | |
Univision Communications, Inc. |
| | |
| | |
| | |
|
Alcoa Nederland Holding BV 5.50%, 12/15/2027 (a) | | |
ATI, Inc. 5.88%, 12/1/2027 | | |
Big River Steel LLC 6.63%, 1/31/2029 (a) | | |
Carpenter Technology Corp. 6.38%, 7/15/2028 | | |
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Metals & Mining — continued |
CSN Inova Ventures (Brazil) 6.75%, 1/28/2028 (c) | | |
Novelis Corp. 4.75%, 1/30/2030 (a) | | |
| | |
Mortgage Real Estate Investment Trusts (REITs) — 0.0% ^ |
Starwood Property Trust, Inc. 7.25%, 4/1/2029 (a) | | |
|
DTE Energy Co. 5.10%, 3/1/2029 | | |
Oil, Gas & Consumable Fuels — 1.8% |
Antero Midstream Partners LP 5.38%, 6/15/2029 (a) | | |
|
| | |
| | |
APA Infrastructure Ltd. (Australia) 4.20%, 3/23/2025 (a) | | |
Ascent Resources Utica Holdings LLC 8.25%, 12/31/2028 (a) | | |
Baytex Energy Corp. (Canada) 8.50%, 4/30/2030 (a) | | |
Blue Racer Midstream LLC 7.00%, 7/15/2029 (a) | | |
Buckeye Partners LP 4.13%, 12/1/2027 | | |
California Resources Corp. 7.13%, 2/1/2026 (a) | | |
Chesapeake Energy Corp. 6.75%, 4/15/2029 (a) | | |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | | |
|
| | |
| | |
CNX Resources Corp. 6.00%, 1/15/2029 (a) | | |
Comstock Resources, Inc. 6.75%, 3/1/2029 (a) | | |
Crescent Energy Finance LLC 9.25%, 2/15/2028 (a) | | |
DT Midstream, Inc. 4.13%, 6/15/2029 (a) | | |
|
| | |
| | |
| | |
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a) | | |
Energean Israel Finance Ltd. (Israel) 4.88%, 3/30/2026 (c) | | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
Energy Transfer LP 5.63%, 5/1/2027 (a) | | |
EQM Midstream Partners LP |
| | |
| | |
|
| | |
| | |
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (a) | | |
Greenko Dutch BV (India) 3.85%, 3/29/2026 (a) | | |
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | | |
Hilcorp Energy I LP 5.75%, 2/1/2029 (a) | | |
Kinetik Holdings LP 5.88%, 6/15/2030 (a) | | |
Leviathan Bond Ltd. (Israel) |
| | |
| | |
Matador Resources Co. 6.50%, 4/15/2032 (a) | | |
MEG Energy Corp. (Canada) 5.88%, 2/1/2029 (a) | | |
NGL Energy Operating LLC 8.13%, 2/15/2029 (a) | | |
|
| | |
| | |
Permian Resources Operating LLC 7.00%, 1/15/2032 (a) | | |
Peru LNG Srl (Peru) 5.38%, 3/22/2030 (c) | | |
Petroleos Mexicanos (Mexico) |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
Rockies Express Pipeline LLC 4.95%, 7/15/2029 (a) | | |
SM Energy Co. 6.63%, 1/15/2027 | | |
|
| | |
| | |
Sunoco LP 5.88%, 3/15/2028 | | |
Tallgrass Energy Partners LP |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
| | |
|
| | |
| | |
Vital Energy, Inc. 9.75%, 10/15/2030 | | |
| | |
Passenger Airlines — 0.2% |
|
| | |
| | |
JetBlue Airways Corp. 9.88%, 9/20/2031 (a) | | |
|
| | |
| | |
VistaJet Malta Finance plc (Switzerland) 9.50%, 6/1/2028 (a) | | |
| | |
Personal Care Products — 0.0% ^ |
Edgewell Personal Care Co. 5.50%, 6/1/2028 (a) | | |
Prestige Brands, Inc. 5.13%, 1/15/2028 (a) | | |
| | |
|
Bausch Health Americas, Inc. 9.25%, 4/1/2026 (a) | | |
|
| | |
| | |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (f) | | |
Organon & Co. 4.13%, 4/30/2028 (a) | | |
| | |
Real Estate Management & Development — 0.0% ^ |
Anywhere Real Estate Group LLC 5.75%, 1/15/2029 (a) | | |
Semiconductors & Semiconductor Equipment — 0.3% |
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | | |
ams-OSRAM AG (Austria) 12.25%, 3/30/2029 (a) | | |
Entegris, Inc. 5.95%, 6/15/2030 (a) | | |
Marvell Technology, Inc. 5.75%, 2/15/2029 | | |
Synaptics, Inc. 4.00%, 6/15/2029 (a) | | |
| | |
| | |
|
|
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | | |
Elastic NV 4.13%, 7/15/2029 (a) | | |
|
| | |
| | |
RingCentral, Inc. 8.50%, 8/15/2030 (a) | | |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | | |
| | |
Specialized REITs — 0.0% ^ |
Iron Mountain, Inc. 4.88%, 9/15/2027 (a) | | |
|
Asbury Automotive Group, Inc. 4.50%, 3/1/2028 | | |
|
| | |
| | |
| | |
Gap, Inc. (The) 3.63%, 10/1/2029 (a) | | |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | | |
|
| | |
| | |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | | |
PetSmart, Inc. 4.75%, 2/15/2028 (a) | | |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | | |
|
| | |
| | |
| | |
Technology Hardware, Storage & Peripherals — 0.0% ^ |
|
| | |
| | |
| | |
| | |
Textiles, Apparel & Luxury Goods — 0.0% ^ |
Hanesbrands, Inc. 4.88%, 5/15/2026 (a) | | |
Trading Companies & Distributors — 0.1% |
EquipmentShare.com, Inc. 9.00%, 5/15/2028 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Trading Companies & Distributors — continued |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | | |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | | |
United Rentals North America, Inc. 4.88%, 1/15/2028 | | |
| | |
Wireless Telecommunication Services — 0.2% |
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | | |
|
| | |
| | |
| | |
Total Corporate Bonds
(Cost $150,122,031) | | |
Asset-Backed Securities — 25.4% |
Accelerated LLC Series 2021-1H, Class B, 1.90%, 10/20/2040 (a) | | |
ACHV ABS TRUST Series 2023-4CP, Class B, 7.24%, 11/25/2030 (a) | | |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (a) | | |
American Credit Acceptance Receivables Trust | | |
Series 2022-1, Class D, 2.46%, 3/13/2028 (a) | | |
Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | | |
Series 2023-1, Class D, 6.35%, 4/12/2029 (a) | | |
| | |
Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 (a) | | |
Series 2021-SFR4, Class E1, 2.97%, 12/17/2038 (a) | | |
Series 2023-SFR2, Class B, 3.95%, 6/17/2040 (a) | | |
Aqua Finance Trust Series 2021-A, Class B, 2.40%, 7/17/2046 (a) | | |
AREIT Trust Series 2021-CRE5, Class C, 7.71%, 11/17/2038 ‡ (a) (g) | | |
Ares CLO Ltd. (Cayman Islands) Series 2015-4A, Class A3RR, 6.70%, 10/15/2030 (a) (g) | | |
Atlas Senior Loan Fund (Cayman Islands) Series 2019-13A, Class A1NR, 6.62%, 4/22/2031 (a) (g) | | |
| | |
|
Avis Budget Rental Car Funding AESOP LLC Series 2023-6A, Class C, 7.03%, 12/20/2029 (a) | | |
Ballyrock CLO Ltd. (Cayman Islands) Series 2018-1A, Class A2, 7.14%, 4/20/2031 (a) (g) | | |
Bayview Opportunity Master Fund Trust Series 2024-SN1, Class D, 6.36%, 7/16/2029 (a) | | |
BOF Funding Trust Series 2023-CAR3, Class C, 4.50%, 7/26/2032 (a) | | |
Bridgecrest Lending Auto Securitization Trust | | |
Series 2024-1, Class C, 5.65%, 4/16/2029 | | |
Series 2024-3, Class C, 5.70%, 7/16/2029 | | |
BSPRT Issuer Ltd. Series 2021-FL7, Class B, 7.50%, 12/15/2038 (a) (g) | | |
Business Jet Securities LLC | | |
Series 2021-1A, Class A, 2.16%, 4/15/2036 (a) | | |
Series 2022-1A, Class A, 4.46%, 6/15/2037 (a) | | |
Series 2024-1A, Class B, 6.92%, 5/15/2039 (a) | | |
Buttermilk Park CLO Ltd. (Cayman Islands) Series 2018-1A, Class B1R, 6.90%, 10/15/2031 (a) (g) | | |
BXG Receivables Note Trust Series 2022-A, Class B, 4.61%, 9/28/2037 (a) | | |
CarNow Auto Receivables Trust Series 2022-1A, Class D, 5.79%, 9/15/2027 (a) | | |
Carvana Auto Receivables Trust | | |
Series 2024-P2, Class A3, 5.33%, 7/10/2029 | | |
Series 2023-N3, Class C, 6.55%, 12/10/2029 (a) | | |
Series 2023-N4, Class B, 6.46%, 2/11/2030 (a) | | |
Series 2024-N1, Class C, 5.80%, 5/10/2030 (a) | | |
CFMT LLC Series 2024-HB13, Class M1, 3.00%, 5/25/2034 ‡ (a) (g) | | |
Continental Finance Credit Card ABS Master Trust Series 2021-A, Class A, 2.55%, 12/17/2029 (a) | | |
CPS Auto Receivables Trust | | |
Series 2021-D, Class D, 2.31%, 12/15/2027 (a) | | |
Series 2022-A, Class D, 2.84%, 4/16/2029 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
Series 2023-A, Class D, 6.44%, 4/16/2029 (a) | | |
Series 2023-C, Class C, 6.27%, 10/15/2029 (a) | | |
Series 2022-C, Class D, 6.45%, 4/15/2030 (a) | | |
Series 2024-C, Class C, 5.76%, 10/15/2030 (a) | | |
Credit Acceptance Auto Loan Trust | | |
Series 2021-3A, Class C, 1.63%, 9/16/2030 (a) | | |
Series 2022-1A, Class C, 5.70%, 10/15/2032 (a) | | |
Series 2023-5A, Class C, 7.30%, 4/17/2034 (a) | | |
Series 2024-1A, Class C, 6.71%, 7/17/2034 (a) | | |
Series 2024-2A, Class B, 6.11%, 8/15/2034 (a) | | |
Series 2024-2A, Class C, 6.70%, 10/16/2034 (a) | | |
Dext ABS LLC Series 2021-1, Class A, 1.12%, 2/15/2028 (a) | | |
| | |
Series 2021-1A, Class D, 1.16%, 11/16/2026 (a) | | |
Series 2021-3A, Class D, 1.31%, 5/17/2027 (a) | | |
Series 2023-3A, Class B, 6.07%, 3/15/2028 (a) | | |
Series 2023-1A, Class C, 5.55%, 10/16/2028 (a) | | |
Series 2023-1A, Class D, 6.44%, 11/15/2028 (a) | | |
Series 2023-3A, Class C, 6.40%, 5/15/2029 (a) | | |
Elara HGV Timeshare Issuer LLC | | |
Series 2023-A, Class A, 6.16%, 2/25/2038 (a) | | |
Series 2023-A, Class C, 7.30%, 2/25/2038 (a) | | |
Equify ABS LLC Series 2023-1A, Class A, 7.20%, 9/15/2031 (a) | | |
Exeter Automobile Receivables Trust | | |
Series 2020-1A, Class E, 3.74%, 1/15/2027 (a) | | |
Series 2021-2A, Class D, 1.40%, 4/15/2027 | | |
Series 2022-5A, Class C, 6.51%, 12/15/2027 | | |
| | |
|
Series 2021-4A, Class D, 1.96%, 1/17/2028 | | |
Series 2023-3A, Class C, 6.21%, 6/15/2028 | | |
Series 2022-2A, Class D, 4.56%, 7/17/2028 | | |
Series 2022-5A, Class D, 7.40%, 2/15/2029 | | |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | | |
Series 2023-4A, Class D, 6.95%, 12/17/2029 | | |
Series 2023-5A, Class D, 7.13%, 2/15/2030 | | |
| | |
Series 2021-2A, Class A, 0.83%, 12/15/2026 (a) | | |
Series 2021-1A, Class A, 1.27%, 3/15/2027 (a) | | |
Series 2023-1A, Class A2, 6.57%, 6/15/2028 (a) | | |
| | |
Series 2021-SFR3, Class E1, 2.99%, 12/17/2038 (a) | | |
Series 2022-SFR2, Class D, 4.50%, 7/17/2039 (a) | | |
Flagship Credit Auto Trust | | |
Series 2021-1, Class D, 1.27%, 3/15/2027 (a) | | |
Series 2021-3, Class C, 1.46%, 9/15/2027 (a) | | |
Series 2022-1, Class D, 3.64%, 3/15/2028 (a) | | |
Series 2022-2, Class C, 5.30%, 4/17/2028 (a) | | |
Series 2022-3, Class C, 4.99%, 7/17/2028 (a) | | |
Series 2022-3, Class D, 6.00%, 7/17/2028 (a) | | |
Series 2023-3, Class C, 6.01%, 7/16/2029 (a) | | |
Foundation Finance Trust Series 2021-1A, Class A, 1.27%, 5/15/2041 (a) | | |
| | |
Series 2021-SFR1, Class B, 1.72%, 9/17/2038 (a) | | |
Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (a) | | |
Galaxy CLO Ltd. (Cayman Islands) | | |
Series 2015-19A, Class A1RR, 6.49%, 7/24/2030 (a) (g) | | |
Series 2018-26A, Class BR, 6.72%, 11/22/2031 (a) (g) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Asset-Backed Securities — continued |
GLS Auto Receivables Issuer Trust | | |
Series 2021-3A, Class D, 1.48%, 7/15/2027 (a) | | |
Series 2020-4A, Class E, 3.51%, 10/15/2027 (a) | | |
Series 2022-1A, Class D, 3.97%, 1/18/2028 (a) | | |
Series 2023-3A, Class C, 6.01%, 5/15/2029 (a) | | |
GLS Auto Select Receivables Trust | | |
Series 2023-1A, Class A3, 5.96%, 10/16/2028 (a) | | |
Series 2023-1A, Class B, 6.09%, 3/15/2029 (a) | | |
Series 2024-3A, Class C, 5.92%, 8/15/2030 (a) | | |
Goldman Home Improvement Trust Issuer Trust Series 2021-GRN2, Class A, 1.15%, 6/25/2051 (a) | | |
Hilton Grand Vacations Trust | | |
Series 2023-1A, Class A, 5.72%, 1/25/2038 (a) | | |
Series 2024-2A, Class C, 5.99%, 3/25/2038 (a) | | |
Home Partners of America Trust Series 2021-3, Class E1, 3.20%, 1/17/2041 (a) | | |
Invitation Homes Trust Series 2024-SFR1, Class B, 4.00%, 9/17/2029 (a) (h) | | |
LCM LP (Cayman Islands) Series 14A, Class AR, 6.58%, 7/20/2031 (a) (g) | | |
LCM Ltd. (Cayman Islands) Series 26A, Class A1, 6.61%, 1/20/2031 (a) (g) | | |
Lendbuzz Securitization Trust Series 2021-1A, Class A, 1.46%, 6/15/2026 (a) | | |
Lendingpoint Asset Securitization Trust Series 2022-A, Class C, 2.82%, 6/15/2029 (a) | | |
LendingPoint Asset Securitization Trust Series 2020-REV1, Class B, 4.49%, 10/15/2028 (a) | | |
LendingPoint Pass-Through Trust Series 2022-ST1, Class A, 2.50%, 3/15/2028 (a) | | |
| | |
Series 2021-1A, Class A, 1.90%, 11/20/2031 (a) | | |
Series 2023-1A, Class D, 8.69%, 5/20/2033 (a) | | |
LP LMS Asset Securitization Trust Series 2023-1A, Class A, 8.18%, 10/17/2033 (a) | | |
| | |
|
Mariner Finance Issuance Trust | | |
Series 2023-AA, Class A, 6.70%, 10/22/2035 (a) | | |
Series 2021-AA, Class A, 1.86%, 3/20/2036 (a) | | |
Merchants Fleet Funding LLC | | |
Series 2023-1A, Class A, 7.21%, 5/20/2036 (a) | | |
Series 2024-1A, Class B, 5.95%, 4/20/2037 (a) | | |
Mercury Financial Credit Card Master Trust | | |
Series 2023-1A, Class A, 8.04%, 9/20/2027 (a) | | |
Series 2024-2A, Class A, 6.56%, 7/20/2029 (a) | | |
Mission Lane Credit Card Master Trust Series 2023-A, Class A, 7.23%, 7/17/2028 (a) | | |
| | |
Series 2023-2A, Class C, 7.06%, 11/20/2040 (a) | | |
Series 2021-1WA, Class A, 1.14%, 1/22/2041 (a) | | |
Series 2021-1WA, Class B, 1.44%, 1/22/2041 (a) | | |
Series 2024-1A, Class B, 5.51%, 2/20/2043 (a) | | |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) | | |
Series 2020-37A, Class AR, 6.51%, 7/20/2031 (a) (g) | | |
Series 2018-29A, Class B1R, 7.08%, 10/19/2031 (a) (g) | | |
Series 2022-49A, Class BR, 6.83%, 7/25/2035 (a) (g) | | |
New Residential Mortgage Loan Trust | | |
Series 2022-SFR1, Class B, 2.85%, 2/17/2039 (a) | | |
Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (a) | | |
NRZ Excess Spread-Collateralized Notes Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a) | | |
OCP CLO Ltd. (Cayman Islands) Series 2014-6A, Class A2R2, 6.79%, 10/17/2030 (a) (g) | | |
Octagon Investment Partners Ltd. (Cayman Islands) Series 2017-1A, Class A2R, 6.99%, 3/17/2030 (a) (g) | | |
Octane Receivables Trust Series 2023-1A, Class D, 7.76%, 3/20/2030 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
Oportun Funding XIV LLC Series 2021-A, Class A, 1.21%, 3/8/2028 (a) | | |
| | |
Series 2021-B, Class B, 1.96%, 5/8/2031 (a) | | |
Series 2022-A, Class B, 5.25%, 6/9/2031 (a) | | |
Pagaya AI Debt Selection Trust Series 2021-HG1, Class A, 1.22%, 1/16/2029 (a) | | |
Palmer Square Loan Funding Ltd. (Cayman Islands) | | |
Series 2021-2A, Class A1, 6.19%, 5/20/2029 (a) (g) | | |
Series 2022-2A, Class A2, 7.20%, 10/15/2030 (a) (g) | | |
Series 2024-3A, Class A2, 6.81%, 8/8/2032 (a) (g) | | |
PowerPay Issuance Trust Series 2024-1A, Class A, 6.53%, 2/18/2039 (a) | | |
| | |
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (f) | | |
Series 2021-NPL3, Class A1, 4.87%, 7/25/2051 (a) (f) | | |
Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (a) (g) | | |
Pretium Mortgage Credit Partners I LLC | | |
Series 2021-NPL2, Class A1, 4.99%, 6/27/2060 (a) (f) | | |
Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 (a) (f) | | |
Progress Residential Series 2021-SFR3, Class E1, 2.54%, 5/17/2026 (a) | | |
Progress Residential Trust | | |
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a) | | |
Series 2022-SFR3, Class D, 4.45%, 4/17/2039 (a) | | |
Series 2024-SFR1, Class D, 3.75%, 2/17/2041 (a) | | |
Series 2024-SFR2, Class B, 3.40%, 4/17/2041 (a) (g) | | |
| | |
Series 2021-5, Class A1, 4.79%, 6/25/2026 (a) (f) | | |
Series 2021-6, Class A1, 4.79%, 7/25/2026 (a) (f) | | |
Series 2021-7, Class A1, 4.87%, 8/25/2026 (a) (f) | | |
| | |
|
Series 2021-8, Class A1, 1.74%, 9/25/2026 (a) (g) | | |
Series 2021-11, Class A1, 2.49%, 11/25/2026 (a) (f) | | |
Purchasing Power Funding LLC Series 2024-A, Class B, 6.43%, 8/15/2028 (a) | | |
Reach ABS Trust Series 2023-1A, Class A, 7.05%, 2/18/2031 (a) | | |
Republic Finance Issuance Trust | | |
Series 2021-A, Class A, 2.30%, 12/22/2031 (a) | | |
Series 2024-A, Class A, 5.91%, 8/20/2032 (a) | | |
RR Ltd. (Cayman Islands) Series 2020-12A, Class ABR3, 6.85%, 1/15/2036 (a) (g) | | |
Santander Bank Auto Credit-Linked Notes Series 2024-A, Class C, 5.82%, 6/15/2032 (a) | | |
Santander Drive Auto Receivables Trust | | |
Series 2021-3, Class D, 1.33%, 9/15/2027 | | |
Series 2022-3, Class C, 4.49%, 8/15/2029 | | |
Series 2022-4, Class C, 5.00%, 11/15/2029 | | |
Series 2022-6, Class D, 5.69%, 2/18/2031 | | |
Series 2023-6, Class C, 6.40%, 3/17/2031 | | |
Series 2024-4, Class D, 5.32%, 12/15/2031 | | |
Series 2023-4, Class C, 6.04%, 12/15/2031 | | |
SBNA Auto Receivables Trust Series 2024-A, Class D, 6.04%, 4/15/2030 (a) | | |
SCF Equipment Leasing LLC | | |
Series 2021-1A, Class D, 1.93%, 9/20/2030 (a) | | |
Series 2024-1A, Class B, 5.56%, 4/20/2032 (a) | | |
Series 2024-1A, Class C, 5.82%, 9/20/2032 (a) | | |
Sierra Timeshare Receivables Funding LLC | | |
Series 2023-2A, Class A, 5.80%, 4/20/2040 (a) | | |
Series 2024-2A, Class C, 5.83%, 6/20/2041 (a) | | |
Series 2024-1A, Class B, 5.35%, 1/20/2043 (a) | | |
Sound Point CLO Ltd. (Cayman Islands) Series 2019-1A, Class AR, 6.62%, 1/20/2032 (a) (g) | | |
Symphony CLO Ltd. (Cayman Islands) | | |
Series 2015-16A, Class B1RR, 7.00%, 10/15/2031 (a) (g) | | |
Series 2018-20A, Class BR2, 6.84%, 1/16/2032 (a) (g) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Asset-Backed Securities — continued |
| | |
Series 2021-SFR1, Class E1, 2.79%, 7/17/2038 (a) | | |
Series 2023-SFR1, Class B, 5.10%, 7/17/2040 (a) | | |
Upstart Pass-Through Trust | | |
Series 2021-ST4, Class A, 2.00%, 7/20/2027 (a) | | |
Series 2021-ST5, Class A, 2.00%, 7/20/2027 (a) | | |
Series 2021-ST8, Class A, 1.75%, 10/20/2029 (a) | | |
Series 2021-ST9, Class A, 1.70%, 11/20/2029 (a) | | |
Series 2021-ST10, Class A, 2.25%, 1/20/2030 (a) | | |
Series 2022-ST1, Class A, 2.60%, 3/20/2030 (a) | | |
Upstart Securitization Trust | | |
Series 2021-4, Class B, 1.84%, 9/20/2031 (a) | | |
Series 2021-5, Class B, 2.49%, 11/20/2031 (a) | | |
Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | | |
US Auto Funding Trust Series 2022-1A, Class B, 5.13%, 12/15/2025 ‡ (a) | | |
| | |
Series 2021-NPL2, Class A1, 5.11%, 3/27/2051 (a) (f) | | |
Series 2021-NPL3, Class A1, 4.74%, 5/25/2051 (a) (f) | | |
Series 2021-NPL4, Class A1, 4.87%, 8/25/2051 (a) (f) | | |
Venture CLO Ltd. (Cayman Islands) Series 2018-32A, Class A2A, 6.61%, 7/18/2031 (a) (g) | | |
Veros Auto Receivables Trust Series 2023-1, Class C, 8.32%, 11/15/2028 (a) | | |
VOLT CIII LLC Series 2021-CF1, Class A1, 4.99%, 8/25/2051 (a) (f) | | |
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (a) (f) | | |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 5.12%, 4/25/2051 (a) (f) | | |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 5.12%, 3/27/2051 (a) (f) | | |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 5.24%, 4/25/2051 (a) (f) | | |
| | |
|
Westgate Resorts LLC Series 2024-1A, Class C, 7.06%, 1/20/2038 (a) | | |
Westlake Automobile Receivables Trust | | |
Series 2021-1A, Class D, 1.23%, 4/15/2026 (a) | | |
Series 2021-3A, Class D, 2.12%, 1/15/2027 (a) | | |
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | | |
Total Asset-Backed Securities
(Cost $111,520,517) | | |
U.S. Treasury Obligations — 12.8% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Total U.S. Treasury Obligations
(Cost $56,221,824) | | |
Mortgage-Backed Securities — 10.3% |
FHLMC Pool # 841368 ARM, 7.20%, 9/1/2047 (g) | | |
FHLMC Gold Pools, 30 Year Pool # G08878, 4.50%, 5/1/2049 | | |
FHLMC UMBS, 10 Year Pool # RD5034, 2.00%, 9/1/2030 | | |
| | |
Pool # ZS6689, 2.50%, 4/1/2028 | | |
Pool # SB0725, 4.00%, 8/1/2037 | | |
Pool # SB8184, 4.00%, 10/1/2037 | | |
Pool # SB8189, 4.00%, 11/1/2037 | | |
Pool # SB8261, 5.50%, 10/1/2038 | | |
Pool # SB8308, 5.00%, 6/1/2039 | | |
| | |
Pool # ZT1703, 4.00%, 1/1/2049 | | |
Pool # SD8231, 4.50%, 7/1/2052 | | |
Pool # SD8343, 6.00%, 7/1/2053 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Mortgage-Backed Securities — continued |
FNMA Pool # BM4562 ARM, 7.32%, 5/1/2047 (g) | | |
| | |
Pool # FM1156, 2.50%, 4/1/2033 | | |
Pool # MA4361, 2.50%, 6/1/2036 | | |
Pool # FM7767, 2.00%, 7/1/2036 | | |
Pool # CB1216, 2.50%, 7/1/2036 | | |
Pool # FS1563, 2.50%, 7/1/2036 | | |
Pool # FS1329, 2.00%, 2/1/2037 | | |
Pool # MA4640, 3.50%, 6/1/2037 | | |
Pool # MA4944, 4.50%, 3/1/2038 | | |
Pool # MA5093, 5.00%, 7/1/2038 | | |
| | |
Pool # FM3933, 3.00%, 6/1/2037 | | |
Pool # FM3075, 3.50%, 11/1/2039 | | |
Pool # CA8310, 2.50%, 12/1/2040 | | |
Pool # MA4780, 4.50%, 10/1/2042 | | |
| | |
Pool # FM2972, 4.00%, 12/1/2044 | | |
Pool # FS2237, 4.00%, 10/1/2046 | | |
Pool # BM1285, 4.50%, 5/1/2047 | | |
Pool # FS1847, 4.00%, 1/1/2049 | | |
Pool # FS1891, 4.00%, 1/1/2050 | | |
Pool # FS0085, 4.00%, 11/1/2050 | | |
Pool # MA4733, 4.50%, 9/1/2052 | | |
Pool # MA5039, 5.50%, 6/1/2053 | | |
| | |
Pool # MA8201, 4.50%, 8/20/2052 | | |
Pool # MA8429, 5.50%, 11/20/2052 | | |
Total Mortgage-Backed Securities
(Cost $45,686,970) | | |
Collateralized Mortgage Obligations — 7.1% |
Connecticut Avenue Securities Trust | | |
Series 2022-R01, Class 1M2, 7.25%, 12/25/2041 (a) (g) | | |
Series 2022-R02, Class 2M2, 8.35%, 1/25/2042 (a) (g) | | |
| | |
Series 2022-DNA1, Class M1A, 6.35%, 1/25/2042 (a) (g) | | |
Series 2023-HQA3, Class M2, 8.70%, 11/25/2043 (a) (g) | | |
| | |
Series 2673, Class PE, 5.50%, 9/15/2033 | | |
Series 4754, Class VG, 4.00%, 12/15/2036 | | |
Series 3878, Class PL, 4.50%, 11/15/2040 | | |
| | |
|
Series 4376, Class A, 4.00%, 7/15/2041 | | |
Series 5182, Class D, 2.50%, 11/25/2043 | | |
Series 4583, Class UP, 3.00%, 7/15/2045 | | |
Series 4599, Class PA, 3.00%, 9/15/2045 | | |
Series 4718, Class DA, 3.00%, 2/15/2047 | | |
Series 5194, Class H, 2.50%, 10/25/2047 | | |
Series 5021, Class MI, IO, 3.00%, 10/25/2050 | | |
| | |
Series 2012-136, Class DL, 3.50%, 12/25/2042 | | |
Series 2024-20, Class MA, 5.00%, 11/25/2049 | | |
Series 2022-42, Class EA, 3.75%, 6/25/2052 | | |
Series 2022-43, Class P, 4.00%, 7/25/2052 | | |
GNMA Series 2021-9, Class MI, IO, 2.50%, 1/20/2051 | | |
Legacy Mortgage Asset Trust Series 2021-GS3, Class A1, 4.75%, 7/25/2061 (a) (f) | | |
LHOME Mortgage Trust Series 2024-RTL1, Class A1, 7.02%, 1/25/2029 (a) (f) | | |
New Residential Mortgage Loan Trust Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (a) (f) | | |
NYMT Loan Trust Series 2021-SP1, Class A1, 4.67%, 8/25/2061 (a) (f) | | |
Verus Securitization Trust Series 2021-2, Class M1, 2.19%, 2/25/2066 (a) (g) | | |
Total Collateralized Mortgage Obligations
(Cost $31,133,858) | | |
Commercial Mortgage-Backed Securities — 5.8% |
BAMLL Commercial Mortgage Securities Trust | | |
Series 2015-200P, Class C, 3.72%, 4/14/2033 (a) (g) | | |
Series 2015-200P, Class D, 3.72%, 4/14/2033 (a) (g) | | |
Beast Mortgage Trust Series 2021-1818, Class B, 6.90%, 3/15/2036 (a) (g) | | |
Benchmark Mortgage Trust Series 2024-V5, Class C, 7.20%, 1/10/2057 (g) | | |
BMO Mortgage Trust Series 2024-5C3, Class C, 7.09%, 2/15/2057 (g) | | |
BX Commercial Mortgage Trust | | |
Series 2021-VOLT, Class D, 7.10%, 9/15/2036 (a) (g) | | |
Series 2024-MF, Class B, 7.03%, 2/15/2039 (a) (g) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
| | |
Series 2021-RISE, Class D, 7.20%, 11/15/2036 (a) (g) | | |
Series 2022-LBA6, Class D, 7.34%, 1/15/2039 (a) (g) | | |
Citigroup Commercial Mortgage Trust | | |
Series 2021-PRM2, Class F, 9.20%, 10/15/2038 (a) (g) | | |
Series 2015-GC27, Class B, 3.77%, 2/10/2048 | | |
Series 2015-GC27, Class C, 4.56%, 2/10/2048 (g) | | |
Series 2015-GC29, Class C, 4.27%, 4/10/2048 (g) | | |
Series 2015-GC31, Class C, 4.17%, 6/10/2048 (g) | | |
Commercial Mortgage Trust | | |
Series 2014-UBS5, Class C, 4.76%, 9/10/2047 (g) | | |
Series 2014-CR20, Class C, 4.53%, 11/10/2047 (g) | | |
Series 2015-CR26, Class B, 4.61%, 10/10/2048 (g) | | |
Series 2015-PC1, Class B, 4.42%, 7/10/2050 (g) | | |
CSAIL Commercial Mortgage Trust | | |
Series 2015-C4, Class E, 3.71%, 11/15/2048 (g) | | |
Series 2015-C2, Class C, 4.31%, 6/15/2057 (g) | | |
| | |
Series 2024-ELM, Class B10, 6.20%, 6/10/2039 (a) (g) | | |
Series 2024-ELM, Class C10, 6.40%, 6/10/2039 (a) (g) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series K068, Class X1, IO, 0.55%, 8/25/2027 (g) | | |
Series K111, Class X3, IO, 3.29%, 4/25/2048 (g) | | |
Series K110, Class X3, IO, 3.52%, 6/25/2048 (g) | | |
Series K115, Class X3, IO, 3.06%, 9/25/2048 (g) | | |
Series K125, Class X3, IO, 2.74%, 2/25/2049 (g) | | |
| | |
|
| | |
Series 2018-K732, Class C, 4.20%, 5/25/2025 (a) (g) | | |
Series 2018-K82, Class X2A, IO, 0.10%, 9/25/2028 (a) | | |
Series 2018-K82, Class D, PO, , 10/25/2028 (a) | | |
Series 2018-K82, Class X2B, IO, 0.10%, 10/25/2028 (a) | | |
Series 2014-K41, Class C, 3.96%, 11/25/2047 (a) (g) | | |
Series 2016-K57, Class C, 4.05%, 8/25/2049 (a) (g) | | |
Series 2016-K58, Class C, 3.87%, 9/25/2049 (a) (g) | | |
Series 2017-K68, Class D, PO, , 10/25/2049 (a) | | |
Series 2020-K113, Class D, PO, , 5/25/2053 (a) | | |
Series 2020-K739, Class D, PO, , 11/25/2053 (a) | | |
Series 2020-K739, Class X2A, IO, 0.10%, 11/25/2053 (a) | | |
Series 2020-K739, Class X2B, IO, 0.10%, 11/25/2053 (a) | | |
GS Mortgage Securities Trust | | |
Series 2016-GS2, Class B, 3.76%, 5/10/2049 (g) | | |
Series 2017-GS5, Class D, 3.51%, 3/10/2050 (a) (g) | | |
Independence Plaza Trust Series 2018-INDP, Class C, 4.16%, 7/10/2035 (a) | | |
JPMBB Commercial Mortgage Securities Trust | | |
Series 2015-C31, Class C, 4.78%, 8/15/2048 (g) | | |
Series 2016-C1, Class D1, 4.36%, 3/17/2049 (a) (g) | | |
JPMCC Commercial Mortgage Securities Trust | | |
Series 2017-JP5, Class C, 3.90%, 3/15/2050 (g) | | |
Series 2017-JP5, Class D, 4.65%, 3/15/2050 (a) (g) | | |
JPMorgan Chase Commercial Mortgage Securities Trust | | |
Series 2013-C16, Class D, 5.05%, 12/15/2046 (a) (g) | | |
Series 2015-JP1, Class C, 4.88%, 1/15/2049 (g) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Commercial Mortgage-Backed Securities — continued |
Series 2016-JP3, Class C, 3.56%, 8/15/2049 (g) | | |
Life Mortgage Trust Series 2021-BMR, Class C, 6.55%, 3/15/2038 (a) (g) | | |
MHC Commercial Mortgage Trust Series 2021-MHC, Class D, 7.05%, 4/15/2038 (a) (g) | | |
Morgan Stanley Bank of America Merrill Lynch Trust | | |
Series 2015-C24, Class D, 3.26%, 5/15/2048 (a) | | |
Series 2015-C25, Class B, 4.67%, 10/15/2048 (g) | | |
SDR Commercial Mortgage Trust | | |
Series 2024-DSNY, Class A, 6.73%, 5/15/2039 (a) (g) | | |
Series 2024-DSNY, Class B, 7.08%, 5/15/2039 (a) (g) | | |
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048 | | |
SMRT Series 2022-MINI, Class E, 8.04%, 1/15/2039 (a) (g) | | |
STWD Mortgage Trust (Cayman Islands) Series 2021-LIH, Class B, 7.11%, 11/15/2036 (a) (g) | | |
Wells Fargo Commercial Mortgage Trust | | |
Series 2015-NXS4, Class B, 4.22%, 12/15/2048 (g) | | |
Series 2015-LC22, Class D, 4.69%, 9/15/2058 (g) | | |
WFRBS Commercial Mortgage Trust | | |
Series 2013-C11, Class C, 4.14%, 3/15/2045 (g) | | |
Series 2014-C21, Class C, 4.23%, 8/15/2047 (g) | | |
Series 2014-C25, Class B, 4.24%, 11/15/2047 (g) | | |
Series 2014-C22, Class C, 3.87%, 9/15/2057 (g) | | |
Series 2014-C22, Class AS, 4.07%, 9/15/2057 (g) | | |
Total Commercial Mortgage-Backed Securities
(Cost $26,767,796) | | |
Foreign Government Securities — 1.1% |
Arab Republic of Egypt 7.60%, 3/1/2029 (c) | | |
Benin Government Bond 7.96%, 2/13/2038 (a) | | |
Dominican Republic Government Bond | | |
| | |
| | |
|
| | |
| | |
| | |
Federal Republic of Nigeria, 6.50%, 11/28/2027 (c) | | |
Gabonese Republic 6.95%, 6/16/2025 (c) | | |
Hashemite Kingdom of Jordan | | |
| | |
| | |
Islamic Republic of Pakistan 7.38%, 4/8/2031 (a) | | |
Istanbul Metropolitan Municipality 10.50%, 12/6/2028 (a) | | |
| | |
| | |
| | |
Republic of Cote d'Ivoire | | |
| | |
5.75%, 12/31/2032 (c) (f) | | |
| | |
Republic of Ecuador 6.90%, 7/31/2030 (c) (f) | | |
Republic of El Salvador 8.63%, 2/28/2029 (c) | | |
Republic of Iraq 5.80%, 1/15/2028 (c) | | |
Republic of Kenya 9.75%, 2/16/2031 (a) | | |
Republic of Senegal 6.25%, 5/23/2033 (c) | | |
Total Foreign Government Securities
(Cost $4,789,422) | | |
Municipal Bonds — 0.0% (g) (i) ^ |
|
California Housing Finance Agency Series 2021-1, Class X, Rev., 0.80%, 11/20/2035 (Cost $96,397) | | |
| | |
Short-Term Investments — 3.3% |
Investment Companies — 3.0% |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (j) (k)
(Cost $13,387,586) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
U.S. Treasury Obligations — 0.3% |
U.S. Treasury Bills, 4.87%, 1/30/2025 (l) (m)
(Cost $997,670) | | |
Total Short-Term Investments
(Cost $14,385,256) | | |
Total Investments — 100.0%
(Cost $440,724,071) | | |
Other Assets Less Liabilities — 0.0% ^ | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2024. |
| Collateralized Loan Obligations |
| Chicago Mercantile Exchange |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| Intercontinental Exchange |
| 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. |
| |
| 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. |
| Real Estate Investment Trust |
| Real Estate Mortgage Investment Conduit |
| |
| Limited partnership with share capital |
| Secured Overnight Financing Rate |
| Compounding index of the Secured Overnight Financing Rate |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2024. | |
| 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. | |
| Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
| | |
| 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 August 31, 2024. | |
| 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 August 31, 2024. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
| 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. | |
| The rate shown is the current yield as of August 31, 2024. | |
| The rate shown is the effective yield as of August 31, 2024. | |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
Futures contracts outstanding as of August 31, 2024:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
| | | | | |
U.S. Treasury 10 Year Note | | | | | |
U.S. Treasury 10 Year Ultra Note | | | | | |
| | | | | |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
|
Aerospace & Defense — 0.3% |
BAE Systems Holdings, Inc. (United Kingdom) 3.80%, 10/7/2024 (a) | | |
L3Harris Technologies, Inc. |
| | |
| | |
| | |
|
BMW US Capital LLC (Germany) |
(SOFRINDX + 0.84%), 6.24%, 4/1/2025 (a) (b) | | |
(SOFRINDX + 0.62%), 5.99%, 8/11/2025 (a) (b) | | |
(SOFRINDX + 0.55%), 5.95%, 4/2/2026 (a) (b) | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
(SOFR + 1.32%), 6.69%, 11/3/2025 (a) (b) | | |
| | |
| | |
| | |
| | |
| | |
Mercedes-Benz Finance North America LLC (Germany) |
| | |
| | |
| | |
Volkswagen Group of America Finance LLC (Germany) |
| | |
| | |
(SOFR + 0.93%), 6.32%, 9/12/2025 (a) (b) | | |
| | |
| | |
(SOFR + 0.83%), 6.24%, 3/20/2026 (a) (b) | | |
| | |
| | |
| | |
|
|
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) | | |
Australia & New Zealand Banking Group Ltd. (Australia) |
| | |
| | |
(SOFR + 0.56%), 5.97%, 3/18/2026 (a) (b) | | |
Banco Santander SA (Spain) |
| | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 5.55%, 3/14/2028 (b) | | |
|
(3-MONTH CME TERM SOFR + 1.35%), 3.09%, 10/1/2025 (b) | | |
(3-MONTH CME TERM SOFR + 0.90%), 2.02%, 2/13/2026 (b) | | |
(SOFR + 1.01%), 1.20%, 10/24/2026 (b) (c) | | |
(SOFR + 1.29%), 5.08%, 1/20/2027 (b) | | |
Bank of America NA (SOFR + 0.78%), 6.12%, 8/18/2025 (b) | | |
Bank of Montreal (Canada) |
(SOFRINDX + 0.71%), 6.10%, 12/12/2024 (b) | | |
| | |
(SOFRINDX + 1.16%), 6.57%, 12/11/2026 (b) | | |
Bank of New Zealand (New Zealand) 4.85%, 2/7/2028 (a) | | |
Bank of Nova Scotia (The) (Canada) |
| | |
(SOFR + 0.46%), 5.83%, 1/10/2025 (b) | | |
| | |
| | |
| | |
| | |
Banque Federative du Credit Mutuel SA (France) |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Barclays plc (United Kingdom) (SOFR + 2.71%), 2.85%, 5/7/2026 (b) | | |
BNP Paribas SA (France) 3.38%, 1/9/2025 (a) | | |
|
| | |
(SOFR + 0.96%), 6.34%, 9/25/2025 (a) (b) | | |
| | |
| | |
| | |
Canadian Imperial Bank of Commerce (Canada) |
(SOFRINDX + 0.94%), 6.32%, 4/7/2025 (b) | | |
| | |
| | |
| | |
Capital One NA (SOFR + 0.91%), 2.28%, 1/28/2026 (b) | | |
|
(SOFRINDX + 0.59%), 5.97%, 4/30/2026 (b) | | |
| | |
|
(SOFR + 0.69%), 6.04%, 10/30/2024 (b) | | |
(SOFR + 0.53%), 1.28%, 11/3/2025 (b) | | |
| | |
(SOFR + 0.69%), 2.01%, 1/25/2026 (b) | | |
(SOFR + 1.53%), 3.29%, 3/17/2026 (b) | | |
(3-MONTH CME TERM SOFR + 1.51%), 6.84%, 7/1/2026 (b) | | |
Citizens Bank NA (SOFR + 1.02%), 5.28%, 1/26/2026 (b) | | |
Commonwealth Bank of Australia (Australia) (SOFR + 0.74%), 6.13%, 3/14/2025 (a) (b) | | |
Cooperatieve Rabobank UA (Netherlands) 3.38%, 5/21/2025 | | |
Credit Agricole SA (France) |
| | |
| | |
| | |
| | |
|
|
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.18%), 6.26%, 9/22/2026 (a) (b) | | |
DNB Bank ASA (Norway) (SOFRINDX + 1.95%), 5.90%, 10/9/2026 (a) (b) | | |
Federation des Caisses Desjardins du Quebec (Canada) |
| | |
(SOFRINDX + 1.09%), 5.28%, 1/23/2026 (a) (b) | | |
Fifth Third Bancorp 2.55%, 5/5/2027 | | |
Fifth Third Bank NA 3.95%, 7/28/2025 | | |
HSBC Holdings plc (United Kingdom) |
(3-MONTH CME TERM SOFR + 1.40%), 2.63%, 11/7/2025 (b) | | |
(SOFR + 1.54%), 1.65%, 4/18/2026 (b) | | |
(SOFR + 1.93%), 2.10%, 6/4/2026 (b) | | |
HSBC USA, Inc. 5.63%, 3/17/2025 | | |
ING Groep NV (Netherlands) |
| | |
(SOFR + 1.64%), 3.87%, 3/28/2026 (b) | | |
(SOFR + 1.56%), 6.08%, 9/11/2027 (b) | | |
|
| | |
| | |
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) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.72%, 8/11/2026 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.38%), 5.46%, 1/5/2028 (b) | | |
Mitsubishi UFJ Financial Group, Inc. (Japan) |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.06%, 9/12/2025 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 0.96%, 10/11/2025 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 5.72%, 2/20/2026 (b) | | |
Mizuho Financial Group, Inc. (Japan) |
(3-MONTH CME TERM SOFR + 1.36%), 2.56%, 9/13/2025 (b) | | |
| | |
(3-MONTH CME TERM SOFR + 1.09%), 2.23%, 5/25/2026 (b) | | |
|
(SOFR + 1.08%), 4.95%, 1/14/2028 (b) | | |
(SOFR + 0.93%), 4.97%, 7/14/2028 (b) | | |
National Australia Bank Ltd. (Australia) |
| | |
(SOFR + 0.65%), 6.07%, 12/10/2025 (a) (b) | | |
(SOFR + 0.55%), 5.93%, 1/29/2026 (a) (b) | | |
National Bank of Canada (Canada) |
| | |
(SOFRINDX + 0.90%), 6.30%, 3/25/2027 (b) (c) | | |
NatWest Group plc (United Kingdom) |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 5.85%, 3/2/2027 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 5.58%, 3/1/2028 (b) | | |
PNC Financial Services Group, Inc. (The) |
(SOFRINDX + 1.09%), 5.67%, 10/28/2025 (b) | | |
(SOFR + 1.32%), 5.81%, 6/12/2026 (b) | | |
(SOFRINDX + 1.09%), 4.76%, 1/26/2027 (b) | | |
Royal Bank of Canada (Canada) 4.88%, 1/19/2027 | | |
Santander Holdings USA, Inc. 3.45%, 6/2/2025 | | |
| | |
|
|
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) | | |
Societe Generale SA (France) |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.23%, 1/21/2026 (a) (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.52%, 1/19/2028 (a) (b) | | |
Standard Chartered plc (United Kingdom) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.10%), 7.78%, 11/16/2025 (a) (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.95%), 1.82%, 11/23/2025 (a) (b) | | |
(SOFR + 1.74%), 7.12%, 3/30/2026 (a) (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.85%), 6.19%, 7/6/2027 (a) (b) (c) | | |
Sumitomo Mitsui Financial Group, Inc. (Japan) |
| | |
| | |
Sumitomo Mitsui Trust Bank Ltd. (Japan) |
(SOFR + 0.44%), 5.83%, 9/16/2024 (a) (b) | | |
| | |
| | |
Svenska Handelsbanken AB (Sweden) 5.25%, 6/15/2026 (a) | | |
Toronto-Dominion Bank (The) (Canada) (SOFR + 0.48%), 5.85%, 10/10/2025 (b) (c) | | |
Truist Financial Corp. 4.00%, 5/1/2025 | | |
|
(SOFR + 1.32%), 3.91%, 4/25/2026 (b) | | |
(SOFR + 2.00%), 2.19%, 4/30/2026 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
(SOFR + 1.56%), 4.54%, 8/15/2026 (b) (c) | | |
|
| | |
(SOFR + 1.07%), 6.48%, 12/11/2026 (b) | | |
Westpac Banking Corp. (Australia) (SOFR + 0.55%), 5.93%, 1/29/2026 (a) (b) | | |
Westpac New Zealand Ltd. (New Zealand) |
| | |
| | |
| | |
|
Constellation Brands, Inc. |
| | |
| | |
Suntory Holdings Ltd. (Japan) 2.25%, 10/16/2024 (a) | | |
| | |
|
|
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
Bank of New York Mellon (The) (SOFR + 0.45%), 5.84%, 3/13/2026 (b) | | |
Bank of New York Mellon Corp. (The) (SOFR + 1.35%), 4.41%, 7/24/2026 (b) | | |
|
(SOFR + 0.77%), 6.18%, 3/18/2027 (b) | | |
(SOFR + 0.75%), 5.41%, 5/21/2027 (b) | | |
Goldman Sachs Group, Inc. (The) |
(SOFR + 0.49%), 5.87%, 10/21/2024 (b) | | |
| | |
| | |
|
Capital Markets — continued |
| | |
(3-MONTH CME TERM SOFR + 1.46%), 3.27%, 9/29/2025 (b) | | |
(SOFR + 0.61%), 0.86%, 2/12/2026 (b) | | |
| | |
(SOFR + 1.07%), 6.43%, 8/10/2026 (b) | | |
(SOFR + 0.79%), 1.09%, 12/9/2026 (b) | | |
| | |
Intercontinental Exchange, Inc. 3.65%, 5/23/2025 | | |
Macquarie Bank Ltd. (Australia) |
| | |
| | |
| | |
Macquarie Group Ltd. (Australia) (SOFR + 0.71%), 6.10%, 10/14/2025 (a) (b) | | |
Mizuho Markets Cayman LP (Japan) 5.47%, 2/14/2025 (a) | | |
|
(SOFR + 0.51%), 5.87%, 1/22/2025 (b) | | |
(SOFR + 0.56%), 1.16%, 10/21/2025 (b) | | |
(SOFR + 0.72%), 0.99%, 12/10/2026 (b) | | |
(SOFR + 1.30%), 5.05%, 1/28/2027 (b) | | |
Nomura Holdings, Inc. (Japan) |
| | |
| | |
|
(SOFR + 0.94%), 2.35%, 11/1/2025 (b) | | |
(SOFR + 1.02%), 4.53%, 2/20/2029 (b) | | |
|
| | |
(SOFR + 0.93%), 6.34%, 9/11/2025 (b) | | |
UBS Group AG (Switzerland) |
| | |
(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Capital Markets — continued |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 4.49%, 5/12/2026 (a) (b) | | |
(SOFR + 2.04%), 2.19%, 6/5/2026 (a) (b) | | |
(SOFR + 3.34%), 6.37%, 7/15/2026 (a) (b) | | |
| | |
|
Eastman Chemical Co. 3.80%, 3/15/2025 | | |
|
| | |
| | |
Westlake Corp. 3.60%, 8/15/2026 | | |
| | |
Commercial Services & Supplies — 0.5% |
Element Fleet Management Corp. (Canada) |
| | |
| | |
| | |
Communications Equipment — 0.1% |
Cisco Systems, Inc. 4.80%, 2/26/2027 | | |
|
AerCap Ireland Capital DAC (Ireland) |
| | |
| | |
| | |
|
| | |
| | |
(SOFR + 1.00%), 4.99%, 5/1/2026 (b) | | |
| | |
| | |
(SOFR + 1.00%), 5.10%, 2/16/2028 (b) | | |
(SOFR + 0.93%), 5.04%, 7/26/2028 (b) | | |
American Honda Finance Corp. |
(SOFRINDX + 0.70%), 6.04%, 11/22/2024 (b) | | |
Series A, 4.60%, 4/17/2025 | | |
| | |
|
Consumer Finance — continued |
(SOFRINDX + 0.78%), 6.16%, 4/23/2025 (b) | | |
| | |
(SOFR + 0.50%), 5.87%, 10/10/2025 (b) | | |
Avolon Holdings Funding Ltd. (Ireland) 2.88%, 2/15/2025 (a) | | |
Capital One Financial Corp. |
| | |
| | |
(SOFR + 1.29%), 2.64%, 3/3/2026 (b) | | |
(SOFR + 2.16%), 4.99%, 7/24/2026 (b) | | |
(SOFR + 0.86%), 1.88%, 11/2/2027 (b) | | |
Caterpillar Financial Services Corp. |
(SOFR + 0.45%), 5.79%, 11/14/2024 (b) | | |
| | |
General Motors Financial Co., Inc. |
| | |
| | |
|
(SOFR + 0.50%), 5.88%, 7/3/2025 (b) (c) | | |
(SOFR + 0.48%), 5.84%, 10/22/2025 (b) | | |
(SOFR + 0.44%), 5.84%, 3/6/2026 (b) | | |
Toyota Motor Credit Corp. |
(SOFR + 0.55%), 5.89%, 10/16/2024 (b) | | |
(SOFR + 0.35%), 5.70%, 4/14/2025 (b) | | |
(SOFR + 0.65%), 6.05%, 1/5/2026 (b) | | |
(SOFR + 0.77%), 6.12%, 8/7/2026 (b) | | |
| | |
Consumer Staples Distribution & Retail — 0.2% |
7-Eleven, Inc. 0.95%, 2/10/2026 (a) | | |
Dollar General Corp. 3.88%, 4/15/2027 (c) | | |
Kroger Co. (The) 4.70%, 8/15/2026 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Containers & Packaging — 0.0% ^ |
Sonoco Products Co. 1.80%, 2/1/2025 (c) | | |
|
WP Carey, Inc. 4.00%, 2/1/2025 | | |
Diversified Telecommunication Services — 0.1% |
NBN Co. Ltd. (Australia) 0.88%, 10/8/2024 (a) | | |
Telstra Corp. Ltd. (Australia) 3.13%, 4/7/2025 (a) | | |
| | |
Electric Utilities — 2.7% |
American Electric Power Co., Inc. Series N, 1.00%, 11/1/2025 | | |
Arizona Public Service Co. 2.55%, 9/15/2026 | | |
|
| | |
| | |
| | |
Enel Finance International NV (Italy) |
| | |
| | |
6.80%, 10/14/2025 (a) (d) | | |
| | |
|
| | |
| | |
Evergy, Inc. 2.45%, 9/15/2024 | | |
Eversource Energy 5.00%, 1/1/2027 | | |
|
| | |
| | |
| | |
|
Series A, 2.20%, 9/15/2024 | | |
(SOFRINDX + 0.75%), 6.10%, 5/8/2025 (b) | | |
| | |
Interstate Power and Light Co. 3.25%, 12/1/2024 | | |
NextEra Energy Capital Holdings, Inc. |
| | |
| | |
| | |
| | |
|
Electric Utilities — continued |
| | |
| | |
Niagara Mohawk Power Corp. 3.51%, 10/1/2024 (a) | | |
Pinnacle West Capital Corp. 1.30%, 6/15/2025 | | |
PPL Capital Funding, Inc. 3.10%, 5/15/2026 | | |
Southwestern Electric Power Co. Series K, 2.75%, 10/1/2026 | | |
Virginia Power Fuel Securitization LLC Series A-1, 5.09%, 5/1/2027 | | |
Xcel Energy, Inc. 3.30%, 6/1/2025 | | |
| | |
Energy Equipment & Services — 0.0% ^ |
Schlumberger Holdings Corp. 4.00%, 12/21/2025 (a) | | |
|
Netflix, Inc. 5.88%, 2/15/2025 | | |
Take-Two Interactive Software, Inc. |
| | |
| | |
| | |
Financial Services — 0.8% |
Corebridge Financial, Inc. 3.50%, 4/4/2025 | | |
|
| | |
| | |
Global Payments, Inc. 2.65%, 2/15/2025 | | |
National Rural Utilities Cooperative Finance Corp. (SOFR + 0.70%), 6.05%, 5/7/2025 (b) | | |
NTT Finance Corp. (Japan) 1.16%, 4/3/2026 (a) | | |
| | |
|
|
| | |
| | |
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Food Products — continued |
Mondelez International Holdings Netherlands BV |
| | |
| | |
Tyson Foods, Inc. 4.00%, 3/1/2026 | | |
| | |
Ground Transportation — 0.5% |
Canadian Pacific Railway Co. (Canada) 1.35%, 12/2/2024 | | |
Penske Truck Leasing Co. LP |
| | |
| | |
| | |
| | |
| | |
| | |
Health Care Equipment & Supplies — 0.1% |
Baxter International, Inc. 2.60%, 8/15/2026 | | |
Becton Dickinson & Co. 3.73%, 12/15/2024 | | |
Zimmer Biomet Holdings, Inc. 1.45%, 11/22/2024 | | |
| | |
Health Care Providers & Services — 1.0% |
Cardinal Health, Inc. 3.75%, 9/15/2025 | | |
|
| | |
| | |
| | |
|
| | |
| | |
|
| | |
| | |
| | |
Humana, Inc. 4.50%, 4/1/2025 | | |
Laboratory Corp. of America Holdings |
| | |
| | |
| | |
| | |
|
|
Healthpeak OP LLC 3.40%, 2/1/2025 | | |
Ventas Realty LP 3.50%, 2/1/2025 | | |
| | |
Hotels, Restaurants & Leisure — 0.2% |
Marriott International, Inc. |
Series EE, 5.75%, 5/1/2025 | | |
| | |
| | |
|
AEGON Funding Co. LLC (Netherlands) 5.50%, 4/16/2027 (a) | | |
Aon North America, Inc. 5.13%, 3/1/2027 | | |
Athene Global Funding 4.86%, 8/27/2026 (a) | | |
Brighthouse Financial Global Funding |
| | |
| | |
| | |
CNA Financial Corp. 4.50%, 3/1/2026 | | |
Corebridge Global Funding |
| | |
| | |
(SOFR + 1.30%), 6.70%, 9/25/2026 (a) (b) | | |
| | |
Equitable Financial Life Global Funding 1.10%, 11/12/2024 (a) | | |
Jackson National Life Global Funding |
| | |
| | |
| | |
MassMutual Global Funding II (SOFR + 0.98%), 6.35%, 7/10/2026 (a) (b) | | |
Met Tower Global Funding 4.85%, 1/16/2027 (a) | | |
Metropolitan Life Global Funding I (SOFRINDX + 0.57%), 5.96%, 4/9/2026 (a) (b) | | |
New York Life Global Funding |
(SOFRINDX + 0.58%), 5.97%, 1/16/2026 (a) (b) | | |
(SOFR + 0.67%), 6.07%, 4/2/2027 (a) (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Pacific Life Global Funding II |
(SOFRINDX + 0.86%), 6.27%, 6/16/2025 (a) (b) | | |
| | |
(SOFR + 0.60%), 5.98%, 3/27/2026 (a) (b) | | |
(SOFRINDX + 1.05%), 6.43%, 7/28/2026 (a) (b) | | |
Principal Life Global Funding II |
| | |
(SOFR + 0.90%), 6.23%, 8/28/2025 (a) (b) | | |
| | |
| | |
Protective Life Global Funding 4.99%, 1/12/2027 (a) | | |
Reliance Standard Life Global Funding II |
| | |
| | |
| | |
| | |
Life Sciences Tools & Services — 0.1% |
Thermo Fisher Scientific, Inc. 1.22%, 10/18/2024 | | |
|
Daimler Truck Finance North America LLC (Germany) |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Otis Worldwide Corp. 2.06%, 4/5/2025 | | |
Stanley Black & Decker, Inc. 2.30%, 2/24/2025 | | |
| | |
|
Cox Communications, Inc. 3.35%, 9/15/2026 (a) | | |
Omnicom Group, Inc. 3.65%, 11/1/2024 | | |
| | |
| | |
|
|
Anglo American Capital plc (South Africa) 3.63%, 9/11/2024 (a) | | |
Newmont Corp. 5.30%, 3/15/2026 (a) | | |
| | |
|
|
| | |
| | |
CenterPoint Energy, Inc. 2.50%, 9/1/2024 | | |
|
Series C, 2.53%, 10/1/2024 (d) | | |
| | |
Series F, 1.05%, 6/1/2025 | | |
| | |
| | |
NiSource, Inc. 3.49%, 5/15/2027 | | |
| | |
|
Boston Properties LP 3.20%, 1/15/2025 | | |
Kilroy Realty LP 3.45%, 12/15/2024 | | |
| | |
Oil, Gas & Consumable Fuels — 1.5% |
ConocoPhillips Co. 2.40%, 3/7/2025 | | |
Enbridge, Inc. (Canada) 2.50%, 1/15/2025 | | |
Energy Transfer LP 4.75%, 1/15/2026 | | |
Enterprise Products Operating LLC 4.60%, 1/11/2027 | | |
|
| | |
| | |
|
| | |
| | |
|
| | |
| | |
Phillips 66 3.85%, 4/9/2025 | | |
Pioneer Natural Resources Co. 5.10%, 3/29/2026 | | |
Sabine Pass Liquefaction LLC 5.63%, 3/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
Spectra Energy Partners LP 3.50%, 3/15/2025 | | |
TransCanada PipeLines Ltd. (Canada) 1.00%, 10/12/2024 | | |
Williams Cos., Inc. (The) |
| | |
| | |
| | |
Paper & Forest Products — 0.0% ^ |
Georgia-Pacific LLC 0.95%, 5/15/2026 (a) | | |
Personal Care Products — 0.2% |
Haleon UK Capital plc 3.13%, 3/24/2025 | | |
|
Bayer US Finance II LLC (Germany) 4.25%, 12/15/2025 (a) | | |
Bayer US Finance LLC (Germany) 3.38%, 10/8/2024 (a) | | |
Bristol-Myers Squibb Co. (SOFR + 0.49%), 5.85%, 2/20/2026 (b) | | |
EMD Finance LLC (Germany) 3.25%, 3/19/2025 (a) | | |
| | |
Professional Services — 0.1% |
Equifax, Inc. 2.60%, 12/1/2024 | | |
Semiconductors & Semiconductor Equipment — 0.1% |
Microchip Technology, Inc. |
| | |
| | |
|
| | |
| | |
| | |
|
Oracle Corp. 2.50%, 4/1/2025 | | |
Roper Technologies, Inc. 2.35%, 9/15/2024 | | |
| | |
|
|
| | |
| | |
| | |
|
Specialized REITs — continued |
| | |
| | |
Crown Castle, Inc. 4.45%, 2/15/2026 | | |
| | |
|
|
| | |
| | |
| | |
|
| | |
| | |
|
| | |
| | |
| | |
Technology Hardware, Storage & Peripherals — 0.4% |
|
| | |
| | |
| | |
Hewlett Packard Enterprise Co. 5.90%, 10/1/2024 | | |
| | |
|
Altria Group, Inc. 2.35%, 5/6/2025 | | |
BAT Capital Corp. (United Kingdom) |
| | |
| | |
Philip Morris International, Inc. 3.38%, 8/11/2025 | | |
Reynolds American, Inc. (United Kingdom) 4.45%, 6/12/2025 | | |
| | |
Trading Companies & Distributors — 0.0% ^ |
TTX Co. 5.50%, 9/25/2026 (a) | | |
Transportation Infrastructure — 0.0% ^ |
Sydney Airport Finance Co. Pty. Ltd. (Australia) 3.63%, 4/28/2026 (a) | | |
|
American Water Capital Corp. 3.40%, 3/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Wireless Telecommunication Services — 0.3% |
T-Mobile USA, Inc. 3.50%, 4/15/2025 | | |
Total Corporate Bonds
(Cost $13,018,985,993) | | |
Asset-Backed Securities — 12.8% |
AIMCO CLO (Cayman Islands) Series 2018-AA, Class A, 6.57%, 4/17/2031 (a) (e) | | |
Aimco CLO Ltd. (Cayman Islands) | | |
Series 2020-12A, Class XR, 6.14%, 1/17/2032 (a) (e) | | |
Series 2020-12A, Class AR, 6.46%, 1/17/2032 (a) (e) | | |
Ally Auto Receivables Trust | | |
Series 2024-1, Class A2, 5.32%, 1/15/2027 | | |
Series 2022-3, Class A3, 5.07%, 4/15/2027 | | |
Series 2022-2, Class A3, 4.76%, 5/17/2027 | | |
American Express Credit Account Master Trust Series 2022-2, Class A, 3.39%, 5/15/2027 | | |
AmeriCredit Automobile Receivables Trust Series 2022-2, Class A3, 4.38%, 4/18/2028 | | |
Apidos CLO (Cayman Islands) | | |
Series 2016-24A, Class A1AL, 6.49%, 10/20/2030 (a) (e) | | |
Series 2018-18A, Class AR, 6.43%, 10/22/2030 (a) (e) | | |
Series 2019-31A, Class A1R, 6.66%, 4/15/2031 (a) (e) | | |
Series XXXA, Class A1AR, 6.28%, 10/18/2031 (a) (e) | | |
Series 2016-25A, Class A1R2, 6.43%, 10/20/2031 (a) (e) | | |
Ares CLO Ltd. (Cayman Islands) | | |
Series 2016-40A, Class A1RR, 6.43%, 1/15/2029 (a) (e) | | |
Series 2015-4A, Class A1RR, 6.38%, 10/15/2030 (a) (e) | | |
Series 2013-2A, Class XR2, 6.48%, 10/28/2034 (a) (e) | | |
ARI Fleet Lease Trust Series 2023-A, Class A2, 5.41%, 2/17/2032 (a) | | |
Assurant CLO Ltd. (Cayman Islands) Series 2019-4A, Class AR, 6.62%, 4/20/2030 (a) (e) | | |
| | |
|
Atlas Senior Loan Fund Ltd. (Cayman Islands) Series 2021-18A, Class X, 6.39%, 1/18/2035 (a) (e) | | |
BA Credit Card Trust Series 2022-A1, Class A1, 3.53%, 11/15/2027 | | |
Bain Capital Credit CLO (Cayman Islands) Series 2019-1A, Class X, 6.37%, 4/19/2034 (a) (e) | | |
Bain Capital Credit CLO Ltd. (Cayman Islands) Series 2020-3A, Class X, 6.39%, 10/23/2034 (a) (e) | | |
Ballyrock CLO Ltd. (Cayman Islands) | | |
Series 2020-2A, Class A1R, 6.55%, 10/20/2031 (a) (e) | | |
Series 2019-1A, Class A1R, 6.59%, 7/15/2032 (a) (e) | | |
Bank of America Auto Trust Series 2023-2A, Class A2, 5.85%, 8/17/2026 (a) | | |
Barings CLO Ltd. (Cayman Islands) | | |
Series 2018-4A, Class A1R, 6.45%, 10/15/2030 (a) (e) | | |
Series 2020-4A, Class A, 6.76%, 1/20/2032 (a) (e) | | |
BMW Vehicle Lease Trust Series 2024-1, Class A2A, 5.10%, 7/27/2026 | | |
BMW Vehicle Owner Trust Series 2023-A, Class A2A, 5.72%, 4/27/2026 | | |
Buttermilk Park CLO Ltd. (Cayman Islands) Series 2018-1A, Class A1R, 6.38%, 10/15/2031 (a) (e) | | |
Capital One Multi-Asset Execution Trust Series 2022-A2, Class A, 3.49%, 5/15/2027 | | |
Capital One Prime Auto Receivables Trust Series 2021-1, Class A3, 0.77%, 9/15/2026 | | |
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands) Series 2015-1A, Class AR3, 6.52%, 7/20/2031 (a) (e) | | |
CARLYLE US CLO Ltd. (Cayman Islands) Series 2018-2A, Class A1R, 6.45%, 10/15/2031 (a) (e) | | |
CarVal CLO Ltd. (Cayman Islands) Series 2018-1A, Class AR, 6.52%, 7/16/2031 (a) (e) | | |
CCG Receivables Trust Series 2023-2, Class A2, 6.28%, 4/14/2032 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Asset-Backed Securities — continued |
Cedar Funding II CLO Ltd. (Cayman Islands) Series 2013-1A, Class AXR, 6.39%, 4/20/2034 (a) (e) | | |
Chesapeake Funding LLC (Canada) Series 2023-2A, Class A1, 6.16%, 10/15/2035 (a) | | |
CIFC Funding Ltd. (Cayman Islands) Series 2018-4A, Class A1, 6.70%, 10/17/2031 (a) (e) | | |
Citibank Credit Card Issuance Trust Series 2023-A2, Class A2, 5.98%, 12/8/2027 (e) | | |
| | |
Series 2022-A, Class A3, 2.94%, 7/15/2027 | | |
Series 2024-A, Class A2, 5.19%, 7/15/2027 | | |
Dell Equipment Finance Trust | | |
Series 2023-1, Class A3, 5.65%, 9/22/2028 (a) | | |
Series 2023-2, Class A2, 5.84%, 1/22/2029 (a) | | |
Series 2023-3, Class A2, 6.10%, 4/23/2029 (a) | | |
Series 2024-1, Class A2, 5.58%, 3/22/2030 (a) | | |
Dewolf Park CLO Ltd. Series 2017-1A, Class AR, 6.48%, 10/15/2030 (a) (e) | | |
Discover Card Execution Note Trust Series 2022-A3, Class A3, 3.56%, 7/15/2027 | | |
Dllad LLC Series 2024-1A, Class A2, 5.50%, 8/20/2027 (a) | | |
Dryden CLO Ltd. (Cayman Islands) Series 2018-58A, Class A1, 6.55%, 7/17/2031 (a) (e) | | |
Dryden Senior Loan Fund (Cayman Islands) | | |
Series 2017-47A, Class A1R, 6.54%, 4/15/2028 (a) (e) | | |
Series 2013-30A, Class AR, 6.20%, 11/15/2028 (a) (e) | | |
Series 2013-26A, Class AR, 6.46%, 4/15/2029 (a) (e) | | |
Series 2014-36A, Class AR3, 6.58%, 4/15/2029 (a) (e) | | |
Series 2017-49A, Class AR, 6.49%, 7/18/2030 (a) (e) | | |
Series 2015-41A, Class AR, 6.53%, 4/15/2031 (a) (e) | | |
| | |
|
Enterprise Fleet Financing LLC | | |
Series 2022-4, Class A2, 5.76%, 10/22/2029 (a) | | |
Series 2023-3, Class A2, 6.40%, 3/20/2030 (a) | | |
Flatiron CLO Ltd. (Cayman Islands) Series 2018-1A, Class A, 6.50%, 4/17/2031 (a) (e) | | |
Ford Credit Auto Owner Trust Series 2023-C, Class A2A, 5.68%, 9/15/2026 | | |
Galaxy CLO Ltd. (Cayman Islands) | | |
Series 2015-19A, Class A1RR, 6.49%, 7/24/2030 (a) (e) | | |
Series 2013-15A, Class ARR, 6.53%, 10/15/2030 (a) (e) | | |
Series 2015-20A, Class AR, 6.54%, 4/20/2031 (a) (e) | | |
Series 2018-28A, Class A1, 6.66%, 7/15/2031 (a) (e) | | |
Series 2018-26A, Class AR, 6.29%, 11/22/2031 (a) (e) | | |
Series 2016-22A, Class XRR, 6.45%, 4/16/2034 (a) (e) | | |
GM Financial Automobile Leasing Trust | | |
Series 2024-2, Class A2A, 5.43%, 9/21/2026 | | |
Series 2023-3, Class A3, 5.38%, 11/20/2026 | | |
GM Financial Consumer Automobile Receivables Trust | | |
Series 2023-3, Class A2A, 5.74%, 9/16/2026 | | |
Series 2024-1, Class A2A, 5.12%, 2/16/2027 | | |
Series 2024-2, Class A2A, 5.33%, 3/16/2027 | | |
| | |
Series 2018-1A, Class A2, 6.57%, 4/15/2031 (a) (e) | | |
Series 2018-1A, Class A1, 6.59%, 4/15/2031 (a) (e) | | |
Honda Auto Receivables Owner Trust Series 2023-1, Class A2, 5.22%, 10/21/2025 | | |
Hyundai Auto Receivables Trust | | |
Series 2023-B, Class A2A, 5.77%, 5/15/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
Series 2023-A, Class A3, 4.58%, 4/15/2027 | | |
Series 2024-A, Class A2A, 5.29%, 4/15/2027 | | |
Series 2021-A, Class A4, 0.62%, 5/17/2027 | | |
Series 2024-B, Class A2A, 5.15%, 6/15/2027 | | |
ICG US CLO Ltd. (Cayman Islands) | | |
Series 2016-1A, Class XRR, 6.43%, 4/29/2034 (a) (e) | | |
Series 2014-1A, Class XR, 6.34%, 10/20/2034 (a) (e) | | |
KKR CLO Ltd. (Cayman Islands) | | |
Series 23, Class A1, 6.69%, 10/20/2031 (a) (e) | | |
Series 24, Class A1R, 6.62%, 4/20/2032 (a) (e) | | |
KKR Financial CLO Ltd. (Cayman Islands) Series 2013-1A, Class A1R2, 6.40%, 4/15/2029 (a) (e) | | |
KKR Static CLO Ltd. (Cayman Islands) Series 2022-1A, Class AR, 6.67%, 7/20/2031 (a) (e) | | |
Kubota Credit Owner Trust Series 2022-1A, Class A3, 2.67%, 10/15/2026 (a) | | |
LCM LP (Cayman Islands) Series 14A, Class AR, 6.58%, 7/20/2031 (a) (e) | | |
LCM Ltd. (Cayman Islands) | | |
Series 24A, Class AR, 6.52%, 3/20/2030 (a) (e) | | |
Series 25A, Class AR, 6.38%, 7/20/2030 (a) (e) | | |
Series 26A, Class A1, 6.61%, 1/20/2031 (a) (e) | | |
Series 29A, Class AR, 6.63%, 4/15/2031 (a) (e) | | |
Madison Park Funding Ltd. (Cayman Islands) | | |
Series 2015-17A, Class AR2, 6.54%, 7/21/2030 (a) (e) | | |
Series 2015-18A, Class ARR, 6.48%, 10/21/2030 (a) (e) | | |
Series 2014-14A, Class AR3, 6.48%, 10/22/2030 (a) (e) | | |
Series 13A, Class AR, 6.43%, 11/21/2030 (a) (e) | | |
Series 2021-52A, Class X, 6.44%, 1/22/2035 (a) (e) | | |
| | |
|
Magnetite Ltd. (Cayman Islands) | | |
Series 2015-15A, Class AR, 6.56%, 7/25/2031 (a) (e) | | |
Series 2015-12A, Class AR4, 6.45%, 10/15/2031 (a) (e) | | |
Series 2020-25A, Class A, 6.75%, 1/25/2032 (a) (e) | | |
Mercedes-Benz Auto Receivables Trust Series 2023-1, Class A2, 5.09%, 1/15/2026 | | |
Neuberger Berman CLO (Cayman Islands) Series 2013-15A, Class A1R2, 6.48%, 10/15/2029 (a) (e) | | |
Neuberger Berman CLO Ltd. (Cayman Islands) | | |
Series 2013-14A, Class AR2, 6.56%, 1/28/2030 (a) (e) | | |
Series 2017-16SA, Class XR, 6.36%, 4/15/2034 (a) (e) | | |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) | | |
Series 2017-26A, Class AR, 6.46%, 10/18/2030 (a) (e) | | |
Series 2019-31A, Class AR, 6.58%, 4/20/2031 (a) (e) | | |
Series 2020-37A, Class AR, 6.51%, 7/20/2031 (a) (e) | | |
Series 2021-40A, Class A, 6.61%, 4/16/2033 (a) (e) | | |
Newark BSL CLO Ltd. (Cayman Islands) | | |
Series 2016-1A, Class A1R, 6.63%, 12/21/2029 (a) (e) | | |
Series 2017-1A, Class A1R, 6.52%, 7/25/2030 (a) (e) | | |
Nissan Auto Receivables Owner Trust Series 2022-B, Class A3, 4.46%, 5/17/2027 | | |
OCP CLO Ltd. (Cayman Islands) | | |
Series 2017-13A, Class A1AR, 6.52%, 7/15/2030 (a) (e) | | |
Series 2014-6A, Class A1R2, 6.44%, 10/17/2030 (a) (e) | | |
Series 2018-15A, Class A1, 6.64%, 7/20/2031 (a) (e) | | |
Series 2020-8RA, Class A1, 6.77%, 1/17/2032 (a) (e) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Asset-Backed Securities — continued |
Octagon Investment Partners Ltd. (Cayman Islands) | | |
Series 2017-1A, Class A1R, 6.54%, 3/17/2030 (a) (e) | | |
Series 2013-1A, Class A1RR, 6.51%, 7/19/2030 (a) (e) | | |
Series 2018-1A, Class A1A, 6.60%, 1/20/2031 (a) (e) | | |
OHA Credit Partners Ltd. (Cayman Islands) Series 2016-13A, Class XR, 6.39%, 10/25/2034 (a) (e) | | |
OSD CLO Ltd. (Cayman Islands) Series 2021-23A, Class A, 6.42%, 4/17/2031 (a) (e) | | |
Palmer Square CLO Ltd. (Cayman Islands) Series 2014-1A, Class A1R2, 6.68%, 1/17/2031 (a) (e) | | |
Palmer Square Loan Funding Ltd. (Cayman Islands) | | |
Series 2021-2A, Class A1, 6.19%, 5/20/2029 (a) (e) | | |
Series 2021-4A, Class A1, 6.36%, 10/15/2029 (a) (e) | | |
Series 2022-1A, Class A1, 6.35%, 4/15/2030 (a) (e) | | |
Series 2022-3A, Class A1AR, 6.40%, 4/15/2031 (a) (e) | | |
Series 2024-3A, Class A1, 6.24%, 8/8/2032 (a) (e) | | |
Series 2024-1A, Class A1, 0.00%, 10/15/2032 (a) (e) (f) | | |
Porsche Financial Auto Securitization Trust | | |
Series 2023-1A, Class A2, 5.42%, 12/22/2026 (a) | | |
Series 2023-1A, Class A3, 4.81%, 9/22/2028 (a) | | |
Rad CLO Ltd. (Cayman Islands) Series 2020-7A, Class A1R, 6.64%, 4/17/2036 (a) (e) | | |
RR Ltd. (Cayman Islands) Series 2018-3A, Class A1R2, 6.65%, 1/15/2030 (a) (e) | | |
Santander Drive Auto Receivables Trust | | |
Series 2023-2, Class A3, 5.21%, 7/15/2027 | | |
Series 2023-3, Class A3, 5.61%, 10/15/2027 | | |
SBNA Auto Lease Trust Series 2024-B, Class A2, 5.67%, 11/20/2026 (a) | | |
| | |
|
SBNA Auto Receivables Trust Series 2024-A, Class A2, 5.70%, 3/15/2027 (a) | | |
SCF Equipment Leasing LLC Series 2024-1A, Class A2, 5.88%, 11/20/2029 (a) | | |
Sculptor CLO Ltd. (Cayman Islands) Series 27A, Class X, 6.59%, 7/20/2034 (a) (e) | | |
Sound Point CLO II Ltd. (Cayman Islands) Series 2013-1A, Class A1R, 6.61%, 1/26/2031 (a) (e) | | |
Sound Point CLO Ltd. (Cayman Islands) Series 2019-1A, Class AR, 6.62%, 1/20/2032 (a) (e) | | |
Symphony CLO Ltd. (Cayman Islands) | | |
Series 2018-19A, Class A, 6.51%, 4/16/2031 (a) (e) | | |
Series 2018-20A, Class AR2, 6.39%, 1/16/2032 (a) (e) | | |
Series 2020-24A, Class AR, 6.48%, 1/23/2032 (a) (e) | | |
Symphony Static CLO Ltd. (Cayman Islands) Series 2021-1A, Class A, 6.38%, 10/25/2029 (a) (e) | | |
TCI-Symphony CLO Ltd. (Cayman Islands) Series 2017-1A, Class AR, 6.49%, 7/15/2030 (a) (e) | | |
| | |
Series 2023-A, Class A2, 5.86%, 8/20/2025 (a) | | |
Series 2024-A, Class A2A, 5.37%, 6/22/2026 (a) | | |
THL Credit Wind River CLO Ltd. (Cayman Islands) Series 2014-2A, Class AR, 6.70%, 1/15/2031 (a) (e) | | |
Toyota Lease Owner Trust Series 2023-A, Class A2, 5.30%, 8/20/2025 (a) | | |
Venture CLO Ltd. (Cayman Islands) Series 2021-43A, Class X, 6.61%, 4/15/2034 (a) (e) | | |
Verizon Master Trust Series 2024-1, Class A1A, 5.00%, 12/20/2028 | | |
Volkswagen Auto Lease Trust Series 2023-A, Class A3, 5.81%, 10/20/2026 | | |
Volkswagen Auto Loan Enhanced Trust | | |
Series 2023-1, Class A2A, 5.50%, 12/21/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
Series 2023-2, Class A2A, 5.72%, 3/22/2027 | | |
Voya CLO Ltd. (Cayman Islands) Series 2017-3A, Class XR, 6.39%, 4/20/2034 (a) (e) | | |
Wheels Fleet Lease Funding LLC Series 2024-1A, Class A2, 6.17%, 2/18/2039 (a) (e) | | |
World Omni Auto Receivables Trust | | |
Series 2021-A, Class A3, 0.30%, 1/15/2026 | | |
Series 2024-A, Class A2A, 5.05%, 4/15/2027 | | |
Total Asset-Backed Securities
(Cost $3,233,334,532) | | |
Commercial Mortgage-Backed Securities — 0.0% ^ |
Benchmark Mortgage Trust Series 2018-B3, Class A2, 3.85%, 4/10/2051 | | |
Citigroup Commercial Mortgage Trust Series 2018-B2, Class A2, 3.79%, 3/10/2051 | | |
Wells Fargo Commercial Mortgage Trust Series 2018-C46, Class A2, 4.06%, 8/15/2051 | | |
Total Commercial Mortgage-Backed Securities
(Cost $6,138,262) | | |
Short-Term Investments — 34.5% |
Certificates of Deposits — 10.0% |
Bank of Nova Scotia (The) (Canada) (SOFR + 0.34%), 5.69%, 6/4/2025 (b) | | |
Bayerische Landesbank (Germany) , 5.10%, 1/10/2025 | | |
| | |
| | |
| | |
| | |
(SOFR + 0.31%), 5.66%, 3/7/2025 (b) | | |
(SOFR + 0.56%), 5.91%, 8/8/2025 (b) | | |
Canadian Imperial Bank of Commerce (Canada) (SOFR + 0.30%), 5.65%, 3/4/2025 (b) | | |
Cooperatieve Rabobank UA (Netherlands) , 5.95%, 9/12/2024 | | |
| | |
|
Certificates of Deposits — continued |
Credit Agricole Corporate and Investment Bank (France) (SOFR + 0.60%), 5.95%, 8/1/2025 (b) | | |
Credit Industriel et Commercial (France) , 5.60%, 4/29/2025 | | |
First Abu Dhabi Bank USA NV (SOFR + 0.27%), 5.62%, 9/3/2024 (b) | | |
KEB Hana Bank (South Korea) , 5.47%, 1/10/2025 | | |
Kookmin Bank (South Korea) | | |
(SOFR + 0.52%), 5.87%, 4/23/2025 (b) | | |
| | |
(SOFR + 0.56%), 5.91%, 5/27/2025 (b) | | |
(SOFR + 0.55%), 5.90%, 6/9/2025 (b) | | |
Lloyds Bank Corporate Markets plc (United Kingdom) | | |
| | |
(SOFR + 0.57%), 5.92%, 10/30/2025 (b) | | |
Mitsubishi UFJ Trust & Banking Corp. (Japan) (SOFR + 0.39%), 5.74%, 4/3/2025 (b) | | |
National Australia Bank Ltd. (Australia) (SOFR + 0.52%), 5.87%, 10/16/2024 (b) | | |
Natixis SA (France) (SOFR + 0.59%), 5.94%, 8/8/2025 (b) | | |
Nordea Bank Abp (Finland) | | |
(SOFR + 0.27%), 5.62%, 2/27/2025 (b) | | |
(SOFR + 0.30%), 5.65%, 3/21/2025 (b) | | |
Northern Trust Co. (The) , 5.40%, 9/20/2024 | | |
Shinhan Bank (South Korea) | | |
(SOFR + 0.55%), 5.90%, 6/9/2025 (b) | | |
(SOFR + 0.55%), 5.90%, 6/13/2025 (b) | | |
Skandinaviska Enskilda Banken AB (Sweden) | | |
(SOFR + 0.30%), 5.65%, 3/7/2025 (b) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Short-Term Investments — continued |
Certificates of Deposits — continued |
Svenska Handelsbanken AB (Sweden) | | |
(SOFR + 0.23%), 5.58%, 10/31/2024 (b) | | |
(SOFR + 0.35%), 5.70%, 1/23/2025 (b) | | |
(SOFR + 0.28%), 5.63%, 2/26/2025 (b) | | |
| | |
Toronto-Dominion Bank (The) (Canada) | | |
| | |
| | |
| | |
Wells Fargo Bank NA (SOFR + 0.60%), 5.95%, 11/4/2024 (b) | | |
Westpac Banking Corp. (Australia) | | |
(SOFR + 0.27%), 5.62%, 2/21/2025 (b) | | |
| | |
Total Certificates of Deposit
(Cost $2,526,560,878) | | |
|
American Electric Power Co., Inc. | | |
| | |
| | |
ANZ New Zealand Int'l Ltd. (New Zealand) 0.00%, 10/22/2024 (a) | | |
Banco Santander SA (Spain) 0.00%, 10/11/2024 (a) | | |
Bank of Montreal (Canada) (SOFR + 0.55%), 5.90%, 11/5/2024 (b) | | |
| | |
| | |
| | |
Brookfield Corporate Treasury Ltd. (Canada) | | |
| | |
| | |
| | |
Citigroup Global Markets, Inc. 0.00%, 6/3/2025 (a) | | |
| | |
| | |
| | |
Credit Agricole Corporate and Investment Bank (France) 0.00%, 10/4/2024 | | |
| | |
|
Commercial Paper — continued |
Credit Industriel et Commercial (France) 0.00%, 2/6/2025 (a) | | |
| | |
| | |
| | |
EIDP, Inc. 0.00%, 12/13/2024 (a) | | |
Enel Finance America LLC (Italy) | | |
| | |
| | |
First Abu Dhabi Bank PJSC (United Arab Emirates) | | |
| | |
| | |
General Motors Financial Co. Inc 0.00%, 11/27/2024 (a) | | |
Glencore Funding LLC (Australia) 0.00%, 2/28/2025 (a) | | |
| | |
| | |
| | |
| | |
Henkel of America, Inc. (Germany) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
LVMH Moet Hennessy Louis Vuitton SE (France) | | |
| | |
| | |
| | |
LVMH Moet Hennessy Louis Vuitton, Inc. (France) 0.00%, 11/7/2024 (a) | | |
Macquarie Bank Ltd (Australia) 0.00%, 10/22/2024 (a) | | |
Macquarie Bank Ltd. (Australia) | | |
| | |
| | |
Macquarie International Finance Ltd. (Australia) 0.00%, 1/31/2025 | | |
National Bank of Canada (Canada) 0.00%, 4/30/2025 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Short-Term Investments — continued |
Commercial Paper — continued |
NatWest Markets plc (United Kingdom) | | |
Series G, 0.00%, 10/23/2024 (a) | | |
Series G, 0.00%, 4/16/2025 (a) | | |
Pfizer, Inc. 0.00%, 2/6/2025 (a) | | |
Podium Funding Trust (Canada) (SOFR + 0.26%), 5.61%, 12/6/2024 (b) | | |
Procter & Gamble Co. (The) 0.00%, 4/21/2025 (a) | | |
Sempra 0.00%, 11/12/2024 (a) | | |
Skandinaviska Enskilda Banken AB (Sweden) | | |
| | |
| | |
| | |
Societe Generale SA (France) 0.00%, 5/29/2025 (a) | | |
Standard Chartered Bank (United Kingdom) 0.00%, 2/14/2025 (a) | | |
Sumitomo Mitsui Trust Bank Ltd. (Japan) 0.00%, 9/25/2024 (a) | | |
Telstra Group Ltd. (Australia) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Westpac Banking Corp. (Australia) 0.00%, 9/13/2024 (a) | | |
Total Commercial Paper
(Cost $3,227,737,732) | | |
| | |
Investment Companies — 10.8% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (g) (h)
(Cost $2,738,043,278) | | |
Investment of Cash Collateral from Securities Loaned — 0.1% |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.34% (g) (h) | | |
| | |
Investment of Cash Collateral from Securities Loaned — continued |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (g) (h) | | |
Total Investment of Cash Collateral from Securities Loaned
(Cost $18,081,262) | | |
| | |
Repurchase Agreements — 0.9% |
Wells Fargo Securities LLC, 5.78%, dated 8/30/2024, due 9/06/2024, repurchase price $240,269,733, collateralized by Collateralized Mortgage Obligations, 0.65% - 10.71%, due 7/25/2029 - 8/25/2069, Commercial Paper, 0.00%, due 9/11/2024 and Municipal Debt Securities, 0.00% - 5.00%, due 7/1/2032 - 12/1/2040 with the value of $266,377,031.
