JPMorgan Corporate Bond Research Enhanced ETF
Schedule of Portfolio Investments as of November 30, 2022
(Unaudited)
THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR SALES LITERATURE WITH THE GENERAL PUBLIC. The list is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a prospectus. The list has been created from the books and records of the Fund. Holdings are available 60 days after the fund’s fiscal quarter, using a trade date accounting convention, by contacting the appropriate service center. The list is subject to change without notice. The list is for informational purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security. |
JPMorgan Asset Management is the marketing name for the asset management business of J.P. Morgan Chase & Co. |
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© J.P. Morgan Chase & Co., 2022. |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 98.5% | ||
Aerospace & Defense — 2.9% | ||
Boeing Co. (The) | ||
4.88%, 5/1/2025 | 189,000 | 187,247 |
5.04%, 5/1/2027 | 120,000 | 118,836 |
3.60%, 5/1/2034 | 159,000 | 128,083 |
5.71%, 5/1/2040 | 105,000 | 100,051 |
3.75%, 2/1/2050 | 30,000 | 21,042 |
L3Harris Technologies, Inc. 4.40%, 6/15/2028 | 174,000 | 168,183 |
Northrop Grumman Corp. | ||
3.25%, 1/15/2028 | 90,000 | 83,485 |
4.03%, 10/15/2047 | 41,000 | 34,771 |
Precision Castparts Corp. 3.25%, 6/15/2025 | 24,000 | 23,327 |
Raytheon Technologies Corp. | ||
3.50%, 3/15/2027 | 63,000 | 59,242 |
3.13%, 5/4/2027 | 146,000 | 136,807 |
4.45%, 11/16/2038 | 107,000 | 98,091 |
3.75%, 11/1/2046 | 88,000 | 69,912 |
1,229,077 | ||
Air Freight & Logistics — 0.5% | ||
FedEx Corp. | ||
2.40%, 5/15/2031 | 60,000 | 48,986 |
3.25%, 5/15/2041 | 110,000 | 79,753 |
4.05%, 2/15/2048 | 90,000 | 68,936 |
197,675 | ||
Auto Components — 0.3% | ||
Lear Corp. 3.80%, 9/15/2027 | 140,000 | 130,814 |
Automobiles — 0.6% | ||
General Motors Co. 6.13%, 10/1/2025 | 273,000 | 276,572 |
Banks — 16.4% | ||
Bank of America Corp. | ||
(ICE LIBOR USD 3 Month + 0.97%), 3.46%, 3/15/2025 (a) | 480,000 | 467,264 |
(ICE LIBOR USD 3 Month + 0.87%), 2.46%, 10/22/2025 (a) | 30,000 | 28,227 |
(SOFR + 1.15%), 1.32%, 6/19/2026 (a) | 60,000 | 54,137 |
(ICE LIBOR USD 3 Month + 1.06%), 3.56%, 4/23/2027 (a) | 154,000 | 145,259 |
(ICE LIBOR USD 3 Month + 1.58%), 3.82%, 1/20/2028 (a) | 146,000 | 137,380 |
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (a) | 210,000 | 191,489 |
(ICE LIBOR USD 3 Month + 0.99%), 2.50%, 2/13/2031 (a) | 237,000 | 194,980 |
(SOFR + 1.32%), 2.69%, 4/22/2032 (a) | 183,000 | 148,255 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.20%), 2.48%, 9/21/2036 (a) | 53,000 | 40,134 |
(ICE LIBOR USD 3 Month + 1.81%), 4.24%, 4/24/2038 (a) | 59,000 | 51,601 |
(SOFR + 1.93%), 2.68%, 6/19/2041 (a) | 50,000 | 34,880 |
(ICE LIBOR USD 3 Month + 1.19%), 3.95%, 1/23/2049 (a) | 50,000 | 39,643 |
(ICE LIBOR USD 3 Month + 3.15%), 4.08%, 3/20/2051 (a) | 78,000 | 64,122 |
Barclays plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.30%, 8/9/2026 (a) | 330,000 | 324,522 |
Citigroup, Inc. | ||
(ICE LIBOR USD 3 Month + 0.90%), 3.35%, 4/24/2025 (a) | 428,000 | 413,887 |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(SOFR + 1.37%), 4.14%, 5/24/2025 (a) | 100,000 | 98,144 |
(SOFR + 2.84%), 3.11%, 4/8/2026 (a) | 78,000 | 73,985 |
3.20%, 10/21/2026 | 188,000 | 175,558 |
(SOFR + 1.15%), 2.67%, 1/29/2031 (a) | 107,000 | 88,819 |
(SOFR + 3.91%), 4.41%, 3/31/2031 (a) | 156,000 | 145,003 |
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (a) | 87,000 | 72,752 |
4.65%, 7/23/2048 | 78,000 | 70,247 |
