JPMorgan Inflation Managed Bond ETF
Schedule of Portfolio Investments as of November 30, 2023
(Unaudited)
THE “UNAUDITED EXCHANGE-TRADED 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. |
J.P. Morgan Distribution Services, Inc., member FINRA. |
© J.P. Morgan Chase & Co., 2023. |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 26.7% | ||
Aerospace & Defense — 0.8% | ||
BAE Systems plc (United Kingdom) 3.40%, 4/15/2030 (a) | 400,000 | 357,447 |
Boeing Co. (The) | ||
2.75%, 2/1/2026 | 782,000 | 739,692 |
3.10%, 5/1/2026 | 931,000 | 884,084 |
L3Harris Technologies, Inc. 3.85%, 12/15/2026 | 425,000 | 410,345 |
Leidos, Inc. 2.30%, 2/15/2031 | 467,000 | 374,062 |
Northrop Grumman Corp. 2.93%, 1/15/2025 | 50,000 | 48,600 |
RTX Corp. | ||
3.15%, 12/15/2024 | 216,000 | 210,469 |
5.75%, 1/15/2029 | 800,000 | 816,615 |
3,841,314 | ||
Automobile Components — 0.0% ^ | ||
Lear Corp. 2.60%, 1/15/2032 | 222,000 | 172,615 |
Automobiles — 0.7% | ||
Honda Motor Co. Ltd. (Japan) 2.53%, 3/10/2027 | 50,000 | 46,232 |
Hyundai Capital America | ||
0.80%, 1/8/2024 (a) | 50,000 | 49,741 |
3.00%, 2/10/2027 (a) | 903,000 | 830,931 |
2.38%, 10/15/2027 (a) | 419,000 | 369,079 |
Nissan Motor Co. Ltd. (Japan) | ||
4.35%, 9/17/2027 (a) | 800,000 | 746,785 |
4.81%, 9/17/2030 (a) | 800,000 | 712,267 |
Stellantis Finance US, Inc. 2.69%, 9/15/2031 (a) | 378,000 | 302,263 |
3,057,298 | ||
Banks — 7.2% | ||
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (a) (b) | 600,000 | 508,955 |
AIB Group plc (Ireland) (SOFR + 2.33%), 6.61%, 9/13/2029 (a) (b) | 264,000 | 269,090 |
Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (a) (c) | 750,000 | 722,275 |
Banco Santander SA (Spain) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (b) | 200,000 | 177,415 |
2.75%, 12/3/2030 | 600,000 | 470,827 |
Bank of America Corp. | ||
(SOFR + 1.15%), 1.32%, 6/19/2026 (b) | 21,000 | 19,552 |
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (b) | 178,000 | 162,413 |
(3-MONTH CME TERM SOFR + 1.84%), 3.82%, 1/20/2028 (b) | 937,000 | 886,750 |
(SOFR + 1.63%), 5.20%, 4/25/2029 (b) | 547,000 | 538,613 |
(SOFR + 1.53%), 1.90%, 7/23/2031 (b) | 1,977,000 | 1,552,512 |
Bank of Ireland Group plc (Ireland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (a) (b) | 925,000 | 825,903 |
Bank of Montreal (Canada) 2.65%, 3/8/2027 | 40,000 | 36,989 |
Bank of New Zealand (New Zealand) 3.50%, 2/20/2024 (a) | 330,000 | 328,331 |
Banque Federative du Credit Mutuel SA (France) 5.90%, 7/13/2026 (a) | 357,000 | 359,245 |
Barclays plc (United Kingdom) (SOFR + 1.88%), 6.50%, 9/13/2027 (b) | 699,000 | 704,767 |
BNP Paribas SA (France) | ||
(3-MONTH CME TERM SOFR + 2.50%), 4.71%, 1/10/2025 (a) (b) | 500,000 | 499,181 |
(SOFR + 2.07%), 2.22%, 6/9/2026 (a) (b) | 500,000 | 472,738 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
BPCE SA (France) | ||
(SOFR + 1.09%), 2.05%, 10/19/2027 (a) (b) | 964,000 | 859,643 |
(SOFR + 1.31%), 2.28%, 1/20/2032 (a) (b) | 694,000 | 532,029 |
Citigroup, Inc. | ||
(SOFR + 0.77%), 1.12%, 1/28/2027 (b) | 1,056,000 | 956,219 |
4.45%, 9/29/2027 | 472,000 | 451,983 |
(3-MONTH CME TERM SOFR + 1.82%), 3.89%, 1/10/2028 (b) | 90,000 | 85,638 |
(3-MONTH CME TERM SOFR + 1.43%), 3.88%, 1/24/2039 (b) | 456,000 | 373,740 |
Commonwealth Bank of Australia (Australia) 2.30%, 3/14/2025 (a) | 40,000 | 38,540 |
Cooperatieve Rabobank UA (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.98%, 12/15/2027 (a) (b) | 750,000 | 669,030 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.56%, 2/28/2029 (a) (b) | 250,000 | 248,223 |
Credit Agricole SA (France) (SOFR + 1.68%), 1.91%, 6/16/2026 (a) (b) | 1,500,000 | 1,408,255 |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (a) (b) | 407,000 | 408,000 |