(Cost $240,000,000) | | |
Total Short-Term Investments
(Cost $8,750,423,150) | | |
Total Investments — 98.9%
(Cost $25,008,881,937) | | |
Other Assets Less Liabilities — 1.1% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Commercial Industrial Finance Corp. |
| Collateralized Loan Obligations |
| Chicago Mercantile Exchange |
| Public Joint Stock Company |
| Real Estate Investment Trust |
| Secured Overnight Financing Rate |
| Compounding index of the Secured Overnight Financing Rate |
| Amount rounds to less than 0.1% of net assets. |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2024. | |
| The security or a portion of this security is on loan at August 31, 2024. The total value of securities on loan at August 31, 2024 is $17,530,469. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| 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 August 31, 2024. | |
| 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 August 31, 2024. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| 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. | |
| The rate shown is the current yield as of August 31, 2024. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
Municipal Bonds — 90.1% (a) |
|
Alabama Federal Aid Highway Finance Authority | | |
Series 2015, Rev., 4.00%, 9/1/2024 (b) | | |
Series 2015, Rev., 5.00%, 9/1/2024 (b) | | |
Series A, Rev., 5.00%, 9/1/2025 (b) | | |
Series 2016 A, Rev., 5.00%, 9/1/2026 (b) | | |
Series A, Rev., 5.00%, 9/1/2027 (b) | | |
Alabama Public School and College Authority Series 2020 A, Rev., 5.00%, 11/1/2025 | | |
Alabama Public School and College Authority, Capital improvement | | |
Series 2014B, Rev., 5.00%, 1/1/2026 | | |
Series 2014-B, Rev., 5.00%, 1/1/2027 | | |
Alabama Public School and College Authority, Capital Improvement | | |
Series 2014-B, Rev., 5.00%, 1/1/2025 | | |
Series 2014-A, Rev., 5.00%, 2/1/2025 | | |
Alabama Special Care Facilities Financing Authority-Birmingham, Childrens Hospital Health Care Facility Series 2015, Rev., 5.00%, 6/1/2029 | | |
Auburn University Series 2016A, Rev., 5.00%, 6/1/2025 | | |
Birmingham Airport Authority Rev., 5.00%, 7/1/2026 | | |
Black Belt Energy Gas District, Gas Prepay Project No. 4 Series 2019A-1, Rev., 4.00%, 12/1/2025 (c) | | |
Black Belt Energy Gas District, Gas Project No. 6 Series 2021B, Rev., 4.00%, 12/1/2026 (c) | | |
Black Belt Energy Gas District, Gas Supply Series 2022D-2, Rev., LIQ : Royal Bank of Canada, (SOFR + 1.40%), 4.98%, 9/6/2024 (d) | | |
City of Hoover, Warrants GO, 2.00%, 3/1/2025 | | |
City of Huntsville, Warrants Series 2016D, GO, 5.00%, 5/1/2025 | | |
City of Huntsville, Warrants, Water Revenue Series 2015, Rev., 5.00%, 5/1/2025 (b) | | |
County of Jefferson sewer Series 2024, Rev., 5.00%, 10/1/2026 | | |
County of Mobile, Warrants GO, 5.00%, 8/1/2025 (b) | | |
| | |
|
|
Industrial Development Board of The City of Mobile, Alabama Power Control, Barry Plant Project Series 2007A, Rev., 1.00%, 6/26/2025 (c) | | |
Montgomery Water Works and Sanitary Sewer Board Series 2019-A, Rev., 5.00%, 9/1/2025 | | |
University of Alabama (The) Series 2019 A, Rev., 5.00%, 7/1/2025 | | |
| | |
|
Alaska Housing Finance Corp., Home Mortgage Series 2007A, Rev., VRDO, LIQ : FHLB, 2.85%, 9/12/2024 (c) | | |
Alaska Housing Finance Corp., State Capital project Series II 2014D, Rev., 5.00%, 12/1/2024 (b) | | |
Alaska Housing Finance Corp., State Capital Project | | |
Series 2014D-II, Rev., 5.00%, 12/1/2024 | | |
Series II 2014D, Rev., 5.00%, 12/1/2024 (b) | | |
Series II 2015A, Rev., 5.00%, 6/1/2025 (b) | | |
Alaska Municipal Bond Bank Authority | | |
Series 2012-2, Rev., 5.00%, 9/1/2024 | | |
Series 1, Rev., 5.00%, 12/1/2024 | | |
Series 1, Rev., 5.00%, 12/1/2025 | | |
Series 3, Rev., 5.00%, 12/1/2026 | | |
Borough of Matanuska-Susitna, Goose Creek Correctional Center Project | | |
| | |
| | |
| | |
| | |
Series 2015, Rev., 5.25%, 9/1/2028 | | |
Series 2015, Rev., 5.25%, 9/1/2029 | | |
Borough of North Slope Series 2020A, GO, 5.00%, 6/30/2025 | | |
City of Anchorage, Electric Utilities, Senior Lien Series 2014A, Rev., 5.00%, 12/1/2024 (b) | | |
Municipality of Anchorage | | |
Series A, GO, 5.00%, 9/1/2024 (b) | | |
Series B, GO, 5.00%, 9/1/2025 | | |
Series D, GO, 5.00%, 9/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
| | |
Series 2016 B, GO, 5.00%, 8/1/2025 | | |
Series 2023A, GO, 5.00%, 8/1/2025 | | |
State of Alaska International Airports System Series 2016 A, Rev., 5.00%, 10/1/2028 | | |
University of Alaska Series 2015T, Rev., 5.00%, 10/1/2025 | | |
| | |
|
| | |
Series 2015B, Rev., 5.00%, 7/1/2025 | | |
Series 2016 A, Rev., 5.00%, 7/1/2025 | | |
Series 2015A, Rev., 5.00%, 7/1/2026 | | |
Series 2015B, Rev., 5.00%, 7/1/2026 | | |
Arizona Health Facilities Authority, Banner Health | | |
Series 2015 B, Rev., (SIFMA Municipal Swap Index Yield + 0.25%), 3.09%, 9/12/2024 (b) (d) | | |
Series 2015 B, Rev., (SIFMA Municipal Swap Index Yield + 0.25%), 3.09%, 9/12/2024 (d) | | |
Series 2015 A, Rev., 5.00%, 1/1/2025 | | |
Arizona Health Facilities Authority, Phoenix Children's Hospital Series 2013B, Rev., 5.00%, 2/1/2026 | | |
Arizona Health Facilities Authority, Scottsdale Lincoln Hospitals Series 2014A, Rev., 5.00%, 12/1/2024 | | |
Arizona Industrial Development Authority, Equitable School Revolving Fund LLC Series 2019A, Rev., 5.00%, 11/1/2024 | | |
Arizona Sports and Tourism Authority, Senior Lien Multipurpose Series 2022, Rev., 5.00%, 7/1/2026 | | |
Arizona Transportation Board Rev., GAN, 5.00%, 7/1/2025 | | |
Arizona Transportation Board, Excise Tax, Maricopa County Regional Area Road Fund | | |
| | |
Series 2014, Rev., 5.00%, 7/1/2025 | | |
| | |
Series 2015A, Rev., 5.00%, 7/1/2025 | | |
Series 2023, GO, 5.00%, 7/1/2025 | | |
| | |
|
|
City of Glendale Water and Sewer Series 2015, Rev., 5.00%, 7/1/2026 | | |
City of Mesa Series 2021, GO, 5.00%, 7/1/2025 | | |
City of Peoria Water and Wastewater Series 2020A, Rev., 5.00%, 7/15/2025 | | |
City of Phoenix Series 2016, GO, 4.00%, 7/1/2026 | | |
City of Phoenix Civic Improvement Corp. | | |
Series 2020 A, Rev., 5.00%, 7/1/2025 | | |
Series A, Rev., 5.00%, 7/1/2025 | | |
Series B, Rev., 5.00%, 7/1/2025 | | |
Series B, Rev., 5.00%, 7/1/2026 | | |
Series 2015A, Rev., 5.00%, 7/1/2027 | | |
City of Tempe Series B, GO, 4.00%, 7/1/2025 | | |
City of Tucson Water System Series 2015, Rev., 5.00%, 7/1/2025 | | |
City of Yuma Municipal Property Corp., Senior Lien Series 2015, Rev., 5.00%, 7/1/2026 | | |
County of Maricopa, Sun Health Corp. Series 2005, Rev., 5.00%, 10/1/2024 (b) | | |
County of Navajo Rev., 4.00%, 7/1/2025 | | |
County of Pima Sewer System | | |
Rev., 5.00%, 7/1/2025 (b) | | |
| | |
Maricopa County Industrial Development Authority, Banner Health | | |
Series C, Rev., 5.00%, 10/18/2024 (c) | | |
Series 2016 A, Rev., 5.00%, 1/1/2025 | | |
Series 2019 D, Rev., 5.00%, 5/15/2026 (c) | | |
Series 2023A-1, Rev., 5.00%, 5/15/2026 (c) | | |
Maricopa County Unified School District No. 4 Mesa | | |
Series 2019A, GO, 5.00%, 7/1/2025 | | |
Series 2021 D, GO, 5.00%, 7/1/2025 | | |
Maricopa County Unified School District No. 4 Mesa, Project Of 2018 Series 2022 E, GO, 5.00%, 7/1/2025 | | |
Maricopa County Unified School District No. 60 Higley Series 2015, GO, AGM, 5.00%, 7/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
RBC Municipal Products, Inc. Trust, Floater Certificates Series E-147, Rev., VRDO, LOC : Royal Bank of Canada, 2.95%, 9/12/2024 (c) (e) | | |
Salt River Project Agricultural Improvement and Power District Series 2017A, Rev., 5.00%, 1/1/2025 | | |
Salt River Project Agricultural Improvement and Power District, Arizona Electric System Series 2015A, Rev., 5.00%, 12/1/2045 | | |
Scottsdale Municipal Property Corp. Series 2015, Rev., 5.00%, 7/1/2025 (b) | | |
| | |
COP, 5.00%, 10/1/2024 (b) | | |
| | |
| | |
Series 2019A, COP, 5.00%, 10/1/2025 (b) | | |
| | |
|
City of Rogers Sales and Use Tax Series 2022, Rev., 5.00%, 11/1/2025 | | |
University of Arkansas, Various Facilities Fayetteville Series 2015A, Rev., 5.00%, 11/1/2024 (b) | | |
University of Central Arkansas, Student Fee Series 2020A, Rev., 5.00%, 11/1/2026 | | |
| | |
|
Antelope Valley Community College District GO, 5.00%, 2/15/2025 (b) | | |
Brentwood Infrastructure Financing Authority, Civic Center Project Rev., 5.00%, 10/1/2024 | | |
California Community College Financing Authority, West Valley Mission Community College District Series 2016C, Rev., 5.00%, 6/1/2026 (b) | | |
California County Tobacco Securitization Agency, Gold Country Settlement Funding Corp. Series 2020A, Rev., 5.00%, 6/1/2026 | | |
California Educational Facilities Authority Series 2009C, Rev., 5.25%, 10/1/2024 (b) | | |
| | |
|
|
California Health Facilities Financing Authority Series 2019 C, Rev., 5.00%, 10/1/2025 (b) (c) | | |
California Health Facilities Financing Authority, Cedars-Sinai Medical Center Rev., 5.00%, 11/15/2024 | | |
California Health Facilities Financing Authority, EL Camino Hospital Series 2017, Rev., 5.00%, 2/1/2025 | | |
California Health Facilities Financing Authority, Providence Health and Services Series 2014A, Rev., 5.00%, 10/1/2024 | | |
California Health Facilities Financing Authority, St. Joseph Health System | | |
Series 2016B-2, Rev., 4.00%, 10/1/2024 (c) | | |
Series 2013 A, Rev., 5.00%, 7/1/2025 | | |
Series 2019C, Rev., 5.00%, 10/1/2025 (c) | | |
Series 2013A, Rev., 5.00%, 7/1/2026 | | |
California Infrastructure and Economic Development Bank, Colburn School (The) Rev., (SIFMA Municipal Swap Index Yield + 0.90%), 3.74%, 9/12/2024 (d) | | |
California Statewide Communities Development Authority, Henry Mayo Newhall Memorial Hospital Series 2014, Rev., AGM, 5.00%, 10/1/2024 (b) | | |
City of Los Angeles, Wastewater System | | |
Series 2013-A, Rev., 5.00%, 6/1/2025 | | |
Series 2013A, Rev., 5.00%, 6/1/2026 | | |
Series 2013A, Rev., 5.00%, 6/1/2027 | | |
City of San Francisco, Public Utilities Commission Water Series 2017A, Rev., 5.00%, 11/1/2024 (b) | | |
City of Vernon, Electric System | | |
Series 2021 A, Rev., 5.00%, 10/1/2024 | | |
Series 2021A, Rev., 5.00%, 10/1/2025 | | |
Series 2021 A, Rev., 5.00%, 4/1/2026 | | |
Colton Joint Unified School District, Election of 2008 Series 2010B, GO, AGM, 5.80%, 8/21/2026 (b) | | |
Desert Community College District Series 2016, GO, 5.00%, 2/1/2026 (b) | | |
El Dorado Irrigation District Series 2016C, Rev., 5.00%, 3/1/2026 (b) | | |
Golden State Tobacco Securitization Corp. Series 2015A, Rev., 5.00%, 6/1/2025 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Hermosa Beach Public Financing Authority Rev., 4.00%, 11/1/2024 | | |
Merced Union High School District GO, AGM, Zero Coupon, 2/18/2025 (b) | | |
Orange County Transportation Authority Rev., BAN, 5.00%, 10/15/2024 (b) | | |
Orange County Water District Series 2021A, COP, 4.00%, 2/15/2025 | | |
Oxnard School District Series D, GO, AGM, 5.00%, 8/1/2025 (b) | | |
Padre Dam Municipal Water District Series 2017A, COP, 5.00%, 10/1/2024 | | |
Sacramento Municipal Utility District, Electric Series 2019B, Rev., 5.00%, 10/15/2025 (c) | | |
San Diego Association of Governments Series 2019 A, Rev., 5.00%, 11/15/2025 (b) | | |
San Francisco City and County Airport Commission, San Francisco International Airport Series 2016A, Rev., 4.00%, 5/1/2025 | | |
San Joaquin Hills Transportation Corridor Agency, Senior Lien Series 2014A, Rev., 5.00%, 1/15/2025 (b) | | |
San Joaquin Hills Transportation Corridor Agency, Toll Road, Senior Lien Series 1993, Rev., Zero Coupon, 1/1/2025 (b) | | |
San Juan Water District Rev., 5.00%, 2/1/2025 | | |
Sonoma Valley Unified School District Series 2015A, GO, 5.00%, 8/1/2025 (b) | | |
State of California Department of Water Resources, Central Valley Project Series AS, Rev., 5.00%, 12/1/2024 (b) | | |
State of California, Various Purpose GO, 5.00%, 10/1/2025 | | |
Tobacco Securitization Authority of Southern California, San Diego County Tobacco Asset Securitization Corp. Series 2019A, Class 1, Rev., 5.00%, 6/1/2025 | | |
Tustin Unified School District, School Facilities Improvement Districts No. 2002-1 and 2008-1 GO, 5.00%, 8/1/2025 | | |
Ventura County Public Financing Authority Series 2016A, Rev., 5.00%, 11/1/2024 | | |
| | |
| | |
|
|
Adams 12 Five Star Schools, The City and County of Broomfield | | |
| | |
Series 2014B, GO, 5.00%, 12/15/2024 | | |
Adams County School District No. 14 Series 2015, GO, 5.00%, 12/1/2024 (b) | | |
Apex Park and Recreation District GO, 3.00%, 12/1/2024 | | |
Board of Governors of Colorado State University System Series 2015A, Rev., 5.00%, 3/1/2025 (b) | | |
City and County of Broomfield, Sales and Use Tax | | |
Series 2017, Rev., 5.00%, 12/1/2024 | | |
Series A, Rev., 5.00%, 12/1/2024 | | |
City and County of Denver | | |
Series 2024A, GO, 5.00%, 8/1/2026 | | |
Series 2024B, GO, 5.00%, 8/1/2026 | | |
City and County of Denver Airport System Series 2020A-2, Rev., 5.00%, 11/15/2025 | | |
City and County of Denver Pledged Excise Tax Series 2016 A, Rev., 5.00%, 8/1/2026 | | |
City and County of Denver, Airport System | | |
Series B, Rev., 5.00%, 11/15/2024 | | |
Series 2016 A, Rev., 5.00%, 11/15/2025 | | |
Series 2023B, Rev., AMT, 5.00%, 11/15/2026 | | |
Series 2023B, Rev., AMT, 5.00%, 11/15/2027 | | |
City of Arvada, Sales and Use Tax Series 2019, Rev., 5.00%, 12/1/2024 | | |
| | |
Series 2016, Rev., 5.00%, 8/1/2025 | | |
| | |
| | |
City of Colorado Springs Utilities System | | |
Series 2020 C, Rev., 5.00%, 11/15/2024 | | |
Series 2015A, Rev., 5.00%, 11/15/2025 | | |
Series 2020A, Rev., 5.00%, 11/15/2025 | | |
Series 2020 C, Rev., 5.00%, 11/15/2027 | | |
City of Northglenn Series 2017, COP, 5.00%, 12/1/2024 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
City of Westminster Sales and Use Tax Series 2015, Rev., 5.00%, 12/1/2024 | | |
Colorado Health Facilities Authority, Adventhealth Obligated Group | | |
Series 2019B, Rev., 5.00%, 11/19/2026 (b) (c) | | |
Series 2019B, Rev., 5.00%, 11/19/2026 (c) | | |
Colorado Health Facilities Authority, Adventist Health System | | |
Series 2018B, Rev., 5.00%, 11/20/2025 (c) | | |
Series 2016C, Rev., 5.00%, 11/15/2026 (c) | | |
Colorado Health Facilities Authority, Children's Hospital Colorado Project | | |
Series C, Rev., 5.00%, 12/1/2024 | | |
Series C, Rev., 5.00%, 12/1/2026 | | |
Colorado Health Facilities Authority, CommonSpirit Health | | |
Series 2019 B-1, Rev., 5.00%, 8/1/2025 (c) | | |
Series 2019A-1, Rev., 5.00%, 8/1/2025 | | |
Series 2019A-1, Rev., 5.00%, 8/1/2026 | | |
Series 2019B-2, Rev., 5.00%, 8/1/2026 (c) | | |
Series 2019A-2, Rev., 5.00%, 8/1/2027 | | |
Colorado Health Facilities Authority, CommonSpirit Health Obligated Group | | |
Series 2022A, Rev., 5.00%, 11/1/2024 | | |
Series 2022A, Rev., 5.00%, 11/1/2028 | | |
Colorado Health Facilities Authority, NCMC, Inc., Project | | |
Rev., 4.00%, 5/15/2026 (b) | | |
Series 2016, Rev., 4.00%, 5/15/2026 (b) | | |
Series 2016, Rev., 5.00%, 5/15/2026 (b) | | |
Colorado Health Facilities Authority, Sanford Health Series 2019A, Rev., 5.00%, 11/1/2029 | | |
Colorado Health Facilities Authority, School Health System Series 2019A, Rev., 5.00%, 1/1/2025 | | |
Colorado Health Facilities Authority, The Evangelical Lutheran Good Samaritan Society Project | | |
| | |
|
|
Series 2015A, Rev., 5.00%, 6/1/2025 (b) | | |
Series 2017, Rev., 5.00%, 6/1/2027 (b) | | |
Colorado Higher Education, Capital Construction, Lease Purchase Financing Program | | |
Series 2020, COP, 5.00%, 9/1/2024 | | |
Series 2014A, COP, 5.00%, 11/1/2025 | | |
Colorado Springs School District No. 11 Facilities Corp. | | |
| | |
| | |
County of Adams COP, 5.00%, 12/1/2025 | | |
County of Boulder, Flood Reconstruction Project Series 2021A, COP, 5.00%, 12/1/2024 | | |
County of El Paso Series 2020, COP, 5.00%, 12/1/2024 | | |
Denver City and County School District No. 1 | | |
Series 2017A, COP, 5.00%, 12/1/2024 | | |
Series 2022 A, GO, 5.00%, 12/1/2024 | | |
E-470 Public Highway Authority Series 2020 A, Rev., 5.00%, 9/1/2026 | | |
El Paso County School District No. 38 Lewis-Palmer Series 2012, GO, 5.00%, 12/1/2024 | | |
El Paso County School District No. 49 Falcon | | |
| | |
Series 2017 A, COP, 5.00%, 12/15/2024 | | |
Garfield Pitkin and Eagle Counties School District No. Re-1 Roaring Fork Series 2016, GO, 5.00%, 12/15/2025 (b) | | |
Larimer County School District No. R-1 Poudre Series 2018, GO, 5.00%, 12/15/2024 | | |
Mesa County Valley School District No. 51 Grand Junction Series 2011, GO, 5.00%, 12/1/2024 | | |
Platte River Power Authority Series JJ, Rev., 5.00%, 6/1/2025 | | |
Regional Transportation District | | |
| | |
Series 2015 A, COP, 5.00%, 6/1/2026 | | |
Regional Transportation District, Denver Transit Partners | | |
Series 2020A, Rev., 5.00%, 7/15/2025 | | |
Series 2020A, Rev., 5.00%, 7/15/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
| | |
Series 2020A, COP, 5.00%, 12/15/2024 | | |
Series 2022, COP, 6.00%, 12/15/2024 | | |
Series 2020A, COP, 5.00%, 9/1/2025 | | |
Series 2018 A, COP, 5.00%, 12/15/2025 | | |
Series 2018L, COP, 5.00%, 3/15/2027 | | |
Town of Castle Rock, Sales and Use Tax Rev., 5.00%, 6/1/2025 | | |
| | |
Series 2007A, Rev., NATL - RE, 5.00%, 6/1/2025 | | |
Series 2016 B-1, Rev., 5.00%, 6/1/2025 | | |
Series 2007A, Rev., NATL - RE, 5.00%, 6/1/2026 | | |
Series 2017A-2, Rev., 5.00%, 6/1/2028 | | |
University of Colorado, Enterprise System | | |
Series A, Rev., 5.00%, 6/1/2025 (b) | | |
Series 2021C-3B, Rev., 2.00%, 10/15/2026 (c) | | |
Weld County School District No. RE-4 Series 2015, GO, 4.00%, 12/1/2024 | | |
| | |
|
City of Danbury Series 2024, GO, BAN, 5.00%, 9/24/2024 (e) | | |
Connecticut State Health and Educational Facilities Authority, University System Issue Series L, Rev., 3.00%, 11/1/2026 | | |
Connecticut State Health and Educational Facilities Authority, Yale University Series 2017 C-1, Rev., 5.00%, 2/1/2028 (c) | | |
Connecticut State Health and Educational Facilities Authority., Yale New Heaven Health Series A, Rev., 5.00%, 9/27/2024 | | |
| | |
Series 2014E, GO, 4.00%, 11/6/2024 | | |
Series F, GO, 5.00%, 11/15/2024 | | |
Series 2014C, GO, 5.00%, 6/15/2025 | | |
Series 2016 D, GO, 5.00%, 8/15/2025 | | |
Series 2022E, GO, 5.00%, 11/15/2028 | | |
Series 2019 A, GO, 5.00%, 4/15/2029 | | |
State of Connecticut Special Tax | | |
Series A, Rev., 5.00%, 8/1/2025 | | |
Series A, Rev., 5.00%, 9/1/2025 | | |
Series 2021D, Rev., 5.00%, 11/1/2025 | | |
Series 2021 A, Rev., 5.00%, 5/1/2026 | | |
| | |
|
|
Series 2022A, Rev., 5.00%, 7/1/2026 | | |
Series B, Rev., 5.00%, 8/1/2026 | | |
Series 2018 B, Rev., 5.00%, 10/1/2026 | | |
Series A, Rev., 5.00%, 9/1/2029 | | |
State of Connecticut, SIFMA Index Series 2013A, GO, (SIFMA Municipal Swap Index Yield + 0.99%), 3.83%, 9/12/2024 (d) | | |
State of Connecticut, Special Tax Transportation Infrastructure Purposes | | |
Series 2018 B, Rev., 5.00%, 10/1/2024 | | |
Series 2018C, Rev., 5.00%, 10/1/2024 | | |
Town of Wolcott GO, BAN, 4.25%, 2/11/2025 | | |
University of Connecticut Series 2015A, Rev., 5.00%, 2/15/2026 | | |
| | |
|
Delaware State Economic Development Authority, Delmarva Power and Light Co. Project Series 2020A, Rev., 1.05%, 7/1/2025 (c) | | |
Delaware Transportation Authority Series 2016, Rev., 5.00%, 7/1/2026 | | |
State of Delaware Series 2023 B, GO, 5.00%, 8/1/2025 | | |
| | |
Series 2015, Rev., 5.00%, 5/1/2025 (b) | | |
Series 2019, Rev., 5.00%, 11/1/2025 | | |
| | |
District of Columbia — 1.5% |
| | |
Series 2015A, GO, 5.00%, 6/1/2025 | | |
Series 2015A, GO, 5.00%, 6/1/2025 (b) | | |
Series D, GO, 5.00%, 6/1/2025 | | |
Series E, GO, 5.00%, 6/1/2025 | | |
Series 2019 A, GO, 5.00%, 10/15/2025 | | |
Series 2016, Rev., 5.00%, 4/1/2026 (b) | | |
Series 2023 B, GO, 5.00%, 6/1/2026 | | |
Series D, GO, 5.00%, 6/1/2026 | | |
Series 2015A, GO, 5.00%, 6/1/2027 | | |
Series 2017D, GO, 5.00%, 6/1/2029 | | |
District of Columbia Housing Finance Agency, Multi Family Housing Edgewood Apartments Project Series 2023, Rev., FHA, 5.00%, 6/1/2026 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
District of Columbia — continued |
District of Columbia Housing Finance Agency, Paxton Project Series 2022, Rev., 4.00%, 9/1/2025 (c) | | |
District of Columbia Income Tax | | |
Series 2019 C, Rev., 5.00%, 10/1/2025 | | |
Series 2022C, Rev., 5.00%, 12/1/2026 | | |
District of Columbia Water and Sewer Authority Series A, Rev., 5.00%, 10/1/2026 | | |
District of Columbia, Children's Hospital Obligated Group | | |
Series 2015, Rev., 5.00%, 7/15/2025 | | |
Series 2015, Rev., 5.00%, 7/15/2027 | | |
Series 2015, Rev., 5.00%, 7/15/2028 | | |
Series 2015, Rev., 5.00%, 7/15/2029 | | |
District of Columbia, Federal Highway | | |
| | |
Series 2020, Rev., 5.00%, 12/1/2028 | | |
District of Columbia, Water and Sewer Authority, Public Utility, Subordinate Lien Series 2014C, Rev., 5.00%, 10/1/2024 | | |
Metropolitan Washington Airports Authority Aviation | | |
Series 2010C-2, Rev., VRDO, LOC : TD Bank NA, 2.82%, 9/12/2024 (c) | | |
Series B, Rev., 5.00%, 10/1/2024 | | |
Series 2014A, Rev., AMT, 5.00%, 10/8/2024 | | |
Series 2019 B, Rev., 5.00%, 10/1/2026 | | |
Series 2021A, Rev., AMT, 5.00%, 10/1/2028 | | |
Metropolitan Washington Airports Authority Dulles Toll Road Series 2009B, Rev., AGC, Zero Coupon, 10/1/2024 | | |
Metropolitan Washington Airports Authority Dulles Toll Road, Second Line Series 2009C, Rev., AGC, 6.50%, 10/1/2026 (b) | | |
Washington Metropolitan Area Transit Authority | | |
Series 2017B, Rev., 5.00%, 7/1/2025 | | |
Series 2018, Rev., 5.00%, 7/1/2025 | | |
Series 2018, Rev., 5.00%, 7/1/2026 | | |
Series A-1, Rev., 5.00%, 7/1/2026 | | |
Series A-1, Rev., 5.00%, 7/1/2027 | | |
| | |
|
District of Columbia — continued |
Washington Metropolitan Area Transit Authority Dedicated | | |
Series 2020A, Rev., 5.00%, 7/15/2025 | | |
Series 2021 A, Rev., 5.00%, 7/15/2026 | | |
Total District of Columbia | | |
|
Alachua County School Board Series 2020, COP, AGM, 5.00%, 7/1/2027 | | |
Brevard County School District | | |
Series 2014, COP, 5.00%, 10/8/2024 | | |
Series C, COP, 5.00%, 7/1/2026 | | |
Broward County Series B, Rev., 5.00%, 10/1/2024 | | |
Capital Trust Agency, Inc., Sustainability Bonds -The Marie Rev., 4.00%, 6/15/2025 (e) | | |
Central Florida Expressway Authority, Senior Lien | | |
Series 2016B, Rev., 5.00%, 7/1/2025 | | |
Series 2016 B, Rev., 5.00%, 7/1/2026 | | |
Series 2019B, Rev., 5.00%, 7/1/2026 | | |
Series 2016 B, Rev., 5.00%, 7/1/2027 | | |
Series 2016 B, Rev., 5.00%, 7/1/2028 | | |
Series 2017, Rev., 5.00%, 7/1/2029 | | |
Series 2019 B, Rev., 5.00%, 7/1/2029 | | |
Central Florida Tourism Oversight District Series 2017A, GO, 5.00%, 6/1/2025 | | |
City of Gainesville Utilities System Series B, Rev., 5.00%, 10/1/2029 | | |
City of Gainesville, Utilities System | | |
Series 2017A, Rev., 5.00%, 10/1/2024 | | |
Series 2017 A, Rev., 5.00%, 10/1/2028 | | |
| | |
Series A, Rev., 5.00%, 10/1/2024 | | |
Series B, Rev., 5.00%, 10/1/2024 (b) | | |
Series 2016, Rev., 5.00%, 10/1/2025 | | |
Series 2022A, Rev., 5.00%, 10/1/2025 | | |
Series 2023 A, Rev., 5.00%, 10/1/2025 | | |
Series B, Rev., 5.00%, 10/1/2025 (b) | | |
Series 2015, Rev., 5.00%, 10/1/2026 | | |
City of Jacksonville, Health Care Facilities, Baptist Health Series 2019C, Rev., VRDO, 2.84%, 9/12/2024 (c) | | |
City of Lakeland Department of Electric Utilities Series 2016, Rev., 5.00%, 10/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
City of Lakeland, Department of Electric Utilities Rev., 5.00%, 10/1/2026 | | |
City of Orlando Series 2016 B, Rev., 5.00%, 10/1/2025 | | |
City of Orlando, Capital Improvement | | |
Series 2016B, Rev., 5.00%, 10/1/2024 | | |
Series 2018 B, Rev., 5.00%, 10/1/2024 | | |
City of Port St. Lucie Series 2016, Rev., 5.00%, 9/1/2024 (b) | | |
City of South Miami Health Facilities Authority, Inc., Baptist Health South Florida Obligated Group Rev., 5.00%, 8/15/2028 | | |
City of St. Petersburg Public Utility | | |
Series 2018, Rev., 5.00%, 10/1/2024 | | |
Series 2019 A, Rev., 5.00%, 10/1/2024 | | |
City of Tallahassee, Energy System | | |
Series 2020, Rev., 5.00%, 10/1/2025 | | |
Series 2020, Rev., 5.00%, 10/1/2027 | | |
County of Broward, Airport System | | |
Series Q-1, Rev., 5.00%, 10/1/2024 | | |
Series Q-1, Rev., 5.00%, 10/1/2025 | | |
Series 2013C, Rev., 5.25%, 10/1/2026 | | |
County of Hillsborough, Communications Services Tax Rev., 5.00%, 10/1/2024 | | |
County of Hillsborough, Community Investment Tax Rev., 5.00%, 11/1/2025 | | |
| | |
Series 2015, Rev., 5.00%, 10/1/2024 | | |
Series 2015, Rev., 5.00%, 10/1/2025 | | |
County of Lee, Tourist Development Tax Series 2019A, Rev., 5.00%, 10/1/2024 | | |
County of Lee, Transportation Facilities | | |
Rev., AGM, 5.00%, 10/1/2024 | | |
Series 2014, Rev., AGM, 5.00%, 10/1/2027 | | |
County of Lee, Water and Sewer Series A, Rev., 5.00%, 10/1/2024 | | |
County of Manatee Series 2022, Rev., 5.00%, 10/1/2024 | | |
County of Manatee, Transportation Project Series 2019, Rev., 5.00%, 10/1/2024 | | |
| | |
Series 2016, Rev., 5.00%, 10/1/2024 | | |
Series 2013-A, GO, 5.00%, 7/1/2025 | | |
Series 2016 A, GO, 5.00%, 7/1/2025 | | |
Series 2016 B, Rev., 5.00%, 4/1/2026 | | |
| | |
|
|
Series 2017A, Rev., 5.00%, 4/1/2026 | | |
Series 2016B, Rev., 5.00%, 4/1/2027 | | |
Series 2016 B, Rev., 5.00%, 4/1/2028 | | |
County of Miami-Dade, Aviation System | | |
Series 2020A, Rev., 5.00%, 10/1/2024 | | |
Series B, Rev., 5.00%, 10/1/2024 | | |
Series 2020 A, Rev., 5.00%, 10/1/2025 | | |
Series A, Rev., 5.00%, 10/1/2025 | | |
Series B, Rev., 5.00%, 10/1/2026 | | |
Series A, Rev., 5.00%, 10/1/2027 | | |
Series A, Rev., 5.00%, 10/1/2028 | | |
Series A, Rev., 5.00%, 10/1/2029 | | |
County of Miami-Dade, Building Better Communities Program | | |
Series 2015B, GO, 5.00%, 7/1/2026 | | |
Series 2015-D, GO, 5.00%, 7/1/2026 | | |
Series 2015-D, GO, 5.00%, 7/1/2028 | | |
County of Miami-Dade, Transit System | | |
Series 2015, Rev., 5.00%, 7/1/2025 | | |
| | |
County of Miami-Dade, Water and Sewer System | | |
Series 2015, Rev., 5.00%, 10/1/2024 | | |
Series 2015, Rev., 5.00%, 10/1/2025 | | |
Series 2015, Rev., 5.00%, 10/1/2026 | | |
Series 2017 B, Rev., 5.00%, 10/1/2027 | | |
County of Polk Utility System Series 2013, Rev., 5.00%, 10/1/2024 | | |
County of Seminole Water and Sewer Series 2015A, Rev., 5.00%, 10/1/2025 | | |
County of St. Lucie Series 2017, Rev., 5.00%, 10/1/2024 | | |
County of St. Lucie, Power and Light Co., Project Rev., VRDO, 3.15%, 9/3/2024 (c) | | |
Duval County Public Schools | | |
Series 2022A, COP, AGM, 5.00%, 7/1/2025 | | |
Series 2022A, COP, AGM, 5.00%, 7/1/2026 | | |
Series 2015B, COP, 5.00%, 7/1/2027 | | |
Series 2022A, COP, AGM, 5.00%, 7/1/2028 | | |
Series 2022 A, COP, AGM, 5.00%, 7/1/2029 | | |
Escambia County School Board Series 2020A, COP, 5.00%, 2/1/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Florida Department of Environmental Protection | | |
Series 2016 A, Rev., 5.00%, 7/1/2025 | | |
Series 2017 A, Rev., 5.00%, 7/1/2025 | | |
Series 2015A, Rev., 5.00%, 7/1/2026 | | |
Series 2017 A, Rev., 5.00%, 7/1/2026 | | |
Series 2018A, Rev., 5.00%, 7/1/2026 | | |
Series 2019 B, Rev., 5.00%, 7/1/2026 | | |
Series 2016A, Rev., 5.00%, 7/1/2027 | | |
Series 2017A, Rev., 5.00%, 7/1/2028 | | |
Series 2018A, Rev., 5.00%, 7/1/2028 | | |
Florida Department of Management Services | | |
Series 2017A, Rev., 5.00%, 9/1/2024 | | |
Series 2018A, COP, 5.00%, 11/1/2024 | | |
Series 2015A, COP, 5.00%, 8/1/2025 | | |
Series 2017A, Rev., 5.00%, 9/1/2025 | | |
Series 2018A, COP, 5.00%, 11/1/2026 | | |
Series 2018 A, COP, 5.00%, 11/1/2027 | | |
Florida Gulf Coast University Financing Corp., Housing Project Series 2008A, Rev., VRDO, LOC : TD Bank NA, 2.84%, 9/12/2024 (c) | | |
Florida Higher Educational Facilities Financial Authority, Rollins College Project Series 2012B, Rev., 3.13%, 12/1/2025 | | |
Florida Housing Finance Corp., Culmer Apartments Series 2023C, Rev., 5.00%, 12/1/2025 (c) | | |
Florida Housing Finance Corp., Hampton Point Apartments Series 2023E, Rev., 5.00%, 5/1/2025 (c) | | |
Florida Municipal Power Agency, All-Requirements Power Supply Project | | |
Series 2016A, Rev., 5.00%, 10/1/2024 | | |
Series 2015B, Rev., 5.00%, 10/1/2025 | | |
Series 2017A, Rev., 5.00%, 10/1/2025 | | |
Series 2015B, Rev., 5.00%, 10/1/2026 | | |
Series 2016A, Rev., 5.00%, 10/1/2026 | | |
Series 2017 A, Rev., 5.00%, 10/1/2026 | | |
Series 2016A, Rev., 5.00%, 10/1/2027 | | |
Series 2017 A, Rev., 5.00%, 10/1/2027 | | |
Series 2018A, Rev., 4.00%, 10/1/2028 | | |
Series 2015B, Rev., 5.00%, 10/1/2028 | | |
Series 2016A, Rev., 5.00%, 10/1/2028 | | |
Series 2016A, Rev., 5.00%, 10/1/2029 | | |
| | |
|
|
Fort Pierce Utilities Authority Series 2022A, Rev., AGM, 5.00%, 10/1/2027 | | |
FSU Financial Assistance, Inc. Series 2012C, Rev., 3.00%, 10/1/2025 | | |
Halifax Hospital Medical Center Series 2015, Rev., 5.00%, 6/1/2025 (b) | | |
Hillsborough County Aviation Authority Series 2015-B, Rev., 5.00%, 10/1/2024 (b) | | |
Hillsborough County Aviation Authority, Tampa International Airport Series 2022A, Rev., AMT, 5.00%, 10/1/2027 | | |
Hillsborough County Industrial Development Authority, Baycare Health System Series 2024C, Rev., 5.00%, 11/15/2029 (f) | | |
Hillsborough County, Aviation Authority, Tampa International Airport Series 2015B, Rev., 5.00%, 10/1/2024 (b) | | |
| | |
Series 2020 A, Rev., 5.00%, 10/1/2028 | | |
Series 2017B, Rev., 5.00%, 10/1/2029 | | |
JEA Water and Sewer System | | |
Series 2008A-1, Rev., VRDO, LIQ : US Bank NA, 3.55%, 9/3/2024 (c) | | |
Series 2017A, Rev., 5.00%, 10/1/2024 | | |
Series 2017 A, Rev., 5.00%, 10/1/2025 | | |
Lee County School Board (The) | | |
Series 2014B, COP, 5.00%, 8/1/2026 | | |
Series 2019A, COP, 5.00%, 8/1/2026 | | |
Lee Memorial Health System Series A-1, Rev., 5.00%, 4/1/2025 | | |
Miami Beach Redevelopment Agency Series A, Rev., 5.00%, 2/1/2028 | | |
Miami-Dade County Expressway Authority | | |
Series 2014 A, Rev., 5.00%, 7/1/2027 | | |
Series 2014B, Rev., 5.00%, 7/1/2027 | | |
Series 2016A, Rev., 5.00%, 7/1/2028 | | |
Series 2014 A, Rev., 5.00%, 7/1/2029 | | |
Miami-Dade County Expressway Authority, Toll System Series 2016 A, Rev., 5.00%, 7/1/2029 | | |
Miami-Dade County Housing Finance Authority, Quail Roost Transit Village Series 2023, Rev., 5.00%, 9/1/2025 (c) | | |
Miami-Dade County Housing Finance Authority, Santa Clara II Apartments Series 2023, Rev., 5.00%, 10/1/2025 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Orange County Convention Center | | |
Series 2016 B, Rev., 5.00%, 10/1/2026 | | |
Series 2017, Rev., 5.00%, 10/1/2028 | | |
Orange County Health Facilities Authority, Orland Health Obligated Group Series 2023A, Rev., 5.00%, 10/1/2029 | | |
Orange County Health Facilities Authority, Orlando Health Obligated Group | | |
Series 2019B, Rev., 5.00%, 10/1/2025 | | |
Series 2019B, Rev., 5.00%, 10/1/2026 | | |
Series 2023A, Rev., 5.00%, 10/1/2028 | | |
Orange County School Board | | |
Series 2015C, COP, 5.00%, 8/1/2025 (b) | | |
Series 2015D, COP, 5.00%, 8/1/2025 | | |
Series 2015D, COP, 5.00%, 8/1/2025 (b) | | |
Series 2016C, COP, 5.00%, 8/1/2026 (b) | | |
Series 2017B, COP, 5.00%, 8/1/2026 | | |
Series 2016B, COP, 5.00%, 8/1/2027 | | |
Orlando Utilities Commission | | |
Series 2012A, Rev., 5.00%, 10/1/2025 | | |
Series 2018 A, Rev., 5.00%, 10/1/2025 | | |
Series 2020A, Rev., 5.00%, 10/1/2026 | | |
Series 2020A, Rev., 5.00%, 10/1/2027 | | |
Orlando Utilities Commission, Utility System | | |
Series 2013A, Rev., 5.00%, 10/1/2024 | | |
Series 2013A, Rev., 5.00%, 10/1/2025 | | |
Palm Beach County Health Facilities Authority Series 2014, Rev., 5.00%, 12/1/2024 (b) | | |
Palm Beach County School District | | |
Series 2014B, COP, 5.00%, 8/1/2025 | | |
Series 2015B, COP, 5.00%, 8/1/2025 | | |
Series 2017B, COP, 5.00%, 8/1/2025 | | |
Series 2018 A, COP, 5.00%, 8/1/2025 | | |
Series 2015B, COP, 5.00%, 8/1/2027 | | |
Series 2015D, COP, 5.00%, 8/1/2027 | | |
Series 2015B, COP, 5.00%, 8/1/2028 | | |
Series 2018B, COP, 5.00%, 8/1/2028 | | |
Pasco County School Board | | |
Series 2013, Rev., 5.00%, 10/1/2024 | | |
Series 2022A, COP, 5.00%, 8/1/2025 | | |
Series 2022A, COP, 5.00%, 8/1/2027 | | |
| | |
|
|
Polk County School District | | |
Series 2019B, COP, 5.00%, 1/1/2025 | | |
Series 2019, Rev., 5.00%, 10/1/2025 | | |
Polk County School District, Sales Tax Rev., 5.00%, 10/1/2024 | | |
School Board of Miami-Dade County (The) | | |
Series 2014D, COP, 5.00%, 11/1/2024 | | |
Series 2015D, COP, 5.00%, 2/1/2025 | | |
Series 2015A, COP, 5.00%, 5/1/2025 | | |
Series 2015C, COP, 5.00%, 5/1/2025 | | |
Series 2014D, COP, 5.00%, 11/1/2025 | | |
Series 2015D, COP, 5.00%, 2/1/2026 | | |
Series 2015A, COP, 5.00%, 5/1/2026 | | |
Series 2015A, COP, 5.00%, 7/1/2026 | | |
Series 2016 B, COP, 5.00%, 8/1/2026 | | |
Series 2014D, COP, 5.00%, 11/1/2026 | | |
Series 2015D, COP, 5.00%, 2/1/2027 | | |
Series 2015A, COP, AGM, 5.00%, 5/1/2027 | | |
Series 2015B, COP, 5.00%, 5/1/2027 | | |
Series 2016B, COP, 5.00%, 8/1/2027 | | |
Series 2015 D, COP, 5.00%, 2/1/2028 | | |
Series 2015A, COP, 5.00%, 5/1/2028 | | |
Series 2015D, COP, 5.00%, 5/1/2028 | | |
School District of Broward County | | |
Series 2015A, COP, 5.00%, 7/1/2025 | | |
Series 2015B, COP, 5.00%, 7/1/2025 | | |
Series C, COP, 5.00%, 7/1/2025 | | |
Series A, COP, 5.00%, 7/1/2026 | | |
Series C, COP, 5.00%, 7/1/2026 | | |
Series 2015B, COP, 5.00%, 7/1/2027 | | |
Series A, COP, 5.00%, 7/1/2027 | | |
Series B, COP, 5.00%, 7/1/2027 | | |
Series 2015A, COP, 5.00%, 7/1/2028 | | |
Series 2015A, COP, AGM, 5.00%, 7/1/2028 | | |
Series A, COP, 5.00%, 7/1/2028 | | |
Series 2015A, COP, 5.00%, 7/1/2029 | | |
South Broward Hospital District, Memorial Healthcare System Rev., 4.00%, 5/1/2026 | | |
South Florida Water Management District | | |
Series 2015, COP, 5.00%, 10/1/2024 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
St. Johns County School Board, Sales Tax Rev., 5.00%, 10/1/2024 | | |
State of Florida Board of Education, Public Education Capital Outlay | | |
Series 2016 E, GO, 5.00%, 6/1/2025 | | |
Series 2017 C, GO, 5.00%, 6/1/2025 | | |
Series 2023 A, GO, 5.00%, 6/1/2025 | | |
Series 2015A, GO, 5.00%, 6/1/2026 | | |
Series 2023A, GO, 5.00%, 6/1/2026 | | |
Series 2021 B, GO, 5.00%, 7/1/2026 | | |
State of Florida Department of Education Series 2018A, Rev., 5.00%, 7/1/2025 | | |
State of Florida Department of Transportation | | |
Series 2019A, Rev., 5.00%, 7/1/2025 | | |
Series 2019A, Rev., 5.00%, 7/1/2026 | | |
Series 2019A, Rev., 5.00%, 7/1/2027 | | |
Series 2021 A, Rev., 5.00%, 7/1/2027 | | |
Series 2019A, Rev., 5.00%, 7/1/2028 | | |
State of Florida Department of Transportation Turnpike System | | |
Series 2018 A, Rev., 5.00%, 7/1/2025 | | |
Series 2019 A, Rev., 5.00%, 7/1/2025 | | |
Series 2021B, Rev., 5.00%, 7/1/2025 | | |
Series 2016B, Rev., 2.50%, 7/1/2026 | | |
Series 2021B, Rev., 5.00%, 7/1/2026 | | |
State of Florida Department of Transportation, Indirect Garvees Series 2019A, Rev., 5.00%, 7/1/2029 | | |
| | |
Series 2016 A, Rev., 5.00%, 7/1/2025 | | |
Series 2017 A, Rev., 5.00%, 7/1/2028 | | |
State of Florida, Public Education Capital Outlay | | |
Series 2015 A, GO, 5.00%, 6/1/2025 | | |
Series 2016 B, GO, 5.00%, 6/1/2025 | | |
Series 2017 C, GO, 5.00%, 6/1/2026 | | |
Series 2015 F, GO, 5.00%, 6/1/2027 | | |
State of Florida, State Board of Education, Lottery Series 2014A, Rev., 3.00%, 7/1/2025 | | |
Tampa Bay Water, Regional Water Supply Authority, Utility System Series 2016C, Rev., 5.00%, 10/1/2025 | | |
Tampa Sports Authority Series 2015, Rev., 5.00%, 1/1/2025 | | |
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|
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Tohopekaliga Water Authority, Utility System Rev., 5.00%, 10/1/2025 | | |
Volusia County School Board, Master Lease Program Series 2021A, COP, 5.00%, 8/1/2025 | | |
| | |
|
Athens-Clarke County GA Unified Government Water and Sewerage Series 2015, Rev., 5.00%, 1/1/2025 | | |
| | |
Series 2015, GO, 4.50%, 12/1/2024 (b) | | |
Series 2022 A1, GO, 5.00%, 12/1/2024 | | |
City of Atlanta Department of Aviation Series 2020A, Rev., 5.00%, 7/1/2025 | | |
City of Atlanta Water and Wastewater | | |
Series 2015, Rev., 5.00%, 5/1/2025 (b) | | |
Series 2015, Rev., 5.00%, 11/1/2025 | | |
Series 2004, Rev., AGM, 5.75%, 11/1/2025 | | |
Series 2004, Rev., AGM, 5.75%, 11/1/2027 | | |
City of Atlanta, Public Improvement GO, 4.75%, 12/1/2024 (b) | | |
City of Atlanta, Water and Wastewater Rev., 5.00%, 11/1/2026 | | |
Cobb County Kennestone Hospital Authority, Wellstar Health System, Inc., Project Series 2020B, Rev., 5.00%, 4/1/2025 | | |
Columbus Medical Center Hospital Authority, Piedmont Healthcare Inc., Project Series 2019A, Rev., 5.00%, 7/1/2026 (c) | | |
County of Carroll Series 2021, GO, 5.00%, 6/1/2026 | | |
County of DeKalb Series 2006 B, Rev., 5.25%, 10/1/2025 | | |
County of DeKalb, Special Transportation, Parks and Greenspace and Libraries Tax GO, 5.00%, 12/1/2025 | | |
Development Authority for Fulton County Series 2017B, Rev., 5.00%, 11/1/2025 | | |
Development Authority of Burke County (The), Georgia Power Co. Plant Vogtle Project Series 2012-2, Rev., 3.30%, 8/21/2029 (c) | | |
Dougherty County School District Series 2021, GO, 5.00%, 12/1/2024 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Floyd County Hospital Authority, Floyd Medical Center Project Rev., GTD, 5.00%, 7/1/2026 (b) | | |
Gainesville and Hall County Hospital Authority, Northeast Georgia Health System, Inc., Project Series 2014A, Rev., GTD, 5.25%, 2/15/2025 (b) | | |
Georgia State Road and Tollway Authority Series 2020, Rev., 5.00%, 6/1/2026 | | |
Henry County School District Series 2016, GO, 5.00%, 8/1/2025 | | |
Metropolitan Atlanta Rapid Transit Authority Series 2023B, Rev., 5.00%, 7/1/2025 | | |
Municipal Electric Authority of Georgia Project Series 2016 A, Rev., 5.00%, 1/1/2026 | | |
Paulding County School District GO, 5.00%, 2/1/2025 (b) | | |
Private Colleges and Universities Authority, Emory University | | |
Series B, Rev., 5.00%, 10/1/2024 | | |
Series 2020 B, Rev., 5.00%, 9/1/2025 | | |
Series 2019 A, Rev., 5.00%, 9/1/2026 | | |
Richmond County Board of Education Series 2021, GO, 5.00%, 10/1/2024 | | |
| | |
Series 2017A, GO, 5.00%, 2/1/2025 | | |
Series 2020 A, GO, 5.00%, 8/1/2025 | | |
Series 2016 E, GO, 5.00%, 12/1/2025 | | |
Series 2018 A, GO, 5.00%, 7/1/2026 | | |
Series 2016A, GO, 5.00%, 2/1/2027 | | |
Walton County School District Series 2012, GO, 5.25%, 8/1/2025 | | |
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|
City and County of Honolulu | | |
Series E, GO, 4.00%, 9/1/2024 | | |
Series C, GO, 5.00%, 10/1/2024 | | |
Series A, GO, 5.00%, 9/1/2025 | | |
Series A, GO, 5.00%, 10/1/2025 | | |
Series 2012C, GO, 3.00%, 11/1/2025 | | |
City and County of Honolulu, Rail Transit Project | | |
Series 2019 A, GO, 5.00%, 9/1/2025 | | |
Series 2020 B, GO, 5.00%, 3/1/2026 | | |
City and County of Honolulu, Wastewater System Series B, Rev., 5.00%, 7/1/2025 | | |
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County of Maui Series 2018, GO, 5.00%, 9/1/2025 | | |
| | |
Series FG, GO, 5.00%, 10/1/2024 | | |
Series FH, GO, 5.00%, 10/1/2024 | | |
| | |
Series EZ, GO, 5.00%, 10/1/2025 | | |
Series FG, GO, 5.00%, 10/1/2025 | | |
Series FN, GO, 5.00%, 10/1/2025 | | |
Series ET, GO, 5.00%, 10/1/2028 | | |
Series 2016 FB, GO, 4.00%, 4/1/2029 | | |
Series EO, GO, 5.00%, 8/1/2029 | | |
State of Hawaii State Highway Fund Series B, Rev., 5.00%, 1/1/2028 | | |
University of Hawaii Series 2020 D, Rev., 5.00%, 10/1/2024 | | |
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|
Ada & Canyon Counties Joint School District No. 2 Meridian Series 2015, GO, 5.00%, 8/15/2025 (b) | | |
Idaho Health Facilities Authority, Trinity Health Series 2015ID, Rev., 5.50%, 12/1/2027 | | |
Idaho Housing and Finance Association, Federal Highway Trust | | |
Series 2015A, Rev., 5.00%, 7/15/2025 | | |
Series 2015A, Rev., 5.00%, 7/15/2026 | | |
Idaho Housing and Finance Association, Single Family Mortgage Series 2009A, Class I, Rev., VRDO, 3.10%, 9/12/2024 (c) | | |
Twin Falls County School District No. 411 Twin Falls | | |
Series A, GO, 4.25%, 9/15/2024 (b) | | |
Series A, GO, 4.50%, 9/15/2024 (b) | | |
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|
Champaign County Community Unit School District No. 4 Champaign Series 2017, GO, 5.00%, 1/1/2025 | | |
Chicago Board of Education, Unlimited Tax Series 2018A, GO, AGM, 5.00%, 12/1/2024 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Chicago Midway International Airport, Senior Lien Series 2023 B, Rev., 5.00%, 1/1/2025 | | |
Chicago O'Hare International Airport, Customer Facility Charge Senior Lien Series B, Rev., 5.00%, 1/1/2027 | | |
Chicago O'Hare International Airport, General Airport, Senior Lien | | |
Series B, Rev., 5.00%, 1/1/2025 | | |
Series C, Rev., 5.00%, 1/1/2025 | | |
Series E, Rev., 5.00%, 1/1/2025 | | |
Series 2020B, Rev., 5.00%, 1/1/2026 | | |
Series 2022D, Rev., 5.00%, 1/1/2026 | | |
Series B, Rev., 5.00%, 1/1/2026 | | |
Series E, Rev., 5.00%, 1/1/2026 | | |
Series 2022D, Rev., 5.00%, 1/1/2027 | | |
Series A, Rev., 5.00%, 1/1/2027 | | |
Series C, Rev., 5.00%, 1/1/2027 | | |
Series B, Rev., 5.00%, 1/1/2028 | | |
Series C, Rev., 5.00%, 1/1/2028 | | |
Series C, Rev., 5.00%, 1/1/2028 | | |
Series E, Rev., 5.25%, 1/1/2028 | | |
Series C, Rev., 5.00%, 1/1/2029 | | |
Chicago O'Hare International Airport, Passenger Facility Charge Series 2012B, Rev., AMT, 4.00%, 1/1/2029 | | |
City of Aurora Series 2023 A, GO, 5.00%, 12/30/2024 | | |
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Series 2002, Rev., 5.00%, 1/1/2025 (b) | | |
Series 1999, GO, NATL - RE, Zero Coupon, 1/1/2027 (b) | | |
City of Chicago Wastewater Transmission Series 2008C, Rev., 5.00%, 1/1/2025 (b) | | |
City of Chicago, Sales Tax Series 2002, Rev., 5.00%, 1/1/2025 (b) | | |
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City of Springfield, Electric System, Senior Lien | | |
Series 2015, Rev., 5.00%, 3/1/2025 | | |
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Cook Kane Lake and McHenry Counties Community College District No. 512, William Rainey Harper College Series 2017B, GO, 5.00%, 12/1/2027 | | |
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Series 2022A, GO, 5.00%, 11/15/2024 | | |
Series 2021 A, GO, 5.00%, 11/15/2025 | | |
Series 2022 A, GO, 5.00%, 11/15/2025 | | |
Series 2021B, GO, 4.00%, 11/15/2026 | | |
Series 2016 A, GO, 5.00%, 11/15/2027 | | |
Series 2021A, GO, 5.00%, 11/15/2028 | | |
County of Will Series 2016, GO, 5.00%, 11/15/2025 (b) | | |
Du Page and Will Counties Community School District No. 204 Indian Prairie GO, 4.00%, 12/30/2024 | | |
Du Page Cook & Will Counties Community College District No. 502 Series 2023, GO, 5.00%, 6/1/2026 | | |
DuPage County Community Unit School District No. 200 Wheaton-Warrenville Series 2019, GO, 5.00%, 10/1/2024 | | |
Illinois Finance Authority Series 2019, Rev., 5.00%, 1/1/2026 | | |
Illinois Finance Authority, Clean Water Initiative Revolving | | |
Series 2016, Rev., 4.00%, 7/1/2025 | | |
Series 2020, Rev., 5.00%, 1/1/2026 | | |
Illinois Finance Authority, Edward Elmhurst Healthcare Series 2017 A, Rev., 5.00%, 1/1/2027 (b) | | |
Illinois Finance Authority, Northwestern Memorial Healthcare | | |
Series 2017A, Rev., 5.00%, 7/15/2025 | | |
Series 2017A, Rev., 5.00%, 7/15/2028 | | |
Illinois Finance Authority, Northwestern University Series 2015, Rev., 5.00%, 12/1/2026 | | |
Illinois Finance Authority, OSF Healthcare System | | |
Series 2015A, Rev., 5.00%, 11/15/2024 | | |
Series 2020 B-1, Rev., 5.00%, 11/15/2024 (c) | | |
Illinois Finance Authority, Presbyterian Homes Obligated Group Series 2021B, Rev., (SIFMA Municipal Swap Index Yield + 0.70%), 3.54%, 9/12/2024 (d) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Illinois Finance Authority, Presence Health Network Series 2016 C, Rev., 5.00%, 2/15/2028 | | |
Illinois Finance Authority, Riverside Health System Rev., 5.00%, 11/15/2024 | | |
Illinois Finance Authority, Rush University Medical Center Obligated Group | | |
Series 2015A, Rev., 5.00%, 11/15/2024 | | |
Series 2015A, Rev., 5.00%, 11/15/2025 | | |
Series 2015A, Rev., 5.00%, 11/15/2027 | | |
Series 2015A, Rev., 5.00%, 11/15/2028 | | |
Illinois Finance Authority, State Clean Water Initiative | | |
Series 2016, Rev., 4.00%, 1/1/2025 | | |
Series 2017, Rev., 5.00%, 7/1/2025 | | |
Series 2016, Rev., 4.00%, 7/1/2026 | | |
Series 2019, Rev., 5.00%, 7/1/2026 | | |
Series 2016, Rev., 5.00%, 1/1/2027 | | |
Series 2017, Rev., 5.00%, 7/1/2027 | | |
Series 2016, Rev., 5.00%, 1/1/2028 | | |
Illinois Finance Authority, Swedish Covenant Hospital | | |
Series 2016A, Rev., 5.00%, 8/15/2026 (b) | | |
Series 2016 A, Rev., 5.25%, 8/15/2026 (b) | | |
Illinois Finance Authority, The Carle Foundation | | |
Series 2021A, Rev., 5.00%, 8/15/2025 | | |
Series 2021A, Rev., 5.00%, 8/15/2027 | | |
Series 2021A, Rev., 5.00%, 8/15/2028 | | |
Illinois Finance Authority, University of Chicago | | |
Series 2014A, Rev., 5.00%, 10/1/2024 | | |
Series 2014A, Rev., 5.00%, 10/1/2024 (b) | | |
Series 2015A, Rev., 5.00%, 10/1/2025 (b) | | |
Series 2020 A, Rev., 5.00%, 4/1/2026 | | |
Illinois Housing Development Authority Rev., FHA, 4.00%, 6/1/2025 (c) | | |
Illinois Municipal Electric Agency | | |
Series 2015A, Rev., 5.00%, 2/1/2028 | | |
Series 2015A, Rev., 5.00%, 2/1/2029 | | |
Illinois Municipal Electric Agency, Power Supply System | | |
Series 2015A, Rev., 5.00%, 2/1/2025 | | |
| | |
|
|
Series 2015A, Rev., 5.00%, 2/1/2026 | | |
Illinois State Toll Highway Authority | | |
Series 2018 A, Rev., 5.00%, 1/1/2025 | | |
Series 2019 B, Rev., 5.00%, 1/1/2025 | | |
Series 2019 C, Rev., 5.00%, 1/1/2025 | | |
Series 2018 A, Rev., 5.00%, 1/1/2026 | | |
Series 2019 B, Rev., 5.00%, 1/1/2026 | | |
Series 2018 A, Rev., 5.00%, 1/1/2028 | | |
Series 2019C, Rev., 5.00%, 1/1/2028 | | |
Kankakee & Will Counties Community Unit School District No. 5 Series 2015, GO, 4.00%, 5/1/2025 | | |
Lake Cook Kane & McHenry Counties Community Unit School District 220 Barrington Series 2022, GO, 5.00%, 12/1/2024 | | |
Lake County School District No. 112 North Shore Series 2022, GO, 5.00%, 12/1/2024 | | |
Northern Illinois Municipal Power Agency | | |
Series 2016 A, Rev., 5.00%, 12/1/2026 | | |
Series 2016 A, Rev., 5.00%, 12/1/2029 | | |
Railsplitter Tobacco Settlement Authority | | |
Rev., 5.00%, 6/1/2025 (b) | | |
Series 2017, Rev., 5.00%, 6/1/2026 (b) | | |
Regional Transportation Authority | | |
Series 2017 A, Rev., 5.00%, 7/1/2025 | | |
Series 2003 A, Rev., NATL - RE, 5.50%, 7/1/2025 | | |
| | |
Series 2018A, GO, 5.00%, 10/1/2024 | | |
Series 2017D, GO, 5.00%, 11/1/2024 | | |
Series 2021A, GO, 5.00%, 3/1/2025 | | |
Series 2022B, GO, 5.00%, 3/1/2025 | | |
Series 2014, GO, 5.00%, 5/1/2025 | | |
Series 2018B, GO, 5.00%, 10/1/2025 | | |
Series 2020B, GO, 5.00%, 10/1/2025 | | |
Series 2020D, GO, 5.00%, 10/1/2025 | | |
Series 2017D, GO, 5.00%, 11/1/2025 | | |
Series 2017A, GO, 5.00%, 12/1/2025 | | |
| | |
Series 2014, GO, 5.00%, 2/1/2026 | | |
Series 2021A, GO, 5.00%, 3/1/2026 | | |
Series 2022A, GO, 5.00%, 3/1/2026 | | |
Series 2016-6, GO, 5.00%, 6/1/2026 | | |
Series 2018B, GO, 5.00%, 10/1/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Series 2020B, GO, 5.00%, 10/1/2026 | | |
Series 2017D, GO, 5.00%, 11/1/2026 | | |
Series 2019 A, GO, 5.00%, 11/1/2026 | | |
Series 2016, GO, 5.00%, 2/1/2027 | | |
Series 2022A, GO, 5.00%, 3/1/2027 | | |
Series 2021 C, GO, 4.00%, 3/1/2028 | | |
Series 2023D, GO, 5.00%, 7/1/2028 | | |
Series 2020B, GO, 5.00%, 10/1/2028 | | |
Series 2017D, GO, 5.00%, 11/1/2028 | | |
Series 2021A, GO, 5.00%, 12/1/2028 | | |
Series 2018A, GO, 5.00%, 5/1/2029 | | |
Series 2021A, GO, 5.00%, 12/1/2029 | | |
State of Illinois, Sales Tax | | |
Series 2013, Rev., 5.00%, 6/15/2026 | | |
Series 2021 A, Rev., 4.00%, 6/15/2028 | | |
Series 2021A, Rev., 4.00%, 6/15/2029 | | |
Tender Option Bond Trust Receipts/ Certificates Series 2017-XF2500, Rev., VRDO, LIQ : Wells Fargo Bank NA, 2.97%, 9/12/2024 (c) (e) | | |
Village of Midlothian GO, AGM, 4.00%, 1/1/2025 | | |
Village of Rantoul GO, 4.00%, 1/1/2025 | | |
Will County Forest Preserve District GO, 5.00%, 12/15/2024 | | |
| | |
|
Brownsburg 1999 School Building Corp. Series 2024B, Rev., BAN, 5.00%, 6/1/2025 | | |
Carmel Local Public Improvement Bond Bank Series 2021A, Rev., 4.00%, 7/15/2025 | | |
City of Indianapolis Department of Public Utilities Gas Utility, Second Lien Series 2017 A, Rev., 5.00%, 8/15/2025 | | |
City of Indianapolis, Department of Public Utilities Water System | | |
Series 2018 A, Rev., 5.00%, 10/1/2025 | | |
Series 2018A, Rev., 5.00%, 10/1/2026 | | |
City of Whiting, BP Products North America, Inc. Project Series 2019A, Rev., AMT, 5.00%, 6/5/2026 (c) | | |
Clark Pleasant Middle School Corp., Ad Valorem Property Tax First Mortgage Rev., 4.00%, 1/15/2025 | | |
Danville Multi-School Building Corp. Rev., BAN, 4.50%, 12/15/2024 | | |
| | |
|
|
GCS School Building Corp. One, Unlimited Ad Valorem Property Tax First Mortgage Rev., 5.00%, 1/15/2026 | | |
Indiana Finance Authority | | |
Series 2016C, Rev., 5.00%, 12/1/2024 | | |
Series 2016 C, Rev., 5.00%, 6/1/2027 | | |
Indiana Finance Authority, Community Foundation of Northern Indiana Obligated Group Series 2016, Rev., 5.00%, 9/1/2026 | | |
Indiana Finance Authority, CWA Authority Project | | |
Series 2021-2, Rev., 5.00%, 10/1/2024 | | |
Series 2021-2, Rev., 5.00%, 10/1/2025 | | |
Series 2021-2, Rev., 5.00%, 10/1/2027 | | |
Indiana Finance Authority, Deaconess Health System | | |
Series 2015A, Rev., 4.00%, 3/1/2025 (b) | | |
Series 2016 A, Rev., 4.00%, 9/1/2026 (b) | | |
Indiana Finance Authority, Franciscan Alliance, Inc., Obligated Group | | |
Series 2016B, Rev., 5.00%, 11/1/2024 | | |
Series 2017 B, Rev., 5.00%, 11/1/2026 | | |
Indiana Finance Authority, Goshen Health Series 2019B, Rev., 2.10%, 11/1/2026 (c) | | |
Indiana Finance Authority, Indiana University Health Obligated Group | | |
Series 2014 A, Rev., 5.00%, 12/1/2024 | | |
Series 2019C, Rev., 5.00%, 12/1/2024 | | |
Series 2019B, Rev., 2.25%, 7/1/2025 (c) | | |
Indiana Finance Authority, State Revolving Program | | |
Series 2017 C, Rev., 5.00%, 2/1/2026 | | |
Series 2019 A, Rev., 5.00%, 2/1/2026 | | |
Series D, Rev., 5.00%, 8/1/2026 (b) | | |
Indiana Health Facility Financing Authority, Ascension Health Credit Group Series 2005A-7, Rev., 4.00%, 10/1/2025 | | |
Indiana Municipal Power Agency, Power Supply System | | |
Series 2014A, Rev., 5.00%, 1/1/2025 | | |
Series 2016 C, Rev., 5.00%, 1/1/2025 | | |
Series 2014A, Rev., 5.00%, 1/1/2027 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Series 2016C, Rev., 5.00%, 1/1/2027 | | |
Series 2016C, Rev., 5.00%, 1/1/2028 | | |
Series 2016 C, Rev., 5.00%, 1/1/2029 | | |
Indiana University Series 2016 A, Rev., 5.00%, 6/1/2028 | | |
Indianapolis Local Public Improvement Bond Bank Series 2021A, Rev., 5.00%, 6/1/2025 | | |
Indianapolis Local Public Improvement Bond Bank, Stormwater Project Series 2013D, Rev., 3.25%, 1/1/2025 | | |
IPS Multi-School Building Corp., First Mortgage Series 2015, Rev., 5.00%, 7/15/2026 | | |
Ivy Tech Community College of Indiana, Student Fee Series W, Rev., 5.00%, 7/1/2025 | | |
Jackson County Building Corp. Rev., 2.00%, 1/15/2025 | | |
New Prairie United School District Building Corp., First Mortgage Rev., 4.00%, 1/15/2025 | | |
| | |
Series 2016 CC, Rev., 5.00%, 7/1/2026 | | |
Series EE, Rev., 5.00%, 7/1/2026 | | |
South Gibson School Building Corp., First Mortgage Rev., 4.00%, 1/10/2025 | | |
Southmont School Building Corp., Ad Valorem Property Tax, First Mortgage Rev., 5.00%, 1/15/2025 | | |
Winfield Building Corp., Indiana Lease Rental, Sewage Works Treatment Plant Project | | |
Series 2020B, Rev., 4.00%, 1/15/2025 | | |
Series 2020B, Rev., 4.00%, 7/15/2025 | | |
Series 2020A, Rev., 4.00%, 1/15/2026 | | |
Series 2020B, Rev., 4.00%, 1/15/2026 | | |
Zionsville Community Schools Building Corp., First Mortgage, Capital Appreciation Series 2003Z, Rev., NATL - RE, Zero Coupon, 1/15/2025 | | |
| | |
|
Iowa Finance Authority Series 2015, Rev., 5.00%, 8/1/2025 | | |
Iowa Finance Authority, Midwestern Disaster Area, Archer-Daniels-Midland Co. Project Rev., VRDO, 2.95%, 9/12/2024 (c) | | |
| | |
|
|
State of Iowa Board of Regents, University of Iowa, Hospitals and Clinics Series S, Rev., 5.00%, 9/1/2025 | | |
State of Iowa, Ijobs Program | | |
Series 2016A, Rev., 5.00%, 6/1/2025 | | |
Series 2016A, Rev., 5.00%, 6/1/2027 | | |
University of Iowa (The), Parking System Series 2023, Rev., BAN, 3.50%, 7/1/2026 | | |
| | |
|
Butler County Unified School District No. 385 Andover Series 2017, GO, 4.00%, 9/1/2025 | | |
City of Derby Series 2024-1, GO, 4.00%, 12/1/2026 | | |
City of Wichita Water and Sewer Utility Series 2016 B, Rev., 5.00%, 10/1/2025 | | |
City of Wichita, Water and Sewer System Series 2016B, Rev., 5.00%, 10/1/2024 | | |
County of Johnson Series 2018 A, GO, 5.00%, 9/1/2025 | | |
County of Shawnee COP, 3.00%, 9/1/2024 | | |
Franklin County Unified School District No. 290 Ottawa Series A, GO, 4.00%, 9/1/2025 (b) | | |
Johnson County Unified School District No. 233 Olathe Series 2016A, GO, 4.00%, 9/1/2024 (b) | | |
Johnson County Unified School District No. 512 Shawnee Mission Series 2023 A, GO, 5.00%, 10/1/2024 | | |
Kansas Development Finance Authority Series 2020 B, Rev., 5.00%, 5/1/2028 | | |
Rice County Unified School District No. 376 Sterling Series 2015, GO, AGM, 4.00%, 9/1/2025 (b) | | |
Sedgwick County Unified School District No. 266 Maize Series 2017, GO, 5.00%, 9/1/2024 | | |
Seward County Unified School District No. 480 Liberal Series 2017-B, GO, 5.00%, 9/1/2025 (b) | | |
State of Kansas Department of Transportation | | |
Series 2015B, Rev., 5.00%, 9/1/2025 | | |
Series 2018 A, Rev., 5.00%, 9/1/2025 | | |
Series 2018 A, Rev., 5.00%, 9/1/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Series 2018 A, Rev., 5.00%, 9/1/2027 | | |
Series 2015B, Rev., 5.00%, 9/1/2029 | | |
| | |
|
County of Knott, Solid Waste Water Project Series 2024, Rev., AMT, 4.00%, 4/1/2025 (c) (e) | | |
Kentucky Asset Liability Commission, Federal Highway Trust Fund | | |
Series A, Rev., 5.00%, 9/1/2024 | | |
Series 2021A, Rev., 5.00%, 11/1/2024 | | |
Series 2015A, Rev., 5.00%, 9/1/2025 | | |
Series 2023A, Rev., 5.00%, 9/1/2025 | | |
Series 2015A, Rev., 5.00%, 9/1/2026 | | |
Series 2015 A, Rev., 5.00%, 9/1/2027 | | |
Kentucky Economic Development Finance Authority, Catholic Health Initiatives Series 2011B-3, Rev., (SIFMA Municipal Swap Index Yield + 1.40%), 4.24%, 9/12/2024 (d) | | |
Kentucky Economic Development Finance Authority, CommonSpirit Health Obligated Group Series 2019A-1, Rev., 5.00%, 8/1/2025 | | |
Kentucky Infrastructure Authority Series 2016 A, Rev., 5.00%, 2/1/2027 | | |
Kentucky Municipal Power Agency, Prairie State Project Series 2015A, Rev., NATL - RE, 5.00%, 9/1/2024 | | |
Kentucky Public Energy Authority, Gas Supply Series 2020A, Rev., 4.00%, 6/1/2026 (c) | | |
Kentucky State Property and Building Commission, Project No. 108 | | |
Series B, Rev., 5.00%, 8/1/2026 | | |
Series A, Rev., 5.00%, 8/1/2028 | | |
Kentucky State Property and Building Commission, Project No. 112 | | |
Series B, Rev., 5.00%, 11/1/2025 | | |
Series B, Rev., 5.00%, 11/1/2026 | | |
Series B, Rev., 5.00%, 11/1/2028 | | |
Kentucky State Property and Building Commission, Project No. 115 Rev., 5.00%, 4/1/2028 | | |
Kentucky State Property and Building Commission, Project No. 122 Series A, Rev., 5.00%, 11/1/2027 | | |
| | |
|
|
Kentucky State Property and Building Commission, Project No. 130 Series 2024 B, Rev., 5.00%, 11/1/2025 | | |
Kentucky Turnpike Authority Series 2016 A, Rev., 5.00%, 7/1/2026 | | |
Kentucky Turnpike Authority, Revitalization Projects | | |
Series B, Rev., 5.00%, 7/1/2025 | | |
Series B, Rev., 5.00%, 7/1/2026 | | |
Series B, Rev., 4.00%, 7/1/2027 | | |
Series 2016A, Rev., 5.00%, 7/1/2027 | | |
Series B, Rev., 5.00%, 7/1/2027 | | |
Lexington-Fayette Urban County Government Series 2015A, GO, 5.00%, 10/1/2024 | | |
Lexington-Fayette Urban County Government Sewer System Series 2014A, Rev., 5.00%, 9/1/2024 | | |
Lexington-Fayette Urban County Government, Various Purpose Series 2017A, GO, 5.00%, 9/1/2024 | | |
Louisville and Jefferson County Metropolitan Government, Norton Healthcare, Inc. | | |
Series 2016 A, Rev., 5.00%, 10/1/2026 | | |
Series 2016A, Rev., 5.00%, 10/1/2027 | | |
Scott County School District Finance Corp. Rev., 5.00%, 6/1/2025 | | |
University of Kentucky, General Receipts Series 2015B, Rev., 5.00%, 10/1/2024 | | |
| | |
|
City of New Orleans Series 2022, GO, 5.00%, 12/1/2024 | | |
City of New Orleans Water System Series 2014, Rev., 5.00%, 12/1/2024 (b) | | |
City of New Orleans, Water System Series 2014, Rev., 5.00%, 12/1/2024 (b) | | |
East Baton Rouge Sewerage Commission Series 2014B, Rev., 5.00%, 2/1/2025 (b) | | |
Louisiana Local Government Environmental Facilities and Community Development Authority | | |
Series 2018, Rev., 5.00%, 12/1/2024 | | |
Series 2017, Rev., 5.00%, 10/1/2026 | | |
Louisiana Local Government Environmental Facilities and Community Development Authority, LCTCS Act 360 Project Series 2014, Rev., 5.00%, 10/1/2024 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Louisiana Local Government Environmental Facilities and Community Development Authority, LCTCS Act 391 Project Series 2017, Rev., 5.00%, 10/1/2024 | | |
Louisiana Public Facilities Authority, Elementus Minerals, LLC Project Series 2023, Rev., 5.00%, 11/1/2025 (c) (e) | | |
Louisiana Public Facilities Authority, Tulane University of Louisiana Project Series 2016A, Rev., 5.00%, 12/15/2026 | | |
| | |
Series 2016 A, GO, 5.00%, 9/1/2025 | | |
Series 2016 D, GO, 5.00%, 9/1/2025 | | |
Series 2019A, Rev., 5.00%, 9/1/2025 | | |
Series 2024 E, GO, 5.00%, 9/1/2028 (f) | | |
Series 2024 E, GO, 5.00%, 9/1/2029 (f) | | |
State of Louisiana Gasoline and Fuels Tax Series A, Rev., 4.50%, 5/1/2025 (b) | | |
State of Louisiana Gasoline and Fuels Tax, Second Lien Series 2023 A-2, Rev., VRDO, LOC : TD Bank NA, 3.80%, 9/3/2024 (c) | | |
| | |
|
Maine Health and Higher Educational Facilities Authority, Mainehealth Series 2020A, Rev., 5.00%, 7/1/2026 | | |
Maine Municipal Bond Bank Series 2014C, Rev., 5.00%, 11/1/2024 | | |
Maine School Administrative District No. 51 GO, 4.00%, 8/1/2025 | | |
State of Maine Series 2017 B, GO, 5.00%, 6/1/2026 | | |
University of Maine System | | |
| | |
Series 2022, Rev., 5.00%, 3/1/2026 | | |
| | |
|
| | |
Series 2018, GO, 5.00%, 10/1/2024 | | |
Series 2020, GO, 5.00%, 10/1/2025 | | |
| | |
| | |
Series 2015, GO, 5.00%, 8/1/2025 | | |
County of Baltimore, Consolidated Public Improvement GO, 5.00%, 2/1/2025 | | |
| | |
|
|
County of Charles Series 2016, GO, 5.00%, 10/1/2024 | | |
| | |
Series 2017 C, GO, 5.00%, 10/1/2024 | | |
Series 2014A, GO, 5.00%, 11/1/2024 | | |
Series 2014A, GO, 5.00%, 11/1/2024 (b) | | |
Series 2015 B, GO, 5.00%, 12/1/2024 | | |
Series 2017 B, GO, 5.00%, 6/1/2026 | | |
County of Montgomery, Public Facilities Projects Series 2020 A, COP, 5.00%, 10/1/2025 | | |
County of Prince George's Series 2023A, GO, 5.00%, 8/1/2025 | | |
County of Prince George's, Behaviour Health Facility and equipment COP, 5.00%, 10/1/2024 | | |
County of Prince George's, Consolidated Public Improvement | | |
Series 2014A, GO, 4.00%, 9/1/2024 | | |
Series 2020 A, GO, 5.00%, 7/15/2025 | | |
County of Prince George's, Maryland Chesapeake Lighthouse Charter School Project Series A, Rev., 7.00%, 12/1/2024 (b) | | |
County of Prince George's, Regional Medical Center COP, 5.00%, 10/1/2024 | | |
Maryland Health and Higher Educational Facilities Authority, Lifebridge Health Issue Rev., 5.00%, 7/1/2025 | | |
Maryland Health and Higher Educational Facilities Authority, Medstar Health Issue Series 2020B-1, Rev., 5.00%, 7/1/2025 (c) | | |
Maryland Health and Higher Educational Facilities Authority, Medstar Health, Inc. Series 2015, Rev., 5.00%, 8/15/2028 | | |
Maryland State Transportation Authority Series 2020, Rev., 5.00%, 7/1/2025 | | |
| | |
Series 2017, GO, 5.00%, 3/15/2025 | | |
Series 2015B, GO, 4.00%, 8/1/2025 | | |
Series 2018 A, GO, 5.00%, 3/15/2026 | | |
Series 2A, GO, 5.00%, 8/1/2026 | | |
Series 2016, GO, 4.00%, 6/1/2028 | | |
State of Maryland Department of Transportation | | |
Series 2019, Rev., 5.00%, 10/1/2024 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Series 2015-3, Rev., 4.00%, 12/15/2024 | | |
Series 2019, Rev., 5.00%, 10/1/2026 | | |
State of Maryland Department of Transportation, Second Issue Rev., 5.00%, 6/1/2025 | | |
Washington Suburban Sanitary Commission | | |
Series 2017-2, Rev., GTD, 5.00%, 6/1/2025 | | |
Series 2018, Rev., GTD, 5.00%, 6/1/2025 | | |
| | |
|
Acton and Boxborough Regional School District GO, BAN, 4.50%, 7/10/2025 | | |
Brockton Area Transit Authority Rev., RAN, 4.50%, 7/25/2025 | | |
City of Framingham Series 2017, GO, 5.00%, 12/1/2024 | | |
City of Woburn, Municipal Purpose Loan GO, 2.63%, 11/15/2025 | | |
Commonwealth of Massachusetts | | |
Series E, GO, 5.00%, 9/1/2024 | | |
Series 2019 A, GO, 5.00%, 7/1/2025 | | |
Series A, GO, 5.00%, 7/1/2025 | | |
Series C, GO, 5.00%, 8/1/2025 | | |
Series 2018C, GO, 5.00%, 9/1/2025 | | |
Series 2019 G, GO, 5.00%, 9/1/2025 | | |
Series C, GO, 5.00%, 10/1/2025 | | |
Series 2021 B, GO, 5.00%, 11/1/2025 | | |
Series 2016A, GO, 5.00%, 7/1/2026 | | |
Series 2016B, GO, 5.00%, 7/1/2026 | | |
Series 2021A, GO, 5.00%, 9/1/2029 | | |
Massachusetts Bay Transportation Authority Assessment Series 2016A, Rev., 5.00%, 7/1/2025 | | |
Massachusetts Bay Transportation Authority Sales Tax | | |
Series 2005 A, Rev., 5.00%, 7/1/2025 | | |
Series A, Rev., 5.00%, 7/1/2025 (b) | | |
Series B, Rev., 5.00%, 7/1/2025 (b) | | |
Massachusetts Bay Transportation Authority, Sales Tax Series 2021, Rev., BAN, 4.00%, 5/1/2025 | | |
Massachusetts Clean Water Trust (The) | | |
Series 2006, Rev., 5.00%, 8/1/2025 | | |
| | |
|
Massachusetts — continued |
Series 23 B, Rev., 5.00%, 2/1/2026 | | |
Massachusetts Development Finance Agency Series 2014A, Rev., 5.00%, 10/1/2024 | | |
Massachusetts Development Finance Agency, Caregroup | | |
Series 2015 H-1, Rev., 5.00%, 7/1/2025 (b) | | |
Series 2015 H-1, Rev., 5.00%, 7/1/2025 | | |
Massachusetts Development Finance Agency, Children's Hospital Corp Obligated Group Series 2014P, Rev., 5.00%, 10/1/2024 (b) | | |
Massachusetts Development Finance Agency, Partners Healthcare System Series 2016Q, Rev., 5.00%, 7/1/2027 | | |
Massachusetts Development Finance Agency, Partners Healthcare System Issue | | |
Series 2019T-1, Rev., (SIFMA Municipal Swap Index Yield + 0.60%), 3.44%, 9/12/2024 (d) (e) | | |
Series 2017S-2, Rev., 5.00%, 1/30/2025 (c) | | |
Series O-2, Rev., 5.00%, 7/1/2025 (b) | | |
Series 2016Q, Rev., 5.00%, 7/1/2028 | | |
Massachusetts Health and Educational Facilities Authority, Massachusetts Institute of Technology Series M, Rev., 5.25%, 7/1/2025 | | |
Massachusetts School Building Authority, Dedicated Sales Tax | | |
Series 2015B, Rev., 5.00%, 1/15/2025 | | |
Series 2015C, Rev., 5.00%, 8/15/2025 | | |
Series 2015C, Rev., 5.00%, 8/15/2025 (b) | | |
Series 2016A, Rev., 5.00%, 11/15/2025 (b) | | |
Series 2018A, Rev., 5.00%, 2/15/2028 | | |
Massachusetts State College Building Authority Series 2016A, Rev., 4.00%, 5/1/2025 | | |
Merrimack Valley Regional Transit Authority Rev., RAN, 4.50%, 6/20/2025 | | |
Pioneer Valley Transit Authority Rev., RAN, GTD, 4.50%, 7/11/2025 | | |
Southeastern Massachusetts Regional 911 District GO, BAN, 5.00%, 10/10/2024 | | |
Southeastern Regional Transit Authority Rev., RAN, 4.25%, 8/15/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
Massachusetts — continued |
Spencer East Brookfield Regional School District GO, BAN, 4.50%, 5/22/2025 | | |
Town of Marshfield, Municipal Purpose Loan GO, 5.00%, 11/1/2024 | | |
Town of Middleton, Municipal Purpose Loan GO, 2.50%, 8/15/2025 | | |
Town of Nantucket Series A, GO, BAN, 4.50%, 7/25/2025 | | |
Town of Northbridge GO, BAN, 4.50%, 6/20/2025 | | |
Town of Tewksbury, Municipal Purpose Loan GO, 4.00%, 1/15/2025 | | |
Town of Wilbraham GO, BAN, 4.25%, 3/12/2025 | | |
University of Massachusetts Building Authority | | |
Series 1, Rev., 5.00%, 11/1/2024 (b) | | |
Series 2015-1, Rev., 5.00%, 11/1/2025 (b) | | |
Worcester Regional Transit Authority Rev., RAN, GTD, 4.50%, 6/20/2025 | | |
| | |
|
City of Brighton Series 2021, GO, 4.00%, 10/1/2024 | | |
City of Grand Rapids Sanitary Sewer System Series 2010, Rev., 5.00%, 1/1/2026 | | |
City of Lathrup Village, Limited Tax GO, 5.00%, 10/1/2025 | | |
Grand Valley State University | | |
Series 2016A, Rev., 5.00%, 12/1/2024 | | |
Series 2016A, Rev., 5.00%, 12/1/2027 | | |
Great Lakes Water Authority Water Supply System Series C, Rev., 5.00%, 7/1/2029 | | |
Great Lakes Water Authority Water Supply System, Second Lien Series 2018 A, Rev., 5.00%, 7/1/2026 | | |
Great Lakes Water Authority Water Supply System, Senior Lien Series C, Rev., 5.00%, 7/1/2025 | | |
Karegnondi Water Authority, Water Supply System Series 2014A, Rev., 5.00%, 11/1/2026 | | |
Kent Hospital Finance Authority, Mary Free Bed Rehabilitation Hospital Series 2021A, Rev., 5.00%, 4/1/2025 | | |
L'Anse Creuse Public Schools Series 2015, GO, Q-SBLF, 5.00%, 5/1/2025 (b) | | |
| | |
|
|
Linden Community School District, School Building and Site, Unlimited Tax Series 2021I, GO, Q-SBLF, 4.00%, 5/1/2025 | | |
Michigan Finance Authority Series 2018B, Rev., 5.00%, 10/1/2025 | | |
Michigan Finance Authority, Beaumont Spectrum Series 2022 A, Rev., 5.00%, 4/15/2027 | | |
Michigan Finance Authority, Clean Water Revolving Fund | | |
Series 2016B, Rev., 5.00%, 10/1/2024 | | |
Series 2018B, Rev., 5.00%, 10/1/2024 | | |
Series 2016 B, Rev., 5.00%, 10/1/2025 | | |
Michigan Finance Authority, Detroit Regional Convention Facility Authority Series 2014H-1, Rev., 5.00%, 10/1/2024 | | |
Michigan Finance Authority, Henry Ford Health System | | |
Series 2016, Rev., 5.00%, 11/15/2025 | | |
Series 2016, Rev., 5.00%, 11/15/2026 | | |
| | |
Series 2016, Rev., 5.00%, 11/15/2028 | | |
Series 2016, Rev., 5.00%, 11/15/2029 | | |
Michigan Finance Authority, Hospital Trinity Health Credit Group | | |
Series 2015MI, Rev., 5.50%, 12/1/2026 | | |
Series 2017A-MI, Rev., 5.00%, 12/1/2027 | | |
Series 2015MI, Rev., 5.50%, 12/1/2027 | | |
Michigan Finance Authority, Trinity Health Credit Group | | |
Series 2015MI, Rev., 5.00%, 12/1/2024 | | |
Series 2017A-MI, Rev., 5.00%, 12/1/2024 | | |
Series 2019MI-2, Rev., 5.00%, 2/1/2025 (c) | | |
Series 2017A-MI, Rev., 5.00%, 12/1/2026 | | |
Series 2017MI, Rev., 5.00%, 12/1/2027 | | |
Series 2019MI-1, Rev., 5.00%, 12/1/2028 | | |
Series 2015MI, Rev., 5.50%, 12/1/2028 | | |
Michigan State Building Authority Series 2020 I, Rev., 5.00%, 4/15/2028 | | |
Michigan State Building Authority, Facilities Program | | |
Series 2023-I, Rev., VRDO, 3.02%, 9/12/2024 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Series 2023 II, Rev., 5.00%, 10/15/2024 | | |
Series 2015 I, Rev., 5.00%, 10/15/2025 (b) | | |
Series 2023 II, Rev., 5.00%, 10/15/2026 | | |
Series 2015 I, Rev., 5.00%, 4/15/2029 | | |
Michigan State Building Authority, Multi Modal Program Series III, Rev., VRDO, 3.02%, 9/12/2024 (c) | | |
Michigan State Hospital Finance Authority, Ascension Health Credit Group Series 1999B-4, Rev., 5.00%, 11/15/2027 | | |
Michigan State Hospital Finance Authority, Trinity Health Credit Group Series 2008C, Rev., 5.00%, 12/1/2024 | | |
Michigan State Housing Development Authority, The Porter Series 2022, Rev., 5.00%, 12/1/2024 (c) | | |
Michigan State University Series 2015A, Rev., 5.00%, 8/15/2028 | | |
North Kent Sewer Authority Series 2016, Rev., 5.00%, 11/1/2024 | | |
Portage Public Schools Series 2016, GO, 5.00%, 11/1/2024 | | |
RIB Floater Trust Various States Series 2022-046, Rev., VRDO, LOC : Barclays Bank plc, 3.95%, 9/3/2024 (c) (e) | | |
South Lake Schools, School Building and Site GO, Q-SBLF, 4.00%, 11/1/2024 | | |
| | |
Series 2016, Rev., GAN, 5.00%, 3/15/2025 | | |
Series 2015A, GO, 5.00%, 12/1/2025 | | |
Series 2016, Rev., GAN, 5.00%, 3/15/2026 | | |
State of Michigan Trunk Line Series 2021 A, Rev., 5.00%, 11/15/2025 | | |
Wayne County Airport Authority Series C, Rev., 5.00%, 12/1/2026 | | |
Wayne State University Series 2019A, Rev., 5.00%, 11/15/2024 | | |
Western Michigan University Series 2015A, Rev., 5.00%, 11/15/2024 | | |
| | |
| | |
|
|
City of Minneapolis and The Housing and Redevelopment Authority of City of St. Paul, Allina Health System Series 2017 A, Rev., 5.00%, 11/15/2028 | | |
City of Rochester Electric Utility Series 2017 A, Rev., 5.00%, 12/1/2024 | | |
City of St. Cloud, Centracare Health System | | |
Series 2016A, Rev., 5.00%, 5/1/2026 | | |
Series 2016A, Rev., 5.00%, 5/1/2029 | | |
City of St. Cloud, Infrastructure Management Fund Series 2013A, GO, 3.00%, 2/1/2025 | | |
City of West St. Paul Series 2017A, GO, 4.00%, 2/1/2025 | | |
County of Clay Series 2017A, GO, 5.00%, 2/1/2025 | | |
County of Hennepin Sales Tax Series 2017 A, Rev., 5.00%, 12/15/2025 | | |
County of Olmsted Series 2015A, GO, 4.00%, 2/1/2025 | | |
Duluth Independent School District No. 709 | | |
Series 2016A, COP, 4.00%, 2/1/2027 | | |
Series 2016A, COP, 4.00%, 2/1/2028 | | |
Series 2019B, COP, 5.00%, 2/1/2028 | | |
Housing And Redevelopment Authority of The City of St. Paul Minnesota, Healtheast care System Series 2015A, Rev., 5.00%, 11/15/2025 (b) | | |
Metropolitan Council Series 2021B, GO, GAN, 5.00%, 12/1/2024 | | |
Minneapolis-St. Paul Metropolitan Airports Commission | | |
Series A, Rev., 4.00%, 1/1/2026 | | |
Series A, Rev., 5.00%, 1/1/2026 | | |
Minnesota Higher Education Facilities Authority, Carleton College Series 2017, Rev., 5.00%, 3/1/2025 | | |
Minnesota Municipal Gas Agency Series 2022B, Rev., LIQ : Royal Bank of Canada, (SOFR + 1.00%), 4.58%, 9/6/2024 (d) | | |
Minnesota State Colleges And Universities Foundation Series 2017 A, Rev., 5.00%, 10/1/2024 | | |
North St Paul-Maplewood-Oakdale Independent School District No. 622 Series 2021 A, GO, 4.00%, 2/1/2029 | | |
Rosemount-Apple Valley-Eagan Independent School District No. 196 Series 2016A, GO, 5.00%, 2/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
St. Cloud Independent School District No. 742 Series 2021A, COP, 3.00%, 2/1/2025 | | |
St. Paul Port Authority, State of Minnesota Freeman Office Building | | |
Series 2013-2, Rev., 5.00%, 12/1/2024 | | |
Series 2013-3, Rev., 5.00%, 12/1/2024 | | |
| | |
Series 2014B, GO, 4.00%, 11/18/2024 | | |
Series 2020 A, GO, 5.00%, 8/1/2025 | | |
Series 2017 A, GO, 5.00%, 10/1/2025 | | |
| | |
Series 2019B, Rev., 5.00%, 10/1/2025 | | |
Series 2017B, Rev., 5.00%, 12/1/2025 | | |
Series 2015 A, Rev., 5.00%, 8/1/2026 | | |
Western Minnesota Municipal Power Agency Series 2022A, Rev., 5.00%, 1/1/2025 | | |
| | |
|
Mississippi Business Finance Corp., Waste Management, Inc., Project Rev., 0.70%, 9/1/2026 (c) | | |
Mississippi Development Bank, Department of Corrections Walnut Grove Correctional Facility Refunding Bonds Project Series A, Rev., 5.00%, 8/1/2026 | | |
Mississippi Development Bank, Harrison County Series 2013A, Rev., 5.00%, 1/1/2026 | | |
Mississippi Development Bank, Rankin County School District Project Rev., 5.00%, 6/1/2025 | | |
Rankin County School District, Limited Tax GO, 5.00%, 8/1/2025 | | |
| | |
Series 2020B, GO, 5.00%, 9/1/2024 | | |
Series 2020 B, GO, 5.00%, 9/1/2025 | | |
Series 2015A, GO, 4.00%, 10/1/2025 (b) | | |
Series 2015A, GO, 5.00%, 10/1/2025 (b) | | |
Series 2015 F, GO, 4.00%, 11/1/2025 (b) | | |
Series 2015F, GO, 5.00%, 11/1/2025 (b) | | |
Series 2016 B, GO, 5.00%, 12/1/2026 (b) | | |
| | |
|
|
State of Mississippi, Tax-Exempt Series 2017A, GO, 5.00%, 10/1/2024 | | |
University of Mississippi Educational Building Corp., Facilities Refinancing Project Rev., 5.00%, 10/1/2024 | | |
| | |
|
Bi-State Development Agency of the Missouri-Illinois Metropolitan District, Combined Lien Mass Sales Tax Series 2019, Rev., 5.00%, 10/1/2026 | | |
Cape Girardeau School District No. 63 GO, 4.00%, 3/1/2025 | | |
City of Kansas City Series 2017C, Rev., 5.00%, 9/1/2027 | | |
City of Kansas City Sanitary Sewer System Series 2016 A, Rev., 5.00%, 1/1/2028 | | |
City of Kansas City, Downtown Arena Project Series E, Rev., 5.00%, 4/1/2028 | | |
City of Kansas City, Missouri Special Obligation Series A, Rev., 5.00%, 10/1/2029 | | |
City of Kansas City, Missouri Special Obligation Refunding and Improvement, Main Streetcar Extension Project Series 2022C, Rev., 5.00%, 9/1/2025 | | |
City of St. Louis Airport Series 2005, Rev., NATL - RE, 5.50%, 7/1/2027 | | |
County of Dunklin Rev., 3.00%, 12/1/2026 | | |
County of St Louis Series 2021 B, Rev., 5.00%, 12/1/2024 | | |
Health and Educational Facilities Authority of the State of Missouri Series 2021 C, Rev., 5.00%, 5/1/2028 (c) | | |
Health and Educational Facilities Authority of the State of Missouri, BJC Health System Series 2021B, Rev., 4.00%, 5/1/2026 (c) | | |
Health and Educational Facilities Authority of the State of Missouri, Children's Mercy Hospital Obligated Group Rev., 5.00%, 5/15/2025 | | |
Health and Educational Facilities Authority of the State of Missouri, Mercy Health | | |
Series 2018A, Rev., 5.00%, 6/1/2027 | | |
Series 2018A, Rev., 5.00%, 6/1/2029 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Health and Educational Facilities Authority of the State of Missouri, SSM Health Care Obligated Group | | |
Series 2022A, Rev., 5.00%, 6/1/2026 | | |
Series 2023 A, Rev., 5.00%, 6/1/2028 (c) | | |
Health and Educational Facilities Authority of the State of Missouri, St. Louis University Rev., 5.00%, 11/15/2028 | | |
Health and Educational Facilities Authority of the State of Missouri, St. Luke's Health System, Inc. Rev., 5.00%, 11/15/2029 | | |
Joplin Schools, Missouri Direct Deposit Program GO, 4.00%, 3/1/2025 | | |
Missouri Highway and Transportation Commission, First Lien Series A, Rev., 5.00%, 5/1/2026 | | |
Missouri Joint Municipal Electric Utility Commission, Iatan Project 2 | | |
Series 2023, Rev., 5.00%, 1/1/2028 | | |
Series 2023, Rev., 5.00%, 1/1/2029 | | |
Missouri Joint Municipal Electric Utility Commission, Plum Point Project | | |
Series 2014A, Rev., 5.00%, 1/1/2025 | | |
Series 2014A, Rev., 5.00%, 1/1/2028 | | |
Missouri Joint Municipal Electric Utility Commission, Prairie State Project | | |
Series 2015A, Rev., 5.00%, 12/1/2024 | | |
Series 2015A, Rev., 5.00%, 6/1/2028 | | |
Missouri Public Utilities Commission Rev., 4.00%, 12/1/2024 | | |
Missouri State Environmental Improvement & Energy Resources Authority Series 2015 B, Rev., 5.00%, 7/1/2025 | | |
St. Louis County Library District COP, 4.00%, 4/1/2027 | | |
| | |
|
City of Lincoln Electric System | | |
Series 2015A, Rev., 5.00%, 9/1/2025 (b) | | |
Series 2018, Rev., 5.00%, 9/1/2025 | | |
Series 2020 A, Rev., 5.00%, 9/1/2026 | | |
City of Omaha, Sanitary Sewerage System Series 2020A, Rev., 4.00%, 4/1/2025 | | |
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|
County of Douglas, Creighton University Projects Series 2021B, Rev., (SIFMA Municipal Swap Index Yield + 0.53%), 3.37%, 9/12/2024 (d) | | |
Douglas County Hospital Authority No. 2, Children's Obligated Group Series 2020B, Rev., 5.00%, 11/15/2025 (c) | | |
Elkhorn School District Series 2015, GO, 4.00%, 12/15/2024 (b) | | |
Grand Island Public Schools Series 2014, GO, 4.00%, 12/15/2024 (b) | | |
Kearney School District Series 2015, GO, 4.00%, 12/15/2024 (b) | | |
Nebraska Public Power District | | |
Series 2012B, Rev., 5.00%, 1/1/2025 | | |
Series 2016A, Rev., 5.00%, 1/1/2025 | | |
Series A-1, Rev., 5.00%, 1/1/2025 | | |
Series 2016A, Rev., 5.00%, 1/1/2026 | | |
Series B, Rev., 5.00%, 1/1/2026 | | |
Series C, Rev., 5.00%, 1/1/2026 | | |
Series 2016A, Rev., 5.00%, 1/1/2027 | | |
Series C, Rev., 5.00%, 1/1/2028 | | |
Series 2023 A, Rev., 5.00%, 7/1/2028 | | |
Omaha Public Power District Series 2022B, Rev., 5.00%, 2/1/2028 | | |
Omaha School District Series 2016, GO, 5.00%, 12/15/2028 | | |
Public Power Generation Agency, Whelan Energy Center Unit 2 | | |
Series 2015A, Rev., 5.00%, 1/1/2025 | | |
Series 2015A, Rev., 5.00%, 1/1/2026 | | |
Scotts Bluff County School District No. 32 Series 2015, GO, 5.00%, 12/1/2025 (b) | | |
Southern Public Power District Series 2015, Rev., 5.00%, 12/15/2024 (b) | | |
University of Nebraska, Lincoln Student Fees and Facilities Series 2015A, Rev., 5.00%, 7/1/2025 (b) | | |
| | |
|
Clark County School District, Limited Tax | | |
Series 2015C, GO, 5.00%, 6/15/2025 | | |
Series 2016A, GO, 5.00%, 6/15/2025 | | |
Series 2015 C, GO, 5.00%, 6/15/2026 | | |
Series 2016B, GO, 5.00%, 6/15/2026 | | |
Series 2017A, GO, 5.00%, 6/15/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Series 2021C, GO, 5.00%, 6/15/2026 | | |
Series 2015C, GO, 5.00%, 6/15/2028 | | |
Series 2017C, GO, 5.00%, 6/15/2028 | | |
Series 2019 A, GO, AGM, 5.00%, 6/15/2029 | | |
Clark County School District, Limited Tax, Various Purpose Series 2016F, GO, 3.00%, 6/15/2026 | | |
Clark County Water Reclamation District, Limited Tax Series 2016, GO, 5.00%, 7/1/2025 | | |
| | |
Series 2018 A, GO, 5.00%, 6/1/2025 | | |
Series 2016B, GO, 5.00%, 11/1/2026 | | |
Series 2018, GO, 5.00%, 12/1/2026 | | |
County of Clark Passenger Facility Charge Series 2022B, Rev., 5.00%, 7/1/2026 | | |
County of Clark, Department of Aviation, Nevada Airport System, Subordinate Lien Series 2019D, Rev., 5.00%, 7/1/2025 | | |
County of Clark, Department of Aviation, Nevada Airport System, Subordinate Lien, McCarran International Airport Series 2019A, Rev., 5.00%, 7/1/2026 | | |
County of Clark, Indexed Fuel and Subordinate Motor Vehicle Tax | | |
Series 2014, Rev., 5.00%, 9/9/2024 | | |
Series 2019, Rev., 5.00%, 7/1/2026 | | |
County of Clark, Las Vegas Harry Reid International Airport Facility Series 2022B, Rev., 5.00%, 7/1/2025 | | |
County of Clark, Limited Tax Series 2016B, GO, 5.00%, 11/1/2024 | | |
County of Clark, Motor Vehicle Fuel Tax Series 2020 C, Rev., 5.00%, 7/1/2026 | | |
County of Clark, Park Improvement, Limited Tax GO, 5.00%, 12/1/2024 | | |
County of Clark, Passenger Facility Charge, Las Vegas-McCarran International Airport Passenger Facility Series 2019E, Rev., 5.00%, 7/1/2026 | | |
County of Clark, Stadium Improvement, Limited Tax Series 2018 A, GO, 5.00%, 6/1/2029 | | |
County of Clark, Transportation Improvement, Limited Tax | | |
Series 2018 B, GO, 5.00%, 12/1/2024 | | |
Series 2018B, GO, 5.00%, 12/1/2025 | | |
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|
|
Las Vegas Valley Water District | | |
Series 2021 B, GO, 5.00%, 6/1/2025 | | |
Series 2018 B, GO, 5.00%, 6/1/2026 | | |
Series 2016B, GO, 5.00%, 6/1/2027 | | |
Nevada System of Higher Education Series 2023, Rev., 5.00%, 7/1/2025 | | |
State of Nevada Highway Improvement, Motor Vehicle Fuel Tax Series 2016, Rev., 5.00%, 12/1/2024 | | |
State of Nevada, Capital Improvement and Cultural Affairs | | |
Series 2015B, GO, 5.00%, 11/1/2024 | | |
Series 2015B, GO, 5.00%, 11/1/2025 | | |
State of Nevada, Limited Tax Series 2012-A, GO, 4.00%, 11/1/2024 | | |
Truckee Meadows Water Authority Series 2017, Rev., 5.00%, 7/1/2026 | | |
Washoe County School District Series 2015A, GO, 5.00%, 6/1/2025 | | |
| | |
|
New Hampshire Health and Education Facilities Authority Act | | |
Series 2016, Rev., 5.00%, 1/1/2026 (b) | | |
Series 2015A, Rev., 3.30%, 8/3/2027 (c) | | |
Series 2015B, Rev., 3.30%, 8/3/2027 (c) | | |
New Hampshire Municipal Bond Bank Series 2016 E, Rev., 5.00%, 8/15/2025 | | |
| | |
Series 2017B, GO, 5.00%, 12/1/2024 | | |
Series 2018 A, GO, 5.00%, 12/1/2024 | | |
Series 2020 C, GO, 5.00%, 12/1/2024 | | |
| | |
|
Bergen County Improvement Authority (The), Guaranteed Government Pooled Project Rev., GTD, 4.50%, 5/28/2025 | | |
Borough of Carlstadt GO, BAN, 4.50%, 5/2/2025 | | |
Borough of East Rutherford GO, BAN, 4.25%, 4/4/2025 | | |
Borough of Emerson GO, BAN, 4.50%, 7/25/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Borough of Middlesex Series 2024 A, GO, BAN, 5.00%, 5/8/2025 | | |
Borough of North Haledon GO, BAN, 4.50%, 6/24/2025 | | |
Borough of Northvale GO, BAN, 5.00%, 9/13/2024 | | |
Borough of Ramsey GO, BAN, 4.50%, 2/28/2025 | | |
Borough of Seaside Park GO, BAN, 4.25%, 4/11/2025 | | |
Borough of South Plainfield Series 2024A, GO, BAN, 4.25%, 4/10/2025 | | |
Borough of Upper Saddle River GO, BAN, 4.25%, 3/21/2025 | | |
Borough of Woodland Park GO, BAN, 4.50%, 5/1/2025 | | |
Brick Township Board of Education GO, 4.00%, 1/1/2025 | | |
Brick Township Municipal Utilities Authority (The) Series 2016 B, Rev., GTD, 5.00%, 12/1/2025 | | |
Burlington County Bridge Commission, Government Leasing Program Series 2024A, Rev., 4.25%, 4/8/2025 | | |
Camden County Improvement Authority (The) Series 2015A, Rev., GTD, 5.00%, 9/1/2024 | | |
Camden County Improvement Authority (The), City Hall Project Rev., GTD, 5.00%, 12/1/2025 | | |
City of Long Branch Series 2020A, GO, 5.00%, 9/15/2025 | | |
City of Ocean City, General Improvement GO, 4.00%, 9/15/2025 | | |
County of Essex Series 2017, GO, 5.00%, 8/1/2025 | | |
| | |
Series 2014, GO, 5.00%, 12/1/2024 | | |
Series B, GO, 4.00%, 7/1/2025 | | |
Essex County Improvement Authority, Family Court Building Project Rev., GTD, 5.00%, 6/18/2025 | | |
Gloucester County Improvement Authority (The) Series 2013A, Rev., GTD, 5.00%, 9/1/2024 | | |
Hopewell Valley Regional School District GO, 3.25%, 1/15/2025 | | |
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|
|
Hudson County Improvement Authority, Courthouse Project | | |
| | |
Series 2020, Rev., 5.00%, 10/1/2026 | | |
Series 2020, Rev., 5.00%, 10/1/2027 | | |
Jersey City Municipal Utilities Authority Series 2024 B, Rev., GTD, 5.00%, 5/1/2025 | | |
Monmouth County Improvement Authority (The) | | |
Series 2015, Rev., GTD, 5.00%, 12/1/2024 | | |
Series 2019 B, Rev., GTD, 5.00%, 12/1/2024 | | |
Series 2019 B, Rev., GTD, 5.00%, 12/1/2025 | | |
New Jersey Building Authority Series 2016A, Rev., 5.00%, 6/15/2026 (b) | | |
New Jersey Economic Development Authority | | |
Series WW, Rev., 5.00%, 6/15/2025 (b) | | |
Series XX, Rev., 5.25%, 6/15/2025 (b) | | |
Series A, Rev., 4.00%, 11/1/2027 | | |
Series 2023RRR, Rev., 5.00%, 3/1/2028 | | |
Series WW, Rev., 5.25%, 6/15/2028 | | |
New Jersey Economic Development Authority, Biomedical Research Facilities Series 2016A, Rev., 5.00%, 7/15/2028 | | |
New Jersey Economic Development Authority, School Facilities Construction | | |
Series 2019GGG, Rev., 5.25%, 9/1/2024 (e) | | |
Series 2014PP, Rev., AGM - CR, 5.00%, 6/15/2025 | | |
Series 2005N-1, Rev., AGM, 5.50%, 9/1/2025 | | |
Series 2023RRR, Rev., 5.00%, 3/1/2026 | | |
Series 2024SSS, Rev., 5.00%, 6/15/2026 | | |
Series 2019 GGG, Rev., 5.25%, 9/1/2026 (e) | | |
Series XX, Rev., 4.38%, 6/15/2027 | | |
Series 2024SSS, Rev., 5.00%, 6/15/2027 | | |
New Jersey Educational Facilities Authority, College of New Jersey Series 2015G, Rev., 5.00%, 7/1/2025 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
New Jersey Educational Facilities Authority, Higher Educational Capital Improvement Series 2014A, Rev., 5.00%, 9/1/2024 | | |
New Jersey Educational Facilities Authority, Princeton University Series 2015D, Rev., 5.00%, 7/1/2025 | | |
New Jersey Health Care Facilities Financing Authority, AHS Hospital Corp. Series 2016, Rev., 5.00%, 7/1/2025 | | |
New Jersey Health Care Facilities Financing Authority, Barnabas Health Obligated Group | | |
Series 2019B-2, Rev., 5.00%, 7/1/2025 (c) | | |
Series 2019B-3, Rev., 5.00%, 7/1/2026 (c) | | |
New Jersey Health Care Facilities Financing Authority, Hackensack Meridian Health Obligated Group Series 2017A, Rev., 5.00%, 7/1/2025 | | |
New Jersey Health Care Facilities Financing Authority, Hospital Asset Transformation Program Series 2017, Rev., 5.00%, 10/1/2024 | | |
New Jersey Health Care Facilities Financing Authority, RWJ Barnabas Health Obligated Group | | |
Series 2016A, Rev., 5.00%, 7/1/2026 | | |
Series 2016 A, Rev., 5.00%, 7/1/2029 | | |
New Jersey Health Care Facilities Financing Authority, Valley Health System Obligated Rev., 5.00%, 7/1/2026 | | |
New Jersey Health Care Facilities Financing Authority, Virtua Health Obligated Group | | |
| | |
| | |
Series 2013, Rev., 5.00%, 7/1/2027 | | |
New Jersey Higher Education Student Assistance Authority, Senior Student Loan Series 2019A, Rev., 5.00%, 12/1/2024 | | |
New Jersey Infrastructure Bank, Environmental Infrastructure Series 2015A-R1, Rev., GTD, 5.00%, 9/1/2024 | | |
New Jersey Sports and Exposition Authority Series 2018A, Rev., 5.00%, 9/1/2024 | | |
New Jersey Transportation Trust Fund Authority, Capital Appreciation Series 2010A, Rev., Zero Coupon, 12/15/2028 | | |
| | |
|
|
New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement Series A-1, Rev., 5.00%, 6/15/2027 | | |
New Jersey Transportation Trust Fund Authority, Transportation Program | | |
Series 2014AA, Rev., 5.00%, 6/15/2025 | | |
Series 2023AA, Rev., 5.00%, 6/15/2025 | | |
New Jersey Transportation Trust Fund Authority, Transportation System | | |
Series 2006C, Rev., AMBAC, Zero Coupon, 12/15/2024 | | |
Series 2010D, Rev., 5.00%, 12/15/2024 | | |
Series 2019 A, Rev., 5.00%, 12/15/2024 | | |
Series 2021 A, Rev., 5.00%, 6/15/2026 | | |
Series 2018 A, Rev., 5.00%, 12/15/2026 | | |
Series 2019 A, Rev., 5.00%, 12/15/2026 | | |
Series 2018 A, Rev., 5.00%, 12/15/2027 | | |
Series 2019 A, Rev., 5.00%, 12/15/2027 | | |
Series 2021 A, Rev., 5.00%, 6/15/2028 | | |
Series 2021 A, Rev., 5.00%, 6/15/2029 | | |
New Jersey Turnpike Authority | | |
Series 2004 C-2, Rev., AMBAC, 5.50%, 1/1/2025 | | |
Series 2014A, Rev., 5.00%, 1/1/2027 | | |
Series 2017E, Rev., 5.00%, 1/1/2029 | | |
Penns Grove-Carneys Point Regional School District GO, GAN, 5.00%, 7/2/2025 | | |
Pequannock Township Board of Education GO, 4.00%, 1/15/2025 | | |
| | |
| | |
| | |
| | |
State of New Jersey, COVID-19 Emergency Bonds | | |
Series 2020 A, GO, 5.00%, 6/1/2025 | | |
Series 2020A, GO, 5.00%, 6/1/2026 | | |
Series 2020 A, GO, 5.00%, 6/1/2028 | | |
Series 2020 A, GO, 5.00%, 6/1/2029 | | |
State of New Jersey, Various Purpose GO, 5.00%, 6/1/2025 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Tobacco Settlement Financing Corp. | | |
Series 2018A, Rev., 5.00%, 6/1/2026 | | |
Series 2018 A, Rev., 5.00%, 6/1/2027 | | |
Town of Dover, General Improvement Water Utility Series 2024, GO, BAN, 4.50%, 1/23/2025 | | |
Town of Westfield GO, BAN, 4.75%, 11/8/2024 | | |
Township of Brick GO, BAN, 4.25%, 3/19/2025 | | |
Township of Colts Neck GO, 4.00%, 11/15/2025 | | |
Township of Harrison GO, 4.00%, 8/1/2025 | | |
Township of Little Falls, General Improvement GO, 4.00%, 8/15/2025 | | |
Township of Middle, General Improvement Sewer Utility | | |
| | |
GO, BAN, 4.25%, 9/3/2025 (f) | | |
Township of Montville GO, BAN, 5.00%, 11/6/2024 | | |
Township of Mount Holly Series 2023A, GO, BAN, 4.50%, 9/26/2024 | | |
Township of Ocean GO, BAN, 4.50%, 5/28/2025 | | |
Township of Parsippany-Troy Hills Series 2023, GO, BAN, 5.00%, 10/31/2024 | | |
Township of Raritan GO, BAN, 4.50%, 4/24/2025 | | |
Township of Readington, General Improvement GO, 5.00%, 1/15/2025 | | |
Township of Scotch Plains GO, BAN, 4.50%, 1/17/2025 | | |
Township of South Brunswick Series 2020, GO, 4.00%, 10/1/2024 | | |
Township of Washington GO, 4.00%, 3/1/2025 | | |
Township of West Deptford GO, 3.00%, 9/1/2026 | | |
Township of West Orange Series 203A, GO, 5.00%, 11/7/2024 | | |
| | |
|
Albuquerque Bernalillo County Water Utility Authority, Senior Lien Joint Water and Sewer System | | |
Series 2015, Rev., 5.00%, 7/1/2025 | | |
| | |
|
|
Series 2017, Rev., 5.00%, 7/1/2026 | | |
New Mexico Finance Authority | | |
Series 2020 A, Rev., 5.00%, 6/15/2025 | | |
Series 2021 A, Rev., 5.00%, 6/15/2025 | | |
Series 2018 A, Rev., 5.00%, 6/15/2026 | | |
Series 2021 A, Rev., 5.00%, 6/15/2026 | | |
New Mexico Finance Authority, State Transportation, Subordinate Lien Series 2018 A, Rev., 5.00%, 6/15/2025 | | |
New Mexico Hospital Equipment Loan Council, Presbyterian Healthcare Services Series 2015A, Rev., 5.00%, 8/1/2025 (b) | | |
Santa Fe Public School District Series 2022A, GO, 5.00%, 8/1/2025 | | |
| | |
Series 2019, GO, 5.00%, 3/1/2025 | | |
Series B, GO, 5.00%, 3/1/2025 | | |
Series 2023, GO, 5.00%, 3/1/2026 | | |
Series A, GO, 5.00%, 3/1/2026 | | |
State of New Mexico Severance Tax Permanent Fund | | |
Series 2015 A, Rev., 5.00%, 7/1/2025 | | |
Series 2016 D, Rev., 5.00%, 7/1/2025 | | |
Series 2017 A, Rev., 5.00%, 7/1/2025 | | |
Series 2018A, Rev., 5.00%, 7/1/2025 | | |
Series 2022A, Rev., 5.00%, 7/1/2025 | | |
Series 2017 A, Rev., 5.00%, 7/1/2026 | | |
Series 2020A, Rev., 5.00%, 7/1/2026 | | |
State of New Mexico, Capital Projects GO, 5.00%, 3/1/2025 | | |
University of New Mexico (The) Series 2016 A, Rev., 5.00%, 6/1/2025 | | |
| | |
|
Avon Central School District GO, BAN, 4.50%, 6/27/2025 | | |
Build NYC Resource Corp., YMCA of Greater New York Project Series 2015, Rev., 4.00%, 8/1/2025 (b) | | |
Camden Central School District GO, BAN, 4.50%, 6/26/2025 | | |
Candor Central School District GO, BAN, 4.50%, 7/25/2025 | | |
Charlotte Valley Central School District GO, BAN, 4.50%, 6/27/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
City of Auburn GO, BAN, 4.25%, 8/14/2025 | | |
City of Hudson GO, BAN, 4.50%, 6/20/2025 | | |
City of Jamestown Series 2024A, GO, BAN, 5.00%, 5/16/2025 | | |
City of Long Beach Series 2024A, GO, BAN, 4.50%, 9/27/2024 | | |
| | |
Series G, GO, 4.00%, 11/13/2024 | | |
Series 2014J, GO, 5.00%, 8/1/2028 | | |
City of New York, Fiscal Year 2008 Series 2008 L-6, GO, 5.00%, 4/1/2028 | | |
City of New York, Fiscal Year 2011 Series 2011 F-3, GO, 5.00%, 12/1/2024 | | |
City of New York, Fiscal Year 2013 Series A, GO, 5.00%, 8/1/2027 | | |
City of New York, Fiscal Year 2014 | | |
Series 2014 I-1, GO, 5.00%, 3/1/2025 | | |
Series 2014J, GO, 5.00%, 8/1/2025 | | |
Series 2014I-1, GO, 5.00%, 3/1/2026 | | |
City of New York, Fiscal Year 2015 Series 2015A, GO, 5.00%, 11/13/2024 | | |
City of New York, Fiscal Year 2016 | | |
Series C, GO, 5.00%, 8/1/2025 | | |
Series E, GO, 5.00%, 8/1/2025 | | |
Series E, GO, 5.00%, 8/1/2026 | | |
City of New York, Fiscal Year 2017 | | |
Series 2017 B, GO, 5.00%, 12/1/2024 | | |
Series C, GO, 5.00%, 8/1/2025 | | |
Series 2017 A, GO, 5.00%, 8/1/2027 | | |
Series 2017 A, GO, 5.00%, 8/1/2029 | | |
City of New York, Fiscal Year 2018 Series 2018F-1, GO, 4.00%, 4/1/2025 | | |
City of New York, Fiscal Year 2019 | | |
Series G, GO, 5.00%, 11/13/2024 | | |
Series 2019 E, GO, 5.00%, 8/1/2025 | | |
Series A, GO, 5.00%, 8/1/2025 | | |
City of New York, Fiscal Year 2020 Series 2020 C-1, GO, 5.00%, 8/1/2028 | | |
City of New York, Fiscal Year 2021 | | |
Series 2021 Subseries A-1, GO, 5.00%, 8/1/2025 | | |
Series 2021 C, GO, 5.00%, 8/1/2026 | | |
City of New York, Fiscal Year 2022 | | |
Series 2022D, Subseries D-1, GO, 5.00%, 5/1/2025 | | |
Series 2022C, GO, 5.00%, 8/1/2026 | | |
| | |
|
|
City of New York, Fiscal Year 2023 Series 2023 Subseries A-1, GO, 5.00%, 9/1/2025 | | |
City of New York, Fiscal Year 2024 Series 2024E, GO, 5.00%, 8/1/2029 | | |
City of New York, Tax-Exempt Series 2015C, GO, 5.00%, 8/1/2025 | | |
City of Newburgh Series 2024A, GO, BAN, 4.25%, 8/8/2025 | | |
City of Troy GO, BAN, 4.50%, 7/25/2025 | | |
City of Yonkers Series 2017 C, GO, 5.00%, 10/1/2024 | | |
Cohoes City School District GO, BAN, 4.50%, 6/26/2025 | | |
County of Nassau Series 2016 B, GO, 5.00%, 10/1/2028 | | |
County of Nassau, General Improvement Series 2016A, GO, 5.00%, 1/1/2025 | | |
County of Westchester Series 2019 D, GO, 5.00%, 12/15/2024 | | |