Citizens Financial Group, Inc. 3.25%, 4/30/2030 | 67,000 | 58,944 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 1.51%), 4.18%, 12/9/2025 (a) | 253,000 | 243,699 |
(ICE LIBOR USD 3 Month + 1.61%), 3.97%, 5/22/2030 (a) | 200,000 | 174,837 |
(SOFR + 2.87%), 5.40%, 8/11/2033 (a) | 271,000 | 253,731 |
6.10%, 1/14/2042 | 75,000 | 77,292 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.70%), 4.79%, 7/18/2025 (a) | 200,000 | 197,914 |
3.68%, 2/22/2027 | 31,000 | 29,208 |
3.96%, 3/2/2028 | 233,000 | 219,658 |
3.74%, 3/7/2029 | 289,000 | 266,873 |
NatWest Group plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.64%, 6/14/2027 (a) | 228,000 | 195,198 |
(ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (a) | 266,000 | 239,457 |
PNC Financial Services Group, Inc. (The) 2.60%, 7/23/2026 | 152,000 | 141,139 |
Santander UK Group Holdings plc (United Kingdom) (SOFR + 1.22%), 2.47%, 1/11/2028 (a) | 200,000 | 170,259 |
Sumitomo Mitsui Financial Group, Inc. (Japan) 2.93%, 9/17/2041 | 250,000 | 168,884 |
Toronto-Dominion Bank (The) (Canada) 2.45%, 1/12/2032 | 200,000 | 162,406 |
Truist Financial Corp. 1.13%, 8/3/2027 | 90,000 | 75,998 |
Wells Fargo & Co. | ||
(SOFR + 2.00%), 2.19%, 4/30/2026 (a) | 53,000 | 49,364 |
(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (a) | 349,000 | 323,836 |
(3-MONTH CME TERM SOFR + 1.43%), 2.88%, 10/30/2030 (a) | 323,000 | 277,771 |
5.38%, 11/2/2043 | 96,000 | 91,395 |
3.90%, 5/1/2045 | 117,000 | 94,423 |
4.75%, 12/7/2046 | 68,000 | 58,424 |
Westpac Banking Corp. (Australia) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (a) | 50,000 | 45,481 |
(USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (a) | 160,000 | 146,086 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.00%), 4.11%, 7/24/2034 (a) | 107,000 | 91,287 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.53%), 3.02%, 11/18/2036 (a) | 53,000 | 39,084 |
2.96%, 11/16/2040 | 71,000 | 46,514 |
6,999,450 | ||
Beverages — 2.8% | ||
Anheuser-Busch Cos. LLC (Belgium) | ||
3.65%, 2/1/2026 | 51,000 | 49,489 |
4.70%, 2/1/2036 | 77,000 | 73,881 |
4.90%, 2/1/2046 | 160,000 | 149,677 |
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | ||
4.00%, 4/13/2028 | 49,000 | 47,431 |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Beverages — continued | ||
4.90%, 1/23/2031 | 34,000 | 34,390 |
4.60%, 4/15/2048 | 120,000 | 109,022 |
4.44%, 10/6/2048 | 39,000 | 34,249 |
5.80%, 1/23/2059 | 55,000 | 58,296 |
Coca-Cola Co. (The) | ||
1.75%, 9/6/2024 | 217,000 | 208,135 |
2.88%, 5/5/2041 | 78,000 | 60,764 |
2.60%, 6/1/2050 | 55,000 | 37,800 |
2.75%, 6/1/2060 | 59,000 | 40,082 |
Constellation Brands, Inc. 3.15%, 8/1/2029 | 66,000 | 58,504 |
Keurig Dr Pepper, Inc. 3.80%, 5/1/2050 | 20,000 | 15,278 |
Molson Coors Beverage Co. 4.20%, 7/15/2046 | 30,000 | 24,119 |
PepsiCo, Inc. | ||
2.75%, 3/19/2030 | 30,000 | 26,666 |
3.50%, 3/19/2040 | 66,000 | 55,880 |
2.75%, 10/21/2051 | 185,000 | 132,758 |
1,216,421 | ||
Biotechnology — 2.3% | ||
AbbVie, Inc. | ||
3.60%, 5/14/2025 | 68,000 | 66,143 |
2.95%, 11/21/2026 | 122,000 | 114,225 |
4.25%, 11/14/2028 | 192,000 | 187,197 |
4.05%, 11/21/2039 | 161,000 | 140,658 |
4.70%, 5/14/2045 | 68,000 | 62,670 |
Amgen, Inc. | ||
2.20%, 2/21/2027 | 68,000 | 61,797 |
2.45%, 2/21/2030 | 63,000 | 53,776 |
3.15%, 2/21/2040 | 40,000 | 30,754 |
4.40%, 5/1/2045 | 20,000 | 17,285 |
3.38%, 2/21/2050 | 20,000 | 14,579 |
4.40%, 2/22/2062 | 138,000 | 113,018 |
Biogen, Inc. 3.15%, 5/1/2050 | 80,000 | 54,937 |
Gilead Sciences, Inc. 4.15%, 3/1/2047 | 47,000 | 39,636 |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 10,000 | 7,857 |
964,532 | ||
Building Products — 0.0% ^ | ||
Carrier Global Corp. 3.58%, 4/5/2050 | 20,000 | 14,671 |
Capital Markets — 6.9% | ||
Charles Schwab Corp. (The) 1.95%, 12/1/2031 | 146,000 | 115,578 |
CME Group, Inc. 3.00%, 3/15/2025 | 109,000 | 105,471 |
Credit Suisse Group AG (Switzerland) (ICE LIBOR USD 3 Month + 1.24%), 4.21%, 6/12/2024 (a) (b) | 250,000 | 242,585 |
Goldman Sachs Group, Inc. (The) | ||
4.00%, 3/3/2024 | 242,000 | 239,212 |
3.50%, 4/1/2025 | 130,000 | 125,799 |
3.85%, 1/26/2027 | 91,000 | 87,442 |
(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (a) | 402,000 | 377,663 |
3.80%, 3/15/2030 | 226,000 | 205,413 |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
(SOFR + 1.25%), 2.38%, 7/21/2032 (a) | 53,000 | 41,864 |
(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (a) | 111,000 | 93,608 |
Intercontinental Exchange, Inc. 5.20%, 6/15/2062 | 159,000 | 155,551 |
Morgan Stanley | ||
(SOFR + 1.99%), 2.19%, 4/28/2026 (a) | 128,000 | 119,064 |
3.63%, 1/20/2027 | 188,000 | 178,643 |
(ICE LIBOR USD 3 Month + 1.14%), 3.77%, 1/24/2029 (a) | 305,000 | 280,857 |
(SOFR + 1.14%), 2.70%, 1/22/2031 (a) | 117,000 | 98,042 |
(SOFR + 3.12%), 3.62%, 4/1/2031 (a) | 190,000 | 169,320 |
(SOFR + 1.36%), 2.48%, 9/16/2036 (a) | 70,000 | 52,040 |
(ICE LIBOR USD 3 Month + 1.46%), 3.97%, 7/22/2038 (a) | 96,000 | 81,733 |
4.30%, 1/27/2045 | 29,000 | 24,975 |
(SOFR + 1.43%), 2.80%, 1/25/2052 (a) | 50,000 | 32,264 |
S&P Global, Inc. 3.70%, 3/1/2052 (b) | 146,000 | 117,402 |
2,944,526 | ||
Chemicals — 3.2% | ||
Albemarle Corp. | ||
4.65%, 6/1/2027 | 100,000 | 98,023 |
5.05%, 6/1/2032 | 100,000 | 96,105 |
Celanese US Holdings LLC | ||
6.05%, 3/15/2025 | 136,000 | 135,317 |
6.33%, 7/15/2029 | 70,000 | 67,261 |
6.38%, 7/15/2032 | 119,000 | 113,282 |
DuPont de Nemours, Inc. 5.42%, 11/15/2048 | 93,000 | 90,218 |
International Flavors & Fragrances, Inc. | ||
4.45%, 9/26/2028 | 100,000 | 93,736 |
5.00%, 9/26/2048 | 30,000 | 25,840 |
LYB International Finance III LLC | ||
3.38%, 10/1/2040 | 110,000 | 79,802 |
3.63%, 4/1/2051 | 86,000 | 58,715 |
Nutrien Ltd. (Canada) 5.88%, 12/1/2036 | 200,000 | 204,543 |
Sherwin-Williams Co. (The) | ||
3.45%, 6/1/2027 | 76,000 | 71,337 |
2.95%, 8/15/2029 | 254,000 | 223,258 |
1,357,437 | ||
Commercial Services & Supplies — 0.1% | ||
RELX Capital, Inc. (United Kingdom) 4.00%, 3/18/2029 | 66,000 | 62,013 |
Construction & Engineering — 0.3% | ||
Quanta Services, Inc. | ||
2.90%, 10/1/2030 | 50,000 | 41,561 |
2.35%, 1/15/2032 | 120,000 | 92,385 |
133,946 | ||
Construction Materials — 0.3% | ||
Martin Marietta Materials, Inc. 3.20%, 7/15/2051 | 168,000 | 116,218 |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Consumer Finance — 2.0% | ||
AerCap Ireland Capital DAC (Ireland) | ||
6.50%, 7/15/2025 | 300,000 | 303,078 |
3.85%, 10/29/2041 | 165,000 | 121,038 |
American Express Co. (SOFR + 2.26%), 4.99%, 5/26/2033 (a) | 155,000 | 149,413 |
Capital One Financial Corp. 3.30%, 10/30/2024 | 282,000 | 273,036 |
846,565 | ||
Diversified Financial Services — 1.7% | ||
Berkshire Hathaway, Inc. 3.13%, 3/15/2026 | 362,000 | 349,369 |
Corebridge Financial, Inc. 4.40%, 4/5/2052 (b) | 210,000 | 168,792 |
Equitable Holdings, Inc. 4.35%, 4/20/2028 | 70,000 | 66,575 |
Shell International Finance BV (Netherlands) | ||
4.13%, 5/11/2035 | 86,000 | 80,790 |
4.38%, 5/11/2045 | 43,000 | 38,611 |
4.00%, 5/10/2046 | 29,000 | 24,492 |
728,629 | ||
Diversified Telecommunication Services — 1.2% | ||
AT&T, Inc. | ||
3.50%, 9/15/2053 | 155,000 | 109,448 |
3.55%, 9/15/2055 | 193,000 | 135,372 |