Cuba-Rushford Central School District GO, BAN, 4.50%, 6/27/2025 | | |
East Aurora Union Free School District GO, BAN, 4.50%, 6/18/2025 | | |
Eastport-South Manor Central School District GO, BAN, 4.50%, 5/22/2025 | | |
Edwards-Knox Central School District Series 2024 B, GO, BAN, 4.50%, 7/2/2025 | | |
Eldred Central School District GO, BAN, 4.50%, 6/18/2025 | | |
Ellenville Central School District GO, BAN, 4.50%, 6/20/2025 | | |
Evans-Brant Central School District Series 2014 B, GO, BAN, 4.50%, 6/17/2025 | | |
Gloversville Enlarged School District GO, BAN, 4.50%, 6/26/2025 | | |
Hamilton Central School District GO, BAN, 4.50%, 7/3/2025 | | |
Highland Central School District GO, BAN, 4.50%, 6/27/2025 | | |
Hornell City School District GO, BAN, 4.50%, 6/27/2025 | | |
Hudson Yards Infrastructure Corp., Second Indenture Series 2017A, Rev., 5.00%, 2/15/2025 | | |
Iroquois Central School District GO, 5.00%, 6/15/2025 | | |
Jasper-Troupsberg Central School District GO, BAN, 4.50%, 6/27/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Lancaster Central School District GO, BAN, 4.50%, 6/6/2025 | | |
Lansingburgh Central School District at Troy GO, BAN, 4.50%, 7/11/2025 | | |
Long Island Power Authority, Electric System | | |
Series 2020B, Rev., 0.85%, 9/1/2025 (c) | | |
| | |
Lyons Central School District GO, BAN, 4.50%, 6/27/2025 | | |
Madison Central School District GO, BAN, 4.50%, 6/20/2025 | | |
Malone Central School District GO, BAN, 4.50%, 6/26/2025 | | |
Medina Central School District GO, BAN, 4.50%, 7/16/2025 | | |
Metropolitan Transportation Authority | | |
Series 2005D-2, Rev., VRDO, LOC : Bank of Montreal, 2.65%, 9/3/2024 (c) | | |
Series 2016D, Rev., 4.00%, 11/15/2024 | | |
Series 2014C, Rev., 5.00%, 11/15/2024 | | |
Series 2014D-1, Rev., 5.00%, 11/15/2024 (b) | | |
Series 2015F, Rev., 5.00%, 11/15/2024 | | |
Series 2016B, Rev., 5.00%, 11/15/2024 | | |
Series 2017B, Rev., 5.00%, 11/15/2024 | | |
Series D-1, Rev., 5.00%, 11/15/2024 | | |
Series A-1, Rev., 5.00%, 11/15/2025 | | |
Metropolitan Transportation Authority, Dedicated Tax Fund | | |
Series 2013B-1, Rev., 5.00%, 11/15/2024 | | |
Series 2016A, Rev., 5.00%, 11/15/2025 | | |
Series B-1, Rev., 5.00%, 11/15/2025 | | |
Series B-2, Rev., 5.00%, 11/15/2025 | | |
Mount Markham Central School District, Unlimited Tax GO, BAN, 4.50%, 6/25/2025 | | |
Nassau County Sewer and Storm Water Finance Authority Series A, Rev., 5.00%, 10/1/2025 | | |
New York City Health and Hospitals Corp., Health System Series 2008C, Rev., VRDO, LOC : TD Bank NA, 2.85%, 9/12/2024 (c) | | |
| | |
|
|
New York City Industrial Development Agency, Queens Baseball Stadium Project | | |
Series 2021A, Rev., AGM, 5.00%, 1/1/2027 | | |
Series 2021A, Rev., AGM, 5.00%, 1/1/2028 | | |
New York City Municipal Water Finance Authority, Second Generation, Fiscal Year 2015 Series 2015 HH, Rev., 5.00%, 6/15/2025 | | |
New York City Municipal Water Finance Authority, Second Generation, Fiscal Year 2020 Series 2020 CC-1, Rev., 5.00%, 6/15/2026 | | |
New York City Municipal Water Finance Authority, Second Generation, Fiscal Year 2022 Series 2022, Subseries BB-2, Rev., 5.00%, 6/15/2027 | | |
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., 3.60%, 9/3/2024 (c) | | |
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., 3.90%, 9/3/2024 (c) | | |
New York City Transitional Finance Authority Building Aid | | |
Series 2015 S-2, Rev., 5.00%, 7/15/2025 | | |
Series 2015 Series S-1, Rev., 5.00%, 7/15/2025 | | |
Series 2019 S-3A, Rev., 5.00%, 7/15/2025 | | |
Series 2019 S-3A, Rev., 5.00%, 7/15/2026 | | |
Series 2015 Series S-1, Rev., 5.00%, 7/15/2027 | | |
Series 2016 S-1, Rev., 5.00%, 7/15/2027 | | |
New York City Transitional Finance Authority Building Aid, Subordinate Series 2016 S-1, Rev., 5.00%, 7/15/2028 | | |
New York City Transitional Finance Authority Future Tax Secured | | |
Series 2016 A-1, Rev., 5.00%, 8/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Series 2018 -1, Rev., 5.00%, 11/1/2025 | | |
Series 2019 C-1, Rev., 5.00%, 11/1/2025 | | |
Series 2024D, Subseries D-1, Rev., 5.00%, 11/1/2025 | | |
Series C, Rev., 5.00%, 11/1/2025 | | |
Series 2023, Subseries F-1, Rev., 5.00%, 2/1/2026 | | |
Series 2022D, Subseries D-1, Rev., 5.00%, 11/1/2026 | | |
Series 2022C, Subseries C-1, Rev., 5.00%, 2/1/2027 | | |
Series 2015C, Rev., 5.00%, 11/1/2027 | | |
New York City Transitional Finance Authority, Building Aid, Fiscal Year 2018 Series S-2, Rev., 5.00%, 7/15/2028 | | |
New York City Transitional Finance Authority, Future Tax Secured Series C, Rev., 5.00%, 11/1/2027 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2014 | | |
Series D-3, Rev., VRDO, LIQ : Mizuho Bank Ltd., 3.85%, 9/3/2024 (c) | | |
Series 2014 C, Rev., 5.00%, 10/28/2024 | | |
Series 2014B-1, Rev., 5.00%, 10/28/2024 | | |
Series 2014C, Rev., 5.00%, 10/28/2024 | | |
Series 2014B-1, Rev., 5.00%, 11/1/2024 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2018 Series 2018 -1, Rev., 5.00%, 11/1/2026 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2021 Series 2021-1, Rev., 5.00%, 11/1/2025 | | |
New York City Transitional Finance Authority, Future Tax Secured, Subordinate, Fiscal Year 2019 | | |
Series B-1, Rev., 5.00%, 8/1/2025 (b) | | |
Series B-1, Rev., 5.00%, 8/1/2025 | | |
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 | | |
New York State Dormitory Authority | | |
Series E, Rev., 5.00%, 10/1/2024 | | |
Series F, Rev., 5.00%, 10/1/2024 | | |
| | |
|
|
Series 2016 A, Rev., 5.00%, 7/1/2025 | | |
Series 2019 A, Rev., 5.00%, 10/1/2025 | | |
Series 2023 A, Rev., AGM, 5.00%, 10/1/2025 | | |
Series 2024A, Rev., AGM, 5.00%, 10/1/2025 | | |
Series 2024A, Rev., AGM, 5.00%, 10/1/2026 | | |
Series 2023D, Rev., AGM, 5.00%, 10/1/2027 | | |
Series 2018 1, Rev., 5.00%, 1/15/2028 | | |
Series 2016 A, Rev., 5.00%, 3/15/2028 | | |
Series 2016 A, Rev., 5.00%, 7/1/2029 | | |
New York State Dormitory Authority, Columbia University Series B, Rev., 5.00%, 10/1/2025 | | |
New York State Dormitory Authority, Cornell University | | |
Series 2016 A, Rev., 5.00%, 7/1/2026 | | |
Series 2020A, Rev., 5.00%, 7/1/2026 | | |
New York State Dormitory Authority, Icahn School of Medicine at Mount Sinai | | |
Series 2015A, Rev., 5.00%, 7/1/2025 | | |
Series 2015A, Rev., 5.00%, 7/1/2028 | | |
Series 2015A, Rev., 5.00%, 7/1/2029 | | |
New York State Dormitory Authority, New York University | | |
Series 2015 B, Rev., 5.00%, 7/1/2025 (b) | | |
Series 2019A, Rev., 5.00%, 7/1/2025 | | |
Series 2016 A, Rev., 5.00%, 7/1/2026 | | |
New York State Dormitory Authority, Sales Tax Series 2024A, Rev., AGM, 5.00%, 10/1/2027 | | |
New York State Dormitory Authority, School Districts Financing Program | | |
Series 2014A, Rev., AGM, 5.00%, 10/1/2024 | | |
Series 2017G, Rev., 5.00%, 10/1/2024 | | |
Series 2018A, Rev., 5.00%, 10/1/2024 | | |
Series 2017G, Rev., 5.00%, 10/1/2025 | | |
Series 2018 A, Rev., 5.00%, 10/1/2025 | | |
Series B, Rev., 5.00%, 10/1/2025 | | |
Series H, Rev., 5.00%, 10/1/2025 | | |
Series 2018 A, Rev., 5.00%, 10/1/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
New York State Dormitory Authority, State Personal Income Tax Series 2005 B, Rev., AMBAC, 5.50%, 3/15/2026 | | |
New York State Dormitory Authority, State Sales Tax Series 2015A, Rev., 5.00%, 3/15/2025 (b) | | |
New York State Environmental Facilities Corp. Series 2024A, Rev., 5.00%, 6/15/2025 | | |
New York State Housing Finance Agency, Historic Front Street Series 2003A, Rev., VRDO, LOC : Landesbank Hessen-Thuringen Girozentrale, 2.83%, 9/12/2024 (c) | | |
New York State Thruway Authority | | |
Series 2021A-1, Rev., 5.00%, 3/15/2026 | | |
Series K, Rev., 5.00%, 1/1/2028 | | |
New York State Urban Development Corp. | | |
Series 2015 A, Rev., 5.00%, 9/15/2025 (b) | | |
Series 2016 A, Rev., 5.00%, 3/15/2026 (b) | | |
Series 2016 A, Rev., 5.00%, 3/15/2026 | | |
Series 2017C, Rev., 5.00%, 3/15/2026 | | |
New York State Urban Development Corp., State Personal Income Tax Series 2016A, Rev., 5.00%, 3/15/2025 (b) | | |
North Collins Central School District Series 2024 A, GO, BAN, 4.50%, 6/26/2025 | | |
North Rose-Wolcott Central School District GO, BAN, 4.50%, 7/25/2025 | | |
Northeastern Clinton Central School District GO, BAN, 4.50%, 6/26/2025 | | |
Otego-Unadilla Central School District GO, BAN, 4.50%, 7/17/2025 | | |
Port Authority of New York and New Jersey, Consolidated | | |
Series 189, Rev., 5.00%, 5/1/2025 | | |
Series 194, Rev., 5.00%, 10/15/2025 | | |
| | |
Series 175, Rev., 5.00%, 12/1/2025 | | |
Series 183, Rev., 5.00%, 12/15/2025 | | |
Series 175, Rev., 4.00%, 12/1/2026 | | |
Series 243, Rev., 5.00%, 12/1/2026 | | |
Romulus Central School District GO, BAN, 4.50%, 7/24/2025 | | |
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|
|
Sachem Central School District Series 2016, GO, 5.00%, 10/15/2024 | | |
Sales Tax Asset Receivable Corp., Fiscal Year 2015 Series 2015A, Rev., 5.00%, 10/15/2024 (b) | | |
Sidney Central School District GO, BAN, 4.50%, 7/24/2025 | | |
Stillwater Central School District GO, BAN, 4.50%, 6/27/2025 | | |
Three Village Central School District Brookhaven and Smithtown GO, 5.00%, 5/15/2025 | | |
Town of Brookhaven Series 2016, GO, 4.00%, 12/10/2024 | | |
Town of Cornwall Series 2024B, GO, BAN, 4.50%, 5/1/2025 | | |
Town of Dryden Series 2024, GO, BAN, 4.50%, 1/23/2025 | | |
Town of Hempstead Series 2018 A, GO, 5.00%, 6/15/2025 | | |
Town of Milton GO, BAN, 4.50%, 7/25/2025 | | |
Town of Wawarsing GO, BAN, 4.50%, 7/24/2025 | | |
Triborough Bridge and Tunnel Authority | | |
Series 2016A, Rev., 5.00%, 11/15/2025 | | |
Series 2023 B-2, Rev., 5.00%, 11/15/2026 | | |
Series 2023A, Rev., 5.00%, 11/15/2026 | | |
Series B, Rev., 5.00%, 11/15/2026 | | |
Series 2024B, Rev., BAN, 5.00%, 3/15/2027 | | |
Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels | | |
Series 2017C-1, Rev., 5.00%, 11/15/2025 | | |
Series 2023 A, Rev., 5.00%, 11/15/2026 | | |
Triborough Bridge and Tunnel Authority, Payroll Mobility Tax Series 2022B, Rev., BAN, 5.00%, 12/16/2024 | | |
Trust for Cultural Resources of The City of New York (The), Carnegie Hall Corp. (The) Series 2019, Rev., 5.00%, 12/1/2024 | | |
Village of Farmingdale Series l, GO, BAN, 4.25%, 1/30/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Wayne Central School District GO, BAN, 4.50%, 6/27/2025 | | |
Yorkshire-Pioneer Central School District GO, BAN, 4.50%, 7/9/2025 | | |
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|
Charlotte-Mecklenburg Hospital Authority (The), Atrium Health Care System Series 2021C, Rev., 5.00%, 12/1/2028 (c) | | |
Charlotte-Mecklenburg Hospital Authority (The), Atrium Health Variable Rate, Health Care Series 2021B, Rev., 5.00%, 12/2/2024 (c) | | |
Charlotte-Mecklenburg Hospital Authority (The), Carolinas Healthcare System Series 2016 A, Rev., 5.00%, 1/15/2025 | | |
City of Charlotte Series 2015, GO, 5.00%, 12/1/2024 | | |
City of Charlotte Airport Series C, Rev., 5.00%, 7/1/2025 | | |
City of Charlotte Water and Sewer System Series 2020, Rev., 5.00%, 7/1/2026 | | |
City of Durham Series 2023, Rev., 5.00%, 10/1/2024 | | |
County of Harnett Series 2020, Rev., 5.00%, 12/1/2027 | | |
| | |
Series 2015A, Rev., 5.00%, 10/1/2024 | | |
Series 2016 B, GO, 5.00%, 12/1/2024 | | |
County of New Hanover, New Hanover Regional Medical Center | | |
Series 2017, Rev., 5.00%, 10/1/2025 (b) | | |
Series 2017, Rev., 5.00%, 10/1/2027 (b) | | |
| | |
Series 2016 A, Rev., 5.00%, 12/1/2024 | | |
Series 2021, Rev., 5.00%, 3/1/2026 | | |
Series 2020 A, GO, 5.00%, 4/1/2026 | | |
County of Wake, Hospital System Rev., NATL - RE, 5.13%, 10/1/2026 (b) | | |
North Carolina Capital Facilities Finance Agency, Duke University Project Series 2015B, Rev., 5.00%, 10/1/2025 (b) | | |
North Carolina Medical Care Commission, Caromont Health Series 2021B, Rev., 5.00%, 2/1/2026 (c) | | |
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North Carolina — continued |
North Carolina Medical Care Commission, Duke University Health System Series 2016 A, Rev., 5.00%, 6/1/2025 | | |
North Carolina Medical Care Commission, Novant Health Series 2013A, Rev., 5.00%, 11/1/2024 | | |
North Carolina Municipal Power Agency No. 1 | | |
Series A, Rev., 5.00%, 1/1/2026 | | |
Series 2016 A, Rev., 5.00%, 1/1/2027 | | |
Series 2016 A, Rev., 5.00%, 1/1/2028 | | |
Series 2016 A, Rev., 5.00%, 1/1/2029 | | |
North Carolina State University at Raleigh Series 2018, Rev., 5.00%, 10/1/2025 | | |
North Carolina Turnpike Authority, Triangle Expressway System, Senior Lien | | |
Series 2017, Rev., 5.00%, 1/1/2025 | | |
Series 2017, Rev., AGM, 5.00%, 1/1/2026 | | |
Raleigh Durham Airport Authority | | |
Series 2020A, Rev., AMT, 5.00%, 5/1/2025 | | |
Series 2020B, Rev., 5.00%, 5/1/2025 | | |
| | |
Series 2015, Rev., 5.00%, 3/1/2025 | | |
Series 2022A, Rev., 5.00%, 5/1/2025 | | |
State of North Carolina, Limited Obligation Series 2013A, Rev., 2.25%, 5/1/2026 | | |
Town of Chapel Hill Series 2021 A, Rev., 5.00%, 12/1/2024 | | |
University of North Carolina at Greensboro Series 2014, Rev., 4.00%, 4/1/2039 | | |
| | |
|
Minot Public School District No. 1 GO, 4.00%, 8/1/2025 | | |
North Dakota Housing Finance Agency, Home Mortgage Finance Program Series 2020B, Rev., 1.05%, 7/1/2026 | | |
| | |
|
Akron Bath Copley Joint Township Hospital District, Children's Hospital Medical Center of Akron | | |
Series 2022A, Rev., 5.00%, 11/15/2024 | | |
Series 2022A, Rev., 5.00%, 11/15/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Series 2022A, Rev., 5.00%, 11/15/2027 | | |
American Municipal Power, Inc., AMP Fremont Energy Center Project | | |
Series 2017A, Rev., 5.00%, 2/15/2026 | | |
Series 2017A, Rev., 5.00%, 2/15/2027 | | |
Series 2017A, Rev., 5.00%, 2/15/2028 | | |
American Municipal Power, Inc., City of Wapakoneta Project Rev., BAN, 4.50%, 6/19/2025 | | |
American Municipal Power, Inc., Combined Hydroelectric Projects Series 2020A, Rev., 5.00%, 2/15/2025 | | |
American Municipal Power, Inc., Prairie State Energy Campus Project Series 2019 B, Rev., 5.00%, 2/15/2025 | | |
Big Walnut Local School District, Unlimited Tax Series 2015, GO, 5.00%, 6/1/2025 (b) | | |
Central Ohio Solid Waste Authority Series 2016, GO, 5.00%, 12/1/2024 | | |
Cincinnati City School District Series 2014, COP, 5.00%, 12/15/2024 (b) | | |
| | |
Series 2019, GO, 5.00%, 12/1/2024 | | |
Series 2017A, GO, 5.00%, 12/1/2025 | | |
| | |
Series 2019A, GO, 4.00%, 12/1/2024 | | |
Series 2015, GO, 5.00%, 12/1/2025 | | |
City of Columbus Water and Sewerage | | |
Series 2014, Rev., 5.00%, 12/1/2024 (b) | | |
Series 2014, Rev., 5.00%, 6/1/2026 | | |
City of Columbus, Unlimited Tax Series 2024-1, GO, 5.00%, 2/15/2030 | | |
City of Columbus, Various Purpose, Unlimited Tax Series 2014A, GO, 4.00%, 9/4/2024 | | |
City of Dublin, Various Purpose | | |
Series 2015, GO, 5.00%, 12/1/2024 | | |
Series 2018 B, GO, 5.00%, 12/1/2024 | | |
City of Hamilton Series 2023, GO, BAN, 4.50%, 12/19/2024 | | |
City of Huber Heights GO, BAN, 4.50%, 7/10/2025 | | |
City of Lebanon Series 2024, GO, BAN, 4.13%, 2/5/2025 | | |
City of New Albany GO, BAN, 4.00%, 9/10/2025 (f) | | |
| | |
|
|
City of Sandusky, Various Purpose Limited Tax GO, BAN, 4.50%, 9/6/2024 | | |
City of Strongsville, Street Improvement GO, BAN, 4.75%, 6/5/2025 | | |
Cleveland Department of Public Utilities Division of Water | | |
Series 2019 DD, Rev., 5.00%, 1/1/2025 | | |
Series 2020 FF, Rev., 5.00%, 1/1/2026 | | |
Cleveland Department of Public Utilities Division of Water, Second Lien Series 2017B, Rev., 5.00%, 1/1/2025 | | |
Columbus Metropolitan Library, Ohio Library Facilities, Special Obligation Series 2020, Rev., 4.00%, 12/1/2024 | | |
| | |
Series 2017A, Rev., 5.00%, 8/1/2025 | | |
Series 2017 A, Rev., 5.00%, 8/1/2027 | | |
County of Allen, Hospital Facilities, Bon Secours Mercy Health, Inc. Series 2017 A, Rev., 5.00%, 8/1/2026 | | |
County of Cuyahoga Series 2020 A, GO, 4.00%, 12/1/2024 | | |
County of Cuyahoga Sales Tax Series 2014, Rev., 5.00%, 12/1/2024 | | |
County of Cuyahoga, Ohio Economic Development Series 2020D, Rev., 4.00%, 12/1/2024 | | |
County of Franklin, Hospital Facilities, Nationwide Children's Hospital Project Series 2016C, Rev., 5.00%, 11/1/2024 | | |
County of Hamilton Sales Tax Series 2016 A, Rev., 5.00%, 12/1/2029 | | |
County of Hamilton Sewer System Series 2014A, Rev., 5.00%, 12/1/2024 | | |
County of Hamilton, Limited Tax | | |
Series 2015, GO, 5.00%, 12/1/2024 (b) | | |
Series 2017 A, GO, 5.00%, 12/1/2024 | | |
County of Hamilton, Metropolitan Sewer district of Greater Cincinnati | | |
Series 2014A, Rev., 5.00%, 12/1/2027 | | |
Series 2014A, Rev., 5.00%, 12/1/2028 | | |
County of Hamilton, Sales Tax | | |
Series 2016A, Rev., 5.00%, 12/1/2024 | | |
Series 2016A, Rev., 5.00%, 12/1/2025 | | |
Series 2016A, Rev., 5.00%, 12/1/2026 | | |
County of Hamilton, Trihealth, Inc. Group Project Series 2020 A, Rev., 5.00%, 8/15/2027 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
County of Lorain Series 2024B, GO, BAN, 4.38%, 5/1/2025 | | |
County of Montgomery, Dayton Children's Hospital Series 2021, Rev., 5.00%, 8/1/2026 | | |
Cuyahoga Metropolitan Housing Authority, Carver Park Phase III Project Rev., FHA, 4.00%, 6/1/2025 (c) | | |
Cuyahoga Metropolitan Housing Authority, Wade Park Apartments Rev., FHA, 4.75%, 12/1/2025 (c) | | |
Dayton Metro Library, Unlimited Tax GO, 4.00%, 12/1/2024 | | |
Dublin City School District | | |
Series 2019 A, GO, 5.00%, 12/1/2024 | | |
GO, BAN, 5.00%, 12/18/2024 | | |
Dublin City School District, School Facilities Construction and Improvement Series 2019C, GO, 4.00%, 12/1/2024 | | |
Franklin County Convention Facilities Authority Series 2014, Rev., 5.00%, 12/1/2024 (b) | | |
Franklin County Convention Facilities Authority, Tax Lease | | |
Rev., 5.00%, 12/1/2024 (b) | | |
Series 2014, Rev., 5.00%, 12/1/2024 (b) | | |
Greater Cleveland Regional Transit Authority Sales Tax Series 2019, Rev., 5.00%, 12/1/2024 | | |
Kings Local School District, Unlimited Tax GO, BAN, 4.50%, 7/16/2025 | | |
Lakewood City School District, Unlimited Tax Series 2017, GO, 5.00%, 12/1/2024 | | |
| | |
Series 2017, Rev., 5.00%, 9/1/2025 | | |
Series 2017, Rev., 5.00%, 9/1/2026 | | |
Miamisburg City School District | | |
Series 2016, GO, 5.00%, 12/1/2024 | | |
Series 2016, GO, 5.00%, 12/1/2025 (b) | | |
Ohio Higher Educational Facility Commission, Case Western Reserve University Project | | |
Series 2021B, Rev., (SIFMA Municipal Swap Index Yield + 0.23%), 3.07%, 9/12/2024 (d) | | |
Series 2016, Rev., 5.00%, 12/1/2024 | | |
| | |
|
|
Ohio Housing Finance Agency, Riverview San Macro LLC Series 2023, Rev., FHA, 5.00%, 8/1/2025 (c) | | |
Ohio State University (The) | | |
Series 2020 A, Rev., 5.00%, 12/1/2026 | | |
Series 2020 A, Rev., 5.00%, 12/1/2027 | | |
Ohio Turnpike and Infrastructure Commission Series 2017A, Rev., 5.00%, 2/15/2026 | | |
Ohio Water Development Authority | | |
Series 2019A, Rev., 5.00%, 6/1/2026 | | |
Series 2019A, Rev., 5.00%, 12/1/2026 | | |
Ohio Water Development Authority Water Pollution Control Loan Fund | | |
Series 2014, Rev., 5.00%, 12/1/2024 | | |
Series 2015 A, Rev., 5.00%, 12/1/2024 | | |
Series 2015B, Rev., 5.00%, 12/1/2025 (b) | | |
Series 2015 A, Rev., 5.00%, 6/1/2026 | | |
Ohio Water Development Authority, Drinking Water Assistance Series 2016, Rev., 5.00%, 12/1/2024 | | |
Perrysburg Exempted Village School District Series 2015, GO, 5.00%, 12/1/2024 (b) | | |
Princeton City School District Series 2014, GO, 5.00%, 12/1/2024 (b) | | |
| | |
Series 1A, Rev., 5.00%, 12/15/2024 | | |
Series 2016A, Rev., 5.00%, 2/1/2025 | | |
Series 2015C, GO, 5.00%, 5/1/2025 (b) | | |
Series 2016A, GO, 5.00%, 8/1/2025 | | |
Series 2018-1, Rev., 5.00%, 12/15/2025 | | |
Series U, GO, 5.00%, 5/1/2026 | | |
State of Ohio, Adult Correctional Building Fund Projects Series 2013A, Rev., 5.00%, 10/1/2024 | | |
State of Ohio, Capital Facilities Lease Appropriation | | |
Series 2019 A, Rev., 5.00%, 10/1/2024 (b) | | |
Series 2020 A, Rev., 5.00%, 10/1/2024 | | |
Series 2017A, Rev., 5.00%, 12/1/2024 | | |
Series 2017A, Rev., 5.00%, 12/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
State of Ohio, Capital Facilities Lease Appropriation Culture and Sports Facilities Building Projects Series 2016 A, Rev., 5.00%, 10/1/2024 | | |
State of Ohio, Capital Facilities Lease Appropriation Mental Health Facilities Improvement Fund Projects | | |
Series 2021A, Rev., 5.00%, 2/1/2025 | | |
Series 2018A, Rev., 5.00%, 6/1/2025 | | |
State of Ohio, Capital Facilities Lease Appropriation, Park and Recreation Improvement Fund Project Series 2016 C, Rev., 5.00%, 12/1/2024 | | |
State of Ohio, Cleveland Clinic Health System Series 2019F, Rev., VRDO, LIQ : US Bank NA, 3.50%, 9/3/2024 (c) | | |
State of Ohio, Common School | | |
Series 2013A, GO, 5.00%, 9/15/2024 | | |
Series 2013A, GO, 5.00%, 9/15/2025 | | |
Series 2017B, GO, 5.00%, 9/15/2025 | | |
State of Ohio, Full Faith and Credit Highway User Receipt Series X, GO, 5.00%, 5/1/2025 | | |
State of Ohio, Infrastructure Improvement | | |
Series 2017B, GO, 5.00%, 9/1/2025 | | |
Series 2020 B, GO, 5.00%, 8/1/2026 | | |
Series 2021 B, GO, 5.00%, 2/1/2027 | | |
State of Ohio, Lease Appropriation Adult Correctional Building Fund Projects | | |
Series 2017A, Rev., 5.00%, 10/1/2024 | | |
Series 2017B, Rev., 5.00%, 10/1/2025 | | |
State of Ohio, Major New Infrastructure Project Series 2018-1, Rev., 5.00%, 12/15/2024 | | |
State of Ohio, Major New State Infrastructure Project | | |
Series 2024-1, Rev., 5.00%, 12/15/2028 | | |
Series 2024-1, Rev., 5.00%, 12/15/2029 | | |
State of Ohio, Mental Health Facilities Improvement Fund Projects | | |
Series 2020 A, Rev., 5.00%, 2/1/2026 | | |
Series 2018A, Rev., 5.00%, 6/1/2026 | | |
State of Ohio, New Infrastructure Project | | |
Series 2019-1, Rev., 5.00%, 12/15/2025 | | |
| | |
|
|
Series 2022-1, Rev., 5.00%, 12/15/2025 | | |
State of Ohio, State Infrastructure Project | | |
Series 2021-1A, Rev., 5.00%, 12/15/2024 | | |
Series 2016-1, Rev., 5.00%, 12/15/2025 | | |
Series 2018-1, Rev., 5.00%, 12/15/2026 | | |
Series 2021-1A, Rev., 5.00%, 12/15/2026 | | |
State of Ohio, University Hospitals Health System, Inc. | | |
Series 2021B, Rev., VRDO, 3.15%, 9/3/2024 (c) | | |
Series 2014B, Rev., VRDO, 3.11%, 9/12/2024 (c) | | |
Series 2020B, Rev., 5.00%, 1/15/2025 (c) | | |
Series 2016A, Rev., 5.00%, 1/15/2027 | | |
State of Ohio, Voting System Acquisition Project COP, 5.00%, 9/1/2025 | | |
University of Akron (The) | | |
Series 2015A, Rev., 5.00%, 1/1/2025 (b) | | |
Series 2019 A, Rev., 5.00%, 1/1/2025 (b) | | |
Westlake City School District Series 2014B, GO, 4.00%, 12/1/2024 (b) | | |
| | |
|
Canadian County Educational Facilities Authority, Mustang Public Schools Project Series 2017, Rev., 4.00%, 9/1/2025 | | |
Canadian County Independent School District No. 69 Mustang | | |
Series 2024 C, GO, 4.00%, 6/1/2026 | | |
Series 2023, GO, 4.00%, 6/1/2027 | | |
Cleveland County Educational Facilities Authority, Norman Public Schools Project Rev., 5.00%, 6/1/2025 | | |
Grand River Dam Authority | | |
Series 2014A, Rev., 5.00%, 10/15/2024 | | |
Series 2014A, Rev., 5.00%, 6/1/2025 | | |
Series 2014A, Rev., 5.00%, 6/1/2026 | | |
Series 2016A, Rev., 5.00%, 6/1/2026 | | |
Series 2016 A, Rev., 5.00%, 6/1/2027 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Series 2016 A, Rev., 5.00%, 6/1/2028 | | |
Oklahoma Capitol Improvement Authority, Oklahoma Department of Transportation Project Series 2020 A, Rev., 5.00%, 7/1/2025 | | |
Oklahoma City Water Utilities Trust Series 2016, Rev., 5.00%, 7/1/2026 (b) | | |
Oklahoma County Finance Authority, Educational Facilities, Lease Midwest City-Del City Public Schools Project Rev., 5.00%, 10/1/2024 | | |
Oklahoma Development Finance Authority, Health System, Integris Obligated Group Series 2020C, Rev., VRDO, 3.40%, 9/12/2024 (c) | | |
Oklahoma Municipal Power Authority, Power Supply System | | |
Series B, Rev., 5.00%, 1/1/2025 | | |
Series 2021A, Rev., AGM, 5.00%, 1/1/2027 | | |
Oklahoma State University | | |
Series 2020 A, Rev., 5.00%, 9/1/2025 | | |
Series 2020 A, Rev., 5.00%, 9/1/2027 | | |
Oklahoma Turnpike Authority, Turnpike System, Second Senior | | |
Series 2017 D, Rev., 5.00%, 1/1/2025 | | |
Series 2020A, Rev., 5.00%, 1/1/2025 | | |
Series 2017 D, Rev., 5.00%, 1/1/2026 | | |
Series 2020 A, Rev., 5.00%, 1/1/2026 | | |
Series 2017 D, Rev., 5.00%, 1/1/2028 | | |
Oklahoma Water Resources Board, State Loan Program Series 2023 B, Rev., 5.00%, 10/1/2024 | | |
Tulsa County Industrial Authority Educational Facilities Lease, Broken Arrow Public Schools Project Rev., 5.00%, 9/1/2025 | | |
Tulsa County Industrial Authority, Broken Arrow Public School Project Series 2019 A, Rev., 5.00%, 9/1/2027 | | |
| | |
|
City of Bend Series 2016, Rev., 5.00%, 12/1/2024 | | |
City of Eugene Electric Utility System Series 2016 A, Rev., 5.00%, 8/1/2025 | | |
City of Portland Sewer System | | |
Series 2015A, Rev., 5.00%, 6/1/2025 | | |
| | |
|
|
Series 2019 A, Rev., 5.00%, 3/1/2026 | | |
City of Portland Sewer System, Senior Lien Series 2020A, Rev., 5.00%, 3/1/2026 | | |
City of Portland Water System, Second Lien Series 2013 A, Rev., 5.00%, 10/22/2024 | | |
City of Salem Water and Sewer Series 2017, Rev., 5.00%, 6/1/2025 | | |
Hospital Facilities Authority of Multnomah County Oregon, Adventist Health System Rev., 5.00%, 3/1/2025 (c) | | |
Metro, Oregon Convention Center Hotel Project Rev., 5.00%, 6/15/2025 | | |
Multnomah County School District No. 1 Portland Series 2015B, GO, 5.00%, 6/15/2025 | | |
Oregon State Facilities Authority, Providence Health and Services Series 2013A, Rev., 5.00%, 10/1/2024 | | |
Salem-Keizer School District No. 24J Series 2018, GO, 5.00%, 6/15/2025 | | |
State of Oregon Series L, GO, 5.00%, 8/1/2025 | | |
State of Oregon Department of Transportation Series A, Rev., 5.00%, 11/15/2025 | | |
State of Oregon, Article XI-M, XI-N and XI-P State Grant Program Series 2019 D, GO, 5.00%, 6/1/2026 | | |
State of Oregon, Article XI-Q State Project Series 2023 A, GO, 5.00%, 5/1/2026 | | |
Tri-County Metropolitan Transportation District of Oregon | | |
Series 2017A, Rev., 5.00%, 10/1/2025 | | |
Series 2017 A, Rev., 5.00%, 10/1/2027 | | |
Series 2018 A, Rev., 5.00%, 10/1/2028 | | |
| | |
|
Allegheny County Higher Education Building Authority, University Refunding Duquesne University Series 2016, Rev., 5.00%, 3/1/2027 | | |
Allegheny County Hospital Development Authority, Allegheny Health Network Obligated Group Series 2018A, Rev., 5.00%, 4/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Allegheny County Hospital Development Authority, Pittsburgh Medical Center | | |
Series 2019 A, Rev., 5.00%, 7/15/2025 | | |
Series 2019 A, Rev., 5.00%, 7/15/2026 | | |
Allegheny County Sanitary Authority, Sewer | | |
Series 2015, Rev., 5.00%, 12/1/2024 | | |
Series 2016, Rev., AGM, 5.00%, 12/1/2025 | | |
| | |
Ambridge Borough Water Authority Series 2019, Rev., 4.00%, 11/15/2024 | | |
Berks County Industrial Development Authority, The Highlands at Wyomissing Series 2018, Rev., 5.00%, 5/15/2025 (b) | | |
Bethel Park School District GO, 5.00%, 8/1/2025 | | |
Borough of Hanover Series 2020B, GO, 4.00%, 10/1/2024 | | |
Carlisle Area School District, Limited Tax GO, 3.00%, 9/1/2024 | | |
Centennial School District Bucks County | | |
Series 2017 B, GO, 5.00%, 12/15/2024 | | |
Series 2017A, GO, 5.00%, 12/15/2024 | | |
Central Dauphin School District Series 2016, GO, 5.00%, 2/1/2026 | | |
Chambersburg Area School District Series A, GO, 5.00%, 3/1/2025 | | |
Cheltenham Township School District Series 2019A, GO, 4.00%, 2/15/2025 | | |
Chester County Health and Education Facilities Authority, Main Line Health System Series 2020A, Rev., 5.00%, 9/1/2026 | | |
| | |
Series 2015A, GO, 5.00%, 8/1/2025 | | |
Series 2019 A, GO, 5.00%, 8/1/2025 | | |
Series 2021 A, GO, 5.00%, 5/1/2026 | | |
Series 2017 A, GO, 5.00%, 8/1/2026 | | |
Series 2019B, GO, 5.00%, 2/1/2028 | | |
Series 2021A, GO, 5.00%, 5/1/2028 | | |
Series 2015A, GO, 5.00%, 8/1/2029 | | |
City of Philadelphia Water and Wastewater | | |
Series 2016, Rev., 5.00%, 10/1/2024 | | |
Series 2019 A, GO, 5.00%, 8/1/2026 | | |
City of Philadelphia Water And Wastewater Series 2016, Rev., 5.00%, 10/1/2025 | | |
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|
|
Commonwealth Financing Authority | | |
Series B-1, Rev., AGM, 5.00%, 6/1/2025 | | |
Series 2019B, Rev., 5.00%, 6/1/2027 | | |
Commonwealth Financing Authority, Tobacco Master Settlement Payment | | |
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| | |
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Commonwealth of Pennsylvania | | |
Series 2016, GO, 5.00%, 9/15/2024 | | |
Series 1, GO, 5.00%, 3/15/2026 | | |
Series 2015, GO, AGM, 5.00%, 8/15/2026 | | |
Series 1ST, GO, 5.00%, 9/15/2026 | | |
Series 2018A, COP, 5.00%, 7/1/2027 | | |
Series 2018A, COP, 5.00%, 7/1/2028 | | |
Council Rock School District Series 2019A, GO, 4.00%, 11/15/2025 | | |
County of Allegheny Series C-75, GO, 5.00%, 11/1/2027 | | |
| | |
Series 2017, GO, 5.00%, 6/1/2025 | | |
Series 2017, GO, 5.00%, 6/1/2026 | | |
County of Montgomery Series 2006 B, GO, 5.25%, 10/15/2024 | | |
Cumberland County Municipal Authority, Diakon Lutheran Social Ministries Series 2015, Rev., 5.00%, 1/1/2025 (b) | | |
Delaware County Industrial Development Authority, United Parcel Service Project Rev., VRDO, 3.90%, 9/3/2024 (c) | | |
Delaware Valley Regional Finance Authority, Local Government Series 2020B, Rev., 5.00%, 11/1/2024 | | |
East Stroudsburg Area School District Series AA, GO, 5.00%, 9/1/2025 | | |
Easton Area School District Series 2020A, GO, 4.00%, 4/1/2025 | | |
Erie City Water Authority | | |
Series 2014, Rev., AGM, 4.00%, 12/1/2024 (b) | | |
Series 2014, Rev., AGM, 5.00%, 12/1/2024 (b) | | |
Garnet Valley School District Series 2017, GO, 4.00%, 4/1/2027 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Geisinger Authority, Health System | | |
Series 2020B, Rev., 5.00%, 2/15/2027 (c) | | |
Series 2020 C, Rev., 5.00%, 4/1/2030 (c) | | |
General Authority of Southcentral Pennsylvania, Wellspan Health Obligated Group Series 2019E, Rev., VRDO, LIQ : US Bank NA, 2.60%, 9/3/2024 (c) | | |
Methacton School District GO, 4.00%, 9/15/2025 | | |
Monroeville Finance Authority, University of Pittsburg Medical Center Rev., 5.00%, 2/15/2026 | | |
Montour School District Series A, GO, AGM, 5.00%, 10/1/2025 (b) | | |
North Penn School District Series 2019A, GO, 3.00%, 1/15/2025 | | |
North Penn Water Authority Rev., (SIFMA Municipal Swap Index Yield + 0.56%), 3.40%, 9/12/2024 (d) | | |
Pennsylvania Economic Development Financing Authority, University of Pittsburgh Medical Center | | |
Series 2014A, Rev., 5.00%, 2/1/2025 | | |
| | |
Series 2017A, Rev., 5.00%, 11/15/2026 | | |
Series 2016, Rev., 5.00%, 3/15/2027 | | |
Pennsylvania Higher Educational Facilities Authority | | |
Series AQ, Rev., 5.00%, 6/15/2025 (b) | | |
Series AQ, Rev., 5.00%, 6/15/2025 | | |
Series AT-1, Rev., 5.00%, 6/15/2025 | | |
Pennsylvania Higher Educational Facilities Authority, BRYN MAWR College Rev., 5.00%, 12/1/2024 | | |
Pennsylvania Higher Educational Facilities Authority, University of Pennsylvania Health System | | |
Series B, Rev., 5.00%, 10/1/2024 | | |
Series 2016 C, Rev., 5.00%, 8/15/2025 | | |
Series A, Rev., 5.00%, 10/1/2025 (b) | | |
Series 2015, Rev., 5.00%, 8/15/2026 | | |
Series 2016 A, Rev., 5.00%, 8/15/2027 | | |
Series 2019, Rev., 5.00%, 8/15/2028 | | |
Pennsylvania State University (The) | | |
Series A, Rev., 5.00%, 9/1/2024 | | |
Series B, Rev., 5.25%, 8/15/2025 | | |
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|
Pennsylvania Turnpike Commission | | |
Rev., VRDO, LOC : TD Bank NA, 2.90%, 9/12/2024 (c) | | |
Series 2015 B, Rev., 5.00%, 12/1/2024 | | |
Series 2017 A, Rev., 5.00%, 12/1/2024 | | |
Series 2018 A-2, Rev., 5.00%, 12/1/2024 | | |
Series A-1, Rev., 5.00%, 12/1/2024 | | |
Series A-1, Rev., 5.00%, 12/1/2025 | | |
Series A-2, Rev., 5.00%, 12/1/2025 | | |
Series B-2, Rev., 5.00%, 6/1/2026 | | |
Series A-1, Rev., 5.00%, 12/1/2026 | | |
Series 2016, Rev., 5.00%, 6/1/2027 | | |
Series 2016B, Rev., 5.00%, 6/1/2027 | | |
Series 2016A-1, Rev., 5.00%, 12/1/2027 | | |
Series 2016A-3, Rev., 5.00%, 12/1/2027 | | |
Series B-2, Rev., 5.00%, 6/1/2028 | | |
Series 2016 A-1, Rev., 5.00%, 12/1/2028 | | |
Series 2021A, Rev., 5.00%, 12/1/2028 | | |
Series 2016, Rev., 5.00%, 6/1/2029 | | |
Series 2017, Rev., 5.00%, 12/1/2029 | | |
Series 2017-2, Rev., 5.00%, 12/1/2029 | | |
Series 2014C, Rev., 5.00%, 12/1/2030 | | |
Series 2014, Rev., 5.00%, 12/1/2031 | | |
Series 2014A, Rev., 5.00%, 12/1/2038 | | |
Series 2014C, Rev., 5.00%, 12/1/2039 | | |
Pennsylvania Turnpike Commission Oil Franchise Tax | | |
Series A, Rev., 5.00%, 12/1/2027 | | |
Series B, Rev., 5.00%, 12/1/2028 | | |
Series B, Rev., 5.00%, 12/1/2029 | | |
Pennsylvania Turnpike Commission Registration Fee Series 2005A, Rev., AGM, 5.25%, 7/15/2027 | | |
Pennsylvania Turnpike Commission, Motor License Fund, Enhanced, Subordinate Series 2017, Rev., 5.00%, 12/1/2028 | | |
Peters Township School District Washington County GO, 5.00%, 1/15/2026 | | |
Philadelphia Authority for Industrial Development | | |
Series B-2, Rev., VRDO, LOC : TD Bank NA, 2.91%, 9/9/2024 (c) | | |
Series 2019, Rev., 5.00%, 10/1/2024 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Series 2019, Rev., 5.00%, 10/1/2026 | | |
Series 2019, Rev., 5.00%, 10/1/2027 | | |
Series 2016, Rev., 5.00%, 4/1/2028 | | |
Series 2019, Rev., 5.00%, 10/1/2028 | | |
Series 2019, Rev., 5.00%, 10/1/2029 | | |
Philadelphia Gas Works Co. | | |
Series 13TH, Rev., 5.00%, 9/18/2024 | | |
Series 13TH, Rev., 5.00%, 8/1/2025 | | |
Philadelphia Gas Works Co., 1998 General Ordinance | | |
Series 14TH, Rev., 5.00%, 10/1/2024 | | |
Series 14TH, Rev., 5.00%, 10/1/2026 | | |
Series 14TH, Rev., 5.00%, 10/1/2028 | | |
Redevelopment Authority of the City of Philadelphia, Neighborhood Preservation Initiative Series 2023 C, Rev., 5.00%, 4/15/2025 | | |
School District of Philadelphia (The) | | |
Series F, GO, 5.00%, 9/1/2024 | | |
Series F, GO, 5.00%, 9/1/2025 | | |
Series F, GO, 5.00%, 9/1/2026 | | |
Series F, GO, 5.00%, 9/1/2027 | | |
Series F, GO, 5.00%, 9/1/2028 | | |
Series F, GO, 5.00%, 9/1/2029 | | |
Seneca Valley School District Series 2015C, GO, 5.00%, 3/1/2028 | | |
Southeastern Pennsylvania Transportation Authority | | |
| | |
Series 2020, Rev., 5.00%, 6/1/2026 | | |
Series 2020, Rev., 5.00%, 6/1/2028 | | |
Southeastern Pennsylvania Transportation Authority, Capital Grant Receipts Series 2017, Rev., 5.00%, 6/1/2026 | | |
State Public School Building Authority, The School District of the City of Harrisburg Project Series 2016A, Rev., AGM, 4.00%, 12/1/2026 (b) | | |
Upper Dublin School District Series 2017, GO, 5.00%, 11/15/2024 | | |
West View Municipal Authority Water Series 2014, Rev., 5.00%, 11/15/2024 (b) | | |
| | |
| | |
|
|
Rhode Island Commerce Corp., Department of Transportation | | |
Series 2016 B, Rev., 5.00%, 6/15/2025 | | |
Series 2020 A, Rev., 5.00%, 5/15/2026 | | |
Series 2016 B, Rev., 5.00%, 6/15/2026 | | |
Series 2016B, Rev., 5.00%, 6/15/2027 | | |
Series 2016B, Rev., 5.00%, 6/15/2028 | | |
Series 2016 B, Rev., 5.00%, 6/15/2029 | | |
Rhode Island Infrastructure Bank Water Pollution Control Revolving Fund | | |
Series 2015A, Rev., 5.00%, 10/1/2024 (b) | | |
Series B, Rev., 5.00%, 10/1/2024 | | |
Series 2016A, Rev., 5.00%, 10/1/2025 (b) | | |
State of Rhode Island Series 2019 E, GO, 5.00%, 1/15/2026 | | |
State of Rhode Island and Providence Plantations Capital Development Series 2019 E, GO, 5.00%, 1/15/2025 | | |
| | |
|
Charleston Educational Excellence Finance Corp., Installment Purchase, Charleston County School District, South Carolina Project Series 2014, Rev., 5.00%, 12/1/2024 | | |
City of Columbia Waterworks and Sewer System Series 2016 B, Rev., 5.00%, 2/1/2026 | | |
County Square Redevelopment Corp., South Carolina Project Series 2024, Rev., BAN, 5.00%, 2/9/2025 | | |
Lexington County Health Services District, Inc., Lexmed Obligated Group Series 2017, Rev., 5.00%, 11/1/2027 | | |
Piedmont Municipal Power Agency | | |
Rev., NATL - RE, 5.38%, 1/1/2025 | | |
Series 2015A, Rev., 5.00%, 1/1/2026 | | |
SCAGO Educational Facilities Corp. for Pickens School District | | |
Series 2015, Rev., 5.00%, 12/1/2024 | | |
Series 2015, Rev., 5.00%, 12/1/2025 | | |
| | |
Series 2015, Rev., 5.00%, 12/1/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
South Carolina — continued |
South Carolina Jobs-Economic Development Authority, Bon Secours Mercy Health, Inc. Series 2020B, Rev., 5.00%, 10/1/2025 (c) | | |
South Carolina Jobs-Economic Development Authority, York Preparatory Academy Project Series 2014A, Rev., 7.25%, 11/1/2024 (b) (e) | | |
South Carolina Ports Authority | | |
Series 2015, Rev., AMT, 5.00%, 7/1/2025 (b) | | |
Series 2015, Rev., AMT, 5.25%, 7/1/2025 (b) | | |
South Carolina Public Service Authority | | |
Series A, Rev., 5.50%, 10/23/2024 | | |
Series 2014C, Rev., 5.00%, 12/1/2024 | | |
Series A, Rev., 5.00%, 12/1/2024 (b) | | |
Series A, Rev., 5.00%, 12/1/2025 | | |
Series 2022A, Rev., 5.00%, 12/1/2026 | | |
Series 2016A, Rev., 5.00%, 12/1/2027 | | |
Series 2016A, Rev., 5.00%, 12/1/2029 | | |
South Carolina Public Service Authority, Santee Cooper Series A, Rev., 5.00%, 12/1/2026 | | |
South Carolina Transportation Infrastructure Bank | | |
Series 2015A, Rev., 5.00%, 10/1/2024 | | |
Series 2021 B, Rev., 5.00%, 10/1/2025 | | |
University of South Carolina, Higher Education Facilities Rev., 5.00%, 5/1/2025 | | |
| | |
|
Sioux Falls School District No. 49-5 Series 2018A, GO, 4.00%, 8/17/2026 (b) | | |
South Dakota State Building Authority Series D, Rev., 5.00%, 9/1/2024 | | |
| | |
|
City of Chattanooga GO, 3.13%, 10/1/2025 | | |
City of Chattanooga Electric | | |
Series A, Rev., 5.00%, 9/1/2025 | | |
Series A, Rev., 4.00%, 9/1/2029 | | |
City of Clarksville Water Sewer and Gas Series 2017, Rev., 5.00%, 2/1/2025 | | |
| | |
|
|
City of Memphis Gas System Series 2020, Rev., 5.00%, 12/1/2024 | | |
City of Memphis Sanitary Sewerage System Series 2018, Rev., 5.00%, 10/1/2024 | | |
County of Wilson GO, 4.00%, 4/1/2025 | | |
Harpeth Valley Utilities District of Davidson and Williamson Counties Series 2015, Rev., 5.00%, 9/1/2024 | | |
Johnson City Health and Educational Facilities Board, Ballad Health Series 2023A, Rev., 5.00%, 7/1/2025 | | |
Memphis-Shelby County Industrial Development Board | | |
Series 2017B, Rev., 5.00%, 11/1/2025 | | |
Series 2017B, Rev., 5.00%, 11/1/2026 | | |
Metropolitan Government of Nashville and Davidson County | | |
Series 2017B, Rev., 5.00%, 5/15/2025 | | |
Series 2017, GO, 5.00%, 7/1/2025 | | |
Series 2021A, GO, 5.00%, 7/1/2025 | | |
Series 2016, GO, 5.00%, 1/1/2027 | | |
| | |
Series A, GO, 5.00%, 8/1/2025 (b) | | |
Series B, GO, 5.00%, 8/1/2025 | | |
Tennessee Energy Acquisition Corp., Commodity Project | | |
Series 2021A, Rev., 5.00%, 11/1/2025 | | |
Series 2021A, Rev., 5.00%, 11/1/2026 | | |
Tennessee State School Bond Authority Series 2015B, Rev., 5.00%, 11/1/2026 | | |
Tennessee State School Bond Authority, Higher Educational Facilities Second Program | | |
Series 2014B, Rev., 5.00%, 11/1/2024 (b) | | |
Series B, Rev., 5.00%, 11/1/2024 | | |
Series 2015B, Rev., 5.00%, 11/1/2025 (b) | | |
Series A, Rev., 5.00%, 11/1/2025 | | |
| | |
|
Alamo Community College District, Limited Tax Series 2017, GO, 5.00%, 8/15/2025 | | |
Alamo Community College District, Maintenance Tax GO, 5.00%, 2/15/2026 | | |
Arlington Housing Finance Corp. Series 2023, Rev., 4.50%, 4/1/2027 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Austin Community College District Public Facility Corp., Round Rock Campus Series 2015, Rev., 5.00%, 8/1/2026 | | |
Austin Independent School District, Unlimited Tax Series A, GO, PSF-GTD, 4.00%, 8/1/2025 (b) | | |
Bay City Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2025 | | |
Bexar County Hospital District, Limited Tax GO, 5.00%, 2/15/2025 | | |
Board of Regents of the University of Texas System | | |
Series 2016 J, Rev., 5.00%, 8/15/2025 | | |
Series 2019 A, Rev., 5.00%, 8/15/2028 | | |
Series 2020 C, Rev., 5.00%, 8/15/2028 | | |
Brazosport Water Authority Series 2015C, Rev., 5.00%, 9/1/2024 | | |
Central Texas Regional Mobility Authority Series A, Rev., 5.00%, 7/1/2025 (b) | | |
Central Texas Regional Mobility Authority, Senior Lien Series A, Rev., 5.00%, 7/1/2025 (b) | | |
Central Texas Regional Mobility Authority, Subordinate Lien | | |
Series 2020F, Rev., BAN, 5.00%, 1/1/2025 | | |
Series 2021C, Rev., BAN, 5.00%, 1/1/2027 | | |
Central Texas Turnpike System Series C, Rev., 5.00%, 11/4/2024 | | |
| | |
| | |
Series 2020, GO, 5.00%, 9/1/2025 | | |
City of Austin Electric Utility | | |
Series 2019B, Rev., 5.00%, 11/15/2024 | | |
Series 2020A, Rev., 5.00%, 11/15/2025 | | |
Series 2015A, Rev., 5.00%, 11/15/2026 | | |
Series 2015A, Rev., 5.00%, 11/15/2027 | | |
City of Austin Water and Wastewater System | | |
Series 2014, Rev., 5.00%, 9/13/2024 | | |
Series 2015A, Rev., 5.00%, 11/15/2025 | | |
Series 2021, Rev., 5.00%, 11/15/2025 | | |
Series 2024, Rev., 5.00%, 11/15/2028 | | |
City of Austin, Airport System Series 2017A, Rev., 5.00%, 11/15/2027 | | |
| | |
|
|
City of Brownsville, Utilities System | | |
Series 2013A, Rev., 5.00%, 9/1/2024 | | |
Rev., AGM, 5.00%, 9/1/2025 | | |
Series 2013A, Rev., 5.00%, 9/1/2025 | | |
City of Cedar Hill, Refunding and Improvement GO, 5.00%, 2/15/2025 | | |
| | |
Series 2018B, GO, 5.00%, 11/15/2024 | | |
Series 2019A, GO, 5.00%, 3/1/2025 | | |
City of Copperas Cove GO, 4.00%, 8/15/2025 | | |
City of Dallas Series 2023A, GO, 5.00%, 2/15/2026 | | |
City of Dallas Waterworks and Sewer System Series 2015A, Rev., 5.00%, 10/1/2025 | | |
City of Denton Utility System Series 2017, Rev., 5.00%, 12/1/2029 | | |
City of Denton, Utility System Series 2017, Rev., 5.00%, 12/1/2027 | | |
City of El Paso Series 2015, GO, 5.00%, 8/15/2025 | | |
City of El Paso Municipal Drainage Utility System Series 2017, Rev., 5.00%, 3/1/2025 | | |
City of Farmers Branch GO, 4.00%, 2/15/2025 | | |
City of Frisco, Collin and Denton Counties GO, 5.00%, 2/15/2025 | | |
City of Garland Electric Utility System Series 2016 A, Rev., 5.00%, 3/1/2025 | | |
City of Garland, Electric Utility System Series 2016B, Rev., 5.00%, 3/1/2025 | | |
City of Granbury Series 2016A, GO, 4.00%, 8/15/2025 | | |
City of Heath, Combination Tax and Surplus GO, 5.00%, 2/15/2025 | | |
| | |
Series 2016 A, GO, 5.00%, 3/1/2028 | | |
Series 2021 A, GO, 5.00%, 3/1/2028 | | |
City of Houston Combined Utility System | | |
Series 1998 A, Rev., AGM, Zero Coupon, 12/1/2025 (b) | | |
Series 2017 B, Rev., 5.00%, 11/15/2027 | | |
Series 2017 B, Rev., 5.00%, 11/15/2028 | | |
City of Houston, Airport System Series 2018 B, Rev., 5.00%, 7/1/2027 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
City of Houston, Airport System, Subordinate Lien | | |
Series 2018 B, Rev., 5.00%, 7/1/2025 | | |
Series 2018D, Rev., 5.00%, 7/1/2025 | | |
Series 2018D, Rev., 5.00%, 7/1/2026 | | |
Series 2020B, Rev., 5.00%, 7/1/2026 | | |
Series 2020B, Rev., 5.00%, 7/1/2027 | | |
Series 2023B, Rev., AGM, 5.00%, 7/1/2028 | | |
City of Houston, Combined Utility System, First Lien | | |
Series 2017 B, Rev., 5.00%, 11/15/2025 | | |
Series 2024 A, Rev., 5.00%, 11/15/2025 | | |
Series 2024 A, Rev., 5.00%, 11/15/2026 | | |
City of Houston, Combined Utility System, Junior Lien Series A, Rev., AGM, Zero Coupon, 12/1/2024 | | |
City of Houston, Public Improvement Series 2021A, GO, 5.00%, 3/1/2026 | | |
City of Kenedy, Combination Tax GO, 4.00%, 5/1/2025 | | |
City of Laredo, Combination Tax GO, 5.00%, 2/15/2025 | | |
| | |
Series 2016, GO, 5.00%, 2/15/2026 | | |
Series 2018, GO, 5.00%, 2/15/2026 | | |
| | |
City of Lubbock, Electric Light and Power System Series 2021, Rev., 5.00%, 4/15/2028 | | |
City of McKinney GO, 5.00%, 8/15/2025 | | |
City of Midland Series 2018A, GO, 5.00%, 3/1/2025 | | |
City of Midland, Certificates of Obligation GO, 5.00%, 3/1/2025 | | |
City of Missouri City, Combination Tax, Certificates of Obligation Series 2018B, GO, 4.00%, 6/15/2025 | | |
City of New Braunfels, Combination Tax GO, 5.00%, 2/1/2025 | | |
City of Plano Series 2022, GO, 4.00%, 9/1/2024 | | |
City of Port Aransas, Combination Tax, Certificates of Obligation GO, 4.00%, 2/1/2025 | | |
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|
|
City of Rockwall Series 2016, GO, 5.00%, 8/1/2025 | | |
City of Round Rock Series 2019, GO, 5.00%, 8/15/2025 | | |
City of Rowlett Series 2019, GO, 5.00%, 2/15/2026 | | |
City of Sachse, Combination Tax and Limited Surplus Series 2017A, GO, 4.00%, 2/15/2025 | | |
| | |
| | |
Series 2018, GO, 5.00%, 8/1/2025 | | |
Series 2016, GO, 5.00%, 2/1/2028 | | |
City of San Antonio, Combination Tax GO, 5.00%, 2/1/2028 (f) | | |
City of San Antonio, Drainage Utility System Rev., 5.00%, 2/1/2027 | | |
City of San Antonio, Electric and Gas Systems | | |
Series 2012, Rev., 5.25%, 2/1/2025 | | |
Series 2015, Rev., 5.00%, 2/1/2026 | | |
Series 2016, Rev., 5.00%, 2/1/2028 | | |
Series 2024D, Rev., 5.00%, 2/1/2029 (f) | | |
City of Waco GO, 5.00%, 9/24/2024 | | |
City of Waco, Combination Tax GO, 5.00%, 2/1/2025 | | |
City of Weatherford GO, 4.00%, 3/1/2025 | | |
City of Weslaco Series 2016, GO, 5.00%, 2/15/2025 | | |
Collin County Community College District | | |
Series 2018, GO, 5.00%, 8/15/2025 | | |
Series 2020A, GO, 5.00%, 8/15/2025 | | |
Series 2018, GO, 5.00%, 8/15/2026 | | |
Series 2020A, GO, 5.00%, 8/15/2028 | | |
Columbia-Brazoria Independent School District, Unlimited Tax GO, PSF-GTD, 3.00%, 2/1/2025 | | |
Comal Independent School District, Unlimited Tax | | |
GO, PSF-GTD, 5.00%, 2/1/2025 | | |
Series B, GO, PSF-GTD, 5.00%, 2/1/2025 | | |
County of Bastrop, Combination Tax GO, 5.00%, 8/1/2026 (f) | | |
| | |
Series 2017, GO, 5.00%, 6/15/2026 (b) | | |
Series A, GO, 5.00%, 6/15/2026 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
County of Bexar, Limited Tax | | |
Series 2016, GO, 4.00%, 6/15/2025 (b) | | |
Series 2017, GO, 5.00%, 6/15/2026 (b) | | |
Series 2017, GO, 5.00%, 6/15/2027 | | |
County of Comal, Limited Tax GO, 4.00%, 2/1/2025 | | |
County of Dallas GO, 5.00%, 8/15/2025 | | |
County of Fort Bend, Unlimited Tax | | |
Series B, GO, 5.00%, 3/1/2025 | | |
Series A, GO, 5.00%, 3/1/2026 | | |
Series B, GO, 5.00%, 3/1/2028 | | |
County of Galveston, Limited Tax GO, 5.00%, 2/1/2025 | | |
| | |
Series 2022A, GO, 5.00%, 10/1/2024 | | |
Series 2015 A, GO, 5.00%, 10/1/2025 | | |
Series 2017 A, GO, 5.00%, 10/1/2025 | | |
Series 2015 A, GO, 5.00%, 10/1/2026 | | |
County of Harris Toll Road | | |
Series 2022A, Rev., 5.00%, 8/15/2025 | | |
Series 2023A, Rev., 5.00%, 8/15/2025 | | |
County of Harris Toll Road, First Lien Series 2021, Rev., 5.00%, 8/15/2026 | | |
County of Harris, Senior Lien | | |
Series 2015 B, Rev., 5.00%, 8/15/2025 | | |
Series 2016 A, Rev., 5.00%, 8/15/2025 | | |
Series 2015 B, Rev., 5.00%, 8/15/2026 | | |
Series 2015 B, Rev., 5.00%, 8/15/2027 | | |
Series 2016 A, Rev., 5.00%, 8/15/2027 | | |
County of Harris, Toll Road, Senior Lien Series 2016A, Rev., 5.00%, 8/15/2028 | | |
County of Harris, Unlimited Tax Series 2022A, GO, 5.00%, 10/1/2024 | | |
County of Hays, Limited Tax GO, 5.00%, 2/15/2025 | | |
County of Montgomery Series 2014A, GO, 5.00%, 3/1/2027 | | |
County of Nueces, Combination Tax | | |
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County of Taylor, Limited Tax GO, 5.00%, 2/15/2025 | | |
County of Tom Green, Combination Tax and Limited Surplus GO, 5.00%, 2/1/2025 | | |
| | |
Series 2019A, GO, 5.00%, 3/1/2025 | | |
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|
Series 2019 A, GO, 5.00%, 3/1/2026 | | |
County of Williamson, Unlimited Tax Series 2014, GO, 5.00%, 2/15/2025 | | |
Crowley Independent School District, Unlimited Tax Series B, GO, PSF-GTD, 5.00%, 8/1/2025 (b) | | |
Dallas Area Rapid Transit, Sales Tax, Senior Lien | | |
| | |
Series 2014A, Rev., 5.00%, 12/1/2024 | | |
Series 2014A, Rev., 5.00%, 12/1/2024 (b) | | |
Series 2016A, Rev., 5.00%, 12/1/2025 (b) | | |
Series 2019, Rev., 5.00%, 12/1/2025 | | |
Dallas County Park Cities Municipal Utility District Rev., 4.00%, 8/1/2025 | | |
Dallas County Utility and Reclamation District, Unlimited Tax | | |
Series 2016, GO, 5.00%, 2/15/2025 | | |
Series 2016, GO, 5.00%, 2/15/2028 | | |
Dallas Fort Worth International Airport | | |
Series 2021B, Rev., 5.00%, 11/1/2024 | | |
Series 2020 A, Rev., 5.00%, 11/1/2025 | | |
Series 2020B, Rev., 5.00%, 11/1/2025 | | |
Series 2021 B, Rev., 5.00%, 11/1/2025 | | |
Series 2020 A, Rev., 5.00%, 11/1/2026 | | |
Series 2023B, Rev., 5.00%, 11/1/2026 | | |
Series 2022B, Rev., 5.00%, 11/1/2027 | | |
Series 2023B, Rev., 5.00%, 11/1/2027 | | |
Series 2020 A, Rev., 5.00%, 11/1/2028 | | |
Series 2020 B, Rev., 5.00%, 11/1/2028 | | |
Series 2023B, Rev., 5.00%, 11/1/2028 | | |
Dallas Independent School District, Unlimited Tax | | |
Series 2016A, GO, PSF-GTD, 4.00%, 2/15/2025 (b) | | |
GO, PSF-GTD, 5.00%, 2/15/2025 | | |
Denton County Housing Finance Corp., THF Pathway on Woodrow LP Series 2022, Rev., 5.00%, 2/1/2025 (c) | | |
DeSoto Independent School District Series 2013, GO, PSF-GTD, Zero Coupon, 8/15/2025 | | |
El Paso Housing Finance Corp., Columbia Housing Partners LP Rev., 4.50%, 3/1/2025 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
El Paso Independent School District Series 2015A, GO, PSF-GTD, 5.00%, 8/15/2025 (b) | | |
Floresville Independent School District, Unlimited Tax GO, PSF-GTD, 3.00%, 2/1/2025 | | |
Frisco Independent School District Series 2016A, GO, PSF-GTD, 5.00%, 8/15/2025 | | |
Frisco Independent School District, Unlimited Tax Series 2017, GO, PSF-GTD, 4.00%, 8/15/2028 | | |
Garland Independent School District, Unlimited Tax, School Building | | |
Series 2016, GO, PSF-GTD, 5.00%, 2/15/2025 | | |
Series A, GO, PSF-GTD, 5.00%, 2/15/2025 | | |
Hallsville Independent School District Series 2020, GO, PSF-GTD, 5.00%, 2/15/2025 | | |
Harris County Cultural Education Facilities Finance Corp., Children's Hospital Series 2015-1, Rev., 5.00%, 10/1/2026 | | |
Harris County Cultural Education Facilities Finance Corp., Memorial Hermann Health System | | |
Series 2020C-2, Rev., 5.00%, 9/24/2024 (c) | | |
Series 2014A, Rev., 5.00%, 12/1/2024 | | |
Series 2019A, Rev., 5.00%, 12/1/2024 | | |
Series 2014A, Rev., 5.00%, 12/1/2025 | | |
Series 2019B-3, Rev., 5.00%, 12/1/2026 (c) | | |
Series 2020C-3, Rev., 5.00%, 12/1/2026 (c) | | |
Series 2014A, Rev., 5.00%, 12/1/2027 | | |
Series 2019 A, Rev., 5.00%, 12/1/2029 | | |
Harris County Cultural Education Facilities Finance Corp., Texas Children's Hospital | | |
Series 2019 A, Rev., 5.00%, 10/1/2025 | | |
Series 2015-1, Rev., 5.00%, 10/1/2029 | | |
Harris County Health Facilities Development Corp., Sisters of Charity of the Incarnate Word Series 1997B, Rev., 5.75%, 7/1/2027 (b) | | |
Housing Options, Inc., Multi Family Housing Estelle Village Apartments Project Series 2022, Rev., 3.90%, 2/1/2025 (c) | | |
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|
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Houston Housing Finance Corp. Multi Family Housing Sunset Garden Apartments Series 2022, Rev., FHA, 4.00%, 10/1/2024 (c) | | |
Houston Independent School District, Limited Tax Schoolhouse GO, PSF-GTD, 5.00%, 2/15/2025 | | |
Humble Independent School District, Unlimited Tax School Building Series 2020A, GO, PSF-GTD, 5.00%, 2/15/2025 | | |
Hurst-Euless-Bedford Independent School District Series 2017 A, GO, 5.00%, 8/15/2025 | | |
Keller Independent School District, Unlimited Tax | | |
Series 2015, GO, PSF-GTD, 5.00%, 2/15/2025 (b) | | |
Series A, GO, PSF-GTD, 5.00%, 8/15/2025 | | |
Klein Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/1/2025 | | |
Lewisville Independent School District, Unlimited Tax | | |
Series 2020, GO, PSF-GTD, 5.00%, 8/15/2025 | | |
Series 2023, GO, PSF-GTD, 5.00%, 8/15/2026 | | |
Series 2016 A, GO, PSF-GTD, 4.00%, 8/15/2027 | | |
Lower Colorado River Authority, LCRA Transmission services Corp. Project Series 2023, Rev., AGM, 5.00%, 5/15/2028 | | |
Lower Colorado River Authority, LCRA Transmission Services Corp. Project | | |
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Series 2019A, Rev., 5.00%, 5/15/2026 | | |
Series 2022, Rev., 5.00%, 5/15/2026 | | |
Series 2018, Rev., 5.00%, 5/15/2027 | | |
Series 2020, Rev., 5.00%, 5/15/2027 | | |
Series 2019, Rev., 5.00%, 5/15/2028 | | |
Series 2022, Rev., 5.00%, 5/15/2028 | | |
Series 2021, Rev., 5.00%, 5/15/2029 | | |
Series 2023, Rev., AGM, 5.00%, 5/15/2029 | | |
Mansfield Independent School District, Unlimited Tax Series 2015, GO, PSF-GTD, 5.00%, 2/15/2025 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
McKinney Independent School District, Unlimited Tax Series 2022, GO, PSF-GTD, 5.00%, 2/15/2026 | | |
Metropolitan Transit Authority of Harris County Sales and Use Tax | | |
Series 2017B, Rev., 5.00%, 11/1/2025 | | |
Series A, Rev., 5.00%, 11/1/2025 | | |
Series 2018, Rev., 5.00%, 11/1/2026 | | |
Series A, Rev., 5.00%, 11/1/2026 | | |
| | |
Montgomery Independent School District Series 2015, GO, PSF-GTD, 5.00%, 2/15/2025 (b) | | |
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) | | |
New Hope Cultural Education Facilities Finance Corp., Student Housing Texas A&M University Series 2017A, Rev., 5.00%, 4/1/2025 (b) | | |
North Harris County Regional Water Authority, Senior Lien | | |
| | |
Series 2016, Rev., 5.00%, 12/15/2027 | | |
Series 2016, Rev., 5.00%, 12/15/2028 | | |
Series 2016, Rev., 5.00%, 12/15/2029 | | |
North Texas Municipal Water District Water System | | |
Series 2019A, Rev., 3.00%, 9/1/2024 | | |
| | |
Series 2014, Rev., 5.00%, 9/1/2024 | | |
Series 2016, Rev., 5.00%, 9/1/2025 | | |
Series 2015, Rev., 5.00%, 9/1/2027 | | |
North Texas Tollway Authority | | |
Series 2015 B, Rev., 5.00%, 1/1/2025 | | |
Series 2015 B, Rev., 5.00%, 1/1/2026 | | |
North Texas Tollway Authority, First Tier | | |
Series 2016A, Rev., 5.00%, 1/1/2025 | | |
Series 2022A, Rev., 5.00%, 1/1/2025 | | |
Series A, Rev., 5.00%, 1/1/2025 | | |
Series 2020A, Rev., 5.00%, 1/1/2026 | | |
Series 2022A, Rev., 5.00%, 1/1/2026 | | |
Series 2019 A, Rev., 5.00%, 1/1/2028 | | |
Series A, Rev., 5.00%, 1/1/2028 | | |
| | |
|
|
North Texas Tollway Authority, Second Tier | | |
Series 2021B, Rev., 5.00%, 1/1/2025 | | |
Series B, Rev., 5.00%, 1/1/2025 | | |
Series B, Rev., 5.00%, 1/1/2026 | | |
Series 2019 B, Rev., 5.00%, 1/1/2027 | | |
Series B, Rev., 5.00%, 1/1/2027 | | |
Series 2019 B, Rev., 5.00%, 1/1/2028 | | |
Series B, Rev., 5.00%, 1/1/2028 | | |
Series 2019 B, Rev., 5.00%, 1/1/2029 | | |
Series B, Rev., 5.00%, 1/1/2029 | | |
Northwest Independent School District, Unlimited Tax Series 2016A, GO, PSF-GTD, 5.00%, 2/15/2026 (b) | | |
Nueces River Authority Series 2015, Rev., 5.00%, 7/15/2027 | | |
Pasadena Independent School District Series 2023B, GO, 5.00%, 2/15/2027 | | |
Permanent University Fund - Texas A&M University System | | |
Series 2009A, Rev., 5.00%, 7/1/2025 | | |
Series 2009A, Rev., 5.00%, 7/1/2026 | | |
Series 2009A, Rev., 5.25%, 7/1/2028 | | |
Permanent University Fund - University of Texas System Series 2016 A, Rev., 5.00%, 7/1/2025 | | |
Port Authority of Houston of Harris County Texas Series 2020 A-2, GO, 5.00%, 10/1/2024 | | |
Red River Education Finance Corp., Christian University Project Series 2016A, Rev., 5.00%, 3/15/2025 | | |
Richardson Independent School District, Unlimited Tax Series 2015B, GO, 5.00%, 2/15/2025 | | |
Robstown Independent School District Series 2016, GO, PSF-GTD, 4.00%, 2/15/2026 | | |
Rockwall Independent School District, Unlimited Tax GO, PSF-GTD, Zero Coupon, 2/15/2025 | | |
Round Rock Independent School District | | |
Series 2019 A, GO, PSF-GTD, 5.00%, 8/1/2025 | | |
Series 2016, GO, PSF-GTD, 5.00%, 8/1/2027 | | |
San Antonio Housing Trust Finance Corp. Series 2010, Rev., FHLMC COLL, LIQ : FHLMC, 3.50%, 10/1/2024 (b) (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
San Antonio Public Facilities Corp., Convention Center Facility Project | | |
Series 2022, Rev., 5.00%, 9/15/2024 | | |
Series 2022, Rev., 5.00%, 9/15/2028 | | |
San Antonio Water System, Junior Lien | | |
Series 2016 A, Rev., 5.00%, 5/15/2026 | | |
Series 2016C, Rev., 5.00%, 5/15/2026 | | |
San Elizario Independent School District, Unlimited Tax Series 2015, GO, PSF-GTD, 5.00%, 5/1/2025 (b) | | |
San Jacinto Community College District, Limited Tax GO, 5.00%, 2/15/2025 | | |
Southwest Higher Education Authority, Inc., Southern Methodist University Project Series 2016A, Rev., 5.00%, 10/1/2024 | | |
Spring Independent School District, Unlimited Tax | | |
Series 2017 A, GO, 5.00%, 8/15/2028 | | |
Series 2024 B, GO, 5.00%, 8/15/2029 (f) | | |
State of Texas Series A, GO, 5.00%, 10/1/2024 | | |
State of Texas, Public Finance Authority | | |
Series 2016, GO, 5.00%, 10/1/2024 | | |
Series 2018A, GO, 5.00%, 10/1/2025 | | |
Series A, GO, 5.00%, 10/1/2025 | | |
State of Texas, Transportation Commission Mobility Fund | | |
| | |
Series A, GO, 5.00%, 10/1/2024 (b) | | |
Series A, GO, 5.00%, 10/1/2024 | | |
Series 2015-A, GO, 5.00%, 10/1/2029 | | |
| | |
Series 2015A, GO, VRDO, LIQ : State Street Bank & Trust Co., 2.85%, 9/12/2024 (c) | | |
Series 2013A, GO, VRDO, LIQ : State Street Bank & Trust Co., 2.95%, 9/12/2024 (c) | | |
Tarrant County College District | | |
Series 2020, GO, 5.00%, 8/15/2025 | | |
Series 2022, GO, 5.00%, 8/15/2025 | | |
Texas A&M University Series 2016 C, Rev., 5.00%, 5/15/2025 | | |
Texas A&M University, Financing System | | |
Series 2017E, Rev., 5.00%, 5/15/2025 | | |
Series 2017C, Rev., 5.00%, 5/15/2028 | | |
| | |
|
|
Texas Department of Housing and Community Affairs, North Grand Villas Series 2023, Rev., FHA, 5.00%, 8/1/2025 (c) | | |
Texas Department of Transportation State Highway Fund | | |
Series 2016-A, Rev., 5.00%, 10/1/2024 | | |
Series 2016-A, Rev., 5.00%, 10/1/2025 | | |
Texas Department of Transportation State Highway Fund, First Tier Series 2016B, Rev., 0.56%, 4/1/2026 | | |
Texas Home Collaborative, 1518 Apartments Series 2023, Rev., 5.00%, 10/1/2026 (c) | | |
Texas Public Finance Authority Rev., 5.00%, 2/1/2025 | | |
Texas State Technical College Series 2022 A, Rev., AGM, 5.00%, 8/1/2028 | | |
Texas State University System | | |
Series 2017A, Rev., 5.00%, 3/15/2025 | | |
Series 2019A, Rev., 5.00%, 3/15/2025 | | |
Series A, Rev., 5.00%, 3/15/2025 | | |
Series A, Rev., 5.00%, 3/15/2026 | | |
Texas Water Development Board | | |
Series 2017 A, Rev., 5.00%, 10/15/2025 | | |
Series A, Rev., 5.00%, 4/15/2027 | | |
Series A, Rev., 5.00%, 10/15/2027 | | |
Texas Water Development Board, State Revolving Fund Series 2020, Rev., 5.00%, 8/1/2025 | | |
Texas Water Development Board, State Water Implementation Fund | | |
Series 2018A, Rev., 5.00%, 10/15/2024 | | |
Series 2018 B, Rev., 5.00%, 10/15/2025 | | |
Series 2020, Rev., 5.00%, 10/15/2025 | | |
Series A, Rev., 5.00%, 10/15/2026 | | |
Tomball Independent School District, Unlimited Tax School Building GO, PSF-GTD, 5.00%, 2/15/2025 | | |
Trinity River Authority Central Regional Wastewater System Series 2021, Rev., 5.00%, 8/1/2028 | | |
Trinity River Authority, Water Project Rev., 5.00%, 2/1/2025 | | |
| | |
Series 2017A, Rev., 5.00%, 2/15/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Series 2022A, Rev., 5.00%, 2/15/2025 | | |
Series 2016A, Rev., 4.00%, 2/15/2027 | | |
Series 2017 C, Rev., 5.00%, 2/15/2028 | | |
Series 2020 A, Rev., 5.00%, 2/15/2028 | | |
University of North Texas System, Financing System Series 2017A, Rev., 5.00%, 4/15/2025 | | |
University of North Texas, Financing System Series 2020A, Rev., 5.00%, 4/15/2025 | | |
Via Metropolitan Transit Rev., 5.00%, 7/15/2026 | | |
Weatherford Independent School District, Unlimited Tax GO, PSF-GTD, Zero Coupon, 2/15/2025 | | |
| | |
|
County of Utah, IHC Health Services, Inc. Series 2020B-2, Rev., 5.00%, 8/1/2026 (c) | | |
| | |
Series 2017 A, Rev., 5.00%, 8/1/2025 | | |
Series 2017 B1, Rev., 5.00%, 8/1/2025 | | |
Utah Associated Municipal Power Systems, Horse Butte Wind Project Series 2017A, Rev., 5.00%, 9/1/2026 | | |
Utah State Building Ownership Authority, Master Lease Program Series 2012A, Rev., 3.00%, 5/15/2025 | | |
Utah State University Series 2015 B, Rev., 5.00%, 12/1/2024 | | |
Utah Telecommunication Open Infrastructure Agency | | |
Series 2022, Rev., 5.00%, 6/1/2025 | | |
Series 2022, Rev., 5.00%, 6/1/2026 | | |
Utah Transit Authority, Sales Tax | | |
Series 2015 A, Rev., 4.00%, 6/15/2025 (b) | | |
Series 2015 A, Rev., 5.00%, 6/15/2025 | | |
Series 2015 A, Rev., 5.00%, 6/15/2025 (b) | | |
Washington County Water Conservancy District | | |
Series 2015, Rev., 5.00%, 10/1/2024 | | |
Series 2017 A, Rev., 5.00%, 10/1/2024 | | |
| | |
| | |
|
|
Vermont Municipal Bond Bank Series 2015-1, Rev., 5.00%, 12/1/2024 | | |
|
City of Alexandria Series 2017 C, GO, 5.00%, 7/1/2025 | | |
City of Hampton Series 2015B, GO, 5.00%, 9/1/2024 (b) | | |
City of Norfolk Rev., 5.00%, 11/1/2024 | | |
City of Portsmouth Series 2017A, GO, 5.00%, 7/15/2025 | | |
City of Portsmouth, Tax Exempt Series 2015A, GO, 5.00%, 8/1/2025 | | |
City of Richmond Series 2017 B, GO, 5.00%, 7/15/2025 | | |
City of Richmond Public Utility | | |
Series 2016 A, Rev., 5.00%, 1/15/2025 | | |
Series 2016 A, Rev., 5.00%, 1/15/2026 | | |
City of Virginia Beach Series 2017A, GO, 5.00%, 4/1/2026 | | |
Commonwealth of Virginia Series 2024B, GO, 5.00%, 6/1/2025 | | |
| | |
Series 2015C, GO, 5.00%, 10/1/2025 | | |
Series 2016A, GO, 5.00%, 4/1/2026 (b) | | |
County of Henrico Water and Sewer Series 2016, Rev., 5.00%, 5/1/2026 | | |
County of Loudoun Series 2019 A, GO, 5.00%, 12/1/2024 | | |
Franklin County Industrial Development Authority Series 2020, Rev., 5.00%, 10/15/2024 | | |
Hampton Roads Sanitation District | | |
Series 2024 A, Rev., 5.00%, 11/1/2025 | | |
Series 2016 A, Rev., 5.00%, 8/1/2026 (b) | | |
Hampton Roads Transportation Accountability Commission, Transportation Fund, Senior Lien Series 2021A, Rev., BAN, 5.00%, 7/1/2026 (b) | | |
Loudoun County Economic Development Authority | | |
Series 2015, Rev., 5.00%, 12/1/2024 | | |
Series 2016 B, Rev., 5.00%, 12/1/2024 | | |
Series 2022A, Rev., 5.00%, 12/1/2024 | | |
Series 2020A, Rev., 5.00%, 12/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Louisa Industrial Development Authority, Electric and Power Co. Project Series 2008B, Rev., 0.75%, 9/2/2025 (c) | | |
Prince William County Industrial Development Authority Series 2020 A, Rev., 5.00%, 10/1/2024 | | |
Upper Occoquan Sewage Authority Series 2014, Rev., 5.00%, 7/1/2025 (b) | | |
Virginia College Building Authority Educational Facilities, 21St Century College and Equipment Programs | | |
Series 2015A, Rev., 5.00%, 2/1/2025 (b) | | |
Series 2017 E, Rev., 5.00%, 2/1/2026 | | |
Series 2023 A, Rev., 5.00%, 2/1/2026 | | |
Series 2020 A, Rev., 5.00%, 2/1/2028 | | |
Virginia College Building Authority, Educational Facilities, 21st Century College and Equipment Programs | | |
Series 2019 B, Rev., 5.00%, 2/1/2026 | | |
Series 2017 E, Rev., 5.00%, 2/1/2027 | | |
Series 2017 E, Rev., 5.00%, 2/1/2029 | | |
Virginia Commonwealth Transportation Board, Capital Projects Series 2017A, Rev., 5.00%, 5/15/2025 | | |
Virginia Commonwealth Transportation Board, Federal Highway Transportation | | |
Rev., GAN, 5.00%, 9/15/2024 | | |
Rev., GAN, 5.00%, 3/15/2028 | | |
Virginia Commonwealth Transportation Board, Federal Transportation | | |
Rev., GAN, 5.00%, 3/15/2025 | | |
Rev., GAN, 5.00%, 3/15/2026 | | |
Rev., GAN, 5.00%, 9/15/2028 | | |
Virginia Commonwealth University Series 2020 A, Rev., 5.00%, 11/1/2026 | | |
Virginia Commonwealth University Health System Authority Series B, Rev., 5.00%, 7/1/2025 | | |
Virginia Public Building Authority | | |
Series 2015B, Rev., 5.00%, 8/1/2025 | | |
Series 2019A, Rev., 5.00%, 8/1/2025 | | |
Series B, Rev., 5.00%, 8/1/2025 | | |
Virginia Public Building Authority, Public Facilities Series C, Rev., 4.00%, 9/9/2024 | | |
| | |
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|
Virginia Public School Authority, Prince William County Series 2016, Rev., 5.00%, 8/1/2025 | | |
Virginia Resources Authority, Infrastructure Moral Obligation Series 2012B, Rev., 4.00%, 11/1/2024 | | |
| | |
|
Auburn School District No. 408 of King and Pierce Counties, Unlimited Tax GO, 5.00%, 12/1/2024 | | |
Bellevue Convention Center Authority Series 1994, Rev., NATL - RE, Zero Coupon, 2/1/2025 (b) | | |
Central Puget Sound Regional Transit Authority | | |
Series 2015S-1, Rev., 5.00%, 11/1/2025 (b) | | |
Series 2015S-1, Rev., 5.00%, 11/1/2025 | | |
Central Puget Sound Regional Transit Authority, Sales and Use Tax Series 2015S-1, Rev., 5.00%, 11/1/2025 (b) | | |
Central Washington University Rev., 4.00%, 5/1/2026 | | |
City of Kent, Limited Tax Series 2016, GO, 5.00%, 12/1/2025 | | |
City of Olympia Series 2019, GO, 5.00%, 12/1/2024 | | |
City of Olympia, Limited Tax GO, 5.00%, 12/1/2024 | | |
City of Redmond Utility Series 2014, Rev., 5.00%, 12/1/2024 (b) | | |
City of Redmond, Utility System Series 2014, Rev., 5.00%, 12/1/2024 (b) | | |
| | |
Series 2015A, GO, 5.00%, 6/1/2025 | | |
Series 2020A, GO, 5.00%, 8/1/2025 | | |
City of Seattle Municipal Light and Power | | |
Series 2019 B, Rev., 5.00%, 2/1/2025 | | |
Series 2015A, Rev., 5.00%, 5/1/2025 | | |
Series 2017 C, Rev., 5.00%, 9/1/2025 | | |
Series 2018 A, Rev., 5.00%, 1/1/2026 | | |
Series 2016B, Rev., 5.00%, 4/1/2026 | | |
Series 2020 A, Rev., 5.00%, 7/1/2026 | | |
City of Vancouver Series 2015B, GO, 5.00%, 12/1/2024 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Clark County School District No. 114 Evergreen Series 2019, GO, 5.00%, 12/1/2025 | | |
Clark County School District No. 37 Vancouver, Unlimited Tax Series 2017, GO, 5.00%, 12/1/2024 | | |
| | |
Series 2015A, GO, 5.00%, 7/1/2026 | | |
Series 2017, GO, 5.00%, 7/1/2026 | | |
| | |
Series 2015A, Rev., 5.00%, 1/1/2025 (b) | | |
Series 2018 B, Rev., 5.00%, 7/1/2025 | | |
County of King, Limited Tax Series 2015A, GO, 5.00%, 1/1/2025 (b) | | |
County of King, Sewer, Junior Lien Series 2020B, Rev., 0.88%, 1/1/2026 (c) | | |
County of Kitsap Series 2015, GO, 5.00%, 6/1/2025 | | |
County of Skagit, Limited Tax GO, 5.00%, 12/1/2024 | | |
County of Thurston Series 2016, GO, 5.00%, 12/1/2024 | | |
| | |
Series 2015-A, Rev., 5.00%, 7/1/2025 | | |
Series 2015C, Rev., 5.00%, 7/1/2025 | | |
Energy Northwest, Bonneville Power Administative Series 2016-A, Rev., 5.00%, 7/1/2025 | | |
Energy Northwest, Project 1 | | |
Series 2017-A, Rev., 5.00%, 7/1/2026 | | |
Series 2024 B, Rev., 5.00%, 7/1/2026 | | |
Series 2015-A, Rev., 5.00%, 7/1/2027 | | |
Series 2024 B, Rev., 5.00%, 7/1/2027 | | |
Energy Northwest, Project 3 Electric Series 2018C, Rev., 5.00%, 7/1/2025 | | |
Franklin County School District No. 1 Pasco Series 2015, GO, 5.00%, 12/1/2024 | | |
Franklin County School District No. 1 Pasco, Unlimited Tax Series 2015, GO, 5.00%, 12/1/2025 | | |
FYI Properties Series 2019, Rev., 5.00%, 6/1/2026 | | |
King and Snohomish Counties School District No. 417 Northshore, Unlimited Tax GO, 5.00%, 12/1/2024 | | |
| | |
|
|
King County Fire Protection District No. 39, Unlimited Tax Series 2015A, GO, 5.00%, 12/1/2024 | | |
King County Public Hospital District No. 2, Evergreen Healthcare, Limited Tax | | |
Series 2015, GO, 5.00%, 12/1/2024 (b) | | |
Series 2015B, GO, 5.00%, 12/1/2024 (b) | | |
King County School District No. 210 Federal Way, Unlimited Tax Series 2015, GO, 4.00%, 12/1/2024 | | |
King County School District No. 401 Highline, Unlimited Tax | | |
Series 2015, GO, 4.00%, 12/1/2024 | | |
Series 2017, GO, 5.00%, 12/1/2024 | | |
Series 2022B, GO, 5.00%, 12/1/2024 | | |
King County School District No. 403 Renton, Unlimited Tax | | |
| | |
Series 2017, GO, 4.00%, 12/1/2025 | | |
King County School District No. 405 Bellevue, Unlimited Tax | | |
| | |
Series 2016, GO, 5.00%, 12/1/2024 | | |
King County School District No. 411 Issaquah, Unlimited Tax | | |
| | |
Series 2015, GO, 5.00%, 12/1/2024 | | |
Series 2022, GO, 5.00%, 12/1/2025 | | |
Kittitas County School District No. 401 Ellensburg Series 2015, GO, 5.00%, 12/1/2024 | | |
Pierce County School District No. 10 Tacoma | | |
Series 2012, GO, 5.00%, 12/1/2024 | | |
Series 2014, GO, 5.25%, 12/1/2024 (b) | | |
Pierce County School District No. 10 Tacoma, Unlimited Tax Series 2015, GO, 5.00%, 12/1/2025 (b) | | |
Pierce County School District No. 3 Puyallup, Unlimited Tax Series 2022 B, GO, 5.00%, 12/1/2024 | | |
Pierce County School District No. 401 Peninsula Series 2020, GO, 5.00%, 12/1/2024 | | |
Port of Seattle, Intermediate Lien | | |
Series 2022A, Rev., 5.00%, 8/1/2025 | | |
Series 2016, Rev., 5.00%, 2/1/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Series 2022A, Rev., 5.00%, 8/1/2026 | | |
Series 2016, Rev., 5.00%, 2/1/2027 | | |
Series A, Rev., 5.00%, 5/1/2027 | | |
| | |
Series 2022A, Rev., 5.00%, 8/1/2028 | | |
Series 2016, Rev., 5.00%, 2/1/2029 | | |
Series 2022A, Rev., 5.00%, 8/1/2029 | | |
Port of Tacoma, Limited Tax Series 2016 A, GO, 5.00%, 12/1/2024 | | |
Public Utility District No. 1 of Lewis County, Cowlitz Falls Hydroelec Project Series 2013, Rev., 5.25%, 10/1/2028 | | |
RBC Municipal Products, Inc. Trust, Floater Certificates Series G-123, Rev., VRDO, LOC : Royal Bank of Canada, 3.04%, 9/12/2024 (c) (e) | | |
Snohomish County School District No. 15 Edmonds Series 2014, GO, 5.00%, 9/2/2024 | | |
Snohomish County School District No. 201 Snohomish Series 2016, GO, 5.00%, 12/1/2024 | | |
Snohomish County School District No. 6 Mukilteo Series 2022, GO, 5.00%, 12/1/2024 | | |
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Series 2020 D, COP, 5.00%, 7/1/2025 | | |
Series 2022 B, COP, 5.00%, 7/1/2025 | | |
Series 2019D, COP, 5.00%, 7/1/2026 | | |
Series R-2015D, GO, 5.00%, 7/1/2028 | | |
State of Washington Motor Vehicle Fuel Tax | | |
Series R-2020B, GO, 5.00%, 1/1/2025 | | |
Series R-2016C, GO, 5.00%, 7/1/2025 | | |
Series R-2015F, GO, 5.00%, 7/1/2027 | | |
Series R-2015F, GO, 5.00%, 7/1/2028 | | |
State of Washington, Various Purpose | | |
Series 2021C, COP, 5.00%, 1/1/2025 | | |
Series 2015B, GO, 5.00%, 2/1/2025 | | |
Series R-2022C, GO, 5.00%, 7/1/2025 | | |
Series 2017A, GO, 5.00%, 8/1/2025 | | |
Series 2020A, GO, 5.00%, 8/1/2025 | | |
Series R-2017 C, GO, 5.00%, 8/1/2025 | | |
Series R-2018 D, GO, 5.00%, 8/1/2025 | | |
Series R-2018C, GO, 5.00%, 8/1/2025 | | |
Series 2019 C, GO, 5.00%, 2/1/2026 | | |
Series 2020A, GO, 5.00%, 8/1/2026 | | |
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Series R-2022C, GO, 4.00%, 7/1/2027 | | |
Series R-2015C, GO, 5.00%, 7/1/2028 | | |
Series 2024 A, GO, 5.00%, 8/1/2028 | | |
| | |
Series 2015C, Rev., 5.00%, 12/1/2024 | | |
Series A, Rev., 5.00%, 12/1/2024 | | |
Series 2020C, Rev., 5.00%, 4/1/2026 (b) | | |
Series 2020C, Rev., 5.00%, 4/1/2026 | | |
Washington Health Care Facilities Authority, Fred Hutchinson Cancer Research Center Series 2015, Rev., 5.00%, 7/1/2025 (b) | | |
Washington Health Care Facilities Authority, Multicare Health System Series B, Rev., 5.00%, 8/15/2026 | | |
Washington Health Care Facilities Authority, Providence Health and Services | | |
Series 2012A, Rev., 5.00%, 10/1/2024 | | |
Series 2012A, Rev., 5.00%, 10/1/2025 | | |
Series 2012A, Rev., 5.00%, 10/1/2026 | | |
Washington Health Care Facilities Authority, Seattle Cancer Care Alliance | | |
Series 2021, Rev., 5.00%, 12/1/2024 (e) | | |
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Washington State Housing Finance Commission Series A, Rev., 7.00%, 7/1/2025 (b) (e) | | |
Washington State Housing Finance Commission, Herons Key Senior Living Series A, Rev., 7.00%, 7/1/2025 (b) (e) | | |
Whatcom County School District No. 501 Bellingham Series 2023, GO, 5.00%, 12/1/2024 | | |
Whitman County School District No. 267 Pullman, Unlimited Tax Series 2016, GO, 5.00%, 12/1/2024 | | |
Yelm Community School District No. 2 Series 2019, GO, 5.00%, 12/1/2024 | | |
| | |
|
State of West Virginia Series 2015A, GO, 5.00%, 6/1/2025 | | |
West Virginia Commissioner of Highways | | |
Series 2017A, Rev., 5.00%, 9/1/2027 | | |
Series 2017A, Rev., 5.00%, 9/1/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
West Virginia — continued |
West Virginia Economic Development Authority, Correctional Juvenile and Public Safety Facilities Series 2012A, Rev., 5.00%, 6/1/2025 | | |
West Virginia Economic Development Authority, Solid Waste Disposal Facilities, Appalachian Power Co. Amos Project Series 2010A, Rev., 0.63%, 12/15/2025 (c) | | |
West Virginia Hospital Finance Authority Series 2016A, Rev., 5.00%, 6/1/2025 | | |
West Virginia Water Development Authority Series 2016 A, Rev., 5.00%, 10/1/2024 | | |
| | |
|
City of De Pere Series 2013A, GO, 3.38%, 12/1/2026 | | |
City of Madison Series 2016A, GO, 4.00%, 10/1/2024 | | |
City of Madison Sewer System Series 2020-D, Rev., 5.00%, 12/1/2024 | | |
City of Watertown Rev., 4.00%, 10/1/2025 | | |
City of Waukesha Series 2023B, GO, 5.00%, 10/1/2024 | | |
County of Milwaukee Series 2019 A, GO, 5.00%, 10/1/2024 | | |
Public Finance Authority, Rose Villa Project Series 2014A, Rev., 5.75%, 11/15/2024 (b) (e) | | |
| | |
Series 2014-4, GO, 5.00%, 11/1/2024 | | |
Series 2016-2, GO, 5.00%, 11/1/2024 | | |
Series 2019 A, Rev., 5.00%, 5/1/2025 (b) | | |
Series 2016-1, GO, 5.00%, 11/1/2025 | | |
Series 2016-2, GO, 5.00%, 11/1/2025 | | |
Series 2017-2, GO, 5.00%, 11/1/2025 | | |
Series 2017 B, Rev., 5.00%, 5/1/2026 (b) | | |
Series 2024 1, GO, 5.00%, 5/1/2026 | | |
Series 2016A, GO, 5.00%, 5/1/2027 | | |
State of Wisconsin Environmental Improvement Fund | | |
Series 2017 A, Rev., 5.00%, 6/1/2025 (b) | | |
Series 2018A, Rev., 5.00%, 6/1/2025 | | |
Series 2017 A, Rev., 5.00%, 6/1/2027 | | |
| | |
|
|
Wauwatosa School District Series 2019B, GO, 5.00%, 9/1/2024 | | |
Wisconsin Department of Transportation Series 2015- 1, Rev., 5.00%, 7/1/2026 | | |
Wisconsin Health and Educational Facilities Authority, Advocate Aurora Health Credit Series 2018B-4, Rev., 5.00%, 1/29/2025 (c) | | |
Wisconsin Health and Educational Facilities Authority, Advocate Aurora Health Credit Group | | |
Series 2018B-2, Rev., 5.00%, 6/24/2026 (c) | | |
Series 2018C1, Rev., 5.00%, 7/29/2026 (c) | | |
Wisconsin Health and Educational Facilities Authority, Ascension Health Credit Series 2013B-5, Rev., 5.00%, 12/3/2024 (c) | | |
Wisconsin Health and Educational Facilities Authority, Ascension Health Credit Group | | |
Series 2016 A, Rev., 5.00%, 11/15/2027 | | |
Series 2016 A, Rev., 5.00%, 11/15/2029 | | |
Wisconsin Health and Educational Facilities Authority, Ascension Senior Credit Group | | |
Series 2016A, Rev., 5.00%, 11/15/2024 | | |
Series 2019A, Rev., 5.00%, 11/15/2024 | | |
Series 2016A, Rev., 5.00%, 11/15/2026 | | |
Series 2016A, Rev., 5.00%, 11/15/2028 | | |
Wisconsin Health and Educational Facilities Authority, Froedtert Health, Inc., Obligated Group Series 2021B, Rev., VRDO, LIQ : US Bank NA, 2.55%, 9/3/2024 (c) | | |
Wisconsin Health and Educational Facilities Authority, Hospital Sisters Services, Inc., Obligated Group Series 2014A, Rev., 5.00%, 11/15/2026 | | |
Wisconsin Health and Educational Facilities Authority, Marquette University Series 2019, Rev., 5.00%, 10/1/2024 | | |
Wisconsin Health and Educational Facilities Authority, Mercy Alliance, Inc. Rev., 5.00%, 6/1/2026 | | |
Wisconsin Health and Educational Facilities Authority, Milwaukee Regional Medical Center Thermal Services, Inc. Series 2018, Rev., 5.00%, 4/1/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Wisconsin Health and Educational Facilities Authority, The Monroe Clinic, Inc. | | |
Rev., 3.00%, 8/15/2025 (b) | | |
Rev., 4.00%, 8/15/2025 (b) | | |
Wisconsin Health and Educational Facilities Authority, Unity Point Health | | |
Series 2014A, Rev., 5.00%, 12/1/2024 | | |
Series 2014A, Rev., 5.00%, 12/1/2025 | | |
| | |
Total Municipal Bonds
(Cost $2,493,644,172) | | |
| | |
Short-Term Investments — 10.0% |
Investment Companies — 10.0% |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.24% (g) (h)
(Cost $276,721,488) | | |
Total Investments — 100.1%
(Cost $2,770,365,660) | | |
Liabilities in Excess of Other Assets — (0.1)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Insured by Assured Guaranty Corp. |
| Insured by Assured Guaranty Municipal Corp. |
| Insured by American Municipal Bond Assurance Corp. |
| |
| |
| |
| Certificate of Participation |
| |
| Federal Housing Administration |
| |
| Federal Home Loan Mortgage Corp. |
| |
| |
| |
| |
| |
| Metropolitan Transportation Authority |
| Insured by National Public Finance Guarantee Corp. |
| Permanent School Fund Guaranteed |
| Qualified School Bond Loan Fund |
| Revenue Anticipation Note |
| |
| |
| The Securities Industry and Financial Markets Association |
| Secured Overnight Financing Rate |
| Variable Rate Demand Obligation |
| Amount rounds to less than 0.1% of net assets. |
| The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
| Security is prerefunded or escrowed to maturity. | |
| 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 August 31, 2024. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2024. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| 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. | |
| The rate shown is the current yield as of August 31, 2024. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF ASSETS AND LIABILITIESAS OF August 31, 2024 (Unaudited)
| | JPMorgan
Core Plus
Bond ETF | | JPMorgan
International
Bond
Opportunities ETF |
| | | | |
Investments in non-affiliates, at value | | | | |
Investments in affiliates, at value | | | | |
Restricted cash for delayed delivery securities | | | | |
| | | | |
Foreign currency, at value | | | | |
Deposits at broker for futures contracts | | | | |
Deposits at broker for centrally cleared swaps | | | | |
| | | | |
Investment securities sold | | | | |
Investment securities sold — delayed delivery securities | | | | |
| | | | |
Interest from non-affiliates | | | | |
Dividends from non-affiliates | | | | |
Dividends from affiliates | | | | |
| | | | |
Variation margin on futures contracts | | | | |
Variation margin on centrally cleared swaps | | | | |
Unrealized appreciation on forward foreign currency exchange contracts | | | | |
| | | | |
| | | | |
| | | | |
TBA short commitments, at value | | | | |
Investment securities purchased | | | | |
Investment securities purchased — delayed delivery securities | | | | |
Variation margin on futures contracts | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | | | |
Variation margin on centrally cleared swaps | | | | |
Outstanding OTC swap contracts, at value | | | | |
| | | | |
Management fees (See Note 3.A.) | | | | |
Deferred foreign capital gains tax | | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF ASSETS AND LIABILITIESAS OF August 31, 2024 (Unaudited) (continued)
| | JPMorgan Core Plus Bond ETF | | JPMorgan International Bond Opportunities ETF |
| | | | |
| | | | |
Total distributable earnings (loss) | | | | |
| | | | |
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001) | | | | |
Net asset value, per share | | | | |
Cost of investments in non-affiliates | | | | |
Cost of investments in affiliates | | | | |
| | | | |
| | | | |
Net upfront payments/(receipts) on centrally cleared swaps | | | | |
Net upfront payments on OTC swap contracts | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | JPMorgan Short
Duration Core
Plus ETF | JPMorgan
Ultra-Short
Income ETF | JPMorgan
Ultra-Short
Municipal
Income ETF |
| | | | |
Investments in non-affiliates, at value | | | | |
Investments in affiliates, at value | | | | |
Investments of cash collateral received from securities loaned, at value (See Note 2.F.) | | | | |
Repurchase agreements, at value | | | | |
| | | | |
Foreign currency, at value | | | | |
Deposits at broker for futures contracts | | | | |
| | | | |
Investment securities sold | | | | |
| | | | |
Interest from non-affiliates | | | | |
Dividends from affiliates | | | | |
Securities lending income (See Note 2.F.) | | | | |
Variation margin on futures contracts | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Investment securities purchased | | | | |
Investment securities purchased — delayed delivery securities | | | | |
Collateral received on securities loaned (See Note 2.F.) | | | | |
Variation margin on futures contracts | | | | |
| | | | |
Management fees (See Note 3.A.) | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total distributable earnings (loss) | | | | |
| | | | |
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001) | | | | |
Net asset value, per share | | | | |
Cost of investments in non-affiliates | | | | |
Cost of investments in affiliates | | | | |
Cost of repurchase agreements | | | | |
| | | | |
Investment securities on loan, at value (See Note 2.F.) | | | | |
Cost of investment of cash collateral (See Note 2.F.) | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF OPERATIONSFOR THE SIX MONTHS ENDED August 31, 2024 (Unaudited)
| | JPMorgan
Core Plus
Bond ETF | | JPMorgan
International
Bond
|
| | | | |
Interest income from non-affiliates | | | | |
Interest income from affiliates | | | | |
Dividend income from non-affiliates | | | | |
Dividend income from affiliates | | | | |
Foreign taxes withheld (net) | | | | |
| | | | |
| | | | |
Management fees (See Note 3.A.) | | | | |
Interest expense to non-affiliates | | | | |
Interest expense to affiliates | | | | |
| | | | |
| | | | |
Net investment income (loss) | | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on transactions from: | | | | |
Investments in non-affiliates | | | | |
Investments in affiliates | | | | |
| | | | |
Foreign currency transactions | | | | |
Forward foreign currency exchange contracts | | | | |
| | | | |
| | | | |
Change in net unrealized appreciation/depreciation on: | | | | |
Investments in non-affiliates | | | | |
Investments in affiliates | | | | |
| | | | |
Foreign currency translations | | | | |
Forward foreign currency exchange contracts | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Net realized/unrealized gains (losses) | | | | |
Change in net assets resulting from operations | | | | |
(a)
Net of foreign capital gains tax of $13,184.
(b)
Net of change in foreign capital gains tax of $(3,950)
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | JPMorgan Short
Duration Core
Plus ETF | JPMorgan
Ultra-Short
Income ETF | JPMorgan
Ultra-Short
Municipal
Income ETF |
| | | | |
Interest income from non-affiliates | | | | |
Interest income from affiliates | | | | |
Dividend income from affiliates | | | | |
Income from securities lending (net) (See Note 2.F.) | | | | |
| | | | |
| | | | |
Management fees (See Note 3.A.) | | | | |
Interest expense to non-affiliates | | | | |
Interest expense to affiliates | | | | |
| | | | |
Net investment income (loss) | | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on transactions from: | | | | |
Investments in non-affiliates | | | | |
Investments in affiliates | | | | |
| | | | |
| | | | |
| | | | |
Change in net unrealized appreciation/depreciation on: | | | | |
Investments in non-affiliates | | | | |
Investments in affiliates | | | | |
| | | | |
Foreign currency translations | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Net realized/unrealized gains (losses) | | | | |
Change in net assets resulting from operations | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETSFOR THE PERIODS INDICATED
| | JPMorgan Core
Plus Bond ETF |
| Six Months Ended
August 31, 2024
(Unaudited) | Period Ended
February 29, 2024 (a) | Six Months Ended
August 31, 2024
(Unaudited) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
Net increase in shares from transactions | | | | |
(a)
Commencement of operations was October 11, 2023.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | JPMorgan International Bond
Opportunities ETF |
| Six Months Ended
August 31, 2024
(Unaudited) | Year Ended
February 29, 2024 | Six Months Ended
August 31, 2024
(Unaudited) | Year Ended
February 29, 2024 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
Net increase in shares from transactions | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETSFOR THE PERIODS INDICATED (continued)
| | JPMorgan Short
Duration Core Plus ETF |
| Six Months Ended
August 31, 2024
(Unaudited) | Year Ended
February 29, 2024 | Six Months Ended
August 31, 2024
(Unaudited) | Year Ended
February 29, 2024 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
Net increase in shares from transactions | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan Ultra-Short
Income ETF | JPMorgan Ultra-Short Municipal
Income ETF |
| Six Months Ended
August 31, 2024
(Unaudited) | Year Ended
February 29, 2024 | Six Months Ended
August 31, 2024
(Unaudited) | Year Ended
February 29, 2024 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
Net increase (decrease) in shares from share transactions | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
FINANCIAL HIGHLIGHTSFOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net investment
income
(loss) (b) | Net realized
and unrealized
gains
(losses)
on investments | Total from
investment
operations | | | |
| | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | |
October 11, 2023 (f) through February 29, 2024 | | | | | | | |
JPMorgan Core Plus Bond ETF | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | |
Year Ended February 29, 2024 | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
| | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | |
Year Ended February 29, 2024 | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
October 28, 2021 (f) through February 28, 2022 | | | | | | | |
JPMorgan International Bond Opportunities ETF | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | |
Year Ended February 29, 2024 | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Prior to December 9, 2019, the 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 the 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 the 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. |
| Commencement of operations. |
| 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. |
| 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. |
| 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| | | | | Ratios to average net assets (a) | |
Net asset
value,
end of
period | | | Market
price
total
return (c)(e) | | | Net
investment
income
(loss) | Expenses
without waivers
and reimbursements | Portfolio
turnover
rate (c) |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
FINANCIAL HIGHLIGHTSFOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net investment
income
(loss) (b) | Net realized
and unrealized
gains
(losses)
on investments | Total from
investment
operations | | | |
| | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | |
Year Ended February 29, 2024 | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
JPMorgan Short Duration Core Plus ETF | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | |
Year Ended February 29, 2024 | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
March 1, 2021 (g) through February 28, 2022 | | | | | | | |
JPMorgan Ultra-Short Income ETF | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | |
Year Ended February 29, 2024 | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
JPMorgan Ultra-Short Municipal Income ETF | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | |
Year Ended February 29, 2024 | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Prior to December 9, 2019, the 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 the 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 the 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. |
| 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. |
| Commencement of operations. |
| 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. |
| Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| | | | | Ratios to average net assets (a) | |
Net asset
value,
end of
period | | | Market
price
total
return (c)(e) | | | Net
investment
income
(loss) | Expenses
without waivers
and reimbursements | Portfolio
turnover
rate (c) |
| | | | | | | | |
| | | | | | | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited)
1. Organization
J.P. Morgan Exchange-Traded Fund Trust (the “Trust”) was formed on February 25, 2010, and is governed by a Declaration of Trust as amended and restated February 19, 2014, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 8 separate funds of the Trust (each, a "Fund" and collectively, the "Funds") covered by this report:
| Diversification Classification |
| |
JPMorgan Core Plus Bond ETF | |
| |
JPMorgan International Bond Opportunities ETF | |
| |
JPMorgan Short Duration Core Plus ETF | |
JPMorgan Ultra-Short Income ETF | |
JPMorgan Ultra-Short Municipal Income ETF | |
The investment objective of JPMorgan Active Bond ETF (“Active Bond ETF”) is to seek to deliver total return from a portfolio of investment grade intermediate- and long-term bonds.
The investment objective of JPMorgan Core Plus Bond ETF (“Core Plus Bond ETF”) is to seek a high level of current income by investing primarily in a diversified portfolio of high-, medium- and low-grade debt securities.
The investment objective of JPMorgan Income ETF (“Income ETF”) is to seek to provide income with a secondary objective of capital appreciation.
The investment objective of JPMorgan International Bond Opportunities ETF (“International Bond Opportunities ETF”) is to seek to provide total return.
The investment objective of JPMorgan Municipal ETF (“Municipal ETF”) is to seek to provide monthly dividends, which are excluded from gross income, and to protect the value of your investment by investing primarily in municipal obligations. For purposes of the Fund’s investment objective, “gross income” means gross income for federal income tax purposes.
The investment objective of JPMorgan Short Duration Core Plus ETF (“Short Duration Core Plus ETF”) is to seek total return, consistent with preservation of capital.
The investment objective of JPMorgan Ultra-Short Income ETF (“Ultra-Short Income ETF”) is to seek to provide current income while seeking to maintain a low volatility of principal.
The investment objective of JPMorgan Ultra-Short Municipal Income ETF (“Ultra-Short Municipal Income ETF”) is to seek to provide as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as adviser (the “Adviser”) and administrator (the “Administrator”) to the Funds.
Shares of each Fund are listed and traded at market price on an exchange as follows:
| |
| New York Stock Exchange LLC |
| |
| |
International Bond Opportunities ETF | |
| |
Short Duration Core Plus ETF | |
| |
Ultra-Short Municipal Income ETF | |
Market prices for the Funds’ shares may be different from their net asset value (“NAV”).
The Funds issue and redeem their shares on a continuous basis, through JPMorgan Distribution Services, Inc. (the “Distributor” or “JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, at NAV in large blocks of shares, referred to as “Creation Units”. Creation Units are issued and redeemed in exchange for a basket of securities and/or cash. Shares are generally traded in the secondary market in amounts less than a Creation
Unit at market prices that change throughout the day. Only individuals or institutions that have entered into an authorized participant agreement with the Distributor may do business directly with the Funds (each, an “Authorized Participant”).