3.65%, 9/15/2059 | 30,000 | 20,838 |
Verizon Communications, Inc. 3.40%, 3/22/2041 | 298,000 | 228,738 |
494,396 | ||
Electric Utilities — 4.3% | ||
Baltimore Gas and Electric Co. | ||
3.20%, 9/15/2049 | 80,000 | 57,074 |
2.90%, 6/15/2050 | 76,000 | 51,128 |
Commonwealth Edison Co. 3.00%, 3/1/2050 | 76,000 | 52,809 |
Duke Energy Corp. | ||
3.75%, 4/15/2024 | 70,000 | 68,920 |
2.65%, 9/1/2026 | 118,000 | 109,728 |
3.75%, 9/1/2046 | 106,000 | 79,100 |
Duke Energy Indiana LLC | ||
Series YYY, 3.25%, 10/1/2049 | 20,000 | 13,896 |
2.75%, 4/1/2050 | 20,000 | 12,822 |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | 135,000 | 106,916 |
Entergy Louisiana LLC 4.00%, 3/15/2033 | 327,000 | 297,384 |
Evergy, Inc. | ||
2.45%, 9/15/2024 | 127,000 | 120,455 |
2.90%, 9/15/2029 | 102,000 | 88,051 |
Exelon Corp. 4.45%, 4/15/2046 | 20,000 | 17,085 |
Florida Power & Light Co. | ||
3.95%, 3/1/2048 | 30,000 | 25,177 |
3.15%, 10/1/2049 | 88,000 | 64,564 |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 148,000 | 137,821 |
Pacific Gas and Electric Co. | ||
4.50%, 7/1/2040 | 116,000 | 92,522 |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
3.30%, 8/1/2040 | 64,000 | 44,642 |
4.95%, 7/1/2050 | 30,000 | 24,017 |
3.50%, 8/1/2050 | 102,000 | 66,138 |
PPL Electric Utilities Corp. 3.00%, 10/1/2049 | 20,000 | 13,664 |
Southern California Edison Co. | ||
2.25%, 6/1/2030 | 10,000 | 8,318 |
Series 13-A, 3.90%, 3/15/2043 | 6,000 | 4,594 |
Series C, 3.60%, 2/1/2045 | 111,000 | 80,817 |
4.00%, 4/1/2047 | 98,000 | 76,947 |
3.65%, 2/1/2050 | 14,000 | 10,446 |
Southern Co. (The) Series 21-A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.92%), 3.75%, 9/15/2051 (a) | 50,000 | 40,108 |
Virginia Electric and Power Co. | ||
Series A, 3.15%, 1/15/2026 | 17,000 | 16,182 |
Series A, 3.50%, 3/15/2027 | 43,000 | 40,886 |
4.60%, 12/1/2048 | 30,000 | 26,332 |
1,848,543 | ||
Electronic Equipment, Instruments & Components — 0.3% | ||
Teledyne Technologies, Inc. 2.75%, 4/1/2031 | 130,000 | 107,114 |
Entertainment — 1.8% | ||
Electronic Arts, Inc. 1.85%, 2/15/2031 | 241,000 | 193,299 |
Take-Two Interactive Software, Inc. 3.30%, 3/28/2024 | 50,000 | 48,670 |
Walt Disney Co. (The) | ||
2.65%, 1/13/2031 | 254,000 | 218,549 |
3.50%, 5/13/2040 | 274,000 | 225,351 |
Warnermedia Holdings, Inc. 5.39%, 3/15/2062 (b) | 79,000 | 61,129 |
746,998 | ||
Equity Real Estate Investment Trusts (REITs) — 2.9% | ||
Alexandria Real Estate Equities, Inc. | ||
2.75%, 12/15/2029 | 102,000 | 86,246 |
2.00%, 5/18/2032 | 136,000 | 103,698 |
3.00%, 5/18/2051 | 102,000 | 65,640 |
Boston Properties LP | ||
4.50%, 12/1/2028 | 39,000 | 36,318 |
3.25%, 1/30/2031 | 120,000 | 100,306 |
Brixmor Operating Partnership LP 4.05%, 7/1/2030 | 270,000 | 235,962 |
Camden Property Trust 2.80%, 5/15/2030 | 260,000 | 223,421 |
Equinix, Inc. 3.20%, 11/18/2029 | 140,000 | 122,752 |
Healthpeak Properties, Inc. 2.88%, 1/15/2031 | 136,000 | 115,099 |
Simon Property Group LP 2.45%, 9/13/2029 | 78,000 | 65,575 |
UDR, Inc. 3.00%, 8/15/2031 | 20,000 | 16,537 |
Ventas Realty LP 2.50%, 9/1/2031 | 59,000 | 46,461 |
1,218,015 | ||
Food & Staples Retailing — 1.4% | ||
Costco Wholesale Corp. 1.38%, 6/20/2027 | 140,000 | 123,982 |
Sysco Corp. 3.30%, 7/15/2026 | 40,000 | 37,940 |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Food & Staples Retailing — continued | ||
Walmart, Inc. | ||
2.85%, 7/8/2024 | 50,000 | 48,748 |
1.80%, 9/22/2031 | 422,000 | 348,471 |
4.05%, 6/29/2048 | 47,000 | 42,529 |
601,670 | ||
Food Products — 1.3% | ||
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | 60,000 | 49,815 |
Kraft Heinz Foods Co. | ||
3.00%, 6/1/2026 | 421,000 | 396,301 |
5.50%, 6/1/2050 | 99,000 | 97,657 |
543,773 | ||
Health Care Equipment & Supplies — 1.1% | ||
Abbott Laboratories 4.90%, 11/30/2046 | 200,000 | 200,709 |
Becton Dickinson and Co. | ||
4.69%, 12/15/2044 | 73,000 | 66,926 |
4.67%, 6/6/2047 | 49,000 | 44,081 |
DH Europe Finance II Sarl | ||
2.60%, 11/15/2029 | 30,000 | 26,471 |
3.40%, 11/15/2049 | 62,000 | 47,294 |
Medtronic, Inc. 4.38%, 3/15/2035 | 68,000 | 65,519 |
451,000 | ||
Health Care Providers & Services — 3.6% | ||
Aetna, Inc. 3.88%, 8/15/2047 | 70,000 | 54,328 |
Cigna Corp. | ||
4.80%, 8/15/2038 | 86,000 | 81,140 |
3.40%, 3/15/2051 | 60,000 | 43,729 |
CVS Health Corp. | ||
2.70%, 8/21/2040 | 112,000 | 78,820 |
5.05%, 3/25/2048 | 66,000 | 61,291 |
HCA, Inc. | ||
5.00%, 3/15/2024 | 401,000 | 399,387 |
4.13%, 6/15/2029 | 90,000 | 82,247 |
3.50%, 7/15/2051 | 119,000 | 80,425 |
4.63%, 3/15/2052 (b) | 50,000 | 40,314 |
UnitedHealth Group, Inc. | ||
3.75%, 7/15/2025 | 237,000 | 232,700 |
3.50%, 8/15/2039 | 175,000 | 144,874 |
2.75%, 5/15/2040 | 211,000 | 156,629 |
4.63%, 11/15/2041 | 55,000 | 51,107 |
3.25%, 5/15/2051 | 60,000 | 44,029 |
1,551,020 | ||
Hotels, Restaurants & Leisure — 0.6% | ||
Expedia Group, Inc. 3.25%, 2/15/2030 | 70,000 | 59,855 |
McDonald's Corp. 2.13%, 3/1/2030 | 71,000 | 60,254 |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Hotels, Restaurants & Leisure — continued | ||
Starbucks Corp. | ||
4.50%, 11/15/2048 | 75,000 | 66,147 |
3.50%, 11/15/2050 | 102,000 | 76,433 |
262,689 | ||
Household Durables — 0.2% | ||
Lennar Corp. 4.75%, 11/29/2027 | 75,000 | 71,793 |
Industrial Conglomerates — 0.4% | ||
GE Capital Funding LLC 4.55%, 5/15/2032 | 50,000 | 48,603 |
General Electric Co. 6.75%, 3/15/2032 | 122,000 | 138,438 |
187,041 | ||
Insurance — 2.3% | ||
Aflac, Inc. 3.60%, 4/1/2030 | 110,000 | 101,496 |
American International Group, Inc. | ||
2.50%, 6/30/2025 | 40,000 | 37,769 |
3.90%, 4/1/2026 | 14,000 | 13,603 |
Arch Capital Group Ltd. 3.64%, 6/30/2050 | 170,000 | 118,650 |
Berkshire Hathaway Finance Corp. | ||
2.30%, 3/15/2027 | 55,000 | 51,194 |
4.20%, 8/15/2048 | 95,000 | 85,379 |
4.25%, 1/15/2049 | 20,000 | 17,905 |
Marsh & McLennan Cos., Inc. 3.88%, 3/15/2024 | 469,000 | 462,636 |
Progressive Corp. (The) 4.13%, 4/15/2047 | 120,000 | 100,572 |
989,204 | ||
Internet & Direct Marketing Retail — 0.6% | ||
Amazon.com, Inc. | ||
1.00%, 5/12/2026 | 53,000 | 47,243 |
3.88%, 8/22/2037 | 252,000 | 227,009 |
274,252 | ||
IT Services — 1.4% | ||
Global Payments, Inc. | ||
2.65%, 2/15/2025 | 274,000 | 257,228 |
3.20%, 8/15/2029 | 146,000 | 124,754 |
4.15%, 8/15/2049 | 112,000 | 80,381 |
VeriSign, Inc. 2.70%, 6/15/2031 | 164,000 | 134,419 |
596,782 | ||
Leisure Products — 0.3% | ||
Hasbro, Inc. 3.90%, 11/19/2029 | 122,000 | 110,028 |
Life Sciences Tools & Services — 0.7% | ||
Danaher Corp. 2.60%, 10/1/2050 | 101,000 | 66,589 |
Thermo Fisher Scientific, Inc. | ||
1.22%, 10/18/2024 | 59,000 | 55,205 |
2.80%, 10/15/2041 | 189,000 | 142,240 |
4.10%, 8/15/2047 | 23,000 | 20,291 |
284,325 |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Machinery — 0.4% | ||
Otis Worldwide Corp. | ||
2.06%, 4/5/2025 | 40,000 | 37,473 |
2.57%, 2/15/2030 | 40,000 | 34,085 |
3.36%, 2/15/2050 | 167,000 | 119,556 |
191,114 | ||
Media — 4.9% | ||
Charter Communications Operating LLC | ||
4.91%, 7/23/2025 | 270,000 | 265,759 |
2.80%, 4/1/2031 | 102,000 | 80,709 |
3.50%, 3/1/2042 | 177,000 | 119,940 |
5.38%, 5/1/2047 | 30,000 | 24,819 |
4.80%, 3/1/2050 | 108,000 | 81,032 |