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments— Investments are valued in accordance with GAAP and the Funds' valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the "Board"), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
Under Section 2(a)(41) of the 1940 Act, the Board is required to determine fair value for securities that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Funds on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of investments held in the Funds. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
A market-based approach is primarily used to value the Funds' investments. Investments for which market quotations are not readily available are fair valued using prices supplied by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the NAVs of the Funds are calculated on a valuation date. Certain foreign equity instruments are valued by applying international fair value factors provided by approved Pricing Services. The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
See the tables on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by Active Bond ETF, Core Plus Bond ETF and Income ETF at August 31, 2024.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
The various inputs that are used in determining the valuation of the Funds' investments are summarized into the three broad levels listed below.
•
Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.
•
Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.
•
Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds' assumptions in determining the fair value of investments).
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments ("SOIs"):
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
Foreign Government Securities | | | | |
Mortgage-Backed Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | | | | |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
Diversified Telecommunication Services | | | | |
Health Care Providers & Services | | | | |
Oil, Gas & Consumable Fuels | | | | |
| | | | |
Wireless Telecommunication Services | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Core Plus Bond ETF (continued) | | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Commercial Services & Supplies | | | | |
| | | | |
Construction & Engineering | | | | |
| | | | |
| | | | |
Consumer Staples Distribution & Retail | | | | |
| | | | |
| | | | |
Diversified Consumer Services | | | | |
| | | | |
Diversified Telecommunication Services | | | | |
| | | | |
| | | | |
Electronic Equipment, Instruments & Components | | | | |
Energy Equipment & Services | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Health Care Equipment & Supplies | | | | |
Health Care Providers & Services | | | | |
| | | | |
| | | | |
| | | | |
Hotels, Restaurants & Leisure | | | | |
| | | | |
| | | | |
Independent Power and Renewable Electricity Producers | | | | |
| | | | |
| | | | |
| | | | |
Interactive Media & Services | | | | |
| | | | |
| | | | |
Life Sciences Tools & Services | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
Core Plus Bond ETF (continued) | | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
Mortgage Real Estate Investment Trusts (REITs) | | | | |
| | | | |
| | | | |
Oil, Gas & Consumable Fuels | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Real Estate Management & Development | | | | |
| | | | |
| | | | |
Semiconductors & Semiconductor Equipment | | | | |
| | | | |
| | | | |
| | | | |
Technology Hardware, Storage & Peripherals | | | | |
Textiles, Apparel & Luxury Goods | | | | |
| | | | |
Trading Companies & Distributors | | | | |
Transportation Infrastructure | | | | |
| | | | |
Wireless Telecommunication Services | | | | |
| | | | |
Foreign Government Securities | | | | |
| | | | |
Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
Forward Foreign Currency Exchange Contracts | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
Forward Foreign Currency Exchange Contracts | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | | | | |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Commercial Services & Supplies | | | | |
| | | | |
Construction & Engineering | | | | |
| | | | |
| | | | |
Consumer Staples Distribution & Retail | | | | |
| | | | |
| | | | |
Diversified Consumer Services | | | | |
| | | | |
Diversified Telecommunication Services | | | | |
| | | | |
| | | | |
Electronic Equipment, Instruments & Components | | | | |
Energy Equipment & Services | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Health Care Equipment & Supplies | | | | |
Health Care Providers & Services | | | | |
| | | | |
| | | | |
Hotels, Restaurants & Leisure | | | | |
| | | | |
| | | | |
Independent Power and Renewable Electricity Producers | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
Oil, Gas & Consumable Fuels | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Real Estate Management & Development | | | | |
Semiconductors & Semiconductor Equipment | | | | |
| | | | |
| | | | |
| | | | |
Technology Hardware, Storage & Peripherals | | | | |
Textiles, Apparel & Luxury Goods | | | | |
Trading Companies & Distributors | | | | |
Wireless Telecommunication Services | | | | |
| | | | |
Foreign Government Securities | | | | |
| | | | |
Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
| | | | |
| | | | |
Total Liabilities in Securities Sold Short | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | | | | |
International Bond Opportunities ETF | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
| | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
Foreign Government Securities | | | | |
| | | | |
International Bond Opportunities ETF (continued) | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
Forward Foreign Currency Exchange Contracts | | | | |
| | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
Forward Foreign Currency Exchange Contracts | | | | |
| | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | | | | |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | | | | |
Short Duration Core Plus ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
Short Duration Core Plus ETF (continued) | | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
| | | | |
| | | | |
Commercial Services & Supplies | | | | |
| | | | |
Construction & Engineering | | | | |
| | | | |
Consumer Staples Distribution & Retail | | | | |
| | | | |
Diversified Telecommunication Services | | | | |
| | | | |
| | | | |
Electronic Equipment, Instruments & Components | | | | |
Energy Equipment & Services | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Health Care Equipment & Supplies | | | | |
Health Care Providers & Services | | | | |
| | | | |
Hotels, Restaurants & Leisure | | | | |
| | | | |
| | | | |
Independent Power and Renewable Electricity Producers | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Mortgage Real Estate Investment Trusts (REITs) | | | | |
| | | | |
Oil, Gas & Consumable Fuels | | | | |
| | | | |
| | | | |
| | | | |
Real Estate Management & Development | | | | |
Semiconductors & Semiconductor Equipment | | | | |
| | | | |
| | | | |
| | | | |
Technology Hardware, Storage & Peripherals | | | | |
Textiles, Apparel & Luxury Goods | | | | |
Trading Companies & Distributors | | | | |
Wireless Telecommunication Services | | | | |
| | | | |
Short Duration Core Plus ETF (continued) | | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
Foreign Government Securities | | | | |
Mortgage-Backed Securities | | | | |
| | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
U.S. Treasury Obligations | | | | |
Total Short-Term Investments | | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | | | | |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Investment of Cash Collateral from Securities Loaned | | | | |
| | | | |
Total Short-Term Investments | | | | |
Total Investments in Securities | | | | |
Ultra-Short Municipal Income ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
| Balance as of
February 29,
2024 | | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | | | | | Balance as of
August 31,
2024 |
Investments in Securities: | | | | | | | | | |
| | | | | | | | | |
Collateralized Mortgage Obligations | | | | | | | | | |
Commercial Mortgage-Backed Securities | | | | | | | | | |
Mortgage-Backed Securities | | | | | | | | | |
| | | | | | | | | |
|
| Purchases include all purchases of securities and securities received in corporate actions. |
| Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at August 31, 2024, which were valued using significant unobservable inputs (level 3) amounted to $397,089.
There were no significant transfers into or out of level 3 for the six months ended August 31, 2024.
| Balance as of
February 29,
2024 | | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | | | | | Balance as of
August 31,
2024 |
| | | | | | | | | |
| | | | | | | | | |
Collateralized Mortgage Obligations | | | | | | | | | |
Commercial Mortgage-Backed Securities | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
|
| Purchases include all purchases of securities and securities received in corporate actions. |
| Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at August 31, 2024, which were valued using significant unobservable inputs (level 3) amounted to $2,164,678.
There were no significant transfers into or out of level 3 for the six months ended August 31, 2024.
| Balance as of
February 29,
2024 | | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | | | | | | Balance as of
August 31,
2024 |
Investments in Securities: | | | | | | | | | | |
| | | | | | | | | | |
Collateralized Mortgage Obligations | | | | | | | | | | |
Commercial Mortgage-Backed Securities | | | | | | | | | | |
| | | | | | | | | | |
Mortgage-Backed Securities | | | | | | | | | | |
| | | | | | | | | | |
|
| Purchases include all purchases of securities and securities received in corporate actions. |
| Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
| Certain Level 3 investments were re-classified between Collateralized Mortgage Obligations and Asset-Backed Securities. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at August 31, 2024, which were valued using significant unobservable inputs (level 3) amounted to $55,920.
There were no significant transfers into or out of level 3 for the six months ended August 31, 2024.
Short Duration Core Plus ETF | Balance as of
February 29,
2024 | | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | | | | | Balance as of
August 31,
2024 |
Investments in Securities: | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
|
| Purchases include all purchases of securities and securities received in corporate actions. |
| Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at August 31, 2024, which were valued using significant unobservable inputs (level 3) amounted to $(41,191).
There were no significant transfers into or out of level 3 for the six months ended August 31, 2024.
The significant unobservable inputs used in the fair value measurement of the Funds' investments are listed below. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default rate may decrease (increase) the fair
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
Active
Bond ETF
Quantitative Information about Level 3 Fair Value Measurements #
| Fair Value at August 31, 2024 | | | Range (Weighted Average) (a) |
| | | | |
| | | Yield (Discount Rate of Cash Flows) | |
| | | | |
| | | | |
| | | | |
| | | Yield (Discount Rate of Cash Flows) | |
Collateralized Mortgage Obligations | | | | |
| | | | |
| The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At August 31, 2024, the value of these investments was $21,664,944. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
| Unobservable inputs were weighted by the relative fair value of the instruments. |
Core Plus
Bond ETF
Quantitative Information about Level 3 Fair Value Measurements #
| Fair Value at August 31, 2024 | | | Range (Weighted Average) (a) |
| | | | |
| | | | |
| | | Yield (Discount Rate of Cash Flows) | |
| | | | |
| | | Yield (Discount Rate of Cash Flows) | |
| | | | |
Collateralized Mortgage
Obligations | | | | |
| | | | 0.01% - 284.20% (202.47%) |
| | | | |
| | | | |
| | | | |
| The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At August 31, 2024, the value of these investments was $119,779,965. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
| Unobservable inputs were weighted by the relative fair value of the instruments. |
Income ETF
Quantitative Information about Level 3 Fair Value Measurements #
| Fair Value at August 31, 2024 | | | Range (Weighted Average) (a) |
| | | | |
| | | | |
| | | Yield (Discount Rate of Cash Flows) | |
| | | | |
| | | | 0.01% - 284.20% (203.45%) |
| | | | |
| | | | |
| | | | |
| The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At August 31, 2024, the value of these investments was $ 19,933,799. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
| Unobservable inputs were weighted by the relative fair value of the instruments. |
B. Restricted Securities— Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of August 31, 2024, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
C. Repurchase Agreements— Ultra-Short Income ETF may enter into repurchase agreement transactions that meet the credit guidelines of JPMIM. Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price. The Fund requires that the collateral received in a repurchase agreement transaction be transferred to a custodian in a manner sufficient to enable the Fund to obtain collateral in the event of a counterparty default. If the counterparty defaults and the fair value of the collateral declines, realization of the collateral by the Fund may be delayed or limited. Repurchase agreement collateral may be held in segregated accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan.
The Fund's repurchase agreements are not subject to master netting arrangements.
D. Loan Assignments— Core Plus Bond ETF and Income ETF invested in debt instruments that are interests in amounts owed to lenders or lending syndicates (a “Lender”) by corporate, governmental or other borrowers (a “Borrower”). A loan is often administered by a bank or other financial institution (the “Agent”) that acts as Agent for all holders. The Agent administers the terms of the loan, as specified in the loan agreement. The invested in loan assignments of all or a portion of the loans. When a Fund purchases a loan assignment, the Fund has direct rights against the Borrower on a loan. In addition, it is unclear whether loans, loan assignments and other forms of direct indebtedness offer securities law protections against fraud and misrepresentation. Also, because JPMIM may wish to invest in publicly traded securities of a Borrower, it may not have access to material non-public information regarding the Borrower to which other investors have access. Although certain loans are secured by collateral, a Fund could experience delays or limitations in realizing the value on such collateral or have its interest subordinated to other indebtedness of the Borrower.
Loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid when purchased, may become illiquid and difficult to value. In addition, the settlement period for loans is uncertain as there is no standardized settlement schedule applicable to such investments. Therefore, the Fund may not receive the proceeds from a sale of such investments for a period after the sale.
Certain loan assignments are also subject to the risks associated with high yield securities described under Note 7.
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
E. When-Issued Securities, Delayed Delivery Securities and Forward Commitments— The Funds purchased when-issued securities, including To-Be-Announced securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.
International Bond Opportunities ETF may be required to post or receive collateral for delayed delivery securities in the form of cash or securities under a Master Securities Forward Transaction Agreement with the counterparties (each, an “MSFTA”). The collateral requirements are generally calculated by netting the mark-to-market amount for a Fund's transactions under the MSFTA and comparing that amount to the value of the collateral pledged by a Fund and the counterparty. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by a Fund is held in a segregated account at the Fund's custodian bank and is included on the Statements of Assets and Liabilities as Restricted cash. Collateral received by the Fund is held in a separate segregated account maintained by JPMCB. These amounts are not reflected on the Fund's Statements of Assets and Liabilities.
Active Bond ETF, Core Plus Bond ETF, Income ETF, Municipal ETF, Short Duration Core Plus ETF, Ultra-Short Income ETF and Ultra-Short Municipal Income ETF had when-issued securities, delayed delivery securities or forward commitments outstanding as of August 31, 2024, which are shown as a Receivable for Investment securities sold — delayed delivery securities and/or a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statements of Assets and Liabilities. The values of these securities held at August 31, 2024 are detailed on the SOIs, if any.
The Funds' delayed delivery securities collateral requirements and collateral posted or received by counterparty as of August 31, 2024 are as follows:
| | | |
| | | |
| | |
| Wells Fargo Securities LLC | |
| | | |
| | |
| | |
F. Securities Lending — The Funds, except International Bond Opportunities ETF, are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of August 31, 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) |
| | | |
|
| Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived management fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.13% to 0.06%. For the six months ended August 31, 2024, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
Short Duration Core Plus ETF | |
| |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).
Active Bond ETF, Core Plus Bond ETF, Income ETF, International Bond Opportunities ETF, Municipal ETF, Short Duration Core Plus ETF and Ultra-Short Municipal Income ETF did not lend out any securities during the year ended February 29, 2024.
G. Investment Transactions with Affiliates— The Funds invested in Underlying Funds advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. The Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
|
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
|
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
|
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
International Bond Opportunities ETF |
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
|
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.24% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
Short Duration Core Plus ETF |
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
| Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
|
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.34% (a) (b) | | | | | | | | | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
Ultra-Short Income ETF (continued) |
For the six months ended August 31, 2024 |
| | | | | Change in Unrealized Appreciation/ (Depreciation) | | | | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (a) (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. |
| The rate shown is the current yield as of August 31, 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 six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.24% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
H. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund's books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets
and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
I. Derivatives—The Funds used derivative instruments including futures contracts, forward foreign currency exchange contracts and swaps, in connection with their respective investment strategy. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Funds may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing the Funds to close out their position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds' risk of loss associated with these instruments may exceed their value, as recorded on the Statements of Assets and Liabilities.
The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds' ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds' net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Funds often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Funds. The ISDA agreements give the Funds and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable against collateral posted to a segregated account by one party for the benefit of the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark-to-market gains to the Funds.
Notes I(1) — I(3) below describe the various derivatives used by the Funds.
(1) Futures Contracts— The Funds used treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments. The Funds also purchased futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Funds to interest rate risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds' credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Funds' futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(2) Forward Foreign Currency Exchange Contracts— Core Plus Bond ETF, Income ETF and International Bond Opportunities ETF are exposed to foreign currency risks associated with some or all of their portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Funds also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of the foreign currency.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
foreign currency exchange contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Funds also record a realized gain or loss, upon settlement, when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty.
The Funds' forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions).
The Funds may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(3) Swaps— Core Plus Bond ETF, Income ETF, International Bond Opportunities ETF and Short Duration Core Plus ETF engaged in various swap transactions to manage credit and interest rate (e.g., duration, yield curve) risks within their respective portfolios. The Funds also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over-the-counter (“OTC swaps”) between a fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.
Upfront payments made and/or received by the Funds are recorded as assets or liabilities, respectively, on the Statements of Assets and Liabilities and are amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statements of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, a Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the Schedule of Portfolio Investments, while cash deposited, which is considered restricted, is reported as Deposits at broker for centrally cleared swaps on the Statements of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statements of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on swaps on the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
The central clearinghouse acts as the counterparty to each centrally cleared swap transaction; therefore credit risk is limited to the failure of the clearinghouse.
The Funds’ OTC swap contracts are subject to master netting arrangements.
Core Plus Bond ETF, Income ETF, International Bond Opportunities ETF and Short Duration Core Plus ETF entered into credit default swaps to simulate long and/or short bond positions or to take an active long and/or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the Funds, as protection sellers, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to a Fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract and is not reflected on the Statements of Assets and Liabilities. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.
International Bond Opportunities ETF entered into interest rate swap contracts to manage fund exposure to interest rates or to either preserve or generate a return on a particular investment or portion of its portfolio. These are agreements between counterparties to exchange periodic interest
payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate, while the other is typically based on a fixed interest rate.
(4) Summary of Derivatives Information—The following tables present the value of derivatives held as of August 31, 2024, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
| | | | International
Bond
Opportunities
ETF | | Short
Duration
Core Plus
ETF |
Foreign Exchange Rate Risk Exposure: | | | | | | |
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | | |
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | | |
Interest Rate Risk Exposure: | | | | | | |
Unrealized Appreciation on Futures Contracts * | | | | | | |
Swaps at Value (Assets) ** | | | | | | |
Unrealized Depreciation on Futures Contracts * | | | | | | |
Swaps at Value (Liabilities) ** | | | | | | |
| | | | | | |
Swaps at Value (Assets) ** | | | | | | |
Swaps at Value (Liabilities) ** | | | | | | |
Net Fair Value of Derivative Contracts: | | | | | | |
Unrealized Appreciation (Depreciation) on Futures Contracts * | | | | | | |
| | | | | | |
Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts | | | | | | |
|
| 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. |
The following table presents the Fund's gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of August 31, 2024:
International Bond Opportunities ETF
| Gross Amount of Derivative Assets
Subject to Netting Arrangements
Presented on the Statement of Assets
and Liabilities(a) | Derivatives
Available
for Offset | | Net Amount Due
From Counterparty
(Not less than zero) |
| | | | |
| | | | |
| | | | |
Goldman Sachs International | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
| Gross Amount of Derivative Liabilities
Subject to Netting Arrangements
Presented on the Statement of Assets
and Liabilities(a) | Derivatives
Available
for Offset | | Net Amount Due to
Counterparty
(Not less than zero) |
| | | | |
| | | | |
| | | | |
Goldman Sachs International | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
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| For financial reporting purposes the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statement of Assets and Liabilities. |
The following tables present the effect of derivatives on the Statements of Operations for the six months ended August 31, 2024, by primary underlying risk exposure:
| | | | International
Bond
Opportunities
ETF | |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: |
Foreign Exchange Rate Risk Exposure: |
Forward Foreign Currency Exchange Contracts | | | | | |
Interest Rate Risk Exposure: |
| | | | | |
| | | | | |
|
| | | | | |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: |
Foreign Exchange Rate Risk Exposure: |
Forward Foreign Currency Exchange Contracts | | | | | |
Interest Rate Risk Exposure: |
| | | | | |
| | | | | |
|
| | | | | |
| Short
Duration
Core Plus
ETF | |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: |
Interest Rate Risk Exposure: |
| | |
|
| | |
| Short Duration Core Plus ETF | |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: |
Interest Rate Risk Exposure: |
| | |
|
| | |
The table below discloses the volume of the Funds' futures contracts, forward foreign currency exchange contracts and swaps activity during the six months ended August 31, 2024. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity:
| | | | International
Bond
Opportunities
ETF |
| | | | |
Average Notional Balance Long | | | | |
Average Notional Balance Short | | | | |
Ending Notional Balance Long | | | | |
Ending Notional Balance Short | | | | |
Forward Foreign Currency Exchange Contracts: | | | | |
Average Settlement Value Purchased | | | | |
Average Settlement Value Sold | | | | |
Ending Settlement Value Purchased | | | | |
Ending Settlement Value Sold | | | | |
Interest Rate-Related Swaps: | | | | |
Average Notional Balance - Pays Fixed Rate | | | | |
Average Notional Balance - Receives Fixed Rate | | | | |
Ending Notional Balance - Pays Fixed Rate | | | | |
Ending Notional Balance - Receives Fixed Rate | | | | |
| | | | |
Average Notional Balance - Buy Protection | | | | |
Average Notional Balance - Sell Protection | | | | |
Ending Notional Balance - Buy Protection | | | | |
Ending Notional Balance - Sell Protection | | | | |
| | Short
Duration
Core Plus
ETF | |
| | | |
Average Notional Balance Long | | | |
Average Notional Balance Short | | | |
Ending Notional Balance Long | | | |
Ending Notional Balance Short | | | |
| | | |
Average Notional Balance - Sell Protection | | | |
The Funds may be required to post or receive collateral based on the net value of the Funds’ outstanding non-deliverable forward foreign currency exchange contracts and/or OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Funds is held in a segregated account at the Funds’ custodian bank. For certain counterparties cash collateral posted by the Funds is invested in an affiliated money market fund (See Note 3.E), otherwise the cash collateral is included on the
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
Statements of Assets and Liabilities as Restricted cash for OTC derivatives. Collateral received by the Funds is held in a separate segregated account maintained by JPMCB, an affiliate of the Funds.
International Bond Opportunities ETF’s derivative contracts collateral requirements and collateral posted or received by counterparty as of August 31, 2024 are as follows:
| | | | |
International Bond Opportunities ETF | | Goldman Sachs International | | |
The Funds' derivatives contracts held at August 31, 2024 are not accounted for as hedging instruments under GAAP.
J. Security Transactions and Investment Income— Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts.
Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
K. Federal Income Taxes— Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds' tax positions for all open tax years and has determined that as of August 31, 2024, no liability for Federal income tax is required in the Funds' financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund's Federal tax returns for the prior three fiscal years, or since inception if shorter, remain subject to examination by the Internal Revenue Service.
L. Foreign Taxes—The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. When a capital gains tax is determined to apply, the Funds record an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
M. Distributions to Shareholders— Distributions from net investment income, if any, are generally declared monthly and paid at least monthly and are declared separately for each class. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
3. Fees and Other Transactions with Affiliates
A. Management Fee—JPMIM manages the investments of each Fund pursuant to a Management Agreement. For such services, JPMIM is paid a fee which is accrued daily and paid no more frequently than monthly based on each Fund's respective average daily net assets at the following rate:
| |
| |
| |
| |
International Bond Opportunities ETF | |
| |
Short Duration Core Plus ETF | |
| |
Ultra-Short Municipal Income ETF | |
|
| Prior to July 1, 2024, the investment management fee was 0.30%. |
Under each Management Agreement, JPMIM is responsible for substantially all expenses of each Fund, (including expenses of the Trust relating to each Fund), except for the management fees, payments under the Funds' 12b-1 plan (if any), interest expenses, dividend and interest expenses related to short sales, taxes, acquired fund fees and expenses (other than fees for funds advised by the Adviser and/or its affiliates), costs of holding shareholder meetings, and litigation and potential litigation and other extraordinary expenses not incurred in the ordinary course of each Fund’s business. Additionally, each Fund is responsible for its non-operating expenses, including brokerage commissions and fees and expenses associated with each Fund’s securities lending program, if applicable. For the avoidance of doubt, the Adviser’s payment of such expenses may be accomplished through a Fund’s payment of such expenses and a corresponding reduction in the fee payable to the Adviser, provided, however, that if the amount of expenses paid by a Fund exceeds the fee payable to the Adviser, the Adviser will reimburse that Fund for such amount.
B. Administration Fee— JPMIM provides administration services to the Funds. Pursuant to each Management Agreement, JPMIM is compensated as described in Note 3.A.
JPMCB serves as the Funds' sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the management fees payable to the Administrator.
C. Custodian, Accounting and Transfer Agent Fees— JPMCB provides custody, accounting and transfer agency services to the Funds. For performing these services, JPMIM pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses.
Additionally, Authorized Participants generally pay transaction fees associated with the creation and redemption of Fund shares. These fees are paid to JPMIM to offset certain custodian charges that are covered by each Management Agreement.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
D. Distribution Services— The Distributor or its agent distributes Creation Units for each Fund on an agency basis. The Distributor does not maintain a secondary market in shares of each Fund. JPMDS receives no fees for their distribution services under the distribution agreement with the Trust (the “Distribution Agreement”). Although the Trust does not pay any fees under the Distribution Agreement, JPMIM pays JPMDS for certain distribution related services.
E. Waivers and Reimbursements— The Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The fees for the affiliated money market funds, except for investments of securities lending cash collateral, are covered under each Management Agreement as described in Note 3.A.
For the six months ended August 31, 2024, the Funds' service providers waived fees and/or reimbursed expenses for each of the Funds as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
F. Other— Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers receive no compensation from the Funds for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. The fees associated with the office of the Chief Compliance Officer are paid for by JPMIM as described in Note 3.A.
During the six months ended August 31, 2024, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
4. Investment Transactions
During the six months ended August 31, 2024, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) | Purchases
of U.S.
Government | |
| | | | |
| | | | |
| | | | |
International Bond Opportunities ETF | | | | |
| | | | |
Short Duration Core Plus ETF | | | | |
| | | | |
Ultra-Short Municipal Income ETF | | | | |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at August 31, 2024 were as follows:
| | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
| | | | |
| | | | |
| | | | |
International Bond Opportunities ETF | | | | |
| | | | |
Short Duration Core Plus ETF | | | | |
| | | | |
Ultra-Short Municipal Income ETF | | | | |
At February 29, 2024, the following Funds had net capital loss carryforwards, which are available to offset future realized gains:
| Capital Loss Carryforward Character |
| | |
| | |
| | |
International Bond Opportunities ETF | | |
| | |
Short Duration Core Plus ETF | | |
| | |
Ultra-Short Municipal Income ETF | | |
Net capital losses (gains) and specified ordinary losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds' next taxable year. For the year ended February 29, 2024, the following Funds deferred to March 1, 2024 the following net capital losses (gains) and/or specified ordinary losses of:
| Net Capital Losses (Gains) | |
| | |
| | | |
International Bond Opportunities ETF | | | |
| | | |
Short Duration Core Plus ETF | | | |
| | | |
Ultra-Short Municipal Income ETF | | | |
6. Capital Share Transactions
The Trust issues and redeems shares of the Funds only in Creation Units through the Distributor at NAV. Capital shares transactions detail can be found in the Statements of Changes in Net Assets.
Shares of the Funds may only be purchased or redeemed by Authorized Participants. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Funds' shares outstanding and act as executing or clearing broker for investment transactions on behalf of the Funds. An Authorized Participant is either (1) a “Participating Party” or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation (“NSCC”); or (2) a DTC Participant; which, in either case, must have executed an agreement with the Distributor.
Creation Units of a Fund may be created in advance of receipt by the Trust of all or a portion of the applicable basket of fixed income securities and other instruments (“Deposit Instruments”) and cash as described in the Funds’ registration statement. In these instances, the initial Deposit Instruments and cash must be deposited in an amount equal to the sum of the cash amount, plus at least 105%, for the Funds, of the market value of undelivered Deposit Instruments. A transaction fee may be imposed to offset transfer and other transaction costs associated with the purchase or redemption of Creation Units.
Authorized Participants transacting in Creation Units for cash may also pay a variable fee to compensate the relevant fund for market impact expenses relating to investing in portfolio securities. Such variable fees, if any, are included in “Proceeds from shares issued” in the Statements of Changes in Net Assets.
Effective November 1, 2022, the Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund, or loans outstanding to another fund, during the six months ended August 31, 2024.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 29, 2024.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended August 31, 2024.
Effective August 8, 2023, the Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into an existing joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. Although the Trust is effectively part of the Credit Facility as of August 8, 2023, it was not eligible to draw on the Credit Facility, and did not incur costs associated with being a part of the Credit Facility up through May 30, 2024.
This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25 million in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25 million minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00%, plus the greater of the federal funds effective rate or the one-month Adjusted Secured Overnight Financing Rate (SOFR). Effective August 6, 2024, the Credit Facility was amended and restated for a term of 364 days, unless extended.
The Funds did not utilize the Credit Facility during the six months ended August 31, 2024.
Effective May 31, 2024, the Funds, excluding Core Plus Bond ETF, Income ETF, International Bond Opportunities ETF and Ultra-Short Income ETF are no longer part of the Credit Facility.
8. Risks, Concentrations and Indemnifications
The Funds are subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations, mortgage pass-through securities and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, pre-payments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
International Bond Opportunities ETF’s investments in sovereign and corporate debt obligations within emerging market countries may be subject to potentially higher risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic instability in these markets may have disruptive effects on the market prices of the Funds’ investments and the income they generate, as well as the Funds’ ability to repatriate such amounts.
The Funds are subject to interest rate risk. Investments in bonds and other debt securities will change in value based on changes in interest rates. If rates increase, the value of these investments generally declines. Securities with greater interest rate sensitivity and longer maturities generally are subject to greater fluctuations in value. The Funds may face a heightened level of interest rate risk due to certain changes in monetary policy. It is difficult to predict the pace at which central banks or monetary authorities may change interest rates or the timing, frequency, or magnitude of such changes. Any such changes could be sudden and could expose debt markets to significant volatility and reduced liquidity for Fund investments.
The Funds are subject to credit risk. The Funds' investments are subject to the risk that an issuer and/or a counterparty will fail to make payments when due or default completely. Prices of the Funds' investments may be adversely affected if any of the issuers or counterparties it is invested in are subject to an actual or perceived deterioration in their credit quality. Credit spreads may increase, which may reduce the market values of the Funds' securities. Credit spread risk is the risk that economic and market conditions or any actual or perceived credit deterioration may lead to an increase in the credit spreads (i.e., the difference in yield between two securities of similar maturity but different credit quality) and a decline in price of the issuer’s securities.
Core Plus Bond ETF, Income ETF, International Bond Opportunities ETF and Short Duration Core Plus ETF invest in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. The market price of these securities can change suddenly and unexpectedly. As a result, the Funds are intended for investors who are able and willing to assume a high degree of risk.
International Bond Opportunities ETF may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of foreign countries or regions, which may vary throughout the period. Such concentrations may subject each of these Funds to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds.
Disruptions to creations and redemptions, the existence of significant market volatility or potential lack of an active trading market for the Shares (including through a trading halt), as well as other factors, may result in Shares trading significantly above (at a premium) or below (at a discount) to the NAV or to the intraday value of the Funds’ holdings. During such periods, investors may incur significant losses if shares are sold.
The Funds may not track the return of their underlying index for a number of reasons and therefore may not achieve their investment objective. For example, the Funds incur a number of operating expenses not applicable to their underlying index, and incur costs in buying and selling securities, especially when rebalancing the Funds’ securities holdings to reflect changes in the composition of the underlying index. In addition, each Fund’s return may differ from the return of its underlying index as a result of, among other things, pricing differences and the inability to purchase certain securities included in the underlying index due to regulatory or other restrictions. To the extent of the previously outlined items, each Fund’s return may differ from the return of the underlying index.
The Funds, excluding Municipal ETF and Ultra-Short Municipal Income ETF, invest in foreign issuers and foreign securities (including depositary receipts) that are subject to additional risks, including political and economic risks, civil conflicts and war, greater volatility, expropriation and nationalization risks, sanctions or other measures by the United States or other governments, currency fluctuations, higher transaction costs, delayed settlement, possible foreign controls on investment, liquidity risks and less stringent investor protection and disclosure standards of foreign markets. In certain markets where securities and other instruments are not traded “delivery versus payment,” a Fund may not receive timely payment for securities or other instruments it has delivered or receive delivery of securities paid for and may be subject to increased risk that the counterparty will fail to make payments or delivery when due or default completely.
Events and evolving conditions in certain economies or markets may alter the risks associated with investments tied to countries or regions that historically were perceived as comparatively stable becoming riskier and more volatile.
The Funds are subject to infectious disease epidemics/pandemics risk. The effects of any future pandemic or other global event to public health and business and market conditions, may have a significant negative impact on the performance of a Fund's investments, increase a Fund's volatility, negatively impact a Fund’s arbitrage and pricing mechanisms, exacerbate pre-existing political, social and economic risks to the Funds, and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to a pandemic or other global event that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could have a significant negative impact on a Fund’s investment performance. The ultimate impact of any pandemic or other global event and the extent to which the associated conditions and governmental responses impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
The Funds invest in foreign issuers and foreign securities (including depositary receipts) that are subject to additional risks, including political and economic risks, civil conflicts and war, greater volatility, expropriation and nationalization risks, sanctions or other measures by the United States or other governments, currency fluctuations, higher transaction costs, delayed settlement, possible foreign controls on investment, liquidity risks and less stringent investor protection and disclosure standards of foreign markets. In certain markets where securities and other instruments are not traded “delivery versus payment,” a Fund may not receive timely payment for securities or other instruments it has delivered or receive delivery of securities paid for and may be subject to increased risk that the counterparty will fail to make payments or delivery when due or default completely.
Events and evolving conditions in certain economies or markets may alter the risks associated with investments tied to countries or regions that historically were perceived as comparatively stable becoming riskier and more volatile.
J.P. Morgan Exchange-Traded Funds are distributed by JPMorgan Distribution Services, Inc., an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the Funds.
Contact J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 (844-4JPM ETF) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risks as well as charges and expenses of the fund before investing. The prospectus contains this and other information about the fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Each Fund's quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund's policies and procedures with respect to the disclosure of each Fund's holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-844-457-6383 and on the Funds' website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds' voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds' website at www.jpmorganfunds.com no later than August 31 of each year. The Funds' proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2024. All rights reserved. August 2024.
SAN-FIETF-824
Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Proxy Disclosures for Open-End Management Investment Companies
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
Included in the Statements of Operations within the Funds' Financial Statements.
Statement Regarding Basis for Approval of Management Agreements
The Board of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board and its investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed Income Committee) met regularly throughout the year and, at each meeting, considered factors that are relevant to their annual consideration of the continuation of the management agreements. The Board also met for the specific purpose of considering management agreement annual renewals. The Board held meetings June 25-26, 2024 and August 20-22, 2024, at which the Trustees considered the continuation of the management agreements for JPMorgan Core Plus Bond ETF, JPMorgan Income ETF, JPMorgan International Bond Opportunities ETF, JPMorgan Municipal ETF, JPMorgan Short Duration Core Plus ETF, JPMorgan Ultra-Short Income ETF and JPMorgan Ultra-Short Municipal Income ETF (each a “Fund,” and collectively, the “Funds”) whose semi-annual report is contained herein (each a “Management Agreement” and collectively, the “Management Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered each investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to a Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940) of any party to a Management Agreement or any of their affiliates, approved the continuation of each Management Agreement on August 22, 2024.
As part of their review of the Management Agreements, the Trustees considered and reviewed performance and other information about the Funds received from J.P. Morgan Investment Management Inc. (the “Adviser”). This information included the Funds’ performance as compared to the performance of their peers and benchmarks, and analyses by the Adviser of the Funds’ performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (the “independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of
certain Funds, including risk and performance return assessments as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Management Agreements, the Trustees reviewed the Management Agreements with representatives of the Adviser, counsel to the Funds, and independent legal counsel to the Trustees, and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Management Agreements. The Trustees also discussed the Management Agreements with independent legal counsel in executive sessions at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Management Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Management Agreement was fair and reasonable under the circumstances, and determined that the continuance of each Management Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Management Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. Among other things, the Trustees considered:
•
The background and experience of the Adviser’s senior management and investment personnel, including personnel changes, if any;
•
The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund, including personnel changes, if any;
•
The investment strategy for each Fund, and the infrastructure supporting the portfolio management teams;
•
Information about the structure and distribution strategy for each Fund and how it fits within the Adviser’s other fund offerings within the J.P. Morgan Funds complex;
•
The administration services provided by the Adviser in its role as Administrator;
•
Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Funds and in the financial industry generally;
•
The overall reputation and capabilities of the Adviser and its affiliates;
•
The commitment of the Adviser to provide high quality service to the Funds;
•
Their overall confidence in the Adviser’s integrity; and
•
The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates from providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser and reviewed with the Board. The Trustees also recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Management Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered the fees earned by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Adviser, for custody, fund accounting and other related services for each Fund, and the profitability of the arrangements to JPMCB.
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including benefits that may be received by the Adviser and its affiliates in connection with the Funds’ potential investments in other funds advised by the Adviser. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Funds.
The Trustees considered the extent to which the Funds may benefit from potential economies of scale. The Trustees considered that under the Management Agreements, the Adviser provides advisory and administrative services and is responsible for substantially all expenses of each Fund except for certain enumerated contractual exclusions under a “unitary fee” structure. The Trustees noted that the unitary management fee for each Fund does not contain breakpoints. The Trustees considered that shareholders would benefit because expenses would be limited even when a Fund is new and not achieving economies of scale. The Trustees considered the fact that increases in assets would not lead to management fee decreases even if economies of scale are achieved, but also that the Trustees would have the opportunity to further review the appropriateness of the fee payable to the Adviser under the Management Agreement in the future. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds. After considering the factors identified above, the Trustees concluded that the Fund’s shareholders will receive the benefits of potential economies of scale.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of management services and fee rates offered to other clients of the Adviser, including, to the extent applicable, institutional separate accounts, collective investment trusts, other registered investment companies and/or private funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered investment companies relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered investment company involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the applicable registered investment company, typically bears the sub-advisory fee and that many responsibilities related to the advisory function are typically retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
The Trustees receive and consider information about each Fund’s performance throughout the year. In addition, the Trustees received and considered absolute and/or relative performance information for the Funds with at least one-year of performance history in a report prepared by Broadridge. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe comprised of funds with the same Broadridge investment classification and objective (the “Universe”), by total return for applicable one-, three and five-year periods. The Trustees reviewed a description of Broadridge’s methodology for selecting exchange-traded funds in each Fund’s Universe and noted that the Universe quintile rankings were not calculated if the number of funds in the Universe did not meet a predetermined minimum. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared for certain Funds by the Trustees’ independent consultant. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge performance data
noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance are summarized below:
The Trustees noted that the JPMorgan Core Plus Bond ETF’s performance was in the second and first quintiles of the Universe for the one- and three-year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the JPMorgan Income ETF’s performance was in the fourth quintile of the Universe for the one-year period ended December 31, 2023. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
The Trustees noted that the JPMorgan International Bond Opportunities ETF’s performance was in the third, first and first quintiles of the Universe for the one-, three- and five- year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the JPMorgan Municipal ETF’s performance was in the second, first and first quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the JPMorgan Short Duration Core Plus ETF’s performance was in the second quintile of the Universe for the one-year period ended December 31, 2023. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the JPMorgan Ultra-Short Income ETF’s performance was in the fourth, third and third quintiles of the Universe for the one-, three- and five-year periods ended
December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
The Trustees noted that the JPMorgan Ultra-Short Municipal Income ETF’s performance was in the third, second and second quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
Management Fees and Expense Ratios
The Trustees considered the contractual management fee rate paid by each Fund to the Adviser and compared the rate to the information prepared by Broadridge concerning management fee rates paid by other funds in the Universe, as well as a subset of funds within the Universe (the “Peer Group”). The Trustees also reviewed information about other expenses and the total expense ratio for each Fund and noted that the Universe and Peer Group quintile rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Trustees recognized that it can be difficult to make comparisons of management fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s management fees and expense ratios are summarized below:
The Trustees noted that the JPMorgan Core Plus Bond ETF’s net management fee and actual total expenses were in the third and second quintiles, respectively, of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan Income ETF’s net management and actual total expenses were in the second and
first quintiles, respectively, of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable.in light of the services provided to the Fund.
The Trustees noted that the JPMorgan International Bond Opportunities ETF’s net management fee and actual total expenses were in the third quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable.in light of the services provided to the Fund.
The Trustees noted that the JPMorgan Municipal ETF’s net management fee and actual total expenses were in the first quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable.in light of the services provided to the Fund.
The Trustees noted that the JPMorgan Short Duration Core Plus ETF’s net management fee and actual total expenses were in the third and second quintiles, respectively, of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable.in light of the services provided to the Fund.
The Trustees noted that the JPMorgan Ultra-Short Income ETF’s net management fee and actual total expenses were both in the second quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable.in light of the services provided to the Fund.
The Trustees noted that the JPMorgan Ultra-Short Municipal Income ETF’s net management fee was in the first and second quintiles of the Peer Group and Universe, respectively, and that the actual total expenses were in the first quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable.in light of the services provided to the Fund.
Semi-Annual Report
J.P. Morgan Exchange-Traded Funds
August 31, 2024 (Unaudited)
| | |
JPMorgan BetaBuilders MSCI US REIT ETF | | |
CONTENTS
Investments in the Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Fund or the securities markets.
Prospective investors should refer to the Fund's prospectus for a discussion of the Fund's investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at (844) 457-6383 for a prospectus containing more complete information about the Fund, including management fees and other expenses. Please read it carefully before investing.
Shares are bought and sold throughout the day on an exchange at market price (not at net asset value) through a brokerage account, and are not individually subscribed and redeemed from the Fund. Shares may only be subscribed and redeemed directly from the Fund by Authorized Participants, in large creation/redemption units. Brokerage commissions will reduce returns.
JPMorgan BetaBuilders MSCI US REIT ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
|
|
American Homes 4 Rent, Class A, REIT | | |
Apartment Investment and Management Co., Class A, REIT * | | |
AvalonBay Communities, Inc., REIT | | |
Camden Property Trust, REIT | | |
| | |
| | |
Equity LifeStyle Properties, Inc., REIT | | |
| | |
Essex Property Trust, Inc., REIT | | |
Independence Realty Trust, Inc., REIT | | |
Invitation Homes, Inc., REIT | | |
Mid-America Apartment Communities, Inc., REIT | | |
NexPoint Residential Trust, Inc., REIT | | |
Sun Communities, Inc., REIT | | |
| | |
| | |
|
Alexander & Baldwin, Inc., REIT | | |
American Assets Trust, Inc., REIT | | |
Armada Hoffler Properties, Inc., REIT | | |
Broadstone Net Lease, Inc., REIT | | |
Digital Realty Trust, Inc., REIT | | |
| | |
| | |
Farmland Partners, Inc., REIT (a) | | |
Gaming and Leisure Properties, Inc., REIT | | |
Gladstone Commercial Corp., REIT | | |
Gladstone Land Corp., REIT | | |
Global Net Lease, Inc., REIT | | |
InvenTrust Properties Corp., REIT | | |
One Liberty Properties, Inc., REIT | | |
| | |
UMH Properties, Inc., REIT | | |
Veris Residential, Inc., REIT | | |
VICI Properties, Inc., REIT | | |
| | |
| | |
|
Alexandria Real Estate Equities, Inc., REIT | | |
American Healthcare REIT, Inc., REIT | | |
CareTrust REIT, Inc., REIT | | |
Community Healthcare Trust, Inc., REIT | | |
Diversified Healthcare Trust, REIT | | |
| | |
|
|
Global Medical REIT, Inc., REIT | | |
Healthcare Realty Trust, Inc., REIT | | |
Healthpeak Properties, Inc., REIT | | |
LTC Properties, Inc., REIT | | |
Medical Properties Trust, Inc., REIT (a) | | |
National Health Investors, Inc., REIT | | |
Omega Healthcare Investors, Inc., REIT | | |
Sabra Health Care REIT, Inc., REIT | | |
Universal Health Realty Income Trust, REIT | | |
| | |
| | |
| | |
|
Apple Hospitality REIT, Inc., REIT | | |
Chatham Lodging Trust, REIT | | |
DiamondRock Hospitality Co., REIT | | |
Host Hotels & Resorts, Inc., REIT | | |
Park Hotels & Resorts, Inc., REIT | | |
Pebblebrook Hotel Trust, REIT | | |
| | |
Ryman Hospitality Properties, Inc., REIT | | |
Service Properties Trust, REIT | | |
Summit Hotel Properties, Inc., REIT | | |
Sunstone Hotel Investors, Inc., REIT | | |
Xenia Hotels & Resorts, Inc., REIT | | |
| | |
|
Americold Realty Trust, Inc., REIT | | |
EastGroup Properties, Inc., REIT | | |
First Industrial Realty Trust, Inc., REIT | | |
Innovative Industrial Properties, Inc., REIT | | |
LXP Industrial Trust, REIT | | |
Plymouth Industrial REIT, Inc., REIT | | |
| | |
Rexford Industrial Realty, Inc., REIT | | |
STAG Industrial, Inc., REIT | | |
Terreno Realty Corp., REIT | | |
| | |
|
Brandywine Realty Trust, REIT | | |
| | |
COPT Defense Properties, REIT | | |
Cousins Properties, Inc., REIT | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders MSCI US REIT ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Common Stocks — continued |
|
Douglas Emmett, Inc., REIT | | |
Easterly Government Properties, Inc., REIT | | |
Empire State Realty Trust, Inc., Class A, REIT | | |
Equity Commonwealth, REIT * | | |
Highwoods Properties, Inc., REIT | | |
Hudson Pacific Properties, Inc., REIT | | |
JBG SMITH Properties, REIT | | |
Kilroy Realty Corp., REIT | | |
Paramount Group, Inc., REIT | | |
Peakstone Realty Trust, REIT (a) | | |
Piedmont Office Realty Trust, Inc., Class A, REIT | | |
SL Green Realty Corp., REIT (a) | | |
Vornado Realty Trust, REIT | | |
| | |
|
CBL & Associates Properties, Inc., REIT | | |
| | |
Simon Property Group, Inc., REIT | | |
| | |
| | |
|
Acadia Realty Trust, REIT | | |
| | |
Brixmor Property Group, Inc., REIT | | |
Federal Realty Investment Trust, REIT | | |
| | |
Kite Realty Group Trust, REIT | | |
| | |
Phillips Edison & Co., Inc., REIT | | |
Regency Centers Corp., REIT | | |
Retail Opportunity Investments Corp., REIT | | |
| | |
| | |
Urban Edge Properties, REIT | | |
| | |
| | |
|
| | |
Essential Properties Realty Trust, Inc., REIT | | |
Four Corners Property Trust, Inc., REIT | | |
| | |
| | |
|
Single Tenant — continued |
| | |
Realty Income Corp., REIT | | |
| | |
|
| | |
Extra Space Storage, Inc., REIT | | |
Iron Mountain, Inc., REIT | | |
National Storage Affiliates Trust, REIT | | |
| | |
| | |
Total Common Stocks
(Cost $892,261,978) | | |
Short-Term Investments — 1.0% |
Investment Companies — 0.4% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (b) (c)
(Cost $3,482,565) | | |
Investment of Cash Collateral from Securities Loaned — 0.6% |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.34% (b) (c) | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (b) (c) | | |
Total Investment of Cash Collateral from Securities Loaned
(Cost $4,824,364) | | |
Total Short-Term Investments
(Cost $8,306,929) | | |
Total Investments — 100.6%
(Cost $900,568,907) | | |
Liabilities in Excess of Other Assets — (0.6)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Real Estate Investment Trust |
| Non-income producing security. |
| The security or a portion of this security is on loan at August 31, 2024. The total value of securities on loan at August 31, 2024 is $4,708,334. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| The rate shown is the current yield as of August 31, 2024. |
Futures contracts outstanding as of August 31, 2024:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENT OF ASSETS AND LIABILITIESAS OF August 31, 2024 (Unaudited)
| JPMorgan
BetaBuilders MSCI
US REIT ETF |
| |
Investments in non-affiliates, at value | |
Investments in affiliates, at value | |
Investments of cash collateral received from securities loaned, at value (See Note 2.B.) | |
| |
Deposits at broker for futures contracts | |
| |
Investment securities sold | |
Interest from non-affiliates | |
Dividends from non-affiliates | |
Dividends from affiliates | |
Securities lending income (See Note 2.B.) | |
Variation margin on futures contracts | |
| |
| |
| |
Investment securities purchased | |
Collateral received on securities loaned (See Note 2.B.) | |
| |
| |
Management fees (See Note 3.A.) | |
| |
| |
| |
| |
Total distributable earnings (loss) | |
| |
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001) | |
Net asset value, per share | |
Cost of investments in non-affiliates | |
Cost of investments in affiliates | |
Investment securities on loan, at value (See Note 2.B.) | |
Cost of investment of cash collateral (See Note 2.B.) | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENT OF OPERATIONSFOR THE SIX MONTHS ENDED August 31, 2024 (Unaudited)
| JPMorgan
BetaBuilders MSCI
US REIT ETF |
| |
Interest income from non-affiliates | |
Interest income from affiliates | |
Dividend income from non-affiliates | |
Dividend income from affiliates | |
Income from securities lending (net) (See Note 2.B.) | |
| |
| |
Management fees (See Note 3.A.) | |
| |
Net investment income (loss) | |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | |
In-kind redemptions of investments in non-affiliates (See Note 4) | |
| |
| |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | |
Investments in affiliates | |
| |
Change in net unrealized appreciation/depreciation | |
Net realized/unrealized gains (losses) | |
Change in net assets resulting from operations | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETSFOR THE PERIODS INDICATED
| JPMorgan BetaBuilders
MSCI US REIT ETF |
| Six Months Ended
August 31, 2024
(Unaudited) | Year Ended
February 29, 2024 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | |
Net investment income (loss) | | |
| | |
Change in net unrealized appreciation/depreciation | | |
Change in net assets resulting from operations | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | |
Total distributions to shareholders | | |
| | |
Change in net assets resulting from capital transactions | | |
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| | |
| | |
Proceeds from shares issued | | |
| | |
Total change in net assets resulting from capital transactions | | |
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| | |
Net increase (decrease) in shares from share transactions | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
THIS PAGE IS INTENTIONALLY LEFT BLANK
FINANCIAL HIGHLIGHTSFOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net investment
income
(loss) (b) | Net realized
and unrealized
gains
(losses)
on investments | Total from
investment
operations | | | |
JPMorgan BetaBuilders MSCI US REIT ETF | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | |
Year Ended February 29, 2024 | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Prior to December 9, 2019, the 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 the 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 the 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. |
| 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. |
| 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| | | | | Ratios to average net assets (a) | |
Net asset
value,
end of
period | | | Market
price
total
return (c)(e) | | | Net
investment
income
(loss) | Expenses
without waivers
and reimbursements | Portfolio
turnover
rate (c) |
| | | | | | | | |
| | | | | | | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited)
1. Organization
J.P. Morgan Exchange-Traded Fund Trust (the “Trust”) was formed on February 25, 2010, and is governed by a Declaration of Trust as amended and restated February 19, 2014, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. JPMorgan BetaBuilders MSCI US REIT ETF (the “Fund”) is a separate diversified series of the Trust covered in this report.
The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the MSCI US REIT Custom Capped Index.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as adviser (the “Adviser”) and administrator (the “Administrator”) to the Fund.
Shares of the Fund are listed and traded at market price on the Cboe BZX Exchange, Inc. Market prices for the Fund’s shares may be different from its net asset value (“NAV”). The Fund issues and redeems its shares on a continuous basis, through JPMorgan Distribution Services, Inc. (the “Distributor” or “JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, at NAV in large blocks of shares, referred to as “Creation Units". Creation Units are issued and redeemed in exchange for a basket of securities and/or cash. Shares are generally traded in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Only individuals or institutions that have entered into an authorized participant agreement with the Distributor may do business directly with the Fund (each, an “Authorized Participant”).
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments— Investments are valued in accordance with GAAP and the Fund's valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the "Board"), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
Under Section 2(a)(41) of the 1940 Act, the Board is required to determine fair value for securities that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Fund on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of investments held in the Fund. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the NAV of the Fund is calculated on a valuation date.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund's investments are summarized into the three broad levels listed below.
•
Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.
•
Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.
•
Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund's assumptions in determining the fair value of investments).
| J.P. Morgan Exchange-Traded Funds | |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments ("SOI"):
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
B. Securities Lending — The Fund is authorized to engage in securities lending in order to generate additional income. The Fund is able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Fund, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Fund retains the interest earned on cash collateral investments but is required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Fund). Upon termination of a loan, the Fund is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Fund or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statement of Operations as Income from securities lending (net). The Fund also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statement of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statement of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statement of Assets and Liabilities and details of collateral investments are disclosed on the SOI.
The Fund bears the risk of loss associated with the collateral investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
The following table presents the Fund's value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Fund as of August 31, 2024.
| 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) |
| | | |
|
| Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Fund from losses resulting from a borrower’s failure to return a loaned security.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
JPMIM voluntarily waived management fees charged to the Fund to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.13% to 0.06%. For the six months ended August 31, 2024, JPMIM waived fees associated with the Fund's investment in the JPMorgan U.S. Government Money Market Fund. The amount of this waiver was $815.
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statement of Operations as Income from securities lending (net).
C. Investment Transactions with Affiliates— The Fund invested in Underlying Funds advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. For the purposes of the financial statements, the Fund assumes the issuers listed in the table below to be affiliated issuers. The Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the table below.
|
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.34% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
| Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
D. Futures Contracts— The Fund used index futures contracts to gain or reduce exposure to the stock market, or maintain liquidity or minimize transaction costs. The Fund also purchased futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statement of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statement of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI, while cash deposited, which is considered restricted, is recorded on the Statement of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statement of Assets and Liabilities.
The use of futures contracts exposes the Fund to equity price risk. The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Fund's futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
| J.P. Morgan Exchange-Traded Funds | |
The table below discloses the volume of the Fund's futures contracts activity during the six months ended August 31, 2024:
| |
| |
Average Notional Balance Long | |
Ending Notional Balance Long | |
E. Security Transactions and Investment Income— Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Dividend income is recorded on the ex-dividend date or when the Fund first learns of the dividend.
To the extent such information is publicly available, the Fund records distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Fund adjusts the estimated amounts of the components of distributions (and consequently its net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
F. Federal Income Taxes— The Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Fund's tax positions for all open tax years and has determined that as of August 31, 2024, no liability for Federal income tax is required in the Fund's financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Fund's Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
G. Distributions to Shareholders— Distributions from net investment income, if any, are generally declared and paid at least quarterly. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
3. Fees and Other Transactions with Affiliates
A. Management Fee— JPMIM manages the investments of the Fund pursuant to the Management Agreement. For such services, JPMIM is paid a fee, which is accrued daily and paid no more frequently than monthly at an annual rate of 0.11% of the Fund's average daily net assets.
Under the Management Agreement, JPMIM is responsible for substantially all expenses of the Fund, (including expenses of the Trust relating to the Fund), except for the management fee, payments under the Fund's 12b-1 plan (if any), interest expenses, dividend and interest expenses related to short sales, taxes, acquired fund fees and expenses (other than fees for funds advised by the Adviser and/or its affiliates), costs of holding shareholder meetings, and litigation and potential litigation and other extraordinary expenses not incurred in the ordinary course of the Fund’s business. Additionally, the Fund is responsible for its non-operating expenses, including brokerage commissions and fees and expenses associated with the Fund’s securities lending program, if applicable. For the avoidance of doubt, the Adviser’s payment of such expenses may be accomplished through the Fund’s payment of such expenses and a corresponding reduction in the fee payable to the Adviser, provided, however, that if the amount of expenses paid by the Fund exceeds the fee payable to the Adviser, the Adviser will reimburse the Fund for such amount.
B. Administration Fee— JPMIM provides administration services to the Fund. Pursuant to the Management Agreement for the Fund, JPMIM is compensated as described in Note 3.A.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Fund's sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the management fees payable to JPMIM.
C. Custodian, Accounting and Transfer Agent Fees— JPMCB provides custody, accounting and transfer agency services to the Fund. For performing these services, JPMIM pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses.
Additionally, Authorized Participants generally pay transaction fees associated with the creation and redemption of Fund shares. These fees are paid to JPMIM to offset certain custodian charges that are covered by the Management Agreement.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
D. Distribution Services— The Distributor or its agent distributes Creation Units for the Fund on an agency basis. The Distributor does not maintain a secondary market in shares of the Fund. JPMDS receives no fees for their distribution services under the distribution agreement with the Trust (the “Distribution Agreement”). Although the Trust does not pay any fees under the Distribution Agreement, JPMIM pays JPMDS for certain distribution related services.
E. Waivers and Reimbursements— The Fund may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The fees for the affiliated money market funds, except for investments of securities lending cash collateral, are covered under the Management Agreement as described in Note 3.A.
F. Other— Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers receive no compensation from the Fund for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Fund pursuant to Rule 38a-1 under the 1940 Act. The fees associated with the office of the Chief Compliance Officer are paid for by JPMIM as described in Note 3.A.
The Securities and Exchange Commission ("SEC") has granted an exemptive order permitting the Fund to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended August 31, 2024, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) |
| | |
During the six months ended August 31, 2024, there were no purchases or sales of U.S. Government securities.
For the six months ended August 31, 2024, in-kind transactions associated with creations and redemptions were as follows:
During the six months ended August 31, 2024, the Fund delivered portfolio securities for the redemption of Fund shares (in-kind redemptions). Cash and portfolio securities were transferred for redemptions at fair value. For financial reporting purposes, the Fund recorded net realized gains and losses in connection with each in-kind redemption transaction.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at August 31, 2024 were as follows:
| | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
| | | | |
At February 29, 2024, the Fund had net capital loss carryforwards, which are available to offset future realized gains:
| Capital Loss Carryforward Character |
| | |
| | |
| J.P. Morgan Exchange-Traded Funds | |
Net capital losses (gains) incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Fund's next taxable year. For the year ended February 29, 2024, the Fund deferred to March 1, 2024 the following net capital losses (gains) of:
| Net Capital Losses (Gains) |
| | |
| | |
6. Capital Share Transactions
The Trust issues and redeems shares of the Fund only in Creation Units through the Distributor at NAV. Capital shares transactions detail can be found in the Statements of Changes in Net Assets.
Shares of the Fund may only be purchased or redeemed by Authorized Participants. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Fund's shares outstanding and act as executing or clearing broker for investment transactions on behalf of the Fund. An Authorized Participant is either (1) a “Participating Party” or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation (“NSCC”); or (2) a DTC Participant; which, in either case, must have executed an agreement with the Distributor.
Effective November 1, 2022, the Fund relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Fund to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund's borrowing restrictions. The interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Fund because the Fund and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Fund had no borrowings outstanding from another fund, or loans outstanding to another fund, during the six months ended August 31, 2024.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Fund. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund's borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 29, 2024.
The Fund had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended August 31, 2024.
Effective August 8, 2023, the Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into an existing joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. Although the Trust is effectively part of the Credit Facility as of August 8, 2023, it was not eligible to draw on the Credit Facility, and did not incur costs associated with being a part of the Credit Facility.
This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25 million in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25 million minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00%, plus the greater of the federal funds effective rate or the one-month Adjusted Secured Overnight Financing Rate (SOFR).
Effective May 31, 2024, the Funds are no longer part of the Credit Facility.
The Fund did not utilize the Credit Facility during the six months ended August 31, 2024.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
8. Risks, Concentrations and Indemnifications
In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
As of August 31, 2024, JPMorgan SmartRetirement Funds and JPMorgan SmartRetirement Blend Funds, which are affiliated funds of funds, each owned in the aggregate, shares representing more than 10% of the net assets of the Fund as follows:
| JPMorgan
SmartRetirement
Funds | JPMorgan
SmartRetirement
Blend Funds |
| | |
Significant shareholder transactions by these shareholders may impact the Fund's performance and liquidity.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Fund’s original investment. Many derivatives create leverage thereby causing the Fund to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Fund to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more difficult for the Fund to value accordingly.
Disruptions to creations and redemptions, the existence of significant market volatility or potential lack of an active trading market for the shares (including through a trading halt), as well as other factors, may result in shares trading significantly above (at a premium) or below (at a discount) to the NAV or to the intraday value of the Fund’s holdings. During such periods, investors may incur significant losses if shares are sold.
The Fund may not track the return of its underlying index for a number of reasons and therefore may not achieve its investment objective. For example, the Fund incurs a number of operating expenses not applicable to its underlying index, and incurs costs in buying and selling securities, especially when rebalancing the Fund’s securities holdings to reflect changes in the composition of the underlying index. In addition, the Fund’s return may differ from the return of its underlying index as a result of, among other things, pricing differences and the inability to purchase certain securities included in the underlying index due to regulatory or other restrictions. To the extent of the previously outlined items, the Fund’s return may differ from the return of the underlying index.
Because the Fund invests in Real Estate Investment Trusts (“REITs”), the Fund may be subject to certain risks similar to those associated with direct investments in real estate. REITs may be affected by changes in the value of their underlying properties and by defaults by tenants. REITs depend generally on their ability to generate cash flow to make distributions to shareholders, and certain REITs have self-liquidation provisions by which mortgages held may be paid in full and distributions of capital returns may be made at any time.
The Fund is subject to infectious disease epidemics/pandemics risk. The effects of any future pandemic or other global event to public health and business and market conditions, may have a significant negative impact on the performance of the Fund's investments, increase the Fund's volatility, negatively impact the Fund’s arbitrage and pricing mechanisms, exacerbate pre-existing political, social and economic risks to the Fund, and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to a pandemic or other global event that affect the instruments in which the Fund invests, or the issuers of such instruments, in ways that could have a significant negative impact on the Fund’s investment performance. The ultimate impact of any pandemic or other global event and the extent to which the associated conditions and governmental responses impact the Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
| J.P. Morgan Exchange-Traded Funds | |
J.P. Morgan Exchange-Traded Funds are distributed by JPMorgan Distribution Services, Inc., an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the Funds.
Contact J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 (844-4JPM ETF) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risks as well as charges and expenses of the fund before investing. The prospectus contains this and other information about the fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
The Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Fund's Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. The Fund's quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Fund's policies and procedures with respect to the disclosure of the Fund's holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-844-457-6383 and on the Fund's website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Fund to the Adviser. A copy of the Fund's voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Fund's website at www.jpmorganfunds.com no later than August 31 of each year. The Fund's proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2024. All rights reserved. August 2024.
SAN-RETF-824
Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Proxy Disclosures for Open-End Management Investment Companies
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
Included in the Statement of Operations within the Fund's Financial Statements.
Statement Regarding Basis for Approval of Management Agreement
The Board of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board and its investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed Income Committee) met regularly throughout the year and, at each meeting, considered factors that are relevant to their annual consideration of the continuation of the management agreements. The Board also met for the specific purpose of considering management agreement annual renewals. The Board held meetings June 25-26, 2024 and August 20-22, 2024, at which the Trustees considered the continuation of the management agreement (the “Management Agreement”) for the Fund. At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered each investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940) of any party to the Management Agreement or any of their affiliates, approved the continuation of the Management Agreement on August 22, 2024.
As part of their review of the Management Agreement, the Trustees considered and reviewed performance and other information about the Fund received from J.P. Morgan Investment Management Inc. (the “Adviser”). This information included the Fund’s performance as compared to the performance of its peers and benchmark, and analyses by the Adviser of the Fund’s performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (the “independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of certain Funds, including risk and performance return assessments as compared to the Fund’s objectives, benchmarks and peers. Before voting on the Management Agreement, the Trustees reviewed the Management Agreement with representatives of the Adviser, counsel to the Fund, and independent legal counsel to the Trustees, and received a memorandum from independent legal counsel to the
Trustees discussing the legal standards for their consideration of the Management Agreement. The Trustees also discussed the Management Agreement with independent legal counsel in executive sessions at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve the Management Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Fund throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from the Fund under the Management Agreement was fair and reasonable under the circumstances, and determined that the continuance of the Management Agreement was in the best interests of the Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to the Fund under its Management Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. Among other things, the Trustees considered:
•
The background and experience of the Adviser’s senior management and investment personnel, including personnel changes, if any;
•
The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Fund, including personnel changes, if any;
•
The investment strategy for the Fund, and the infrastructure supporting the portfolio management team;
•
Information about the structure and distribution strategy for the Fund and how it fits within the Adviser’s other fund offerings within the J.P. Morgan Funds complex;
•
The administration services provided by the Adviser in its role as Administrator;
•
Their knowledge of the nature and quality of the services
provided by the Adviser and its affiliates gained from their experience as Trustees of the Fund and in the financial industry generally;
•
The overall reputation and capabilities of the Adviser and its affiliates;
•
The commitment of the Adviser to provide high quality service to the Fund;
•
Their overall confidence in the Adviser’s integrity; and
•
The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the services provided to the Fund by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates from providing services to the Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Fund, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser and reviewed with the Board. The Trustees also recognized that it is difficult to make direct comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under the Management Agreement was not unreasonable in light of the services and benefits provided to the Fund.
The Trustees also considered the fees earned by J.P. Morgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Adviser, for custody, fund accounting, and other related services for the Fund, and the profitability of the arrangements to JPMCB.
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationships with the Fund. The
Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including benefits that may be received by the Adviser and its affiliates in connection with the Fund’s potential investments in other funds advised by the Adviser. The Trustees also reviewed the Adviser’s allocation of Fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Fund.
The Trustees considered the extent to which the Fund may benefit from potential economies of scale. The Trustees considered that under the Management Agreement, the Adviser provides advisory and administrative services and is responsible for substantially all expenses of the Fund except for certain enumerated contractual exclusions under a “unitary fee” structure. The Trustees noted that the unitary management fee for the Fund does not contain breakpoints. The Trustees considered that shareholders would benefit because expenses would be limited even when a Fund is new and not achieving economies of scale. The Trustees considered the fact that increases in assets would not lead to management fee decreases even if economies of scale are achieved, but also that the Trustees would have the opportunity to further review the appropriateness of the fee payable to the Adviser under the Management Agreement in the future. The Trustees also concluded that the Fund benefited from the Adviser’s reinvestment in its operations to serve the Fund and its shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Fund. After considering the factors identified above, the Trustees concluded that the Fund’s shareholders will receive the benefits of potential economies of scale.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of management services and fee rates offered to other clients of the Adviser, including to the extent applicable, institutional separate accounts, collective investment trusts, other registered investment companies and/or private funds sub-advised by the Adviser, for investment management styles substantially similar to that of the Fund. The Trustees considered the complexity of investment management for registered investment companies relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and
responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered investment company involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to the Fund. The Trustees also noted that the adviser, not the applicable registered investment company, typically bears the sub-advisory fee and that many responsibilities related to the advisory function are typically retained by the primary adviser. The Trustees concluded that the fee rates charged to the Fund in comparison to those charged to the Adviser’s other clients were reasonable.
The Trustees considered that the Fund is a “passive” ETF whose objective is to closely correspond, before fees and expenses, to the performance of its benchmark index. The Trustees considered the Fund’s investment strategy and processes, portfolio management teams and competitive positioning against peer funds, as identified by Broadridge and/or management. As part of this review, the Trustees reviewed the Fund’s performance against its benchmark and considered the Fund’s performance information provided at regular Board meetings by the Adviser. After consideration, the Trustees determined that the Fund’s performance was consistent with its investment objective.
Management Fee and Expense Ratio
The Trustees considered the contractual management fee rate paid by the Fund to the Adviser and compared the rate to the information prepared by Broadridge concerning management
fee rates paid by other funds in the same Broadridge category as the Fund. This review included ranking of the Fund within an expense universe comprised of funds with the same Broadridge investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”). The Trustees reviewed a description of Broadridge’s methodology for selecting funds in the Universe and Peer Group, as applicable, and noted that Universe and/or Peer Group quintile rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Trustees also reviewed information about other expenses and the total expense ratio for the Fund. The Trustees recognized that it can be difficult to make comparisons of management fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Fund’s management fee and expense ratio are summarized below:
The Trustees noted that the Fund’s net management fee was in the second and first quintiles of the Peer Group and Universe, respectively, and that the actual total expenses were also in the second and first quintiles of the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
Semi-Annual Report
J.P. Morgan Exchange-Traded Funds
August 31, 2024 (Unaudited)
| | |
JPMorgan Inflation Managed Bond ETF | | |
JPMorgan Realty Income ETF | | |
CONTENTS
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at (844) 457-6383 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Shares are bought and sold throughout the day on an exchange at market price (not at net asset value) through a brokerage account, and are not individually subscribed and redeemed from a Fund. Shares may only be subscribed and redeemed directly from a Fund by Authorized Participants, in very large creation/redemption units. Brokerage commissions will reduce returns.
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
U.S. Treasury Obligations — 30.6% |
U.S. Treasury Inflation Linked Notes | | |
| | |
| | |
| | |
| | |
Total U.S. Treasury Obligations
(Cost $203,582,459) | | |
|
Aerospace & Defense — 0.8% |
BAE Systems plc (United Kingdom) 3.40%, 4/15/2030 (b) | | |
|
| | |
| | |
| | |
| | |
L3Harris Technologies, Inc. 3.85%, 12/15/2026 | | |
Leidos, Inc. 2.30%, 2/15/2031 | | |
RTX Corp. 5.75%, 1/15/2029 | | |
| | |
Automobile Components — 0.0% ^ |
Lear Corp. 2.60%, 1/15/2032 | | |
|
|
| | |
| | |
| | |
Stellantis Finance US, Inc. 2.69%, 9/15/2031 (b) | | |
| | |
|
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (b) (c) | | |
|
(SOFR + 2.33%), 6.61%, 9/13/2029 (b) (c) | | |
(SOFR + 1.91%), 5.87%, 3/28/2035 (b) (c) | | |
Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (b) (d) | | |
Banco Santander SA (Spain) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c) | | |
| | |
|
(SOFR + 1.15%), 1.32%, 6/19/2026 (c) | | |
| | |
|
|
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (c) | | |
(3-MONTH CME TERM SOFR + 1.84%), 3.82%, 1/20/2028 (c) | | |
(SOFR + 1.63%), 5.20%, 4/25/2029 (c) | | |
(SOFR + 1.53%), 1.90%, 7/23/2031 (c) | | |
(SOFR + 1.65%), 5.47%, 1/23/2035 (c) | | |
Bank of Ireland Group plc (Ireland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (b) (c) | | |
Bank of Montreal (Canada) 2.65%, 3/8/2027 | | |
Barclays plc (United Kingdom) |
(SOFR + 1.88%), 6.50%, 9/13/2027 (c) | | |
(SOFR + 1.74%), 5.69%, 3/12/2030 (c) | | |
(SOFR + 2.98%), 6.22%, 5/9/2034 (c) | | |
|
(SOFR + 2.07%), 2.22%, 6/9/2026 (b) (c) | | |
(SOFR + 1.23%), 2.59%, 1/20/2028 (b) (c) | | |
|
(SOFR + 1.09%), 2.05%, 10/19/2027 (b) (c) | | |
(SOFR + 1.31%), 2.28%, 1/20/2032 (b) (c) | | |
|
(SOFR + 0.77%), 1.12%, 1/28/2027 (c) | | |
| | |
(3-MONTH CME TERM SOFR + 1.82%), 3.89%, 1/10/2028 (c) | | |
(SOFR + 1.17%), 2.56%, 5/1/2032 (c) | | |
(SOFR + 1.35%), 3.06%, 1/25/2033 (c) | | |
Cooperatieve Rabobank UA (Netherlands) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.98%, 12/15/2027 (b) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.56%, 2/28/2029 (b) (c) | | |
Credit Agricole SA (France) |
(SOFR + 1.68%), 1.91%, 6/16/2026 (b) (c) | | |
(SOFR + 1.69%), 5.34%, 1/10/2030 (b) (c) | | |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (b) (c) | | |
Discover Bank 3.45%, 7/27/2026 | | |
DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.61%, 3/30/2028 (b) (c) | | |
|
| | |
(SOFR + 1.84%), 5.63%, 1/29/2032 (c) | | |
Fifth Third Bank NA 2.25%, 2/1/2027 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
HSBC Holdings plc (United Kingdom) |
(3-MONTH CME TERM SOFR + 1.61%), 4.29%, 9/12/2026 (c) | | |
(SOFR + 1.73%), 2.01%, 9/22/2028 (c) | | |
(3-MONTH CME TERM SOFR + 1.87%), 3.97%, 5/22/2030 (c) | | |
(SOFR + 2.39%), 2.85%, 6/4/2031 (c) | | |
ING Groep NV (Netherlands) (SOFR + 1.01%), 1.73%, 4/1/2027 (c) | | |
KeyBank NA 3.30%, 6/1/2025 | | |
KeyCorp (SOFRINDX + 1.25%), 6.59%, 5/23/2025 (c) | | |
Lloyds Banking Group plc (United Kingdom) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.44%, 2/5/2026 (c) | | |
| | |
Mitsubishi UFJ Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (c) | | |
Mizuho Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.12%), 5.38%, 5/26/2030 (c) | | |
National Bank of Canada (Canada) 5.60%, 12/18/2028 | | |
NatWest Group plc (United Kingdom) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.64%, 6/14/2027 (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.78%, 3/1/2035 (c) | | |
PNC Financial Services Group, Inc. (The) |
(SOFRINDX + 1.09%), 4.76%, 1/26/2027 (c) | | |
(SOFR + 1.34%), 5.30%, 1/21/2028 (c) | | |
Santander UK Group Holdings plc (United Kingdom) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (c) | | |
(SOFR + 2.75%), 6.83%, 11/21/2026 (c) | | |
(SOFR + 2.60%), 6.53%, 1/10/2029 (c) | | |
Societe Generale SA (France) |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) (c) | | |
| | |
|
|
Standard Chartered plc (United Kingdom) |
(3-MONTH SOFR + 1.21%), 2.82%, 1/30/2026 (b) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.45%), 5.91%, 5/14/2035 (b) (c) | | |
Sumitomo Mitsui Financial Group, Inc. (Japan) 1.90%, 9/17/2028 | | |
Toronto-Dominion Bank (The) (Canada) 1.15%, 6/12/2025 | | |
Truist Bank 3.30%, 5/15/2026 | | |
|
(SOFR + 2.45%), 7.16%, 10/30/2029 (c) | | |
(SOFR + 1.62%), 5.44%, 1/24/2030 (c) | | |
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (c) | | |
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (b) (c) | | |
|
(SOFR + 1.56%), 5.38%, 1/23/2030 (c) | | |
(SOFR + 1.86%), 5.68%, 1/23/2035 (c) | | |
Wachovia Corp. 7.57%, 8/1/2026 (e) | | |
|
(SOFR + 2.10%), 2.39%, 6/2/2028 (c) | | |
(SOFR + 1.50%), 5.20%, 1/23/2030 (c) | | |
(3-MONTH CME TERM SOFR + 1.43%), 2.88%, 10/30/2030 (c) | | |
| | |
|
|
| | |
| | |
Amgen, Inc. 5.25%, 3/2/2030 | | |
Gilead Sciences, Inc. 3.50%, 2/1/2025 | | |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | | |
| | |
Broadline Retail — 0.0% ^ |
eBay, Inc. 2.60%, 5/10/2031 | | |
|
Brookfield Finance, Inc. (Canada) 4.25%, 6/2/2026 | | |
Deutsche Bank AG (Germany) |
(SOFR + 2.52%), 7.15%, 7/13/2027 (c) | | |
(SOFR + 1.32%), 2.55%, 1/7/2028 (c) | | |
(SOFR + 1.72%), 3.04%, 5/28/2032 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Capital Markets — continued |
Goldman Sachs Group, Inc. (The) |
| | |
| | |
(SOFR + 1.09%), 1.99%, 1/27/2032 (c) | | |
(SOFR + 1.28%), 2.62%, 4/22/2032 (c) | | |
Macquarie Group Ltd. (Australia) |
(3-MONTH SOFR + 1.75%), 5.03%, 1/15/2030 (b) (c) | | |
(SOFR + 2.30%), 6.26%, 12/7/2034 (b) (c) | | |
|
(SOFR + 1.99%), 2.19%, 4/28/2026 (c) | | |
| | |
(SOFR + 1.45%), 5.17%, 1/16/2030 (c) | | |
(SOFR + 1.02%), 1.93%, 4/28/2032 (c) | | |
Nasdaq, Inc. 5.55%, 2/15/2034 | | |
Nomura Holdings, Inc. (Japan) |
| | |
| | |
UBS Group AG (Switzerland) |
(SOFR + 2.04%), 2.19%, 6/5/2026 (b) (c) | | |
(SOFRINDX + 0.98%), 1.31%, 2/2/2027 (b) (c) | | |
| | |
|
Albemarle Corp. 5.05%, 6/1/2032 | | |
RPM International, Inc. 2.95%, 1/15/2032 | | |
Westlake Corp. 3.60%, 8/15/2026 | | |
| | |
Construction & Engineering — 0.1% |
|
| | |
| | |
| | |
Construction Materials — 0.0% ^ |
Martin Marietta Materials, Inc. Series CB, 2.50%, 3/15/2030 | | |
|
AerCap Ireland Capital DAC (Ireland) |
| | |
| | |
|
(SOFR + 1.33%), 6.34%, 10/30/2026 (c) | | |
(SOFR + 0.93%), 5.04%, 7/26/2028 (c) | | |
Avolon Holdings Funding Ltd. (Ireland) |
| | |
| | |
| | |
| | |
|
Consumer Finance — continued |
| | |
Capital One Financial Corp. |
(SOFR + 1.56%), 5.46%, 7/26/2030 (c) | | |
(SOFR + 1.27%), 2.62%, 11/2/2032 (c) | | |
General Motors Financial Co., Inc. |
| | |
| | |
Macquarie Airfinance Holdings Ltd. (United Kingdom) 6.40%, 3/26/2029 (b) | | |
Mitsubishi HC Finance America LLC (Japan) 5.81%, 9/12/2028 (b) | | |
| | |
Consumer Staples Distribution & Retail — 0.1% |
7-Eleven, Inc. 1.80%, 2/10/2031 (b) | | |
Kroger Co. (The) 5.00%, 9/15/2034 | | |
| | |
Containers & Packaging — 0.1% |
Graphic Packaging International LLC 1.51%, 4/15/2026 (b) | | |
WRKCo, Inc. 4.90%, 3/15/2029 | | |
| | |
|
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (b) | | |
Safehold GL Holdings LLC 2.80%, 6/15/2031 | | |
Simon Property Group LP 2.45%, 9/13/2029 | | |
|
| | |
| | |
| | |
Diversified Telecommunication Services — 0.6% |
AT&T, Inc. 1.65%, 2/1/2028 | | |
NBN Co. Ltd. (Australia) 2.63%, 5/5/2031 (b) | | |
Sprint Capital Corp. 6.88%, 11/15/2028 | | |
Verizon Communications, Inc. |
| | |
| | |
| | |
Electric Utilities — 2.0% |
Alabama Power Co. 5.85%, 11/15/2033 | | |
American Electric Power Co., Inc. 5.63%, 3/1/2033 | | |
Atlantic City Electric Co. 4.00%, 10/15/2028 | | |
Baltimore Gas and Electric Co. 5.30%, 6/1/2034 | | |
CenterPoint Energy Houston Electric LLC Series AA, 3.00%, 2/1/2027 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
Cleveland Electric Illuminating Co. (The) |
| | |
| | |
Connecticut Light and Power Co. (The) Series A, 3.20%, 3/15/2027 | | |
DTE Electric Co. 3.38%, 3/1/2025 | | |
Duke Energy Carolinas LLC 6.45%, 10/15/2032 | | |
Duke Energy Corp. 5.45%, 6/15/2034 | | |
Duke Energy Indiana LLC 5.25%, 3/1/2034 | | |
Duke Energy Ohio, Inc. 5.25%, 4/1/2033 | | |
Duquesne Light Holdings, Inc. |
| | |
| | |
Edison International 3.55%, 11/15/2024 | | |
Entergy Louisiana LLC 1.60%, 12/15/2030 | | |
Evergy, Inc. 2.90%, 9/15/2029 | | |
Fells Point Funding Trust 3.05%, 1/31/2027 (b) | | |
FirstEnergy Pennsylvania Electric Co. 3.25%, 3/15/2028 (b) | | |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | | |
Interstate Power and Light Co. 4.10%, 9/26/2028 | | |
ITC Holdings Corp. 2.95%, 5/14/2030 (b) | | |
Kentucky Utilities Co. 3.30%, 10/1/2025 | | |
NextEra Energy Capital Holdings, Inc. 2.25%, 6/1/2030 | | |
Niagara Mohawk Power Corp. |
| | |
| | |
NRG Energy, Inc. 2.45%, 12/2/2027 (b) | | |
Pacific Gas and Electric Co. |
| | |
| | |
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036 | | |
Potomac Electric Power Co. 5.20%, 3/15/2034 | | |
SCE Recovery Funding LLC Series A-2, 1.94%, 5/15/2038 | | |
Southern Co. (The) 5.70%, 3/15/2034 | | |
Southwestern Electric Power Co. Series M, 4.10%, 9/15/2028 | | |
Tampa Electric Co. 4.90%, 3/1/2029 | | |
Virginia Electric and Power Co. Series A, 3.50%, 3/15/2027 | | |
Wisconsin Electric Power Co. 3.10%, 6/1/2025 | | |
| | |
| | |
|
Electrical Equipment — 0.0% ^ |
Eaton Corp. 3.10%, 9/15/2027 | | |
Energy Equipment & Services — 0.0% ^ |
Halliburton Co. 2.92%, 3/1/2030 | | |
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (b) | | |
| | |
|
Take-Two Interactive Software, Inc. 5.60%, 6/12/2034 | | |
Financial Services — 0.6% |
Corebridge Financial, Inc. 3.65%, 4/5/2027 | | |
Fiserv, Inc. 5.35%, 3/15/2031 | | |
|
| | |
| | |
LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (b) | | |
Nationwide Building Society (United Kingdom) |
| | |
| | |
| | |
|
Bimbo Bakeries USA, Inc. (Mexico) 6.05%, 1/15/2029 (b) | | |
Campbell Soup Co. 5.40%, 3/21/2034 | | |
General Mills, Inc. 4.95%, 3/29/2033 | | |
J M Smucker Co. (The) 6.20%, 11/15/2033 | | |
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 | | |
| | |
|
ONE Gas, Inc. 2.00%, 5/15/2030 | | |
Ground Transportation — 0.5% |
Canadian Pacific Railway Co. (Canada) 2.05%, 3/5/2030 | | |
Penske Truck Leasing Co. LP |
| | |
| | |
Triton Container International Ltd. (Bermuda) |
| | |
| | |
| | |
Health Care Providers & Services — 0.5% |
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Health Care Providers & Services — continued |
CVS Health Corp. 1.88%, 2/28/2031 | | |
|
| | |
| | |
Humana, Inc. 3.95%, 3/15/2027 | | |
|
| | |
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| | |
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|
Alexandria Real Estate Equities, Inc. 3.38%, 8/15/2031 | | |
DOC DR LLC 2.63%, 11/1/2031 | | |
Healthcare Realty Holdings LP |
| | |
| | |
Healthpeak OP LLC 2.13%, 12/1/2028 | | |
Sabra Health Care LP 3.20%, 12/1/2031 | | |
|
| | |
| | |
| | |
Welltower OP LLC 2.75%, 1/15/2032 | | |
| | |
Hotels, Restaurants & Leisure — 0.2% |
Expedia Group, Inc. 3.25%, 2/15/2030 | | |
|
Prologis LP 4.75%, 6/15/2033 | | |
|
Aon North America, Inc. 5.45%, 3/1/2034 | | |
Athene Global Funding 2.72%, 1/7/2029 (b) | | |
|
| | |
| | |
F&G Global Funding 2.30%, 4/11/2027 (b) | | |
Five Corners Funding Trust II 2.85%, 5/15/2030 (b) | | |
Guardian Life Global Funding 0.88%, 12/10/2025 (b) | | |
Manulife Financial Corp. (Canada) 4.15%, 3/4/2026 | | |
Principal Financial Group, Inc. |
| | |
| | |
|
|
| | |
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b) | | |
| | |
Interactive Media & Services — 0.1% |
Meta Platforms, Inc. 4.55%, 8/15/2031 | | |
|
Hasbro, Inc. 3.90%, 11/19/2029 | | |
|
Charter Communications Operating LLC 4.91%, 7/23/2025 | | |
Comcast Corp. 4.15%, 10/15/2028 | | |
Discovery Communications LLC 3.95%, 3/20/2028 | | |
Paramount Global 2.90%, 1/15/2027 | | |
Time Warner Cable Enterprises LLC 8.38%, 7/15/2033 | | |
| | |
|
Glencore Funding LLC (Australia) |
| | |
| | |
|
| | |
| | |
| | |
|
Ameren Corp. 5.00%, 1/15/2029 | | |
CenterPoint Energy, Inc. 1.45%, 6/1/2026 | | |
CMS Energy Corp. 2.95%, 2/15/2027 | | |
Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028 | | |
Consumers Energy Co. 4.63%, 5/15/2033 | | |
NiSource, Inc. 5.25%, 3/30/2028 | | |
PG&E Energy Recovery Funding LLC Series A-2, 2.28%, 1/15/2036 | | |
Public Service Enterprise Group, Inc. 1.60%, 8/15/2030 | | |
Puget Energy, Inc. 2.38%, 6/15/2028 | | |
| | |
|
COPT Defense Properties LP 2.00%, 1/15/2029 | | |
Kilroy Realty LP 2.65%, 11/15/2033 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — 1.6% |
Aker BP ASA (Norway) 2.00%, 7/15/2026 (b) | | |
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (b) | | |
BP Capital Markets America, Inc. 2.72%, 1/12/2032 | | |
Cameron LNG LLC 2.90%, 7/15/2031 (b) | | |
Columbia Pipelines Holding Co. LLC 5.68%, 1/15/2034 (b) | | |
Coterra Energy, Inc. 3.90%, 5/15/2027 | | |
Ecopetrol SA (Colombia) 5.38%, 6/26/2026 | | |
Enbridge, Inc. (Canada) 5.70%, 3/8/2033 | | |
|
| | |
| | |
Enterprise Products Operating LLC 3.95%, 2/15/2027 | | |
Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (b) | | |
|
| | |
| | |
HF Sinclair Corp. 5.88%, 4/1/2026 | | |
|
| | |
| | |
| | |
| | |
NGPL PipeCo LLC 3.25%, 7/15/2031 (b) | | |
Occidental Petroleum Corp. 5.38%, 1/1/2032 | | |
Ovintiv, Inc. 5.38%, 1/1/2026 | | |
Plains All American Pipeline LP 3.55%, 12/15/2029 | | |
Sabine Pass Liquefaction LLC 4.50%, 5/15/2030 | | |
Suncor Energy, Inc. (Canada) 5.95%, 12/1/2034 | | |
Targa Resources Partners LP 4.00%, 1/15/2032 | | |
| | |
Passenger Airlines — 0.0% ^ |
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | | |
|
|
| | |
| | |
|
Pharmaceuticals — continued |
| | |
Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030 | | |
| | |
Real Estate Management & Development — 0.1% |
Mitsui Fudosan Co. Ltd. (Japan) 3.65%, 7/20/2027 (b) | | |
Ontario Teachers' Cadillac Fairview Properties Trust (Canada) 3.88%, 3/20/2027 (b) | | |
| | |
|
Essex Portfolio LP 1.65%, 1/15/2031 | | |
Mid-America Apartments LP 1.70%, 2/15/2031 | | |
|
| | |
| | |
| | |
| | |
| | |
|
Brixmor Operating Partnership LP |
| | |
| | |
| | |
|
| | |
| | |
Realty Income Corp. 4.13%, 10/15/2026 | | |
|
| | |
| | |
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b) | | |
| | |
Semiconductors & Semiconductor Equipment — 0.5% |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Semiconductors & Semiconductor Equipment — continued |
Marvell Technology, Inc. 2.95%, 4/15/2031 | | |
NXP BV (China) 2.50%, 5/11/2031 | | |
| | |
|
|
| | |
| | |
| | |
| | |
Roper Technologies, Inc. 1.40%, 9/15/2027 | | |
Workday, Inc. 3.50%, 4/1/2027 | | |
| | |
|
American Tower Corp. 1.45%, 9/15/2026 | | |
Crown Castle, Inc. 4.45%, 2/15/2026 | | |
Equinix, Inc. 2.90%, 11/18/2026 | | |
|
| | |
| | |
| | |
|
AutoZone, Inc. 1.65%, 1/15/2031 | | |
O'Reilly Automotive, Inc. |
| | |
| | |
| | |
| | |
|
Altria Group, Inc. 2.45%, 2/4/2032 | | |
BAT Capital Corp. (United Kingdom) 2.26%, 3/25/2028 | | |
| | |
Trading Companies & Distributors — 0.2% |
Air Lease Corp. 3.63%, 4/1/2027 | | |
Aviation Capital Group LLC 5.50%, 12/15/2024 (b) | | |
| | |
Wireless Telecommunication Services — 0.3% |
Rogers Communications, Inc. (Canada) 3.80%, 3/15/2032 | | |
| | |
|
Wireless Telecommunication Services — continued |
|
| | |
| | |
| | |
Total Corporate Bonds
(Cost $183,692,228) | | |
Mortgage-Backed Securities — 17.7% |
FHLMC Gold Pools, 20 Year | | |
Pool # C91030, 5.50%, 5/1/2027 | | |
Pool # C91802, 3.50%, 1/1/2035 | | |
FHLMC Gold Pools, 30 Year | | |
Pool # A15232, 5.00%, 10/1/2033 | | |
Pool # A57681, 6.00%, 12/1/2036 | | |
Pool # G06493, 4.50%, 5/1/2041 | | |
| | |
Pool # WN1157, 1.80%, 11/1/2028 | | |
Pool # U90690, 3.50%, 6/1/2042 | | |
| | |
Pool # ZM6956, 4.50%, 6/1/2048 | | |
Pool # QA3677, 2.50%, 10/1/2049 | | |
Pool # QA9530, 2.50%, 5/1/2050 | | |
Pool # QB0130, 2.50%, 6/1/2050 | | |
Pool # RA5276, 2.50%, 5/1/2051 | | |
Pool # QC3244, 3.00%, 6/1/2051 | | |
Pool # QC7410, 2.50%, 9/1/2051 | | |
Pool # RA5906, 2.50%, 9/1/2051 | | |
Pool # QD7596, 2.50%, 2/1/2052 | | |
Pool # RA6702, 3.00%, 2/1/2052 | | |
Pool # SD3952, 2.50%, 3/1/2052 | | |
Pool # RA7937, 5.00%, 9/1/2052 | | |
Pool # SD3518, 5.50%, 7/1/2053 | | |
| | |
Pool # MA1138, 3.50%, 8/1/2032 | | |
Pool # AP9584, 3.00%, 10/1/2032 | | |
| | |
Pool # AL0045, 6.00%, 12/1/2032 | | |
Pool # 735503, 6.00%, 4/1/2035 | | |
Pool # 888460, 6.50%, 10/1/2036 | | |
Pool # 888890, 6.50%, 10/1/2037 | | |
Pool # 949320, 7.00%, 10/1/2037 | | |
Pool # 995149, 6.50%, 10/1/2038 | | |
Pool # 994410, 7.00%, 11/1/2038 | | |
Pool # AD9151, 5.00%, 8/1/2040 | | |
Pool # AE0681, 4.50%, 12/1/2040 | | |
Pool # BM3500, 4.00%, 9/1/2047 | | |
Pool # BM3499, 4.00%, 12/1/2047 | | |
Pool # BE8354, 4.00%, 3/1/2048 | | |
Pool # BK2113, 2.50%, 3/1/2050 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Mortgage-Backed Securities — continued |
Pool # CA5658, 2.50%, 5/1/2050 | | |
Pool # CA6417, 3.00%, 7/1/2050 | | |
Pool # BK2829, 2.50%, 8/1/2050 | | |
Pool # CA6989, 2.50%, 9/1/2050 | | |
Pool # BP7667, 2.50%, 12/1/2050 | | |
Pool # FS5384, 2.50%, 6/1/2051 | | |
Pool # FM7957, 2.50%, 7/1/2051 | | |
Pool # FS6514, 2.50%, 9/1/2051 | | |
Pool # CB1878, 3.00%, 10/1/2051 | | |
Pool # FM9776, 3.00%, 11/1/2051 | | |
Pool # CB2637, 2.50%, 1/1/2052 | | |
Pool # CB2670, 3.00%, 1/1/2052 | | |
Pool # FS5986, 2.50%, 2/1/2052 | | |
Pool # FS7749, 3.00%, 2/1/2052 | | |
Pool # FS0882, 2.50%, 3/1/2052 | | |
Pool # CB3265, 3.00%, 4/1/2052 | | |
Pool # CB3378, 4.00%, 4/1/2052 | | |
Pool # FS6323, 3.50%, 5/1/2052 | | |
Pool # CB3629, 4.00%, 5/1/2052 | | |
Pool # DA4015, 6.00%, 10/1/2053 | | |
Pool # DB3630, 5.50%, 6/1/2054 | | |
| | |
Pool # AN1247, 2.64%, 6/1/2026 | | |
Pool # AN6732, 2.83%, 5/1/2027 | | |
Pool # AN7338, 3.06%, 11/1/2027 | | |
Pool # AN7943, 3.10%, 1/1/2028 | | |
Pool # AN1161, 3.05%, 4/1/2028 | | |
Pool # BS8224, 4.10%, 5/1/2028 | | |
Pool # AN9486, 3.57%, 6/1/2028 | | |
Pool # AN2069, 2.35%, 8/1/2028 | | |
Pool # BL0907, 3.88%, 12/1/2028 | | |
Pool # BM4162, 3.12%, 10/1/2029 (f) | | |
Pool # BL4333, 2.52%, 11/1/2029 | | |
Pool # BS8252, 4.36%, 4/1/2030 | | |
Pool # BM7037, 1.75%, 3/1/2032 (f) | | |
Pool # BS5117, 2.58%, 3/1/2032 | | |
Pool # BS8503, 4.62%, 5/1/2033 | | |
Pool # BS2933, 1.82%, 9/1/2033 | | |
Pool # MA1125, 4.00%, 7/1/2042 | | |
Pool # MA1437, 3.50%, 5/1/2043 | | |
Pool # MA1463, 3.50%, 6/1/2043 | | |
Pool # BF0669, 4.00%, 6/1/2052 | | |
Pool # BF0230, 5.50%, 1/1/2058 | | |
Pool # BM7238, 3.00%, 4/1/2059 | | |
Pool # BM6734, 4.00%, 8/1/2059 | | |
Pool # BF0497, 3.00%, 7/1/2060 | | |
Pool # BF0546, 2.50%, 7/1/2061 | | |
Pool # BF0617, 2.50%, 3/1/2062 | | |
FNMA/FHLMC UMBS, Single Family, 30 Year | | |
TBA, 5.50%, 9/25/2054 (g) | | |
| | |
|
TBA, 6.00%, 9/25/2054 (g) | | |
| | |
Pool # 4245, 6.00%, 9/20/2038 | | |
Pool # BA7567, 4.50%, 5/20/2048 | | |
Pool # BI0416, 4.50%, 11/20/2048 | | |
Pool # BM9692, 4.50%, 7/20/2049 | | |
Total Mortgage-Backed Securities
(Cost $120,180,381) | | |
Asset-Backed Securities — 10.2% |
Air Canada Pass-Through Trust (Canada) | | |
Series 2013-1, Class A, 4.13%, 5/15/2025 (b) | | |
Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) | | |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (b) | | |
American Airlines Pass-Through Trust | | |
Series 2016-3, Class AA, 3.00%, 10/15/2028 | | |
Series 2021-1, Class B, 3.95%, 7/11/2030 | | |
American Credit Acceptance Receivables Trust | | |
Series 2023-2, Class A, 5.89%, 10/13/2026 (b) | | |
Series 2023-1, Class C, 5.59%, 4/12/2029 (b) | | |
AmeriCredit Automobile Receivables Trust | | |
Series 2021-2, Class B, 0.69%, 1/19/2027 | | |
Series 2024-1, Class B, 5.38%, 6/18/2029 | | |
| | |
Series 2020-SFR4, Class A, 1.36%, 11/17/2037 (b) | | |
Series 2020-SFR5, Class A, 1.38%, 11/17/2037 (b) | | |
Amur Equipment Finance Receivables LLC Series 2022-1A, Class A2, 1.64%, 10/20/2027 (b) | | |
Avis Budget Rental Car Funding AESOP LLC | | |
Series 2020-1A, Class A, 2.33%, 8/20/2026 (b) | | |
Series 2024-2A, Class A, 5.13%, 10/20/2028 (b) | | |
Business Jet Securities LLC Series 2022-1A, Class A, 4.46%, 6/15/2037 (b) | | |
| | |
Series 2021-1, Class A3, 0.34%, 12/15/2025 | | |
Series 2023-4, Class A3, 6.00%, 7/17/2028 | | |
Carvana Auto Receivables Trust | | |
Series 2021-P3, Class A3, 0.70%, 11/10/2026 | | |
Series 2023-N1, Class A, 6.36%, 4/12/2027 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
Series 2022-P3, Class A3, 4.61%, 11/10/2027 | | |
Series 2021-P4, Class A4, 1.64%, 12/10/2027 | | |
CoreVest American Finance Trust | | |
Series 2019-3, Class A, 2.71%, 10/15/2052 (b) | | |
Series 2022-1, Class A, 4.74%, 6/17/2055 (b) (f) | | |
CPS Auto Receivables Trust | | |
Series 2023-A, Class C, 5.54%, 4/16/2029 (b) | | |
Series 2022-C, Class B, 4.88%, 4/15/2030 (b) | | |
Credit Acceptance Auto Loan Trust | | |
Series 2023-1A, Class B, 7.02%, 5/16/2033 (b) | | |
Series 2024-1A, Class A, 5.68%, 3/15/2034 (b) | | |
Series 2024-2A, Class A, 5.95%, 6/15/2034 (b) | | |
| | |
Series 2021-3A, Class C, 0.87%, 5/17/2027 (b) | | |
Series 2021-4A, Class D, 1.99%, 9/15/2027 (b) | | |
Series 2023-1A, Class C, 5.55%, 10/16/2028 (b) | | |
Series 2023-2A, Class B, 5.41%, 2/15/2029 (b) | | |
Exeter Automobile Receivables Trust | | |
Series 2022-5A, Class B, 5.97%, 3/15/2027 | | |
Series 2023-5A, Class A3, 6.32%, 3/15/2027 | | |
Series 2022-4A, Class C, 4.92%, 12/15/2028 | | |
Series 2023-1A, Class D, 6.69%, 6/15/2029 | | |
Series 2024-3A, Class C, 5.70%, 7/16/2029 | | |
FHF Trust Series 2023-1A, Class A2, 6.57%, 6/15/2028 (b) | | |
| | |
Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (b) | | |
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (b) | | |
Series 2021-SFR2, Class D, 2.06%, 9/17/2038 (b) | | |
Flagship Credit Auto Trust | | |
Series 2021-4, Class A, 0.81%, 7/17/2026 (b) | | |
Series 2022-1, Class A, 1.79%, 10/15/2026 (b) | | |
| | |
|
Series 2023-1, Class A2, 5.38%, 12/15/2026 (b) | | |
Series 2023-2, Class A2, 5.76%, 4/15/2027 (b) | | |
Series 2023-1, Class C, 5.43%, 5/15/2029 (b) | | |
FRTKL Series 2021-SFR1, Class A, 1.57%, 9/17/2038 (b) | | |
GLS Auto Receivables Issuer Trust Series 2021-3A, Class C, 1.11%, 9/15/2026 (b) | | |
GM Financial Automobile Leasing Trust Series 2024-2, Class A3, 5.39%, 7/20/2027 | | |
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (b) | | |
Hertz Vehicle Financing LLC Series 2022-1A, Class A, 1.99%, 6/25/2026 (b) | | |
Home Partners of America Trust Series 2022-1, Class D, 4.73%, 4/17/2039 (b) | | |
Kubota Credit Owner Trust Series 2023-1A, Class A3, 5.02%, 6/15/2027 (b) | | |
Lendmark Funding Trust Series 2022-1A, Class A, 5.12%, 7/20/2032 (b) | | |
LP LMS Asset Securitization Trust Series 2023-1A, Class A, 8.18%, 10/17/2033 (b) | | |
| | |
Series 2021-2A, Class A, 1.43%, 5/20/2039 (b) | | |
Series 2021-1WA, Class A, 1.14%, 1/22/2041 (b) | | |
Series 2024-1A, Class A, 5.32%, 2/20/2043 (b) | | |
OneMain Direct Auto Receivables Trust Series 2023-1A, Class A, 5.41%, 11/14/2029 (b) | | |
PRET LLC Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (b) (e) | | |
Progress Residential Trust | | |
Series 2021-SFR2, Class E1, 2.55%, 4/19/2038 (b) | | |
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (b) | | |
Series 2021-SFR11, Class A, 2.28%, 1/17/2039 (b) | | |
Series 2023-SFR1, Class A, 4.30%, 3/17/2040 (b) | | |
Series 2021-SFR9, Class E1, 2.81%, 11/17/2040 (b) | | |
PRPM LLC Series 2021-10, Class A1, 2.49%, 10/25/2026 (b) (e) | | |
Santander Drive Auto Receivables Trust | | |
Series 2022-5, Class B, 4.43%, 3/15/2027 | | |
Series 2023-1, Class B, 4.98%, 2/15/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Asset-Backed Securities — continued |
Series 2024-4, Class B, 4.93%, 9/17/2029 | | |
Series 2023-5, Class B, 6.16%, 12/17/2029 | | |
Series 2024-2, Class C, 5.84%, 6/17/2030 | | |
Series 2024-3, Class C, 5.64%, 8/15/2030 | | |
SCF Equipment Leasing LLC | | |
Series 2022-2A, Class A3, 6.50%, 10/21/2030 (b) | | |
Series 2024-1A, Class A3, 5.52%, 1/20/2032 (b) | | |
Sierra Timeshare Receivables Funding LLC Series 2022-2A, Class A, 4.73%, 6/20/2040 (b) | | |
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 | | |
SpringCastle America Funding LLC Series 2020-AA, Class A, 1.97%, 9/25/2037 (b) | | |
Tesla Auto Lease Trust Series 2024-A, Class A3, 5.30%, 6/21/2027 (b) | | |
Toyota Auto Receivables Owner Trust Series 2021-C, Class A4, 0.72%, 1/15/2027 | | |
United Airlines Pass-Through Trust | | |
Series 2016-1, Class AA, 3.10%, 7/7/2028 | | |
Series 2016-2, Class AA, 2.88%, 10/7/2028 | | |
Series 2018-1, Class AA, 3.50%, 3/1/2030 | | |
Series 2018-1, Class A, 3.70%, 3/1/2030 | | |
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 (b) | | |
Volkswagen Auto Lease Trust Series 2024-A, Class A3, 5.21%, 6/21/2027 | | |
VOLT C LLC Series 2021-NPL9, Class A1, 4.99%, 5/25/2051 (b) (e) | | |
VOLT CI LLC Series 2021-NP10, Class A1, 4.99%, 5/25/2051 (b) (e) | | |
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (b) (e) | | |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 4.89%, 2/27/2051 (b) (e) | | |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 5.24%, 2/27/2051 (b) (e) | | |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 5.12%, 4/25/2051 (b) (e) | | |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 5.12%, 3/27/2051 (b) (e) | | |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 5.24%, 4/25/2051 (b) (e) | | |
| | |
Series 2022-1A, Class A, 1.79%, 8/20/2036 (b) | | |
Series 2024-1A, Class B, 6.56%, 1/20/2038 (b) | | |
| | |
|
Westlake Automobile Receivables Trust | | |
Series 2022-3A, Class A3, 5.49%, 7/15/2026 (b) | | |
Series 2021-3A, Class D, 2.12%, 1/15/2027 (b) | | |
Series 2023-1A, Class A3, 5.21%, 1/18/2028 (b) | | |
Series 2023-1A, Class C, 5.74%, 8/15/2028 (b) | | |
World Omni Auto Receivables Trust | | |
Series 2021-A, Class A3, 0.30%, 1/15/2026 | | |
Series 2021-C, Class A3, 0.44%, 8/17/2026 | | |
Series 2023-D, Class A3, 5.79%, 2/15/2029 | | |
Total Asset-Backed Securities
(Cost $69,326,193) | | |
Collateralized Mortgage Obligations — 6.0% |
CHL Mortgage Pass-Through Trust Series 2004-8, Class 2A1, 4.50%, 6/25/2019 ‡ | | |
Citigroup Mortgage Loan Trust Series 2004-HYB4, Class WA, 6.25%, 12/25/2034 (f) | | |
Citigroup Mortgage Loan Trust, Inc. Series 2003-1, Class 3A4, 5.25%, 9/25/2033 | | |
CSMC Trust Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (b) (e) | | |
FHLMC Seasoned Credit Risk Transfer Trust | | |
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | | |
Series 2017-4, Class M60C, 3.50%, 6/25/2057 | | |
Series 2017-4, Class MT, 3.50%, 6/25/2057 | | |
Series 2018-2, Class M55D, 4.00%, 11/25/2057 | | |
Series 2019-3, Class M55D, 4.00%, 10/25/2058 | | |
Series 2020-1, Class M55G, 3.00%, 8/25/2059 | | |
| | |
Series 3571, Class MY, 4.00%, 9/15/2024 | | |
Series 3577, Class B, 4.00%, 9/15/2024 | | |
Series 3578, Class KB, 4.00%, 9/15/2024 | | |
Series 2989, Class TG, 5.00%, 6/15/2025 | | |
Series 2988, Class TY, 5.50%, 6/15/2025 | | |
Series 3816, Class HA, 3.50%, 11/15/2025 | | |
Series 3087, Class KX, 5.50%, 12/15/2025 | | |
Series 3787, Class AY, 3.50%, 1/15/2026 | | |
Series 3794, Class LB, 3.50%, 1/15/2026 | | |
Series 3102, Class CE, 5.50%, 1/15/2026 | | |
Series 3123, Class HT, 5.00%, 3/15/2026 | | |
Series 3121, Class JD, 5.50%, 3/15/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Collateralized Mortgage Obligations — continued |
Series 3150, Class EQ, 5.00%, 5/15/2026 | | |
Series 3898, Class KH, 3.50%, 6/15/2026 | | |
Series 3885, Class AC, 4.00%, 6/15/2026 | | |
Series 3911, Class B, 3.50%, 8/15/2026 | | |
Series 3959, Class PB, 3.00%, 11/15/2026 | | |
Series 3337, Class MD, 5.50%, 6/15/2027 | | |
Series 2110, Class PG, 6.00%, 1/15/2029 | | |
Series 3563, Class LB, 4.00%, 8/15/2029 | | |
Series 3653, Class B, 4.50%, 4/15/2030 | | |
Series 3824, Class EY, 3.50%, 3/15/2031 | | |
Series 2525, Class AM, 4.50%, 4/15/2032 | | |
Series 2441, Class GF, 6.50%, 4/15/2032 | | |
Series 2436, Class MC, 7.00%, 4/15/2032 | | |
Series 2760, Class KT, 4.50%, 9/15/2032 | | |
Series 2505, Class D, 5.50%, 9/15/2032 | | |
Series 2544, Class KE, 5.50%, 12/15/2032 | | |
Series 2557, Class HL, 5.30%, 1/15/2033 | | |
Series 2575, Class PE, 5.50%, 2/15/2033 | | |
Series 2586, Class WG, 4.00%, 3/15/2033 | | |
Series 2596, Class QD, 4.00%, 3/15/2033 | | |
Series 2621, Class QH, 5.00%, 5/15/2033 | | |
Series 2624, Class QH, 5.00%, 6/15/2033 | | |
Series 2648, Class BK, 5.00%, 7/15/2033 | | |
Series 4238, Class UY, 3.00%, 8/15/2033 | | |
Series 2673, Class PE, 5.50%, 9/15/2033 | | |
Series 2696, Class DG, 5.50%, 10/15/2033 | | |
Series 2725, Class TA, 4.50%, 12/15/2033 | | |
Series 2733, Class ME, 5.00%, 1/15/2034 | | |
Series 2768, Class PK, 5.00%, 3/15/2034 | | |
Series 2934, Class KG, 5.00%, 2/15/2035 | | |
Series 3077, Class TO, PO, 4/15/2035 | | |
Series 2960, Class JH, 5.50%, 4/15/2035 | | |
Series 3082, Class PW, 5.50%, 12/15/2035 | | |
Series 3084, Class BH, 5.50%, 12/15/2035 | | |
Series 3098, Class KG, 5.50%, 1/15/2036 | | |
Series 3136, Class CO, PO, 4/15/2036 | | |
Series 3145, Class AJ, 5.50%, 4/15/2036 | | |
Series 3819, Class ZQ, 6.00%, 4/15/2036 | | |
Series 3200, PO, 8/15/2036 | | |
Series 3270, Class AT, 5.50%, 1/15/2037 | | |
Series 3272, Class PA, 6.00%, 2/15/2037 | | |
Series 3348, Class HT, 6.00%, 7/15/2037 | | |
Series 3501, Class A, 4.50%, 1/15/2039 | | |
Series 3508, Class PK, 4.00%, 2/15/2039 | | |
Series 3513, Class A, 4.50%, 2/15/2039 | | |
Series 3653, Class HJ, 5.00%, 4/15/2040 | | |
Series 3677, Class KB, 4.50%, 5/15/2040 | | |
Series 3677, Class PB, 4.50%, 5/15/2040 | | |
Series 3715, Class PC, 4.50%, 8/15/2040 | | |
Series 3955, Class HB, 3.00%, 12/15/2040 | | |
| | |
|
Series 3828, Class PU, 4.50%, 3/15/2041 | | |
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (f) | | |
Series 3956, Class EB, 3.25%, 11/15/2041 | | |
Series 3963, Class JB, 4.50%, 11/15/2041 | | |
Series 4026, Class MQ, 4.00%, 4/15/2042 | | |
Series 4616, Class HP, 3.00%, 9/15/2046 | | |
Series 3688, Class GT, 7.53%, 11/15/2046 (f) | | |
FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042 | | |
| | |
Series 2010-49, Class KB, 4.00%, 5/25/2025 | | |
Series 1997-57, Class PN, 5.00%, 9/18/2027 | | |
Series 2009-39, Class LB, 4.50%, 6/25/2029 | | |
Series 2009-96, Class DB, 4.00%, 11/25/2029 | | |
Series 2010-28, Class DE, 5.00%, 4/25/2030 | | |
Series 2001-63, Class TC, 6.00%, 12/25/2031 | | |
Series 2001-81, Class HE, 6.50%, 1/25/2032 | | |
Series 2002-75, Class GB, 5.50%, 11/25/2032 | | |
Series 2011-39, Class ZA, 6.00%, 11/25/2032 | | |
Series 2002-85, Class PE, 5.50%, 12/25/2032 | | |
Series 2003-21, Class OU, 5.50%, 3/25/2033 | | |
Series 2003-26, Class EB, 3.50%, 4/25/2033 | | |
Series 2003-23, Class CH, 5.00%, 4/25/2033 | | |
Series 2003-63, Class YB, 5.00%, 7/25/2033 | | |
Series 2003-69, Class N, 5.00%, 7/25/2033 | | |
Series 2003-80, Class QG, 5.00%, 8/25/2033 | | |
Series 2003-85, Class QD, 5.50%, 9/25/2033 | | |
Series 2003-94, Class CE, 5.00%, 10/25/2033 | | |
Series 2005-5, Class CK, 5.00%, 1/25/2035 | | |
Series 2005-29, Class WC, 4.75%, 4/25/2035 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Collateralized Mortgage Obligations — continued |
Series 2005-48, Class TD, 5.50%, 6/25/2035 | | |
Series 2005-53, Class MJ, 5.50%, 6/25/2035 | | |
Series 2005-58, Class EP, 5.50%, 7/25/2035 | | |
Series 2005-68, Class BE, 5.25%, 8/25/2035 | | |
Series 2005-68, Class PG, 5.50%, 8/25/2035 | | |
Series 2005-102, Class PG, 5.00%, 11/25/2035 | | |
Series 2005-110, Class GL, 5.50%, 12/25/2035 | | |
Series 2006-49, Class PA, 6.00%, 6/25/2036 | | |
Series 2009-19, Class PW, 4.50%, 10/25/2036 | | |
Series 2006-114, Class HE, 5.50%, 12/25/2036 | | |
Series 2007-33, Class HE, 5.50%, 4/25/2037 | | |
Series 2007-65, Class KI, IF, IO, 1.16%, 7/25/2037 (f) | | |
Series 2007-71, Class KP, 5.50%, 7/25/2037 | | |
Series 2007-71, Class GB, 6.00%, 7/25/2037 | | |
Series 2009-86, Class OT, PO, 10/25/2037 | | |
Series 2008-72, Class BX, 5.50%, 8/25/2038 | | |
Series 2008-74, Class B, 5.50%, 9/25/2038 | | |
Series 2009-37, Class KI, IF, IO, 0.54%, 6/25/2039 (f) | | |
Series 2009-86, Class IP, IO, 5.50%, 10/25/2039 | | |
Series 2009-92, Class AD, 6.00%, 11/25/2039 | | |
Series 2009-112, Class ST, IF, IO, 0.79%, 1/25/2040 (f) | | |
Series 2010-22, Class PE, 5.00%, 3/25/2040 | | |
Series 2010-35, Class SB, IF, IO, 0.96%, 4/25/2040 (f) | | |
Series 2010-37, Class CY, 5.00%, 4/25/2040 | | |
Series 2010-54, Class EA, 4.50%, 6/25/2040 | | |
Series 2010-64, Class DM, 5.00%, 6/25/2040 | | |
Series 2010-71, Class HJ, 5.50%, 7/25/2040 | | |
| | |
|
Series 2010-123, Class BP, 4.50%, 11/25/2040 | | |
Series 2011-41, Class KL, 4.00%, 5/25/2041 | | |
Series 2011-50, Class LP, 4.00%, 6/25/2041 | | |
Series 2012-137, Class CF, 5.76%, 8/25/2041 (f) | | |
Series 2012-103, Class DA, 3.50%, 10/25/2041 | | |
Series 2012-14, Class DE, 3.50%, 3/25/2042 | | |
Series 2012-139, Class JA, 3.50%, 12/25/2042 | | |
Series 2013-104, Class CY, 5.00%, 10/25/2043 | | |
Series 2019-65, Class PA, 2.50%, 5/25/2048 | | |
Series 2009-96, Class CB, 4.00%, 11/25/2049 | | |
Series 2019-7, Class CA, 3.50%, 11/25/2057 | | |
FNMA, STRIPS Series 314, Class 1, PO, 7/25/2031 | | |
| | |
Series 2003-29, Class PD, 5.50%, 4/16/2033 | | |
Series 2003-65, Class AP, 5.50%, 8/20/2033 | | |
Series 2003-77, Class TK, 5.00%, 9/16/2033 | | |
Series 2004-16, Class GC, 5.50%, 2/20/2034 | | |
Series 2004-54, Class BG, 5.50%, 7/20/2034 | | |
Series 2004-93, Class PD, 5.00%, 11/16/2034 | | |
Series 2004-101, Class BE, 5.00%, 11/20/2034 | | |
Series 2005-11, Class PL, 5.00%, 2/20/2035 | | |
Series 2005-26, Class XY, 5.50%, 3/20/2035 | | |
Series 2005-33, Class AY, 5.50%, 4/16/2035 | | |
Series 2005-49, Class B, 5.50%, 6/20/2035 | | |
Series 2005-51, Class DC, 5.00%, 7/20/2035 | | |
Series 2005-56, Class BD, 5.00%, 7/20/2035 | | |
Series 2006-7, Class ND, 5.50%, 8/20/2035 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Collateralized Mortgage Obligations — continued |
Series 2007-37, Class LB, 5.50%, 6/16/2037 | | |
Series 2007-79, Class BL, 5.75%, 8/20/2037 | | |
Series 2009-106, Class ST, IF, IO, 0.55%, 2/20/2038 (f) | | |
Series 2008-7, Class PQ, 5.00%, 2/20/2038 | | |
Series 2008-9, Class PW, 5.25%, 2/20/2038 | | |
Series 2008-23, Class YA, 5.25%, 3/20/2038 | | |
Series 2008-35, Class NF, 5.00%, 4/20/2038 | | |
Series 2008-34, Class PG, 5.25%, 4/20/2038 | | |
Series 2008-33, Class PB, 5.50%, 4/20/2038 | | |
Series 2008-38, Class BG, 5.00%, 5/16/2038 | | |
Series 2008-43, Class NB, 5.50%, 5/20/2038 | | |
Series 2008-56, Class PX, 5.50%, 6/20/2038 | | |
Series 2008-58, Class PE, 5.50%, 7/16/2038 | | |
Series 2008-62, Class SA, IF, IO, 0.70%, 7/20/2038 (f) | | |
Series 2008-76, Class US, IF, IO, 0.45%, 9/20/2038 (f) | | |
Series 2011-97, Class WA, 6.09%, 11/20/2038 (f) | | |
Series 2008-95, Class DS, IF, IO, 1.85%, 12/20/2038 (f) | | |
Series 2009-14, Class AG, 4.50%, 3/20/2039 | | |
Series 2009-72, Class SM, IF, IO, 0.80%, 8/16/2039 (f) | | |
Series 2009-61, Class AP, 4.00%, 8/20/2039 | | |
Series 2010-130, Class BD, 4.00%, 12/20/2039 | | |
Series 2010-157, Class OP, PO, 12/20/2040 | | |
Series 2014-H11, Class VA, 5.95%, 6/20/2064 (f) | | |
Series 2015-H20, Class FA, 5.92%, 8/20/2065 (f) | | |
Series 2015-H26, Class FG, 5.97%, 10/20/2065 (f) | | |
GSR Mortgage Loan Trust Series 2004-6F, Class 2A4, 5.50%, 5/25/2034 | | |
| | |
|
| | |
Series 2006-A2, Class 5A3, 6.26%, 11/25/2033 (f) | | |
Series 2007-A1, Class 5A5, 5.64%, 7/25/2035 (f) | | |
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 6.49%, 4/21/2034 (f) | | |
Merrill Lynch Mortgage Investors Trust | | |
Series 2003-F, Class A1, 6.03%, 10/25/2028 (f) | | |
Series 2004-B, Class A1, 5.89%, 5/25/2029 (f) | | |
Morgan Stanley Mortgage Loan Trust Series 2004-3, Class 4A, 5.65%, 4/25/2034 (f) | | |
PHH Mortgage Trust Series 2008-CIM2, Class 5A1, 6.00%, 7/25/2038 | | |
Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028 | | |
Sequoia Mortgage Trust Series 2004-11, Class A1, 6.05%, 12/20/2034 (f) | | |
Structured Asset Mortgage Investments II Trust Series 2003-AR4, Class A1, 6.16%, 1/19/2034 (f) | | |
Thornburg Mortgage Securities Trust Series 2004-4, Class 3A, 5.61%, 12/25/2044 (f) | | |
Vendee Mortgage Trust Series 2003-2, Class Z, 5.00%, 5/15/2033 | | |
WaMu Mortgage Pass-Through Certificates Trust Series 2003-AR11, Class A6, 5.86%, 10/25/2033 (f) | | |
Total Collateralized Mortgage Obligations
(Cost $42,542,397) | | |
Commercial Mortgage-Backed Securities — 5.7% |
20 Times Square Trust Series 2018-20TS, Class A, 3.20%, 5/15/2035 (b) (f) | | |
BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (b) | | |
BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (b) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series KL3L, Class ALNZ, 3.46%, 4/25/2025 (f) | | |
Series KLU2, Class A7, 2.23%, 9/25/2025 (f) | | |
Series K737, Class AM, 2.10%, 10/25/2026 | | |
Series K072, Class A2, 3.44%, 12/25/2027 | | |
Series K083, Class A2, 4.05%, 9/25/2028 (f) | | |
Series KJ44, Class A2, 4.61%, 2/25/2033 | | |
Series K145, Class AM, 2.58%, 6/25/2055 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
| | |
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (f) | | |
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (f) | | |
Series 2017-M12, Class A2, 3.16%, 6/25/2027 (f) | | |
Series 2017-M13, Class A2, 3.03%, 9/25/2027 (f) | | |
Series 2018-M2, Class A2, 3.00%, 1/25/2028 (f) | | |
Series 2018-M4, Class A2, 3.16%, 3/25/2028 (f) | | |
Series 2018-M9, Class APT2, 3.21%, 4/25/2028 (f) | | |
Series 2018-M14, Class A2, 3.70%, 8/25/2028 (f) | | |
Series 2017-M5, Class A2, 3.09%, 4/25/2029 (f) | | |
Series 2018-M3, Class A2, 3.17%, 2/25/2030 (f) | | |
Series 2020-M50, Class A2, 1.20%, 10/25/2030 | | |
Series 2020-M50, Class X1, IO, 1.93%, 10/25/2030 (f) | | |
Series 2021-M11, Class A2, 1.51%, 3/25/2031 (f) | | |
Series 2022-M1G, Class A2, 1.58%, 9/25/2031 (f) | | |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | | |
Series 2021-M3, Class X1, IO, 2.03%, 11/25/2033 (f) | | |
FREMF Mortgage Trust Series 2015-K44, Class B, 3.84%, 1/25/2048 (b) (f) | | |
Morgan Stanley Capital I Trust Series 2021-PLZA, Class A, 2.57%, 11/9/2043 (b) | | |
MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b) | | |
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) | | |
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b) | | |
Total Commercial Mortgage-Backed Securities
(Cost $40,143,659) | | |
Foreign Government Securities — 0.2% |
Republic of Colombia 7.38%, 9/18/2037 | | |
| | |
|
| | |
| | |
| | |
Total Foreign Government Securities
(Cost $1,824,661) | | |
| | |
Short-Term Investments — 3.4% |
Investment Companies — 3.4% |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (h) (i)
(Cost $22,658,867) | | |
Total Investments — 100.6%
(Cost $683,950,845) | | |
Liabilities in Excess of Other Assets — (0.6)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Alternative Credit Enhancement Securities |
| Chicago Mercantile Exchange |
| Credit Suisse Mortgage Trust |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| Intercontinental Exchange |
| 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 August 31, 2024. The rate may be subject to a cap and floor. |
| 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. |
| 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. |
| Real Estate Investment Trust |
| Real Estate Mortgage Investment Conduit |
| Secured Overnight Financing Rate |
| Compounding index of the Secured Overnight Financing Rate |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| 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. |
| To Be Announced; Security is subject to delayed delivery. |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts or centrally cleared swaps. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2024. | |
| 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 August 31, 2024 is $1,536,272 or 0.23% of the Fund’s net assets as of August 31, 2024. | |
| Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of August 31, 2024. | |
| Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2024. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| The rate shown is the current yield as of August 31, 2024. | |
Futures contracts outstanding as of August 31, 2024:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
U.S. Treasury 10 Year Note | | | | | |
U.S. Treasury 10 Year Ultra Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
Centrally Cleared Inflation-linked swap contracts outstanding as of August 31, 2024 :
| | | | | UPFRONT
PAYMENTS
(RECEIPTS)
$ | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| |
| Consumer Price Index for All Urban Consumers |
| |
(a) Value of floating rate index at August 31, 2024 was as follows: |
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of August 31, 2024:
REFERENCE
OBLIGATION/INDEX | FINANCING
RATE PAID
BY THE FUND
(%) | | | | | UPFRONT
PAYMENTS
(RECEIPTS)
| UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| 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. |
| 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. |
| 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). |
| |
| Credit Default Swap Index |
| |
Centrally Cleared interest rate swap contracts outstanding as of August 31, 2024:
| | | | | UPFRONT
PAYMENTS
(RECEIPTS)
($) | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| |
| Secured Overnight Financing Rate |
| |
| Value of floating rate index at August 31, 2024 was as follows: |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Realty Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
|
|
American Homes 4 Rent, Class A, REIT | | |
Equity LifeStyle Properties, Inc., REIT | | |
| | |
| | |
| | |
|
American Tower Corp., REIT | | |
Digital Realty Trust, Inc., REIT | | |
| | |
Outfront Media, Inc., REIT | | |
SBA Communications Corp., REIT | | |
VICI Properties, Inc., REIT | | |
| | |
| | |
|
CareTrust REIT, Inc., REIT | | |
Sabra Health Care REIT, Inc., REIT | | |
| | |
| | |
| | |
|
DiamondRock Hospitality Co., REIT | | |
Host Hotels & Resorts, Inc., REIT | | |
| | |
|
Americold Realty Trust, Inc., REIT | | |
EastGroup Properties, Inc., REIT | | |
| | |
| | |
| | |
|
| | |
COPT Defense Properties, REIT | | |
Cousins Properties, Inc., REIT | | |
| | |
| | |
|
|
Federal Realty Investment Trust, REIT | | |
| | |
| | |
|
| | |
|
Extra Space Storage, Inc., REIT | | |
| | |
| | |
Total Common Stocks
(Cost $307,447,771) | | |
Short-Term Investments — 1.9% |
Investment Companies — 1.9% |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (a) (b)
(Cost $7,506,702) | | |
Total Investments — 100.0%
(Cost $314,954,473) | | |
Other Assets Less Liabilities — 0.0% ^ | | |
| | |
Percentages indicated are based on net assets. |
| |
| Real Estate Investment Trust |
| Amount rounds to less than 0.1% of net assets. |
| Non-income producing security. | |
| 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. | |
| The rate shown is the current yield as of August 31, 2024. | |
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENTS OF ASSETS AND LIABILITIESAS OF August 31, 2024 (Unaudited)
| JPMorgan
Inflation
Managed
Bond ETF | |
| | |
Investments in non-affiliates, at value | | |
Investments in affiliates, at value | | |
| | |
Deposits at broker for centrally cleared swaps | | |
| | |
Investment securities sold | | |
Investment securities sold — delayed delivery securities | | |
Interest from non-affiliates | | |
Dividends from non-affiliates | | |
Dividends from affiliates | | |
Securities lending income (See Note 2.D.) | | |
Variation margin on centrally cleared swaps | | |
| | |
| | |
| | |
| | |
Investment securities purchased — delayed delivery securities | | |
Variation margin on futures contracts | | |
| | |
| | |
| | |
Printing and mailing costs | | |
Custodian and accounting fees | | |
| | |
| | |
| | |
| | |
| | |
Total distributable earnings (loss) | | |
| | |
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001) | | |
Net asset value, per share | | |
Cost of investments in non-affiliates | | |
Cost of investments in affiliates | | |
Net upfront receipts on centrally cleared swaps | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF OPERATIONSFOR THE SIX MONTHS ENDED August 31, 2024 (Unaudited)
| JPMorgan
Inflation
Managed
Bond ETF | |
| | |
Interest income from non-affiliates | | |
Interest income from affiliates | | |
Dividend income from non-affiliates | | |
Dividend income from affiliates | | |
Income from securities lending (net) (See Note 2.D.) | | |
| | |
| | |
| | |
| | |
Custodian and accounting fees | | |
Interest expense to non-affiliates | | |
Interest expense to affiliates | | |
| | |
Trustees’ and Chief Compliance Officer’s fees | | |
Registration and filing fees | | |
| | |
| | |
| | |
Less expense reimbursements | | |
| | |
Net investment income (loss) | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | |
Net realized gain (loss) on transactions from: | | |
Investments in non-affiliates | | |
Investments in affiliates | | |
In-kind redemptions of investments in non-affiliates (See Note 4) | | |
| | |
| | |
| | |
Change in net unrealized appreciation/depreciation on: | | |
Investments in non-affiliates | | |
Investments in affiliates | | |
| | |
| | |
Change in net unrealized appreciation/depreciation | | |
Net realized/unrealized gains (losses) | | |
Change in net assets resulting from operations | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETSFOR THE PERIODS INDICATED
| JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF |
| Six Months Ended
August 31, 2024
(Unaudited) | Year Ended
February 29, 2024 | Six Months Ended
August 31, 2024
(Unaudited) | Year Ended
February 29, 2024 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
Net increase (decrease) in shares from share transactions | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
FINANCIAL HIGHLIGHTSFOR THE PERIODS INDICATED
| Per share operating performance (a) |
| | | |
| Net asset
value,
beginning
of period | Net investment
income
(loss) (c) | Net realized
and unrealized
gains
(losses)
on investments | Total from
investment
operations | | | |
JPMorgan Inflation Managed Bond ETF (h) | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | |
Year Ended February 29, 2024 | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
JPMorgan Realty Income ETF (i) | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | |
Year Ended February 29, 2024 | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
|
| 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. |
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| JPMorgan Inflation Managed Bond ETF acquired all of the assets and liabilities of the JPMorgan Inflation Managed Bond Fund (“Acquired 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 Acquired Fund are used as proxy market price returns. |
| JPMorgan Realty Income ETF acquired all of the assets and liabilities of the JPMorgan Realty Income Fund (“Acquired 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 Acquired Fund are used as proxy market price returns. |
| JPMorgan Inflation Managed Bond ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan Inflation Managed Bond Fund (“Acquired Fund”) in a reorganization that occurred as of the close of business on April 8, 2022. Performance and financial history of the Acquired 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 Acquired Fund’s Class R6 Shares for the period March 1, 2019 up through the reorganization. |
| JPMorgan Realty Income ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan Realty Income Fund (“Acquired Fund”) in a reorganization that occurred as of the close of business on May 20, 2022. Performance and financial history of the Acquired 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 Acquired Fund’s Class R6 Shares for the period March 1, 2019 up through the reorganization. |
| 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%, |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| | | | | Ratios to average net assets (b) | |
Net asset
value,
end of
period | | | Market
price
total
return (d)(f)(g) | | | Net
investment
income
(loss) | Expenses
without waivers
and reimbursements | Portfolio
turnover
rate (d) |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited)
1. Organization
J.P. Morgan Exchange-Traded Fund Trust (the “Trust”) was formed on February 25, 2010, and is governed by a Declaration of Trust as amended and restated February 19, 2014, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 2 separate funds of the Trust (each, a "Fund" and collectively, the "Funds") covered by this report:
| Diversification Classification |
JPMorgan Inflation Managed Bond ETF | |
JPMorgan Realty Income ETF | |
Pursuant to an Agreement and Plan of Reorganization and Liquidation previously approved by the Board of Trustees (the “Board”) of the applicable mutual fund trust, the following mutual funds (each, an “Acquired Fund” and collectively the “Acquired Funds”) were each reorganized into a newly created exchange-traded fund (each, a “Reorganization”) as of the close of business on the dates noted below (each, a “Closing Date”):
| | |
JPMorgan Inflation Managed Bond Fund | JPMorgan Inflation Managed Bond ETF | |
JPMorgan Realty Income Fund | JPMorgan Realty Income ETF | |
Following its Reorganization, each Acquired Fund’s performance (Class R6 Shares) and financial history were adopted by the new Fund. In connection with each Reorganization, each shareholder of an Acquired Fund (except as noted below) received shares of the surviving Fund equal in value to the number of shares of the Acquired Fund they owned on the Closing Date, including a cash payment in lieu of fractional shares of the Fund, which cash payment might have been taxable. Shareholders of an Acquired Fund who did not hold their shares through a brokerage account that could accept shares of the Fund on the Closing Date had their Acquired Funds shares liquidated, and such shareholders received cash equal in value to their Acquired Funds shares, which cash payment might have been taxable. Shareholders of an Acquired Fund who held their shares through a fund direct individual retirement account and did not take action prior to the applicable Reorganization had their Acquired Fund shares exchanged for Morgan Shares of the JPMorgan U.S. Government Money Market Fund equal in value to their Acquired Fund shares. Each Fund has the same investment adviser, investment objective and fundamental investment policies and substantially similar investment strategies as its Acquired Fund. Effective as of the close of business on its Closing Date, each Acquired Fund ceased operations in connection with the consummation of its Reorganization.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as adviser (the “Adviser”) and administrator (the “Administrator”) to the Funds.