5.50%, 4/1/2063 | 50,000 | 40,062 |
Comcast Corp. | ||
3.70%, 4/15/2024 | 183,000 | 180,412 |
3.95%, 10/15/2025 | 105,000 | 103,201 |
3.15%, 3/1/2026 | 88,000 | 84,202 |
4.15%, 10/15/2028 | 101,000 | 97,998 |
3.40%, 4/1/2030 | 40,000 | 36,549 |
3.90%, 3/1/2038 | 150,000 | 131,042 |
3.75%, 4/1/2040 | 50,000 | 41,780 |
4.00%, 11/1/2049 | 246,000 | 200,737 |
Discovery Communications LLC | ||
3.95%, 3/20/2028 | 254,000 | 228,109 |
5.00%, 9/20/2037 | 30,000 | 24,718 |
4.65%, 5/15/2050 | 91,000 | 65,696 |
4.00%, 9/15/2055 | 90,000 | 57,693 |
Time Warner Cable LLC | ||
6.55%, 5/1/2037 | 140,000 | 134,184 |
4.50%, 9/15/2042 | 100,000 | 75,067 |
2,073,709 | ||
Multiline Retail — 0.7% | ||
Target Corp. 3.38%, 4/15/2029 | 342,000 | 317,358 |
Multi-Utilities — 2.8% | ||
Ameren Corp. | ||
2.50%, 9/15/2024 | 141,000 | 134,342 |
3.50%, 1/15/2031 | 310,000 | 276,014 |
Berkshire Hathaway Energy Co. | ||
4.45%, 1/15/2049 | 31,000 | 27,204 |
2.85%, 5/15/2051 | 50,000 | 32,990 |
CenterPoint Energy, Inc. 2.65%, 6/1/2031 | 345,000 | 284,756 |
Consolidated Edison Co. of New York, Inc. | ||
Series 20B, 3.95%, 4/1/2050 | 76,000 | 61,952 |
3.60%, 6/15/2061 | 50,000 | 36,728 |
Dominion Energy, Inc. 3.90%, 10/1/2025 | 17,000 | 16,556 |
San Diego Gas & Electric Co. | ||
Series VVV, 1.70%, 10/1/2030 | 121,000 | 97,020 |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Multi-Utilities — continued | ||
2.95%, 8/15/2051 | 186,000 | 129,385 |
Southern Co. Gas Capital Corp. Series 20-A, 1.75%, 1/15/2031 | 152,000 | 116,520 |
1,213,467 | ||
Oil, Gas & Consumable Fuels — 7.4% | ||
BP Capital Markets America, Inc. | ||
3.80%, 9/21/2025 | 72,000 | 70,826 |
4.23%, 11/6/2028 | 144,000 | 140,402 |
3.00%, 2/24/2050 | 146,000 | 100,608 |
BP Capital Markets plc (United Kingdom) 3.28%, 9/19/2027 | 187,000 | 176,847 |
Canadian Natural Resources Ltd. (Canada) 4.95%, 6/1/2047 | 30,000 | 27,022 |
Chevron Corp. 2.95%, 5/16/2026 | 88,000 | 83,889 |
Columbia Pipeline Group, Inc. 4.50%, 6/1/2025 | 192,000 | 189,086 |
ConocoPhillips 5.90%, 10/15/2032 | 50,000 | 54,357 |
Diamondback Energy, Inc. 3.50%, 12/1/2029 | 70,000 | 62,307 |
Energy Transfer LP | ||
4.95%, 5/15/2028 | 80,000 | 77,053 |
4.95%, 6/15/2028 | 32,000 | 30,955 |
5.40%, 10/1/2047 | 96,000 | 82,788 |
5.00%, 5/15/2050 | 144,000 | 118,677 |
Enterprise Products Operating LLC 2.80%, 1/31/2030 | 80,000 | 69,163 |
EQT Corp. 7.00%, 2/1/2030 (c) | 114,000 | 119,935 |
Exxon Mobil Corp. | ||
2.99%, 3/19/2025 | 175,000 | 169,486 |
2.61%, 10/15/2030 | 205,000 | 181,088 |
3.00%, 8/16/2039 | 126,000 | 98,711 |
3.45%, 4/15/2051 | 30,000 | 23,241 |
Kinder Morgan, Inc. | ||
4.30%, 6/1/2025 | 110,000 | 108,374 |
4.80%, 2/1/2033 | 360,000 | 338,407 |
Marathon Oil Corp. 4.40%, 7/15/2027 | 90,000 | 86,988 |
Marathon Petroleum Corp. 4.75%, 9/15/2044 | 17,000 | 14,482 |
MPLX LP 4.95%, 3/14/2052 | 206,000 | 171,378 |
ONEOK, Inc. 5.20%, 7/15/2048 | 97,000 | 82,335 |
Phillips 66 4.88%, 11/15/2044 | 30,000 | 27,953 |
Pioneer Natural Resources Co. 1.90%, 8/15/2030 | 66,000 | 52,738 |
Sabine Pass Liquefaction LLC 5.63%, 3/1/2025 | 140,000 | 140,349 |
TotalEnergies Capital International SA (France) 2.83%, 1/10/2030 | 300,000 | 267,518 |
3,166,963 | ||
Paper & Forest Products — 0.2% | ||
Suzano Austria GmbH (Brazil) 3.75%, 1/15/2031 | 95,000 | 78,969 |
Pharmaceuticals — 2.3% | ||
Astrazeneca Finance LLC (United Kingdom) 0.70%, 5/28/2024 | 220,000 | 207,120 |
AstraZeneca plc (United Kingdom) | ||
3.38%, 11/16/2025 | 60,000 | 58,129 |
4.38%, 11/16/2045 | 68,000 | 62,565 |
3.00%, 5/28/2051 | 60,000 | 42,856 |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Pharmaceuticals — continued | ||