Costs incurred by the Funds and the Acquired Funds associated with each Reorganization (including the legal costs associated with each Reorganization) were borne by the Adviser by waiving fees or reimbursing expenses to offset the costs incurred by each Fund or Acquired Fund associated with each Reorganization, including any brokerage fees and expenses incurred by the Fund or Acquired Fund related to the disposition and acquisition of assets as part of each Reorganization. Brokerage fees and expenses related to the disposition and acquisition of assets (including any disposition to raise cash to pay redemption proceeds) that were incurred in the ordinary course of business were borne by the Funds and the Acquired Funds. The management fee of each Fund is the same as the management fee of the corresponding Acquired Fund. The total annual fund operating expenses of each Fund is expected to be lower than the net expenses of each share class of the Acquired Fund after taking into consideration the expense limitation agreement the Adviser has entered into with the Funds for a term ending June 30, 2025. Each Reorganization did not result in the material change to the Acquired Funds' portfolio holdings. There are no material differences in accounting policies of the Acquired Funds as compared to those of the Funds. Each Fund did not purchase or sell securities following its Reorganization for purposes of realigning its investment portfolio. Accordingly, each Reorganization of an Acquired Fund did not affect the corresponding Fund’s portfolio turnover ratios for the year ended February 28, 2023.
The investment objective of JPMorgan Inflation Managed Bond ETF ("Inflation Managed Bond ETF") is to seek to maximize inflation protected total return.
The investment objective of JPMorgan Realty Income ETF ("Realty Income ETF") is to seek to provide high total investment return through a combination of capital appreciation and current income.
Shares of each Fund are listed and traded at market price on an exchange as follows:
| |
Inflation Managed Bond ETF | |
| |
Market prices for the Funds’ shares may be different from their net asset value (“NAV”).
| J.P. Morgan Exchange-Traded Funds | |
The Funds issue and redeem their shares on a continuous basis, through JPMorgan Distribution Services, Inc. (the “Distributor” or “JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, at NAV in large blocks of shares, referred to as “Creation Units”. Creation Units are issued and redeemed in exchange for a basket of securities and/or cash. Shares are generally traded in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Only individuals or institutions that have entered into an authorized participant agreement with the Distributor may do business directly with the Funds (each, an “Authorized Participant”).
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments— Investments are valued in accordance with GAAP and the Funds' valuation policies set forth by, and under the supervision and responsibility of, the Board, which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
Under Section 2(a)(41) of the 1940 Act, the Board is required to determine fair value for securities that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Funds on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of investments held in the Funds. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
A market-based approach is primarily used to value the Funds' investments. Investments for which market quotations are not readily available are fair valued using prices supplied by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Boards. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the NAVs of the Funds are calculated on a valuation date.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations. Swaps are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds' investments are summarized into the three broad levels listed below.
•
Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
•
Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.
•
Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds' assumptions in determining the fair value of investments).
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments ("SOIs"):
Inflation Managed Bond ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
Foreign Government Securities | | | | |
Mortgage-Backed Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | | | | |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
B. Restricted Securities— Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of August 31, 2024, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
| J.P. Morgan Exchange-Traded Funds | |
C. When-Issued Securities, Delayed Delivery Securities and Forward Commitments— Inflation Managed Bond ETF purchased when-issued securities, including To-Be-Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.
Inflation Managed Bond ETF had when-issued securities, delayed delivery securities or forward commitments outstanding as of August 31, 2024, which are shown as a Receivable for Investment securities sold — delayed delivery securities and/or a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statement of Assets and Liabilities. The values of these securities held at August 31, 2024 are detailed on the SOI, if any.
The Funds' delayed delivery securities collateral requirements and collateral posted or received by counterparty as of August 31, 2024 are as follows:
| | | |
Inflation Managed Bond ETF | | Wells Fargo Securities LLC | |
D. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
Inflation Managed Bond ETF did not lend out any securities during the six months ended August 31, 2024. Realty Income ETF did not have any securities out on loan at August 31, 2024.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
E. Investment Transactions with Affiliates— The Funds invested in Underlying Funds advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. The Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
Inflation Managed Bond ETF |
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
|
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
| Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
F. Derivatives—Inflation Managed Bond ETF used derivative instruments including futures contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Funds may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing the Funds to close out their position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds' risk of loss associated with these instruments may exceed their value, as recorded on the Statements of Assets and Liabilities.
The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds' ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds' net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Funds often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Funds. The ISDA agreements give the Funds and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable against collateral posted to a segregated account by one party for the benefit of the other.
| J.P. Morgan Exchange-Traded Funds | |
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark-to-market gains to the Funds.
Notes F(1) — F(3) below describe the various derivatives used by the Funds.
(1) Futures Contracts— Inflation Managed Bond ETF used treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments. The Fund also purchased futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Fund to interest rate risk. The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Fund's futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(2) Swaps— Inflation Managed Bond ETF engaged in various swap transactions including total return basket swaps, to manage total return risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over-the-counter (“OTC swaps”) between a fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.
Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, on the Statements of Assets and Liabilities and are amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statements of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the Schedule of Portfolio Investments, while cash deposited, which is considered restricted, is reported as Deposits at broker for centrally cleared swaps on the Statements of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statements of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on swaps on the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank. For certain counterparties, cash collateral posted by the Fund is invested in an affiliated money market fund and/or held as restricted cash. Collateral received by the Fund is held in a separate segregated account maintained by JPMorgan Chase Bank, N.A, an affiliate of the Fund.
The Fund may be subject to various risks from the use of swaps including: (i) the risk that changes in the value of the swap may not correlate perfectly with the underlying instrument; (ii) counterparty credit risk related to the failure, by the counterparty to an over-the-counter derivative, to perform under the terms of the contract; (iii) liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and (iv) documentation risk relating to disagreement over contract terms.
The Fund’s OTC swap contracts are subject to master netting arrangements.
Inflation Managed Bond ETF entered into credit default swaps to simulate long and/or short bond positions or to take an active long and/or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the Fund, as protection seller, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to the Fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract and is not reflected on the Statements of Assets and Liabilities. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.
Inflation Managed Bond ETF used inflation-linked swaps to provide inflation protection within its portfolio. These are agreements between counterparties to exchange interest payments based on interest rates over the life of the swap. One cash flow stream will typically be a floating rate payment based upon the Consumer Price Index upon while the other is a pre-determined fixed interest rate. The use of swaps exposes the Fund to interest rate risk.
(3) Summary of Derivatives Information—The following table presents the value of derivatives held as of August 31, 2024, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
| |
Interest Rate Risk Exposure: | |
Unrealized Appreciation on Futures Contracts * | |
Swaps at Value (Assets) ** | |
Unrealized Depreciation on Futures Contracts * | |
Swaps at Value (Liabilities) ** | |
| |
Swaps at Value (Liabilities) ** | |
Net Fair Value of Derivative Contracts: | |
Unrealized Appreciation (Depreciation) on Futures Contracts * | |
| |
|
| 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. |
The following table presents the effect of derivatives on the Statements of Operations for the six months ended August 31, 2024, by primary underlying risk exposure:
| |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: |
Interest Rate Risk Exposure: |
| |
| |
| J.P. Morgan Exchange-Traded Funds | |
| |
|
| |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: |
Interest Rate Risk Exposure: |
| |
| |
|
| |
The table below discloses the volume of the Fund's futures contracts and swaps activity during the six months ended August 31, 2024. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity:
| |
| |
Average Notional Balance Long | |
Average Notional Balance Short | |
Ending Notional Balance Long | |
Ending Notional Balance Short | |
Interest Rate-Related Swaps (Inflation-Linked Swaps): | |
Average Notional Balance - Pays Fixed Rate | |
Ending Notional Balance - Pays Fixed Rate | |
| |
Average Notional Balance - Buy Protection | |
Ending Notional Balance - Buy Protection | |
G. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts. Dividend income and distributions of net investment income and realized capital gains from the Underlying Funds, if any, are recorded on the ex-dividend date or when a Fund first learns of the dividend.
Inflation Managed Bond ETF invests in treasury inflation protected securities (TIPS). The principal amount of TIPS is adjusted periodically and is increased for inflation or decreased for deflation based on a monthly published index. These adjustments are recorded as increases or decreases to interest income on the Statements of Operations. Coupon payments are based on the adjusted principal at the time the interest is paid.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
H. Allocation of Income and Expenses— Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trust are allocated among the applicable funds.
I. Federal Income Taxes— Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds' tax positions for all open tax years and has determined that as of August 31, 2024, no liability for Federal income tax is required in the Funds' financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund's Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
J. Distributions to Shareholders— Distributions from net investment income, if any, are generally declared and paid at least monthly for Inflation Managed Bond ETF and at least quarterly for Realty Income ETF. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee— Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
| |
Inflation Managed Bond ETF | |
| |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.E.
B. Administration Fee— Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund's respective average daily net assets, plus 0.050% of each Fund's respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund's respective average daily net assets between $20 billion and $25 billion, plus 0.010% of each Fund's respective average daily net assets in excess of $25 billion. For the six months ended August 31, 2024, the effective annualized rate was 0.075% of each Fund's average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.E.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds' sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the administration fees payable to JPMIM.
C. Distribution Fees— The Distributor or its agent distributes Creation Units for each Fund on an agency basis. The Distributor does not maintain a secondary market in shares of each Fund. JPMDS receives no fees for their distribution services under the distribution agreement with the Trust (the “Distribution Agreement”). Although the Trust does not pay any fees under the Distribution Agreement, JPMIM pays JPMDS for certain distribution related services.
D. Custodian, Accounting and Transfer Agent Fees— JPMCB provides portfolio custody, accounting and transfer agency services (effective as of the Closing Date) to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. The amounts paid directly to JPMCB by the Funds for transfer agency services are included in Transfer agency fees on the Statements of Operations.
Additionally, Authorized Participants generally pay transaction fees associated with the creation and redemption of Fund shares. These fees are used to offset certain custodian charges incurred by the Funds for these transactions.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
| J.P. Morgan Exchange-Traded Funds | |
E. Waivers and Reimbursements—The Adviser, Administrator and/or JPMDS had contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed 0.25% of Inflation Managed Bond ETF's average daily net assets and 0.50% of Realty Income ETF's average daily net assets.
The expense limitation agreements were in effect for the six months ended August 31, 2024 and the contractual expense limitations are in place until at least June 30, 2025.
For the six months ended August 31, 2024, the Funds' service providers waived fees and/or reimbursed expenses for the Funds as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
| |
| Contractual
Reimbursements |
Inflation Managed Bond ETF | |
| |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral. None of these parties expect the Funds to repay any such waived fees and/ or reimbursed expenses in future years.
The amounts of these waivers resulting from investments in these money market funds for the six months ended August 31, 2024 were as follows:
| |
Inflation Managed Bond ETF | |
| |
F. Other— Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. The Funds, along with certain other affiliated funds, make reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the six months ended August 31, 2024, Inflation Managed Bond ETF purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission ("SEC") has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended August 31, 2024, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) | Purchases
of U.S.
Government | |
Inflation Managed Bond ETF | | | | |
| | | | |
For the six months ended August 31, 2024, in-kind transactions associated with creations and redemptions were as follows:
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
During the six months ended August 31, 2024, the Funds delivered portfolio securities for the redemption of Fund shares (in-kind redemptions). Cash and portfolio securities were transferred for redemptions at fair value. For financial reporting purposes, the Funds recorded net realized gains and losses in connection with each in-kind redemption transaction.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at August 31, 2024 were as follows:
| | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
Inflation Managed Bond ETF | | | | |
| | | | |
At February 29, 2024, the following Funds had net capital loss carryforwards, which are available to offset future realized gains:
| Capital Loss Carryforward Character |
| | |
Inflation Managed Bond ETF | | |
| | |
Net capital losses (gains) and specified ordinary losses incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds' next taxable year. For the year ended February 29, 2024, the Funds deferred to March 1, 2024 the following net capital losses (gains) of:
| Net Capital Losses (Gains) | |
| | |
Inflation Managed Bond ETF | | | |
| | | |
6. Capital Share Transactions
The Trust issues and redeems shares of the Funds only in Creation Units through the Distributor at NAV. Capital shares transactions detail can be found in the Statements of Changes in Net Assets.
Shares of the Funds may only be purchased or redeemed by Authorized Participants. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Funds' shares outstanding and act as executing or clearing broker for investment transactions on behalf of the Funds. An Authorized Participant is either (1) a “Participating Party” or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation (“NSCC”); or (2) a DTC Participant; which, in either case, must have executed an agreement with the Distributor.
Creation Units of a Fund may be created in advance of receipt by the Trust of all or a portion of the applicable basket of equity securities and other instruments (“Deposit Instruments”) and cash as described in the Funds’ registration statement. In these instances, the initial Deposit Instruments and cash must be deposited in an amount equal to the sum of the cash amount, plus at least 105% for the Funds, of the market value of undelivered Deposit Instruments. A transaction fee may be imposed to offset transfer and other transaction costs associated with the purchase or redemption of Creation Units.
Authorized Participants transacting in Creation Units for cash may also pay a variable fee to compensate the relevant fund for market impact expenses relating to investing in portfolio securities. Such variable fees, if any, are included in “Proceeds from shares issued” in the Statements of Changes in Net Assets.
Effective November 1, 2022, the Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate
| J.P. Morgan Exchange-Traded Funds | |
and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund, or loans outstanding to another fund, during the six months ended August 31, 2024.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 29, 2024.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended August 31, 2024.
Effective August 8, 2023, the Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into an existing joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. Although the Trust is effectively part of the Credit Facility as of August 8, 2023, it was not eligible to draw on the Credit Facility, and did not incur costs associated with being a part of the Credit Facility.
This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25 million in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25 million minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00%, plus the greater of the federal funds effective rate or the one-month Adjusted Secured Overnight Financing Rate (SOFR).
Effective May 31, 2024, the Funds are no longer part of the Credit Facility.
The Funds did not utilize the Credit Facility during the six months ended August 31, 2024.
8. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of August 31, 2024, JPMorgan SmartRetirement Funds and JPMorgan SmartRetirement Blend Funds, which are affiliated fund of funds, each owned in the aggregate, shares representing more than 10% of the net assets of the Funds as follows:
| JPMorgan
SmartRetirement
Funds | JPMorgan
SmartRetirement
Blend Funds |
Inflation Managed Bond ETF | | |
| | |
Significant shareholder transactions by these shareholders may impact the Funds' performance and liquidity.
Disruptions to creations and redemptions, the existence of significant market volatility or potential lack of an active trading market for the shares (including through a trading halt), as well as other factors, may result in shares trading significantly above (at a premium) or below (at a discount) to the NAV or to the intraday value of the Funds’ holdings. During such periods, investors may incur significant losses if shares are sold.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses and could make derivatives more difficult for the Fund to value accurately.
Inflation Managed Bond ETF invests in Inflation-linked debt securities which are subject to the effects of changes in market interest rates caused by factors other than inflation (real interest rates). In general, the price of an inflation-linked security tends to decline when real interest rates increase.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
Unlike conventional bonds, the principal and interest payments of inflation protected securities such as TIPS are adjusted periodically to a specified rate of inflation (e.g., CPI-U). There can be no assurance that the inflation index used will accurately measure the actual rate of inflation. These securities may lose value in the event that the actual rate of inflation is different than the rate of the inflation index.
Inflation Managed Bond ETF is subject to interest rate risk. Investments in bonds and other debt securities will change in value based on changes in interest rates. If rates increase, the value of these investments generally declines. Securities with greater interest rate sensitivity and longer maturities generally are subject to greater fluctuations in value. The Funds may face a heightened level of interest rate risk due to certain changes in monetary policy. It is difficult to predict the pace at which central banks or monetary authorities may change interest rates or the timing, frequency, or magnitude of such changes. Any such changes could be sudden and could expose debt markets to significant volatility and reduced liquidity for Fund investments.
Inflation Managed Bond ETF is subject to credit risk. The Fund's investments are subject to the risk that an issuer and/or a counterparty will fail to make payments when due or default completely. Prices of the Fund's investments may be adversely affected if any of the issuers or counterparties it is invested in are subject to an actual or perceived deterioration in their credit quality. Credit spreads may increase, which may reduce the market values of the Fund's securities. Credit spread risk is the risk that economic and market conditions or any actual or perceived credit deterioration may lead to an increase in the credit spreads (i.e., the difference in yield between two securities of similar maturity but different credit quality) and a decline in price of the issuer’s securities.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds.
Because Realty Income ETF invests in Real Estate Investment Trusts (“REITs”), the Fund may be subject to certain risks similar to those associated with direct investments in real estate. REITs may be affected by changes in the value of their underlying properties and by defaults by tenants. REITs depend generally on their ability to generate cash flow to make distributions to shareholders, and certain REITs have self-liquidation provisions by which mortgages held may be paid in full and distributions of capital returns may be made at any time.
Realty Income ETF invests in companies with relatively small market capitalizations. Investments in companies with relatively small market capitalizations may involve greater risk than is usually associated with stocks of larger companies. These securities may have limited marketability and may be subject to more abrupt or erratic movements in price than securities of companies with larger capitalizations.
Since Realty Income ETF is non-diversified, it may invest a greater percentage of its assets in a particular issuer or group of issuers than a diversified fund would. This increased investment in fewer issuers may result in the Fund’s shares being more sensitive to economic results of those issuing the securities.
The Funds are subject to infectious disease epidemics/pandemics risk. The effects of any future pandemic or other global event to public health and business and market conditions, may have a significant negative impact on the performance of a Fund's investments, increase a Fund's volatility, negatively impact a Fund’s arbitrage and pricing mechanisms, exacerbate pre-existing political, social and economic risks to the Funds, and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to a pandemic or other global event that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could have a significant negative impact on a Fund’s investment performance. The ultimate impact of any pandemic or other global event and the extent to which the associated conditions and governmental responses impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
| J.P. Morgan Exchange-Traded Funds | |
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J.P. Morgan Exchange-Traded Funds are distributed by JPMorgan Distribution Services, Inc., an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the Funds.
Contact J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 (844-4JPM ETF) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risks as well as charges and expenses of the fund before investing. The prospectus contains this and other information about the fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Each Fund's quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund's policies and procedures with respect to the disclosure of each Fund's holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-844-457-6383 and on the Funds' website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds' voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds' website at www.jpmorganfunds.com no later than August 31 of each year. The Funds' proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2024. All rights reserved. August 2024.
SAN-CONVETF1-824
Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Proxy Disclosures for Open-End Management Investment Companies
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
Included in the Statements of Operations within the Funds' Financial Statements.
Statement Regarding Basis for Approval of Investment Advisory Agreements
The Board of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board and its investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed Income Committee) met regularly throughout the year and, at each meeting, considered factors that are relevant to their annual consideration of the continuation of the investment advisory agreements. The Board also met for the specific purpose of considering investment advisory agreement annual renewals. The Board held meetings June 25-26, 2024 and August 20-22, 2024, at which the Trustees considered the continuation of the investment advisory agreements for each Fund whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered each investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to an Advisory Agreement or “interested persons” (as defined in the Investment Company Act of 1940) of any party to an Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 22, 2024.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from J.P. Morgan Investment Management Inc. (the “Adviser”). This information included the Funds’ performance as compared to the performance of their peers and benchmarks, and analyses by the Adviser of the Funds’ performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (the “independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of certain Funds, including risk and performance return assessments as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the
Adviser, counsel to the Funds, and independent legal counsel to the Trustees, and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements with independent legal counsel in executive sessions at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances, and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. Among other things, the Trustees considered:
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The background and experience of the Adviser’s senior management and investment personnel, including personnel changes, if any;
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The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund, including personnel changes, if any;
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The investment strategy for each Fund, and the infrastructure supporting the portfolio management teams;
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Information about the structure and distribution strategy for each Fund and how it fits within the Adviser’s other fund offerings within the J.P. Morgan Funds complex;
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The administration services provided by the Adviser in its role as Administrator;
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Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Funds and in the financial industry generally;
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The overall reputation and capabilities of the Adviser and its affiliates;
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The commitment of the Adviser to provide high quality service to the Funds;
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Their overall confidence in the Adviser’s integrity; and
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The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates from providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser and reviewed with the Board. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered that JPMorgan Distribution Services, Inc. (“JPMDS”), an affiliate of the Adviser, and the Adviser earn fees from the Funds for providing shareholder and administration services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the fees earned by
JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Adviser, for custody, fund accounting and other related services for each Fund, and the profitability of the arrangements to JPMCB.
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds' operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including benefits that may be received by the Adviser and its affiliates in connection with the Fund’s potential investments in other funds advised by the Adviser. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Funds.
The Trustees considered the extent to which the Funds may benefit from potential economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted certain Funds with contractual expense limitations and fee waivers (“Fee Caps”), which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale. The Trustees also noted that certain other Funds that had achieved scale as asset levels had increased, no longer had a Fee Cap in place for some or all of their share classes, but shared economies of scale through lower average expenses. The Trustees noted that the fees remain fair and reasonable relative to peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser's and JPMDS's ongoing investments in their business in support of the Funds, including the Adviser's and/or JPMDS's investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee
structure for each Fund, including any Fee Caps the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. The Trustees concluded that, for Funds with Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and, for Funds that achieved scale and no longer had Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders benefited from lower average expenses resulting from increased assets. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including, to the extent applicable, institutional separate accounts, collective investment trusts, other registered investment companies and/or private funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered investment companies relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered investment company involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the applicable registered investment company, typically bears the sub-advisory fee and that many responsibilities related to the advisory function are typically retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
The Trustees receive and consider information about each Fund’s performance throughout the year. In addition, the Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe comprised of funds with the same Broadridge investment classification and objective (the “Universe”) by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge’s methodology for selecting exchange-traded funds in each Fund’s Universe, and noted that Universe quintile
rankings were not calculated if the number of funds in the Universe did not meet a predetermined minimum. The Broadridge materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared for certain Funds by the Trustees’ independent consultant. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted that the JPMorgan Inflation Managed Bond ETF’s performance was in the first, third and fifth quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
The Trustees noted that the JPMorgan Realty Income ETF’s performance was in the second, second and first quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge concerning management fee rates paid by other funds in the Universe, as well as a subset of funds within the Universe (the “Peer Group”). The Trustees recognized that Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund, and noted that Universe and/or Peer Group quintile rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio for each class, as
applicable, taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it can be difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that the JPMorgan Inflation Managed Bond ETF’s net advisory fee and actual total expenses were in the
first quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan Realty Income ETF’s net advisory fee and actual total expenses were in the second quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
Semi-Annual Report
J.P. Morgan Exchange-Traded Funds
August 31, 2024 (Unaudited)
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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 | | |
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 | | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF | | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF | | |
JPMorgan USD Emerging Markets Sovereign Bond ETF | | |
CONTENTS
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at (844) 457-6383 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Shares are bought and sold throughout the day on an exchange at market price (not at net asset value) through a brokerage account, and are not individually subscribed and redeemed from a Fund. Shares may only be subscribed and redeemed directly from a Fund by Authorized Participants, in very large creation/redemption units. Brokerage commissions will reduce returns.
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
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U.S. Treasury Obligations — 61.8% |
U.S. Treasury Bonds
6.50%, 11/15/2026 | | |
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Total U.S. Treasury Obligations
(Cost $8,971,533) | | |
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Aerospace & Defense — 0.4% |
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HEICO Corp. 5.25%, 8/1/2028 | | |
Lockheed Martin Corp. 3.55%, 1/15/2026 | | |
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Ford Motor Co. 6.63%, 10/1/2028 | | |
Toyota Motor Corp. (Japan) 1.34%, 3/25/2026 | | |
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Bangko Sentral ng Pilipinas International Bond (Philippines) 8.60%, 6/15/2027 | | |
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(SOFR + 1.01%), 1.20%, 10/24/2026 (a) | | |
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (a) | | |
(SOFR + 0.96%), 1.73%, 7/22/2027 (a) | | |
(SOFR + 1.34%), 5.93%, 9/15/2027 (a) | | |
(SOFR + 1.58%), 4.38%, 4/27/2028 (a) | | |
(3-MONTH CME TERM SOFR + 1.47%), 3.97%, 2/7/2030 (a) | | |
Bank of Montreal (Canada) 2.65%, 3/8/2027 | | |
Bank of Nova Scotia (The) (Canada) 1.35%, 6/24/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
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Corporate Bonds — continued |
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(3-MONTH CME TERM SOFR + 1.41%), 3.52%, 10/27/2028 (a) | | |
(3-MONTH CME TERM SOFR + 1.60%), 3.98%, 3/20/2030 (a) | | |
Citizens Financial Group, Inc. 2.85%, 7/27/2026 | | |
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(SOFR + 0.69%), 1.71%, 11/1/2027 (a) | | |
(SOFR + 1.36%), 4.06%, 4/25/2028 (a) | | |
HSBC Holdings plc (United Kingdom) (SOFR + 1.29%), 1.59%, 5/24/2027 (a) | | |
KeyCorp 4.15%, 10/29/2025 | | |
Kreditanstalt fuer Wiederaufbau (Germany) |
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Landwirtschaftliche Rentenbank (Germany) 0.88%, 3/30/2026 | | |
Mitsubishi UFJ Financial Group, Inc. (Japan) |
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Oesterreichische Kontrollbank AG (Austria) |
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PNC Financial Services Group, Inc. (The) (SOFR + 1.84%), 5.58%, 6/12/2029 (a) | | |
Regions Financial Corp. 1.80%, 8/12/2028 | | |
Royal Bank of Canada (Canada) 1.20%, 4/27/2026 | | |
Santander Holdings USA, Inc. (SOFR + 1.25%), 2.49%, 1/6/2028 (a) | | |
Sumitomo Mitsui Financial Group, Inc. (Japan) |
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Toronto-Dominion Bank (The) (Canada) |
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(USD Swap Semi 5 Year + 2.21%), 3.63%, 9/15/2031 (a) (b) | | |
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(SOFR + 1.37%), 4.12%, 6/6/2028 (a) | | |
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Series X, 3.15%, 4/27/2027 | | |
(SOFR + 0.73%), 2.22%, 1/27/2028 (a) | | |
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(3-MONTH CME TERM SOFR + 1.43%), 3.20%, 6/17/2027 (a) | | |
(SOFR + 1.98%), 4.81%, 7/25/2028 (a) | | |
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(SOFR + 1.74%), 5.57%, 7/25/2029 (a) | | |
Westpac Banking Corp. (Australia) |
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Coca-Cola Co. (The) 1.00%, 3/15/2028 | | |
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PepsiCo, Inc. 2.85%, 2/24/2026 | | |
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Amgen, Inc. 1.65%, 8/15/2028 | | |
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Ameriprise Financial, Inc. 2.88%, 9/15/2026 | | |
Ares Capital Corp. 2.15%, 7/15/2026 | | |
Bank of New York Mellon Corp. (The) Series J, 1.90%, 1/25/2029 | | |
BGC Group, Inc. 6.60%, 6/10/2029 (c) | | |
Blue Owl Capital Corp. 2.88%, 6/11/2028 | | |
Brookfield Finance, Inc. (Canada) 4.85%, 3/29/2029 | | |
Charles Schwab Corp. (The) 2.00%, 3/20/2028 | | |
CME Group, Inc. 3.75%, 6/15/2028 | | |
Deutsche Bank AG (Germany) 4.10%, 1/13/2026 | | |
FactSet Research Systems, Inc. 2.90%, 3/1/2027 | | |
Goldman Sachs Group, Inc. (The) |
(SOFR + 0.80%), 1.43%, 3/9/2027 (a) | | |
(SOFR + 0.91%), 1.95%, 10/21/2027 (a) | | |
(3-MONTH CME TERM SOFR + 1.42%), 3.81%, 4/23/2029 (a) | | |
(3-MONTH CME TERM SOFR + 1.56%), 4.22%, 5/1/2029 (a) | | |
Intercontinental Exchange, Inc. 3.75%, 12/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
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Corporate Bonds — continued |
Capital Markets — continued |
Main Street Capital Corp. 3.00%, 7/14/2026 | | |
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(SOFR + 0.88%), 1.59%, 5/4/2027 (a) | | |
(SOFR + 0.86%), 1.51%, 7/20/2027 (a) | | |
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(3-MONTH CME TERM SOFR + 1.89%), 4.43%, 1/23/2030 (a) | | |
Northern Trust Corp. 3.65%, 8/3/2028 | | |
State Street Corp. (SOFR + 0.73%), 2.20%, 2/7/2028 (a) | | |
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Air Products and Chemicals, Inc. 1.85%, 5/15/2027 | | |
Celanese US Holdings LLC 1.40%, 8/5/2026 | | |
DuPont de Nemours, Inc. 4.49%, 11/15/2025 | | |
LYB International Finance III LLC 1.25%, 10/1/2025 | | |
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Commercial Services & Supplies — 0.1% |
RELX Capital, Inc. (United Kingdom) 4.00%, 3/18/2029 | | |
Waste Management, Inc. 2.00%, 6/1/2029 | | |
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American Express Co. 1.65%, 11/4/2026 | | |
American Honda Finance Corp. 2.25%, 1/12/2029 | | |
Capital One Financial Corp. (SOFR + 2.06%), 4.93%, 5/10/2028 (a) | | |
Caterpillar Financial Services Corp. 1.10%, 9/14/2027 | | |
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PACCAR Financial Corp. 2.00%, 2/4/2027 | | |
Synchrony Financial 3.95%, 12/1/2027 | | |
Toyota Motor Credit Corp. |
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Consumer Staples Distribution & Retail — 0.2% |
Costco Wholesale Corp. 1.38%, 6/20/2027 | | |
Dollar General Corp. 3.88%, 4/15/2027 | | |
Kroger Co. (The) 3.50%, 2/1/2026 | | |
Walgreens Boots Alliance, Inc. 3.45%, 6/1/2026 | | |
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Containers & Packaging — 0.2% |
Berry Global, Inc. 1.57%, 1/15/2026 | | |
WRKCo, Inc. 4.65%, 3/15/2026 | | |
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LKQ Corp. 5.75%, 6/15/2028 | | |
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Diversified Telecommunication Services — 0.5% |
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Verizon Communications, Inc. |
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Electric Utilities — 1.3% |
American Electric Power Co., Inc. Series N, 1.00%, 11/1/2025 | | |
Duke Energy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.32%), 3.25%, 1/15/2082 (a) | | |
ITC Holdings Corp. 3.25%, 6/30/2026 | | |
NextEra Energy Capital Holdings, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.55%), 3.80%, 3/15/2082 (a) | | |
Pacific Gas and Electric Co. |
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Public Service Electric and Gas Co. 0.95%, 3/15/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
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Corporate Bonds — continued |
Electric Utilities — continued |
Southern Co. (The) Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.73%), 4.00%, 1/15/2051 (a) | | |
Union Electric Co. 2.95%, 6/15/2027 | | |
Virginia Electric and Power Co. Series A, 3.80%, 4/1/2028 | | |
Wisconsin Power and Light Co. 3.00%, 7/1/2029 | | |
| | |
Electrical Equipment — 0.3% |
ABB Finance USA, Inc. (Switzerland) 3.80%, 4/3/2028 | | |
Emerson Electric Co. 0.88%, 10/15/2026 | | |
| | |
Electronic Equipment, Instruments & Components — 0.0% ^ |
Jabil, Inc. 3.95%, 1/12/2028 | | |
Energy Equipment & Services — 0.3% |
Baker Hughes Holdings LLC 3.34%, 12/15/2027 | | |
Schlumberger Investment SA 4.50%, 5/15/2028 | | |
| | |
|
TWDC Enterprises 18 Corp. |
| | |
| | |
Walt Disney Co. (The) 2.20%, 1/13/2028 | | |
| | |
Financial Services — 0.9% |
Block Financial LLC 2.50%, 7/15/2028 | | |
Global Payments, Inc. 4.95%, 8/15/2027 | | |
Private Export Funding Corp. Series PP, 1.40%, 7/15/2028 | | |
Shell International Finance BV 3.88%, 11/13/2028 | | |
|
| | |
| | |
Voya Financial, Inc. (3-MONTH SOFR + 2.08%), 4.70%, 1/23/2048 (a) | | |
| | |
|
Hormel Foods Corp. 1.70%, 6/3/2028 | | |
Kellanova 3.25%, 4/1/2026 | | |
| | |
| | |
|
|
Piedmont Natural Gas Co., Inc. 3.50%, 6/1/2029 | | |
Ground Transportation — 0.3% |
CSX Corp. 3.80%, 3/1/2028 | | |
JB Hunt Transport Services, Inc. 3.88%, 3/1/2026 | | |
Union Pacific Corp. 2.15%, 2/5/2027 | | |
| | |
Health Care Equipment & Supplies — 0.1% |
Baxter International, Inc. 2.27%, 12/1/2028 | | |
Health Care Providers & Services — 0.8% |
Advocate Health & Hospitals Corp. 3.83%, 8/15/2028 | | |
Cardinal Health, Inc. 5.13%, 2/15/2029 | | |
CVS Health Corp. 1.30%, 8/21/2027 | | |
Elevance Health, Inc. 1.50%, 3/15/2026 | | |
Humana, Inc. 1.35%, 2/3/2027 | | |
|
| | |
| | |
| | |
Hotels, Restaurants & Leisure — 0.3% |
Expedia Group, Inc. 5.00%, 2/15/2026 | | |
Hyatt Hotels Corp. 4.85%, 3/15/2026 | | |
| | |
Household Durables — 0.1% |
DR Horton, Inc. 1.40%, 10/15/2027 | | |
Lennar Corp. 5.00%, 6/15/2027 | | |
| | |
Household Products — 0.5% |
Colgate-Palmolive Co. 4.60%, 3/1/2028 | | |
Procter & Gamble Co. (The) |
| | |
| | |
| | |
Industrial Conglomerates — 0.2% |
Honeywell International, Inc. 1.10%, 3/1/2027 | | |
Industrial REITs — 0.0% ^ |
Prologis LP 2.13%, 4/15/2027 | | |
|
Aflac, Inc. 1.13%, 3/15/2026 | | |
Assurant, Inc. 4.90%, 3/27/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Berkshire Hathaway Finance Corp. 2.30%, 3/15/2027 | | |
Prudential Financial, Inc. 1.50%, 3/10/2026 | | |
RenaissanceRe Holdings Ltd. (Bermuda) 3.60%, 4/15/2029 | | |
| | |
Interactive Media & Services — 0.0% ^ |
Meta Platforms, Inc. 4.30%, 8/15/2029 | | |
|
DXC Technology Co. 2.38%, 9/15/2028 | | |
Kyndryl Holdings, Inc. 2.05%, 10/15/2026 | | |
| | |
|
Otis Worldwide Corp. 5.25%, 8/16/2028 | | |
|
Charter Communications Operating LLC 3.75%, 2/15/2028 | | |
Comcast Corp. 3.95%, 10/15/2025 | | |
Paramount Global 4.20%, 6/1/2029 | | |
| | |
|
ArcelorMittal SA (Luxembourg) 4.55%, 3/11/2026 | | |
BHP Billiton Finance USA Ltd. (Australia) |
| | |
| | |
| | |
|
Boston Properties LP 3.40%, 6/21/2029 | | |
Oil, Gas & Consumable Fuels — 0.9% |
BP Capital Markets plc 3.72%, 11/28/2028 | | |
Cheniere Energy, Inc. 4.63%, 10/15/2028 | | |
Chevron Corp. 2.00%, 5/11/2027 | | |
Enterprise Products Operating LLC 3.13%, 7/31/2029 | | |
Equinor ASA (Norway) 1.75%, 1/22/2026 | | |
| | |
ONEOK, Inc. 2.20%, 9/15/2025 | | |
Petroleos Mexicanos (Mexico) 6.84%, 1/23/2030 (e) | | |
Pioneer Natural Resources Co. 1.13%, 1/15/2026 | | |
Sabine Pass Liquefaction LLC 4.20%, 3/15/2028 | | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
TotalEnergies Capital International SA (France) 3.46%, 2/19/2029 | | |
TransCanada PipeLines Ltd. (Canada) 4.25%, 5/15/2028 | | |
| | |
Paper & Forest Products — 0.0% ^ |
Suzano Austria GmbH (Brazil) 2.50%, 9/15/2028 | | |
|
AstraZeneca plc (United Kingdom) |
| | |
| | |
|
| | |
| | |
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|
| | |
| | |
| | |
Residential REITs — 0.0% ^ |
AvalonBay Communities, Inc. 3.50%, 11/15/2025 | | |
|
Agree LP 2.00%, 6/15/2028 | | |
Brixmor Operating Partnership LP 3.90%, 3/15/2027 | | |
| | |
Semiconductors & Semiconductor Equipment — 0.4% |
NVIDIA Corp. 1.55%, 6/15/2028 | | |
NXP BV (China) 4.30%, 6/18/2029 | | |
QUALCOMM, Inc. 1.30%, 5/20/2028 | | |
| | |
|
Microsoft Corp. 3.30%, 2/6/2027 | | |
Roper Technologies, Inc. 1.00%, 9/15/2025 | | |
| | |
|
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Specialized REITs — continued |
|
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CubeSmart LP 2.25%, 12/15/2028 | | |
Equinix, Inc. 2.00%, 5/15/2028 | | |
Public Storage Operating Co. 0.88%, 2/15/2026 | | |
| | |
|
Home Depot, Inc. (The) 3.35%, 9/15/2025 | | |
|
| | |
| | |
O'Reilly Automotive, Inc. 3.60%, 9/1/2027 | | |
| | |
Technology Hardware, Storage & Peripherals — 0.4% |
|
| | |
| | |
| | |
| | |
| | |
|
BAT Capital Corp. (United Kingdom) 2.26%, 3/25/2028 | | |
BAT International Finance plc (United Kingdom) 5.93%, 2/2/2029 | | |
| | |
Trading Companies & Distributors — 0.2% |
|
| | |
| | |
GATX Corp. 3.25%, 9/15/2026 | | |
| | |
|
American Water Capital Corp. 2.95%, 9/1/2027 | | |
Total Corporate Bonds
(Cost $3,477,750) | | |
Mortgage-Backed Securities — 6.2% |
FHLMC Gold Pools, 15 Year | | |
Pool # J14776, 3.00%, 3/1/2026 | | |
Pool # G18568, 2.50%, 9/1/2030 | | |
| | |
|
Pool # J33012, 3.00%, 10/1/2030 | | |
Pool # G18600, 2.50%, 5/1/2031 | | |
Pool # J35495, 2.50%, 10/1/2031 | | |
Pool # G18632, 3.00%, 2/1/2032 | | |
Pool # J37147, 3.00%, 6/1/2032 | | |
Pool # G18715, 3.00%, 12/1/2033 | | |
| | |
Pool # ZS8617, 2.50%, 8/1/2031 | | |
Pool # ZS7938, 2.50%, 1/1/2033 | | |
Pool # ZK9341, 3.00%, 3/1/2033 | | |
Pool # ZT0716, 3.00%, 10/1/2033 | | |
Pool # SB0194, 2.50%, 12/1/2033 | | |
Pool # SB0109, 2.50%, 11/1/2034 | | |
Pool # SB0264, 2.50%, 2/1/2035 | | |
Pool # SB0401, 2.00%, 7/1/2035 | | |
Pool # SB0394, 2.50%, 7/1/2035 | | |
Pool # SB8501, 2.00%, 8/1/2035 | | |
Pool # SB0406, 2.50%, 8/1/2035 | | |
Pool # SB8058, 2.50%, 8/1/2035 | | |
Pool # RC1591, 1.50%, 10/1/2035 | | |
Pool # QN4278, 2.00%, 11/1/2035 | | |
Pool # QN4490, 1.50%, 12/1/2035 | | |
Pool # SB0450, 2.00%, 12/1/2035 | | |
Pool # SB8083, 1.50%, 1/1/2036 | | |
Pool # SB8102, 1.50%, 5/1/2036 | | |
Pool # SB8118, 1.50%, 9/1/2036 | | |
Pool # SB8141, 2.00%, 2/1/2037 | | |
Pool # SB8222, 4.50%, 4/1/2038 | | |
| | |
Pool # AV4793, 3.50%, 5/1/2029 | | |
Pool # AS4489, 2.50%, 3/1/2030 | | |
Pool # AL6583, 3.00%, 3/1/2030 | | |
Pool # AL9852, 3.00%, 9/1/2030 | | |
Pool # AS7467, 2.50%, 7/1/2031 | | |
Pool # FM6169, 3.50%, 5/1/2032 | | |
Pool # BM3276, 3.50%, 12/1/2032 | | |
Pool # CA1089, 3.00%, 2/1/2033 | | |
Pool # FM4036, 2.50%, 12/1/2033 | | |
Pool # BN3975, 3.00%, 1/1/2034 | | |
Pool # MA3631, 3.00%, 4/1/2034 | | |
Pool # MA3709, 2.50%, 6/1/2034 | | |
Pool # BJ5549, 3.00%, 8/1/2034 | | |
Pool # FM2403, 3.50%, 9/1/2034 | | |
Pool # FM5400, 2.50%, 10/1/2034 | | |
Pool # MA3828, 3.00%, 11/1/2034 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Mortgage-Backed Securities — continued |
Pool # BP5762, 2.50%, 6/1/2035 | | |
Pool # FM3936, 2.50%, 8/1/2035 | | |
Pool # CA7497, 2.50%, 10/1/2035 | | |
Pool # FM4850, 2.00%, 11/1/2035 | | |
Pool # FM5396, 2.00%, 12/1/2035 | | |
Pool # FM6510, 2.00%, 3/1/2036 | | |
Pool # FM6512, 2.00%, 3/1/2036 | | |
Pool # MA4298, 2.50%, 3/1/2036 | | |
Pool # CB0302, 1.50%, 5/1/2036 | | |
Pool # FM7113, 2.00%, 5/1/2036 | | |
Pool # MA4329, 2.00%, 5/1/2036 | | |
Pool # BP3507, 2.00%, 6/1/2036 | | |
Pool # CB0747, 2.50%, 6/1/2036 | | |
Pool # MA4384, 2.50%, 7/1/2036 | | |
Pool # FM9020, 2.00%, 9/1/2036 | | |
Pool # FM9367, 1.50%, 11/1/2036 | | |
Pool # MA4470, 2.00%, 11/1/2036 | | |
Pool # MA4497, 2.00%, 12/1/2036 | | |
Pool # MA4516, 2.00%, 1/1/2037 | | |
Pool # FS4759, 2.50%, 4/1/2037 | | |
FNMA/FHLMC UMBS, Single Family, 15 Year | | |
TBA, 3.00%, 9/25/2039 (f) | | |
TBA, 4.00%, 9/25/2039 (f) | | |
TBA, 5.00%, 9/25/2039 (f) | | |
TBA, 5.50%, 9/25/2039 (f) | | |
| | |
Pool # MA4559, 3.00%, 7/20/2032 | | |
Pool # MA7107, 2.50%, 1/20/2036 | | |
Total Mortgage-Backed Securities
(Cost $967,197) | | |
|
African Development Bank (Supranational)
0.88%, 3/23/2026 | | |
Asian Development Bank (Supranational) | | |
| | |
| | |
Asian Infrastructure Investment Bank (The) (Supranational)
0.50%, 5/28/2025 | | |
European Bank for Reconstruction & Development (Supranational) | | |
| | |
| | |
European Investment Bank (Supranational) | | |
| | |
| | |
| | |
|
| | |
Inter-American Development Bank (Supranational) | | |
| | |
| | |
| | |
International Bank for Reconstruction & Development (Supranational) | | |
| | |
| | |
International Finance Corp. (Supranational)
0.75%, 10/8/2026 | | |
Total Supranational
(Cost $314,568) | | |
Commercial Mortgage-Backed Securities — 1.6% |
Benchmark Mortgage Trust Series 2019-B12, Class A2, 3.00%, 8/15/2052 | | |
CGMS Commercial Mortgage Trust Series 2017-B1, Class AAB, 3.24%, 8/15/2050 | | |
Citigroup Commercial Mortgage Trust | | |
Series 2016-C1, Class AAB, 3.00%, 5/10/2049 | | |
Series 2020-GC46, Class A2, 2.71%, 2/15/2053 | | |
CSAIL Commercial Mortgage Trust Series 2015-C3, Class A4, 3.72%, 8/15/2048 | | |
FHLMC, Multi-Family Structured Pass-Through Certificates Series K092, Class A1, 3.13%, 10/25/2028 | | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-JP1, Class D, 4.38%, 1/15/2049 (d) | | |
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31, Class A5, 3.10%, 11/15/2049 | | |
Wells Fargo Commercial Mortgage Trust Series 2015-C31, Class A4, 3.70%, 11/15/2048 | | |
Total Commercial Mortgage-Backed Securities
(Cost $244,579) | | |
Foreign Government Securities — 1.3% |
Canada Government Bond 0.75%, 5/19/2026 | | |
Province of Alberta 1.00%, 5/20/2025 | | |
Province of British Columbia 0.90%, 7/20/2026 | | |
Province of Manitoba 1.50%, 10/25/2028 | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Foreign Government Securities — continued |
| | |
| | |
| | |
Republic of Peru 4.13%, 8/25/2027 | | |
| | |
| | |
| | |
Total Foreign Government Securities
(Cost $192,097) | | |
U.S. Government Agency Securities — 1.0% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
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Tennessee Valley Authority
3.88%, 3/15/2028 | | |
Total U.S. Government Agency Securities
(Cost $147,564) | | |
Asset-Backed Securities — 0.3% |
Capital One Multi-Asset Execution Trust Series 2022-A2, Class A, 3.49%, 5/15/2027 | | |
CarMax Auto Owner Trust Series 2021-1, Class A3, 0.34%, 12/15/2025 | | |
Discover Card Execution Note Trust Series 2022-A1, Class A1, 1.96%, 2/15/2027 | | |
Exeter Automobile Receivables Trust Series 2021-3A, Class C, 0.96%, 10/15/2026 | | |
World Omni Auto Receivables Trust Series 2021-C, Class A3, 0.44%, 8/17/2026 | | |
Total Asset-Backed Securities
(Cost $44,770) | | |
Municipal Bonds — 0.3% (g) |
|
University of California, Taxable Series 2020BG, Rev., 0.88%, 5/15/2025 | | |
| | |
|
|
State Board of Administration Finance Corp. Series 2020A, Rev., 1.71%, 7/1/2027 | | |
Total Municipal Bonds
(Cost $39,308) | | |
| | |
Short-Term Investments — 0.8% |
Investment Companies — 0.8% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (h) (i)
(Cost $109,373) | | |
Total Investments — 99.7%
(Cost $14,508,739) | | |
Other Assets Less Liabilities — 0.3% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Chicago Mercantile Exchange |
| |
| |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| Real Estate Investment Trust |
| |
| Secured Overnight Financing Rate |
| To Be Announced; Security is subject to delayed delivery. |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2024. | |
| 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 August 31, 2024 is $6,805 or 0.05% of the Fund’s net assets as of August 31, 2024. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| 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 August 31, 2024. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| 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. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
| 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. | |
| The rate shown is the current yield as of August 31, 2024. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
U.S. Treasury Obligations — 43.1% |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
U.S. Treasury Obligations — continued |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
U.S. Treasury Obligations — continued |
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Total U.S. Treasury Obligations
(Cost $638,356,890) | | |
Mortgage-Backed Securities — 24.9% |
FHLMC Gold Pools, 15 Year | | |
Pool # J15449, 4.00%, 5/1/2026 | | |
Pool # G14781, 3.50%, 3/1/2027 | | |
Pool # G15201, 4.00%, 5/1/2027 | | |
Pool # J20129, 2.50%, 8/1/2027 | | |
Pool # G15438, 4.00%, 9/1/2027 | | |
Pool # G15602, 2.50%, 11/1/2027 | | |
Pool # E09028, 2.00%, 3/1/2028 | | |
Pool # J23362, 2.00%, 4/1/2028 | | |
Pool # G18466, 2.00%, 5/1/2028 | | |
Pool # G18465, 2.50%, 5/1/2028 | | |
Pool # G15601, 2.50%, 1/1/2029 | | |
Pool # G14957, 3.50%, 1/1/2029 | | |
Pool # G16570, 4.00%, 7/1/2029 | | |
Pool # G18540, 2.50%, 2/1/2030 | | |
Pool # G18556, 2.50%, 6/1/2030 | | |
Pool # V60840, 3.00%, 6/1/2030 | | |
Pool # G16622, 3.00%, 11/1/2030 | | |
Pool # G16019, 3.50%, 12/1/2030 | | |
Pool # J36524, 3.00%, 3/1/2032 | | |
Pool # J36660, 3.00%, 3/1/2032 | | |
Pool # G16568, 2.50%, 4/1/2033 | | |
FHLMC Gold Pools, 30 Year | | |
Pool # V81680, 4.50%, 12/1/2034 | | |
Pool # A30892, 5.00%, 1/1/2035 | | |
| | |
|
Pool # A39210, 5.50%, 10/1/2035 | | |
Pool # V83754, 5.50%, 1/1/2036 | | |
Pool # A82255, 5.50%, 9/1/2036 | | |
Pool # G03381, 5.50%, 9/1/2037 | | |
Pool # A89760, 4.50%, 12/1/2039 | | |
Pool # A92197, 5.00%, 5/1/2040 | | |
Pool # G06856, 6.00%, 5/1/2040 | | |
Pool # A93359, 4.00%, 8/1/2040 | | |
Pool # G06222, 4.00%, 1/1/2041 | | |
Pool # Q03516, 4.50%, 9/1/2041 | | |
Pool # Q04088, 3.50%, 10/1/2041 | | |
Pool # Q04688, 4.00%, 11/1/2041 | | |
Pool # G08477, 3.50%, 2/1/2042 | | |
Pool # Q06771, 3.00%, 3/1/2042 | | |
Pool # C03858, 3.50%, 4/1/2042 | | |
Pool # Q08646, 3.50%, 6/1/2042 | | |
Pool # G60737, 4.50%, 8/1/2042 | | |
Pool # Q11220, 3.50%, 9/1/2042 | | |
Pool # Q13477, 3.00%, 12/1/2042 | | |
Pool # Q14321, 3.00%, 12/1/2042 | | |
Pool # C04420, 3.00%, 1/1/2043 | | |
Pool # Q14694, 3.00%, 1/1/2043 | | |
Pool # G61723, 3.50%, 1/1/2043 | | |
Pool # C09031, 2.50%, 2/1/2043 | | |
Pool # V80026, 3.00%, 4/1/2043 | | |
Pool # Q17374, 4.00%, 4/1/2043 | | |
Pool # Z40090, 4.50%, 9/1/2044 | | |
Pool # G61617, 4.50%, 1/1/2045 | | |
Pool # G08651, 4.00%, 6/1/2045 | | |
Pool # G08653, 3.00%, 7/1/2045 | | |
Pool # Q35223, 4.00%, 8/1/2045 | | |
Pool # G60238, 3.50%, 10/1/2045 | | |
Pool # G60506, 3.50%, 4/1/2046 | | |
Pool # G08710, 3.00%, 6/1/2046 | | |
Pool # Q41024, 3.00%, 6/1/2046 | | |
Pool # G08724, 2.50%, 9/1/2046 | | |
Pool # G61070, 3.00%, 9/1/2046 | | |
Pool # G61730, 3.00%, 9/1/2046 | | |
Pool # G61235, 4.50%, 9/1/2046 | | |
Pool # G08736, 2.50%, 12/1/2046 | | |
Pool # Q45872, 3.00%, 1/1/2047 | | |
Pool # G08747, 3.00%, 2/1/2047 | | |
Pool # G61623, 3.00%, 4/1/2047 | | |
Pool # G60985, 3.00%, 5/1/2047 | | |
Pool # G60996, 3.50%, 5/1/2047 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Mortgage-Backed Securities — continued |
Pool # Q47884, 4.00%, 5/1/2047 | | |
Pool # V83233, 4.00%, 6/1/2047 | | |
Pool # G08775, 4.00%, 8/1/2047 | | |
Pool # Q50152, 4.00%, 8/1/2047 | | |
Pool # Q51268, 3.50%, 10/1/2047 | | |
Pool # G08787, 3.00%, 11/1/2047 | | |
Pool # G61681, 3.00%, 12/1/2047 | | |
Pool # Q52866, 3.00%, 12/1/2047 | | |
Pool # G08793, 4.00%, 12/1/2047 | | |
Pool # Q53751, 3.50%, 1/1/2048 | | |
Pool # G08812, 3.00%, 4/1/2048 | | |
Pool # G61866, 4.00%, 6/1/2048 | | |
Pool # G08842, 4.00%, 10/1/2048 | | |
Pool # G61885, 4.50%, 11/1/2048 | | |
Pool # G08862, 4.00%, 2/1/2049 | | |
Pool # Q61487, 4.00%, 2/1/2049 | | |
| | |
Pool # ZK2080, 4.00%, 1/1/2025 | | |
Pool # ZA2587, 4.00%, 9/1/2025 | | |
Pool # ZK2723, 3.50%, 11/1/2025 | | |
Pool # ZK3540, 3.00%, 9/1/2026 | | |
Pool # ZS8460, 3.00%, 4/1/2027 | | |
Pool # SB0031, 3.50%, 10/1/2027 | | |
Pool # ZS6674, 2.50%, 4/1/2028 | | |
Pool # ZS7140, 2.00%, 1/1/2029 | | |
Pool # ZS7751, 3.00%, 1/1/2029 | | |
Pool # SB0071, 2.50%, 5/1/2030 | | |
Pool # ZS7331, 3.00%, 12/1/2030 | | |
Pool # ZS7888, 2.50%, 10/1/2032 | | |
Pool # ZK9070, 3.00%, 11/1/2032 | | |
Pool # SB0256, 4.00%, 11/1/2033 | | |
Pool # SB0077, 3.50%, 10/1/2034 | | |
Pool # SB0302, 3.00%, 4/1/2035 | | |
Pool # QN2407, 2.00%, 6/1/2035 | | |
Pool # SB8500, 2.50%, 7/1/2035 | | |
Pool # RC1712, 1.50%, 12/1/2035 | | |
Pool # SB8090, 2.50%, 2/1/2036 | | |
Pool # QN6095, 2.00%, 5/1/2036 | | |
Pool # QN6718, 2.00%, 6/1/2036 | | |
Pool # QN8347, 1.50%, 10/1/2036 | | |
Pool # SB8127, 1.50%, 11/1/2036 | | |
Pool # SB8131, 1.50%, 12/1/2036 | | |
Pool # SB8136, 1.50%, 1/1/2037 | | |
Pool # SB8140, 1.50%, 2/1/2037 | | |
Pool # SB8141, 2.00%, 2/1/2037 | | |
| | |
|
| | |
Pool # ZA2277, 3.00%, 9/1/2032 | | |
Pool # ZJ9491, 3.50%, 12/1/2032 | | |
Pool # ZS9164, 3.00%, 9/1/2033 | | |
Pool # SC0107, 3.50%, 11/1/2034 | | |
Pool # ZA2463, 3.50%, 6/1/2037 | | |
Pool # RB5026, 2.50%, 11/1/2039 | | |
Pool # QK0157, 2.50%, 1/1/2040 | | |
Pool # RB5032, 2.50%, 2/1/2040 | | |
Pool # RB5037, 2.50%, 3/1/2040 | | |
Pool # RB5043, 2.50%, 4/1/2040 | | |
Pool # RB5048, 2.50%, 5/1/2040 | | |
Pool # SC0131, 1.50%, 3/1/2041 | | |
Pool # SC0134, 1.50%, 3/1/2041 | | |
Pool # RB5145, 2.00%, 2/1/2042 | | |
Pool # RB5154, 2.50%, 4/1/2042 | | |
| | |
Pool # ZI3765, 5.50%, 11/1/2035 | | |
Pool # ZS2546, 5.00%, 2/1/2039 | | |
Pool # ZJ0449, 4.00%, 9/1/2040 | | |
Pool # ZL3548, 3.50%, 8/1/2042 | | |
Pool # ZA4209, 3.00%, 4/1/2043 | | |
Pool # ZS3712, 3.50%, 4/1/2043 | | |
Pool # ZS4077, 3.50%, 1/1/2044 | | |
Pool # ZS4592, 4.00%, 11/1/2044 | | |
Pool # ZS4609, 3.00%, 4/1/2045 | | |
Pool # ZS9618, 3.50%, 3/1/2046 | | |
Pool # SD0146, 3.00%, 11/1/2046 | | |
Pool # ZM2209, 3.50%, 12/1/2046 | | |
Pool # SD0388, 3.50%, 6/1/2047 | | |
Pool # ZS4729, 3.00%, 8/1/2047 | | |
Pool # ZM4635, 4.00%, 11/1/2047 | | |
Pool # SD0225, 3.00%, 12/1/2047 | | |
Pool # ZT0534, 3.50%, 12/1/2047 | | |
Pool # ZS4750, 3.00%, 1/1/2048 | | |
Pool # SI2002, 4.00%, 3/1/2048 | | |
Pool # ZM7669, 3.50%, 8/1/2048 | | |
Pool # ZN4476, 3.50%, 12/1/2048 | | |
Pool # ZA6286, 4.00%, 2/1/2049 | | |
Pool # ZT1776, 3.50%, 3/1/2049 | | |
Pool # ZN5087, 4.00%, 4/1/2049 | | |
Pool # ZT1864, 4.00%, 4/1/2049 | | |
Pool # ZT1951, 3.50%, 5/1/2049 | | |
Pool # ZT1952, 4.00%, 5/1/2049 | | |
Pool # QA4907, 3.00%, 6/1/2049 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Mortgage-Backed Securities — continued |
Pool # ZT2086, 3.50%, 6/1/2049 | | |
Pool # SD7502, 3.50%, 7/1/2049 | | |
Pool # SD8001, 3.50%, 7/1/2049 | | |
Pool # SD7501, 4.00%, 7/1/2049 | | |
Pool # QA1997, 3.00%, 8/1/2049 | | |
Pool # RA1202, 3.50%, 8/1/2049 | | |
Pool # SD8005, 3.50%, 8/1/2049 | | |
Pool # SD8006, 4.00%, 8/1/2049 | | |
Pool # SD8023, 2.50%, 11/1/2049 | | |
Pool # QA4509, 3.00%, 11/1/2049 | | |
Pool # SD8025, 3.50%, 11/1/2049 | | |
Pool # SD8029, 2.50%, 12/1/2049 | | |
Pool # RA1878, 3.50%, 12/1/2049 | | |
Pool # SD8037, 2.50%, 1/1/2050 | | |
Pool # QA7416, 3.00%, 2/1/2050 | | |
Pool # QA7554, 3.00%, 2/1/2050 | | |
Pool # RA2116, 3.00%, 2/1/2050 | | |
Pool # SD0303, 2.50%, 4/1/2050 | | |
Pool # QA9653, 3.50%, 5/1/2050 | | |
Pool # SD8080, 2.00%, 6/1/2050 | | |
Pool # QB1691, 2.00%, 7/1/2050 | | |
Pool # RA3727, 2.00%, 10/1/2050 | | |
Pool # SD8104, 1.50%, 11/1/2050 | | |
Pool # RA4197, 2.50%, 12/1/2050 | | |
Pool # RA4349, 2.50%, 1/1/2051 | | |
Pool # QB8583, 1.50%, 2/1/2051 | | |
Pool # SD8140, 2.00%, 4/1/2051 | | |
Pool # SD8142, 3.00%, 4/1/2051 | | |
Pool # SD8145, 1.50%, 5/1/2051 | | |
Pool # RA5287, 2.00%, 5/1/2051 | | |
Pool # QC2565, 2.00%, 6/1/2051 | | |
Pool # QC3259, 2.00%, 6/1/2051 | | |
Pool # SD8158, 3.50%, 6/1/2051 | | |
Pool # QC5125, 2.00%, 8/1/2051 | | |
Pool # QC6057, 2.50%, 8/1/2051 | | |
Pool # SD8163, 3.50%, 8/1/2051 | | |
Pool # RA5832, 2.50%, 9/1/2051 | | |
Pool # SD8168, 3.00%, 9/1/2051 | | |
Pool # SD0688, 2.50%, 10/1/2051 | | |
Pool # SD8173, 2.50%, 10/1/2051 | | |
Pool # QC8788, 3.00%, 10/1/2051 | | |
Pool # QD3500, 2.50%, 12/1/2051 | | |
Pool # RA6694, 2.00%, 1/1/2052 | | |
Pool # SD0963, 3.50%, 1/1/2052 | | |
Pool # RA6816, 2.00%, 2/1/2052 | | |
| | |
|
Pool # SD0897, 2.00%, 2/1/2052 | | |
Pool # SD8199, 2.00%, 3/1/2052 | | |
Pool # SD8204, 2.00%, 4/1/2052 | | |
Pool # QD9578, 2.50%, 4/1/2052 | | |
Pool # QD9765, 2.50%, 4/1/2052 | | |
Pool # SD8205, 2.50%, 4/1/2052 | | |
Pool # SD0945, 3.50%, 4/1/2052 | | |
Pool # SD1461, 3.00%, 5/1/2052 | | |
Pool # SD8214, 3.50%, 5/1/2052 | | |
Pool # SD1840, 3.00%, 6/1/2052 | | |
Pool # SD1406, 2.00%, 8/1/2052 | | |
Pool # RA8112, 4.50%, 10/1/2052 | | |
Pool # SD2381, 5.50%, 3/1/2053 | | |
Pool # SD2572, 5.50%, 3/1/2053 | | |
Pool # SD2580, 6.00%, 3/1/2053 | | |
Pool # RA8736, 6.50%, 3/1/2053 | | |
Pool # SD8322, 4.50%, 5/1/2053 | | |
Pool # RA9469, 6.50%, 7/1/2053 | | |
Pool # SD8373, 6.00%, 11/1/2053 | | |
Pool # SD4605, 7.00%, 1/1/2054 | | |
| | |
Pool # AC8711, 4.00%, 12/1/2024 | | |
Pool # AC7007, 4.50%, 1/1/2025 | | |
Pool # AL9580, 4.00%, 3/1/2025 | | |
Pool # 932724, 4.00%, 4/1/2025 | | |
Pool # AE0971, 4.00%, 5/1/2025 | | |
Pool # AE0939, 3.50%, 2/1/2026 | | |
Pool # FM2968, 4.00%, 5/1/2026 | | |
Pool # AJ6632, 3.00%, 11/1/2026 | | |
Pool # AJ9357, 3.50%, 1/1/2027 | | |
Pool # AK4047, 3.00%, 2/1/2027 | | |
Pool # AL4586, 4.00%, 2/1/2027 | | |
Pool # AO0527, 3.00%, 5/1/2027 | | |
Pool # AO4400, 2.50%, 7/1/2027 | | |
Pool # AL8138, 4.00%, 9/1/2027 | | |
Pool # AB6811, 2.50%, 10/1/2027 | | |
Pool # AQ9442, 2.00%, 12/1/2027 | | |
Pool # AB8447, 2.50%, 2/1/2028 | | |
Pool # AR4180, 2.50%, 2/1/2028 | | |
Pool # AL3802, 3.00%, 2/1/2028 | | |
Pool # AB8787, 2.00%, 3/1/2028 | | |
Pool # AP6059, 2.00%, 6/1/2028 | | |
Pool # BM5381, 3.00%, 6/1/2028 | | |
Pool # BM1892, 2.50%, 9/1/2028 | | |
Pool # AS0761, 3.00%, 10/1/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Mortgage-Backed Securities — continued |
Pool # AU6961, 3.00%, 10/1/2028 | | |
Pool # AL6132, 4.50%, 3/1/2029 | | |
Pool # FM1105, 2.50%, 6/1/2029 | | |
Pool # AS3345, 2.00%, 7/1/2029 | | |
Pool # MA2061, 3.00%, 10/1/2029 | | |
Pool # FM1465, 3.00%, 5/1/2030 | | |
Pool # 890666, 2.00%, 6/1/2030 | | |
Pool # MA2684, 3.00%, 7/1/2031 | | |
Pool # AL9418, 3.50%, 8/1/2031 | | |
Pool # BD5647, 2.00%, 11/1/2031 | | |
Pool # 890776, 3.50%, 11/1/2031 | | |
Pool # BM5490, 3.50%, 11/1/2031 | | |
Pool # AS8708, 2.50%, 2/1/2032 | | |
Pool # BM4993, 3.50%, 3/1/2032 | | |
Pool # BM4741, 3.00%, 4/1/2032 | | |
Pool # FM1645, 3.00%, 4/1/2032 | | |
Pool # MA3124, 2.50%, 9/1/2032 | | |
Pool # FM3099, 3.50%, 9/1/2032 | | |
Pool # CA0775, 2.50%, 11/1/2032 | | |
Pool # MA3188, 3.00%, 11/1/2032 | | |
Pool # BH7081, 2.50%, 12/1/2032 | | |
Pool # BH8720, 3.50%, 12/1/2032 | | |
Pool # FM1161, 2.50%, 1/1/2033 | | |
Pool # FM1691, 2.50%, 1/1/2033 | | |
Pool # CA9078, 3.00%, 9/1/2033 | | |
Pool # FM1123, 4.00%, 9/1/2033 | | |
Pool # FM2153, 4.00%, 11/1/2033 | | |
Pool # BD9105, 4.00%, 1/1/2034 | | |
Pool # BM5306, 4.00%, 1/1/2034 | | |
Pool # FM1733, 3.50%, 5/1/2034 | | |
Pool # FM6946, 3.00%, 7/1/2034 | | |
Pool # BO1822, 3.50%, 7/1/2034 | | |
Pool # MA3764, 2.50%, 9/1/2034 | | |
Pool # MA3910, 2.00%, 1/1/2035 | | |
Pool # FM3569, 3.00%, 1/1/2035 | | |
Pool # FM7941, 2.50%, 2/1/2035 | | |
Pool # FM2708, 3.00%, 3/1/2035 | | |
Pool # MA4075, 2.50%, 7/1/2035 | | |
Pool # CA7497, 2.50%, 10/1/2035 | | |
Pool # BP7572, 2.50%, 11/1/2035 | | |
Pool # FM5396, 2.00%, 12/1/2035 | | |
Pool # BR3349, 1.50%, 1/1/2036 | | |
Pool # BR1309, 2.00%, 1/1/2036 | | |
Pool # FM5537, 2.00%, 1/1/2036 | | |
Pool # FM5797, 2.00%, 1/1/2036 | | |
| | |
|
Pool # FM5367, 1.50%, 2/1/2036 | | |
Pool # CB0305, 1.50%, 5/1/2036 | | |
Pool # FM7843, 1.50%, 6/1/2036 | | |
Pool # MA4430, 1.00%, 8/1/2036 | | |
Pool # BT0273, 1.50%, 9/1/2036 | | |
Pool # MA4417, 1.50%, 9/1/2036 | | |
Pool # MA4418, 2.00%, 9/1/2036 | | |
Pool # MA4441, 1.50%, 10/1/2036 | | |
Pool # BT9452, 1.50%, 11/1/2036 | | |
Pool # FM9247, 2.00%, 11/1/2036 | | |
Pool # MA4497, 2.00%, 12/1/2036 | | |
Pool # BV7189, 2.00%, 3/1/2037 | | |
Pool # MA4581, 1.50%, 4/1/2037 | | |
Pool # MA4582, 2.00%, 4/1/2037 | | |
Pool # FS3117, 2.50%, 5/1/2037 | | |
Pool # FS4274, 3.00%, 5/1/2037 | | |
Pool # MA4604, 3.00%, 5/1/2037 | | |
Pool # FS4059, 1.50%, 8/1/2037 | | |
Pool # FS4794, 2.00%, 8/1/2037 | | |
Pool # FS4756, 2.50%, 8/1/2037 | | |
| | |
Pool # AE6799, 4.50%, 11/1/2030 | | |
Pool # MA0885, 3.50%, 10/1/2031 | | |
Pool # AB4853, 3.00%, 4/1/2032 | | |
Pool # MA1058, 3.00%, 5/1/2032 | | |
Pool # MA1165, 3.00%, 9/1/2032 | | |
Pool # MA2079, 4.00%, 11/1/2034 | | |
Pool # AL7654, 3.00%, 9/1/2035 | | |
Pool # MA2472, 3.00%, 12/1/2035 | | |
Pool # FM1133, 4.00%, 6/1/2036 | | |
Pool # BM3089, 4.00%, 8/1/2037 | | |
Pool # MA3099, 4.00%, 8/1/2037 | | |
Pool # BM5330, 2.50%, 12/1/2037 | | |
Pool # FM3204, 4.00%, 10/1/2038 | | |
Pool # MA4072, 2.50%, 7/1/2040 | | |
Pool # MA4128, 2.00%, 9/1/2040 | | |
Pool # MA4204, 2.00%, 12/1/2040 | | |
Pool # CA9019, 2.00%, 2/1/2041 | | |
Pool # MA4310, 1.50%, 4/1/2041 | | |
Pool # MA4422, 2.00%, 9/1/2041 | | |
Pool # FS0316, 1.50%, 11/1/2041 | | |
Pool # MA4474, 2.00%, 11/1/2041 | | |
Pool # MA4519, 1.50%, 1/1/2042 | | |
Pool # MA4521, 2.50%, 1/1/2042 | | |
Pool # MA4587, 2.50%, 4/1/2042 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Mortgage-Backed Securities — continued |
| | |
Pool # 254447, 6.00%, 9/1/2032 | | |
Pool # 711215, 5.50%, 6/1/2033 | | |
Pool # AA1005, 5.00%, 12/1/2033 | | |
Pool # 725232, 5.00%, 3/1/2034 | | |
Pool # 725228, 6.00%, 3/1/2034 | | |
Pool # 790003, 6.00%, 8/1/2034 | | |
Pool # 735503, 6.00%, 4/1/2035 | | |
Pool # 190360, 5.00%, 8/1/2035 | | |
Pool # 904601, 6.00%, 11/1/2036 | | |
Pool # 888538, 5.50%, 1/1/2037 | | |
Pool # AB0284, 6.00%, 2/1/2037 | | |
Pool # AL2627, 5.00%, 7/1/2037 | | |
Pool # 956965, 6.50%, 12/1/2037 | | |
Pool # BH7907, 6.50%, 12/1/2037 | | |
Pool # 961793, 5.00%, 3/1/2038 | | |
Pool # 985661, 5.50%, 6/1/2038 | | |
Pool # AU7519, 3.50%, 9/1/2038 | | |
Pool # AC2638, 5.00%, 10/1/2039 | | |
Pool # AL0100, 6.00%, 10/1/2039 | | |
Pool # AC4886, 5.00%, 11/1/2039 | | |
Pool # 190399, 5.50%, 11/1/2039 | | |
Pool # AB1143, 4.50%, 6/1/2040 | | |
Pool # AD6938, 4.50%, 6/1/2040 | | |
Pool # AD5479, 5.00%, 6/1/2040 | | |
Pool # AB1259, 5.00%, 7/1/2040 | | |
Pool # AB1292, 5.00%, 8/1/2040 | | |
Pool # AL5437, 5.00%, 8/1/2040 | | |
Pool # AB1421, 5.00%, 9/1/2040 | | |
Pool # AE4142, 5.00%, 9/1/2040 | | |
Pool # AE3857, 5.00%, 10/1/2040 | | |
Pool # AE8289, 4.00%, 12/1/2040 | | |
Pool # MA0622, 3.50%, 1/1/2041 | | |
Pool # AH2312, 5.00%, 1/1/2041 | | |
Pool # AE0828, 3.50%, 2/1/2041 | | |
Pool # AH3804, 4.00%, 2/1/2041 | | |
Pool # MA0639, 4.00%, 2/1/2041 | | |
Pool # AB2676, 3.50%, 4/1/2041 | | |
Pool # AL0241, 4.00%, 4/1/2041 | | |
Pool # AI1887, 4.50%, 5/1/2041 | | |
Pool # BM3118, 6.00%, 7/1/2041 | | |
Pool # AJ2293, 4.00%, 9/1/2041 | | |
Pool # AL0933, 5.00%, 10/1/2041 | | |
Pool # AW8154, 3.50%, 1/1/2042 | | |
Pool # AX5318, 4.50%, 1/1/2042 | | |
| | |
|
Pool # BD4480, 4.50%, 1/1/2042 | | |
Pool # AL1998, 4.00%, 3/1/2042 | | |
Pool # AO4134, 3.50%, 6/1/2042 | | |
Pool # AP4258, 3.00%, 8/1/2042 | | |
Pool # AB6632, 3.50%, 10/1/2042 | | |
Pool # AB6633, 3.50%, 10/1/2042 | | |
Pool # AL3344, 4.50%, 10/1/2042 | | |
Pool # AB6828, 3.50%, 11/1/2042 | | |
Pool # AL3182, 3.50%, 12/1/2042 | | |
Pool # AQ9316, 2.50%, 1/1/2043 | | |
Pool # AB7580, 3.00%, 1/1/2043 | | |
Pool # AQ1104, 3.00%, 1/1/2043 | | |
Pool # AR0168, 3.00%, 2/1/2043 | | |
Pool # AB7964, 3.50%, 2/1/2043 | | |
Pool # AR2271, 3.50%, 2/1/2043 | | |
Pool # BM4751, 3.50%, 3/1/2043 | | |
Pool # AB8742, 4.00%, 3/1/2043 | | |
Pool # AR6770, 4.00%, 3/1/2043 | | |
Pool # AT2015, 3.00%, 4/1/2043 | | |
Pool # AT2016, 3.00%, 4/1/2043 | | |
Pool # AB9194, 3.50%, 5/1/2043 | | |
Pool # FM4462, 3.50%, 5/1/2043 | | |
Pool # AU1629, 3.00%, 7/1/2043 | | |
Pool # BM3785, 3.50%, 7/1/2043 | | |
Pool # AS0241, 4.00%, 8/1/2043 | | |
Pool # BM3704, 3.00%, 9/1/2043 | | |
Pool # AT2612, 3.50%, 9/1/2043 | | |
Pool # AU4256, 3.50%, 9/1/2043 | | |
Pool # AU4283, 3.50%, 9/1/2043 | | |
Pool # AL4062, 4.00%, 9/1/2043 | | |
Pool # BM4635, 2.50%, 10/1/2043 | | |
Pool # AS1121, 4.00%, 11/1/2043 | | |
Pool # AV0022, 4.00%, 11/1/2043 | | |
Pool # AL7696, 3.00%, 12/1/2043 | | |
Pool # AV6103, 4.00%, 1/1/2044 | | |
Pool # BC1737, 4.00%, 1/1/2044 | | |
Pool # BM5365, 4.00%, 3/1/2044 | | |
Pool # FM1744, 3.50%, 5/1/2044 | | |
Pool # AS2700, 4.00%, 6/1/2044 | | |
Pool # AW6233, 4.50%, 6/1/2044 | | |
Pool # AS2947, 4.00%, 7/1/2044 | | |
Pool # AL9072, 5.00%, 7/1/2044 | | |
Pool # AL9569, 5.00%, 8/1/2044 | | |
Pool # AX0152, 4.50%, 9/1/2044 | | |
Pool # BM4620, 3.00%, 10/1/2044 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Mortgage-Backed Securities — continued |
Pool # AS3867, 4.00%, 11/1/2044 | | |
Pool # FM1746, 3.50%, 1/1/2045 | | |
Pool # FM0015, 4.00%, 2/1/2045 | | |
Pool # MA2193, 4.50%, 2/1/2045 | | |
Pool # FM3414, 4.00%, 3/1/2045 | | |
Pool # BM3398, 3.50%, 4/1/2045 | | |
Pool # CA2709, 4.00%, 9/1/2045 | | |
Pool # AS5851, 4.50%, 9/1/2045 | | |
Pool # AS6184, 3.50%, 11/1/2045 | | |
Pool # BA0315, 3.50%, 11/1/2045 | | |
Pool # FM1869, 4.00%, 11/1/2045 | | |
Pool # BM4833, 3.00%, 12/1/2045 | | |
Pool # FM1708, 3.00%, 12/1/2045 | | |
Pool # BC0066, 3.50%, 12/1/2045 | | |
Pool # FM3413, 4.00%, 1/1/2046 | | |
Pool # FM2323, 4.00%, 2/1/2046 | | |
Pool # AL9128, 4.50%, 2/1/2046 | | |
Pool # AS6811, 3.00%, 3/1/2046 | | |
Pool # BM4834, 3.00%, 3/1/2046 | | |
Pool # FM1782, 4.00%, 3/1/2046 | | |
Pool # FM2195, 4.00%, 3/1/2046 | | |
Pool # AS7003, 3.00%, 4/1/2046 | | |
Pool # AS7198, 4.50%, 5/1/2046 | | |
Pool # BD0166, 2.50%, 6/1/2046 | | |
Pool # BM5168, 2.50%, 6/1/2046 | | |
Pool # BC6105, 3.50%, 6/1/2046 | | |
Pool # AS7660, 2.50%, 8/1/2046 | | |
Pool # MA2730, 2.50%, 8/1/2046 | | |
Pool # FM3810, 3.00%, 10/1/2046 | | |
Pool # AL9385, 3.00%, 11/1/2046 | | |
Pool # MA2806, 3.00%, 11/1/2046 | | |
Pool # BM3288, 3.50%, 12/1/2046 | | |
Pool # BM4990, 2.50%, 1/1/2047 | | |
Pool # FM2807, 3.00%, 1/1/2047 | | |
Pool # 890856, 3.50%, 1/1/2047 | | |
Pool # FM3374, 3.50%, 1/1/2047 | | |
Pool # FM0041, 3.00%, 2/1/2047 | | |
Pool # BM5955, 4.00%, 2/1/2047 | | |
Pool # BM5270, 4.50%, 2/1/2047 | | |
Pool # BM4350, 3.00%, 3/1/2047 | | |
Pool # MA2920, 3.00%, 3/1/2047 | | |
Pool # FM3107, 3.50%, 3/1/2047 | | |
Pool # AS9313, 4.00%, 3/1/2047 | | |
Pool # FM4735, 3.00%, 4/1/2047 | | |
Pool # FM6073, 4.00%, 4/1/2047 | | |
| | |
|
Pool # AS9480, 4.50%, 4/1/2047 | | |
Pool # FM1772, 4.50%, 5/1/2047 | | |
Pool # BD0667, 4.50%, 6/1/2047 | | |
Pool # AS9937, 3.00%, 7/1/2047 | | |
Pool # AS9946, 3.50%, 7/1/2047 | | |
Pool # BM1568, 3.50%, 7/1/2047 | | |
Pool # BH7375, 3.50%, 8/1/2047 | | |
Pool # CA0148, 4.50%, 8/1/2047 | | |
Pool # CA0850, 3.00%, 9/1/2047 | | |
Pool # MA3147, 3.00%, 10/1/2047 | | |
Pool # BM2003, 4.00%, 10/1/2047 | | |
Pool # BH9392, 3.50%, 11/1/2047 | | |
Pool # CA0681, 3.50%, 11/1/2047 | | |
Pool # MA3182, 3.50%, 11/1/2047 | | |
Pool # FM0028, 3.00%, 12/1/2047 | | |
Pool # MA3209, 3.00%, 12/1/2047 | | |
Pool # FM1420, 3.50%, 12/1/2047 | | |
Pool # CA4015, 3.00%, 1/1/2048 | | |
Pool # BJ6154, 3.50%, 1/1/2048 | | |
Pool # MA3238, 3.50%, 1/1/2048 | | |
Pool # BJ5910, 3.50%, 2/1/2048 | | |
Pool # MA3305, 3.50%, 3/1/2048 | | |
Pool # FM3494, 2.50%, 4/1/2048 | | |
Pool # CA2687, 3.00%, 5/1/2048 | | |
Pool # BM4054, 4.00%, 5/1/2048 | | |
Pool # BM4757, 3.50%, 7/1/2048 | | |
Pool # FM3438, 3.00%, 8/1/2048 | | |
Pool # BM2007, 4.00%, 9/1/2048 | | |
Pool # CA2368, 4.00%, 9/1/2048 | | |
Pool # MA3472, 5.00%, 9/1/2048 | | |
Pool # CA4655, 3.50%, 10/1/2048 | | |
Pool # MA3495, 4.00%, 10/1/2048 | | |
Pool # CA2432, 4.50%, 10/1/2048 | | |
Pool # FM7895, 3.50%, 11/1/2048 | | |
Pool # FM1248, 4.50%, 11/1/2048 | | |
Pool # CA2797, 4.50%, 12/1/2048 | | |
Pool # FM0030, 3.00%, 2/1/2049 | | |
Pool # FM6237, 3.50%, 4/1/2049 | | |
Pool # MA3637, 3.50%, 4/1/2049 | | |
Pool # MA3638, 4.00%, 4/1/2049 | | |
Pool # BN5418, 4.50%, 4/1/2049 | | |
Pool # MA3663, 3.50%, 5/1/2049 | | |
Pool # MA3664, 4.00%, 5/1/2049 | | |
Pool # FM4074, 4.50%, 5/1/2049 | | |
Pool # CA4358, 3.50%, 7/1/2049 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Mortgage-Backed Securities — continued |
Pool # MA3692, 3.50%, 7/1/2049 | | |
Pool # FM1672, 4.50%, 7/1/2049 | | |
Pool # MA3745, 3.50%, 8/1/2049 | | |
Pool # MA3746, 4.00%, 8/1/2049 | | |
Pool # FM1385, 5.00%, 8/1/2049 | | |
Pool # BO4012, 3.00%, 9/1/2049 | | |
Pool # FM1449, 3.50%, 9/1/2049 | | |
Pool # FM4430, 3.50%, 9/1/2049 | | |
Pool # FM3572, 4.50%, 9/1/2049 | | |
Pool # MA3803, 3.50%, 10/1/2049 | | |
Pool # MA3833, 2.50%, 11/1/2049 | | |
Pool # BK0350, 3.00%, 11/1/2049 | | |
Pool # MA3834, 3.00%, 11/1/2049 | | |
Pool # FM2363, 3.00%, 1/1/2050 | | |
Pool # MA3905, 3.00%, 1/1/2050 | | |
Pool # CA5021, 3.50%, 1/1/2050 | | |
Pool # FM5922, 3.50%, 1/1/2050 | | |
Pool # MA3906, 3.50%, 1/1/2050 | | |
Pool # MA3937, 3.00%, 2/1/2050 | | |
Pool # FM2733, 2.50%, 3/1/2050 | | |
Pool # FM4372, 3.50%, 3/1/2050 | | |
Pool # BP2403, 3.50%, 4/1/2050 | | |
Pool # BP5001, 2.50%, 5/1/2050 | | |
Pool # FM3257, 3.00%, 5/1/2050 | | |
Pool # BK2753, 2.50%, 7/1/2050 | | |
Pool # FS2252, 3.00%, 7/1/2050 | | |
Pool # BP6626, 2.00%, 8/1/2050 | | |
Pool # MA4100, 2.00%, 8/1/2050 | | |
Pool # BP9500, 2.50%, 8/1/2050 | | |
Pool # BQ0723, 3.50%, 8/1/2050 | | |
Pool # FM5750, 4.00%, 8/1/2050 | | |
Pool # BK3044, 2.50%, 9/1/2050 | | |
Pool # BP6702, 2.50%, 9/1/2050 | | |
Pool # FM8260, 4.00%, 9/1/2050 | | |
Pool # MA4159, 2.50%, 10/1/2050 | | |
Pool # CA7603, 2.50%, 11/1/2050 | | |
Pool # MA4183, 2.50%, 11/1/2050 | | |
Pool # CA8005, 1.50%, 12/1/2050 | | |
Pool # CA8222, 1.50%, 12/1/2050 | | |
Pool # MA4209, 1.50%, 12/1/2050 | | |
Pool # BQ5160, 2.00%, 12/1/2050 | | |
Pool # FM5849, 2.00%, 12/1/2050 | | |
Pool # MA4208, 2.00%, 12/1/2050 | | |
Pool # FM5597, 2.00%, 1/1/2051 | | |
Pool # FM6241, 2.00%, 1/1/2051 | | |
| | |
|
Pool # FM5854, 2.50%, 1/1/2051 | | |
Pool # MA4254, 1.50%, 2/1/2051 | | |
Pool # CA9190, 2.00%, 2/1/2051 | | |
Pool # FM6126, 2.00%, 2/1/2051 | | |
Pool # BR3515, 2.50%, 2/1/2051 | | |
Pool # FM6244, 2.00%, 3/1/2051 | | |
Pool # MA4281, 2.00%, 3/1/2051 | | |
Pool # FM6523, 2.50%, 3/1/2051 | | |
Pool # FM6764, 2.50%, 3/1/2051 | | |
Pool # FM6537, 2.00%, 4/1/2051 | | |
Pool # MA4306, 2.50%, 4/1/2051 | | |
Pool # FM7099, 3.00%, 4/1/2051 | | |
Pool # MA4343, 1.50%, 5/1/2051 | | |
Pool # FM7066, 2.50%, 5/1/2051 | | |
Pool # MA4326, 2.50%, 5/1/2051 | | |
Pool # MA4354, 1.50%, 6/1/2051 | | |
Pool # CB0727, 2.50%, 6/1/2051 | | |
Pool # FM7418, 2.50%, 6/1/2051 | | |
Pool # MA4356, 2.50%, 6/1/2051 | | |
Pool # MA4377, 1.50%, 7/1/2051 | | |
Pool # FM8194, 2.00%, 7/1/2051 | | |
Pool # CB1027, 2.50%, 7/1/2051 | | |
Pool # MA4379, 2.50%, 7/1/2051 | | |
Pool # CB1150, 3.00%, 7/1/2051 | | |
Pool # MA4380, 3.00%, 7/1/2051 | | |
Pool # FM8278, 3.50%, 7/1/2051 | | |
Pool # BR2236, 2.50%, 8/1/2051 | | |
Pool # BR2237, 2.50%, 8/1/2051 | | |
Pool # BR2258, 2.50%, 8/1/2051 | | |
Pool # CB1276, 2.50%, 8/1/2051 | | |
Pool # MA4399, 2.50%, 8/1/2051 | | |
Pool # MA4401, 3.50%, 8/1/2051 | | |
Pool # BT0240, 2.00%, 9/1/2051 | | |
Pool # FM8730, 2.00%, 9/1/2051 | | |
Pool # MA4413, 2.00%, 9/1/2051 | | |
Pool # MA4414, 2.50%, 9/1/2051 | | |
Pool # CB1917, 3.00%, 10/1/2051 | | |
Pool # CB2364, 2.00%, 12/1/2051 | | |
Pool # FM9868, 2.50%, 12/1/2051 | | |
Pool # FM9870, 2.50%, 12/1/2051 | | |
Pool # MA4493, 2.50%, 12/1/2051 | | |
Pool # MA4512, 2.50%, 1/1/2052 | | |
Pool # MA4513, 3.00%, 1/1/2052 | | |
Pool # CB2773, 2.00%, 2/1/2052 | | |
Pool # MA4548, 2.50%, 2/1/2052 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Mortgage-Backed Securities — continued |
Pool # BV4248, 2.00%, 3/1/2052 | | |
Pool # CB3040, 2.00%, 3/1/2052 | | |
Pool # MA4577, 2.00%, 4/1/2052 | | |
Pool # FS1538, 3.00%, 4/1/2052 | | |
Pool # MA4579, 3.00%, 4/1/2052 | | |
Pool # MA4599, 3.00%, 5/1/2052 | | |
Pool # CB3608, 3.50%, 5/1/2052 | | |
Pool # MA4600, 3.50%, 5/1/2052 | | |
Pool # MA4622, 2.00%, 6/1/2052 | | |
Pool # MA4624, 3.00%, 6/1/2052 | | |
Pool # CB4209, 3.50%, 7/1/2052 | | |
Pool # MA4654, 3.50%, 7/1/2052 | | |
Pool # MA4699, 3.50%, 8/1/2052 | | |
Pool # MA4700, 4.00%, 8/1/2052 | | |
Pool # MA4701, 4.50%, 8/1/2052 | | |
Pool # FS2619, 5.00%, 8/1/2052 | | |
Pool # FS3392, 4.00%, 9/1/2052 | | |
Pool # MA4732, 4.00%, 9/1/2052 | | |
Pool # MA4761, 5.00%, 9/1/2052 | | |
Pool # MA4783, 4.00%, 10/1/2052 | | |
Pool # MA4803, 3.50%, 11/1/2052 | | |
Pool # MA4805, 4.50%, 11/1/2052 | | |
Pool # MA4838, 3.50%, 12/1/2052 | | |
Pool # MA4839, 4.00%, 12/1/2052 | | |
Pool # MA4840, 4.50%, 12/1/2052 | | |
Pool # FS3455, 5.00%, 12/1/2052 | | |
Pool # MA4866, 4.00%, 1/1/2053 | | |
Pool # MA4868, 5.00%, 1/1/2053 | | |
Pool # MA4869, 5.50%, 1/1/2053 | | |
Pool # MA4933, 3.50%, 2/1/2053 | | |
Pool # MA4918, 5.00%, 2/1/2053 | | |
Pool # CB5600, 5.50%, 2/1/2053 | | |
Pool # MA4919, 5.50%, 2/1/2053 | | |
Pool # MA4920, 6.00%, 2/1/2053 | | |
Pool # MA4962, 4.00%, 3/1/2053 | | |
Pool # BX7958, 5.00%, 3/1/2053 | | |
Pool # CB5906, 5.50%, 3/1/2053 | | |
Pool # MA4943, 6.50%, 3/1/2053 | | |
Pool # MA4964, 7.00%, 3/1/2053 | | |
Pool # MA4979, 5.50%, 4/1/2053 | | |
Pool # MA5038, 5.00%, 6/1/2053 | | |
Pool # MA5071, 5.00%, 7/1/2053 | | |
Pool # MA5072, 5.50%, 7/1/2053 | | |
Pool # MA5138, 5.50%, 9/1/2053 | | |
Pool # DA4550, 6.50%, 11/1/2053 | | |
| | |
|
Pool # MA5192, 6.50%, 11/1/2053 | | |
Pool # MA5217, 6.50%, 12/1/2053 | | |
Pool # FS6772, 7.00%, 1/1/2054 | | |
FNMA/FHLMC UMBS, Single Family, 15 Year | | |
TBA, 3.00%, 9/25/2039 (a) | | |
TBA, 3.50%, 9/25/2039 (a) | | |
TBA, 4.00%, 9/25/2039 (a) | | |
FNMA/FHLMC UMBS, Single Family, 30 Year | | |
TBA, 2.00%, 9/25/2054 (a) | | |
TBA, 4.00%, 9/25/2054 (a) | | |
TBA, 5.50%, 9/25/2054 (a) | | |
TBA, 6.00%, 9/25/2054 (a) | | |
| | |
Pool # 704155, 5.50%, 1/15/2039 | | |
Pool # 726769, 5.00%, 9/15/2039 | | |
Pool # 721340, 5.00%, 12/15/2039 | | |
Pool # 754439, 3.50%, 12/15/2041 | | |
Pool # 711674, 3.00%, 9/15/2042 | | |
Pool # 783748, 3.50%, 4/15/2043 | | |
Pool # 784660, 4.00%, 4/15/2043 | | |
Pool # AC2224, 3.50%, 6/15/2043 | | |
Pool # 785088, 3.50%, 7/15/2043 | | |
Pool # AJ4151, 4.00%, 9/15/2044 | | |
Pool # AL9314, 3.00%, 3/15/2045 | | |
Pool # 784664, 4.00%, 4/15/2045 | | |
Pool # AO0544, 3.00%, 8/15/2045 | | |
Pool # 784429, 3.00%, 8/15/2046 | | |
| | |
Pool # MA0513, 2.50%, 11/20/2027 | | |
Pool # MA4625, 3.50%, 8/20/2032 | | |
Pool # MA6906, 2.50%, 10/20/2035 | | |
| | |
Pool # 711773, 3.50%, 6/20/2033 | | |
Pool # 3459, 5.50%, 10/20/2033 | | |
Pool # AQ5932, 3.50%, 1/20/2036 | | |
Pool # 4222, 6.00%, 8/20/2038 | | |
Pool # 709148, 4.50%, 2/20/2039 | | |
Pool # 4446, 4.50%, 5/20/2039 | | |
Pool # 4467, 4.00%, 6/20/2039 | | |
Pool # 4468, 4.50%, 6/20/2039 | | |
Pool # 4494, 4.00%, 7/20/2039 | | |
Pool # 4495, 4.50%, 7/20/2039 | | |
Pool # 4519, 4.50%, 8/20/2039 | | |
Pool # 4558, 4.50%, 10/20/2039 | | |
Pool # 4576, 4.00%, 11/20/2039 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Mortgage-Backed Securities — continued |
Pool # 4598, 4.50%, 12/20/2039 | | |
Pool # 4617, 4.50%, 1/20/2040 | | |
Pool # 4656, 4.00%, 3/20/2040 | | |
Pool # 4677, 4.00%, 4/20/2040 | | |
Pool # 4678, 4.50%, 4/20/2040 | | |
Pool # 4695, 4.00%, 5/20/2040 | | |
Pool # 4712, 4.00%, 6/20/2040 | | |
Pool # 4800, 4.00%, 9/20/2040 | | |
Pool # 737727, 4.00%, 12/20/2040 | | |
Pool # 4945, 4.00%, 2/20/2041 | | |
Pool # 759342, 4.50%, 2/20/2041 | | |
Pool # 4950, 5.50%, 2/20/2041 | | |
Pool # 4976, 3.50%, 3/20/2041 | | |
Pool # 4977, 4.00%, 3/20/2041 | | |
Pool # 5016, 4.00%, 4/20/2041 | | |
Pool # 5054, 4.00%, 5/20/2041 | | |
Pool # 5114, 4.00%, 7/20/2041 | | |
Pool # 779497, 3.50%, 10/20/2041 | | |
Pool # 5233, 4.00%, 11/20/2041 | | |
Pool # 5258, 3.50%, 12/20/2041 | | |
Pool # 5259, 4.00%, 12/20/2041 | | |
Pool # 5279, 3.50%, 1/20/2042 | | |
Pool # 5330, 3.00%, 3/20/2042 | | |
Pool # 754406, 3.50%, 5/20/2042 | | |
Pool # 796468, 4.00%, 9/20/2042 | | |
Pool # AA6040, 3.00%, 1/20/2043 | | |
Pool # AD1584, 3.00%, 1/20/2043 | | |
Pool # AD2125, 3.50%, 1/20/2043 | | |
Pool # AA6054, 3.00%, 2/20/2043 | | |
Pool # AD1744, 3.00%, 2/20/2043 | | |
Pool # 783755, 3.00%, 4/20/2043 | | |
Pool # 783976, 3.50%, 4/20/2043 | | |
Pool # MA1284, 3.00%, 9/20/2043 | | |
Pool # 785065, 3.50%, 10/20/2043 | | |
Pool # MA1376, 4.00%, 10/20/2043 | | |
Pool # AI7106, 4.00%, 6/20/2044 | | |
Pool # 784026, 3.50%, 12/20/2044 | | |
Pool # MA2678, 3.50%, 3/20/2045 | | |
Pool # MA2679, 4.00%, 3/20/2045 | | |
Pool # MA2753, 3.00%, 4/20/2045 | | |
Pool # 626942, 3.00%, 5/20/2045 | | |
Pool # MA2829, 5.00%, 5/20/2045 | | |
Pool # 784800, 3.00%, 6/20/2045 | | |
Pool # AM9881, 3.00%, 6/20/2045 | | |
Pool # AO9442, 3.50%, 12/20/2045 | | |
| | |
|
Pool # 784119, 3.00%, 2/20/2046 | | |
Pool # MA3458, 5.50%, 2/20/2046 | | |
Pool # MA3735, 3.00%, 6/20/2046 | | |
Pool # AT7138, 3.50%, 6/20/2046 | | |
Pool # MA3935, 2.50%, 9/20/2046 | | |
Pool # 784768, 3.00%, 9/20/2046 | | |
Pool # AT8215, 3.00%, 9/20/2046 | | |
Pool # MA4002, 2.50%, 10/20/2046 | | |
Pool # AW0199, 3.00%, 10/20/2046 | | |
Pool # MA4072, 5.00%, 11/20/2046 | | |
Pool # MA4125, 2.50%, 12/20/2046 | | |
Pool # MA4126, 3.00%, 12/20/2046 | | |
Pool # MA4260, 2.50%, 2/20/2047 | | |
Pool # AZ3119, 3.50%, 3/20/2047 | | |
Pool # AZ7084, 3.50%, 4/20/2047 | | |
Pool # MA4511, 4.00%, 6/20/2047 | | |
Pool # BA5041, 5.00%, 6/20/2047 | | |
Pool # MA4584, 2.50%, 7/20/2047 | | |
Pool # MA4718, 3.00%, 9/20/2047 | | |
Pool # BC2742, 3.50%, 11/20/2047 | | |
Pool # BD6940, 3.50%, 12/20/2047 | | |
Pool # MA5019, 3.50%, 2/20/2048 | | |
Pool # 785033, 3.50%, 5/20/2048 | | |
Pool # MA5329, 3.50%, 7/20/2048 | | |
Pool # MA5468, 5.00%, 9/20/2048 | | |
Pool # MA5527, 3.50%, 10/20/2048 | | |
Pool # MA5595, 4.00%, 11/20/2048 | | |
Pool # BJ6759, 4.50%, 11/20/2048 | | |
Pool # MA5651, 4.00%, 12/20/2048 | | |
Pool # MA5709, 3.50%, 1/20/2049 | | |
Pool # BI6473, 4.00%, 1/20/2049 | | |
Pool # MA5983, 2.50%, 6/20/2049 | | |
Pool # MA5985, 3.50%, 6/20/2049 | | |
Pool # MA6220, 4.00%, 10/20/2049 | | |
Pool # BR4627, 3.00%, 11/20/2049 | | |
Pool # MA6283, 3.00%, 11/20/2049 | | |
Pool # 785067, 3.50%, 12/20/2049 | | |
Pool # MA6478, 5.00%, 2/20/2050 | | |
Pool # MA6542, 3.50%, 3/20/2050 | | |
Pool # BV1348, 2.50%, 6/20/2050 | | |
Pool # MA6818, 2.00%, 8/20/2050 | | |
Pool # BY8818, 2.00%, 10/20/2050 | | |
Pool # 785401, 2.50%, 10/20/2050 | | |
Pool # MA6994, 2.00%, 11/20/2050 | | |
Pool # BY8832, 2.50%, 11/20/2050 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Mortgage-Backed Securities — continued |
Pool # MA7051, 2.00%, 12/20/2050 | | |
Pool # CA4485, 2.50%, 12/20/2050 | | |
Pool # MA7052, 2.50%, 12/20/2050 | | |
Pool # MA7055, 4.00%, 12/20/2050 | | |
Pool # MA7135, 2.00%, 1/20/2051 | | |
Pool # MA7254, 2.00%, 3/20/2051 | | |
Pool # 785449, 3.00%, 4/20/2051 | | |
Pool # MA7417, 2.00%, 6/20/2051 | | |
Pool # MA7418, 2.50%, 6/20/2051 | | |
Pool # MA7420, 3.50%, 6/20/2051 | | |
Pool # MA7473, 3.00%, 7/20/2051 | | |
Pool # MA7588, 2.00%, 9/20/2051 | | |
Pool # MA7766, 2.00%, 12/20/2051 | | |
Pool # MA7826, 2.00%, 1/20/2052 | | |
Pool # 785945, 3.00%, 2/20/2052 | | |
Pool # 786017, 3.00%, 3/20/2052 | | |
Pool # MA7986, 2.00%, 4/20/2052 | | |
Pool # MA7988, 3.00%, 4/20/2052 | | |
Pool # MA8043, 3.00%, 5/20/2052 | | |
Pool # MA8147, 2.50%, 7/20/2052 | | |
Pool # MA8267, 4.00%, 9/20/2052 | | |
Pool # MA8269, 5.00%, 9/20/2052 | | |
Pool # MA8270, 5.50%, 9/20/2052 | | |
Pool # MA8346, 4.00%, 10/20/2052 | | |
Pool # MA8492, 6.00%, 12/20/2052 | | |
Pool # MA8493, 6.50%, 12/20/2052 | | |
Pool # MA8573, 7.00%, 1/20/2053 | | |
Pool # MA8800, 5.00%, 4/20/2053 | | |
Pool # 786633, 6.00%, 4/20/2053 | | |
Pool # MA8947, 5.00%, 6/20/2053 | | |
Pool # MA9015, 4.50%, 7/20/2053 | | |
Pool # MA9018, 6.00%, 7/20/2053 | | |
Pool # MA9019, 6.50%, 7/20/2053 | | |
Pool # MA9105, 5.00%, 8/20/2053 | | |
Pool # MA9173, 6.50%, 9/20/2053 | | |
Pool # MA9365, 7.00%, 12/20/2053 | | |
GNMA II, Single Family, 30 Year | | |
TBA, 2.00%, 9/15/2054 (a) | | |
TBA, 2.50%, 9/15/2054 (a) | | |
TBA, 3.00%, 9/15/2054 (a) | | |
TBA, 3.50%, 9/15/2054 (a) | | |
TBA, 4.00%, 9/15/2054 (a) | | |
| | |
|
TBA, 4.50%, 9/15/2054 (a) | | |
TBA, 6.00%, 9/15/2054 (a) | | |
Total Mortgage-Backed Securities
(Cost $374,710,863) | | |
|
Aerospace & Defense — 0.6% |
|
| | |
| | |
| | |
| | |
| | |
| | |
GE Capital Funding LLC 4.55%, 5/15/2032 | | |
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 | | |
L3Harris Technologies, Inc. 4.85%, 4/27/2035 | | |
Lockheed Martin Corp. 3.60%, 3/1/2035 | | |
|
| | |
| | |
| | |
Precision Castparts Corp. 4.38%, 6/15/2045 | | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Air Freight & Logistics — 0.1% |
CH Robinson Worldwide, Inc. 4.20%, 4/15/2028 | | |
|
| | |
| | |
| | |
GXO Logistics, Inc. 1.65%, 7/15/2026 | | |
United Parcel Service, Inc. |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Air Freight & Logistics — continued |
| | |
| | |
| | |
Automobile Components — 0.0% ^ |
Aptiv plc 3.10%, 12/1/2051 | | |
BorgWarner, Inc. 2.65%, 7/1/2027 | | |
Lear Corp. 5.25%, 5/15/2049 | | |
| | |
|
|
| | |
| | |
| | |
Mercedes-Benz Finance North America LLC (Germany) 8.50%, 1/18/2031 | | |
Toyota Motor Corp. (Japan) 2.76%, 7/2/2029 | | |
| | |
|
Banco Santander SA (Spain) |
| | |
| | |
|
| | |
| | |
(SOFR + 1.01%), 1.20%, 10/24/2026 (b) | | |
(SOFR + 1.05%), 2.55%, 2/4/2028 (b) | | |
(SOFR + 1.99%), 6.20%, 11/10/2028 (b) | | |
(3-MONTH CME TERM SOFR + 1.30%), 3.42%, 12/20/2028 (b) | | |
(SOFR + 1.06%), 2.09%, 6/14/2029 (b) | | |
(3-MONTH CME TERM SOFR + 1.57%), 4.27%, 7/23/2029 (b) | | |
(3-MONTH CME TERM SOFR + 1.47%), 3.97%, 2/7/2030 (b) | | |
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.20%), 2.48%, 9/21/2036 (b) | | |
(SOFR + 1.58%), 3.31%, 4/22/2042 (b) | | |
| | |
(3-MONTH CME TERM SOFR + 1.45%), 3.95%, 1/23/2049 (b) | | |
| | |
|
|
Bank of Montreal (Canada) |
| | |
(SOFR + 0.60%), 0.95%, 1/22/2027 (b) | | |
| | |
Bank of Nova Scotia (The) (Canada) |
| | |
| | |
| | |
Barclays plc (United Kingdom) |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.00%), 5.75%, 8/9/2033 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.90%), 3.56%, 9/23/2035 (b) | | |
|
| | |
(3-MONTH CME TERM SOFR + 1.60%), 3.98%, 3/20/2030 (b) | | |
(SOFR + 1.42%), 2.98%, 11/5/2030 (b) | | |
(SOFR + 3.91%), 4.41%, 3/31/2031 (b) | | |
(SOFR + 2.11%), 2.57%, 6/3/2031 (b) | | |
| | |
(SOFR + 1.18%), 2.52%, 11/3/2032 (b) | | |
(SOFR + 2.09%), 4.91%, 5/24/2033 (b) | | |
(SOFR + 2.34%), 6.27%, 11/17/2033 (b) | | |
Cooperatieve Rabobank UA (Netherlands) 3.75%, 7/21/2026 | | |
Fifth Third Bancorp (SOFR + 0.69%), 1.71%, 11/1/2027 (b) | | |
HSBC Bank USA NA 7.00%, 1/15/2039 | | |
HSBC Holdings plc (United Kingdom) |
(SOFR + 1.97%), 6.16%, 3/9/2029 (b) | | |
(3-MONTH CME TERM SOFR + 1.80%), 4.58%, 6/19/2029 (b) | | |
(SOFR + 2.39%), 2.85%, 6/4/2031 (b) | | |
(SOFR + 1.95%), 2.36%, 8/18/2031 (b) | | |
| | |
| | |
HSBC USA, Inc. 5.63%, 3/17/2025 | | |
ING Groep NV (Netherlands) |
| | |
(SOFR + 1.01%), 1.73%, 4/1/2027 (b) | | |
KeyBank NA 4.70%, 1/26/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Korea Development Bank (The) (South Korea) 1.00%, 9/9/2026 | | |
Kreditanstalt fuer Wiederaufbau (Germany) |
| | |
| | |
| | |
Lloyds Banking Group plc (United Kingdom) |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (b) | | |
| | |
M&T Bank Corp. (SOFR + 1.85%), 5.05%, 1/27/2034 (b) | | |
Mitsubishi UFJ Financial Group, Inc. (Japan) 3.75%, 7/18/2039 | | |
Oesterreichische Kontrollbank AG (Austria) |
| | |
| | |
| | |
| | |
PNC Bank NA 3.10%, 10/25/2027 | | |
PNC Financial Services Group, Inc. (The) (SOFR + 1.93%), 5.07%, 1/24/2034 (b) | | |
Royal Bank of Canada (Canada) 6.00%, 11/1/2027 | | |
Santander Holdings USA, Inc. (SOFR + 2.70%), 6.57%, 6/12/2029 (b) | | |
Santander UK Group Holdings plc (United Kingdom) (SOFR + 0.99%), 1.67%, 6/14/2027 (b) | | |
Sumitomo Mitsui Financial Group, Inc. (Japan) |
| | |
| | |
| | |
| | |
Toronto-Dominion Bank (The) (Canada) |
| | |
| | |
| | |
|
(SOFR + 0.61%), 1.27%, 3/2/2027 (b) | | |
| | |
|
| | |
(SOFR + 2.11%), 4.97%, 7/22/2033 (b) | | |
| | |
|
|
|
| | |
| | |
| | |
(3-MONTH CME TERM SOFR + 1.57%), 3.58%, 5/22/2028 (b) | | |
(SOFR + 2.10%), 2.39%, 6/2/2028 (b) | | |
| | |
(3-MONTH CME TERM SOFR + 1.43%), 2.88%, 10/30/2030 (b) | | |
(SOFR + 1.99%), 5.56%, 7/25/2034 (b) | | |
(SOFR + 2.53%), 3.07%, 4/30/2041 (b) | | |
| | |
Westpac Banking Corp. (Australia) |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.00%), 4.11%, 7/24/2034 (b) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.75%), 2.67%, 11/15/2035 (b) (d) | | |
Zions Bancorp NA 3.25%, 10/29/2029 | | |
| | |
|
Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036 | | |
Anheuser-Busch InBev Finance, Inc. (Belgium) 4.70%, 2/1/2036 | | |
Anheuser-Busch InBev Worldwide, Inc. (Belgium) |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Constellation Brands, Inc. |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
Diageo Capital plc (United Kingdom) 2.13%, 4/29/2032 | | |
Keurig Dr Pepper, Inc. 4.50%, 4/15/2052 | | |
|
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Alibaba Group Holding Ltd. (China) 3.25%, 2/9/2061 | | |
| | |
|
Broadline Retail — continued |
|
| | |
| | |
| | |
| | |
| | |
| | |
eBay, Inc. 4.00%, 7/15/2042 | | |
JD.com, Inc. (China) 3.38%, 1/14/2030 | | |
| | |
|
|
| | |
| | |
Fortune Brands Innovations, Inc. 4.00%, 3/25/2032 | | |
Johnson Controls International plc |
| | |
| | |
| | |
|
| | |
| | |
| | |
|
|
| | |
| | |
Bank of New York Mellon Corp. (The) Series J, (SOFR + 1.61%), 4.97%, 4/26/2034 (b) | | |
BlackRock TCP Capital Corp. 2.85%, 2/9/2026 | | |
Blackstone Private Credit Fund 3.25%, 3/15/2027 | | |
Blue Owl Technology Finance Corp. 2.50%, 1/15/2027 | | |
Charles Schwab Corp. (The) |
| | |
| | |
CI Financial Corp. (Canada) 3.20%, 12/17/2030 | | |
CME Group, Inc. 4.15%, 6/15/2048 | | |
Credit Suisse USA LLC (Switzerland) 7.13%, 7/15/2032 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Capital Markets — continued |
Deutsche Bank AG (Germany) |
(SOFR + 1.87%), 2.13%, 11/24/2026 (b) | | |
(SOFR + 1.22%), 2.31%, 11/16/2027 (b) | | |
(SOFR + 2.51%), 6.82%, 11/20/2029 (b) | | |
(SOFR + 3.65%), 7.08%, 2/10/2034 (b) | | |
Franklin Resources, Inc. 1.60%, 10/30/2030 | | |
|
| | |
| | |
Goldman Sachs Group, Inc. (The) |
(SOFR + 0.80%), 1.43%, 3/9/2027 (b) | | |
(SOFR + 0.82%), 1.54%, 9/10/2027 (b) | | |
(SOFR + 1.11%), 2.64%, 2/24/2028 (b) | | |
(3-MONTH CME TERM SOFR + 1.42%), 3.81%, 4/23/2029 (b) | | |
(3-MONTH CME TERM SOFR + 1.56%), 4.22%, 5/1/2029 (b) | | |
| | |
(SOFR + 1.25%), 2.38%, 7/21/2032 (b) | | |
| | |
(SOFR + 1.41%), 3.10%, 2/24/2033 (b) | | |
| | |
(SOFR + 1.63%), 3.44%, 2/24/2043 (b) | | |
| | |
| | |
Golub Capital BDC, Inc. 2.05%, 2/15/2027 | | |
HPS Corporate Lending Fund 6.75%, 1/30/2029 (f) | | |
Jefferies Financial Group, Inc. 4.15%, 1/23/2030 | | |
Moody's Corp. 4.25%, 2/1/2029 | | |
|
(SOFR + 0.88%), 1.59%, 5/4/2027 (b) | | |
(SOFR + 0.86%), 1.51%, 7/20/2027 (b) | | |
(SOFR + 1.00%), 2.48%, 1/21/2028 (b) | | |
| | |
(3-MONTH CME TERM SOFR + 1.40%), 3.77%, 1/24/2029 (b) | | |
(SOFR + 1.14%), 2.70%, 1/22/2031 (b) | | |
(SOFR + 1.03%), 1.79%, 2/13/2032 (b) | | |
(SOFR + 1.02%), 1.93%, 4/28/2032 (b) | | |
(SOFR + 1.18%), 2.24%, 7/21/2032 (b) | | |
(SOFR + 1.88%), 5.42%, 7/21/2034 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.80%), 5.94%, 2/7/2039 (b) | | |
| | |
|
Capital Markets — continued |
(SOFR + 1.49%), 3.22%, 4/22/2042 (b) | | |
| | |
|
| | |
| | |
Nomura Holdings, Inc. (Japan) 2.71%, 1/22/2029 | | |
Oaktree Specialty Lending Corp. 2.70%, 1/15/2027 | | |
Prospect Capital Corp. 3.36%, 11/15/2026 | | |
Raymond James Financial, Inc. 4.95%, 7/15/2046 | | |
Sixth Street Specialty Lending, Inc. 2.50%, 8/1/2026 | | |
|
(SOFR + 1.72%), 5.82%, 11/4/2028 (b) | | |
(SOFR + 1.57%), 4.82%, 1/26/2034 (b) | | |
|
| | |
| | |
| | |
|
Air Products and Chemicals, Inc. 4.80%, 3/3/2033 | | |
Celanese US Holdings LLC 1.40%, 8/5/2026 | | |
|
| | |
| | |
|
| | |
| | |
| | |
| | |
DuPont de Nemours, Inc. 4.73%, 11/15/2028 | | |
|
| | |
| | |
EIDP, Inc. 4.80%, 5/15/2033 | | |
FMC Corp. 3.45%, 10/1/2029 | | |
Huntsman International LLC 4.50%, 5/1/2029 | | |
LYB International Finance III LLC 1.25%, 10/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
Sherwin-Williams Co. (The) |
| | |
| | |
| | |
Westlake Corp. 5.00%, 8/15/2046 | | |
| | |
Commercial Services & Supplies — 0.1% |
Cintas Corp. No. 2 3.70%, 4/1/2027 | | |
RELX Capital, Inc. (United Kingdom) 4.75%, 5/20/2032 | | |
Republic Services, Inc. 2.38%, 3/15/2033 | | |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
Communications Equipment — 0.1% |
|
| | |
| | |
Motorola Solutions, Inc. 5.60%, 6/1/2032 | | |
| | |
Construction Materials — 0.0% ^ |
|
| | |
| | |
| | |
|
AerCap Ireland Capital DAC (Ireland) |
| | |
| | |
| | |
| | |
Ally Financial, Inc. 2.20%, 11/2/2028 | | |
|
| | |
| | |
(SOFR + 0.97%), 5.39%, 7/28/2027 (b) | | |
(SOFR + 1.00%), 5.10%, 2/16/2028 (b) | | |
| | |
|
Consumer Finance — continued |
American Honda Finance Corp. |
| | |
| | |
Capital One Financial Corp. |
| | |
| | |
| | |
(SOFR + 2.08%), 5.47%, 2/1/2029 (b) | | |
(SOFR + 1.79%), 3.27%, 3/1/2030 (b) | | |
Caterpillar Financial Services Corp. |
| | |
| | |
Ford Motor Credit Co. LLC |
| | |
| | |
| | |
| | |
General Motors Financial Co., Inc. |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Synchrony Financial 5.15%, 3/19/2029 | | |
Toyota Motor Credit Corp. |
| | |
| | |
| | |
| | |
| | |
Consumer Staples Distribution & Retail — 0.3% |
Costco Wholesale Corp. 3.00%, 5/18/2027 | | |
|
| | |
| | |
Dollar Tree, Inc. 2.65%, 12/1/2031 | | |
|
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Consumer Staples Distribution & Retail — continued |
Target Corp. 2.95%, 1/15/2052 | | |
|
| | |
| | |
| | |
| | |
| | |
Containers & Packaging — 0.1% |
Avery Dennison Corp. 4.88%, 12/6/2028 | | |
Berry Global, Inc. 1.57%, 1/15/2026 | | |
|
| | |
| | |
WestRock MWV LLC 7.95%, 2/15/2031 | | |
WRKCo, Inc. 3.00%, 6/15/2033 | | |
| | |
Diversified Consumer Services — 0.1% |
Duke University Series 2020, 2.83%, 10/1/2055 | | |
George Washington University (The) Series 2018, 4.13%, 9/15/2048 | | |
Thomas Jefferson University 3.85%, 11/1/2057 | | |
Trustees of the University of Pennsylvania (The) 3.61%, 2/15/2119 | | |
University of Miami Series 2022, 4.06%, 4/1/2052 | | |
Yale University Series 2020, 1.48%, 4/15/2030 | | |
| | |
|
American Assets Trust LP 3.38%, 2/1/2031 | | |
|
| | |
| | |
| | |
VICI Properties LP 5.75%, 4/1/2034 | | |
WP Carey, Inc. 3.85%, 7/15/2029 | | |
| | |
Diversified Telecommunication Services — 0.7% |
|
| | |
| | |
| | |
|
Diversified Telecommunication Services — continued |
| | |
| | |
| | |
| | |
| | |
| | |
Bell Canada (The) (Canada) Series US-5, 2.15%, 2/15/2032 | | |
Deutsche Telekom International Finance BV (Germany) 9.25%, 6/1/2032 | | |
Orange SA (France) 5.38%, 1/13/2042 | | |
Telefonica Emisiones SA (Spain) |
| | |
| | |
| | |
TELUS Corp. (Canada) 3.40%, 5/13/2032 | | |
Verizon Communications, Inc. |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Electric Utilities — 1.4% |
|
| | |
Series B, 3.70%, 12/1/2047 | | |
| | |
American Electric Power Co., Inc. |
Series N, 1.00%, 11/1/2025 | | |
| | |
| | |
Arizona Public Service Co. 4.35%, 11/15/2045 | | |
CenterPoint Energy Houston Electric LLC |
Series ai., 4.45%, 10/1/2032 | | |
Series K2, 6.95%, 3/15/2033 | | |
Series AD, 2.90%, 7/1/2050 | | |
Series AF, 3.35%, 4/1/2051 | | |
|
| | |
Series 130, 3.13%, 3/15/2051 | | |
Connecticut Light and Power Co. (The) 5.25%, 1/15/2053 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
Dominion Energy South Carolina, Inc. 5.10%, 6/1/2065 | | |
|
Series A, 1.90%, 4/1/2028 | | |
| | |
| | |
| | |
Series B, 3.25%, 4/1/2051 | | |
Duke Energy Carolinas LLC |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
Duke Energy Florida LLC 6.40%, 6/15/2038 | | |
|
| | |
| | |
|
| | |
| | |
|
| | |
| | |
Entergy Arkansas LLC 3.35%, 6/15/2052 | | |
|
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.67%), 7.13%, 12/1/2054 (b) | | |
Entergy Mississippi LLC 3.50%, 6/1/2051 | | |
|
Series U, 1.40%, 8/15/2026 | | |
| | |
Series R, 1.65%, 8/15/2030 | | |
|
| | |
| | |
Florida Power & Light Co. |
| | |
| | |
| | |
|
Electric Utilities — continued |
|
| | |
Series A, 3.25%, 3/15/2051 | | |
Hydro-Quebec (Canada) 8.50%, 12/1/2029 | | |
IPALCO Enterprises, Inc. 4.25%, 5/1/2030 | | |
ITC Holdings Corp. 3.35%, 11/15/2027 | | |
MidAmerican Energy Co. 5.35%, 1/15/2034 | | |
Nevada Power Co. Series EE, 3.13%, 8/1/2050 | | |
NextEra Energy Capital Holdings, Inc. |
| | |
| | |
| | |
| | |
| | |
| | |
Northern States Power Co. |
| | |
| | |
|
| | |
| | |
Oklahoma Gas and Electric Co. |
| | |
| | |
Oncor Electric Delivery Co. LLC 4.55%, 9/15/2032 | | |
Pacific Gas and Electric Co. |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
PECO Energy Co. 3.15%, 10/15/2025 | | |
PG&E Wildfire Recovery Funding LLC Series A-4, 4.45%, 12/1/2047 | | |
Potomac Electric Power Co. 4.15%, 3/15/2043 | | |
Public Service Co. of New Hampshire 5.35%, 10/1/2033 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
Public Service Electric and Gas Co. |
| | |
| | |
| | |
SCE Recovery Funding LLC Series A-2, 2.94%, 11/15/2042 | | |
|
Series A, 3.70%, 4/30/2030 | | |
| | |
Southwestern Electric Power Co. Series N, 1.65%, 3/15/2026 | | |
Virginia Electric & Power Co. 4.00%, 1/15/2043 | | |
Virginia Electric and Power Co. |
Series A, 3.80%, 4/1/2028 | | |
Series B, 3.80%, 9/15/2047 | | |
| | |
Wisconsin Electric Power Co. 4.30%, 10/15/2048 | | |
|
| | |
| | |
| | |
| | |
Electrical Equipment — 0.0% ^ |
Eaton Corp. 4.15%, 11/2/2042 | | |
Regal Rexnord Corp. 6.05%, 4/15/2028 | | |
| | |
Electronic Equipment, Instruments & Components — 0.1% |
|
| | |
| | |
Arrow Electronics, Inc. 2.95%, 2/15/2032 | | |
Keysight Technologies, Inc. 3.00%, 10/30/2029 | | |
Teledyne Technologies, Inc. 2.75%, 4/1/2031 | | |
Trimble, Inc. 6.10%, 3/15/2033 | | |
| | |
Energy Equipment & Services — 0.1% |
|
| | |
| | |
Helmerich & Payne, Inc. 2.90%, 9/29/2031 | | |
| | |
|
Energy Equipment & Services — continued |
NOV, Inc. 3.60%, 12/1/2029 | | |
Patterson-UTI Energy, Inc. 7.15%, 10/1/2033 | | |
| | |
|
|
| | |
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|
| | |
| | |
Tencent Music Entertainment Group (China) 2.00%, 9/3/2030 | | |
TWDC Enterprises 18 Corp. |
| | |
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|
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| | |
| | |
| | |
| | |
| | |
Financial Services — 0.4% |
Berkshire Hathaway, Inc. 3.13%, 3/15/2026 | | |
Equitable Holdings, Inc. 4.35%, 4/20/2028 | | |
|
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|
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|
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| | |
National Rural Utilities Cooperative Finance Corp. 4.80%, 3/15/2028 | | |
PayPal Holdings, Inc. 2.85%, 10/1/2029 | | |
Shell International Finance BV |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Financial Services — continued |
| | |
Synchrony Bank 5.63%, 8/23/2027 | | |
|
| | |
| | |
Voya Financial, Inc. 5.70%, 7/15/2043 | | |
| | |
|
Conagra Brands, Inc. 5.30%, 11/1/2038 | | |
Hormel Foods Corp. 1.70%, 6/3/2028 | | |
J M Smucker Co. (The) 3.38%, 12/15/2027 | | |
|
| | |
| | |
| | |
| | |
Kellanova 4.30%, 5/15/2028 | | |
Kraft Heinz Foods Co. 6.50%, 2/9/2040 | | |
|
| | |
| | |
| | |
| | |
Unilever Capital Corp. (United Kingdom) 2.90%, 5/5/2027 | | |
| | |
|
Southern California Gas Co. Series VV, 4.30%, 1/15/2049 | | |
Ground Transportation — 0.3% |
BNSF Funding Trust I (3-MONTH SOFR + 2.35%), 6.61%, 12/15/2055 (b) | | |
Burlington Northern Santa Fe LLC 6.15%, 5/1/2037 | | |
Canadian National Railway Co. (Canada) 2.75%, 3/1/2026 | | |
Canadian Pacific Railway Co. (Canada) 6.13%, 9/15/2115 | | |
|
| | |
| | |
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|
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|
Ground Transportation — continued |
| | |
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|
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| | |
| | |
| | |
Health Care Equipment & Supplies — 0.3% |
|
| | |
| | |
Baxter International, Inc. |
| | |
| | |
| | |
Becton Dickinson & Co. 4.30%, 8/22/2032 | | |
DENTSPLY SIRONA, Inc. 3.25%, 6/1/2030 | | |
Solventum Corp. 6.00%, 5/15/2064 (f) | | |
| | |
Health Care Providers & Services — 0.9% |
Cencora, Inc. 2.70%, 3/15/2031 | | |
|
| | |
| | |
CommonSpirit Health 4.35%, 11/1/2042 | | |
|
| | |
| | |
| | |
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| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Health Care Providers & Services — continued |
|
| | |
| | |
| | |
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| | |
| | |
|
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|
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| | |
| | |
Laboratory Corp. of America Holdings 4.70%, 2/1/2045 | | |
|
| | |
| | |
Memorial Sloan-Kettering Cancer Center 5.00%, 7/1/2042 | | |
Quest Diagnostics, Inc. 2.95%, 6/30/2030 | | |
UMass Memorial Health Care Obligated Group 5.36%, 7/1/2052 | | |
|
| | |
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|
Alexandria Real Estate Equities, Inc. 4.90%, 12/15/2030 | | |
Healthpeak OP LLC 6.75%, 2/1/2041 | | |
|
| | |
| | |
| | |
|
Health Care REITs — continued |
|
| | |
| | |
| | |
Hotels, Restaurants & Leisure — 0.2% |
|
| | |
| | |
|
| | |
| | |
| | |
Marriott International, Inc. Series GG, 3.50%, 10/15/2032 | | |
|
| | |
| | |
| | |
Sands China Ltd. (Macau) 5.12%, 8/8/2025 (e) | | |
|
| | |
| | |
| | |
Household Durables — 0.1% |
Leggett & Platt, Inc. 4.40%, 3/15/2029 | | |
Lennar Corp. 4.75%, 11/29/2027 | | |
NVR, Inc. 3.00%, 5/15/2030 | | |
|
| | |
| | |
Toll Brothers Finance Corp. 4.88%, 11/15/2025 | | |
Whirlpool Corp. 4.70%, 5/14/2032 | | |
| | |
Household Products — 0.2% |
Church & Dwight Co., Inc. 5.60%, 11/15/2032 | | |
Clorox Co. (The) 4.40%, 5/1/2029 | | |
Colgate-Palmolive Co. 4.60%, 3/1/2033 | | |
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Household Products — continued |
| | |
Procter & Gamble Co. (The) 4.05%, 1/26/2033 | | |
| | |
Independent Power and Renewable Electricity Producers — 0.0% ^ |
Constellation Energy Generation LLC |
| | |
| | |
| | |
| | |
Industrial Conglomerates — 0.1% |
|
| | |
| | |
| | |
Honeywell International, Inc. |
| | |
| | |
| | |
| | |
Industrial REITs — 0.0% ^ |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
Aflac, Inc. 3.60%, 4/1/2030 | | |
|
| | |
| | |
(3-MONTH SOFR + 2.12%), 6.50%, 5/15/2057 (b) | | |
American International Group, Inc. |
| | |
| | |
Aon Global Ltd. 3.88%, 12/15/2025 | | |
Arthur J Gallagher & Co. 2.40%, 11/9/2031 | | |
Athene Holding Ltd. 3.50%, 1/15/2031 | | |
| | |
|
|
AXIS Specialty Finance LLC (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.19%), 4.90%, 1/15/2040 (b) | | |
Berkshire Hathaway Finance Corp. 2.88%, 3/15/2032 | | |
Brown & Brown, Inc. 4.50%, 3/15/2029 | | |
Chubb INA Holdings LLC 3.05%, 12/15/2061 | | |
|
| | |
| | |
Enstar Finance LLC (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.01%), 5.50%, 1/15/2042 (b) | | |
Hartford Financial Services Group, Inc. (The) 2.80%, 8/19/2029 | | |
|
| | |
| | |
Loews Corp. 3.75%, 4/1/2026 | | |
Marsh & McLennan Cos., Inc. 2.25%, 11/15/2030 | | |
|
| | |
| | |
| | |
| | |
| | |
Progressive Corp. (The) 4.00%, 3/1/2029 | | |
Prudential Financial, Inc. |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.40%), 6.50%, 3/15/2054 (b) | | |
RenaissanceRe Holdings Ltd. (Bermuda) 3.60%, 4/15/2029 | | |
Travelers Cos., Inc. (The) 3.05%, 6/8/2051 | | |
| | |
Interactive Media & Services — 0.2% |
|
| | |
| | |
| | |
Baidu, Inc. (China) 1.72%, 4/9/2026 | | |
|
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Interactive Media & Services — continued |
| | |
| | |
| | |
Weibo Corp. (China) 3.38%, 7/8/2030 | | |
| | |
|
Amdocs Ltd. 2.54%, 6/15/2030 | | |
International Business Machines Corp. |
| | |
| | |
| | |
| | |
| | |
| | |
Leisure Products — 0.0% ^ |
|
| | |
| | |
| | |
Hasbro, Inc. 3.90%, 11/19/2029 | | |
| | |
Life Sciences Tools & Services — 0.2% |
Thermo Fisher Scientific, Inc. |
| | |
| | |
| | |
|
|
| | |
| | |
Dover Corp. 3.15%, 11/15/2025 | | |
Illinois Tool Works, Inc. 4.88%, 9/15/2041 | | |
Parker-Hannifin Corp. 4.25%, 9/15/2027 | | |
Snap-on, Inc. 3.10%, 5/1/2050 | | |
Stanley Black & Decker, Inc. 2.75%, 11/15/2050 | | |
| | |
|
Charter Communications Operating LLC |
| | |
| | |
| | |
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|
|
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|
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| | |
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| | |
Discovery Communications LLC |
| | |
| | |
Fox Corp. 4.71%, 1/25/2029 | | |
Omnicom Group, Inc. 2.60%, 8/1/2031 | | |
|
| | |
| | |
Time Warner Cable LLC 4.50%, 9/15/2042 | | |
| | |
|
ArcelorMittal SA (Luxembourg) |
| | |
| | |
BHP Billiton Finance USA Ltd. (Australia) 4.75%, 2/28/2028 | | |
|
| | |
| | |
|
| | |
| | |
Rio Tinto Finance USA plc (Australia) |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Metals & Mining — continued |
Steel Dynamics, Inc. 5.00%, 12/15/2026 | | |
Yamana Gold, Inc. (Canada) 2.63%, 8/15/2031 | | |
| | |
|
Ameren Corp. 1.75%, 3/15/2028 | | |
Avista Corp. 4.00%, 4/1/2052 | | |
Berkshire Hathaway Energy Co. |
| | |
| | |
Black Hills Corp. 5.95%, 3/15/2028 | | |
CenterPoint Energy, Inc. 2.95%, 3/1/2030 | | |
CMS Energy Corp. 4.88%, 3/1/2044 | | |
Consolidated Edison Co. of New York, Inc. 3.70%, 11/15/2059 | | |
|
| | |
| | |
| | |
|
Series D, 2.85%, 8/15/2026 | | |
Series C, 3.38%, 4/1/2030 | | |
Series A, 4.35%, 8/15/2032 | | |
Series C, 4.05%, 9/15/2042 | | |
| | |
DTE Energy Co. 2.95%, 3/1/2030 | | |
|
| | |
| | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.45%), 6.95%, 11/30/2054 (b) | | |
PG&E Energy Recovery Funding LLC Series A-1, 1.46%, 7/15/2031 | | |
Public Service Enterprise Group, Inc. |
| | |
| | |
Puget Sound Energy, Inc. 5.80%, 3/15/2040 | | |
|
| | |
| | |
| | |
| | |
|
Multi-Utilities — continued |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.87%), 4.13%, 4/1/2052 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.79%), 6.88%, 10/1/2054 (b) | | |
Southern Co. Gas Capital Corp. |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
COPT Defense Properties LP |
| | |
| | |
Highwoods Realty LP 2.60%, 2/1/2031 | | |
Kilroy Realty LP 2.50%, 11/15/2032 | | |
| | |
Oil, Gas & Consumable Fuels — 1.6% |
Boardwalk Pipelines LP 4.80%, 5/3/2029 | | |
BP Capital Markets America, Inc. |
| | |
| | |
| | |
BP Capital Markets plc 3.28%, 9/19/2027 | | |
Canadian Natural Resources Ltd. (Canada) 6.25%, 3/15/2038 | | |
Cenovus Energy, Inc. (Canada) |
| | |
| | |
Chevron Corp. 2.24%, 5/11/2030 | | |
Chevron USA, Inc. 2.34%, 8/12/2050 | | |
Continental Resources, Inc. 4.38%, 1/15/2028 | | |
|
| | |
| | |
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
|
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
EnLink Midstream Partners LP 5.45%, 6/1/2047 | | |
Enterprise Products Operating LLC |
| | |
| | |
| | |
|
| | |
| | |
EQT Corp. 7.00%, 2/1/2030 (e) | | |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
Hess Corp. 7.30%, 8/15/2031 | | |
|
| | |
| | |
| | |
Marathon Oil Corp. 6.80%, 3/15/2032 | | |
|
| | |
| | |
|
| | |
| | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
| | |
ONEOK Partners LP 6.65%, 10/1/2036 | | |
|
| | |
| | |
|
| | |
| | |
| | |
Phillips 66 2.15%, 12/15/2030 | | |
Phillips 66 Co. 3.75%, 3/1/2028 | | |
Pioneer Natural Resources Co. 1.13%, 1/15/2026 | | |
Sabine Pass Liquefaction LLC |
| | |
| | |
Targa Resources Partners LP |
| | |
| | |
Tosco Corp. 8.13%, 2/15/2030 | | |
TotalEnergies Capital International SA (France) |
| | |
| | |
TransCanada PipeLines Ltd. (Canada) |
| | |
| | |
Transcontinental Gas Pipe Line Co. LLC 4.45%, 8/1/2042 | | |
|
| | |
| | |
| | |
Western Midstream Operating LP 5.30%, 3/1/2048 | | |
Williams Cos., Inc. (The) |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Paper & Forest Products — 0.0% ^ |
Suzano Austria GmbH (Brazil) 6.00%, 1/15/2029 | | |
Suzano International Finance BV (Brazil) 5.50%, 1/17/2027 | | |
| | |
Passenger Airlines — 0.0% ^ |
Southwest Airlines Co. 5.13%, 6/15/2027 | | |
Personal Care Products — 0.1% |
Estee Lauder Cos., Inc. (The) 4.38%, 5/15/2028 | | |
|
| | |
| | |
| | |
| | |
|
Astrazeneca Finance LLC (United Kingdom) 1.75%, 5/28/2028 | | |
AstraZeneca plc (United Kingdom) |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
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|
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|
| | |
| | |
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|
| | |
| | |
| | |
| | |
| | |
|
Pharmaceuticals — continued |
Novartis Capital Corp. (Switzerland) |
| | |
| | |
Pfizer Investment Enterprises Pte. Ltd. 4.75%, 5/19/2033 | | |
|
| | |
| | |
| | |
| | |
| | |
Pharmacia LLC 6.60%, 12/1/2028 (e) | | |
Royalty Pharma plc 1.75%, 9/2/2027 | | |
Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030 | | |
|
| | |
| | |
Wyeth LLC 5.95%, 4/1/2037 | | |
| | |
Professional Services — 0.1% |
Broadridge Financial Solutions, Inc. 2.90%, 12/1/2029 | | |
Concentrix Corp. 6.60%, 8/2/2028 | | |
Equifax, Inc. 2.35%, 9/15/2031 (c) | | |
Thomson Reuters Corp. (Canada) 3.35%, 5/15/2026 | | |
Verisk Analytics, Inc. 5.75%, 4/1/2033 | | |
| | |
|
American Homes 4 Rent LP 4.90%, 2/15/2029 | | |
AvalonBay Communities, Inc. |
| | |
| | |
| | |
|
| | |
| | |
ERP Operating LP 4.15%, 12/1/2028 | | |
Mid-America Apartments LP 1.10%, 9/15/2026 | | |
Sun Communities Operating LP 4.20%, 4/15/2032 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Residential REITs — continued |
|
| | |
| | |
| | |
|
Brixmor Operating Partnership LP 4.05%, 7/1/2030 | | |
Kimco Realty OP LLC 4.60%, 2/1/2033 | | |
|
| | |
| | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 0.6% |
Applied Materials, Inc. 2.75%, 6/1/2050 | | |
|
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
KLA Corp. 3.30%, 3/1/2050 | | |
Lam Research Corp. 3.75%, 3/15/2026 | | |
|
| | |
| | |
| | |
NVIDIA Corp. 2.85%, 4/1/2030 | | |
|
| | |
| | |
| | |
QUALCOMM, Inc. 5.40%, 5/20/2033 | | |
Texas Instruments, Inc. 2.90%, 11/3/2027 | | |
TSMC Arizona Corp. (Taiwan) 1.75%, 10/25/2026 | | |
| | |
| | |
|
|
Adobe, Inc. 2.15%, 2/1/2027 | | |
|
| | |
| | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Salesforce, Inc. 1.95%, 7/15/2031 | | |
|
| | |
| | |
| | |
Workday, Inc. 3.70%, 4/1/2029 | | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
|
| | |
| | |
Public Storage Operating Co. 0.88%, 2/15/2026 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
AutoNation, Inc. 4.75%, 6/1/2030 | | |
|
| | |
| | |
Dick's Sporting Goods, Inc. 4.10%, 1/15/2052 | | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
O'Reilly Automotive, Inc. 3.90%, 6/1/2029 | | |
TJX Cos., Inc. (The) 1.15%, 5/15/2028 | | |
Tractor Supply Co. 5.25%, 5/15/2033 | | |
| | |
Technology Hardware, Storage & Peripherals — 0.5% |
|
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Hewlett Packard Enterprise Co. 1.75%, 4/1/2026 | | |
|
| | |
| | |
Western Digital Corp. 3.10%, 2/1/2032 | | |
| | |
Textiles, Apparel & Luxury Goods — 0.0% ^ |
NIKE, Inc. 2.38%, 11/1/2026 | | |
| | |
|
Textiles, Apparel & Luxury Goods — continued |
Tapestry, Inc. 4.13%, 7/15/2027 | | |
VF Corp. 2.95%, 4/23/2030 | | |
| | |
|
Altria Group, Inc. 5.38%, 1/31/2044 | | |
BAT Capital Corp. (United Kingdom) |
| | |
| | |
| | |
Philip Morris International, Inc. |
| | |
| | |
| | |
| | |
| | |
Trading Companies & Distributors — 0.0% ^ |
Air Lease Corp. 3.75%, 6/1/2026 | | |
|
American Water Capital Corp. 3.45%, 6/1/2029 | | |
Essential Utilities, Inc. 4.28%, 5/1/2049 | | |
| | |
Wireless Telecommunication Services — 0.3% |
America Movil SAB de CV (Mexico) 3.63%, 4/22/2029 | | |
Rogers Communications, Inc. (Canada) |
| | |
| | |
| | |
|
| | |
| | |
Vodafone Group plc (United Kingdom) 5.88%, 6/28/2064 | | |
| | |
Total Corporate Bonds
(Cost $344,641,048) | | |
Commercial Mortgage-Backed Securities — 1.8% |
| | |
Series 2017-BNK4, Class ASB, 3.42%, 5/15/2050 | | |
Series 2019-BN16, Class A4, 4.01%, 2/15/2052 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Commercial Mortgage-Backed Securities — continued |
Series 2019-BN21, Class A5, 2.85%, 10/17/2052 | | |
Series 2019-BN23, Class A3, 2.92%, 12/15/2052 | | |
Series 2018-BN10, Class A5, 3.69%, 2/15/2061 | | |
Series 2019-BN19, Class A3, 3.18%, 8/15/2061 | | |
Series 2018-BN13, Class C, 4.69%, 8/15/2061 (g) | | |
Series 2019-BN22, Class A4, 2.98%, 11/15/2062 | | |
Series 2020-BN26, Class A4, 2.40%, 3/15/2063 | | |
Series 2021-BN36, Class A5, 2.47%, 9/15/2064 | | |
Bank of America Merrill Lynch Commercial Mortgage Trust Series 2017-BNK3, Class A4, 3.57%, 2/15/2050 | | |
BBCMS Mortgage Trust Series 2018-C2, Class A5, 4.31%, 12/15/2051 | | |
| | |
Series 2018-B1, Class A5, 3.67%, 1/15/2051 (g) | | |
Series 2018-B2, Class B, 4.42%, 2/15/2051 (g) | | |
Series 2018-B5, Class A4, 4.21%, 7/15/2051 | | |
Series 2018-B6, Class A2, 4.20%, 10/10/2051 | | |
Series 2018-B8, Class A5, 4.23%, 1/15/2052 | | |
Series 2019-B11, Class A2, 3.41%, 5/15/2052 | | |
Series 2021-B31, Class A5, 2.67%, 12/15/2054 | | |
Cantor Commercial Real Estate Lending Series 2019-CF2, Class AS, 3.12%, 11/15/2052 | | |
| | |
Series 2017-CD6, Class ASB, 3.33%, 11/13/2050 | | |
Series 2017-CD6, Class AM, 3.71%, 11/13/2050 (g) | | |
Series 2018-CD7, Class A3, 4.01%, 8/15/2051 | | |
CFCRE Commercial Mortgage Trust | | |
Series 2017-C8, Class A4, 3.57%, 6/15/2050 | | |
| | |
|
Series 2016-C7, Class ASB, 3.64%, 12/10/2054 | | |
Citigroup Commercial Mortgage Trust | | |
Series 2014-GC23, Class B, 4.17%, 7/10/2047 (g) | | |
Series 2015-GC29, Class C, 4.27%, 4/10/2048 (g) | | |
Series 2016-C1, Class AAB, 3.00%, 5/10/2049 | | |
Series 2019-GC43, Class A4, 3.04%, 11/10/2052 | | |
Commercial Mortgage Trust | | |
Series 2014-UBS5, Class AM, 4.19%, 9/10/2047 (g) | | |
Series 2014-UBS6, Class A4, 3.38%, 12/10/2047 | | |
Series 2015-LC19, Class A4, 3.18%, 2/10/2048 | | |
Series 2015-LC21, Class AM, 4.04%, 7/10/2048 (g) | | |
Series 2015-CR25, Class A4, 3.76%, 8/10/2048 | | |
Series 2015-PC1, Class A5, 3.90%, 7/10/2050 | | |
CSAIL Commercial Mortgage Trust | | |
Series 2015-C3, Class A4, 3.72%, 8/15/2048 | | |
Series 2016-C5, Class A5, 3.76%, 11/15/2048 | | |
DBGS Mortgage Trust Series 2018-C1, Class A4, 4.47%, 10/15/2051 | | |
DBJPM Mortgage Trust Series 2017-C6, Class A5, 3.33%, 6/10/2050 | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series K040, Class A2, 3.24%, 9/25/2024 | | |
Series K731, Class A2, 3.60%, 2/25/2025 (g) | | |
Series K051, Class A2, 3.31%, 9/25/2025 | | |
Series K735, Class A2, 2.86%, 5/25/2026 | | |
Series K057, Class A2, 2.57%, 7/25/2026 | | |
Series K063, Class A1, 3.05%, 8/25/2026 | | |
Series K059, Class A2, 3.12%, 9/25/2026 (g) | | |
Series K062, Class A2, 3.41%, 12/25/2026 | | |
Series K064, Class A2, 3.22%, 3/25/2027 | | |
Series K072, Class A2, 3.44%, 12/25/2027 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
Series K084, Class A2, 3.78%, 10/25/2028 (g) | | |
Series K087, Class A2, 3.77%, 12/25/2028 | | |
Series K091, Class A2, 3.51%, 3/25/2029 | | |
Series K097, Class A2, 2.51%, 7/25/2029 | | |
Series K096, Class A2, 2.52%, 7/25/2029 | | |
Series K100, Class A2, 2.67%, 9/25/2029 | | |
Series K102, Class A2, 2.54%, 10/25/2029 | | |
Series K113, Class A2, 1.34%, 6/25/2030 | | |
Series K158, Class A1, 3.90%, 7/25/2030 | | |
Series K117, Class A2, 1.41%, 8/25/2030 | | |
Series K123, Class A2, 1.62%, 12/25/2030 | | |
Series K125, Class A2, 1.85%, 1/25/2031 | | |
Series K127, Class A2, 2.11%, 1/25/2031 | | |
Series K-1512, Class A2, 2.99%, 5/25/2031 | | |
Series K155, Class A3, 3.75%, 4/25/2033 | | |
Series K157, Class A2, 3.99%, 5/25/2033 (g) | | |
Series K156, Class A3, 3.70%, 6/25/2033 (g) | | |
Series K-1512, Class A3, 3.06%, 4/25/2034 | | |
| | |
Series 2017-M7, Class A2, 2.96%, 2/25/2027 (g) | | |
Series 2017-M14, Class A2, 2.91%, 11/25/2027 (g) | | |
Series 2018-M10, Class A2, 3.47%, 7/25/2028 (g) | | |
Series 2018-M14, Class A2, 3.70%, 8/25/2028 (g) | | |
Series 2019-M1, Class A2, 3.66%, 9/25/2028 (g) | | |
Series 2019-M22, Class A2, 2.52%, 8/25/2029 | | |
Series 2021-M2S, Class A2, 1.87%, 10/25/2031 (g) | | |
GS Mortgage Securities Trust | | |
Series 2014-GC24, Class AS, 4.16%, 9/10/2047 (g) | | |
Series 2015-GC30, Class A4, 3.38%, 5/10/2050 | | |
Series 2018-GS9, Class A4, 3.99%, 3/10/2051 (g) | | |
| | |
|
JPMBB Commercial Mortgage Securities Trust | | |
Series 2013-C12, Class C, 4.07%, 7/15/2045 (g) | | |
Series 2015-C29, Class B, 4.12%, 5/15/2048 (g) | | |
Series 2015-C31, Class A3, 3.80%, 8/15/2048 | | |
JPMCC Commercial Mortgage Securities Trust Series 2017-JP5, Class A5, 3.72%, 3/15/2050 | | |
JPMDB Commercial Mortgage Securities Trust | | |
Series 2016-C2, Class B, 3.99%, 6/15/2049 (g) | | |
Series 2017-C5, Class B, 4.01%, 3/15/2050 (g) | | |
Morgan Stanley Bank of America Merrill Lynch Trust | | |
Series 2015-C22, Class AS, 3.56%, 4/15/2048 | | |
Series 2015-C25, Class ASB, 3.38%, 10/15/2048 | | |
Series 2015-C25, Class A5, 3.64%, 10/15/2048 | | |
Series 2016-C31, Class A5, 3.10%, 11/15/2049 | | |
Series 2016-C32, Class A4, 3.72%, 12/15/2049 | | |
Morgan Stanley Capital I Trust | | |
Series 2016-UB12, Class A3, 3.34%, 12/15/2049 | | |
Series 2017-H1, Class C, 4.28%, 6/15/2050 (g) | | |
Series 2019-L2, Class A4, 4.07%, 3/15/2052 | | |
Series 2019-L3, Class A4, 3.13%, 11/15/2052 | | |
UBS Commercial Mortgage Trust | | |
Series 2017-C2, Class A4, 3.49%, 8/15/2050 | | |
Series 2017-C4, Class ASB, 3.37%, 10/15/2050 | | |
Series 2017-C5, Class AS, 3.78%, 11/15/2050 (g) | | |
Series 2017-C7, Class AS, 4.06%, 12/15/2050 (g) | | |
Wells Fargo Commercial Mortgage Trust | | |
Series 2015-C27, Class A4, 3.19%, 2/15/2048 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Commercial Mortgage-Backed Securities — continued |
Series 2015-C28, Class A4, 3.54%, 5/15/2048 | | |
Series 2015-C29, Class A4, 3.64%, 6/15/2048 | | |
Series 2017-C38, Class A5, 3.45%, 7/15/2050 | | |
Series 2018-C45, Class A3, 3.92%, 6/15/2051 | | |
Series 2019-C51, Class A3, 3.06%, 6/15/2052 | | |
Series 2019-C52, Class A5, 2.89%, 8/15/2052 | | |
Series 2019-C53, Class A4, 3.04%, 10/15/2052 | | |
Series 2020-C55, Class A5, 2.73%, 2/15/2053 | | |
WFRBS Commercial Mortgage Trust Series 2014-C22, Class A5, 3.75%, 9/15/2057 | | |
Total Commercial Mortgage-Backed Securities
(Cost $27,400,378) | | |
Foreign Government Securities — 1.6% |
Export Development Canada 3.00%, 5/25/2027 | | |
Hungary Government Bond 7.63%, 3/29/2041 | | |
Italian Republic Government Bond | | |
| | |
| | |
Japan Bank for International Cooperation | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Japan International Cooperation Agency | | |
| | |
| | |
| | |
| | |
Oriental Republic of Uruguay | | |
| | |
| | |
Province of Alberta 3.30%, 3/15/2028 | | |
Province of British Columbia | | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Province of Quebec 1.50%, 2/11/2025 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Republic of Indonesia 5.65%, 1/11/2053 | | |
Republic of Korea, 2.50%, 6/19/2029 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
State of Israel Government Bond 2.75%, 7/3/2030 | | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Foreign Government Securities — continued |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Total Foreign Government Securities
(Cost $23,186,081) | | |
|
African Development Bank (Supranational) | | |
| | |
| | |
Asian Development Bank (Supranational) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Asian Infrastructure Investment Bank (The) (Supranational) | | |
| | |
| | |
European Bank for Reconstruction & Development (Supranational)
4.25%, 3/13/2034 | | |
European Investment Bank (Supranational) | | |
| | |
| | |
| | |
| | |
| | |
Inter-American Development Bank (Supranational) | | |
| | |
| | |
| | |
| | |
Inter-American Investment Corp. (Supranational)
4.13%, 2/15/2028 | | |
| | |
|
International Bank for Reconstruction & Development (Supranational) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
International Finance Corp. (Supranational)
2.13%, 4/7/2026 | | |
Nordic Investment Bank (Supranational) | | |
| | |
| | |
Total Supranational
(Cost $16,956,176) | | |
U.S. Government Agency Securities — 0.9% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
U.S. Government Agency Securities — continued |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Israel Government AID Bond (Israel)
5.50%, 9/18/2033 | | |
Tennessee Valley Authority
4.70%, 7/15/2033 | | |
Total U.S. Government Agency Securities
(Cost $13,101,649) | | |
Municipal Bonds — 0.5% (i) |
|
City of Tucson, Taxable Series 2021A, COP, AGM, 2.86%, 7/1/2047 | | |
|
Bay Area Toll Authority, Toll Bridge | | |
Series 2010S-1, Rev., 6.92%, 4/1/2040 | | |
Series 2009F-2, Rev., 6.26%, 4/1/2049 | | |
California State University, Systemwide Series 2021B, Rev., 2.72%, 11/1/2052 | | |
East Bay Municipal Utility District, Water System Series 2010B, Rev., 5.87%, 6/1/2040 | | |
Golden State Tobacco Securitization Corp., Enhanced Tobacco Settlement Series 2021B, Rev., 3.29%, 6/1/2042 | | |
Regents of the University of California, Medical Center Pooled | | |
Series 2010H, Rev., 6.55%, 5/15/2048 | | |
Series 2020N, Rev., 3.71%, 5/15/2120 | | |
State of California, Various Purpose | | |
| | |
| | |
| | |
|
State of Connecticut Series A, GO, 5.85%, 3/15/2032 | | |
| | |
|
|
State Board of Administration Finance Corp. Series 2020A, Rev., 2.15%, 7/1/2030 | | |
|
Municipal Electric Authority of Georgia, Plant Vogtle Units 3 and 4 Project Series 2010A, Rev., 7.06%, 4/1/2057 | | |
|
Chicago O'Hare International Airport, General Airport, Senior Lien Series 2018C, Rev., 4.47%, 1/1/2049 | | |
Metropolitan Water Reclamation District of Greater Chicago GO, 5.72%, 12/1/2038 | | |
Sales Tax Securitization Corp. Series 2019A, Rev., 4.64%, 1/1/2040 | | |
State of Illinois GO, 5.10%, 6/1/2033 | | |
| | |
|
University of Nebraska Facilities Corp., University System Facilities Series 2019A, Rev., 3.04%, 10/1/2049 | | |
|
New Jersey Economic Development Authority, Pension Funding Series 1997A, Rev., NATL - RE, 7.43%, 2/15/2029 | | |
New Jersey Turnpike Authority Series 2009F, Rev., 7.41%, 1/1/2040 | | |
| | |
|
Port Authority of New York and New Jersey, Consolidated Series 192, Rev., 4.81%, 10/15/2065 | | |
|
American Municipal Power, Inc., Combined Hydroelectric Projects Series 2010A, Rev., 7.83%, 2/15/2041 | | |
|
Dallas Area Rapid Transit, Sales Tax, Senior Lien Series 2021A, Rev., 2.61%, 12/1/2048 | | |
Grand Parkway Transportation Corp., System Toll Series 2020B, Rev., 3.24%, 10/1/2052 | | |
Permanent University Fund - Texas A&M University System Series 2017B, Rev., 3.66%, 7/1/2047 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
State of Texas, Transportation Commission Highway Improvement Series 2010A, GO, 4.68%, 4/1/2040 | | |
State of Texas, Transportation Commission Mobility Fund Series 2009A, GO, 5.52%, 4/1/2039 | | |
Texas Private Activity Bond Surface Transportation Corp., North Tarrant Express Managed Lanes Project, Mobility Partners LLC Series 2019B, Rev., 3.92%, 12/31/2049 | | |
| | |
|
University of Virginia Series 2020, Rev., 2.26%, 9/1/2050 | | |
Total Municipal Bonds
(Cost $8,174,887) | | |
Asset-Backed Securities — 0.5% |
American Express Credit Account Master Trust | | |
Series 2022-2, Class A, 3.39%, 5/15/2027 | | |
Series 2022-3, Class A, 3.75%, 8/15/2027 | | |
Capital One Multi-Asset Execution Trust | | |
Series 2022-A2, Class A, 3.49%, 5/15/2027 | | |
Series 2019-A3, Class A3, 2.06%, 8/15/2028 | | |
CarMax Auto Owner Trust Series 2022-1, Class A4, 1.70%, 8/16/2027 | | |
Citibank Credit Card Issuance Trust Series 2018-A7, Class A7, 3.96%, 10/13/2030 | | |
Discover Card Execution Note Trust Series 2022-A3, Class A3, 3.56%, 7/15/2027 | | |
Evergy Metro, Inc., 4.20%, 3/15/2048 | | |
Ford Credit Floorplan Master Owner Trust | | |
Series 2020-2, Class A, 1.06%, 9/15/2027 | | |
Series 2018-4, Class A, 4.06%, 11/15/2030 | | |
Toyota Auto Receivables Owner Trust Series 2022-B, Class A3, 2.93%, 9/15/2026 | | |
United Airlines Pass-Through Trust | | |
Series 2014-1, Class A, 4.00%, 4/11/2026 | | |
Series 2020-1, Class A, 5.88%, 10/15/2027 | | |
| | |
|
Series 2016-2, Class AA, 2.88%, 10/7/2028 | | |
Series 2018-1, Class AA, 3.50%, 3/1/2030 | | |
Verizon Master Trust Series 2022-4, Class A, 3.40%, 11/20/2028 | | |
Total Asset-Backed Securities
(Cost $6,450,925) | | |
| | |
Short-Term Investments — 3.6% |
Investment Companies — 3.4% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (j) (k)
(Cost $48,557,756) | | |
Investment of Cash Collateral from Securities Loaned — 0.2% |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.34% (j) (k) | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (j) (k) | | |
Total Investment of Cash Collateral from Securities Loaned
(Cost $2,646,135) | | |
Total Short-Term Investments
(Cost $51,203,891) | | |
Total Investments — 102.6%
(Cost $1,504,182,788) | | |
Liabilities in Excess of Other Assets — (2.6)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Alternative Credit Enhancement Securities |
| Insured by Assured Guaranty Municipal Corp. |
| Chicago Mercantile Exchange |
| Certificate of Participation |
| |
| |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| |
| Insured by National Public Finance Guarantee Corp. |
| |
| Real Estate Investment Trust |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| Secured Overnight Financing Rate |
| To Be Announced; Security is subject to delayed delivery. |
| Uniform Mortgage-Backed Securities |
| Amount rounds to less than 0.1% of net assets. |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2024. | |
| The security or a portion of this security is on loan at August 31, 2024. The total value of securities on loan at August 31, 2024 is $2,569,563. | |
| 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 August 31, 2024 is $573,360 or 0.04% of the Fund’s net assets as of August 31, 2024. | |
| 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 August 31, 2024. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| 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 August 31, 2024. | |
| The rate shown is the effective yield as of August 31, 2024. | |
| The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
| 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. | |
| The rate shown is the current yield as of August 31, 2024. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
U.S. Treasury Obligations — 99.3% |
U.S. Treasury Inflation Indexed Bonds | | |
| | |
| | |
| | |
U.S. Treasury Inflation Indexed Notes | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
U.S. Treasury Inflation Linked Bonds | | |
| | |
| | |
| | |
| | |
U.S. Treasury Inflation Linked Notes | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Total U.S. Treasury Obligations
(Cost $1,457,070) | | |
| | |
Short-Term Investments — 0.3% |
Investment Companies — 0.3% |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (a) (b)
(Cost $4,273) | | |
Total Investments — 99.6%
(Cost $1,461,343) | | |
Other Assets Less Liabilities — 0.4% | | |
| | |
Percentages indicated are based on net assets. |
| 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. |
| The rate shown is the current yield as of August 31, 2024. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
U.S. Treasury Obligations — 98.9% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Total U.S. Treasury Obligations
(Cost $2,908,116) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Short-Term Investments — 0.1% |
Investment Companies — 0.1% |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (a) (b)
(Cost $4,077) | | |
Total Investments — 99.0%
(Cost $2,912,193) | | |
Other Assets Less Liabilities — 1.0% | | |
| | |
Percentages indicated are based on net assets. |
| 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. |
| The rate shown is the current yield as of August 31, 2024. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
U.S. Treasury Obligations — 98.9% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Total U.S. Treasury Obligations
(Cost $25,734,671) | | |
| | |
Short-Term Investments — 0.1% |
Investment Companies — 0.1% |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (a) (b)
(Cost $22,969) | | |
Total Investments — 99.0%
(Cost $25,757,640) | | |
Other Assets Less Liabilities — 1.0% | | |
| | |
Percentages indicated are based on net assets. |
| 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. |
| The rate shown is the current yield as of August 31, 2024. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
U.S. Treasury Obligations — 99.0% |
| | |
| | |
| | |
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| | |
| | |
| | |
| | |
| | |
Total U.S. Treasury Obligations
(Cost $6,127,306) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Short-Term Investments — 0.1% |
Investment Companies — 0.1% |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (a) (b)
(Cost $4,022) | | |
Total Investments — 99.1%
(Cost $6,131,328) | | |
Other Assets Less Liabilities — 0.9% | | |
| | |
Percentages indicated are based on net assets. |
| 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. |
| The rate shown is the current yield as of August 31, 2024. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
|
Aerospace & Defense — 2.0% |
AAR Escrow Issuer LLC 6.75%, 3/15/2029 (a) | | |
Bombardier, Inc. (Canada) |
| | |
| | |
| | |
| | |
| | |
BWX Technologies, Inc. 4.13%, 6/30/2028 (a) | | |
Moog, Inc. 4.25%, 12/15/2027 (a) | | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Triumph Group, Inc. 9.00%, 3/15/2028 (a) | | |
| | |
Air Freight & Logistics — 0.0% ^ |
Rand Parent LLC 8.50%, 2/15/2030 (a) | | |
Automobile Components — 2.2% |
Adient Global Holdings Ltd. |
| | |
| | |
| | |
Allison Transmission, Inc. 5.88%, 6/1/2029 (a) | | |
American Axle & Manufacturing, Inc. |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
Automobile Components — continued |
Cooper-Standard Automotive, Inc. 13.50% (Blend (Cash 9.00% + PIK 4.50%)), 3/31/2027 (a) (b) | | |
|
| | |
| | |
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (a) | | |
Garrett Motion Holdings, Inc. 7.75%, 5/31/2032 (a) | | |
Goodyear Tire & Rubber Co. (The) |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
IHO Verwaltungs GmbH (Germany) |
4.75% (Cash), 9/15/2026 (a) (b) | | |
6.37% (Cash), 5/15/2029 (a) (b) | | |
JB Poindexter & Co., Inc. 8.75%, 12/15/2031 (a) | | |
Patrick Industries, Inc. 4.75%, 5/1/2029 (a) | | |
Phinia, Inc. 6.75%, 4/15/2029 (a) | | |
Real Hero Merger Sub 2, Inc. 6.25%, 2/1/2029 (a) | | |
Tenneco, Inc. 8.00%, 11/17/2028 (a) | | |
ZF North America Capital, Inc. (Germany) |
| | |
| | |
| | |
| | |
| | |
|
Aston Martin Capital Holdings Ltd. (Jersey) 10.00%, 3/31/2029 (a) | | |
Jaguar Land Rover Automotive plc (United Kingdom) |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
PM General Purchaser LLC 9.50%, 10/1/2028 (a) | | |
Thor Industries, Inc. 4.00%, 10/15/2029 (a) | | |
| | |
|
Intesa Sanpaolo SpA (Italy) |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.60%), 4.20%, 6/1/2032 (a) (c) | | |
Popular, Inc. (Puerto Rico) 7.25%, 3/13/2028 | | |
Standard Chartered plc (United Kingdom) (3-MONTH SOFR + 1.46%), 7.01%, 7/30/2037 (a) (c) (d) (e) | | |
|
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 5.46%, 6/30/2035 (a) (c) | | |
Western Alliance Bancorp (3-MONTH CME TERM SOFR + 2.25%), 3.00%, 6/15/2031 (c) | | |
| | |
|
Primo Water Holdings, Inc. (Canada) 4.38%, 4/30/2029 (a) | | |
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a) | | |
| | |
|
Grifols SA (Spain) 4.75%, 10/15/2028 (a) | | |
|
ANGI Group LLC 3.88%, 8/15/2028 (a) | | |
Getty Images, Inc. 9.75%, 3/1/2027 (a) | | |
Go Daddy Operating Co. LLC |
| | |
| | |
GrubHub Holdings, Inc. 5.50%, 7/1/2027 (a) | | |
Kohl's Corp. 4.62%, 5/1/2031 (f) | | |
Liberty Interactive LLC 8.25%, 2/1/2030 | | |
Macy's Retail Holdings LLC |
| | |
| | |
| | |
|
Broadline Retail — continued |
| | |
Marks & Spencer plc (United Kingdom) 7.13%, 12/1/2037 (a) | | |
Match Group Holdings II LLC |
| | |
| | |
| | |
| | |
Millennium Escrow Corp. 6.63%, 8/1/2026 (a) | | |
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a) | | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Rakuten Group, Inc. (Japan) |
| | |
| | |
Shutterfly LLC 8.50%, 10/1/2026 (a) | | |
| | |
|
ACProducts Holdings, Inc. 6.38%, 5/15/2029 (a) | | |
Advanced Drainage Systems, Inc. 5.00%, 9/30/2027 (a) | | |
AmeriTex HoldCo Intermediate LLC 10.25%, 10/15/2028 (a) | | |
Builders FirstSource, Inc. |
| | |
| | |
| | |
| | |
Camelot Return Merger Sub, Inc. 8.75%, 8/1/2028 (a) | | |
CP Atlas Buyer, Inc. 7.00%, 12/1/2028 (a) | | |
Eco Material Technologies, Inc. 7.88%, 1/31/2027 (a) | | |
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Building Products — continued |
Griffon Corp. 5.75%, 3/1/2028 | | |
James Hardie International Finance DAC 5.00%, 1/15/2028 (a) | | |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | | |
Masterbrand, Inc. 7.00%, 7/15/2032 (a) | | |
Miter Brands Acquisition Holdco, Inc. 6.75%, 4/1/2032 (a) | | |
MIWD Holdco II LLC 5.50%, 2/1/2030 (a) | | |
New Enterprise Stone & Lime Co., Inc. 5.25%, 7/15/2028 (a) | | |
Oscar AcquisitionCo LLC 9.50%, 4/15/2030 (a) | | |
Smyrna Ready Mix Concrete LLC 8.88%, 11/15/2031 (a) | | |
Standard Industries, Inc. |
| | |
| | |
| | |
| | |
|
| | |
| | |
Wilsonart LLC 11.00%, 8/15/2032 (a) | | |
| | |
|
AG TTMT Escrow Issuer LLC 8.63%, 9/30/2027 (a) | | |
Aretec Group, Inc. 7.50%, 4/1/2029 (a) | | |
Brightsphere Investment Group, Inc. 4.80%, 7/27/2026 | | |
|
| | |
| | |
Compass Group Diversified Holdings LLC 5.25%, 4/15/2029 (a) | | |
Dresdner Funding Trust I 8.15%, 6/30/2031 (a) | | |
Hightower Holding LLC 9.13%, 1/31/2030 (a) | | |
|
| | |
| | |
StoneX Group, Inc. 7.88%, 3/1/2031 (a) | | |
VFH Parent LLC 7.50%, 6/15/2031 (a) | | |
| | |
| | |
|
|
Ashland, Inc. 3.38%, 9/1/2031 (a) | | |
ASP Unifrax Holdings, Inc. 5.25%, 9/30/2028 (a) | | |
Avient Corp. 7.13%, 8/1/2030 (a) | | |
Axalta Coating Systems Dutch Holding B BV 7.25%, 2/15/2031 (a) | | |
Axalta Coating Systems LLC |
| | |
| | |
Cerdia Finanz GmbH (Germany) 10.50%, 2/15/2027 (a) | | |
|
| | |
| | |
| | |
Consolidated Energy Finance SA (Switzerland) |
| | |
| | |
CVR Partners LP 6.13%, 6/15/2028 (a) | | |
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | | |
FXI Holdings, Inc. 12.25%, 11/15/2026 (a) | | |
GPD Cos., Inc. 10.13%, 4/1/2026 (a) | | |
|
| | |
| | |
Herens Holdco SARL (Luxembourg) 4.75%, 5/15/2028 (a) | | |
INEOS Finance plc (Luxembourg) 6.75%, 5/15/2028 (a) | | |
INEOS Quattro Finance 2 plc (United Kingdom) 9.63%, 3/15/2029 (a) | | |
Ingevity Corp. 3.88%, 11/1/2028 (a) | | |
LSB Industries, Inc. 6.25%, 10/15/2028 (a) | | |
LSF11 A5 HoldCo LLC 6.63%, 10/15/2029 (a) | | |
Mativ Holdings, Inc. 6.88%, 10/1/2026 (a) | | |
|
| | |
| | |
| | |
NOVA Chemicals Corp. (Canada) |
| | |
| | |
Nufarm Australia Ltd. (Australia) 5.00%, 1/27/2030 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
|
| | |
| | |
| | |
Olympus Water US Holding Corp. |
| | |
| | |
| | |
| | |
Rain Carbon, Inc. 12.25%, 9/1/2029 (a) | | |
Rayonier AM Products, Inc. 7.63%, 1/15/2026 (a) | | |
|
| | |
| | |
SCIL IV LLC 5.38%, 11/1/2026 (a) | | |
Scotts Miracle-Gro Co. (The) |
| | |
| | |
| | |
SK Invictus Intermediate II SARL 5.00%, 10/30/2029 (a) | | |
Trinseo Materials Operating SCA 5.13%, 4/1/2029 (a) | | |
Tronox, Inc. 4.63%, 3/15/2029 (a) | | |
Vibrantz Technologies, Inc. 9.00%, 2/15/2030 (a) | | |
|
| | |
| | |
| | |
| | |
Commercial Services & Supplies — 2.8% |
ACCO Brands Corp. 4.25%, 3/15/2029 (a) | | |
|
| | |
| | |
Allied Universal Holdco LLC |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
|
Commercial Services & Supplies — continued |
APX Group, Inc. 5.75%, 7/15/2029 (a) | | |
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | | |
|
| | |
| | |
| | |
Cimpress plc (Ireland) 7.00%, 6/15/2026 | | |
|
| | |
| | |
Enviri Corp. 5.75%, 7/31/2027 (a) | | |
Garda World Security Corp. (Canada) |
| | |
| | |
| | |
| | |
GEO Group, Inc. (The) 10.25%, 4/15/2031 | | |
|
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
Matthews International Corp. 5.25%, 12/1/2025 (a) | | |
Pitney Bowes, Inc. 6.88%, 3/15/2027 (a) | | |
Prime Security Services Borrower LLC |
| | |
| | |
| | |
Reworld Holding Corp. 5.00%, 9/1/2030 | | |
Steelcase, Inc. 5.13%, 1/18/2029 | | |
Stericycle, Inc. 3.88%, 1/15/2029 (a) | | |
VM Consolidated, Inc. 5.50%, 4/15/2029 (a) | | |
Waste Pro USA, Inc. 5.50%, 2/15/2026 (a) | | |
|
| | |
| | |
Wrangler Holdco Corp. (Canada) 6.63%, 4/1/2032 (a) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Communications Equipment — 0.5% |
|
| | |
| | |
| | |
CommScope Technologies LLC 6.00%, 6/15/2025 (a) | | |
|
| | |
| | |
Viavi Solutions, Inc. 3.75%, 10/1/2029 (a) | | |
| | |
Construction & Engineering — 0.7% |
| | |
Arcosa, Inc. 4.38%, 4/15/2029 (a) | | |
Artera Services LLC 8.50%, 2/15/2031 (a) | | |
ATP Tower Holdings LLC (Chile) 4.05%, 4/27/2026 (a) | | |
Brand Industrial Services, Inc. 10.38%, 8/1/2030 (a) | | |
Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026 (a) | | |
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | | |
Fluor Corp. 4.25%, 9/15/2028 | | |
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | | |
HTA Group Ltd. (Tanzania, United Republic of) 7.50%, 6/4/2029 (a) | | |
|
| | |
| | |
Railworks Holdings LP 8.25%, 11/15/2028 (a) | | |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | | |
| | |
Construction Materials — 0.0% ^ |
Knife River Corp. 7.75%, 5/1/2031 (a) | | |
|
|
| | |
| | |
Bread Financial Holdings, Inc. 9.75%, 3/15/2029 (a) | | |
Castlelake Aviation Finance DAC 5.00%, 4/15/2027 (a) | | |
| | |
|
Consumer Finance — continued |
|
| | |
| | |
Encore Capital Group, Inc. |
| | |
| | |
Enova International, Inc. 11.25%, 12/15/2028 (a) | | |
Finance of America Funding LLC 7.88%, 11/15/2025 (a) | | |
|
| | |
| | |
GGAM Finance Ltd. (Ireland) |
| | |
| | |
Global Aircraft Leasing Co. Ltd. (Cayman Islands) 8.75%, 9/1/2027 (a) | | |
|
| | |
| | |
| | |
LFS Topco LLC 5.88%, 10/15/2026 (a) | | |
Macquarie Airfinance Holdings Ltd. (United Kingdom) |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Consumer Finance — continued |
| | |
| | |
| | |
PROG Holdings, Inc. 6.00%, 11/15/2029 (a) | | |
|
| | |
| | |
Synchrony Financial 7.25%, 2/2/2033 | | |
| | |
Consumer Staples Distribution & Retail — 1.3% |
|
| | |
| | |
| | |
| | |
| | |
KeHE Distributors LLC 9.00%, 2/15/2029 (a) | | |
Performance Food Group, Inc. |
| | |
| | |
|
8.00% (PIK), 10/18/2024 ‡ (a) (b) | | |
(3-MONTH CME TERM SOFR + 7.00%), 12.32%, 10/18/2024 ‡ (a) (c) | | |
8.00%, 11/15/2026 ‡ (a) (g) | | |
Safeway, Inc. 7.25%, 2/1/2031 | | |
United Natural Foods, Inc. 6.75%, 10/15/2028 (a) | | |
|
| | |
| | |
| | |
Walgreens Boots Alliance, Inc. |
| | |
| | |
| | |
| | |
| | |
| | |
Containers & Packaging — 2.7% |
ARD Finance SA (Luxembourg) 6.50% (Cash), 6/30/2027 (a) (b) | | |
Ardagh Metal Packaging Finance USA LLC |
| | |
| | |
|
Containers & Packaging — continued |
| | |
Ardagh Packaging Finance plc |
| | |
| | |
|
| | |
| | |
| | |
Berry Global, Inc. 5.63%, 7/15/2027 (a) | | |
Cascades, Inc. (Canada) 5.38%, 1/15/2028 (a) | | |
Clydesdale Acquisition Holdings, Inc. |
| | |
| | |
|
| | |
| | |
Crown Cork & Seal Co., Inc. 7.38%, 12/15/2026 | | |
Graham Packaging Co., Inc. 7.13%, 8/15/2028 (a) | | |
Graphic Packaging International LLC |
| | |
| | |
| | |
| | |
Intelligent Packaging Ltd. Finco, Inc. (Canada) 6.00%, 9/15/2028 (a) | | |
Iris Holding, Inc. 10.00%, 12/15/2028 (a) | | |
|
| | |
| | |
| | |
| | |
| | |
Mauser Packaging Solutions Holding Co. |
| | |
| | |
Owens-Brockway Glass Container, Inc. |
| | |
| | |
| | |
Pactiv Evergreen Group Issuer LLC 4.38%, 10/15/2028 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Containers & Packaging — continued |
|
| | |
| | |
| | |
| | |
Silgan Holdings, Inc. 4.13%, 2/1/2028 | | |
Trident TPI Holdings, Inc. 12.75%, 12/31/2028 (a) | | |
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (f) | | |
| | |
|
American Builders & Contractors Supply Co., Inc. |
| | |
| | |
BCPE Empire Holdings, Inc. 7.63%, 5/1/2027 (a) | | |
Dealer Tire LLC 8.00%, 2/1/2028 (a) | | |
Resideo Funding, Inc. 6.50%, 7/15/2032 (a) | | |
Ritchie Bros Holdings, Inc. (Canada) |
| | |
| | |
Velocity Vehicle Group LLC 8.00%, 6/1/2029 (a) | | |
Verde Purchaser LLC 10.50%, 11/30/2030 (a) | | |
Windsor Holdings III LLC 8.50%, 6/15/2030 (a) | | |
| | |
Diversified Consumer Services — 0.7% |
Adtalem Global Education, Inc. 5.50%, 3/1/2028 (a) | | |
Carriage Services, Inc. 4.25%, 5/15/2029 (a) | | |
Champions Financing, Inc. 8.75%, 2/15/2029 (a) | | |
Mavis Tire Express Services Topco Corp. 6.50%, 5/15/2029 (a) | | |
Service Corp. International |
| | |
| | |
| | |
| | |
Signal Parent, Inc. 6.13%, 4/1/2029 (a) | | |
Sotheby's 7.38%, 10/15/2027 (a) | | |
| | |
|
Diversified Consumer Services — continued |
StoneMor, Inc. 8.50%, 5/15/2029 (a) | | |
Wand NewCo 3, Inc. 7.63%, 1/30/2032 (a) | | |
WW International, Inc. 4.50%, 4/15/2029 (a) | | |
| | |
|
|
| | |
Series MAY, 10.50%, 2/15/2028 (a) | | |
| | |
| | |
Vornado Realty LP 3.40%, 6/1/2031 | | |
| | |
Diversified Telecommunication Services — 5.2% |
Altice Financing SA (Luxembourg) 5.00%, 1/15/2028 (a) | | |
Altice France SA (France) |
| | |
| | |
| | |
| | |
| | |
British Telecommunications plc (United Kingdom) |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.99%), 4.25%, 11/23/2081 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.49%), 4.88%, 11/23/2081 (a) (c) | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Consolidated Communications, Inc. |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Diversified Telecommunication Services — continued |
| | |
Embarq Corp. 8.00%, 6/1/2036 | | |
Frontier Communications Holdings LLC |
| | |
| | |
| | |
| | |
| | |
| | |
Iliad Holding SASU (France) |
| | |
| | |
| | |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Lumen Technologies, Inc. Series P, 7.60%, 9/15/2039 | | |
|
Series 2033, 6.38%, 11/15/2033 (a) | | |
| | |
| | |
Qwest Corp. 7.25%, 9/15/2025 | | |
Telecom Italia Capital SA (Italy) |
| | |
| | |
| | |
| | |
|
| | |
| | |
Virgin Media Finance plc (United Kingdom) 5.00%, 7/15/2030 (a) | | |
Virgin Media Secured Finance plc (United Kingdom) |
| | |
| | |
Windstream Escrow LLC 7.75%, 8/15/2028 (a) | | |
| | |
|
Diversified Telecommunication Services — continued |
Zayo Group Holdings, Inc. |
| | |
| | |
| | |
Electric Utilities — 1.4% |
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.86%), 8.13%, 6/15/2053 (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.66%), 7.88%, 6/15/2054 (c) | | |
Emera, Inc. (Canada) Series 16-A, (3-MONTH SOFR + 5.44%), 6.75%, 6/15/2076 (c) | | |
NextEra Energy Operating Partners LP |
| | |
| | |
|
| | |
| | |
| | |
| | |
Pattern Energy Operations LP 4.50%, 8/15/2028 (a) | | |
|
| | |
| | |
Terraform Global Operating LP 6.13%, 3/1/2026 (a) | | |
Vistra Operations Co. LLC |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Electrical Equipment — 0.3% |
Atkore, Inc. 4.25%, 6/1/2031 (a) | | |
EnerSys 6.63%, 1/15/2032 (a) | | |
|
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Electrical Equipment — continued |
| | |
Vertiv Group Corp. 4.13%, 11/15/2028 (a) | | |
| | |
Electronic Equipment, Instruments & Components — 0.3% |
Coherent Corp. 5.00%, 12/15/2029 (a) | | |
Insight Enterprises, Inc. 6.63%, 5/15/2032 (a) | | |
Sensata Technologies, Inc. |
| | |
| | |
TTM Technologies, Inc. 4.00%, 3/1/2029 (a) | | |
Zebra Technologies Corp. 6.50%, 6/1/2032 (a) | | |
| | |
Energy Equipment & Services — 1.9% |
|
| | |
| | |
Borr IHC Ltd. (Mexico) 10.38%, 11/15/2030 (a) | | |
Bristow Group, Inc. 6.88%, 3/1/2028 (a) | | |
Diamond Foreign Asset Co. 8.50%, 10/1/2030 (a) | | |
Enerflex Ltd. (Canada) 9.00%, 10/15/2027 (a) | | |
Global Marine, Inc. 7.00%, 6/1/2028 | | |
Helix Energy Solutions Group, Inc. 9.75%, 3/1/2029 (a) | | |
Kodiak Gas Services LLC 7.25%, 2/15/2029 (a) | | |
Nabors Industries Ltd. 7.50%, 1/15/2028 (a) | | |
|
| | |
| | |
| | |
Noble Finance II LLC 8.00%, 4/15/2030 (a) | | |
Oceaneering International, Inc. 6.00%, 2/1/2028 | | |
Precision Drilling Corp. (Canada) 6.88%, 1/15/2029 (a) | | |
Seadrill Finance Ltd. (Norway) 8.38%, 8/1/2030 (a) | | |
Solaris Midstream Holdings LLC 7.63%, 4/1/2026 (a) | | |
| | |
|
Energy Equipment & Services — continued |
Transocean Poseidon Ltd. 6.88%, 2/1/2027 (a) | | |
Transocean Titan Financing Ltd. 8.38%, 2/1/2028 (a) | | |
|
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| | |
USA Compression Partners LP 6.88%, 9/1/2027 | | |
Valaris Ltd. 8.38%, 4/30/2030 (a) | | |
Vallourec SACA (France) 7.50%, 4/15/2032 (a) | | |
Viridien (France) 8.75%, 4/1/2027 (a) | | |
Weatherford International Ltd. 8.63%, 4/30/2030 (a) | | |
Welltec International ApS (Denmark) 8.25%, 10/15/2026 (a) | | |
| | |
|
Allen Media LLC 10.50%, 2/15/2028 (a) | | |
AMC Entertainment Holdings, Inc. |
10.00% (Cash), 6/15/2026 (a) (b) | | |
| | |
Banijay Entertainment SAS (France) 8.13%, 5/1/2029 (a) | | |
|
| | |
| | |
Live Nation Entertainment, Inc. |
| | |
| | |
| | |
Odeon Finco plc (United Kingdom) 12.75%, 11/1/2027 (a) | | |
ROBLOX Corp. 3.88%, 5/1/2030 (a) | | |
|
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Financial Services — 2.8% |
Armor Holdco, Inc. 8.50%, 11/15/2029 (a) | | |
Benteler International AG (Austria) 10.50%, 5/15/2028 (a) | | |
|
| | |
| | |
Boost Newco Borrower LLC 7.50%, 1/15/2031 (a) | | |
Burford Capital Global Finance LLC 9.25%, 7/1/2031 (a) | | |
|
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| | |
| | |
Freedom Mortgage Holdings LLC |
| | |
| | |
Jefferies Finance LLC 5.00%, 8/15/2028 (a) | | |
Jefferson Capital Holdings LLC 6.00%, 8/15/2026 (a) | | |
|
| | |
| | |
Midcap Financial Issuer Trust 6.50%, 5/1/2028 (a) | | |
Mobius Merger Sub, Inc. 9.00%, 6/1/2030 (a) | | |
Nationstar Mortgage Holdings, Inc. |
| | |
| | |
| | |
| | |
NCR Atleos Corp. 9.50%, 4/1/2029 (a) | | |
Oxford Finance LLC 6.38%, 2/1/2027 (a) | | |
Paysafe Finance plc 4.00%, 6/15/2029 (a) | | |
PennyMac Financial Services, Inc. |
| | |
| | |
| | |
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| | |
PHH Mortgage Corp. 7.88%, 3/15/2026 (a) | | |
|
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|
Financial Services — continued |
| | |
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| | |
Shift4 Payments LLC 6.75%, 8/15/2032 (a) | | |
Stena International SA (Sweden) 7.25%, 1/15/2031 (a) | | |
United Wholesale Mortgage LLC |
| | |
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|
|
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Chobani LLC 7.63%, 7/1/2029 (a) | | |
Darling Ingredients, Inc. |
| | |
| | |
Fiesta Purchaser, Inc. 7.88%, 3/1/2031 (a) | | |
H-Food Holdings LLC 8.50%, 6/1/2026 (a) | | |
Lamb Weston Holdings, Inc. |
| | |
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|
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|
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Sigma Holdco BV (Netherlands) 7.88%, 5/15/2026 (a) | | |
Simmons Foods, Inc. 4.63%, 3/1/2029 (a) | | |
TreeHouse Foods, Inc. 4.00%, 9/1/2028 | | |
| | |
|
|
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Gas Utilities — continued |
|
| | |
| | |
Suburban Propane Partners LP |
| | |
| | |
Superior Plus LP (Canada) 4.50%, 3/15/2029 (a) | | |
| | |
Ground Transportation — 1.0% |
Albion Financing 1 SARL (Luxembourg) 6.13%, 10/15/2026 (a) | | |
Avis Budget Car Rental LLC |
| | |
| | |
| | |
| | |
Brightline East LLC 11.00%, 1/31/2030 (a) | | |
Carriage Purchaser, Inc. 7.88%, 10/15/2029 (a) | | |
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | | |
Genesee & Wyoming, Inc. 6.25%, 4/15/2032 (a) | | |
GN Bondco LLC 9.50%, 10/15/2031 (a) | | |
|
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| | |
| | |
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (a) | | |
Uber Technologies, Inc. 4.50%, 8/15/2029 (a) | | |
Watco Cos. LLC 7.13%, 8/1/2032 (a) | | |
XPO CNW, Inc. 6.70%, 5/1/2034 | | |
XPO, Inc. 7.13%, 2/1/2032 (a) | | |
| | |
Health Care Equipment & Supplies — 1.2% |
Avantor Funding, Inc. 4.63%, 7/15/2028 (a) | | |
Bausch + Lomb Corp. 8.38%, 10/1/2028 (a) | | |
Hologic, Inc. 3.25%, 2/15/2029 (a) | | |
|
| | |
| | |
| | |
| | |
|
Health Care Equipment & Supplies — continued |
Neogen Food Safety Corp. 8.63%, 7/20/2030 (a) | | |
Sotera Health Holdings LLC 7.38%, 6/1/2031 (a) | | |
|
| | |
| | |
| | |
Health Care Providers & Services — 3.9% |
180 Medical, Inc. (United Kingdom) 3.88%, 10/15/2029 (a) | | |
Acadia Healthcare Co., Inc. |
| | |
| | |
|
| | |
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| | |
AHP Health Partners, Inc. 5.75%, 7/15/2029 (a) | | |
Community Health Systems, Inc. |
| | |
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| | |
| | |
Concentra Escrow Issuer Corp. 6.88%, 7/15/2032 (a) | | |
|
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|
| | |
| | |
Global Medical Response, Inc. 10.00% (Blend (Cash 8.75% + PIK 1.25%)), 10/31/2028 (a) (b) | | |
HealthEquity, Inc. 4.50%, 10/1/2029 (a) | | |
Heartland Dental LLC 10.50%, 4/30/2028 (a) | | |
Kedrion SpA (Italy) 6.50%, 9/1/2029 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Health Care Providers & Services — continued |
Legacy LifePoint Health LLC 4.38%, 2/15/2027 (a) | | |
|
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|
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MPH Acquisition Holdings LLC |
| | |
| | |
Option Care Health, Inc. 4.38%, 10/31/2029 (a) | | |
Owens & Minor, Inc. 6.63%, 4/1/2030 (a) | | |
Radiology Partners, Inc. 7.78% (Blend (Cash 4.28% + PIK 3.50%)), 1/31/2029 (a) (b) | | |
Select Medical Corp. 6.25%, 8/15/2026 (a) | | |
Star Parent, Inc. 9.00%, 10/1/2030 (a) | | |
Surgery Center Holdings, Inc. 7.25%, 4/15/2032 (a) | | |
|
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| | |
Toledo Hospital (The) Series B, 5.33%, 11/15/2028 | | |
US Acute Care Solutions LLC 9.75%, 5/15/2029 (a) | | |
| | |
|
Diversified Healthcare Trust |
Zero Coupon, 1/15/2026 (a) | | |
| | |
MPT Operating Partnership LP |
| | |
| | |
| | |
| | |
|
Health Care Technology — 0.2% |
|
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| | |
| | |
| | |
Hotel & Resort REITs — 0.8% |
Park Intermediate Holdings LLC |
| | |
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|
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|
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|
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Hotels, Restaurants & Leisure — 7.7% |
|
| | |
| | |
| | |
Acushnet Co. 7.38%, 10/15/2028 (a) | | |
Affinity Interactive 6.88%, 12/15/2027 (a) | | |
Bloomin' Brands, Inc. 5.13%, 4/15/2029 (a) | | |
|
| | |
| | |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | | |
Brinker International, Inc. 8.25%, 7/15/2030 (a) | | |
Caesars Entertainment, Inc. |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Hotels, Restaurants & Leisure — continued |
| | |
| | |
|
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| | |
| | |
Carnival Holdings Bermuda Ltd. 10.38%, 5/1/2028 (a) | | |
CEC Entertainment LLC 6.75%, 5/1/2026 (a) | | |
Cedar Fair LP 5.25%, 7/15/2029 | | |
|
| | |
| | |
Dave & Buster's, Inc. 7.63%, 11/1/2025 (a) | | |
Empire Resorts, Inc. 7.75%, 11/1/2026 (a) | | |
Everi Holdings, Inc. 5.00%, 7/15/2029 (a) | | |
Fertitta Entertainment LLC |
| | |
| | |
Full House Resorts, Inc. 8.25%, 2/15/2028 (a) | | |
Hilton Domestic Operating Co., Inc. |
| | |
| | |
| | |
Hilton Grand Vacations Borrower Escrow LLC |
| | |
| | |
| | |
Hilton Worldwide Finance LLC 4.88%, 4/1/2027 | | |
International Game Technology plc |
| | |
| | |
| | |
Jacobs Entertainment, Inc. 6.75%, 2/15/2029 (a) | | |
KFC Holding Co. 4.75%, 6/1/2027 (a) | | |
|
| | |
| | |
Light & Wonder International, Inc. |
| | |
| | |
| | |
|
Hotels, Restaurants & Leisure — continued |
Lindblad Expeditions Holdings, Inc. 9.00%, 5/15/2028 (a) | | |
Lindblad Expeditions LLC 6.75%, 2/15/2027 (a) | | |
MajorDrive Holdings IV LLC 6.38%, 6/1/2029 (a) | | |
Marriott Ownership Resorts, Inc. 4.75%, 1/15/2028 | | |
Merlin Entertainments Ltd. (United Kingdom) 5.75%, 6/15/2026 (a) | | |
MGM Resorts International |
| | |
| | |
| | |
| | |
Midwest Gaming Borrower LLC 4.88%, 5/1/2029 (a) | | |
Mohegan Tribal Gaming Authority 8.00%, 2/1/2026 (a) | | |
Motion Bondco DAC (United Kingdom) 6.63%, 11/15/2027 (a) | | |
|
| | |
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| | |
| | |
| | |
NCL Finance Ltd. 6.13%, 3/15/2028 (a) | | |
Ontario Gaming GTA LP (Canada) 8.00%, 8/1/2030 (a) | | |
|
| | |
| | |
Raising Cane's Restaurants LLC 9.38%, 5/1/2029 (a) | | |
Raptor Acquisition Corp. 4.88%, 11/1/2026 (a) | | |
Resorts World Las Vegas LLC 4.63%, 4/6/2031 (a) | | |
Royal Caribbean Cruises Ltd. |
| | |
| | |
| | |
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| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Hotels, Restaurants & Leisure — continued |
| | |
|
| | |
| | |
Scientific Games Holdings LP 6.63%, 3/1/2030 (a) | | |
SeaWorld Parks & Entertainment, Inc. 5.25%, 8/15/2029 (a) | | |
Six Flags Entertainment Corp. |
| | |
| | |
| | |
Sizzling Platter LLC 8.50%, 11/28/2025 (a) | | |
Speedway Motorsports LLC 4.88%, 11/1/2027 (a) | | |
|
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|
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|
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| | |
Vail Resorts, Inc. 6.50%, 5/15/2032 (a) | | |
|
| | |
| | |
Viking Ocean Cruises Ship VII Ltd. 5.63%, 2/15/2029 (a) | | |
VOC Escrow Ltd. 5.00%, 2/15/2028 (a) | | |
Wyndham Hotels & Resorts, Inc. 4.38%, 8/15/2028 (a) | | |
Wynn Las Vegas LLC 5.25%, 5/15/2027 (a) | | |
|
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|
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|
Hotels, Restaurants & Leisure — continued |
| | |
| | |
| | |
Household Durables — 1.5% |
Adams Homes, Inc. 9.25%, 10/15/2028 (a) | | |
|
| | |
| | |
|
| | |
| | |
| | |
Brookfield Residential Properties, Inc. (Canada) |
| | |
| | |
Century Communities, Inc. 3.88%, 8/15/2029 (a) | | |
Dream Finders Homes, Inc. 8.25%, 8/15/2028 (a) | | |
Empire Communities Corp. (Canada) 9.75%, 5/1/2029 (a) | | |
Installed Building Products, Inc. 5.75%, 2/1/2028 (a) | | |
|
| | |
| | |
| | |
LGI Homes, Inc. 8.75%, 12/15/2028 (a) | | |
M/I Homes, Inc. 4.95%, 2/1/2028 | | |
Mattamy Group Corp. (Canada) |
| | |
| | |
New Home Co., Inc. (The) 9.25%, 10/1/2029 (a) | | |
|
| | |
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| | |
| | |
Shea Homes LP 4.75%, 2/15/2028 | | |
SWF Holdings I Corp. 6.50%, 10/1/2029 (a) | | |
Taylor Morrison Communities, Inc. |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Household Durables — continued |
Tempur Sealy International, Inc. |
| | |
| | |
TopBuild Corp. 4.13%, 2/15/2032 (a) | | |
Tri Pointe Homes, Inc. 5.70%, 6/15/2028 | | |
| | |
Household Products — 0.3% |
Central Garden & Pet Co. 4.13%, 4/30/2031 (a) | | |
|
| | |
| | |
Kronos Acquisition Holdings, Inc. (Canada) 10.75%, 6/30/2032 (a) | | |
| | |
Independent Power and Renewable Electricity Producers — 1.0% |
AES Corp. (The) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.20%), 7.60%, 1/15/2055 (c) | | |
Atlantica Sustainable Infrastructure plc (Spain) 4.13%, 6/15/2028 (a) | | |
|
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Clearway Energy Operating LLC |
| | |
| | |
Lightning Power LLC 7.25%, 8/15/2032 (a) | | |
Talen Energy Supply LLC 8.63%, 6/1/2030 (a) | | |
|
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|
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|
|
Alliant Holdings Intermediate LLC |
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|
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Ardonagh Finco Ltd. (United Kingdom) 7.75%, 2/15/2031 (a) | | |
Ardonagh Group Finance Ltd. (United Kingdom) 8.88%, 2/15/2032 (a) | | |
Assurant, Inc. (3-MONTH SOFR + 4.14%), 7.00%, 3/27/2048 (c) | | |
|
| | |
| | |
Baldwin Insurance Group Holdings LLC 7.13%, 5/15/2031 (a) | | |
BroadStreet Partners, Inc. 5.88%, 4/15/2029 (a) | | |
Constellation Insurance, Inc. 6.80%, 1/24/2030 (a) (f) | | |
Genworth Holdings, Inc. 6.50%, 6/15/2034 | | |
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.80%), 4.70%, 10/15/2051 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.61%), 7.95%, 10/15/2054 (a) (c) | | |
Howden UK Refinance plc (United Kingdom) |
| | |
| | |
|
| | |
| | |
| | |
Jones Deslauriers Insurance Management, Inc. (Canada) 10.50%, 12/15/2030 (a) | | |
Liberty Mutual Group, Inc. |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.32%), 4.13%, 12/15/2051 (a) (c) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Panther Escrow Issuer LLC 7.13%, 6/1/2031 (a) | | |
Ryan Specialty LLC 4.38%, 2/1/2030 (a) | | |
USI, Inc. 7.50%, 1/15/2032 (a) | | |
| | |
Interactive Media & Services — 0.1% |
Cars.com, Inc. 6.38%, 11/1/2028 (a) | | |
Ziff Davis, Inc. 4.63%, 10/15/2030 (a) | | |
ZipRecruiter, Inc. 5.00%, 1/15/2030 (a) | | |
| | |
|
Ahead DB Holdings LLC 6.63%, 5/1/2028 (a) | | |
Amentum Escrow Corp. 7.25%, 8/1/2032 (a) | | |
|
| | |
| | |
ASGN, Inc. 4.63%, 5/15/2028 (a) | | |
Cablevision Lightpath LLC |
| | |
| | |
Cogent Communications Group LLC |
| | |
| | |
Conduent Business Services LLC 6.00%, 11/1/2029 (a) | | |
Fortress Intermediate 3, Inc. 7.50%, 6/1/2031 (a) | | |
ION Trading Technologies Sarl (Luxembourg) 9.50%, 5/30/2029 (a) | | |
ION Trading Technologies SARL (Luxembourg) 5.75%, 5/15/2028 (a) | | |
Newfold Digital Holdings Group, Inc. |
| | |
| | |
|
| | |
| | |
Unisys Corp. 6.88%, 11/1/2027 (a) | | |
Virtusa Corp. 7.13%, 12/15/2028 (a) | | |
| | |
| | |
|
|
Amer Sports Co. (Finland) 6.75%, 2/16/2031 (a) | | |
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) | | |
| | |
Life Sciences Tools & Services — 0.2% |
Charles River Laboratories International, Inc. |
| | |
| | |
| | |
Fortrea Holdings, Inc. 7.50%, 7/1/2030 (a) | | |
| | |
|
|
| | |
| | |
Calderys Financing LLC (France) 11.25%, 6/1/2028 (a) | | |
|
| | |
| | |
Enpro, Inc. 5.75%, 10/15/2026 | | |
Esab Corp. 6.25%, 4/15/2029 (a) | | |
GrafTech Finance, Inc. 4.63%, 12/15/2028 (a) | | |
GrafTech Global Enterprises, Inc. 9.88%, 12/15/2028 (a) | | |
|
| | |
| | |
Husky Injection Molding Systems Ltd. (Canada) 9.00%, 2/15/2029 (a) | | |
Mueller Water Products, Inc. 4.00%, 6/15/2029 (a) | | |
OT Merger Corp. 7.88%, 10/15/2029 (a) | | |
Park-Ohio Industries, Inc. 6.63%, 4/15/2027 | | |
SPX FLOW, Inc. 8.75%, 4/1/2030 (a) | | |
Terex Corp. 5.00%, 5/15/2029 (a) | | |
Titan International, Inc. 7.00%, 4/30/2028 | | |
TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027 (a) | | |
Wabash National Corp. 4.50%, 10/15/2028 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
|
| | |
14.50% (Blend (Cash 8.75% + PIK 5.75%)), 10/15/2028 (a) (b) | | |
| | |
Marine Transportation — 0.0% ^ |
Danaos Corp. (Greece) 8.50%, 3/1/2028 (a) | | |
|
Advantage Sales & Marketing, Inc. 6.50%, 11/15/2028 (a) | | |
|
| | |
| | |
Cable One, Inc. 4.00%, 11/15/2030 (a) | | |
Clear Channel Outdoor Holdings, Inc. |
| | |
| | |
| | |
CMG Media Corp. 8.88%, 12/15/2027 (a) | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Cumulus Media New Holdings, Inc. 8.00%, 7/1/2029 (a) | | |
|
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
DISH Network Corp. 11.75%, 11/15/2027 (a) | | |
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | | |
| | |
|
|
GCI LLC 4.75%, 10/15/2028 (a) | | |
|
| | |
| | |
| | |
iHeartCommunications, Inc. |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
LCPR Senior Secured Financing DAC (Puerto Rico) 6.75%, 10/15/2027 (a) | | |
McGraw-Hill Education, Inc. |
| | |
| | |
Neptune Bidco US, Inc. 9.29%, 4/15/2029 (a) | | |
|
| | |
| | |
|
| | |
| | |
Outfront Media Capital LLC |
| | |
| | |
| | |
| | |
Paramount Global (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.00%), 6.38%, 3/30/2062 (c) | | |
|
| | |
| | |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | | |
Sinclair Television Group, Inc. 4.13%, 12/1/2030 (a) | | |
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
| | |
| | |
| | |
| | |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | | |
Summer BC Bidco B LLC 5.50%, 10/31/2026 (a) | | |
Sunrise FinCo. I BV (Netherlands) 4.88%, 7/15/2031 (a) | | |
Sunrise HoldCo IV BV (Netherlands) 5.50%, 1/15/2028 (a) | | |
|
| | |
| | |
| | |
Townsquare Media, Inc. 6.88%, 2/1/2026 (a) | | |
Univision Communications, Inc. |
| | |
| | |
| | |
| | |
| | |
VZ Secured Financing BV (Netherlands) 5.00%, 1/15/2032 (a) | | |
Ziggo Bond Co. BV (Netherlands) 6.00%, 1/15/2027 (a) | | |
Ziggo BV (Netherlands) 4.88%, 1/15/2030 (a) | | |
| | |
|
Alcoa Nederland Holding BV |
| | |
| | |
Algoma Steel, Inc. (Canada) 9.13%, 4/15/2029 (a) | | |
Arsenal AIC Parent LLC 8.00%, 10/1/2030 (a) | | |
|
| | |
| | |
Baffinland Iron Mines Corp. (Canada) 8.75%, 7/15/2026 (a) | | |
Big River Steel LLC 6.63%, 1/31/2029 (a) | | |
Carpenter Technology Corp. 6.38%, 7/15/2028 | | |
| | |
|
Metals & Mining — continued |
|
| | |
| | |
| | |
Coeur Mining, Inc. 5.13%, 2/15/2029 (a) | | |
|
| | |
| | |
Compass Minerals International, Inc. 6.75%, 12/1/2027 (a) | | |
|
| | |
| | |
Eldorado Gold Corp. (Turkey) 6.25%, 9/1/2029 (a) | | |
FMG Resources August 2006 Pty. Ltd. (Australia) |
| | |
| | |
| | |
Hecla Mining Co. 7.25%, 2/15/2028 | | |
Hudbay Minerals, Inc. (Canada) 4.50%, 4/1/2026 (a) | | |
IAMGOLD Corp. (Burkina Faso) 5.75%, 10/15/2028 (a) | | |
Infrabuild Australia Pty. Ltd. (Australia) 14.50%, 11/15/2028 (a) | | |
|
| | |
| | |
Mineral Resources Ltd. (Australia) |
| | |
| | |
| | |
New Gold, Inc. (Canada) 7.50%, 7/15/2027 (a) | | |
|
| | |
| | |
SunCoke Energy, Inc. 4.88%, 6/30/2029 (a) | | |
Taseko Mines Ltd. (Canada) 8.25%, 5/1/2030 (a) | | |
TMS International Corp. 6.25%, 4/15/2029 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Metals & Mining — continued |
United States Steel Corp. |
| | |
| | |
| | |
Mortgage Real Estate Investment Trusts (REITs) — 0.5% |
Apollo Commercial Real Estate Finance, Inc. 4.63%, 6/15/2029 (a) | | |
Blackstone Mortgage Trust, Inc. 3.75%, 1/15/2027 (a) | | |
Ladder Capital Finance Holdings LLLP |
| | |
| | |
| | |
|
| | |
| | |
Starwood Property Trust, Inc. |
| | |
| | |
| | |
|
Algonquin Power & Utilities Corp. (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.25%), 4.75%, 1/18/2082 (c) | | |
|
Brandywine Operating Partnership LP |
| | |
| | |
Hudson Pacific Properties LP |
| | |
| | |
Office Properties Income Trust |
| | |
| | |
| | |
Oil, Gas & Consumable Fuels — 10.3% |
Aethon United BR LP 8.25%, 2/15/2026 (a) | | |
Antero Midstream Partners LP |
| | |
| | |
|
| | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
| | |
Ascent Resources Utica Holdings LLC |
| | |
| | |
| | |
Baytex Energy Corp. (Canada) 8.50%, 4/30/2030 (a) | | |
Berry Petroleum Co. LLC 7.00%, 2/15/2026 (a) | | |
|
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
California Resources Corp. 7.13%, 2/1/2026 (a) | | |
Calumet Specialty Products Partners LP |
| | |
| | |
|
| | |
| | |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | | |
|
| | |
| | |
| | |
CNX Midstream Partners LP 4.75%, 4/15/2030 (a) | | |
|
| | |
| | |
|
| | |
| | |
CQP Holdco LP 5.50%, 6/15/2031 (a) | | |
Crescent Energy Finance LLC |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
|
| | |
| | |
Delek Logistics Partners LP |
| | |
| | |
|
| | |
| | |
Encino Acquisition Partners Holdings LLC |
| | |
| | |
Endeavor Energy Resources LP 5.75%, 1/30/2028 (a) | | |
Energean plc (Israel) 6.50%, 4/30/2027 (a) | | |
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.02%), 8.00%, 5/15/2054 (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.83%), 7.13%, 10/1/2054 (c) | | |
EQM Midstream Partners LP |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
FTAI Infra Escrow Holdings LLC 10.50%, 6/1/2027 (a) | | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
Gulfport Energy Corp. 8.00%, 5/17/2026 | | |
Harbour Energy plc (United Kingdom) 5.50%, 10/15/2026 (a) | | |
|
| | |
| | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
Hess Infrastructure Partners LP 5.63%, 2/15/2026 (a) | | |
Hess Midstream Operations LP |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
Howard Midstream Energy Partners LLC |
| | |
| | |
Ithaca Energy North Sea plc (United Kingdom) 9.00%, 7/15/2026 (a) | | |
ITT Holdings LLC 6.50%, 8/1/2029 (a) | | |
Karoon USA Finance, Inc. (Brazil) 10.50%, 5/14/2029 (a) | | |
Kinetik Holdings LP 6.63%, 12/15/2028 (a) | | |
Kraken Oil & Gas Partners LLC 7.63%, 8/15/2029 (a) | | |
Martin Midstream Partners LP 11.50%, 2/15/2028 (a) | | |
Matador Resources Co. 6.88%, 4/15/2028 (a) | | |
MEG Energy Corp. (Canada) 5.88%, 2/1/2029 (a) | | |
Moss Creek Resources Holdings, Inc. 8.25%, 9/1/2031 (a) | | |
|
| | |
| | |
| | |
New Fortress Energy, Inc. |
| | |
| | |
|
| | |
| | |
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
Northriver Midstream Finance LP (Canada) 6.75%, 7/15/2032 (a) | | |
|
| | |
| | |
|
| | |
| | |
| | |
|
| | |
| | |
Permian Resources Operating LLC |
| | |
| | |
| | |
| | |
Prairie Acquiror LP 9.00%, 8/1/2029 (a) | | |
Range Resources Corp. 8.25%, 1/15/2029 | | |
Rockies Express Pipeline LLC |
| | |
| | |
| | |
Sitio Royalties Operating Partnership LP 7.88%, 11/1/2028 (a) | | |
|
| | |
| | |
| | |
| | |
South Bow Canadian Infrastructure Holdings Ltd. (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.67%), 7.50%, 3/1/2055 (a) (c) | | |
|
| | |
| | |
Strathcona Resources Ltd. (Canada) 6.88%, 8/1/2026 (a) | | |
Summit Midstream Holdings LLC 8.63%, 10/31/2029 (a) | | |
Sunnova Energy Corp. 11.75%, 10/1/2028 (a) | | |
|
| | |
| | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
| | |
| | |
| | |
Tallgrass Energy Partners LP |
| | |
| | |
| | |
| | |
|
| | |
| | |
Teine Energy Ltd. (Canada) 6.88%, 4/15/2029 (a) | | |
TerraForm Power Operating LLC |
| | |
| | |
TGNR Intermediate Holdings LLC 5.50%, 10/15/2029 (a) | | |
Topaz Solar Farms LLC 5.75%, 9/30/2039 (a) | | |
Venture Global Calcasieu Pass LLC |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
Vermilion Energy, Inc. (Canada) 6.88%, 5/1/2030 (a) | | |
Viper Energy, Inc. 5.38%, 11/1/2027 (a) | | |
|
| | |
| | |
| | |
W&T Offshore, Inc. 11.75%, 2/1/2026 (a) | | |
| | |
Paper & Forest Products — 0.2% |
Domtar Corp. 6.75%, 10/1/2028 (a) | | |
Glatfelter Corp. 4.75%, 11/15/2029 (a) | | |
Louisiana-Pacific Corp. 3.63%, 3/15/2029 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Paper & Forest Products — continued |
Mercer International, Inc. (Germany) |
| | |
| | |
| | |
Passenger Airlines — 1.3% |
Air Canada (Canada) 3.88%, 8/15/2026 (a) | | |
Allegiant Travel Co. 7.25%, 8/15/2027 (a) | | |
American Airlines Group, Inc. 3.75%, 3/1/2025 (a) | | |
|
| | |
| | |
| | |
| | |
JetBlue Airways Corp. 9.88%, 9/20/2031 (a) | | |
Spirit Loyalty Cayman Ltd. 8.00%, 9/20/2025 (a) | | |
|
| | |
| | |
VistaJet Malta Finance plc (Switzerland) |
| | |
| | |
| | |
Personal Care Products — 0.6% |
BellRing Brands, Inc. 7.00%, 3/15/2030 (a) | | |
|
| | |
| | |
Edgewell Personal Care Co. |
| | |
| | |
Herbalife Nutrition Ltd. 7.88%, 9/1/2025 (a) | | |
Perrigo Finance Unlimited Co. |
| | |
| | |
|
| | |
| | |
| | |
|
Bausch Health Americas, Inc. |
| | |
| | |
|
Pharmaceuticals — continued |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Catalent Pharma Solutions, Inc. 5.00%, 7/15/2027 (a) | | |
Cheplapharm Arzneimittel GmbH (Germany) 5.50%, 1/15/2028 (a) | | |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (f) | | |
Endo Finance Holdings, Inc. 8.50%, 4/15/2031 (a) | | |
HLF Financing Sarl LLC 12.25%, 4/15/2029 (a) | | |
HLF Financing SARL LLC 4.88%, 6/1/2029 (a) | | |
Jazz Securities DAC 4.38%, 1/15/2029 (a) | | |
Mallinckrodt International Finance SA 14.75%, 11/14/2028 (a) | | |
|
| | |
| | |
| | |
| | |
P&L Development LLC 7.75%, 11/15/2025 (a) | | |
| | |
Professional Services — 0.3% |
AMN Healthcare, Inc. 4.63%, 10/1/2027 (a) | | |
CoreLogic, Inc. 4.50%, 5/1/2028 (a) | | |
Dun & Bradstreet Corp. (The) 5.00%, 12/15/2029 (a) | | |
Science Applications International Corp. 4.88%, 4/1/2028 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Professional Services — continued |
TriNet Group, Inc. 7.13%, 8/15/2031 (a) | | |
VT Topco, Inc. 8.50%, 8/15/2030 (a) | | |
| | |
Real Estate Management & Development — 0.7% |
Anywhere Real Estate Group LLC |
| | |
| | |
Cushman & Wakefield US Borrower LLC |
| | |
| | |
Five Point Operating Co. LP 10.50%, 1/15/2028 (a) (f) | | |
Forestar Group, Inc. 3.85%, 5/15/2026 (a) | | |
Greystar Real Estate Partners LLC 7.75%, 9/1/2030 (a) | | |
Howard Hughes Corp. (The) |
| | |
| | |
Hunt Cos., Inc. 5.25%, 4/15/2029 (a) | | |
Kennedy-Wilson, Inc. 4.75%, 3/1/2029 | | |
| | |
|
Brookfield Property REIT, Inc. |
| | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 0.4% |
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | | |
ams-OSRAM AG (Austria) 12.25%, 3/30/2029 (a) | | |
|
| | |
| | |
| | |
ON Semiconductor Corp. 3.88%, 9/1/2028 (a) | | |
Synaptics, Inc. 4.00%, 6/15/2029 (a) | | |
| | |
|
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (a) | | |
Camelot Finance SA 4.50%, 11/1/2026 (a) | | |
| | |
|
|
Capstone Borrower, Inc. 8.00%, 6/15/2030 (a) | | |
Central Parent LLC 8.00%, 6/15/2029 (a) | | |
Central Parent, Inc. 7.25%, 6/15/2029 (a) | | |
Clarivate Science Holdings Corp. |
| | |
| | |
Cloud Software Group, Inc. |
| | |
| | |
Consensus Cloud Solutions, Inc. 6.50%, 10/15/2028 (a) | | |
Crowdstrike Holdings, Inc. 3.00%, 2/15/2029 | | |
Dye & Durham Ltd. (Canada) 8.63%, 4/15/2029 (a) | | |
Elastic NV 4.13%, 7/15/2029 (a) | | |
|
| | |
| | |
|
| | |
| | |
GoTo Group, Inc. 5.50%, 5/1/2028 (a) | | |
Helios Software Holdings, Inc. 4.63%, 5/1/2028 (a) | | |
McAfee Corp. 7.38%, 2/15/2030 (a) | | |
MicroStrategy, Inc. 6.13%, 6/15/2028 (a) | | |
|
| | |
| | |
| | |
|
| | |
| | |
Open Text Holdings, Inc. (Canada) 4.13%, 12/1/2031 (a) | | |
PTC, Inc. 4.00%, 2/15/2028 (a) | | |
RingCentral, Inc. 8.50%, 8/15/2030 (a) | | |
|
| | |
| | |
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Veritas US, Inc. 7.50%, 9/1/2025 (a) | | |
ZoomInfo Technologies LLC 3.88%, 2/1/2029 (a) | | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
Arko Corp. 5.13%, 11/15/2029 (a) | | |
Asbury Automotive Group, Inc. |
| | |
| | |
| | |
| | |
At Home Group, Inc. 4.88%, 7/15/2028 (a) | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
BCPE Ulysses Intermediate, Inc. 7.75% (Cash), 4/1/2027 (a) (b) | | |
|
12.00% (PIK), 12/1/2028 (a) (b) | | |
13.00% (PIK), 6/1/2030 (a) (b) | | |
14.00% (PIK), 6/1/2031 (a) (b) | | |
| | |
|
Specialty Retail — continued |
Cougar JV Subsidiary LLC 8.00%, 5/15/2032 (a) | | |
eG Global Finance plc (United Kingdom) 12.00%, 11/30/2028 (a) | | |
Evergreen Acqco 1 LP 9.75%, 4/26/2028 (a) | | |
Foot Locker, Inc. 4.00%, 10/1/2029 (a) | | |
|
| | |
| | |
Global Auto Holdings Ltd. (United Kingdom) 8.75%, 1/15/2032 (a) | | |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | | |
Guitar Center, Inc. 8.50%, 1/15/2026 (a) | | |
GYP Holdings III Corp. 4.63%, 5/1/2029 (a) | | |
LBM Acquisition LLC 6.25%, 1/15/2029 (a) | | |
LCM Investments Holdings II LLC |
| | |
| | |
|
| | |
| | |
Michaels Cos., Inc. (The) 7.88%, 5/1/2029 (a) | | |
|
| | |
| | |
| | |
Park River Holdings, Inc. 6.75%, 8/1/2029 (a) | | |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | | |
|
| | |
| | |
Sally Holdings LLC 6.75%, 3/1/2032 | | |
|
| | |
| | |
Specialty Building Products Holdings LLC 6.38%, 9/30/2026 (a) | | |
|
| | |
| | |
Upbound Group, Inc. 6.38%, 2/15/2029 (a) | | |
Valvoline, Inc. 3.63%, 6/15/2031 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Specialty Retail — continued |
Victra Holdings LLC 7.75%, 2/15/2026 (a) | | |
White Cap Buyer LLC 6.88%, 10/15/2028 (a) | | |
White Cap Parent LLC 8.25% (Cash), 3/15/2026 (a) (b) | | |
| | |
Technology Hardware, Storage & Peripherals — 0.6% |
|
| | |
| | |
| | |
| | |
| | |
| | |
Western Digital Corp. 4.75%, 2/15/2026 | | |
Xerox Holdings Corp. 5.00%, 8/15/2025 (a) | | |
| | |
Textiles, Apparel & Luxury Goods — 0.3% |
Crocs, Inc. 4.25%, 3/15/2029 (a) | | |
|
| | |
| | |
Levi Strauss & Co. 3.50%, 3/1/2031 (a) | | |
Under Armour, Inc. 3.25%, 6/15/2026 | | |
William Carter Co. (The) 5.63%, 3/15/2027 (a) | | |
Wolverine World Wide, Inc. 4.00%, 8/15/2029 (a) | | |
| | |
|
Turning Point Brands, Inc. 5.63%, 2/15/2026 (a) | | |
Vector Group Ltd. 5.75%, 2/1/2029 (a) | | |
| | |
Trading Companies & Distributors — 1.9% |
Alta Equipment Group, Inc. 9.00%, 6/1/2029 (a) | | |
Beacon Roofing Supply, Inc. |
| | |
| | |
BlueLinx Holdings, Inc. 6.00%, 11/15/2029 (a) | | |
Boise Cascade Co. 4.88%, 7/1/2030 (a) | | |
| | |
|
Trading Companies & Distributors — continued |
|
| | |
| | |
Fortress Transportation and Infrastructure Investors LLC |
| | |
| | |
| | |
| | |
Foundation Building Materials, Inc. 6.00%, 3/1/2029 (a) | | |
H&E Equipment Services, Inc. 3.88%, 12/15/2028 (a) | | |
|
| | |
| | |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | | |
United Rentals North America, Inc. |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Transportation Infrastructure — 0.0% ^ |
Port of Newcastle Investments Financing Pty. Ltd. (Australia) 5.90%, 11/24/2031 (a) | | |
Wireless Telecommunication Services — 1.0% |
Altice France Holding SA (Luxembourg) |
| | |
| | |
Connect Finco SARL (United Kingdom) 6.75%, 10/1/2026 (a) | | |
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | | |
Millicom International Cellular SA (Guatemala) 4.50%, 4/27/2031 (a) | | |
Rogers Communications, Inc. (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.59%), 5.25%, 3/15/2082 (a) (c) | | |
United States Cellular Corp. 6.70%, 12/15/2033 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Wireless Telecommunication Services — continued |
Vmed O2 UK Financing I plc (United Kingdom) 7.75%, 4/15/2032 (a) | | |
Vodafone Group plc (United Kingdom) |
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.07%), 5.13%, 6/4/2081 (c) | | |
Zegona Finance plc (United Kingdom) 8.63%, 7/15/2029 (a) | | |
| | |
Total Corporate Bonds
(Cost $1,252,917,248) | | |
| | |
|
Financial Services — 0.0% ^ |
Cwt Travel Group, Inc. ‡ * | | |
Mallinckrodt plc (Luxembourg) ‡ * | | |
| | |
Short-Term Investments — 0.7% |
Investment Companies — 0.7% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (h) (i)
(Cost $8,524,800) | | |
Total Investments — 98.6%
(Cost $1,261,507,279) | | |
Other Assets Less Liabilities — 1.4% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Chicago Mercantile Exchange |
| Intercontinental Exchange |
| |
| Real Estate Investment Trust |
| Limited partnership with share capital |
| Secured Overnight Financing Rate |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| Non-income producing security. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2024. | |
| Security is an interest bearing note with preferred security characteristics. | |
| 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 August 31, 2024. | |
| 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 August 31, 2024. | |
| | |
| 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. | |
| The rate shown is the current yield as of August 31, 2024. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
|
Aerospace & Defense — 3.0% |
|
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GE Capital Funding LLC 4.55%, 5/15/2032 | | |
|
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Hexcel Corp. 4.20%, 2/15/2027 (a) | | |
Huntington Ingalls Industries, Inc. 4.20%, 5/1/2030 | | |
L3Harris Technologies, Inc. |
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|
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Textron, Inc. 3.38%, 3/1/2028 | | |
| | |
Air Freight & Logistics — 0.5% |
FedEx Corp. 2.40%, 5/15/2031 | | |
GXO Logistics, Inc. 2.65%, 7/15/2031 | | |
United Parcel Service, Inc. |
| | |
| | |
| | |
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|
Automobile Components — 0.1% |
Aptiv plc 4.40%, 10/1/2046 | | |
Lear Corp. 3.50%, 5/30/2030 | | |
| | |
|
|
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|
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Toyota Motor Corp. (Japan) |
| | |
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|
Banco Santander SA (Spain) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00%), 4.18%, 3/24/2028 (b) | | |
|
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| | |
(SOFR + 1.29%), 5.08%, 1/20/2027 (b) | | |
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (b) | | |
(3-MONTH CME TERM SOFR + 1.32%), 3.56%, 4/23/2027 (b) | | |
(SOFR + 1.34%), 5.93%, 9/15/2027 (b) | | |
Series L, 4.18%, 11/25/2027 | | |
(SOFR + 1.05%), 2.55%, 2/4/2028 (b) | | |
(3-MONTH CME TERM SOFR + 1.44%), 3.19%, 7/23/2030 (b) | | |
(3-MONTH CME TERM SOFR + 1.25%), 2.50%, 2/13/2031 (b) | | |
(SOFR + 1.32%), 2.69%, 4/22/2032 (b) | | |
(SOFR + 1.22%), 2.30%, 7/21/2032 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.20%), 2.48%, 9/21/2036 (b) | | |
(3-MONTH CME TERM SOFR + 2.25%), 4.44%, 1/20/2048 (b) | | |
(3-MONTH CME TERM SOFR + 3.41%), 4.08%, 3/20/2051 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Bank of Montreal (Canada) |
(SOFR + 0.60%), 0.95%, 1/22/2027 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.40%), 3.09%, 1/10/2037 (b) (c) | | |
Bank of Nova Scotia (The) (Canada) |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 4.59%, 5/4/2037 (b) (c) | | |
Barclays plc (United Kingdom) |
| | |
(SOFR + 2.21%), 5.83%, 5/9/2027 (b) | | |
Canadian Imperial Bank of Commerce (Canada) 6.09%, 10/3/2033 | | |
Citibank NA 5.86%, 9/29/2025 | | |
|
| | |