Bristol-Myers Squibb Co. | ||
3.40%, 7/26/2029 | 22,000 | 20,595 |
4.13%, 6/15/2039 | 70,000 | 63,556 |
4.35%, 11/15/2047 | 32,000 | 28,900 |
4.25%, 10/26/2049 | 88,000 | 78,209 |
2.55%, 11/13/2050 | 80,000 | 52,567 |
Royalty Pharma plc 3.30%, 9/2/2040 | 63,000 | 45,372 |
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | 332,000 | 312,817 |
972,686 | ||
Road & Rail — 1.7% | ||
Canadian Pacific Railway Co. (Canada) | ||
1.35%, 12/2/2024 | 92,000 | 85,671 |
1.75%, 12/2/2026 | 321,000 | 286,866 |
2.45%, 12/2/2031 | 82,000 | 68,337 |
CSX Corp. 2.60%, 11/1/2026 | 80,000 | 74,616 |
Kansas City Southern 4.30%, 5/15/2043 | 30,000 | 25,248 |
Norfolk Southern Corp. | ||
4.15%, 2/28/2048 | 106,000 | 88,730 |
3.16%, 5/15/2055 | 50,000 | 34,000 |
Union Pacific Corp. | ||
2.89%, 4/6/2036 | 55,000 | 44,375 |
3.25%, 2/5/2050 | 34,000 | 25,357 |
733,200 | ||
Semiconductors & Semiconductor Equipment — 3.4% | ||
Analog Devices, Inc. 3.50%, 12/5/2026 | 108,000 | 103,608 |
Broadcom, Inc. 3.50%, 2/15/2041 (b) | 81,000 | 58,590 |
Intel Corp. | ||
3.25%, 11/15/2049 | 73,000 | 51,220 |
3.20%, 8/12/2061 | 53,000 | 34,547 |
KLA Corp. 4.10%, 3/15/2029 | 387,000 | 376,822 |
Marvell Technology, Inc. 2.95%, 4/15/2031 | 80,000 | 65,369 |
NVIDIA Corp. | ||
2.00%, 6/15/2031 | 123,000 | 100,000 |
3.50%, 4/1/2050 | 136,000 | 105,411 |
NXP BV (China) | ||
4.30%, 6/18/2029 | 40,000 | 36,838 |
3.25%, 5/11/2041 | 190,000 | 134,354 |
QUALCOMM, Inc. | ||
3.25%, 5/20/2027 | 233,000 | 222,557 |
1.30%, 5/20/2028 | 192,000 | 163,137 |
3.25%, 5/20/2050 | 20,000 | 14,878 |
1,467,331 | ||
Software — 1.7% | ||
Microsoft Corp. 4.10%, 2/6/2037 | 88,000 | 85,199 |
Oracle Corp. | ||
2.50%, 4/1/2025 | 50,000 | 47,293 |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Software — continued | ||
3.60%, 4/1/2050 | 206,000 | 143,311 |
3.95%, 3/25/2051 | 83,000 | 60,737 |
4.10%, 3/25/2061 | 248,000 | 176,404 |
Roper Technologies, Inc. 1.75%, 2/15/2031 | 136,000 | 105,531 |
VMware, Inc. 2.20%, 8/15/2031 | 148,000 | 112,959 |
731,434 | ||
Specialty Retail — 2.4% | ||
AutoZone, Inc. 1.65%, 1/15/2031 | 174,000 | 134,990 |
Home Depot, Inc. (The) | ||
2.50%, 4/15/2027 | 237,000 | 219,807 |
1.50%, 9/15/2028 | 133,000 | 114,008 |
2.70%, 4/15/2030 | 247,000 | 218,582 |
3.30%, 4/15/2040 | 56,000 | 45,342 |
4.20%, 4/1/2043 | 30,000 | 26,865 |
3.13%, 12/15/2049 | 63,000 | 46,117 |
Lowe's Cos., Inc. | ||
3.10%, 5/3/2027 | 40,000 | 37,563 |
2.80%, 9/15/2041 | 122,000 | 86,165 |
3.70%, 4/15/2046 | 107,000 | 81,986 |
4.05%, 5/3/2047 | 40,000 | 32,231 |
1,043,656 | ||
Technology Hardware, Storage & Peripherals — 2.3% | ||
Apple, Inc. | ||
1.80%, 9/11/2024 | 194,000 | 185,420 |
2.75%, 1/13/2025 | 50,000 | 48,360 |
2.90%, 9/12/2027 | 189,000 | 178,674 |
2.38%, 2/8/2041 | 69,000 | 50,517 |
3.85%, 5/4/2043 | 20,000 | 17,851 |
3.45%, 2/9/2045 | 56,000 | 46,274 |
4.65%, 2/23/2046 | 153,000 | 149,414 |
2.65%, 5/11/2050 | 83,000 | 57,380 |
2.65%, 2/8/2051 | 80,000 | 54,711 |
Dell International LLC | ||
6.02%, 6/15/2026 | 152,000 | 155,231 |
5.30%, 10/1/2029 | 40,000 | 39,567 |
983,399 | ||
Thrifts & Mortgage Finance — 0.6% | ||
BPCE SA (France) 4.00%, 4/15/2024 | 250,000 | 245,727 |
Tobacco — 1.0% | ||
Altria Group, Inc. 4.00%, 2/4/2061 | 55,000 | 36,570 |
BAT Capital Corp. (United Kingdom) | ||
3.22%, 8/15/2024 | 119,000 | 114,769 |
4.39%, 8/15/2037 | 274,000 | 215,830 |
Reynolds American, Inc. (United Kingdom) 4.45%, 6/12/2025 | 76,000 | 74,632 |
441,801 |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Water Utilities — 0.3% | ||