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(SOFR + 1.89%), 4.66%, 5/24/2028 (b) | | |
(SOFR + 1.42%), 2.98%, 11/5/2030 (b) | | |
(SOFR + 1.15%), 2.67%, 1/29/2031 (b) | | |
(SOFR + 3.91%), 4.41%, 3/31/2031 (b) | | |
(SOFR + 1.18%), 2.52%, 11/3/2032 (b) | | |
| | |
Citizens Financial Group, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.75%), 5.64%, 5/21/2037 (b) | | |
Cooperatieve Rabobank UA (Netherlands) 5.25%, 5/24/2041 | | |
|
(SOFRINDX + 2.19%), 6.36%, 10/27/2028 (b) | | |
| | |
Goldman Sachs Capital I 6.35%, 2/15/2034 | | |
HSBC Holdings plc (United Kingdom) |
(SOFR + 1.29%), 2.21%, 8/17/2029 (b) | | |
(SOFR + 2.87%), 5.40%, 8/11/2033 (b) | | |
| | |
| | |
Huntington Bancshares, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.17%), 2.49%, 8/15/2036 (b) | | |
KeyCorp (SOFRINDX + 2.06%), 4.79%, 6/1/2033 (b) | | |
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|
|
Lloyds Banking Group plc (United Kingdom) 4.55%, 8/16/2028 | | |
Mitsubishi UFJ Financial Group, Inc. (Japan) |
| | |
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| | |
Mizuho Financial Group, Inc. (Japan) 4.02%, 3/5/2028 | | |
PNC Financial Services Group, Inc. (The) |
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Regions Financial Corp. 7.38%, 12/10/2037 | | |
Royal Bank of Canada (Canada) |
| | |
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Santander Holdings USA, Inc. 4.40%, 7/13/2027 | | |
Sumitomo Mitsui Financial Group, Inc. (Japan) |
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Toronto-Dominion Bank (The) (Canada) |
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|
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(SOFR + 2.36%), 5.87%, 6/8/2034 (b) | | |
|
Series V, 2.38%, 7/22/2026 | | |
(SOFR + 1.88%), 6.79%, 10/26/2027 (b) | | |
(SOFR + 1.66%), 4.55%, 7/22/2028 (b) | | |
(SOFR + 2.02%), 5.78%, 6/12/2029 (b) | | |
(SOFR + 1.02%), 2.68%, 1/27/2033 (b) | | |
(SOFR + 2.11%), 4.97%, 7/22/2033 (b) | | |
(SOFR + 1.60%), 4.84%, 2/1/2034 (b) | | |
(SOFR + 2.26%), 5.84%, 6/12/2034 (b) | | |
(SOFR + 1.86%), 5.68%, 1/23/2035 (b) | | |
|
(SOFR + 1.98%), 4.81%, 7/25/2028 (b) | | |
(SOFR + 1.74%), 5.57%, 7/25/2029 (b) | | |
(3-MONTH CME TERM SOFR + 1.43%), 2.88%, 10/30/2030 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
(SOFR + 2.02%), 5.39%, 4/24/2034 (b) | | |
(SOFR + 1.99%), 5.56%, 7/25/2034 (b) | | |
(SOFR + 2.06%), 6.49%, 10/23/2034 (b) | | |
(SOFR + 1.78%), 5.50%, 1/23/2035 (b) | | |
| | |
| | |
| | |
(SOFR + 2.13%), 4.61%, 4/25/2053 (b) | | |
Westpac Banking Corp. (Australia) |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.00%), 4.11%, 7/24/2034 (b) (c) | | |
| | |
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|
Anheuser-Busch Cos. LLC (Belgium) |
| | |
| | |
Anheuser-Busch InBev Finance, Inc. (Belgium) 4.70%, 2/1/2036 | | |
Anheuser-Busch InBev Worldwide, Inc. (Belgium) |
| | |
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|
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Constellation Brands, Inc. |
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Molson Coors Beverage Co. 4.20%, 7/15/2046 | | |
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Biogen, Inc. 3.15%, 5/1/2050 | | |
|
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|
Alibaba Group Holding Ltd. (China) 2.13%, 2/9/2031 | | |
|
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eBay, Inc. 4.00%, 7/15/2042 | | |
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Masco Corp. 2.00%, 10/1/2030 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Bank of New York Mellon Corp. (The) |
| | |
(SOFR + 1.76%), 4.60%, 7/26/2030 (b) | | |
| | |
(SOFR + 1.42%), 5.19%, 3/14/2035 (b) | | |
|
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| | |
Blue Owl Capital Corp. II 8.45%, 11/15/2026 (d) | | |
Blue Owl Capital Corp. III 3.13%, 4/13/2027 | | |
Blue Owl Credit Income Corp. 6.65%, 3/15/2031 | | |
Brookfield Finance I UK plc (Canada) 2.34%, 1/30/2032 | | |
Brookfield Finance, Inc. (Canada) 4.85%, 3/29/2029 | | |
Charles Schwab Corp. (The) |
| | |
| | |
(SOFR + 2.50%), 5.85%, 5/19/2034 (b) | | |
CI Financial Corp. (Canada) |
| | |
| | |
Deutsche Bank AG (Germany) (SOFR + 1.87%), 2.13%, 11/24/2026 (b) | | |
Eaton Vance Corp. 3.50%, 4/6/2027 | | |
Franklin Resources, Inc. 2.95%, 8/12/2051 | | |
|
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| | |
Goldman Sachs Group, Inc. (The) |
| | |
(SOFR + 1.85%), 3.62%, 3/15/2028 (b) | | |
(3-MONTH CME TERM SOFR + 1.56%), 4.22%, 5/1/2029 (b) | | |
| | |
(SOFR + 1.25%), 2.38%, 7/21/2032 (b) | | |
| | |
(SOFR + 1.95%), 6.56%, 10/24/2034 (b) | | |
(SOFR + 1.55%), 5.85%, 4/25/2035 (b) | | |
| | |
(3-MONTH CME TERM SOFR + 1.63%), 4.02%, 10/31/2038 (b) | | |
(SOFR + 1.51%), 3.21%, 4/22/2042 (b) | | |
(SOFR + 1.63%), 3.44%, 2/24/2043 (b) | | |
| | |
| | |
|
Capital Markets — continued |
Golub Capital BDC, Inc. 2.05%, 2/15/2027 | | |
Hercules Capital, Inc. 3.38%, 1/20/2027 | | |
Intercontinental Exchange, Inc. |
| | |
| | |
Moody's Corp. 3.75%, 2/25/2052 | | |
|
| | |
(SOFR + 1.77%), 6.14%, 10/16/2026 (b) | | |
| | |
| | |
(SOFR + 0.88%), 1.59%, 5/4/2027 (b) | | |
(SOFR + 1.61%), 4.21%, 4/20/2028 (b) | | |
(3-MONTH CME TERM SOFR + 1.40%), 3.77%, 1/24/2029 (b) | | |
(SOFR + 3.12%), 3.62%, 4/1/2031 (b) | | |
(SOFR + 1.03%), 1.79%, 2/13/2032 (b) | | |
| | |
(SOFR + 1.18%), 2.24%, 7/21/2032 (b) | | |
(SOFR + 1.20%), 2.51%, 10/20/2032 (b) | | |
(SOFR + 1.29%), 2.94%, 1/21/2033 (b) | | |
(SOFR + 1.36%), 2.48%, 9/16/2036 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (b) | | |
| | |
(SOFR + 1.43%), 2.80%, 1/25/2052 (b) | | |
Nasdaq, Inc. 6.10%, 6/28/2063 | | |
Nomura Holdings, Inc. (Japan) 2.33%, 1/22/2027 | | |
|
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|
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S&P Global, Inc. 3.70%, 3/1/2052 | | |
|
(SOFR + 1.72%), 5.82%, 11/4/2028 (b) | | |
(SOFR + 1.00%), 2.62%, 2/7/2033 (b) | | |
(SOFR + 1.49%), 3.03%, 11/1/2034 (b) | | |
UBS AG (Switzerland) 5.80%, 9/11/2025 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
Air Products and Chemicals, Inc. 1.85%, 5/15/2027 | | |
|
| | |
| | |
Celanese US Holdings LLC 6.33%, 7/15/2029 | | |
Dow Chemical Co. (The) 6.90%, 5/15/2053 | | |
Eastman Chemical Co. 4.65%, 10/15/2044 | | |
|
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| | |
FMC Corp. 4.50%, 10/1/2049 | | |
International Flavors & Fragrances, Inc. 4.45%, 9/26/2028 | | |
|
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| | |
Nutrien Ltd. (Canada) 5.88%, 12/1/2036 | | |
RPM International, Inc. 3.75%, 3/15/2027 | | |
Sherwin-Williams Co. (The) 2.95%, 8/15/2029 | | |
| | |
Commercial Services & Supplies — 0.1% |
Cintas Corp. No. 2 4.00%, 5/1/2032 | | |
Republic Services, Inc. 6.20%, 3/1/2040 | | |
Veralto Corp. 5.50%, 9/18/2026 (d) | | |
Waste Management, Inc. 4.15%, 4/15/2032 | | |
| | |
Communications Equipment — 0.5% |
|
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| | |
Nokia OYJ (Finland) 6.63%, 5/15/2039 | | |
| | |
Construction & Engineering — 0.2% |
|
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| | |
| | |
Construction Materials — 0.0% ^ |
Martin Marietta Materials, Inc. 4.25%, 12/15/2047 | | |
| | |
|
|
AerCap Ireland Capital DAC (Ireland) 1.75%, 1/30/2026 | | |
Ally Financial, Inc. 4.75%, 6/9/2027 | | |
|
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| | |
American Express Credit Corp. 3.30%, 5/3/2027 | | |
American Honda Finance Corp. |
| | |
| | |
Capital One Financial Corp. |
| | |
(SOFR + 2.60%), 5.25%, 7/26/2030 (b) | | |
(SOFR + 1.34%), 2.36%, 7/29/2032 (b) | | |
Caterpillar Financial Services Corp. 1.10%, 9/14/2027 | | |
Discover Financial Services (SOFRINDX + 3.37%), 7.96%, 11/2/2034 (b) | | |
Ford Motor Credit Co. LLC 4.54%, 8/1/2026 | | |
General Motors Financial Co., Inc. 3.60%, 6/21/2030 | | |
|
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|
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Toyota Motor Credit Corp. |
| | |
| | |
| | |
Consumer Staples Distribution & Retail — 1.2% |
Costco Wholesale Corp. 1.75%, 4/20/2032 | | |
Dollar General Corp. 5.50%, 11/1/2052 | | |
Kroger Co. (The) 5.40%, 1/15/2049 | | |
|
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|
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| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Consumer Staples Distribution & Retail — continued |
|
| | |
| | |
| | |
| | |
| | |
Containers & Packaging — 0.4% |
International Paper Co. 6.00%, 11/15/2041 | | |
Sonoco Products Co. 5.75%, 11/1/2040 | | |
|
| | |
| | |
| | |
Diversified Consumer Services — 0.2% |
|
Series 2020, 2.68%, 10/1/2044 | | |
Series 2020, 2.83%, 10/1/2055 | | |
Johns Hopkins University Series 2013, 4.08%, 7/1/2053 | | |
Northwestern University Series 2020, 2.64%, 12/1/2050 | | |
President and Fellows of Harvard College 3.30%, 7/15/2056 | | |
| | |
|
American Assets Trust LP 3.38%, 2/1/2031 | | |
|
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Diversified Telecommunication Services — 2.6% |
|
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|
Diversified Telecommunication Services — continued |
| | |
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| | |
Bell Canada (The) (Canada) Series US-5, 2.15%, 2/15/2032 | | |
Telefonica Emisiones SA (Spain) 7.05%, 6/20/2036 | | |
TELUS Corp. (Canada) 3.40%, 5/13/2032 | | |
Verizon Communications, Inc. |
| | |
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| | |
Electric Utilities — 6.5% |
AEP Texas, Inc. 3.45%, 5/15/2051 | | |
|
| | |
Series M, 3.65%, 4/1/2050 | | |
|
| | |
Series A, 4.30%, 7/15/2048 | | |
Arizona Public Service Co. |
| | |
| | |
| | |
Baltimore Gas and Electric Co. 3.20%, 9/15/2049 | | |
|
| | |
| | |
Connecticut Light and Power Co. (The) Series A, 4.15%, 6/1/2045 | | |
Dominion Energy South Carolina, Inc. 5.10%, 6/1/2065 | | |
|
Series C, 2.63%, 3/1/2031 | | |
Series B, 3.25%, 4/1/2051 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
Duke Energy Carolinas LLC |
| | |
| | |
|
| | |
| | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.32%), 3.25%, 1/15/2082 (b) | | |
Duke Energy Ohio, Inc. 4.30%, 2/1/2049 | | |
Duke Energy Progress LLC 2.90%, 8/15/2051 | | |
Edison International 5.75%, 6/15/2027 | | |
Emera US Finance LP (Canada) |
| | |
| | |
Enel Chile SA (Chile) 4.88%, 6/12/2028 | | |
Entergy Corp. 0.90%, 9/15/2025 | | |
|
| | |
| | |
Evergy, Inc. 2.90%, 9/15/2029 | | |
|
| | |
Series M, 3.30%, 1/15/2028 | | |
Series R, 1.65%, 8/15/2030 | | |
| | |
| | |
|
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| | |
Florida Power & Light Co. |
Series A, 3.30%, 5/30/2027 | | |
| | |
| | |
| | |
|
| | |
Series B, 3.70%, 1/30/2050 | | |
|
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| | |
Mississippi Power Co. Series 12-A, 4.25%, 3/15/2042 | | |
| | |
|
Electric Utilities — continued |
NextEra Energy Capital Holdings, Inc. |
| | |
| | |
(3-MONTH SOFR + 2.41%), 4.80%, 12/1/2077 (b) | | |
Northern States Power Co. 6.25%, 6/1/2036 | | |
Oncor Electric Delivery Co. LLC |
| | |
| | |
Pacific Gas and Electric Co. |
| | |
| | |
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PECO Energy Co. 5.95%, 10/1/2036 | | |
PPL Electric Utilities Corp. 5.00%, 5/15/2033 | | |
Public Service Co. of Colorado |
| | |
Series 17, 6.25%, 9/1/2037 | | |
| | |
Public Service Electric and Gas Co. |
| | |
| | |
Southern California Edison Co. |
Series 20C, 1.20%, 2/1/2026 | | |
Series D, 4.70%, 6/1/2027 | | |
| | |
Series C, 3.60%, 2/1/2045 | | |
Southern Co. (The) 5.15%, 10/6/2025 | | |
Union Electric Co. 5.45%, 3/15/2053 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
Virginia Electric and Power Co. |
Series C, 4.00%, 11/15/2046 | | |
| | |
| | |
Electrical Equipment — 0.4% |
Eaton Corp. 3.92%, 9/15/2047 | | |
|
| | |
| | |
Rockwell Automation, Inc. 2.80%, 8/15/2061 | | |
| | |
Electronic Equipment, Instruments & Components — 0.3% |
|
| | |
| | |
Keysight Technologies, Inc. 4.60%, 4/6/2027 | | |
Vontier Corp. 2.95%, 4/1/2031 | | |
| | |
Energy Equipment & Services — 0.1% |
Halliburton Co. 4.85%, 11/15/2035 | | |
Schlumberger Finance Canada Ltd. 1.40%, 9/17/2025 | | |
| | |
|
Take-Two Interactive Software, Inc. 4.00%, 4/14/2032 | | |
TWDC Enterprises 18 Corp. 7.00%, 3/1/2032 | | |
|
| | |
| | |
Warnermedia Holdings, Inc. 5.39%, 3/15/2062 | | |
| | |
Financial Services — 1.4% |
Berkshire Hathaway, Inc. 3.13%, 3/15/2026 | | |
Corebridge Financial, Inc. |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.88%, 12/15/2052 (b) | | |
|
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|
Financial Services — continued |
Fidelity National Information Services, Inc. |
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|
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|
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| | |
National Rural Utilities Cooperative Finance Corp. |
| | |
(3-MONTH SOFR + 3.63%), 5.25%, 4/20/2046 (b) | | |
ORIX Corp. (Japan) 5.20%, 9/13/2032 | | |
PayPal Holdings, Inc. 5.25%, 6/1/2062 | | |
Shell International Finance BV |
| | |
| | |
Visa, Inc. 0.75%, 8/15/2027 | | |
Voya Financial, Inc. (3-MONTH SOFR + 2.08%), 4.70%, 1/23/2048 (b) | | |
| | |
|
Archer-Daniels-Midland Co. 3.75%, 9/15/2047 | | |
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | | |
Conagra Brands, Inc. 5.40%, 11/1/2048 | | |
|
| | |
| | |
Kellanova 3.40%, 11/15/2027 | | |
Kraft Heinz Foods Co. 3.00%, 6/1/2026 | | |
Mondelez International, Inc. 1.88%, 10/15/2032 | | |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
|
| | |
| | |
| | |
CenterPoint Energy Resources Corp. 4.10%, 9/1/2047 | | |
National Fuel Gas Co. 3.95%, 9/15/2027 | | |
Piedmont Natural Gas Co., Inc. 5.05%, 5/15/2052 | | |
Southern California Gas Co. |
| | |
Series VV, 4.30%, 1/15/2049 | | |
|
| | |
| | |
Spire Missouri, Inc. 4.80%, 2/15/2033 | | |
|
Series K, 3.80%, 9/15/2046 | | |
| | |
| | |
Ground Transportation — 1.5% |
Burlington Northern Santa Fe LLC 4.45%, 1/15/2053 | | |
Canadian Pacific Railway Co. (Canada) |
| | |
| | |
| | |
|
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|
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| | |
Ryder System, Inc. 2.85%, 3/1/2027 | | |
|
| | |
| | |
| | |
| | |
| | |
Health Care Equipment & Supplies — 0.8% |
Abbott Laboratories 4.75%, 4/15/2043 | | |
| | |
|
Health Care Equipment & Supplies — continued |
Baxter International, Inc. |
| | |
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|
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|
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| | |
DENTSPLY SIRONA, Inc. 3.25%, 6/1/2030 | | |
DH Europe Finance II SARL 2.60%, 11/15/2029 | | |
Koninklijke Philips NV (Netherlands) 5.00%, 3/15/2042 | | |
|
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| | |
|
| | |
| | |
Zimmer Biomet Holdings, Inc. 2.60%, 11/24/2031 | | |
| | |
Health Care Providers & Services — 3.7% |
Aetna, Inc. 3.88%, 8/15/2047 | | |
|
| | |
| | |
Cardinal Health, Inc. 3.41%, 6/15/2027 | | |
|
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|
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| | |
| | |
| | |
CommonSpirit Health 6.07%, 11/1/2027 | | |
|
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Health Care Providers & Services — continued |
| | |
|
| | |
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| | |
|
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| | |
Humana, Inc. 4.80%, 3/15/2047 | | |
Mass General Brigham, Inc. Series 2020, 3.34%, 7/1/2060 | | |
Memorial Sloan-Kettering Cancer Center 5.00%, 7/1/2042 | | |
New York and Presbyterian Hospital (The) Series 2019, 3.95%, 8/1/2119 | | |
Novant Health, Inc. 2.64%, 11/1/2036 | | |
Providence St Joseph Health Obligated Group 5.40%, 10/1/2033 | | |
Providence St. Joseph Health Obligated Group Series A, 3.93%, 10/1/2048 | | |
Quest Diagnostics, Inc. 2.80%, 6/30/2031 | | |
SSM Health Care Corp. Series A, 3.82%, 6/1/2027 | | |
|
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|
Alexandria Real Estate Equities, Inc. 2.95%, 3/15/2034 | | |
Healthpeak OP LLC 2.88%, 1/15/2031 | | |
Sabra Health Care LP 3.90%, 10/15/2029 | | |
| | |
|
Health Care REITs — continued |
Ventas Realty LP 4.38%, 2/1/2045 | | |
Welltower OP LLC 4.95%, 9/1/2048 | | |
| | |
Hotels, Restaurants & Leisure — 0.6% |
Choice Hotels International, Inc. 3.70%, 1/15/2031 | | |
|
| | |
| | |
Hyatt Hotels Corp. 4.38%, 9/15/2028 | | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Household Durables — 0.9% |
DR Horton, Inc. 1.40%, 10/15/2027 | | |
Leggett & Platt, Inc. 3.50%, 11/15/2051 | | |
Lennar Corp. 4.75%, 11/29/2027 | | |
Mohawk Industries, Inc. 3.63%, 5/15/2030 | | |
|
| | |
| | |
| | |
| | |
Household Products — 0.6% |
|
| | |
| | |
|
| | |
| | |
Procter & Gamble Co. (The) |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Industrial Conglomerates — 0.5% |
| | |
Honeywell International, Inc. 5.70%, 3/15/2036 | | |
| | |
|
Prologis LP 3.00%, 4/15/2050 | | |
Rexford Industrial Realty LP 2.13%, 12/1/2030 | | |
| | |
|
ACE Capital Trust II 9.70%, 4/1/2030 | | |
Aflac, Inc. 3.60%, 4/1/2030 | | |
Alleghany Corp. 3.25%, 8/15/2051 | | |
|
| | |
(3-MONTH SOFR + 2.12%), 6.50%, 5/15/2057 (b) | | |
American International Group, Inc. 3.88%, 1/15/2035 | | |
Aon Corp. 4.50%, 12/15/2028 | | |
Arch Capital Group Ltd. 3.64%, 6/30/2050 | | |
Arch Capital Group US, Inc. 5.14%, 11/1/2043 | | |
Assured Guaranty US Holdings, Inc. 6.13%, 9/15/2028 | | |
Athene Holding Ltd. 3.45%, 5/15/2052 | | |
AXIS Specialty Finance LLC (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.19%), 4.90%, 1/15/2040 (b) | | |
Berkshire Hathaway Finance Corp. |
| | |
| | |
| | |
Brighthouse Financial, Inc. 3.85%, 12/22/2051 | | |
|
| | |
| | |
Cincinnati Financial Corp. 6.13%, 11/1/2034 | | |
CNO Financial Group, Inc. 6.45%, 6/15/2034 | | |
Enstar Finance LLC (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.01%), 5.50%, 1/15/2042 (b) | | |
Everest Reinsurance Holdings, Inc. 3.13%, 10/15/2052 | | |
Fairfax Financial Holdings Ltd. (Canada) 6.00%, 12/7/2033 (d) | | |
Hartford Financial Services Group, Inc. (The) 2.90%, 9/15/2051 | | |
| | |
|
|
Manulife Financial Corp. (Canada) (USD ICE Swap Rate 5 Year + 1.65%), 4.06%, 2/24/2032 (b) | | |
Markel Group, Inc. 3.35%, 9/17/2029 | | |
Marsh & McLennan Cos., Inc. 4.20%, 3/1/2048 | | |
|
| | |
| | |
| | |
Principal Financial Group, Inc. 3.70%, 5/15/2029 | | |
Progressive Corp. (The) 4.13%, 4/15/2047 | | |
Prudential Financial, Inc. |
| | |
| | |
Prudential Funding Asia plc (Hong Kong) 3.63%, 3/24/2032 | | |
Selective Insurance Group, Inc. 5.38%, 3/1/2049 | | |
Transatlantic Holdings, Inc. 8.00%, 11/30/2039 | | |
Travelers Cos., Inc. (The) |
| | |
| | |
Travelers Property Casualty Corp. 6.38%, 3/15/2033 | | |
W R Berkley Corp. 3.15%, 9/30/2061 | | |
Willis North America, Inc. 3.88%, 9/15/2049 | | |
WR Berkley Corp. 4.75%, 8/1/2044 | | |
| | |
Interactive Media & Services — 0.8% |
|
| | |
| | |
|
| | |
| | |
| | |
| | |
|
International Business Machines Corp. |
| | |
| | |
| | |
VeriSign, Inc. 2.70%, 6/15/2031 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
|
| | |
| | |
Hasbro, Inc. 3.90%, 11/19/2029 | | |
| | |
Life Sciences Tools & Services — 0.2% |
Agilent Technologies, Inc. 2.30%, 3/12/2031 | | |
Revvity, Inc. 2.25%, 9/15/2031 | | |
| | |
|
|
| | |
| | |
Cummins, Inc. 5.15%, 2/20/2034 | | |
|
| | |
| | |
Illinois Tool Works, Inc. 2.65%, 11/15/2026 | | |
Otis Worldwide Corp. 3.36%, 2/15/2050 | | |
Snap-on, Inc. 4.10%, 3/1/2048 | | |
| | |
|
Charter Communications Operating LLC |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Discovery Communications LLC |
| | |
| | |
| | |
| | |
Fox Corp. 5.58%, 1/25/2049 | | |
Grupo Televisa SAB (Mexico) 8.50%, 3/11/2032 | | |
| | |
|
|
|
| | |
| | |
| | |
| | |
Time Warner Cable LLC 5.88%, 11/15/2040 | | |
| | |
|
ArcelorMittal SA (Luxembourg) 6.75%, 3/1/2041 (a) | | |
BHP Billiton Finance USA Ltd. (Australia) |
| | |
| | |
| | |
| | |
Kinross Gold Corp. (Canada) 4.50%, 7/15/2027 | | |
Rio Tinto Finance USA Ltd. (Australia) 2.75%, 11/2/2051 | | |
Rio Tinto Finance USA plc (Australia) 5.13%, 3/9/2053 | | |
Southern Copper Corp. (Mexico) |
| | |
| | |
Vale Overseas Ltd. (Brazil) |
| | |
| | |
| | |
|
Ameren Corp. 3.50%, 1/15/2031 | | |
Berkshire Hathaway Energy Co. 6.13%, 4/1/2036 | | |
Black Hills Corp. 6.15%, 5/15/2034 | | |
CMS Energy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.12%), 4.75%, 6/1/2050 (b) | | |
Consolidated Edison Co. of New York, Inc. |
| | |
Series 20B, 3.95%, 4/1/2050 | | |
| | |
| | |
|
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Multi-Utilities — continued |
|
| | |
Series A, 1.45%, 4/15/2026 | | |
Series C, 2.25%, 8/15/2031 | | |
National Grid plc (United Kingdom) 5.81%, 6/12/2033 | | |
|
| | |
| | |
| | |
| | |
Public Service Enterprise Group, Inc. 2.45%, 11/15/2031 | | |
San Diego Gas & Electric Co. |
| | |
| | |
Southern Co. Gas Capital Corp. 4.40%, 5/30/2047 | | |
|
| | |
| | |
| | |
| | |
|
Boston Properties LP 2.75%, 10/1/2026 | | |
COPT Defense Properties LP 2.75%, 4/15/2031 | | |
Highwoods Realty LP 3.88%, 3/1/2027 | | |
|
| | |
| | |
| | |
Piedmont Operating Partnership LP |
| | |
| | |
| | |
Oil, Gas & Consumable Fuels — 6.7% |
Apache Corp. 4.25%, 1/15/2030 | | |
BP Capital Markets America, Inc. |
| | |
| | |
| | |
| | |
BP Capital Markets plc 3.28%, 9/19/2027 | | |
Burlington Resources LLC 7.40%, 12/1/2031 | | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
Canadian Natural Resources Ltd. (Canada) 6.50%, 2/15/2037 | | |
Cenovus Energy, Inc. (Canada) |
| | |
| | |
Cheniere Energy, Inc. 4.63%, 10/15/2028 | | |
Chevron Corp. 2.95%, 5/16/2026 | | |
|
| | |
| | |
|
| | |
| | |
|
| | |
| | |
|
| | |
| | |
| | |
Enbridge Energy Partners LP Series B, 7.50%, 4/15/2038 | | |
Enbridge, Inc. (Canada) 2.50%, 8/1/2033 | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Enterprise Products Operating LLC |
| | |
| | |
| | |
| | |
Series E, (3-MONTH CME TERM SOFR + 3.29%), 5.25%, 8/16/2077 (b) | | |
(3-MONTH CME TERM SOFR + 2.83%), 5.38%, 2/15/2078 (b) | | |
EQT Corp. 7.00%, 2/1/2030 (a) | | |
|
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
| | |
|
| | |
| | |
| | |
Kinder Morgan, Inc. 1.75%, 11/15/2026 | | |
|
| | |
| | |
|
| | |
| | |
| | |
| | |
Occidental Petroleum Corp. 4.40%, 4/15/2046 | | |
|
| | |
| | |
| | |
Phillips 66 4.88%, 11/15/2044 | | |
Plains All American Pipeline LP 6.65%, 1/15/2037 | | |
Sabine Pass Liquefaction LLC 4.20%, 3/15/2028 | | |
Suncor Energy, Inc. (Canada) |
| | |
| | |
|
| | |
| | |
Targa Resources Partners LP 4.88%, 2/1/2031 | | |
Tennessee Gas Pipeline Co. LLC 7.00%, 10/15/2028 | | |
TotalEnergies Capital International SA (France) |
| | |
| | |
TransCanada PipeLines Ltd. (Canada) |
| | |
| | |
| | |
| | |
| | |
Transcontinental Gas Pipe Line Co. LLC 4.60%, 3/15/2048 | | |
|
| | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
| | |
| | |
| | |
Western Midstream Operating LP |
| | |
| | |
| | |
Williams Cos., Inc. (The) |
| | |
| | |
| | |
| | |
Paper & Forest Products — 0.1% |
Suzano Austria GmbH (Brazil) 3.75%, 1/15/2031 | | |
Personal Care Products — 0.7% |
Estee Lauder Cos., Inc. (The) |
| | |
| | |
|
| | |
| | |
| | |
|
AstraZeneca plc (United Kingdom) |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
GlaxoSmithKline Capital, Inc. (United Kingdom) |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
Pharmaceuticals — continued |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
Merck Sharp & Dohme Corp. 5.95%, 12/1/2028 | | |
Novartis Capital Corp. (Switzerland) 3.00%, 11/20/2025 | | |
Pfizer Investment Enterprises Pte. Ltd. 5.34%, 5/19/2063 | | |
|
| | |
| | |
|
| | |
| | |
| | |
Viatris, Inc. 2.30%, 6/22/2027 | | |
|
| | |
| | |
Zoetis, Inc. 3.00%, 9/12/2027 | | |
| | |
Professional Services — 0.4% |
Concentrix Corp. 6.85%, 8/2/2033 | | |
Equifax, Inc. 2.35%, 9/15/2031 | | |
Jacobs Engineering Group, Inc. 5.90%, 3/1/2033 | | |
| | |
|
American Homes 4 Rent LP 3.38%, 7/15/2051 | | |
Camden Property Trust 2.80%, 5/15/2030 | | |
Essex Portfolio LP 3.63%, 5/1/2027 | | |
|
| | |
| | |
| | |
| | |
|
|
Brixmor Operating Partnership LP 4.05%, 7/1/2030 | | |
Kimco Realty OP LLC 2.25%, 12/1/2031 | | |
NNN REIT, Inc. 3.00%, 4/15/2052 | | |
|
| | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 2.3% |
Analog Devices, Inc. 3.50%, 12/5/2026 | | |
Broadcom Corp. 3.88%, 1/15/2027 | | |
|
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
KLA Corp. 4.10%, 3/15/2029 | | |
Micron Technology, Inc. 5.88%, 9/15/2033 | | |
NVIDIA Corp. 2.00%, 6/15/2031 | | |
|
| | |
| | |
|
| | |
| | |
|
| | |
| | |
| | |
|
Adobe, Inc. 2.15%, 2/1/2027 | | |
Intuit, Inc. 1.35%, 7/15/2027 | | |
|
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Roper Technologies, Inc. 1.40%, 9/15/2027 | | |
|
| | |
| | |
| | |
|
American Tower Corp. 2.10%, 6/15/2030 | | |
|
| | |
| | |
| | |
| | |
EPR Properties 4.50%, 6/1/2027 | | |
|
| | |
| | |
Extra Space Storage LP 3.88%, 12/15/2027 | | |
Public Storage Operating Co. |
| | |
| | |
Weyerhaeuser Co. 4.00%, 3/9/2052 | | |
| | |
|
|
| | |
| | |
| | |
| | |
|
| | |
| | |
|
Specialty Retail — continued |
| | |
| | |
| | |
O'Reilly Automotive, Inc. |
| | |
| | |
| | |
| | |
Ross Stores, Inc. 0.88%, 4/15/2026 | | |
| | |
Technology Hardware, Storage & Peripherals — 1.6% |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
HP, Inc. 4.00%, 4/15/2029 | | |
| | |
Textiles, Apparel & Luxury Goods — 0.2% |
|
| | |
| | |
| | |
Tapestry, Inc. 7.85%, 11/27/2033 | | |
| | |
|
|
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
BAT Capital Corp. (United Kingdom) |
| | |
| | |
| | |
| | |
Philip Morris International, Inc. |
| | |
| | |
| | |
| | |
| | |
| | |
Trading Companies & Distributors — 0.3% |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
American Water Capital Corp. |
| | |
| | |
| | |
| | |
| | |
Essential Utilities, Inc. |
| | |
| | |
| | |
Wireless Telecommunication Services — 1.3% |
Rogers Communications, Inc. (Canada) 5.45%, 10/1/2043 | | |
|
| | |
| | |
| | |
| | |
|
Wireless Telecommunication Services — continued |
Vodafone Group plc (United Kingdom) |
| | |
| | |
| | |
Total Corporate Bonds
(Cost $45,434,564) | | |
| | |
Short-Term Investments — 0.3% |
Investment Companies — 0.3% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (f) (g)
(Cost $146,711) | | |
Total Investments — 98.6%
(Cost $45,581,275) | | |
Other Assets Less Liabilities — 1.4% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Chicago Mercantile Exchange |
| Intercontinental Exchange |
| |
| Real Estate Investment Trust |
| Secured Overnight Financing Rate |
| Compounding index of the Secured Overnight Financing Rate |
| |
| Amount rounds to less than 0.1% of net assets. |
| 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 August 31, 2024. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2024. | |
| 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 August 31, 2024 is $191,452 or 0.41% of the Fund’s net assets as of August 31, 2024. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| 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 August 31, 2024. | |
| 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. | |
| The rate shown is the current yield as of August 31, 2024. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan USD Emerging Markets Sovereign Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
Foreign Government Securities — 85.3% |
|
| | |
| | |
| | |
| | |
|
CBB International Sukuk Co. 7 SPC 6.88%, 10/5/2025 (a) | | |
CBB International Sukuk Programme Co. SPC | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Federative Republic of Brazil | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
|
Export-Import Bank of China (The) 2.88%, 4/26/2026 (a) | | |
People's Republic of China | | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Dominican Republic — 4.5% |
Dominican Republic Government Bond | | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Foreign Government Securities — continued |
Dominican Republic—continued |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Egyptian Financial Co. for Sovereign Taskeek (The) 10.88%, 2/28/2026 (a) | | |
| | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Magyar Export-Import Bank Zrt. 6.13%, 12/4/2027 (a) | | |
| | |
|
Export-Import Bank of India | | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
|
Perusahaan Penerbit SBSN Indonesia III | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Republic of Iraq 5.80%, 1/15/2028 (a) | | |
|
Republic of Cote d'Ivoire | | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan USD Emerging Markets Sovereign Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Foreign Government Securities — continued |
|
Hashemite Kingdom of Jordan | | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
State of Kuwait 3.50%, 3/20/2027 (a) | | |
|
Malaysia Sukuk Global Bhd. 3.18%, 4/27/2026 (a) | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
Federal Republic of Nigeria | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Oman Sovereign Sukuk SAOC | | |
| | |
| | |
Sultanate of Oman Government Bond | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Islamic Republic of Pakistan | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Foreign Government Securities — continued |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan USD Emerging Markets Sovereign Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Foreign Government Securities — continued |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Trinidad And Tobago — 0.3% |
Republic of Trinidad and Tobago 4.50%, 8/4/2026 (a) | | |
|
Hazine Mustesarligi Varlik Kiralama A/S | | |
| | |
| | |
| | |
Republic of Turkiye (The) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
United Arab Emirates — 2.4% |
Finance Department Government of Sharjah 6.13%, 3/6/2036 (a) | | |
Sharjah Sukuk Program Ltd. | | |
| | |
| | |
United Arab Emirates Government Bond | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Foreign Government Securities — continued |
United Arab Emirates—continued |
| | |
| | |
| | |
| | |
|
Oriental Republic of Uruguay | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Total Foreign Government Securities
(Cost $527,580,363) | | |
|
|
Southern Gas Corridor CJSC 6.88%, 3/24/2026 (a) | | |
|
Bapco Energies BSC Closed 7.50%, 10/25/2027 (a) | | |
|
Corp. Nacional del Cobre de Chile | | |
| | |
| | |
| | |
| | |
| | |
Empresa de Transporte de Pasajeros Metro SA 4.70%, 5/7/2050 (a) | | |
| | |
|
China Development Bank 1.00%, 10/27/2025 (a) | | |
CNAC HK Finbridge Co. Ltd. 4.13%, 7/19/2027 (a) | | |
Sinopec Group Overseas Development 2012 Ltd. 4.88%, 5/17/2042 (a) | | |
Sinopec Group Overseas Development 2018 Ltd. | | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
SPIC MTN Co. Ltd. 1.63%, 7/27/2025 (a) | | |
State Grid Overseas Investment BVI Ltd. | | |
| | |
| | |
| | |
|
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) (d) | | |
|
MFB Magyar Fejlesztesi Bank Zrt. 6.50%, 6/29/2028 (a) | | |
|
Indonesia Asahan Aluminium PT 4.75%, 5/15/2025 (a) | | |
| | |
| | |
| | |
| | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
|
Banco Nacional de Comercio Exterior SNC 4.38%, 10/14/2025 (a) | | |
Mexico City Airport Trust 5.50%, 7/31/2047 (a) | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan USD Emerging Markets Sovereign Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Corporate Bonds — continued |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
EDO Sukuk Ltd. 5.88%, 9/21/2033 (b) | | |
|
Aeropuerto Internacional de Tocumen SA 5.13%, 8/11/2061 (a) (c) | | |
Banco Nacional de Panama 2.50%, 8/11/2030 (a) | | |
| | |
|
Petroleos del Peru SA 5.63%, 6/19/2047 (a) | | |
|
Bank Gospodarstwa Krajowego | | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
Gaci First Investment Co. | | |
| | |
| | |
| | |
| | |
| | |
|
|
| | |
Suci Second Investment Co. 6.25%, 10/25/2033 (a) | | |
| | |
|
Eskom Holdings SOC Ltd. 6.35%, 8/10/2028 (a) | | |
Transnet SOC Ltd. 8.25%, 2/6/2028 (a) | | |
| | |
United Arab Emirates — 1.1% |
Abu Dhabi Crude Oil Pipeline LLC 4.60%, 11/2/2047 (a) | | |
Abu Dhabi Developmental Holding Co. PJSC 5.50%, 5/8/2034 (a) | | |
DP World Ltd. 6.85%, 7/2/2037 (a) | | |
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) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Total Corporate Bonds
(Cost $77,993,004) | | |
| | |
Short-Term Investments — 1.1% |
Investment Companies — 0.5% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (g) (h)(Cost $3,138,429) | | |
Investment of Cash Collateral from Securities Loaned — 0.6% |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.34% (g) (h) | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (g) (h) | | |
Total Investment of Cash Collateral from Securities Loaned
(Cost $3,800,728) | | |
Total Short-Term Investments
(Cost $6,939,157) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Total Investments — 99.1%
(Cost $612,512,524) | | |
Other Assets Less Liabilities — 0.9% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Closed Joint Stock Company |
| |
| |
| Public Joint Stock Company |
| Limited liability company |
| |
| 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. |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| The security or a portion of this security is on loan at August 31, 2024. The total value of securities on loan at August 31, 2024 is $3,686,417. |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2024. |
| Security is an interest bearing note with preferred security characteristics. |
| 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 August 31, 2024. |
| 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. |
| The rate shown is the current yield as of August 31, 2024. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF ASSETS AND LIABILITIESAS OF August 31, 2024 (Unaudited)
| 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 |
| | | |
Investments in non-affiliates, at value | | | |
Investments in affiliates, at value | | | |
Investments of cash collateral received from securities loaned, at value (See Note 2.D.) | | | |
| | | |
Foreign currency, at value | | | |
| | | |
Investment securities sold | | | |
Investment securities sold — delayed delivery securities | | | |
| | | |
Interest from non-affiliates | | | |
Dividends from affiliates | | | |
Securities lending income (See Note 2.D.) | | | |
| | | |
| | | |
| | | |
| | | |
Investment securities purchased | | | |
Investment securities purchased — delayed delivery securities | | | |
Collateral received on securities loaned (See Note 2.D.) | | | |
| | | |
Management fees (See Note 3.A.) | | | |
| | | |
| | | |
| | | |
| | | |
Total distributable earnings (loss) | | | |
| | | |
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001) | | | |
Net asset value, per share | | | |
Cost of investments in non-affiliates | | | |
Cost of investments in affiliates | | | |
| | | |
Investment securities on loan, at value (See Note 2.D.) | | | |
Cost of investment of cash collateral (See Note 2.D.) | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| 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 |
| | | |
Investments in non-affiliates, at value | | | |
Investments in affiliates, at value | | | |
| | | |
| | | |
Investment securities sold | | | |
Interest from non-affiliates | | | |
Dividends from affiliates | | | |
| | | |
| | | |
| | | |
Investment securities purchased | | | |
| | | |
Management fees (See Note 3.A.) | | | |
| | | |
| | | |
| | | |
| | | |
Total distributable earnings (loss) | | | |
| | | |
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001) | | | |
Net asset value, per share | | | |
Cost of investments in non-affiliates | | | |
Cost of investments in affiliates | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF ASSETS AND LIABILITIESAS OF August 31, 2024 (Unaudited) (continued)
| JPMorgan
BetaBuilders
USD High
Yield Corporate
Bond ETF | JPMorgan
BetaBuilders
USD Investment
Grade Corporate
Bond ETF | JPMorgan USD
Emerging
Markets
Sovereign
Bond ETF |
| | | |
Investments in non-affiliates, at value | | | |
Investments in affiliates, at value | | | |
Investments of cash collateral received from securities loaned, at value (See Note 2.D.) | | | |
| | | |
Foreign currency, at value | | | |
Segregated cash balance with Authorized Participant for deposit securities | | | |
| | | |
Investment securities sold | | | |
| | | |
Interest from non-affiliates | | | |
Dividends from affiliates | | | |
Securities lending income (See Note 2.D.) | | | |
| | | |
| | | |
| | | |
| | | |
Investment securities purchased | | | |
Collateral received on securities loaned (See Note 2.D.) | | | |
Collateral upon return of deposit securities | | | |
| | | |
Management fees (See Note 3.A.) | | | |
| | | |
| | | |
| | | |
| | | |
Total distributable earnings (loss) | | | |
| | | |
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001) | | | |
Net asset value, per share | | | |
Cost of investments in non-affiliates | | | |
Cost of investments in affiliates | | | |
| | | |
Investment securities on loan, at value (See Note 2.D.) | | | |
Cost of investment of cash collateral (See Note 2.D.) | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF OPERATIONSFOR THE SIX MONTHS ENDED August 31, 2024 (Unaudited)
| 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 |
| | | |
Interest income from non-affiliates | | | |
Interest income from affiliates | | | |
Dividend income from affiliates | | | |
Income from securities lending (net) (See Note 2.D.) | | | |
| | | |
| | | |
Management fees (See Note 3.A.) | | | |
Interest expense to affiliates | | | |
| | | |
Net investment income (loss) | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | |
Net realized gain (loss) on transactions from: | | | |
Investments in non-affiliates | | | |
Investments in affiliates | | | |
In-kind redemptions of investments in non-affiliates (See Note 4) | | | |
Foreign currency transactions | | | |
| | | |
Change in net unrealized appreciation/depreciation on: | | | |
Investments in non-affiliates | | | |
Investments in affiliates | | | |
Foreign currency translations | | | |
Change in net unrealized appreciation/depreciation | | | |
Net realized/unrealized gains (losses) | | | |
Change in net assets resulting from operations | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF OPERATIONSFOR THE SIX MONTHS ENDED August 31, 2024 (Unaudited) (continued)
| 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 |
| | | |
Interest income from non-affiliates | | | |
Dividend income from affiliates | | | |
| | | |
| | | |
Management fees (See Note 3.A.) | | | |
| | | |
Net investment income (loss) | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | |
Net realized gain (loss) on transactions from: | | | |
Investments in non-affiliates | | | |
Investments in affiliates | | | |
In-kind redemptions of investments in non-affiliates (See Note 4) | | | |
| | | |
Change in net unrealized appreciation/depreciation on: | | | |
Investments in non-affiliates | | | |
Investments in affiliates | | | |
Change in net unrealized appreciation/depreciation | | | |
Net realized/unrealized gains (losses) | | | |
Change in net assets resulting from operations | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan
BetaBuilders
USD High
Yield Corporate
Bond ETF | JPMorgan
BetaBuilders
USD Investment
Grade Corporate
Bond ETF | JPMorgan USD
Emerging
Markets
Sovereign
Bond ETF |
| | | |
Interest income from non-affiliates | | | |
Interest income from affiliates | | | |
Dividend income from affiliates | | | |
Income from securities lending (net) (See Note 2.D.) | | | |
| | | |
| | | |
Management fees (See Note 3.A.) | | | |
Interest expense to affiliates | | | |
| | | |
Net investment income (loss) | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | |
Net realized gain (loss) on transactions from: | | | |
Investments in non-affiliates | | | |
In-kind redemptions of investments in non-affiliates (See Note 4) | | | |
Foreign currency transactions | | | |
| | | |
Change in net unrealized appreciation/depreciation on: | | | |
Investments in non-affiliates | | | |
Investments in affiliates | | | |
Foreign currency translations | | | |
Change in net unrealized appreciation/depreciation | | | |
Net realized/unrealized gains (losses) | | | |
Change in net assets resulting from operations | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETSFOR THE PERIODS INDICATED
| JPMorgan BetaBuilders 1-5 Year U.S.
Aggregate Bond ETF | JPMorgan BetaBuilders U.S.
Aggregate Bond ETF |
| Six Months Ended
August 31, 2024
(Unaudited) | Year Ended
February 29, 2024 | Six Months Ended
August 31, 2024
(Unaudited) | Year Ended
February 29, 2024 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
Net increase (decrease) in shares from share transactions | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan
BetaBuilders U.S.
TIPS 0-5 Year ETF | JPMorgan
BetaBuilders U.S.
Treasury Bond 1-3 Year ETF |
| Six Months Ended
August 31, 2024
(Unaudited) | Period Ended
February 29, 2024 (a) | Six Months Ended
August 31, 2024
(Unaudited) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
From net investment income | | | | |
| | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
Net increase (decrease) in shares from share transactions | | | | |
(a)
Commencement of operations was May 10, 2023.
(b)
Commencement of operations was April 19, 2023.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETSFOR THE PERIODS INDICATED (continued)
| JPMorgan
BetaBuilders U.S.
Treasury Bond 20+ Year ETF | JPMorgan
BetaBuilders U.S.
Treasury Bond 3-10 Year ETF |
| Six Months Ended
August 31, 2024
(Unaudited) | Period Ended
February 29, 2024 (a) | Six Months Ended
August 31, 2024
(Unaudited) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
Net increase (decrease) in shares from share transactions | | | | |
(a)
Commencement of operations was April 19, 2023.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan BetaBuilders USD High
Yield Corporate Bond ETF | JPMorgan BetaBuilders USD Investment
Grade Corporate Bond ETF |
| Six Months Ended
August 31, 2024
(Unaudited) | Year Ended
February 29, 2024 | Six Months Ended
August 31, 2024
(Unaudited) | Year Ended
February 29, 2024 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
Net increase (decrease) in shares from share transactions | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETSFOR THE PERIODS INDICATED (continued)
| JPMorgan
USD Emerging Markets
Sovereign Bond ETF |
| Six Months Ended
August 31, 2024
(Unaudited) | Year Ended
February 29, 2024 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | |
Net investment income (loss) | | |
| | |
Change in net unrealized appreciation/depreciation | | |
Change in net assets resulting from operations | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | |
Total distributions to shareholders | | |
| | |
Change in net assets resulting from capital transactions | | |
| | |
| | |
| | |
| | |
| | |
Proceeds from shares issued | | |
| | |
Total change in net assets resulting from capital transactions | | |
| | |
| | |
| | |
Net increase (decrease) in shares from share transactions | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
THIS PAGE IS INTENTIONALLY LEFT BLANK
FINANCIAL HIGHLIGHTSFOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net investment
income
(loss) (b) | Net realized
and unrealized
gains
(losses)
on investments | Total from
investment
operations | | | | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | | |
Year Ended February 29, 2024 | | | | | | | | |
Year Ended February 28, 2023 | | | | | | | | |
Year Ended February 28, 2022 (f) | | | | | | | | |
Year Ended February 28, 2021 (f) | | | | | | | | |
March 12, 2019 (g)
through February 29, 2020 (f) | | | | | | | | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF | | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | | |
Year Ended February 29, 2024 | | | | | | | | |
Year Ended February 28, 2023 | | | | | | | | |
Year Ended February 28, 2022 (f) | | | | | | | | |
Year Ended February 28, 2021 (f) | | | | | | | | |
Year Ended February 29, 2020 (f) | | | | | | | | |
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF | | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | | |
May 10, 2023 (g) through February 29, 2024 | | | | | | | | |
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF | | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | | |
April 19, 2023 (g) through February 29, 2024 | | | | | | | | |
JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF | | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | | |
April 19, 2023 (g) through February 29, 2024 | | | | | | | | |
JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF | | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | | |
April 19, 2023 (g) through February 29, 2024 | | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Prior to December 9, 2019, the 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 the 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 the 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. |
| Per share amounts reflects a 1:2 reverse stock split that occurred on April 12, 2021. |
| Commencement of operations. |
| 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. |
| 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| | | | | Ratios to average net assets (a) | |
Net asset
value,
end of
period | | | Market
price
total
return (c)(e) | | | Net
investment
income
(loss) | Expenses
without waivers
and reimbursements | Portfolio
turnover
rate (c) |
| | | | | | | | |
| | | | | | | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
FINANCIAL HIGHLIGHTSFOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net investment
income
(loss) (b) | Net realized
and unrealized
gains
(losses)
on investments | Total from
investment
operations | | | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | |
Year Ended February 29, 2024 | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | |
Year Ended February 29, 2024 | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
JPMorgan USD Emerging Markets Sovereign Bond ETF | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | |
Year Ended February 29, 2024 | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| Prior to December 9, 2019, the 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 the 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 the 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. |
| 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. |
| 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| | | | | Ratios to average net assets (a) | |
Net asset
value,
end of
period | | | Market
price
total
return (c)(e) | | | Net
investment
income
(loss) | Expenses
without waivers
and reimbursements | Portfolio
turnover
rate (c) |
| | | | | | | | |
| | | | | | | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited)
1. Organization
J.P. Morgan Exchange-Traded Fund Trust (the “Trust”) was formed on February 25, 2010, and is governed by a Declaration of Trust as amended and restated February 19, 2014, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 9 separate funds of the Trust (each, a "Fund" and collectively, the "Funds") covered by this report:
| Diversification Classification |
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 | |
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 | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF | |
JPMorgan USD Emerging Markets Sovereign Bond ETF | |
The investment objective of JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF (“BetaBuilders 1-5 Year U.S. Aggregate Bond ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the Bloomberg Short-Term U.S. Aggregate Bond Index.
The investment objective of JPMorgan BetaBuilders U.S. Aggregate Bond ETF (“BetaBuilders U.S. Aggregate Bond ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the Bloomberg U.S. Aggregate Index.
The investment objective of JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF (“BetaBuilders U.S. TIPS 0-5 Year ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the ICE 0-5 Year U.S. Inflation-Linked Treasury Index.
The investment objective of JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF (“BetaBuilders U.S. Treasury Bond 1-3 Year ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the ICE U.S. Treasury 1-3 Year Bond Index.
The investment objective of JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF (“BetaBuilders U.S. Treasury Bond 20+ Year ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the ICE U.S. Treasury 20+ Year Bond Index.
The investment objective of JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF (“BetaBuilders U.S. Treasury Bond 3-10 Year ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the ICE U.S. Treasury 3-10 Year Bond Index.
The investment objective of JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (“BetaBuilders USD High Yield Corporate Bond ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the ICE BofA US High Yield Total Return Index.
The investment objective of JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (“BetaBuilders USD Investment Grade Corporate Bond ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the Bloomberg U.S. Corporate Bond Index.
The investment objective of JPMorgan USD Emerging Markets Sovereign Bond ETF (“USD Emerging Markets Sovereign Bond ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the JPMorgan Emerging Markets Risk-Aware Bond Index.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as adviser (the “Adviser”) and administrator (the “Administrator”) to the Funds.
| J.P. Morgan Exchange-Traded Funds | |
Shares of each Fund are listed and traded at market price on an exchange as follows:
| |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | |
BetaBuilders U.S. Aggregate Bond ETF | |
BetaBuilders U.S. TIPS 0-5 Year ETF | |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | |
BetaBuilders USD High Yield Corporate Bond ETF | |
BetaBuilders USD Investment Grade Corporate Bond ETF | |
USD Emerging Markets Sovereign Bond ETF | |
Market prices for the Funds’ shares may be different from their net asset value (“NAV”).
The Funds issue and redeem their shares on a continuous basis, through JPMorgan Distribution Services, Inc. (the “Distributor” or “JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, at NAV in large blocks of shares, referred to as “Creation Units”. Creation Units are issued and redeemed in exchange for a basket of securities and/or cash. Shares are generally traded in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Only individuals or institutions that have entered into an authorized participant agreement with the Distributor may do business directly with the Funds (each, an “Authorized Participant”).
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments— Investments are valued in accordance with GAAP and the Funds' valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the "Board"), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
Under Section 2(a)(41) of the 1940 Act, the Board is required to determine fair value for securities that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Funds on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of investments held in the Funds. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
A market-based approach is primarily used to value the Funds' investments. Investments for which market quotations are not readily available are fair valued using prices supplied by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the NAVs of the Funds are calculated on a valuation date.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds' investments are summarized into the three broad levels listed below.
•
Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.
•
Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.
•
Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds' assumptions in determining the fair value of investments).
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments ("SOIs"):
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
Foreign Government Securities | | | | |
Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
U.S. Government Agency Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
BetaBuilders U.S. Aggregate Bond ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
Foreign Government Securities | | | | |
Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
U.S. Government Agency Securities | | | | |
U.S. Treasury Obligations | | | | |
| J.P. Morgan Exchange-Traded Funds | |
BetaBuilders U.S. Aggregate Bond ETF (continued) | | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
| | | | |
Investment of Cash Collateral from Securities Loaned | | | | |
Total Short-Term Investments | | | | |
Total Investments in Securities | | | | |
BetaBuilders U.S. TIPS 0-5 Year ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
BetaBuilders USD High Yield Corporate Bond ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
BetaBuilders USD Investment Grade Corporate Bond ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
USD Emerging Markets Sovereign Bond ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Foreign Government Securities | | | | |
| | | | |
| | | | |
Investment of Cash Collateral from Securities Loaned | | | | |
Total Short-Term Investments | | | | |
Total Investments in Securities | | | | |
B. Restricted Securities— Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of August 31, 2024, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
| J.P. Morgan Exchange-Traded Funds | |
C. When-Issued Securities, Delayed Delivery Securities and Forward Commitments— BetaBuilders 1-5 Year U.S. Aggregate Bond ETF and BetaBuilders U.S. Aggregate Bond ETF purchased when-issued securities, including To-Be-Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.
The Funds may be required to post or receive collateral for delayed delivery securities in the form of cash or securities under a Master Securities Forward Transaction Agreement with the counterparties (each, an “MSFTA”). The collateral requirements are generally calculated by netting the mark-to-market amount for a Fund's transactions under the MSFTA and comparing that amount to the value of the collateral pledged by a fund and the counterparty. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by a Fund is held in a segregated account at the Fund's custodian bank and is included on the Statements of Assets and Liabilities as Restricted Cash. Collateral received by the Funds is held in a separate segregated account maintained by JPMorgan Chase Bank, N.A.("JPMCB"). These amounts are not reflected on the Funds' Statements of Assets and Liabilities and are disclosed in the table below.
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF and BetaBuilders U.S. Aggregate Bond ETF had when-issued securities, delayed delivery securities or forward commitments outstanding as of August 31, 2024, which are shown as a Receivable for Investment securities sold — delayed delivery securities and/or a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statements of Assets and Liabilities. The values of these securities held at August 31, 2024 are detailed on the SOIs, if any.
The Funds' delayed delivery securities collateral requirements and collateral posted or received by counterparty as of August 31, 2024 are as follows:
| | | |
BetaBuilders U.S. Aggregate Bond ETF | | | |
D. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of August 31, 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 | | | |
USD Emerging Markets Sovereign Bond ETF | | | |
|
| Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived management fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.13% to 0.06%. For the six months ended August 31, 2024, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
BetaBuilders U.S. Aggregate Bond ETF | |
USD Emerging Markets Sovereign Bond ETF | |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF, BetaBuilders U.S. TIPS 0-5 Year ETF, BetaBuilders U.S. Treasury Bond 1-3 Year ETF, BetaBuilders U.S. Treasury Bond 20+ Year ETF, BetaBuilders U.S. Treasury Bond 3-10 Year ETF, BetaBuilders USD High Yield Corporate Bond ETF and BetaBuilders USD Investment Grade Corporate Bond ETF did not lend out any securities during the six months ended August 31, 2024.
E. Investment Transactions with Affiliates— The Funds invested in Underlying Funds advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. The Underlying Funds’ distributions may be reinvested into such Underlying Funds Reinvestment amounts are included in the purchases at cost amounts in the tables below.
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF |
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
BetaBuilders U.S. Aggregate Bond ETF |
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.34% (a) (b) | | | | | | | | | |
| J.P. Morgan Exchange-Traded Funds | |
BetaBuilders U.S. Aggregate Bond ETF (continued) |
For the six months ended August 31, 2024 |
| | | | | Change in Unrealized Appreciation/ (Depreciation) | | | | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
| Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
BetaBuilders U.S. TIPS 0-5 Year ETF |
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF |
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
BetaBuilders U.S. Treasury Bond 20+ Year ETF |
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF |
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
BetaBuilders USD High Yield Corporate Bond ETF |
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
BetaBuilders USD Investment Grade Corporate Bond ETF |
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
| J.P. Morgan Exchange-Traded Funds | |
USD Emerging Markets Sovereign Bond ETF |
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.34% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.22% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
| Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
F. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund's books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
G. Security Transactions and Investment Income— Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts.
Dividend income, net of foreign taxes withheld, if any, and distributions of net investment income and realized capital gains from the Underlying Funds, if any, are recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
H. Federal Income Taxes— Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds' tax positions for all open tax years and has determined that as of August 31, 2024, no liability for Federal income tax is required in the Funds' financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund's Federal tax returns for the prior three fiscal years, or since inception if shorter, remain subject to examination by the Internal Revenue Service.
I. Foreign Taxes—The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. When a capital gains tax is determined to apply, the Funds record an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
J. Distributions to Shareholders— Distributions from net investment income, if any, are generally declared and paid at least monthly. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
3. Fees and Other Transactions with Affiliates
A. Management Fee—JPMIM manages the investments of each Fund pursuant to a Management Agreement. For such services, JPMIM is paid a fee which is accrued daily and paid no more frequently than monthly based on each Fund's respective average daily net assets at the following rate:
| |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | |
BetaBuilders U.S. Aggregate Bond ETF | |
BetaBuilders U.S. TIPS 0-5 Year ETF | |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | |
BetaBuilders USD High Yield Corporate Bond ETF | |
BetaBuilders USD Investment Grade Corporate Bond ETF | |
USD Emerging Markets Sovereign Bond ETF | |
Under each Management Agreement, JPMIM is responsible for substantially all expenses of each Fund, (including expenses of the Trust relating to each Fund), except for the management fees, payments under the Funds' 12b-1 plan (if any), interest expenses, dividend and interest expenses related to short sales, taxes, acquired fund fees and expenses (other than fees for funds advised by the Adviser and/or its affiliates), costs of holding shareholder meetings, and litigation and potential litigation and other extraordinary expenses not incurred in the ordinary course of each Fund’s business. Additionally, each Fund is responsible for its non-operating expenses, including brokerage commissions and fees and expenses associated with each Fund’s securities lending program, if applicable. For the avoidance of doubt, the Adviser’s payment of such expenses may be accomplished through a Fund’s payment of such expenses and a corresponding reduction in the fee payable to the Adviser, provided, however, that if the amount of expenses paid by a Fund exceeds the fee payable to the Adviser, the Adviser will reimburse that Fund for such amount.
B. Administration Fee— JPMIM provides administration services to the Funds. Pursuant to each Management Agreement, JPMIM is compensated as described in Note 3.A.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds' sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the management fees payable to JPMIM.
C. Custodian, Accounting and Transfer Agent Fees— JPMCB provides custody, accounting and transfer agency services to the Funds. For performing these services, JPMIM pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses.
Additionally, Authorized Participants generally pay transaction fees associated with the creation and redemption of Fund shares. These fees are paid to JPMIM to offset certain custodian charges that are covered by each Management Agreement.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
| J.P. Morgan Exchange-Traded Funds | |
D. Distribution Services— The Distributor or its agent distributes Creation Units for each Fund on an agency basis. The Distributor does not maintain a secondary market in shares of each Fund. JPMDS receives no fees for their distribution services under the distribution agreement with the Trust (the “Distribution Agreement”). Although the Trust does not pay any fees under the Distribution Agreement, JPMIM pays JPMDS for certain distribution related services.
E. Waivers and Reimbursements— The Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The fees for the affiliated money market funds, except for investments of securities lending cash collateral, are covered under each Management Agreement as described in Note 3.A.
F. Other— Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers receive no compensation from the Funds for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. The fees associated with the office of the Chief Compliance Officer are paid for by JPMIM as described in Note 3.A.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the six months ended August 31, 2024, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) | Purchases
of U.S.
Government | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | | |
BetaBuilders U.S. Aggregate Bond ETF | | | | |
BetaBuilders U.S. TIPS 0-5 Year ETF | | | | |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | | | | |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | | | | |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | | | | |
BetaBuilders USD High Yield Corporate Bond ETF | | | | |
BetaBuilders USD Investment Grade Corporate Bond ETF | | | | |
USD Emerging Markets Sovereign Bond ETF | | | | |
For the six months ended August 31, 2024, in-kind transactions associated with creations and redemptions were as follows:
| | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | |
BetaBuilders U.S. Aggregate Bond ETF | | |
BetaBuilders U.S. TIPS 0-5 Year ETF | | |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | | |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | | |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | | |
BetaBuilders USD High Yield Corporate Bond ETF | | |
BetaBuilders USD Investment Grade Corporate Bond ETF | | |
USD Emerging Markets Sovereign Bond ETF | | |
During the six months ended August 31, 2024, the Funds delivered portfolio securities for the redemption of Fund shares (in-kind redemptions). Cash and portfolio securities were transferred for redemptions at fair value. For financial reporting purposes, the Funds recorded net realized gains and losses in connection with each in-kind redemption transaction.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at August 31, 2024 were as follows:
| | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | | |
BetaBuilders U.S. Aggregate Bond ETF | | | | |
BetaBuilders U.S. TIPS 0-5 Year ETF | | | | |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | | | | |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | | | | |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | | | | |
BetaBuilders USD High Yield Corporate Bond ETF | | | | |
BetaBuilders USD Investment Grade Corporate Bond ETF | | | | |
USD Emerging Markets Sovereign Bond ETF | | | | |
At February 29, 2024, the following Funds had net capital loss carryforwards, which are available to offset future realized gains:
| Capital Loss Carryforward Character |
| | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | |
BetaBuilders U.S. Aggregate Bond ETF | | |
BetaBuilders U.S. TIPS 0-5 Year ETF | | |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | | |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | | |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | | |
BetaBuilders USD High Yield Corporate Bond ETF | | |
BetaBuilders USD Investment Grade Corporate Bond ETF | | |
USD Emerging Markets Sovereign Bond ETF | | |
|
| Amount includes capital loss carryforwards which are limited in future years under Internal Revenue Code sections 381-384. |
Net capital losses (gains) and specified ordinary losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds' next taxable year. For the year ended February 29, 2024, the following Funds deferred to March 1, 2024 the following net capital losses (gains) and/or specified ordinary losses of:
| Net Capital Losses (Gains) | |
| | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | |
BetaBuilders U.S. Aggregate Bond ETF | | | |
BetaBuilders U.S. TIPS 0-5 Year ETF | | | |
BetaBuilders U.S. Treasury Bond 1-3 Year ETF | | | |
BetaBuilders U.S. Treasury Bond 20+ Year ETF | | | |
BetaBuilders U.S. Treasury Bond 3-10 Year ETF | | | |
BetaBuilders USD High Yield Corporate Bond ETF | | | |
BetaBuilders USD Investment Grade Corporate Bond ETF | | | |
USD Emerging Markets Sovereign Bond ETF | | | |
| J.P. Morgan Exchange-Traded Funds | |
During the year ended February 29, 2024, the following Fund utilized capital loss carryforwards as follows:
| |
| |
BetaBuilders USD High Yield Corporate Bond ETF | |
6. Capital Share Transactions
The Trust issues and redeems shares of the Funds only in Creation Units through the Distributor at NAV. Capital shares transactions detail can be found in the Statements of Changes in Net Assets.
Shares of the Funds may only be purchased or redeemed by Authorized Participants. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Funds' shares outstanding and act as executing or clearing broker for investment transactions on behalf of the Funds. An Authorized Participant is either (1) a “Participating Party” or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation (“NSCC”); or (2) a DTC Participant; which, in either case, must have executed an agreement with the Distributor.
Creation Units of a Fund may be created in advance of receipt by the Trust of all or a portion of the applicable basket of fixed income securities and other instruments (“Deposit Instruments”) and cash as described in the Funds’ registration statement. In these instances, the initial Deposit Instruments and cash must be deposited in an amount equal to the sum of the cash amount, plus at least 105%, for the Funds, of the market value of undelivered Deposit Instruments. A transaction fee may be imposed to offset transfer and other transaction costs associated with the purchase or redemption of Creation Units.
Authorized Participants transacting in Creation Units for cash may also pay a variable fee to compensate the relevant fund for market impact expenses relating to investing in portfolio securities. Such variable fees, if any, are included in “Proceeds from shares issued” in the Statements of Changes in Net Assets.
Effective November 1, 2022, the Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund, or loans outstanding to another fund, during the six months ended August 31, 2024.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 29, 2024.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended August 31, 2024.
Effective August 8, 2023, the Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into an existing joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. Although the Trust is effectively part of the Credit Facility as of August 8, 2023, it was not eligible to draw on the Credit Facility, and did not incur costs associated with being a part of the Credit Facility.
This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25 million in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25 million minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00%, plus the greater of the federal funds effective rate or the one-month Adjusted Secured Overnight Financing Rate (SOFR).
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
Effective May 31, 2024, the Funds are no longer part of the Credit Facility.
The Funds did not utilize the Credit Facility during the six months ended August 31, 2024.
8. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of August 31, 2024, JPMorgan SmartRetirement Funds and JPMorgan SmartRetirement Blend Funds, which are affiliated funds of funds, each owned in the aggregate, shares representing more than 10% of the net assets of the Funds as follows:
| JPMorgan
SmartRetirement
Funds | JPMorgan
SmartRetirement
Blend Funds |
BetaBuilders U.S. Aggregate Bond ETF | | |
BetaBuilders USD High Yield Corporate Bond ETF | | |
Significant shareholder transactions by these shareholders may impact the Funds' performance and liquidity.
USD Emerging Markets Sovereign Bond ETF’s investments in sovereign and corporate debt obligations within emerging market countries may be subject to potentially higher risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic instability in these markets may have disruptive effects on the market prices of the Fund’s investments and the income they generate, as well as the Fund’s ability to repatriate such amounts.
BetaBuilders USD High Yield Corporate Bond ETF and USD Emerging Markets Sovereign Bond ETF invest in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. The market price of these securities can change suddenly and unexpectedly. As a result, the Funds are intended for investors who are able and willing to assume a high degree of risk.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds.
Disruptions to creations and redemptions, the existence of significant market volatility or potential lack of an active trading market for the shares (including through a trading halt), as well as other factors, may result in shares trading significantly above (at a premium) or below (at a discount) to the NAV or to the intraday value of the Funds’ holdings. During such periods, investors may incur significant losses if shares are sold.
The Funds are subject to interest rate risk. Investments in bonds and other debt securities will change in value based on changes in interest rates. If rates increase, the value of these investments generally declines. Securities with greater interest rate sensitivity and longer maturities generally are subject to greater fluctuations in value. The Funds invest in variable and floating rate loans and other variable and floating rate securities. Although these investments are generally less sensitive to interest rate changes than fixed rate instruments, the value of floating rate loans and other securities may decline if their interest rates do not rise as quickly, or as much, as general interest rates. The Funds may face a heightened level of interest rate risk due to certain changes in monetary policy. It is difficult to predict the pace at which central banks or monetary authorities may change interest rates or the timing, frequency, or magnitude of such changes. Any such changes could be sudden and could expose debt markets to significant volatility and reduced liquidity for Fund investments.
The Funds are subject to credit risk. The Funds' investments are subject to the risk that an issuer and/or a counterparty will fail to make payments when due or default completely. Prices of the Funds' investments may be adversely affected if any of the issuers or counterparties it is invested in are subject to an actual or perceived deterioration in their credit quality. Credit spreads may increase, which may reduce the market values of the Funds' securities. Credit spread risk is the risk that economic and market conditions or any actual or perceived credit deterioration may lead to an increase in the credit spreads (i.e., the difference in yield between two securities of similar maturity but different credit quality) and a decline in price of the issuer’s securities.
The Funds may not track the return of their underlying index for a number of reasons and therefore may not achieve their investment objective. For example, the Funds incur a number of operating expenses not applicable to their underlying index, and incur costs in buying and selling securities, especially when rebalancing the Funds’ securities holdings to reflect changes in the composition of the underlying index. In addition, each Fund’s return may differ from the return of its underlying index as a result of, among other things, pricing differences and the inability to purchase certain securities included in the underlying index due to regulatory or other restrictions. To the extent of the previously outlined items, each Fund’s return may differ from the return of the underlying index.
| J.P. Morgan Exchange-Traded Funds | |
The Funds invest in foreign issuers and foreign securities (including depositary receipts) that are subject to additional risks, including political and economic risks, civil conflicts and war, greater volatility, expropriation and nationalization risks, sanctions or other measures by the United States or other governments, currency fluctuations, higher transaction costs, delayed settlement, possible foreign controls on investment, liquidity risks and less stringent investor protection and disclosure standards of foreign markets. In certain markets where securities and other instruments are not traded “delivery versus payment,” a Fund may not receive timely payment for securities or other instruments it has delivered or receive delivery of securities paid for and may be subject to increased risk that the counterparty will fail to make payments or delivery when due or default completely.
Events and evolving conditions in certain economies or markets may alter the risks associated with investments tied to countries or regions that historically were perceived as comparatively stable becoming riskier and more volatile.
USD Emerging Markets Sovereign Bond ETF may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of foreign countries or regions, which may vary throughout the period. Such concentrations may subject this Fund to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of
adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF, BetaBuilders U.S. Aggregate Bond ETF and BetaBuilders USD Investment Grade Corporate Bond ETF invest in contingent convertible securities (“CoCos”) and are subject to additional risks from such investments. CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event such as a decline in capital ratio below a prescribed threshold occurs. If such a trigger event occurs, the Funds may lose the principal amount invested on a permanent or temporary basis or the CoCo may be converted to equity. Even though the Funds do not invest in common stock as a principal investment strategy, the Funds will be subject to increased equity market risk in the event that such securities are converted to equity. In addition to being subject to a possible write-down upon the occurrence of a trigger event, CoCos may also be subject to a permanent write-down or conversion into equity (in whole or in part), if the applicable bank regulator or other public administrative authority having responsibility for managing the orderly dissolution of an institution has determined that the issuer is not viable. Coupon payments on CoCos may be discretionary and may be cancelled by the issuer. Holders of CoCos may suffer a loss of capital when comparable equity holders do not. As CoCos may be perpetual or have long-dated maturities, they may face greater interest rate sensitivity and may be subject to greater fluctuations in value than securities with shorter maturity dates. Such securities also may be subject to prepayment risk due to optional or mandatory redemption provisions.
The Funds are subject to infectious disease epidemics/pandemics risk. The effects of any future pandemic or other global event to public health and business and market conditions, may have a significant negative impact on the performance of a Fund's investments, increase a Fund's volatility, negatively impact a Fund’s arbitrage and pricing mechanisms, exacerbate pre-existing political, social and economic risks to the Funds, and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to a pandemic or other global event that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could have a significant negative impact on a Fund’s investment performance. The ultimate impact of any pandemic or other global event and the extent to which the associated conditions and governmental responses impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
Subsequent to August 31, 2024, BetaBuilders U.S. Treasury Bond 20+ Year ETF had net redemptions of $16,964,604, which represented 68% of the Fund’s net assets as of August 31, 2024.
On August 22, 2024, the Board approved the liquidation of BetaBuilders 1-5 Year U.S. Aggregate Bond ETF and BetaBuilders U.S. TIPS 0-5 Year ETF which both are expected to occur on October 25, 2024. In connection with the liquidations, BetaBuilders 1-5 Year U.S. Aggregate Bond ETF and BetaBuilders U.S. TIPS 0-5 Year ETF were delisted from the Cboe BRZ Exchange, Inc. effective October 18, 2024.
| J.P. Morgan Exchange-Traded Funds | |
J.P. Morgan Exchange-Traded Funds are distributed by JPMorgan Distribution Services, Inc., an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the Funds.
Contact J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 (844-4JPM ETF) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risks as well as charges and expenses of the fund before investing. The prospectus contains this and other information about the fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Each Fund's quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund's policies and procedures with respect to the disclosure of each Fund's holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-844-457-6383 and on the Funds' website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds' voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds' website at www.jpmorganfunds.com no later than August 31 of each year. The Funds' proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2024. All rights reserved. August 2024.
SAN-PASSETF-824
Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Proxy Disclosures for Open-End Management Investment Companies
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
Included in the Statements of Operations within the Funds' Financial Statements.
Statement Regarding Basis for Approval of Management Agreements
The Board of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board and its investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed Income Committee) met regularly throughout the year and, at each meeting, considered factors that are relevant to their annual consideration of the continuation of the management agreements. The Board also met for the specific purpose of considering management agreement annual renewals. The Board held meetings June 25-26, 2024 and August 20-22, 2024, at which the Trustees considered the continuation of the management agreements for each Fund whose semi-annual report is contained herein (each a “Management Agreement” and collectively, the “Management Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered each investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to a Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940) of any party to a Management Agreement or any of their affiliates, approved the continuation of each Management Agreement on August 22, 2024.
As part of their review of the Management Agreements, the Trustees considered and reviewed performance and other information about the Funds received from J.P. Morgan Investment Management Inc. (the “Adviser”). This information included the Funds’ performance as compared to the performance of their peers and benchmarks, and analyses by the Adviser of the Funds’ performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (the “independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of certain Funds, including risk and performance return assessments as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Management Agreements, the Trustees reviewed the Management Agreements with represen
tatives of the Adviser, counsel to the Funds, and independent legal counsel to the Trustees, and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Management Agreements. The Trustees also discussed the Management Agreements with independent legal counsel in executive sessions at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Management Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Management Agreement was fair and reasonable under the circumstances and determined that the continuance of each Management Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Management Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. Among other things, the Trustees considered:
•
The background and experience of the Adviser’s senior management and investment personnel, including personnel changes, if any;
•
The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund, including personnel changes, if any;
•
The investment strategy for each Fund, and the infrastructure supporting the portfolio management teams;
•
Information about the structure and distribution strategy for each Fund and how it fits within the Adviser’s other fund offerings within the J.P. Morgan Funds complex;
•
The administration services provided by the Adviser in its
role as Administrator;
•
Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Funds and in the financial industry generally;
•
The overall reputation and capabilities of the Adviser and its affiliates;
•
The commitment of the Adviser to provide high quality service to the Funds;
•
Their overall confidence in the Adviser’s integrity; and
•
The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates from providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser and reviewed with the Board. The Trustees also recognized that it is difficult to make direct comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Management Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered the fees earned by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Adviser, for custody, fund accounting and other related services for each Fund, and the profitability of the arrangements to JPMCB.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds' operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including benefits that may be received by the Adviser and its affiliates in connection with the Funds’ potential investments in other funds advised by the Adviser. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Funds.
The Trustees considered the extent to which the Funds may benefit from potential economies of scale. The Trustees considered that under the Management Agreements, the Adviser provides advisory and administrative services and is responsible for substantially all expenses of each Fund except for certain enumerated contractual exclusions under a “unitary fee” structure. The Trustees noted that the unitary management fee for each Fund does not contain breakpoints. The Trustees considered that shareholders would benefit because expenses would be limited even when a Fund is new and not achieving economies of scale. The Trustees considered the fact that increases in assets would not lead to management fee decreases even if economies of scale are achieved, but also that the Trustees would have the opportunity to further review the appropriateness of the fee payable to the Adviser under the Management Agreement in the future. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds. After considering the factors identified above, the Trustees concluded that the Fund’s shareholders will receive the benefits of potential economies of scale.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of management services and fee rates offered to other clients of the Adviser, including, to the extent applicable, institutional separate accounts, collective investment trusts, other registered investment companies and/or private funds sub-advised by the Adviser, for investment
management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered investment companies relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered investment company involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the applicable registered investment company, typically bears the sub-advisory fee and that many responsibilities related to the advisory function are typically retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
The Trustees considered that each Fund is a “passive” ETFs whose objective is to closely correspond, before fees and expenses, to the performance of its benchmark index. The Trustees considered each Fund’s investment strategy and processes, portfolio management teams and competitive positioning against peer funds, as identified by management. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered each Fund’s performance information provided at regular Board meetings by the Adviser. After consideration, the Trustees determined that each Fund’s performance was consistent with its investment objective and supported renewal of each Fund’s Management Agreement.
Management Fees and Expense Ratios
The Trustees considered the contractual management fee rate paid by each Fund to the Adviser and compared the rate to the information prepared by Broadridge concerning management fee rates paid by other funds in the same Broadridge category as each Fund. This review included ranking of each Fund within an expense universe comprised of funds with the same Broadridge investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”). The Trustees reviewed a description of Broadridge’s methodology for selecting funds in the Universe and Peer Group, as applicable, and noted that the Universe and/or Peer Group quintile rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Trustees also reviewed information about other expenses and the total expense ratio for each Fund. The Trustees recognized that it can be difficult to make comparisons of management fees because there are variations in the services that are included in the fees paid by
other funds. The Trustees’ determinations as a result of the review of each Fund’s management fees and expense ratios are summarized below:
The Trustees noted that the JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF’s net management fee and actual total expenses were in the second and third quintiles of the Universe, respectively. Broadridge did not calculate quintile rankings of the Peer Group due to the limited number of funds in the Peer Group. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan BetaBuilders U.S. Aggregate Bond ETF’s net management fee was in the fourth and second quintiles of the Peer Group and Universe, respectively, and that the actual total expenses were in the second and first quintiles of the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF’s net management fee was in the second quintile of both the Peer Group and Universe, and that the actual total expenses were in the second and first quintiles of the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was s fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF’s net management fee and actual total expenses were both in the fourth quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF’s net management fee and actual total expenses were both in the fourth quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF’s net management fee and actual total expenses were both in the third quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan BetaBuilders USD High Yield Corporate Bond ETF’s net management fee and actual total expenses were both in the first quintile of the Universe. Broadridge did not calculate quintile rankings of the Peer Group due to the limited number of funds in the Peer Group. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF’s net management fee was in the third and second quintiles of the Peer Group and Universe, respectively, and that the actual total expenses were
in the second quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was s fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan USD Emerging Markets Sovereign Bond ETF’s net management fee and actual total expenses were both in the fourth and third quintile of the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
Semi-Annual Report
J.P. Morgan Exchange-Traded Funds
August 31, 2024 (Unaudited)
| | |
JPMorgan High Yield Municipal ETF | | |
JPMorgan Limited Duration Bond ETF | | |
JPMorgan Sustainable Municipal Income ETF | | |
CONTENTS
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at (844) 457-6383 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Shares are bought and sold throughout the day on an exchange at market price (not at net asset value) through a brokerage account, and are not individually subscribed and redeemed from a Fund. Shares may only be subscribed and redeemed directly from a Fund by Authorized Participants, in very large creation/redemption units. Brokerage commissions will reduce returns.