American Water Capital Corp. | ||
3.75%, 9/1/2047 | 50,000 | 39,423 |
3.45%, 5/1/2050 | 100,000 | 74,387 |
113,810 | ||
Wireless Telecommunication Services — 1.7% | ||
T-Mobile USA, Inc. | ||
3.50%, 4/15/2025 | 195,000 | 188,800 |
3.75%, 4/15/2027 | 245,000 | 232,078 |
3.88%, 4/15/2030 | 218,000 | 200,219 |
4.50%, 4/15/2050 | 141,000 | 119,100 |
740,197 | ||
Total Corporate Bonds (Cost $47,968,541) | 42,072,010 | |
SHARES | ||
Short-Term Investments — 0.9% | ||
Investment Companies — 0.9% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 3.59% (d) (e) (Cost $399,363) | 399,363 | 399,363 |
Total Investments — 99.4% (Cost $48,367,904) | 42,471,373 | |
Other Assets Less Liabilities — 0.6% | 244,932 | |
NET ASSETS — 100.0% | 42,716,305 |
Percentages indicated are based on net assets. |
Abbreviations | |
CME | Chicago Mercantile Exchange |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
(a) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2022. | |
(b) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(c) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of November 30, 2022. | |
(d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(e) | The rate shown is the current yield as of November 30, 2022. |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
Futures contracts outstanding as of November 30, 2022:
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 10 Year Ultra Note | 1 | 03/22/2023 | USD | 120,203 | 1,209 |
U.S. Treasury Long Bond | 1 | 03/22/2023 | USD | 127,656 | 1,256 |
U.S. Treasury 2 Year Note | 2 | 03/31/2023 | USD | 411,109 | 1,371 |
U.S. Treasury 5 Year Note | 13 | 03/31/2023 | USD | 1,414,359 | 11,349 |
15,185 | |||||
Short Contracts | |||||
U.S. Treasury 10 Year Note | (10) | 03/22/2023 | USD | (1,137,969) | (8,771) |
U.S. Treasury Ultra Bond | (1) | 03/22/2023 | USD | (137,219) | (3,190) |
(11,961) | |||||
3,224 |
Abbreviations | |
USD | United States Dollar |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
A. Valuation of Investments — Investments are valued in accordance with U.S. generally accepted accounting principles (“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 Investment Company Act of 1940, 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.
Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAVs 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).
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments ("SOI"):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Corporate Bonds | $— | $42,072,010 | $— | $42,072,010 |
Short-Term Investments | ||||
Investment Companies | 399,363 | — | — | 399,363 |
Total Investments in Securities | $399,363 | $42,072,010 | $— | $42,471,373 |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $15,185 | $— | $— | $15,185 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (11,961) | — | — | (11,961) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $3,224 | $— | $— | $3,224 |
B. Investment Transactions with Affiliates — The Fund invested in an Underlying Fund, which is advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund's distributions may be reinvested into such Underlying Fund. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the period ended November 30, 2022 | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at November 30, 2022 | Shares at November 30, 2022 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 3.59% (a) (b) | $159,865 | $3,054,604 | $2,815,106 | $— | $— | $399,363 | 399,363 | $2,447 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of November 30, 2022. |