JPMorgan High Yield Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
Municipal Bonds — 91.8% (a) |
|
Black Belt Energy Gas District, Gas Project | | |
Series 2023D-1, Rev., 5.50%, 2/1/2029 (b) | | |
Series 2021A, Rev., 4.00%, 12/1/2031 (b) | | |
County of Jefferson sewer Series 2024, Rev., 5.50%, 10/1/2053 | | |
Mobile County Industrial Development Authority, Calvert LLC Project Series 2024 A, Rev., AMT, 5.00%, 6/1/2054 | | |
| | |
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Northern Tobacco Securitization Corp., Tobacco Settlement Asset-Backed Senior Capital Appreciation Series 2021 B-2, Class 2, Rev., Zero Coupon, 6/1/2066 | | |
|
Arizona Industrial Development Authority, Great Lakes Senior Living Communities LLC Project | | |
Series 2019A, Rev., 5.00%, 1/1/2029 | | |
Series 2019A, Rev., 5.00%, 1/1/2037 | | |
Series 2019A, Rev., 5.00%, 1/1/2038 | | |
Series 2019A, Rev., 4.25%, 1/1/2039 | | |
Series 2019A, Rev., 4.50%, 1/1/2049 | | |
Maricopa County Industrial Development Authority, Ottawa University Rev., 5.13%, 10/1/2030 (c) | | |
| | |
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Arkansas Development Finance Authority, Industrial Development , Hybar Steel Project Series 2023B, Rev., AMT, 7.38%, 7/1/2048 (c) | | |
|
California Community Choice Financing Authority, Clean Energy Project Series 2023B-1, Rev., 5.00%, 8/1/2029 (b) | | |
California County Tobacco Securitization Agency, Los Angeles County Securitization Corp. Series 2020 B-2, Rev., Zero Coupon, 6/1/2055 | | |
California Health Facilities Financing Authority, Adventist Health System Series 2024A, Rev., 5.00%, 12/1/2036 | | |
California Infrastructure and Economic Development Bank, Brightline West Passenger Rail Project Series 2020 A-4, Rev., AMT, 8.00%, 8/15/2025 (b) (c) | | |
| | |
|
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California Municipal Finance Authority, Linxs Apartments Project, Senior Lien Series 2018 A, Rev., AMT, 5.00%, 12/31/2047 | | |
California School Facilities Financing Authority, Capital Appreciation, Azusa Unified School District Series 2009A, Rev., AGM, Zero Coupon, 8/1/2030 | | |
California Statewide Communities Development Authority, John Muir Health Series 2024A, Rev., 5.00%, 12/1/2049 | | |
California Statewide Communities Development Authority, Loma Linda University Medical Center Series 2016 A, Rev., 5.25%, 12/1/2056 (c) | | |
Golden State Tobacco Securitization Corp., Enhanced Tobacco Settlement Series 2021B-2, Rev., Zero Coupon, 6/1/2066 | | |
| | |
|
Bradburn Metropolitan District No. 2, Limited Tax | | |
Series 2018A, GO, 5.00%, 12/1/2038 | | |
Series 2018B, GO, 7.25%, 12/15/2047 | | |
Canyon Pines Metropolitan District Special Improvement District No. 1 Series 2021A-2, 3.75%, 12/1/2040 | | |
City of Colorado Springs Utilities System Series 2024A, Rev., 5.00%, 11/15/2049 | | |
Colorado Health Facilities Authority, Adventist Health System Series 2024 A-1, Rev., 5.00%, 11/15/2029 (b) | | |
Colorado Housing and Finance Authority Series 2023L, Class III, Rev., GNMA COLL, 5.75%, 11/1/2053 | | |
Dominion Water and Sanitation District Rev., 5.25%, 12/1/2032 | | |
Raindance Metropolitan District No. 1, Non-Potable Water System Rev., 5.00%, 12/1/2040 | | |
Rocky Mountain Rail Park Metropolitan District, Limited Tax Series 2021A, GO, 5.00%, 12/1/2041 (c) | | |
Third Creek Metropolitan District No. 1, Limited Tax | | |
Series 2022A-1, GO, 4.50%, 12/1/2037 | | |
Series 2022A-1, GO, 4.75%, 12/1/2051 | | |
| | |
JPMorgan High Yield Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Connecticut State Health and Educational Facilities Authority, Yale New Heaven Health Series 2024 B, Rev., 5.00%, 7/1/2029 (b) | | |
Stamford Housing Authority, The Dogwoods Project Rev., BAN, 11.00%, 12/1/2027 (c) | | |
| | |
|
Delaware State Economic Development Authority, Delmarva Power and Light Co. Project Series 2020A, Rev., 1.05%, 7/1/2025 (b) | | |
District of Columbia — 0.7% |
Washington Metropolitan Area Transit Authority Dedicated, Sustainability Climate Transition Bonds Series 2024 A, Rev., 4.38%, 7/15/2059 | | |
|
Capital Trust Agency, Inc., Legends Academy Project Series 2021A, Rev., 5.00%, 12/1/2045 (c) | | |
Florida Development Finance Corp., Brightline Florida Passenger Rail Project Series 2024, Rev., AMT, 5.50%, 7/1/2053 | | |
Florida Development Finance Corp., Idea Florida, Inc., Jacksonville IV Project Rev., 5.25%, 6/15/2029 (c) | | |
Martin County Health Facilities Authority, Cleveland Clinic Health System Obligated Group Series 2019A, Rev., 4.00%, 1/1/2046 | | |
Miami-Dade County Industrial Development Authority, Solid Waste Disposal, Waste Management, Inc., Project Series 2011, Rev., AMT, 5.00%, 11/1/2024 (b) | | |
Okaloosa County School Board COP, AGC, 5.00%, 10/1/2049 | | |
Palm Beach County Health Facilities Authority, Jupiter Medical Center Series 2022, Rev., 5.00%, 11/1/2052 | | |
| | |
|
Columbia County Hospital Authority, Wellstart Health System Inc., Project Series 2023A, Rev., AGM, 5.00%, 4/1/2048 | | |
Fayette County Development Authority, United States Soccer Federation, Inc. Project Series 2024, Rev., 5.00%, 10/1/2043 | | |
| | |
|
|
Gainesville and Hall County Hospital Authority, Northeast Georgia Health System, Inc., Project Rev., RAN, 5.00%, 10/15/2034 | | |
Main Street Natural Gas, Inc., Gas Supply Series 2023A, Rev., 5.00%, 6/1/2030 (b) | | |
Municipal Electric Authority of Georgia, Plant Vogtle Units 3 and 4 Project Series 2019B, Rev., 5.00%, 1/1/2059 | | |
| | |
|
Chicago O'Hare International Airport, General Airport, Senior Lien Series 2024 B, Rev., 5.50%, 1/1/2059 (d) | | |
| | |
Series 2019C, GO, 4.00%, 11/1/2042 | | |
Series 2020C, GO, 4.25%, 10/1/2045 | | |
Series 2023B, GO, 4.50%, 5/1/2048 | | |
| | |
|
City of Goshen, Multi-Family, Green Oaks of Goshen Project Series 2021A, Rev., 5.00%, 8/1/2041 (c) | | |
City of Valparaiso, Green Oaks of Valparaiso Project Rev., 5.38%, 12/1/2041 (c) | | |
Indiana Housing and Community Development Authority, Vita of Marion Project Series 2021A, Rev., 5.25%, 4/1/2041 (c) | | |
Indianapolis Local Public Improvement Bond Bank Series 2023F-1, Rev., 5.25%, 3/1/2067 | | |
| | |
|
Iowa Tobacco Settlement Authority, Subordinate Senior Capital Appreciation Asset Backed Series 2021-B-2, Class 2, Rev., Zero Coupon, 6/1/2065 | | |
|
County of Carroll, Kentucky Environmental Facilities Series 2008A, Rev., AMT, 2.00%, 2/1/2032 | | |
Kentucky Public Energy Authority Series 2024B, Rev., 5.00%, 8/1/2032 (b) | | |
| | |
| | |
Municipal Bonds — continued |
|
Louisiana Public Facilities Authority, Lincoln Preparatory School Project Series 2021A, Rev., 5.25%, 6/1/2051 (c) | | |
Louisiana Public Facilities Authority, Mentorship Steam Academy Project | | |
Series 2021A, Rev., 5.00%, 6/1/2051 (c) | | |
Series 2021A, Rev., 5.00%, 6/1/2056 (c) | | |
Parish of St. John the Baptist, Marathon Oil Corp., Project Series 2017A-1, Rev., 4.05%, 7/1/2026 (b) | | |
| | |
|
Maryland Health and Higher Educational Facilities Authority, University of Maryland Medical System Series 2008D, Rev., VRDO, LOC : TD Bank NA, 3.80%, 9/3/2024 (b) | | |
|
City of Detroit, Unlimited Tax Series 2020, GO, 5.50%, 4/1/2050 | | |
State of Michigan Trunk Line Series 2020 B, Rev., 4.00%, 11/15/2045 | | |
| | |
|
City of Minneapolis, Health Care System, Fairview Health Services Series 2018A, Rev., 5.00%, 11/15/2049 | | |
|
County of Gallatin, Bozeman Fiber Project Series 2021A, Rev., 4.00%, 10/15/2036 (c) | | |
|
Central Plains Energy Project, Gas Project No. 4 Series 2023 A-1, Rev., 5.00%, 11/1/2029 (b) | | |
Nebraska Educational Health Cultural and Social Services Finance Authority, Immanuel Retirement Communities Obligated Group Series 2019A, Rev., 4.00%, 1/1/2037 | | |
| | |
|
New Hampshire Business Finance Authority, Tamarron Project Series 2024, Rev., 5.25%, 12/1/2035 (c) | | |
|
Jersey City Municipal Utilities Authority Series 2024 B, Rev., GTD, 5.00%, 5/1/2025 | | |
| | |
|
|
New Jersey Economic Development Authority Series 2020, Rev., 5.00%, 1/1/2040 (c) (e) | | |
New Jersey Economic Development Authority, Black Horse EHT Urban Renewal LLC Project Series 2019A, Rev., 5.00%, 10/1/2039 (c) (e) | | |
New Jersey Economic Development Authority, Marion P. Thomas Charter School, Inc., Project Series 2018A, Rev., 5.00%, 10/1/2033 (c) | | |
Tobacco Settlement Financing Corp. Series 2018B, Rev., 5.00%, 6/1/2046 | | |
| | |
|
City of Farmington, San Juan Project Series 2010 E, Rev., 3.88%, 6/1/2029 (b) | | |
|
Buffalo & Fort Erie Public Bridge Authority Series 2017, Rev., 5.00%, 1/1/2047 | | |
City of New York, Fiscal Year 2023 Series 2023A, Subseries A-3, GO, VRDO, LIQ : Bank of Montreal, 3.80%, 9/3/2024 (b) | | |
Long Island Power Authority, Electric System | | |
Series 2024B, Rev., 3.00%, 9/1/2031 (b) | | |
Series 2024A, Rev., 5.00%, 9/1/2049 | | |
Medina Central School District GO, BAN, 4.50%, 7/16/2025 | | |
Monroe County Industrial Development Corp.,Rochester Regional Health Project Series 2020A, Rev., 4.00%, 12/1/2036 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2019 Series 2019C-4, Rev., VRDO, LIQ : Barclays Bank plc, 3.90%, 9/3/2024 (b) | | |
New York Counties Tobacco Trust Series 2016 A-2B, Rev., 5.00%, 6/1/2051 | | |
New York State Dormitory Authority, Pace University Series 2024 A, Rev., 5.25%, 5/1/2044 | | |
New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project | | |
Rev., AMT, 5.00%, 1/1/2028 | | |
Rev., AMT, 5.00%, 1/1/2034 | | |
Series 2023, Rev., AMT, 6.00%, 4/1/2035 | | |
Rev., AMT, 4.38%, 10/1/2045 | | |
Series 2016 A, Rev., AMT, 5.00%, 7/1/2046 | | |
JPMorgan High Yield Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Suffolk Regional Off-Track Betting Co. Series 2024, Rev., 5.75%, 12/1/2044 | | |
TSASC, Inc. Series B, Rev., 5.00%, 6/1/2048 | | |
| | |
|
North Dakota Housing Finance Agency, Home Mortgage Finance Program Series 2024 C, Rev., 5.00%, 7/1/2042 | | |
|
Buckeye Tobacco Settlement Financing Authority | | |
Series 2020A-2, Rev., 4.00%, 6/1/2039 | | |
Series 2020B-2, Rev., 5.00%, 6/1/2055 | | |
Series 2020B-3, Rev., Zero Coupon, 6/1/2057 | | |
Jefferson County Port Authority, JSW Steel USA Ohio, Inc., Project Series 2023, Rev., 5.00%, 12/1/2028 (b) (c) | | |
Ohio Air Quality Development Authority, Duke Energy Corp. Series 2022A, Rev., AMT, 4.25%, 6/1/2027 (b) | | |
Port of Greater Cincinnati Development Authority, Duke Energy Convention Center Project Series 2024B, Rev., 5.00%, 12/1/2063 | | |
| | |
|
Oklahoma Development Finance Authority, Health System, OU Medicine Project Series 2018B, Rev., 5.50%, 8/15/2057 | | |
|
Multnomah and Clackamas Counties School District No. 10JT Gresham-Barlow Series B, GO, Zero Coupon, 6/15/2035 | | |
|
Montgomery County Industrial Development Authority, Constellation Energy Generation Series 2023A, Rev., 4.10%, 4/3/2028 (b) | | |
Pennsylvania Housing Finance Agency Series 2024-145A, Rev., 6.00%, 10/1/2054 | | |
| | |
| | |
|
|
Puerto Rico Sales Tax Financing Corp. Sales Tax (Puerto Rico) | | |
Series A-1, Rev., Zero Coupon, 7/1/2046 | | |
Series A-2, Rev., 4.78%, 7/1/2058 | | |
| | |
|
Tobacco Settlement Financing Corp. Series B, Rev., 5.00%, 6/1/2050 | | |
|
Greenville-Spartanburg Airport District Series 2024A, Rev., 5.25%, 7/1/2054 | | |
|
Shelby County Health Educational and Housing Facilities Board Retirement Facility The Farm At Bailey Station Series 2019A, Rev., 5.50%, 10/1/2039 | | |
Shelby County Health Educational and Housing Facilities Board, Madrone Memphis Student Housing I, LLC- University of Memphis Project Series 2024 A-1, Rev., 5.25%, 6/1/2056 (c) | | |
Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station Project Series 2019A, Rev., 5.75%, 10/1/2059 | | |
| | |
|
Central Texas Turnpike System, First Tier Series 2024 B, Rev., 5.00%, 5/15/2030 (b) | | |
New Hope Cultural Education Facilities Finance Corp., Legacy Midtown Park Project Series 2018A, Rev., 5.50%, 7/1/2054 | | |
New Hope Cultural Education Facilities Finance Corp., Morningside Ministries Project Rev., 4.00%, 1/1/2037 | | |
Tarrant County Cultural Education Facilities Finance Corp., Retirement Facility, MRC Stevenson Oaks Project Series 2020A, Rev., 6.25%, 11/15/2031 | | |
| | |
| | |
Municipal Bonds — continued |
|
Mida Mountain Village Public Infrastructure District, Mountain Village Assessment Area Series 2020B, 6.25%, 8/1/2030 (c) | | |
Utah Charter School Finance Authority, Wallace Stegner Academy Series 2022A, Rev., 5.63%, 6/15/2042 (c) | | |
| | |
|
Fredericksburg Economic Development Authority, Stadium Project | | |
Series 2021A, Rev., 7.00%, 11/15/2026 (c) | | |
Series 2019B, Rev., 6.13%, 9/1/2029 (c) | | |
Series 2019B, Rev., 7.00%, 9/1/2044 (c) | | |
Halifax County Industrial Development Authority, Virginia Electric and Power Series 2010A, Rev., 3.80%, 5/28/2027 (b) | | |
Virginia Small Business Financing Authority, Environmental Facilities Series 2022, Rev., 5.00%, 11/15/2024 (b) | | |
| | |
|
Washington State Housing Finance Commission | | |
Series 2024, Rev., 5.50%, 7/1/2049 | | |
Series 2024, Rev., 5.00%, 7/1/2054 | | |
Washington State Housing Finance Commission, Seattle Academy Of Arts and Science Project Series 2023, Rev., 6.38%, 7/1/2063 (c) | | |
| | |
|
Public Finance Authority, Astro Texas Land Projects Series 2024, Rev., 5.50%, 12/15/2028 (c) | | |
Public Finance Authority, Presbyterian Villages of Michigan Obligated Group Series 2020A, Rev., 4.00%, 11/15/2042 (c) | | |
Public Finance Authority, Ripple Ranch, LLC Obligate Series 2021A, Rev., 5.25%, 12/1/2051 (c) | | |
Public Finance Authority, The Franklin School of Innovation Rev., 5.00%, 1/1/2042 (c) | | |
Public Finance Authority, Wilson Preparatory Academy | | |
Series 2019A, Rev., 5.00%, 6/15/2039 (c) | | |
Series 2019A, Rev., 5.00%, 6/15/2049 (c) | | |
| | |
|
|
Wisconsin Health and Educational Facilities Authority, Ascension Senior Credit Group Series 2016 A, Rev., 5.00%, 11/15/2035 | | |
Wisconsin Health and Educational Facilities Authority, Forensic science and Protective Medicine Collaboration, Inc. Project Series 2024, Rev., 5.00%, 8/1/2027 (c) | | |
Wisconsin Housing and Economic Development Authority Home Ownership Series 2024 A, Rev., GNMA / FNMA / FHLMC, 6.00%, 9/1/2054 | | |
| | |
Total Municipal Bonds
(Cost $163,855,690) | | |
| | |
Short-Term Investments — 7.4% |
Investment Companies — 7.4% |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.24% (f) (g)
(Cost $12,890,837) | | |
Total Investments — 99.2%
(Cost $176,746,527) | | |
Other Assets Less Liabilities — 0.8% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Insured by Assured Guaranty Corp. |
| Insured by Assured Guaranty Municipal Corp. |
| |
| |
| |
| Certificate of Participation |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| |
| |
| |
| |
| Revenue Anticipation Note |
| |
| Variable Rate Demand Obligation |
| The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
JPMorgan High Yield Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2024. |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| The rate shown is the current yield as of August 31, 2024. |
Futures contracts outstanding as of August 31, 2024:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
Asset-Backed Securities — 35.6% |
ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class A, 6.29%, 12/18/2037 (a) (b) | | |
Amortizing Residential Collateral Trust Series 2002-BC9, Class M1, 7.04%, 12/25/2032 (b) | | |
| | |
Series 2020-SFR3, Class A, 1.36%, 9/17/2037 (a) | | |
Series 2021-SFR2, Class A, 1.53%, 8/17/2038 (a) | | |
Series 2024-SFR1, Class A, 4.29%, 7/17/2041 (a) | | |
Apidos CLO (Cayman Islands) Series 2019-31A, Class A1R, 6.66%, 4/15/2031 (a) (b) | | |
Arivo Acceptance Auto Loan Receivables Trust Series 2021-1A, Class A, 1.19%, 1/15/2027 (a) | | |
Auxilior Term Funding LLC Series 2023-1A, Class A2, 6.18%, 12/15/2028 (a) | | |
BA Credit Card Trust Series 2024-A1, Class A, 4.93%, 5/15/2029 | | |
Ballyrock CLO Ltd. (Cayman Islands) | | |
Series 2020-2A, Class A1R, 6.55%, 10/20/2031 (a) (b) | | |
Series 2019-1A, Class A1R, 6.59%, 7/15/2032 (a) (b) | | |
Bear Stearns Asset-Backed Securities I Trust Series 2005-HE1, Class M2, 5.28%, 1/25/2035 (b) | | |
Bear Stearns Asset-Backed Securities Trust Series 2003-SD1, Class A, 6.29%, 12/25/2033 (b) | | |
BRE Grand Islander Timeshare Issuer LLC Series 2019-A, Class A, 3.28%, 9/26/2033 (a) | | |
BSPRT Issuer Ltd. Series 2022-FL8, Class A, 6.85%, 2/15/2037 (a) (b) | | |
Business Jet Securities LLC | | |
Series 2021-1A, Class A, 2.16%, 4/15/2036 (a) | | |
Series 2022-1A, Class A, 4.46%, 6/15/2037 (a) | | |
Series 2024-1A, Class A, 6.20%, 5/15/2039 (a) | | |
BXG Receivables Note Trust Series 2018-A, Class A, 3.77%, 2/2/2034 (a) | | |
BXMT Ltd. (Cayman Islands) Series 2020-FL3, Class A, 6.85%, 11/15/2037 (a) (b) | | |
CarMax Auto Owner Trust Series 2022-2, Class A3, 3.49%, 2/16/2027 | | |
| | |
|
Carvana Auto Receivables Trust | | |
Series 2020-P1, Class A4, 0.61%, 10/8/2026 | | |
Series 2023-N4, Class A, 6.42%, 1/10/2028 (a) | | |
Series 2024-P2, Class A3, 5.33%, 7/10/2029 | | |
Centex Home Equity Loan Trust Series 2002-A, Class MV1, 6.24%, 1/25/2032 (b) | | |
CF Hippolyta Issuer LLC Series 2020-1, Class A1, 1.69%, 7/15/2060 (a) | | |
CoreVest American Finance Trust | | |
Series 2020-2, Class A, 3.38%, 5/15/2052 (a) | | |
Series 2020-4, Class A, 1.17%, 12/15/2052 (a) | | |
Countrywide Asset-Backed Certificates | | |
Series 2003-BC2, Class 2A1, 5.99%, 6/25/2033 (b) | | |
Series 2004-S1, Class M2, 5.58%, 2/25/2035 (c) | | |
CPS Auto Receivables Trust Series 2023-A, Class A, 5.54%, 3/16/2026 (a) | | |
Credit Acceptance Auto Loan Trust Series 2023-3A, Class A, 6.39%, 8/15/2033 (a) | | |
Diamond Resorts Owner Trust Series 2021-1A, Class A, 1.51%, 11/21/2033 (a) | | |
DT Auto Owner Trust Series 2023-1A, Class A, 5.48%, 4/15/2027 (a) | | |
Elmwood CLO Ltd. (Cayman Islands) Series 2020-2A, Class AR, 6.69%, 10/20/2034 (a) (b) | | |
Enterprise Fleet Financing LLC Series 2022-1, Class A2, 3.03%, 1/20/2028 (a) | | |
Exeter Automobile Receivables Trust | | |
Series 2024-3A, Class A2, 5.82%, 2/15/2027 | | |
Series 2023-4A, Class C, 6.51%, 8/15/2028 | | |
Series 2024-4A, Class A3, 5.28%, 8/15/2030 | | |
First Franklin Mortgage Loan Trust | | |
Series 2002-FF1, Class M1, 6.44%, 4/25/2032 (b) | | |
Series 2002-FF4, Class M1, 6.97%, 2/25/2033 (b) | | |
Series 2003-FFH1, Class M2, 8.02%, 9/25/2033 (b) | | |
Series 2004-FF8, Class M4, 7.00%, 10/25/2034 (b) | | |
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Asset-Backed Securities — continued |
FirstKey Homes Trust Series 2021-SFR1, Class A, 1.54%, 8/17/2038 (a) | | |
Foundation Finance Trust Series 2024-1A, Class A, 5.50%, 12/15/2049 (a) | | |
FS Rialto (Cayman Islands) Series 2021-FL3, Class A, 6.70%, 11/16/2036 (a) (b) | | |
Galaxy CLO Ltd. (Cayman Islands) Series 2013-15A, Class ARR, 6.53%, 10/15/2030 (a) (b) | | |
Goodgreen (Cayman Islands) | | |
Series 2018-1A, Class A, 3.93%, 10/15/2053 ‡ (a) (b) | | |
Series 2019-1A, Class A, 3.86%, 10/15/2054 ‡ (a) | | |
Goodgreen Trust Series 2017-2A, Class A, 3.26%, 10/15/2053 ‡ (a) | | |
GreenPoint Mortgage Funding Trust Series 2005-HE3, Class A, 5.63%, 9/15/2030 (b) | | |
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (a) | | |
Hilton Grand Vacations Trust | | |
Series 2018-AA, Class A, 3.54%, 2/25/2032 (a) | | |
Series 2022-2A, Class A, 4.30%, 1/25/2037 (a) | | |
Series 2020-AA, Class A, 2.74%, 2/25/2039 (a) | | |
LCM Ltd. (Cayman Islands) Series 29A, Class AR, 6.63%, 4/15/2031 (a) (b) | | |
Lendingpoint Asset Securitization Trust | | |
Series 2022-B, Class A, 4.77%, 10/15/2029 (a) | | |
Series 2022-C, Class A, 6.56%, 2/15/2030 (a) | | |
Lendmark Funding Trust Series 2022-1A, Class A, 5.12%, 7/20/2032 (a) | | |
LP LMS Asset Securitization Trust Series 2023-1A, Class A, 8.18%, 10/17/2033 (a) | | |
M&T Equipment Notes Series 2024-1A, Class A2, 4.99%, 8/18/2031 (a) | | |
Mariner Finance Issuance Trust | | |
Series 2020-AA, Class A, 2.19%, 8/21/2034 (a) | | |
Series 2021-AA, Class A, 1.86%, 3/20/2036 (a) | | |
Series 2024-AA, Class A, 5.13%, 9/22/2036 (a) | | |
| | |
|
MF1 Ltd. (Cayman Islands) | | |
Series 2021-FL7, Class A, 6.54%, 10/16/2036 (a) (b) | | |
Series 2022-FL8, Class A, 6.69%, 2/19/2037 (a) (b) | | |
MVW LLC Series 2024-1A, Class A, 5.32%, 2/20/2043 (a) | | |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) Series 2020-37A, Class AR, 6.51%, 7/20/2031 (a) (b) | | |
New Century Home Equity Loan Trust Series 2003-5, Class AII, 3.54%, 11/25/2033 (b) | | |
OCP CLO Ltd. (Cayman Islands) Series 2015-9A, Class A1R2, 6.55%, 1/15/2033 (a) (b) | | |
OneMain Financial Issuance Trust Series 2021-1A, Class A1, 1.55%, 6/16/2036 (a) | | |
Oportun Issuance Trust Series 2022-A, Class A, 5.05%, 6/9/2031 (a) | | |
Pagaya AI Technology in Housing Trust Series 2023-1, Class A, 3.60%, 10/25/2040 (a) | | |
Palmer Square Loan Funding Ltd. (Cayman Islands) | | |
Series 2021-3A, Class A1, 6.34%, 7/20/2029 (a) (b) | | |
Series 2021-4A, Class A1, 6.36%, 10/15/2029 (a) (b) | | |
Series 2022-2A, Class A1, 6.57%, 10/15/2030 (a) (b) | | |
Series 2024-1A, Class A1, 0.00%, 10/15/2032 (a) (b) (d) | | |
PRET LLC Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (c) | | |
PRET Trust Series 2024-RPL2, Class A1, 4.07%, 6/25/2064 ‡ (a) (c) | | |
| | |
Series 2021-SFR1, Class A, 1.05%, 4/17/2038 (a) | | |
Series 2021-SFR4, Class A, 1.56%, 5/17/2038 (a) | | |
Progress Residential Trust | | |
Series 2021-SFR8, Class A, 1.51%, 10/17/2038 (a) | | |
Series 2023-SFR1, Class A, 4.30%, 3/17/2040 (a) | | |
Series 2024-SFR1, Class A, 3.35%, 2/17/2041 (a) | | |
Series 2024-SFR2, Class A, 3.30%, 4/17/2041 (a) | | |
| | |
Asset-Backed Securities — continued |
Series 2024-SFR4, Class A, 3.10%, 7/17/2041 (a) | | |
PRPM LLC Series 2021-10, Class A1, 2.49%, 10/25/2026 (a) (c) | | |
RASC Trust Series 2003-KS4, Class MI2, 5.01%, 6/25/2033 (c) | | |
Santander Consumer Auto Receivables Trust Series 2021-AA, Class B, 0.71%, 8/17/2026 (a) | | |
Santander Drive Auto Receivables Trust Series 2022-4, Class A3, 4.14%, 2/16/2027 | | |
SCF Equipment Leasing LLC | | |
Series 2022-2A, Class A3, 6.50%, 10/21/2030 (a) | | |
Series 2024-1A, Class A3, 5.52%, 1/20/2032 (a) | | |
Sierra Timeshare Receivables Funding LLC Series 2020-2A, Class A, 1.33%, 7/20/2037 (a) | | |
SoFi Professional Loan Program Trust | | |
Series 2021-B, Class AFX, 1.14%, 2/15/2047 (a) | | |
Series 2018-B, Class A2FX, 3.34%, 8/25/2047 (a) | | |
Structured Asset Investment Loan Trust Series 2003-BC2, Class A3, 6.09%, 4/25/2033 (b) | | |
Tesla Auto Lease Trust Series 2024-A, Class B, 5.55%, 5/22/2028 (a) | | |
Tricon American Homes Series 2020-SFR1, Class A, 1.50%, 7/17/2038 (a) | | |
Tricon American Homes Trust Series 2019-SFR1, Class A, 2.75%, 3/17/2038 (a) | | |
| | |
Series 2024-SFR2, Class A, 4.75%, 6/17/2040 (a) | | |
Series 2024-SFR1, Class A, 4.65%, 4/17/2041 (a) | | |
Upstart Securitization Trust | | |
Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | | |
Series 2023-1, Class A, 6.59%, 2/20/2033 (a) | | |
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 (a) | | |
VCAT LLC Series 2021-NPL1, Class A1, 5.29%, 12/26/2050 (a) (c) | | |
Verdant Receivables LLC Series 2023-1A, Class A2, 6.24%, 1/13/2031 (a) | | |
| | |
|
VOLT C LLC Series 2021-NPL9, Class A1, 4.99%, 5/25/2051 (a) (c) | | |
VOLT XCII LLC Series 2021-NPL1, Class A1, 4.89%, 2/27/2051 (a) (c) | | |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 4.89%, 2/27/2051 (a) (c) | | |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 5.24%, 2/27/2051 (a) (c) | | |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 5.12%, 4/25/2051 (a) (c) | | |
VOLT XCV LLC Series 2021-NPL4, Class A1, 5.24%, 3/27/2051 (a) (c) | | |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 5.12%, 3/27/2051 (a) (c) | | |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 5.24%, 4/25/2051 (a) (c) | | |
Westlake Automobile Receivables Trust | | |
Series 2022-2A, Class A3, 3.75%, 4/15/2026 (a) | | |
Series 2023-3A, Class A3, 5.82%, 5/17/2027 (a) | | |
Wingspire Equipment Finance LLC Series 2024-1A, Class A2, 4.99%, 9/20/2032 (a) | | |
World Omni Auto Receivables Trust Series 2024-A, Class A4, 4.84%, 10/15/2029 | | |
Total Asset-Backed Securities
(Cost $271,880,367) | | |
Collateralized Mortgage Obligations — 25.9% |
| | |
Series 2004-J4, Class 1A6, 5.40%, 6/25/2034 (c) | | |
Series 2004-33, Class 3A3, 4.49%, 12/25/2034 (b) | | |
Banc of America Funding Trust Series 2006-1, Class 2A1, 5.50%, 1/25/2036 | | |
Banc of America Mortgage Trust Series 2004-D, Class 2A2, 6.44%, 5/25/2034 (b) | | |
Bear Stearns Asset-Backed Securities I Trust Series 2004-AC6, Class M1, 6.40%, 11/25/2034 (b) | | |
CFMT LLC Series 2024-HB15, Class A, 4.00%, 8/25/2034 ‡ (a) (b) | | |
Connecticut Avenue Securities Trust | | |
Series 2021-R03, Class 1M1, 6.20%, 12/25/2041 (a) (b) | | |
Series 2022-R01, Class 1M1, 6.35%, 12/25/2041 (a) (b) | | |
Series 2022-R06, Class 1M1, 8.10%, 5/25/2042 (a) (b) | | |
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Collateralized Mortgage Obligations — continued |
Series 2022-R07, Class 1M1, 8.30%, 6/25/2042 (a) (b) | | |
Series 2022-R08, Class 1M1, 7.90%, 7/25/2042 (a) (b) | | |
Series 2024-R01, Class 1M1, 6.40%, 1/25/2044 (a) (b) | | |
Series 2024-R02, Class 1M1, 6.45%, 2/25/2044 (a) (b) | | |
Series 2024-R05, Class 2M1, 6.35%, 7/25/2044 (a) (b) | | |
Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) | | |
Series 2004-5, Class 4A1, 6.00%, 9/25/2034 | | |
Series 2005-5, Class 1A1, 5.00%, 5/25/2046 | | |
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-AR24, Class 2A4, 7.40%, 10/25/2033 (b) | | |
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 3.41%, 2/25/2020 (b) | | |
FHLMC Seasoned Credit Risk Transfer Trust Series 2020-1, Class M55G, 3.00%, 8/25/2059 | | |
| | |
Series 1974, Class ZA, 7.00%, 7/15/2027 | | |
Series 3737, Class DG, 5.00%, 10/15/2030 | | |
Series 4120, Class KI, IO, 3.00%, 10/15/2032 | | |
Series 5000, Class CB, 1.25%, 1/25/2035 | | |
Series 3300, Class FA, 5.77%, 8/15/2035 (b) | | |
Series 3085, Class VS, IF, 6.85%, 12/15/2035 (b) | | |
Series 4867, Class WF, 5.85%, 4/15/2037 (b) | | |
Series 4350, Class AF, 5.80%, 12/15/2037 (b) | | |
Series 4350, Class FK, 5.80%, 6/15/2038 (b) | | |
Series 4515, Class FA, 5.82%, 8/15/2038 (b) | | |
Series 4350, Class KF, 5.80%, 1/15/2039 (b) | | |
Series 4448, Class TF, 5.77%, 5/15/2040 (b) | | |
Series 4480, Class FM, 5.80%, 6/15/2040 (b) | | |
| | |
|
Series 4457, Class KF, 5.80%, 10/15/2040 (b) | | |
Series 4363, Class FA, 5.82%, 9/15/2041 (b) | | |
Series 4413, Class WF, 5.80%, 10/15/2041 (b) | | |
Series 4559, Class AF, 5.95%, 3/15/2042 (b) | | |
Series 4074, Class FE, 5.87%, 7/15/2042 (b) | | |
Series 4150, Class F, 5.84%, 1/15/2043 (b) | | |
Series 4161, Class YF, 5.84%, 2/15/2043 (b) | | |
Series 4281, Class FB, 6.02%, 12/15/2043 (b) | | |
Series 4606, Class FL, 5.97%, 12/15/2044 (b) | | |
Series 4594, Class GN, 2.50%, 2/15/2045 | | |
Series 5072, Class QC, 1.00%, 10/25/2050 | | |
| | |
Series 343, Class F4, 5.80%, 10/15/2037 (b) | | |
Series 328, Class S4, IF, IO, 0.68%, 2/15/2038 (b) | | |
FHLMC, Structured Pass-Through Certificates, Whole Loan | | |
Series T-51, Class 1A, PO, 9/25/2042 | | |
Series T-54, Class 4A, 4.25%, 2/25/2043 (b) | | |
First Horizon Mortgage Pass-Through Trust Series 2004-AR6, Class 2A1, 4.72%, 12/25/2034 (b) | | |
Flagstar Mortgage Trust Series 2019-2, Class A2, 3.50%, 12/25/2049 (a) (b) | | |
FNMA Trust, Whole Loan Series 2004-W2, Class 4A, 4.47%, 2/25/2044 (b) | | |
FNMA, Grantor Trust, Whole Loan | | |
Series 2002-T6, Class A4, 5.20%, 3/25/2041 (b) | | |
Series 2001-T8, Class A1, 7.50%, 7/25/2041 | | |
| | |
Series 2013-43, Class YH, 2.50%, 5/25/2033 | | |
Series 2004-17, Class BF, 5.81%, 1/25/2034 (b) | | |
Series 2006-3, Class SB, IF, IO, 1.24%, 7/25/2035 (b) | | |
| | |
Collateralized Mortgage Obligations — continued |
Series 2006-16, Class HZ, 5.50%, 3/25/2036 | | |
Series 2006-124, Class FC, 5.81%, 1/25/2037 (b) | | |
Series 2014-23, Class FA, 5.75%, 10/25/2039 (b) | | |
Series 2012-38, Class PA, 2.00%, 9/25/2041 | | |
Series 2012-93, Class ME, 2.50%, 1/25/2042 | | |
Series 2012-13, Class FA, 6.04%, 2/25/2042 (b) | | |
Series 2012-31, Class FB, 6.01%, 4/25/2042 (b) | | |
Series 2013-23, Class KJ, 2.25%, 5/25/2042 | | |
Series 2012-119, Class FB, 5.81%, 11/25/2042 (b) | | |
Series 2012-139, Class JA, 3.50%, 12/25/2042 | | |
Series 2013-6, Class FL, 5.86%, 2/25/2043 (b) | | |
Series 2014-49, Class AF, 5.77%, 8/25/2044 (b) | | |
Series 2015-42, Class BF, 5.76%, 6/25/2045 (b) | | |
Series 2016-25, Class LA, 3.00%, 7/25/2045 | | |
Series 2016-33, Class JA, 3.00%, 7/25/2045 | | |
Series 2015-91, Class AF, 5.82%, 12/25/2045 (b) | | |
Series 2016-58, Class SA, IO, 0.79%, 8/25/2046 (b) | | |
Series 2017-108, Class PA, 3.00%, 6/25/2047 | | |
Series 2017-104, Class LA, 3.00%, 11/25/2047 | | |
Series 2019-38, Class PC, 3.00%, 2/25/2048 | | |
Series 2019-77, Class FP, 6.01%, 1/25/2050 (b) | | |
Series 2014-66, Class WF, 5.80%, 10/25/2054 (b) | | |
Series 2019-74, Class BF, 6.01%, 12/25/2059 (b) | | |
FNMA, REMIC Trust, Whole Loan | | |
Series 2003-W4, Class 5A, 4.21%, 10/25/2042 (b) | | |
| | |
|
Series 2003-W15, Class 3A, 4.79%, 12/25/2042 (b) | | |
Series 2003-W1, Class 2A, 5.25%, 12/25/2042 (b) | | |
Series 2009-W1, Class A, 6.00%, 12/25/2049 | | |
| | |
Series 2011-158, Class EB, 4.00%, 12/20/2026 | | |
Series 2010-166, Class GP, 3.00%, 4/20/2039 | | |
Series 2012-61, Class FM, 5.85%, 5/16/2042 (b) | | |
Series 2012-H21, Class FA, 5.95%, 7/20/2062 (b) | | |
Series 2012-H29, Class FA, 5.96%, 10/20/2062 (b) | | |
Series 2013-H16, Class FA, 5.99%, 7/20/2063 (b) | | |
Series 2014-H07, Class FC, 6.05%, 5/20/2064 (b) | | |
Series 2014-H11, Class JA, 5.95%, 6/20/2064 (b) | | |
Series 2014-H17, Class FM, 5.92%, 8/20/2064 (b) | | |
Series 2015-H03, Class FD, 6.09%, 1/20/2065 (b) | | |
Series 2015-H04, Class FL, 5.91%, 2/20/2065 (b) | | |
Series 2015-H12, Class FJ, 5.88%, 5/20/2065 (b) | | |
Series 2015-H14, Class FB, 5.88%, 5/20/2065 (b) | | |
Series 2015-H12, Class FA, 5.93%, 5/20/2065 (b) | | |
Series 2015-H15, Class FB, 6.05%, 6/20/2065 (b) | | |
Series 2015-H19, Class FN, 5.89%, 7/20/2065 (b) | | |
Series 2015-H23, Class TA, 5.92%, 9/20/2065 (b) | | |
GSAA Trust Series 2004-CW1, Class 1A1, 5.50%, 4/1/2034 | | |
GSR Mortgage Loan Trust Series 2004-10F, Class 7A1, 5.50%, 9/25/2034 | | |
| | |
Series 2004-6, Class 1A2, 6.17%, 10/25/2034 (b) | | |
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Collateralized Mortgage Obligations — continued |
Series 2005-5, Class A1, 6.03%, 8/25/2035 (b) | | |
IndyMac INDA Mortgage Loan Trust Series 2007-AR1, Class 1A1, 4.01%, 3/25/2037 (b) | | |
JPMorgan Mortgage Trust Series 2003-A1, Class 1A1, 5.17%, 10/25/2033 (b) | | |
LHOME Mortgage Trust Series 2024-RTL4, Class A1, 5.92%, 7/25/2039 (a) (c) | | |
MASTR Adjustable Rate Mortgages Trust | | |
Series 2004-13, Class 2A1, 6.49%, 4/21/2034 (b) | | |
Series 2004-13, Class 3A7B, 6.78%, 11/21/2034 (b) | | |
MASTR Seasoned Securitization Trust Series 2003-1, Class 3A2, 5.79%, 2/25/2033 (b) | | |
Mellon Residential Funding Corp. Mortgage Pass-Through Certificates | | |
Series 2002-TBC1, Class B1, 6.45%, 9/15/2030 (b) | | |
Series 2002-TBC1, Class B2, 6.85%, 9/15/2030 (b) | | |
Series 2001-TBC1, Class B1, 6.33%, 11/15/2031 (b) | | |
Merrill Lynch Mortgage Investors Trust | | |
Series 2004-D, Class A1, 6.05%, 9/25/2029 (b) | | |
Series 2004-1, Class 2A3, 5.68%, 12/25/2034 (b) | | |
Metlife Securitization Trust | | |
Series 2017-1A, Class A, 3.00%, 4/25/2055 (a) (b) | | |
Series 2018-1A, Class A, 3.75%, 3/25/2057 (a) (b) | | |
Morgan Stanley Dean Witter Capital I, Inc. Trust | | |
Series 2003-HYB1, Class A4, 6.08%, 3/25/2033 (b) | | |
Series 2003-HYB1, Class B1, 6.08%, 3/25/2033 (b) | | |
Morgan Stanley Mortgage Loan Trust | | |
Series 2004-3, Class 4A, 5.65%, 4/25/2034 (b) | | |
Series 2004-5AR, Class 3A3, 5.83%, 7/25/2034 (b) | | |
Series 2004-5AR, Class 3A5, 5.83%, 7/25/2034 (b) | | |
Series 2004-11AR, Class 1A2A, 5.70%, 1/25/2035 (b) | | |
| | |
|
MRFC Mortgage Pass-Through Trust Series 2002-TBC2, Class B1, 6.30%, 8/15/2032 (b) | | |
NAAC Reperforming Loan REMIC Trust Certificates Series 2004-R3, Class AF, 5.84%, 2/25/2035 (a) (b) | | |
New Residential Mortgage Loan Trust Series 2018-4A, Class A1S, 6.21%, 1/25/2048 (a) (b) | | |
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-A3, Class A1, 5.50%, 8/25/2033 (c) | | |
Prime Mortgage Trust Series 2005-2, Class 2A1, 5.78%, 10/25/2032 (b) | | |
PRPM LLC Series 2020-6, Class A1, 5.36%, 11/25/2025 (a) (c) | | |
| | |
Series 2005-SA2, Class 2A2, 6.30%, 6/25/2035 (b) | | |
Series 2006-SA4, Class 2A1, 5.56%, 11/25/2036 (b) | | |
| | |
Series 11, Class A, 6.35%, 12/20/2032 (b) | | |
Series 2003-3, Class A2, 6.40%, 7/20/2033 (b) | | |
Series 2004-11, Class A2, 6.35%, 12/20/2034 (b) | | |
Structured Asset Mortgage Investments II Trust Series 2004-AR1, Class 1A1, 6.16%, 3/19/2034 (b) | | |
Structured Asset Mortgage Investments Trust Series 2002-AR2, Class A3, 6.21%, 7/19/2032 (b) | | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates | | |
Series 2003-24A, Class 2A, 6.83%, 7/25/2033 (b) | | |
Series 2003-40A, Class 4A, 7.52%, 1/25/2034 (b) | | |
Thornburg Mortgage Securities Trust Series 2004-4, Class 5A, 3.06%, 12/25/2044 (b) | | |
Towd Point Mortgage Trust Series 2018-4, Class A1, 3.00%, 6/25/2058 (a) (b) | | |
| | |
Collateralized Mortgage Obligations — continued |
WaMu Mortgage Pass-Through Certificates Trust | | |
Series 2004-AR3, Class A1, 5.72%, 6/25/2034 (b) | | |
Series 2004-AR11, Class A, 6.59%, 10/25/2034 (b) | | |
Total Collateralized Mortgage Obligations
(Cost $201,525,344) | | |
Mortgage-Backed Securities — 13.9% |
FHLMC Gold Pools, Other Pool # U49009, 3.00%, 8/1/2028 | | |
| | |
Pool # RA2459, 4.00%, 4/1/2050 | | |
Pool # RA2904, 3.00%, 6/1/2050 | | |
Pool # RA2970, 2.50%, 7/1/2050 | | |
Pool # SD1787, 5.00%, 10/1/2052 | | |
Pool # SD8277, 5.50%, 12/1/2052 | | |
Pool # QF9638, 5.00%, 3/1/2053 | | |
Pool # SD5658, 5.50%, 6/1/2054 | | |
FNMA UMBS, 15 Year Pool # AD1969, 4.00%, 2/1/2025 | | |
| | |
Pool # MA1338, 3.00%, 2/1/2033 | | |
Pool # MA1401, 3.00%, 4/1/2033 | | |
Pool # MA1490, 3.00%, 7/1/2033 | | |
| | |
Pool # 995724, 6.00%, 4/1/2039 | | |
Pool # AD0588, 5.00%, 12/1/2039 | | |
Pool # AD9721, 5.50%, 8/1/2040 | | |
Pool # BM3048, 4.00%, 10/1/2042 | | |
Pool # AS4592, 4.00%, 2/1/2045 | | |
Pool # BM5560, 4.00%, 1/1/2046 | | |
Pool # CA0411, 4.00%, 9/1/2047 | | |
Pool # CA2489, 4.50%, 10/1/2048 | | |
Pool # BP7345, 3.00%, 6/1/2050 | | |
Pool # BQ7436, 3.00%, 9/1/2051 | | |
Pool # BQ7454, 3.00%, 12/1/2051 | | |
Pool # FS2898, 4.50%, 9/1/2052 | | |
Pool # CB4630, 5.50%, 9/1/2052 | | |
Pool # FS3051, 5.00%, 10/1/2052 | | |
Pool # CB4839, 5.50%, 10/1/2052 | | |
Pool # CB5027, 5.50%, 11/1/2052 | | |
FNMA, Other Pool # BK7908, 4.00%, 11/1/2048 | | |
GNMA I, 15 Year Pool # 723171, 4.50%, 10/15/2024 | | |
| | |
|
GNMA II, 30 Year Pool # CG5224, 3.50%, 8/20/2051 | | |
GNMA II, Other Pool # 787496, 6.00%, 7/20/2064 | | |
Total Mortgage-Backed Securities
(Cost $112,111,644) | | |
Commercial Mortgage-Backed Securities — 10.4% |
20 Times Square Trust Series 2018-20TS, Class A, 3.20%, 5/15/2035 (a) (b) | | |
BAMLL Commercial Mortgage Securities Trust Series 2015-200P, Class A, 3.22%, 4/14/2033 (a) | | |
BANK Series 2021-BN35, Class A2, 1.87%, 6/15/2064 | | |
Bayview Commercial Asset Trust | | |
Series 2005-2A, Class A2, 5.92%, 8/25/2035 (a) (b) | | |
Series 2005-2A, Class M1, 6.04%, 8/25/2035 (a) (b) | | |
Series 2007-3, Class A2, 5.83%, 7/25/2037 (a) (b) | | |
BBCMS Mortgage Trust Series 2020-C7, Class A2, 2.02%, 4/15/2053 | | |
BBCMS Trust Series 2015-VFM, Class A1, 2.47%, 3/10/2036 (a) | | |
BHMS Series 2018-ATLS, Class A, 6.88%, 7/15/2035 (a) (b) | | |
| | |
Series 2021-MFM1, Class A, 6.15%, 1/15/2034 (a) (b) | | |
Series 2024-PALM, Class A, 6.88%, 6/15/2037 (a) (b) | | |
| | |
Series 2021-BXMF, Class A, 6.09%, 10/15/2026 (a) (b) | | |
Series 2021-LBA, Class AJV, 6.25%, 2/15/2036 (a) (b) | | |
Commercial Mortgage Trust Series 2020-CBM, Class A1, 2.31%, 2/10/2037 (a) (b) | | |
FHLMC, Multi-Family Structured Credit Risk Series 2021-MN1, Class M1, 7.35%, 1/25/2051 (a) (b) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series Q007, Class APT2, 3.92%, 10/25/2047 (b) | | |
Series Q013, Class APT1, 2.68%, 5/25/2050 (b) | | |
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
ILPT Commercial Mortgage Trust Series 2022-LPF2, Class A, 7.58%, 10/15/2039 (a) (b) | | |
OAKST Commercial Mortgage Trust Series 2023-NLP, Class A, 6.30%, 3/15/2040 (a) (b) | | |
One Bryant Park Trust Series 2019-OBP, Class A, 2.52%, 9/15/2054 (a) | | |
ONE Mortgage Trust Series 2021-PARK, Class A, 6.15%, 3/15/2036 (a) (b) | | |
SDR Commercial Mortgage Trust Series 2024-DSNY, Class A, 6.73%, 5/15/2039 (a) (b) | | |
SMR Mortgage Trust Series 2022-IND, Class A, 6.99%, 2/15/2039 (a) (b) | | |
STWD Mortgage Trust (Cayman Islands) Series 2021-LIH, Class B, 7.11%, 11/15/2036 (a) (b) | | |
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a) | | |
Wells Fargo Commercial Mortgage Trust Series 2021-SAVE, Class A, 6.60%, 2/15/2040 (a) (b) | | |
Total Commercial Mortgage-Backed Securities
(Cost $80,580,876) | | |
|
|
BNP Paribas SA (France) (SOFR + 1.00%), 1.32%, 1/13/2027 (a) (e) | | |
Sumitomo Mitsui Financial Group, Inc. (Japan) 0.95%, 1/12/2026 | | |
Truist Financial Corp. 1.20%, 8/5/2025 | | |
| | |
|
UBS AG (Switzerland) 7.95%, 1/9/2025 | | |
Diversified Telecommunication Services — 0.5% |
AT&T, Inc. 1.65%, 2/1/2028 | | |
Independent Power and Renewable Electricity Producers — 0.2% |
Southern Power Co. 0.90%, 1/15/2026 | | |
|
Protective Life Global Funding 1.17%, 7/15/2025 (a) | | |
Total Corporate Bonds
(Cost $28,668,928) | | |
| | |
Short-Term Investments — 10.6% |
Investment Companies — 10.6% |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (f) (g)
(Cost $80,295,213) | | |
Total Investments — 100.0%
(Cost $775,062,372) | | |
Liabilities in Excess of Other Assets — (0.0)% ^ | | |
| | |
Percentages indicated are based on net assets. |
| |
| Collateralized Loan Obligations |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| 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 August 31, 2024. The rate may be subject to a cap and floor. |
| 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. |
| 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. |
| Real Estate Mortgage Investment Conduit |
| Secured Overnight Financing Rate |
| 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. |
| Uniform Mortgage-Backed Securities |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| 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 August 31, 2024. | |
| 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 August 31, 2024. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of August 31, 2024. | |
| 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. | |
| The rate shown is the current yield as of August 31, 2024. | |
JPMorgan Sustainable Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited)
| | |
Municipal Bonds — 88.5% (a) |
|
County of Jefferson sewer Series 2024, Rev., 5.00%, 10/1/2035 | | |
|
Arizona Board of Regents, Stimulus Plan For Economic and Educational Development Series 2024, Rev., 5.00%, 8/1/2043 | | |
Arizona Industrial Development Authority, Equitable School Revolving Fund LLC Series 2022A, Rev., 5.00%, 11/1/2037 | | |
Arizona Industrial Development Authority, KIPP Nashville Project | | |
Series 2022A, Rev., 5.00%, 7/1/2030 | | |
Series 2022A, Rev., 5.00%, 7/1/2031 | | |
Series 2022A, Rev., 5.00%, 7/1/2032 | | |
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) | | |
Maricopa County Industrial Development Authority, Arizona Autism Charter School Project Series 2021A, Rev., 4.00%, 7/1/2041 (b) | | |
Maricopa County Industrial Development Authority, Banner Health Series A, Rev., 4.00%, 1/1/2041 | | |
| | |
|
California Community Choice Financing Authority, Clean Energy Project | | |
Series 2023B-1, Rev., 5.00%, 8/1/2029 (c) | | |
Series 2024 A, Rev., 5.00%, 4/1/2032 (c) | | |
California Health Facilities Financing Authority, Adventist Health System Series 2024A, Rev., 5.00%, 12/1/2036 | | |
California Infrastructure and Economic Development Bank, Brightline West Passenger Rail Project Series 2020 A-4, Rev., AMT, 8.00%, 8/15/2025 (b) (c) | | |
California Infrastructure and Economic Development Bank, California Academy Of Science Series 2024A, Rev., 3.25%, 8/1/2029 | | |
California Pollution Control Financing Authority, Poseidon Resources Channelside LP Desalination Project | | |
Rev., AMT, 5.00%, 7/1/2036 (b) | | |
Rev., AMT, 5.00%, 7/1/2037 (b) | | |
| | |
|
|
California School Finance Authority, Green Dot Public Schools Project Series 2022A, Rev., 5.00%, 8/1/2032 (b) | | |
California School Finance Authority, Kipp SoCal Public Schools Series 2019A, Rev., 5.00%, 7/1/2039 (b) | | |
California Statewide Communities Development Authority Series 2009 C-2, Rev., 5.00%, 11/1/2029 (c) | | |
California Statewide Communities Development Authority, Emanate Health, Tax-Exempt Series 2020A, Rev., 3.00%, 4/1/2050 | | |
California Statewide Communities Development Authority, Front Porch Communities Series 2021A, Rev., 4.00%, 4/1/2039 | | |
California Statewide Communities Development Authority, John Muir Health Series 2024A, Rev., 5.00%, 12/1/2026 | | |
State of California, Various Purpose GO, 5.00%, 8/1/2028 | | |
| | |
|
City of Colorado Springs Utilities System Series 2024A, Rev., 5.00%, 11/15/2049 | | |
Colorado Health Facilities Authority, Adventist Health System Series 2024 A-1, Rev., 5.00%, 11/15/2029 (c) | | |
Colorado Housing and Finance Authority Series 2023L, Class III, Rev., GNMA COLL, 5.75%, 11/1/2053 | | |
Colorado Housing and Finance Authority, Single Family Mortgage Series 2020B, Class I, Rev., 3.75%, 5/1/2050 | | |
Dominion Water and Sanitation District | | |
| | |
| | |
| | |
|
Connecticut State Health and Educational Facilities Authority, Yale New Heaven Health Series 2024 B, Rev., 5.00%, 7/1/2029 (c) | | |
| | |
Municipal Bonds — continued |
|
Connecticut State Higher Education Supplemental Loan Authority, CHESLA Loan Program Series 2019B, Rev., AMT, 5.00%, 11/15/2027 | | |
Stamford Housing Authority, The Dogwoods Project Rev., BAN, 11.00%, 12/1/2027 (b) | | |
| | |
|
Delaware State Health Facilities Authority, Beebe Medical Center Project Rev., 5.00%, 6/1/2034 | | |
District of Columbia — 0.7% |
Washington Metropolitan Area Transit Authority Dedicated, Sustainability Climate Transition Bonds Series 2024 A, Rev., 4.38%, 7/15/2059 | | |
|
Florida Development Finance Corp., Brightline Florida Passenger Rail Project | | |
Series 2024, Rev., AMT, 5.00%, 7/1/2037 | | |
Series 2024, Rev., AMT, 5.50%, 7/1/2053 | | |
Florida Development Finance Corp., Central Charter School Project Series 2022, Rev., 5.63%, 8/15/2042 (b) | | |
Florida Development Finance Corp., Idea Florida, Inc., Jacksonville IV Project Rev., 5.25%, 6/15/2029 (b) | | |
Lee County School Board (The) Series 2023A, COP, 5.00%, 8/1/2042 | | |
Lee Memorial Health System Series A-1, Rev., 5.00%, 4/1/2036 | | |
Middleton Community Development District A, City of Wildwood, Florida Special Assessment 5.85%, 5/1/2037 | | |
Okaloosa County School Board COP, AGC, 5.00%, 10/1/2049 | | |
Palm Beach County Health Facilities Authority, Jupiter Medical Center Series 2022, Rev., 5.00%, 11/1/2047 | | |
Palm Beach County School District Series 2023A, COP, 5.00%, 8/1/2040 | | |
Village Community Development District No. 15 4.25%, 5/1/2028 (b) | | |
| | |
| | |
|
|
Gainesville and Hall County Hospital Authority, Northeast Georgia Health System, Inc., Project Rev., RAN, 5.00%, 10/15/2030 | | |
Georgia Housing and Finance Authority Series 2024 A, Rev., 5.00%, 12/1/2042 | | |
Main Street Natural Gas, Inc., Gas Supply | | |
Series 2022B, Rev., 5.00%, 6/1/2029 (c) | | |
Series 2024B, Rev., 5.00%, 3/1/2032 (c) | | |
Metropolitan Atlanta Rapid Transit Authority, Sales Tax Series 2024 B, Rev., 5.00%, 7/1/2041 | | |
| | |
|
City of Aurora, Single Family Mortgage | | |
Series 2007B, Rev., GNMA / FNMA / FHLMC, 5.45%, 12/1/2039 | | |
Series 2007-A, Rev., AMT, GNMA / FNMA / FHLMC, 5.50%, 12/1/2039 | | |
City of Chicago, Waterworks, Second Lien | | |
Series 2023B, Rev., AGM, 5.00%, 11/1/2035 | | |
Series 2023B, Rev., AGM, 5.00%, 11/1/2039 | | |
Illinois Finance Authority, Lake Forest College | | |
Series 2022A, Rev., 5.00%, 10/1/2032 | | |
Series 2022A, Rev., 5.50%, 10/1/2039 | | |
Illinois Finance Authority, University Of Chicago Series 2024 A, Rev., 5.00%, 4/1/2032 | | |
Illinois Housing Development Authority Series 2024 A, Rev., GNMA / FNMA / FHLMC, 6.00%, 10/1/2054 | | |
State of Illinois Series 2023B, GO, 4.50%, 5/1/2048 | | |
University of Illinois Auxiliary Facilities System Series 2024A, Rev., 5.25%, 4/1/2043 | | |
Will County Forest Preservation District, Limited Tax GO, 5.00%, 12/15/2036 | | |
Will County School District No. 86 Joliet Series 2024, GO, 5.00%, 3/1/2042 | | |
| | |
|
City of Goshen, Multi-Family, Green Oaks of Goshen Project Series 2021A, Rev., 5.00%, 8/1/2041 (b) | | |
JPMorgan Sustainable Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
City of Jeffersonville, Vivera Senior Living of Jeffersonville Project Series 2020A, Rev., 4.75%, 11/1/2030 (b) | | |
Indiana Finance Authority, CHF- Tippecanoe LLC- Student Housing Project Series 2023A, Rev., 5.00%, 6/1/2053 | | |
| | |
|
Iowa Finance Authority, Senior Living Facility, Sunrise Retirement Community Project | | |
| | |
| | |
| | |
| | |
Iowa Student Loan Liquidity Corp., Student Loan Series 2015A, Rev., AMT, 5.00%, 12/1/2025 | | |
| | |
|
County of Knott, Solid Waste Water Project Series 2024, Rev., AMT, 4.00%, 4/1/2025 (b) (c) | | |
Kentucky Public Energy Authority Series 2024A, Rev., 5.00%, 7/1/2030 (c) | | |
University of Kentucky, Healthcare Cancer Center Parking Projects Rev., 5.00%, 10/1/2025 (d) | | |
| | |
|
Louisiana Public Facilities Authority, Mentorship Steam Academy Project | | |
Series 2021A, Rev., 5.00%, 6/1/2036 (b) | | |
Series 2021A, Rev., 5.00%, 6/1/2042 (b) | | |
Louisiana Public Facilities Authority, Tulane University of Louisiana Project Series 2020 A, Rev., 5.00%, 4/1/2045 | | |
| | |
|
Massachusetts Development Finance Agency, Boston Medical Center Issue | | |
Series 2023G, Rev., 5.25%, 7/1/2048 | | |
Series 2023G, Rev., 4.38%, 7/1/2052 | | |
| | |
| | |
|
|
City of Detroit, Unlimited Tax | | |
Series 2021A, GO, 5.00%, 4/1/2033 | | |
Series 2023A, GO, 6.00%, 5/1/2039 | | |
Michigan Finance Authority, Trinity Health Credit Group | | |
Series 2022B, Rev., 5.00%, 12/1/2028 (c) | | |
Series 2013MI-4, Rev., 4.00%, 12/1/2038 | | |
| | |
|
City of Rochester, Mayo Clinic Series 2022, Rev., 4.00%, 11/15/2039 | | |
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 | | |
Minnesota Housing Finance Agency Series 2022M, Rev., GNMA / FNMA / FHLMC COLL, 6.00%, 1/1/2053 | | |
Minnesota Housing Finance Agency, Non Profit Housing, State Appropriation | | |
| | |
| | |
Minnesota Housing Finance Agency, Residential Housing Series 2024 O, Rev., GNMA / FNMA / FHLMC, 6.25%, 1/1/2055 | | |
| | |
|
Health and Educational Facilities Authority of the State of Missouri, Mercy Health Series 2018A, Rev., 5.00%, 6/1/2031 | | |
Missouri Housing Development Commission, Single Family, First Place Homeownership Loan Program Series 2024 A, Rev., GNMA / FNMA / FHLMC, 5.75%, 5/1/2055 | | |
Missouri State Environmental Improvement and Energy Resources Authority, Water Pollution Control and Drinking Water Series 2015 B, Rev., 5.00%, 7/1/2026 | | |
| | |
|
City of Manchester, School Facilities Rev., NATL - RE, 5.50%, 6/1/2027 | | |
|
Camden County Improvement Authority (The), Camden Prep High School Project Rev., 5.00%, 7/15/2042 (b) | | |
| | |
Municipal Bonds — continued |
|
Build NYC Resource Corp., Grand Concourse Academy Charter School | | |
Series 2022A, Rev., 3.40%, 7/1/2027 | | |
Series 2022A, Rev., 5.00%, 7/1/2042 | | |
Build NYC Resource Corp., Kipp NYC Public School Facilities - Canal West Project Rev., 5.00%, 7/1/2029 | | |
Camden Central School District GO, BAN, 4.50%, 6/26/2025 | | |
Gloversville Enlarged School District GO, BAN, 4.50%, 6/26/2025 | | |
Monroe County Industrial Development Corp., Academy of Health Sciences Charter School Project Series 2022A, Rev., 5.00%, 7/1/2032 (b) | | |
New York City Municipal Water Finance Authority, Second Generation, Fiscal Year 2024 Series 2024, Subseries BB-1, Rev., 5.25%, 6/15/2047 | | |
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., 3.90%, 9/3/2024 (c) | | |
New York State Dormitory Authority Series 2024A, Rev., 5.50%, 7/1/2054 | | |
New York State Dormitory Authority, Brooklyn Law School Series 2019 A, Rev., 5.00%, 7/1/2033 | | |
New York State Dormitory Authority, New York University Series 2024, Rev., 5.25%, 7/1/2049 | | |
New York State Dormitory Authority, Pace University Series 2024 A, Rev., 5.25%, 5/1/2040 | | |
New York Transportation Development Corp., JFK International Airport New Terminal One Project Series 2023, Rev., AMT, AGM, 5.00%, 6/30/2049 | | |
New York Transportation Development Corp., John F. Kennedy International Airport New Terminal One Project Series 2024, Rev., AMT, AGM, 5.00%, 6/30/2049 | | |
Northeastern Clinton Central School District GO, BAN, 4.50%, 6/26/2025 | | |
Saratoga County Capital Resource Corp., Skidmore College Project Series 2020 A, Rev., 5.00%, 7/1/2045 | | |
| | |
|
|
Sherburne Earlville Central School District GO, BAN, 4.50%, 7/18/2025 | | |
Triborough Bridge and Tunnel Authority, Payroll Mobility Tax Series 2024C, Rev., 5.00%, 11/15/2035 | | |
| | |
|
City of Charlotte Series 2023B, Rev., AMT, 5.00%, 7/1/2048 | | |
|
American Municipal Power, Inc., Solar Electricity Prepayment Project Series 2019A, Rev., 5.00%, 2/15/2035 | | |
Jefferson County Port Authority, JSW Steel USA Ohio, Inc., Project Series 2023, Rev., 5.00%, 12/1/2028 (b) (c) | | |
Lakota Local School District Series 2005, GO, NATL - RE, 5.25%, 12/1/2025 | | |
Northeast Ohio Medical University | | |
Series 2022, Rev., 5.00%, 12/1/2034 | | |
Series 2022, Rev., 5.00%, 12/1/2037 | | |
Ohio Water Development Authority, Water Pollution Control Loan Fund Series 2024A, Rev., 5.00%, 12/1/2043 | | |
State of Ohio, Children's Hospital Medical Center of Akron Series 2024 B, Rev., 5.00%, 8/15/2032 (c) | | |
University of Cincinnati Series 2024A, Rev., 5.25%, 6/1/2049 | | |
| | |
|
Oklahoma Water Resources Board, State Loan Program | | |
Series 2024B, Rev., 5.25%, 10/1/2044 | | |
Series 2021D, Rev., 4.00%, 10/1/2046 | | |
| | |
|
Multnomah and Clackamas Counties School District No. 10JT Gresham-Barlow Series B, GO, Zero Coupon, 6/15/2035 | | |
Union County Hospital Facility Authority, Grande Ronde Hospital, Inc. Series 2022, Rev., 5.00%, 7/1/2035 | | |
| | |
JPMorgan Sustainable Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
| | |
Municipal Bonds — continued |
|
Multi-Family Housing, Bond Pass-Through Certificates, Grand Reserve Apartments Series 8, Rev., 5.95%, 11/1/2035 (c) | | |
|
Bucks County Water and Sewer Authority Series 2022A, Rev., AGM, 5.00%, 12/1/2038 | | |
Northampton County General Purpose Authority,St. Luke's Hospital Obligated Group Series 2024A-1, Rev., AGM, 5.00%, 8/15/2049 | | |
Pennsylvania Economic Development Financing Authority, Presbyterian Senior Living Homes Series 2021, Rev., 4.00%, 7/1/2046 | | |
Pennsylvania Housing Finance Agency Series 2024-145A, Rev., 6.00%, 10/1/2054 | | |
Philadelphia Energy Authority (The), Philadelphia Street Lighting Project Series 2023A, Rev., 5.00%, 11/1/2043 | | |
| | |
|
South Carolina Jobs-Economic Development Authority, Novant Health Obligated Group Series 2024 A, Rev., 5.50%, 11/1/2054 | | |
|
South Dakota Housing Development Authority Series 2024C, Rev., GNMA / FNMA / FHLMC, 6.25%, 11/1/2055 (d) | | |
|
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Blakeford at Green Hills Series 2020A, Rev., 4.00%, 11/1/2038 | | |
Shelby County Health Educational and Housing Facilities Board, Baptism Memorial Health Obligated Group Series 2024B, Rev., 5.00%, 9/1/2029 (c) | | |
Shelby County Health Educational and Housing Facilities Board, Madrone Memphis Student Housing I, LLC- University of Memphis Project Series 2024 A-1, Rev., 5.00%, 6/1/2044 (b) | | |
Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station Project Series 2019A, Rev., 5.75%, 10/1/2049 | | |
| | |
| | |
|
|
Clifton Higher Education Finance Corp., Yes Prep Public School, Inc. Series 2023, Rev., PSF-GTD, 4.25%, 4/1/2048 | | |
Denton Independent School District | | |
Series 2023, GO, PSF-GTD, 5.00%, 8/15/2041 | | |
Series 2023, GO, PSF-GTD, 5.00%, 8/15/2043 | | |
Midland Independent School District Series 2024, GO, PSF-GTD, 4.00%, 2/15/2054 | | |
Northwest Independent School District, Unlimited Tax Series 2024 A, GO, PSF-GTD, 5.00%, 2/15/2049 | | |
Tarrant Regional Water District Water Supply System Series 2024, Rev., 5.00%, 3/1/2041 | | |
Texas A&M University Series 2024A, Rev., 5.00%, 5/15/2040 | | |
Texas Water Development Board, State Water Implementation Fund Series 2019A, Rev., 4.00%, 10/15/2044 | | |
Via Metropolitan Transit Advanced Transportation District Sales Tax | | |
Series 2024, Rev., 5.00%, 8/1/2029 | | |
Series 2024, Rev., 5.00%, 8/1/2049 | | |
| | |
|
Utah Associated Municipal Power Systems, Horse Butte Wind Project Series 2017B, Rev., 5.00%, 9/1/2033 | | |
Utah Charter School Finance Authority, Wallace Stegner Academy Series 2022A, Rev., 5.63%, 6/15/2042 (b) | | |
Utah Transit Authority, Sales Tax Series 2006C, Rev., AGM, 5.25%, 6/15/2029 | | |
| | |
|
Vermont Student Assistance Corp., Education Loan Series 2016A, Rev., AMT, 5.00%, 6/15/2025 | | |
|
Hampton Roads Sanitation District Series 2024 A, Rev., 5.00%, 11/1/2037 | | |
|
| | |
Series 2016A, Rev., 4.00%, 7/1/2039 | | |
Series 2016A, Rev., 4.00%, 7/1/2041 | | |
| | |
Municipal Bonds — continued |
|
FYI Properties, State of Washington District Project Rev., 5.00%, 6/1/2039 | | |
Washington Health Care Facilities Authority, Multicare Health System Series 2017B, Rev., 5.00%, 8/15/2035 | | |
Washington State Housing Finance Commission Series 2024, Rev., 5.50%, 7/1/2049 | | |
Washington State Housing Finance Commission, Seattle Academy Of Arts and Science Project | | |
Series 2023, Rev., 5.00%, 7/1/2028 (b) | | |
Series 2023, Rev., 5.13%, 7/1/2033 (b) | | |
| | |
|
West Virginia Hospital Finance Authority, University Health System Series 2023 A, Rev., 5.00%, 6/1/2040 | | |
|
Public Finance Authority, Ripple Ranch, LLC Obligate Series 2021A, Rev., 5.25%, 12/1/2051 (b) | | |
Public Finance Authority, The Franklin School of Innovation Rev., 5.00%, 1/1/2042 (b) | | |
Wisconsin Health and Educational Facilities Authority, Franciscan Sisters of Christian Charity Sponsored Ministries, Inc. Series 2017A, Rev., 5.00%, 9/1/2027 (e) | | |
Wisconsin Health and Educational Facilities Authority, Milwaukee Regional Medical Center Thermal Service Rev., 5.00%, 4/1/2035 | | |
Wisconsin Housing and Economic Development Authority Home Ownership Series 2024 A, Rev., GNMA / FNMA / FHLMC, 6.00%, 9/1/2054 | | |
| | |
Total Municipal Bonds
(Cost $192,506,592) | | |
| | |
Short-Term Investments — 11.7% |
Investment Companies — 11.7% |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.24% (f) (g)
(Cost $25,483,699) | | |
Total Investments — 100.2%
(Cost $217,990,291) | | |
Liabilities in Excess of Other Assets — (0.2)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Insured by Assured Guaranty Corp. |
| Insured by Assured Guaranty Municipal Corp. |
| |
| |
| Connecticut Higher Education Supplemental Loan Authority |
| |
| Certificate of Participation |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| |
| |
| Insured by National Public Finance Guarantee Corp. |
| Permanent School Fund Guaranteed |
| Revenue Anticipation Note |
| |
| |
| Variable Rate Demand Obligation |
| The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of August 31, 2024. |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| Security is prerefunded or escrowed to maturity. |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| The rate shown is the current yield as of August 31, 2024. |
JPMorgan Sustainable Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTSAS OF August 31, 2024 (Unaudited) (continued)
Futures contracts outstanding as of August 31, 2024:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
STATEMENTS OF ASSETS AND LIABILITIESAS OF August 31, 2024 (Unaudited)
| JPMorgan
High Yield Municipal ETF | JPMorgan Limited
Duration Bond ETF | JPMorgan Sustainable
Municipal Income ETF |
| | | |
Investments in non-affiliates, at value | | | |
Investments in affiliates, at value | | | |
| | | |
Deposits at broker for futures contracts | | | |
| | | |
Investment securities sold | | | |
| | | |
Interest from non-affiliates | | | |
Dividends from affiliates | | | |
Variation margin on futures contracts | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Investment securities purchased | | | |
Investment securities purchased — delayed delivery securities | | | |
| | | |
| | | |
| | | |
Printing and mailing costs | | | |
Custodian and accounting fees | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Total distributable earnings (loss) | | | |
| | | |
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001) | | | |
Net asset value, per share | | | |
Cost of investments in non-affiliates | | | |
Cost of investments in affiliates | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF OPERATIONSFOR THE SIX MONTHS ENDED August 31, 2024 (Unaudited)
| JPMorgan
High Yield Municipal ETF | JPMorgan Limited
Duration Bond ETF | JPMorgan Sustainable
Municipal Income ETF |
| | | |
Interest income from non-affiliates | | | |
Interest income from affiliates | | | |
Dividend income from affiliates | | | |
| | | |
| | | |
| | | |
| | | |
Custodian and accounting fees | | | |
Interest expense to non-affiliates | | | |
Interest expense to affiliates | | | |
| | | |
Trustees’ and Chief Compliance Officer’s fees | | | |
Printing and mailing costs | | | |
Registration and filing fees | | | |
| | | |
| | | |
| | | |
Less expense reimbursements | | | |
| | | |
Net investment income (loss) | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | |
Net realized gain (loss) on transactions from: | | | |
Investments in non-affiliates | | | |
Investments in affiliates | | | |
| | | |
| | | |
Change in net unrealized appreciation/depreciation on: | | | |
Investments in non-affiliates | | | |
Investments in affiliates | | | |
| | | |
Change in net unrealized appreciation/depreciation | | | |
Net realized/unrealized gains (losses) | | | |
Change in net assets resulting from operations | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETSFOR THE PERIODS INDICATED
| JPMorgan High Yield Municipal ETF | JPMorgan Limited Duration Bond ETF |
| Six Months Ended
August 31, 2024
(Unaudited) | Year Ended
February 29, 2024 (a) | Six Months Ended
August 31, 2024
(Unaudited) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
(a)
JPMorgan High Yield Municipal ETF acquired all of the assets and liabilities of the JPMorgan High Yield Municipal Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 14, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan High Yield Municipal ETF and will be used going forward. As a result, the information prior to close of business on July 14, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
(b)
JPMorgan Limited Duration Bond ETF acquired all of the assets and liabilities of the JPMorgan Limited Duration Bond Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 28, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan Limited Duration Bond ETF and will be used going forward. As a result, the information prior to close of business on July 28, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETSFOR THE PERIODS INDICATED (continued)
| JPMorgan Sustainable Municipal Income ETF |
| Six Months Ended
August 31, 2024
(Unaudited) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | |
Net investment income (loss) | | |
| | |
Change in net unrealized appreciation/depreciation | | |
Change in net assets resulting from operations | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | |
Total distributions to shareholders | | |
| | |
Change in net assets resulting from capital transactions | | |
| | |
| | |
| | |
| | |
(a)
JPMorgan Sustainable Municipal Income ETF acquired all of the assets and liabilities of the JPMorgan Sustainable Municipal Income Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 14, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan Sustainable Municipal Income ETF and will be used going forward. As a result, the information prior to close of business on July 14, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan High Yield Municipal ETF | JPMorgan Limited Duration Bond ETF |
| Six Months Ended August 31, 2024
(Unaudited) | Year Ended February 29, 2024(a) | Six Months Ended August 31, 2024
(Unaudited) | |
CAPITAL TRANSACTIONS: (c) (d) | | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class C capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
(a)
JPMorgan High Yield Municipal ETF acquired all of the assets and liabilities of the JPMorgan High Yield Municipal Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 14, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan High Yield Municipal ETF and will be used going forward. As a result, the information prior to close of business on July 14, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
(b)
JPMorgan Limited Duration Bond ETF acquired all of the assets and liabilities of the JPMorgan Limited Duration Bond Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 28, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan Limited Duration Bond ETF and will be used going forward. As a result, the information prior to close of business on July 28, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
(c)
Reflects reorganization from JPMorgan High Yield Municipal Fund on July 14, 2023. See Note 1.
(d)
Reflects reorganization from JPMorgan Limited Duration Bond Fund on July 28, 2023. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETSFOR THE PERIODS INDICATED (continued)
| JPMorgan High Yield Municipal ETF | JPMorgan Limited Duration Bond ETF |
| Six Months Ended August 31, 2024 (Unaudited) | Year Ended February 29, 2024(a) | Six Months Ended August 31, 2024 (Unaudited) | |
SHARE TRANSACTIONS: (c) (d) | | | | |
| | | | |
| | | | |
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(a)
JPMorgan High Yield Municipal ETF acquired all of the assets and liabilities of the JPMorgan High Yield Municipal Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 14, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan High Yield Municipal ETF and will be used going forward. As a result, the information prior to close of business on July 14, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
(b)
JPMorgan Limited Duration Bond ETF acquired all of the assets and liabilities of the JPMorgan Limited Duration Bond Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 28, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan Limited Duration Bond ETF and will be used going forward. As a result, the information prior to close of business on July 28, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
(c)
Reflects reorganization from JPMorgan High Yield Municipal Fund on July 14, 2023. See Note 1.
(d)
Reflects reorganization from JPMorgan Limited Duration Bond Fund on July 28, 2023. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan Sustainable Municipal Income ETF |
| Six Months Ended August 31, 2024
(Unaudited) | |
CAPITAL TRANSACTIONS: (b) | | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from capital transactions | | |
| | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from Class A capital transactions | | |
| | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from Class C capital transactions | | |
| | |
Proceeds from shares issued | | |
| | |
| | |
Change in net assets resulting from Class I capital transactions | | |
Total change in net assets resulting from capital transactions | | |
(a)
JPMorgan Sustainable Municipal Income ETF acquired all of the assets and liabilities of the JPMorgan Sustainable Municipal Income Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 14, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan Sustainable Municipal Income ETF and will be used going forward. As a result, the information prior to close of business on July 14, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
(b)
Reflects reorganization from JPMorgan Sustainable Municipal Income Fund on July 14, 2023. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETSFOR THE PERIODS INDICATED (continued)
| JPMorgan Sustainable Municipal Income ETF |
| Six Months Ended August 31, 2024 (Unaudited) | |
| | |
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| | |
(a)
JPMorgan Sustainable Municipal Income ETF acquired all of the assets and liabilities of the JPMorgan Sustainable Municipal Income Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 14, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan Sustainable Municipal Income ETF and will be used going forward. As a result, the information prior to close of business on July 14, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
(b)
Reflects reorganization from JPMorgan Sustainable Municipal Income Fund on July 14, 2023. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
THIS PAGE IS INTENTIONALLY LEFT BLANK
FINANCIAL HIGHLIGHTSFOR THE PERIODS INDICATED
| Per share operating performance (a) |
| | | |
| Net asset
value,
beginning
of period | Net investment
income
(loss) (c) | Net realized
and unrealized
gains
(losses)
on investments | Total from
investment
operations | | | |
JPMorgan High Yield Municipal ETF (g) | | | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | | | |
Year Ended February 29, 2024 | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
|
| Per share amounts reflect the conversion of the Acquired Fund into the Fund as of the close of business on July 14, 2023. See Note 1. |
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| JPMorgan High Yield Municipal ETF acquired all of the assets and liabilities of the JPMorgan High Yield Municipal Fund (“Acquired 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 Acquired Fund are used as proxy market price returns. |
| JPMorgan High Yield Municipal ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan High Yield Municipal Fund (“Acquired Fund”) in a reorganization that occurred as of the close of business on July 14, 2023. Performance and financial history of the Acquired 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 Acquired Fund’s Class R6 Shares for the period March 1, 2019 up through the reorganization. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| | | | | Ratios to average net assets (b) | |
Net asset
value,
end of
period | | | Market
price
total
return (d)(f) | | | Net
investment
income
(loss) | Expenses
without waivers
and reimbursements | Portfolio
turnover
rate (d) |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
FINANCIAL HIGHLIGHTSFOR THE PERIODS INDICATED (continued)
| Per share operating performance (a) |
| | | |
| Net asset
value,
beginning
of period | Net investment
income
(loss) (c) | Net realized
and unrealized
gains
(losses)
on investments | Total from
investment
operations | |
JPMorgan Limited Duration Bond ETF (h) | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | |
Year Ended February 29, 2024 | | | | | |
Year Ended February 28, 2023 | | | | | |
Year Ended February 28, 2022 | | | | | |
Year Ended February 28, 2021 | | | | | |
Year Ended February 29, 2020 | | | | | |
|
| Per share amounts reflect the conversion of the Acquired Fund into the Fund as of the close of business on July 28, 2023. See Note 1. |
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| JPMorgan Limited Duration Bond ETF acquired all of the assets and liabilities of the JPMorgan Limited Duration Bond Fund (“Acquired 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 Acquired Fund are used as proxy market price returns. |
| Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| JPMorgan Limited Duration Bond ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan Limited Duration Bond Fund (“Acquired Fund”) in a reorganization that occurred as of the close of business on July 28, 2023. Performance and financial history of the Acquired 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 Acquired Fund’s Class R6 Shares for the period March 1, 2019 up through the reorganization. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| | | | | Ratios to average net assets (b) | |
Net asset
value,
end of
period | | | Market
price
total
return (d)(f) | | | Net
investment
income
(loss) | Expenses
without waivers
and reimbursements | Portfolio
turnover
rate (d) |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
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| | | | | | | | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
FINANCIAL HIGHLIGHTSFOR THE PERIODS INDICATED (continued)
| Per share operating performance (a) |
| | | |
| Net asset
value,
beginning
of period | Net investment
income
(loss) (c) | Net realized
and unrealized
gains
(losses)
on investments | Total from
investment
operations | |
JPMorgan Sustainable Municipal Income ETF (g) | | | | | |
Six Months Ended August 31, 2024 (Unaudited) | | | | | |
Year Ended February 29, 2024 | | | | | |
Year Ended February 28, 2023 | | | | | |
Year Ended February 28, 2022 | | | | | |
Year Ended February 28, 2021 | | | | | |
Year Ended February 29, 2020 | | | | | |
|
| Per share amounts reflect the conversion of the Acquired Fund into the Fund as of the close of business on July 14, 2023. See Note 1. |
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| 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. |
| JPMorgan Sustainable Municipal Income ETF acquired all of the assets and liabilities of the JPMorgan Sustainable Municipal Income Fund (“Acquired 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 Acquired Fund are used as proxy market price returns. |
| JPMorgan Sustainable Municipal Income ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan Sustainable Municipal Income Fund (“Acquired Fund”) in a reorganization that occurred as of the close of business on July 14, 2023. Performance and financial history of the Acquired 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 Acquired Fund’s Class R6 Shares for the period March 1, 2019 up through the reorganization. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| | | | | Ratios to average net assets (b) | |
Net asset
value,
end of
period | | | Market
price
total
return (d)(f) | | | Net
investment
income
(loss) | Expenses
without waivers
and reimbursements | Portfolio
turnover
rate (d) |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
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| | | | | | | | |
| | | | | | | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited)
1. Organization
J.P. Morgan Exchange-Traded Fund Trust (the “Trust”) was formed on February 25, 2010, and is governed by a Declaration of Trust as amended and restated February 19, 2014, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The following are 3 separate funds of the Trust (each, a "Fund" and collectively, the "Funds") covered by this report:
| Diversification Classification |
JPMorgan High Yield Municipal ETF | |
JPMorgan Limited Duration Bond ETF | |
JPMorgan Sustainable Municipal Income ETF | |
Pursuant to an Agreement and Plan of Reorganization and Liquidation previously approved by the Board of Trustees (the "Board") of the applicable mutual fund trust, the following mutual funds (each, an “Acquired Fund” and collectively the “Acquired Funds”) were each reorganized into a newly created exchange-traded fund (each, a “Reorganization”) as of the close of business on the dates noted below (each, a “Closing Date”):
| | |
JPMorgan High Yield Municipal Fund | JPMorgan High Yield Municipal ETF | |
JPMorgan Limited Duration Bond Fund | JPMorgan Limited Duration Bond ETF | |
JPMorgan Sustainable Municipal Income Fund | JPMorgan Sustainable Municipal Income ETF | |
Following its Reorganization, each Acquired Fund’s performance (Class R6 Shares) and financial history were adopted by the new Fund. In connection with each Reorganization, each shareholder of an Acquired Fund (except as noted below) received shares of the surviving Fund equal in value to the number of shares of the Acquired Fund they owned on the Closing Date, including a cash payment in lieu of fractional shares of the Fund, which cash payment might have been taxable. Shareholders of an Acquired Fund who did not hold their shares through a brokerage account that could accept shares of the Fund on the Closing Date had their Acquired Funds shares liquidated, and such shareholders received cash equal in value to their Acquired Funds shares, which cash payment might have been taxable. Shareholders of an Acquired Fund who held their shares through a fund direct individual retirement account and did not take action prior to the applicable Reorganization had their Acquired Fund shares exchanged for Morgan Shares of the JPMorgan U.S. Government Money Market Fund equal in value to their Acquired Fund shares. Each Fund has the same investment adviser, investment objective and fundamental investment policies and substantially similar investment strategies as its Acquired Fund. Effective as of the close of business on its Closing Date, each Acquired Fund ceased operations in connection with the consummation of its Reorganization.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as adviser (the “Adviser”) and administrator (the “Administrator”) to the Funds.
Costs incurred by the Funds and the Acquired Funds associated with each Reorganization (including the legal costs associated with each Reorganization) were borne by the Adviser by waiving fees or reimbursing expenses to offset the costs incurred by each Fund or Acquired Fund associated with each Reorganization, including any brokerage fees and expenses incurred by the Fund or Acquired Fund related to the disposition and acquisition of assets as part of each Reorganization. Brokerage fees and expenses related to the disposition and acquisition of assets (including any disposition to raise cash to pay redemption proceeds) that were incurred in the ordinary course of business were borne by the Funds and the Acquired Funds. The management fee of each Fund is the same as the management fee of the corresponding Acquired Fund. The total annual fund operating expenses of each Fund are expected to be lower than the net expenses of each share class of the Acquired Fund after taking into consideration the expense limitation agreement the Adviser has entered into with the Funds for a term ending July 31, 2026. Each Reorganization did not result in the material change to the Acquired Funds' portfolio holdings. There are no material differences in accounting policies of the Acquired Funds as compared to those of the Funds. Each Fund did not purchase or sell securities following its Reorganization for purposes of realigning its investment portfolio. Accordingly, each Reorganization of an Acquired Fund did not affect the corresponding Fund’s portfolio turnover ratios for the year ended February 29, 2024.
The investment objective of JPMorgan High Yield Municipal ETF (“High Yield Municipal ETF”) is to seek a high level of current income exempt from federal income taxes.
The investment objective of JPMorgan Limited Duration Bond ETF (“Limited Duration Bond ETF”) is to seek a high level of current income consistent with low volatility of principal.
The investment objective of JPMorgan Sustainable Municipal Income ETF (“Sustainable Municipal Income ETF”) is to seek a current income exempt from federal income taxes.
| J.P. Morgan Exchange-Traded Funds | |
Shares of each Fund are listed and traded at market price on an exchange as follows:
| |
| |
Limited Duration Bond ETF | |
Sustainable Municipal Income ETF | |
Market prices for the Funds’ shares may be different from their net asset value (“NAV”).
The Funds issue and redeem their shares on a continuous basis, through JPMorgan Distribution Services, Inc. (the “Distributor” or “JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, at NAV in large blocks of shares, referred to as “Creation Units”. Creation Units are issued and redeemed in exchange for a basket of securities and/or cash. Shares are generally traded in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Only individuals or institutions that have entered into an authorized participant agreement with the Distributor may do business directly with the Funds (each, an “Authorized Participant”).
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments— Investments are valued in accordance with GAAP and the Funds' valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the "Board"), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
Under Section 2(a)(41) of the 1940 Act, the Board is required to determine fair value for securities that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Funds on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of investments held in the Funds. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
A market-based approach is primarily used to value the Funds' investments. Investments for which market quotations are not readily available are fair valued using prices supplied by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by Limited Duration Bond ETF at August 31, 2024.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds' investments are summarized into the three broad levels listed below.
•
Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.
•
Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.
•
Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds' assumptions in determining the fair value of investments).
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments ("SOIs"):
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | | | | |
Limited Duration Bond ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Sustainable Municipal Income ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| J.P. Morgan Exchange-Traded Funds | |
Sustainable Municipal Income ETF (continued) | | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | | | | |
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
| Balance as of
February 29,
2024 | | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | | | | | Balance as of
August 31,
2024 |
Investments in Securities: | | | | | | | | | |
| | | | | | | | | |
Collateralized Mortgage Obligations | | | | | | | | | |
| | | | | | | | | |
|
| Purchases include all purchases of securities and securities received in corporate actions. |
| Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at August 31, 2024, which were valued using significant unobservable inputs (level 3), amounted to $171,310. This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
There were no significant transfers into or out of level 3 for the six months ended August 31, 2024.
The significant unobservable inputs used in the fair value measurement of the Funds' investments are listed below. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default rate may decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
Limited
Duration Bond ETF
Quantitative Information about Level 3 Fair Value Measurements #
| Fair Value at August 31, 2024 | | | Range (Weighted Average) (a) |
| | | | |
| | | Yield (Discount Rate of Cash Flows) | |
| | | | |
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
| Fair Value at August 31, 2024 | | | Range (Weighted Average) (a) |
| | | | |
| | | Yield (Discount Rate of Cash Flows) | |
Collateralized Mortgage Obligations | | | | |
| | | | |
| The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At August 31, 2024, the value of these investments was $1,898,757. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
| Unobservable inputs were weighted by the relative fair value of the instruments. |
B. Restricted Securities— Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of August 31, 2024, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
C. When-Issued Securities, Delayed Delivery Securities and Forward Commitments— The Funds purchased when-issued securities, including To-Be-Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.
The Funds had when-issued securities, delayed delivery securities or forward commitments outstanding as of August 31, 2024, which are shown as a Receivable for Investment securities sold — delayed delivery securities and/or a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statements of Assets and Liabilities. The values of these securities held at August 31, 2024 are detailed on the SOIs, if any.
D. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in an affiliated money market fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the
| J.P. Morgan Exchange-Traded Funds | |
borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
The Funds did not lend out any securities during the six months ended August 31, 2024.
E. Investment Transactions with Affiliates— The Funds invested in Underlying Funds advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. The Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
|
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.24% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
Limited Duration Bond ETF |
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.34% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
Sustainable Municipal Income ETF |
For the six months ended August 31, 2024 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | | Capital Gain
Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.24% (a) (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. |
| The rate shown is the current yield as of August 31, 2024. |
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
F. Futures Contracts— High Yield Municipal ETF and Sustainable Municipal Income ETF used treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments. The Funds also purchased futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Funds to interest rate risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds' credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Funds' futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
The table below discloses the volume of the Funds' futures contracts activity during the six months ended August 31, 2024:
| | Sustainable Municipal
Income ETF |
| | |
Average Notional Balance Long | | |
Average Notional Balance Short | | |
Ending Notional Balance Long | | |
Ending Notional Balance Short | | |
G. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts. Dividend income and distributions of net investment income and realized capital gains from the Underlying Funds, if any, are recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
| J.P. Morgan Exchange-Traded Funds | |
H. Federal Income Taxes— Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds' tax positions for all open tax years and has determined that as of August 31, 2024, no liability for Federal income tax is required in the Funds' financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund's Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
I. Distributions to Shareholders— Distributions from net investment income, if any, are generally declared and paid at least monthly. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee— Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
| |
| |
Limited Duration Bond ETF | |
Sustainable Municipal Income ETF | |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.E.
B. Administration Fee— Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund's respective average daily net assets, plus 0.050% of each Fund's respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund's respective average daily net assets between $20 billion and $25 billion, plus 0.010% of each Fund's respective average daily net assets in excess of $25 billion. For the six months ended August 31, 2024, the effective annualized rate was 0.075% of each Fund's average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.E.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds' sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the administration fees payable to JPMIM.
C. Custodian, Accounting and Transfer Agent Fees— JPMCB provides portfolio custody, accounting and transfer agency services (effective as of the Closing Date) to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. The amounts paid directly to JPMCB by the Funds for transfer agency services are included in Transfer agency fees on the Statements of Operations.
Additionally, Authorized Participants generally pay transaction fees associated with the creation and redemption of Fund shares. These fees are used to offset certain custodian charges incurred by the Funds for these transactions.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
D. Distribution Services— The Distributor or its agent distributes Creation Units for each Fund on an agency basis. The Distributor does not maintain a secondary market in shares of each Fund. JPMDS receives no fees for their distribution services under the distribution agreement with the Trust (the “Distribution Agreement”). Although the Trust does not pay any fees under the Distribution Agreement, JPMIM pays JPMDS for certain distribution related services.
E. Waivers and Reimbursements—The Adviser, Administrator and/or JPMDS had contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds' respective average daily net assets as shown in the table below:
| |
Limited Duration Bond ETF | |
Sustainable Municipal Income ETF | |
The expense limitation agreements were in effect for the six months ended August 31, 2024 and the contractual expense limitations are in place until at least July 31, 2026.
For the six months ended August 31, 2024, the Funds' service providers waived fees and/or reimbursed expenses for the Funds as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
| |
| Contractual
Reimbursements |
| |
Limited Duration Bond ETF | |
Sustainable Municipal Income ETF | |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral. None of these parties expect the Funds to repay any such waived fees and/ or reimbursed expenses in future years.
The amounts of these waivers resulting from investments in these money market funds for the six months ended August 31, 2024 were as follows:
| |
| |
Limited Duration Bond ETF | |
Sustainable Municipal Income ETF | |
F. Other— Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. The Funds, along with certain other affiliated funds, make reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the six months ended August 31, 2024, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission ("SEC") has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
| J.P. Morgan Exchange-Traded Funds | |
4. Investment Transactions
During the six months ended August 31, 2024, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) |
| | |
Limited Duration Bond ETF | | |
Sustainable Municipal Income ETF | | |
During the six months ended August 31, 2024, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at August 31, 2024 were as follows:
| | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
| | | | |
Limited Duration Bond ETF | | | | |
Sustainable Municipal Income ETF | | | | |
At February 29, 2024, the following Funds had net capital loss carryforwards, which are available to offset future realized gains:
| Capital Loss Carryforward Character |
| | |
| | |
Limited Duration Bond ETF | | |
Sustainable Municipal Income ETF | | |
Net capital losses (gains) incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds' next taxable year. For the year ended February 29, 2024, the Funds deferred to March 1, 2024 the following net capital losses (gains) of:
| Net Capital Losses (Gains) |
| | |
| | |
Limited Duration Bond ETF | | |
Sustainable Municipal Income ETF | | |
6. Capital Share Transactions
The Trust issues and redeems shares of the Funds only in Creation Units through the Distributor at NAV. Capital shares transactions detail can be found in the Statements of Changes in Net Assets.
Shares of the Funds may only be purchased or redeemed by Authorized Participants. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Funds' shares outstanding and act as executing or clearing broker for investment transactions on behalf of the Funds. An Authorized Participant is either (1) a “Participating Party” or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation (“NSCC”); or (2) a DTC Participant; which, in either case, must have executed an agreement with the Distributor.
Creation Units of a Fund may be created in advance of receipt by the Trust of all or a portion of the applicable basket of equity securities and other instruments (“Deposit Instruments”) and cash as described in the Funds’ registration statement. In these instances, the initial Deposit Instruments and cash must be deposited in an amount equal to the sum of the cash amount, plus at least 105% for the Funds, of the market value of undelivered Deposit Instruments. A transaction fee may be imposed to offset transfer and other transaction costs associated with the purchase or redemption of Creation Units.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTSAS OF August 31, 2024 (Unaudited) (continued)
Authorized Participants transacting in Creation Units for cash may also pay a variable fee to compensate the relevant fund for market impact expenses relating to investing in portfolio securities. Such variable fees, if any, are included in “Proceeds from shares issued” in the Statements of Changes in Net Assets.
Effective November 1, 2022, the Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund, or loans outstanding to another fund, during the six months ended August 31, 2024.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 29, 2024.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended August 31, 2024.
Effective August 8, 2023, the Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into an existing joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. Although the Trust is effectively part of the Credit Facility as of August 8, 2023, it was not eligible to draw on the Credit Facility, and did not incur costs associated with being a part of the Credit Facility.
This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25 million in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25 million minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00%, plus the greater of the federal funds effective rate or the one-month Adjusted Secured Overnight Financing Rate (SOFR).
Effective May 31, 2024, the Funds are no longer part of the Credit Facility.
The Funds did not utilize the Credit Facility during the six months ended August 31, 2024.
8. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of August 31, 2024, J.P. Morgan Investor Funds, which are affiliated fund of funds, each owned in the aggregate, shares representing more than 10% of the net assets of the Funds as follows:
| |
Limited Duration Bond ETF | |
Significant shareholder transactions by these shareholders may impact the Funds' performance and liquidity.
Disruptions to creations and redemptions, the existence of significant market volatility or potential lack of an active trading market for the shares (including through a trading halt), as well as other factors, may result in shares trading significantly above (at a premium) or below (at a discount) to the NAV or to the intraday value of the Funds’ holdings. During such periods, investors may incur significant losses if shares are sold.
| J.P. Morgan Exchange-Traded Funds | |
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses and could make derivatives more difficult for the Funds to value accurately.
The Funds are subject to interest rate risk. Investments in bonds and other debt securities will change in value based on changes in interest rates. If rates increase, the value of these investments generally declines. Securities with greater interest rate sensitivity and longer maturities generally are subject to greater fluctuations in value. The Funds may face a heightened level of interest rate risk due to certain changes in monetary policy. It is difficult to predict the pace at which central banks or monetary authorities may change interest rates or the timing, frequency, or magnitude of such changes. Any such changes could be sudden and could expose debt markets to significant volatility and reduced liquidity for Fund investments.
The Funds are subject to credit risk. The Funds' investments are subject to the risk that an issuer and/or a counterparty will fail to make payments when due or default completely. Prices of the Funds' investments may be adversely affected if any of the issuers or counterparties it is invested in are subject to an actual or perceived deterioration in their credit quality. Credit spreads may increase, which may reduce the market values of the Funds' securities. Credit spread risk is the risk that economic and market conditions or any actual or perceived credit deterioration may lead to an increase in the credit spreads (i.e., the difference in yield between two securities of similar maturity but different credit quality) and a decline in price of the issuer’s securities.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds.
High Yield Municipal ETF invests in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. The market price of these securities can change suddenly and unexpectedly. As a result, the Funds are intended for investors who are able and willing to assume a high degree of risk.
Sustainable Municipal Income ETF’s investment in securities whose use of proceeds, in the Adviser’s opinion, provide positive social or environmental benefits could cause it to perform differently compared to funds that do not have such a policy. Investing in securities whose use of proceeds, in the Adviser’s opinion, provide positive social or environmental benefits may result in the Fund forgoing opportunities to buy certain securities when it might otherwise be advantageous to do so, or selling securities when it might be otherwise disadvantageous for it to do so. In addition, there is a risk that the municipal bonds identified by the Adviser’s use of proceeds determination do not operate as expected when addressing positive social or environmental benefits. The Adviser’s assessment of the positive social or environmental impact of a municipal bond’s proceeds is made at the time of purchase and the actual use of proceeds by the issuer could vary over time, which could cause the Fund to be invested in bonds that do not comply with the Fund’s approach towards considering social or environmental characteristics. The factors that the Adviser considers in evaluating whether a security has positive social or environmental benefits may change over time. There are significant differences in interpretations of what it means to promote positive social or environmental benefits. While the Adviser believes its definitions are reasonable, the portfolio decisions it makes may differ with other’s views.
The Funds are subject to infectious disease epidemics/pandemics risk. The effects of any future pandemic or other global event to public health and business and market conditions, may have a significant negative impact on the performance of a Fund's investments, increase a Fund's volatility, negatively impact a Fund’s arbitrage and pricing mechanisms, exacerbate pre-existing political, social and economic risks to the Funds, and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to a pandemic or other global event that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could have a significant negative impact on a Fund’s investment performance. The ultimate impact of any pandemic or other global event and the extent to which the associated conditions and governmental responses impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
| J.P. Morgan Exchange-Traded Funds | |
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J.P. Morgan Exchange-Traded Funds are distributed by JPMorgan Distribution Services, Inc., an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the Funds.
Contact J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 (844-4JPM ETF) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risks as well as charges and expenses of the fund before investing. The prospectus contains this and other information about the fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Each Fund's quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund's policies and procedures with respect to the disclosure of each Fund's holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-844-457-6383 and on the Funds' website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds' voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds' website at www.jpmorganfunds.com no later than August 31 of each year. The Funds' proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2024. All rights reserved. August 2024.
SAN-CONVETF2-824
Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Proxy Disclosures for Open-End Management Investment Companies
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
Included in the Statements of Operations within the Funds' Financial Statements.
Statement Regarding Basis for Approval of Investment Advisory Agreements
The Board of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board and its investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed Income Committee) met regularly throughout the year and, at each meeting, considered factors that are relevant to their annual consideration of the continuation of the investment advisory agreements. The Board also met for the specific purpose of considering investment advisory agreement annual renewals. The Board held meetings June 25-26, 2024 and August 20-22, 2024, at which the Trustees considered the continuation of the investment advisory agreements for each Fund whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered each investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to an Advisory Agreement or “interested persons” (as defined in the Investment Company Act of 1940) of any party to an Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 22, 2024.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from J.P. Morgan Investment Management Inc. (the “Adviser”). This information included the Funds’ performance as compared to the performance of their peers and benchmarks, and analyses by the Adviser of the Funds’ performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (the “independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of certain Funds, including risk and performance return assessments as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the
Adviser, counsel to the Funds, and independent legal counsel to the Trustees, and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements with independent legal counsel in executive sessions at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances, and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. Among other things, the Trustees considered:
•
The background and experience of the Adviser’s senior management and investment personnel, including personnel changes, if any;
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The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund, including personnel changes, if any;
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The investment strategy for each Fund, and the infrastructure supporting the portfolio management teams;
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Information about the structure and distribution strategy for each Fund and how it fits within the Adviser’s other fund offerings within the J.P. Morgan Funds complex;
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The administration services provided by the Adviser in its role as Administrator;
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Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Funds and in the financial industry generally;
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The overall reputation and capabilities of the Adviser and its affiliates;
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The commitment of the Adviser to provide high quality service to the Funds;
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Their overall confidence in the Adviser’s integrity; and
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The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates from providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser and reviewed with the Board. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered that JPMorgan Distribution Services, Inc. (“JPMDS”), an affiliate of the Adviser, and the Adviser earn fees from the Funds for providing shareholder and administration services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the fees earned by
JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Adviser, for custody, fund accounting and other related services for each Fund, and the profitability of the arrangements to JPMCB.
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds' operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including benefits that may be received by the Adviser and its affiliates in connection with the Fund’s potential investments in other funds advised by the Adviser. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Funds.
The Trustees considered the extent to which the Funds may benefit from potential economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted certain Funds with contractual expense limitations and fee waivers (“Fee Caps”), which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale. The Trustees also noted that certain other Funds that had achieved scale as asset levels had increased, no longer had a Fee Cap in place for some or all of their share classes, but shared economies of scale through lower average expenses. The Trustees noted that the fees remain fair and reasonable relative to peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser's and JPMDS's ongoing investments in their business in support of the Funds, including the Adviser's and/or JPMDS's investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee
structure for each Fund, including any Fee Caps the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. The Trustees concluded that, for Funds with Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and, for Funds that achieved scale and no longer had Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders benefited from lower average expenses resulting from increased assets. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including, to the extent applicable, institutional separate accounts, collective investment trusts, other registered investment companies and/or private funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered investment companies relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered investment company involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the applicable registered investment company, typically bears the sub-advisory fee and that many responsibilities related to the advisory function are typically retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
The Trustees receive and consider information about each Fund’s performance throughout the year. In addition, the Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe comprised of funds with the same Broadridge investment classification and objective (the “Universe”) by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge’s methodology for selecting exchange-traded funds in each Fund’s Universe, and noted that Universe quintile
rankings were not calculated if the number of funds in the Universe did not meet a predetermined minimum. The Broadridge materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared for certain Funds by the Trustees’ independent consultant. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted that the JPMorgan High Yield Municipal ETF’s performance was in the fourth, fourth and fifth quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances. The Trustees requested, however, that the Adviser provide additional Fund performance information to be reviewed with members of the Fixed Income Committee at each of their regular meetings over the course of next year.
The Trustees noted that the JPMorgan Limited Duration Bond ETF’s performance was in the first, first and second quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the JPMorgan Sustainable Municipal Income ETF’s performance was in the fifth quintile of the Universe for each of the one-, three- and five-year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances. The Trustees requested, however, that the Adviser provide additional Fund performance information to be reviewed with members of the Fixed Income Committee at each of their regular meetings over the course of next year.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge concerning management fee rates paid by other funds in the Universe, as well as a subset of funds within the Universe (the “Peer Group”). The Trustees recognized that Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund, and noted that Universe and/or Peer Group quintile rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio for each class, as applicable, taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it can be difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that while Broadridge did provide net advisory fee and actual total expense data for funds in the Peer Group and Universe for the JPMorgan High Yield Municipal ETF,
Broadridge did not calculate quintile rankings due to the limited number of funds in both the Peer Group and Universe. After considering the fees relative to the funds in the Peer Group, the Trustees concluded that the advisory fee was fair and reasonable.in light of the services provided to the Fund.
The Trustees noted that the JPMorgan Limited Duration Bond ETF’s net advisory fee and actual total expenses were in the first quintile of the Universe. Broadridge did not calculate the quintile rankings of the Peer Group due to the limited number of funds in the Peer Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan Sustainable Municipal Income ETF’s net advisory fee and actual total expenses were in the first quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
ITEM 8. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Refer to Item 7.
ITEM 9. PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Refer to Item 7.
ITEM 10. REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Refer to Item 7.
ITEM 11. STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT.
Refer to Item 7.
ITEM 12. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 14. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 15. 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 16. 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 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 17. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 18. RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION.
Not applicable.
ITEM 19. 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.
Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.
(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(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:
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(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.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
| J.P. Morgan Exchange-Traded Fund Trust |
| |
| By: | | /s/ Brian S. Shlissel |
| | Brian S. Shlissel |
| | President and Principal Executive Officer |
| | November 5, 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 |
| | November 5, 2024 |
| |
| By: | | /s/ Timothy J. Clemens |
| | Timothy J. Clemens |
| | Treasurer and Principal Financial Officer |
| | | November 5, 2024 |