Discover Bank | ||
2.45%, 9/12/2024 | 650,000 | 630,379 |
3.45%, 7/27/2026 | 447,000 | 411,798 |
DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.61%, 3/30/2028 (a) (b) | 1,000,000 | 874,901 |
Fifth Third Bank NA 2.25%, 2/1/2027 | 250,000 | 224,828 |
HSBC Holdings plc (United Kingdom) | ||
(3-MONTH CME TERM SOFR + 1.61%), 4.29%, 9/12/2026 (b) | 1,250,000 | 1,211,097 |
(SOFR + 1.73%), 2.01%, 9/22/2028 (b) | 300,000 | 261,544 |
(3-MONTH CME TERM SOFR + 1.87%), 3.97%, 5/22/2030 (b) | 640,000 | 581,629 |
(SOFR + 2.39%), 2.85%, 6/4/2031 (b) | 1,141,000 | 947,844 |
Huntington Bancshares, Inc. (SOFR + 2.05%), 5.02%, 5/17/2033 (b) | 944,000 | 860,946 |
ING Groep NV (Netherlands) (SOFR + 1.01%), 1.73%, 4/1/2027 (b) | 480,000 | 436,038 |
KeyBank NA 3.30%, 6/1/2025 | 250,000 | 236,919 |
KeyCorp (SOFRINDX + 1.25%), 3.88%, 5/23/2025 (b) | 184,000 | 178,086 |
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) | 550,000 | 526,274 |
3.75%, 1/11/2027 | 469,000 | 443,169 |
Mitsubishi UFJ Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (b) | 600,000 | 544,054 |
Mizuho Financial Group Cayman 3 Ltd. (Japan) 4.60%, 3/27/2024 (a) (c) | 800,000 | 795,455 |
Morgan Stanley Bank NA 4.75%, 4/21/2026 | 520,000 | 513,546 |
National Australia Bank Ltd. (Australia) 2.33%, 8/21/2030 (a) (c) | 250,000 | 196,372 |
NatWest Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.64%, 6/14/2027 (b) | 286,000 | 256,660 |
NatWest Markets plc (United Kingdom) 0.80%, 8/12/2024 (a) | 777,000 | 750,890 |
PNC Financial Services Group, Inc. (The) (SOFRINDX + 1.09%), 4.76%, 1/26/2027 (b) | 573,000 | 560,812 |
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) | 200,000 | 183,859 |
(SOFR + 2.75%), 6.83%, 11/21/2026 (b) | 200,000 | 201,666 |
(SOFR + 2.60%), 6.53%, 1/10/2029 (b) | 750,000 | 756,313 |
Societe Generale SA (France) | ||
2.63%, 1/22/2025 (a) | 700,000 | 672,188 |
4.25%, 4/14/2025 (a) | 400,000 | 386,660 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (b) | 937,000 | 837,997 |
Sumitomo Mitsui Financial Group, Inc. (Japan) 2.70%, 7/16/2024 | 612,000 | 600,793 |
Toronto-Dominion Bank (The) (Canada) 1.15%, 6/12/2025 | 40,000 | 37,501 |
Truist Bank 3.30%, 5/15/2026 | 200,000 | 186,908 |
Truist Financial Corp. (SOFR + 2.45%), 7.16%, 10/30/2029 (b) | 275,000 | 287,498 |
UniCredit SpA (Italy) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (b) | 835,000 | 751,607 |
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (a) (b) | 600,000 | 564,997 |
Wachovia Corp. 7.57%, 8/1/2026 (d) | 366,000 | 383,837 |
Wells Fargo & Co. (3-MONTH CME TERM SOFR + 1.43%), 2.88%, 10/30/2030 (b) | 637,000 | 548,054 |
Westpac Banking Corp. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (b) (c) | 540,000 | 515,819 |
32,925,794 | ||
Biotechnology — 0.3% | ||
AbbVie, Inc. 2.95%, 11/21/2026 | 1,277,000 | 1,208,773 |
Gilead Sciences, Inc. 3.50%, 2/1/2025 | 35,000 | 34,246 |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 181,000 | 143,730 |
1,386,749 | ||
Broadline Retail — 0.0% ^ | ||
eBay, Inc. 2.60%, 5/10/2031 | 50,000 | 41,742 |
Capital Markets — 2.1% | ||
Brookfield Finance, Inc. (Canada) 4.25%, 6/2/2026 | 362,000 | 350,241 |
Credit Suisse AG (Switzerland) | ||
3.63%, 9/9/2024 | 1,920,000 | 1,881,862 |
1.25%, 8/7/2026 | 250,000 | 222,218 |
Deutsche Bank AG (Germany) | ||
(SOFR + 2.52%), 7.15%, 7/13/2027 (b) | 190,000 | 193,795 |
(SOFR + 1.32%), 2.55%, 1/7/2028 (b) | 700,000 | 625,745 |
(SOFR + 1.72%), 3.04%, 5/28/2032 (b) | 626,000 | 497,112 |
Goldman Sachs Group, Inc. (The) | ||
4.25%, 10/21/2025 | 237,000 | 230,834 |
3.50%, 11/16/2026 | 1,185,000 | 1,130,646 |
(SOFR + 1.09%), 1.99%, 1/27/2032 (b) | 512,000 | 397,104 |
Invesco Finance plc 3.75%, 1/15/2026 | 386,000 | 372,758 |
Macquarie Group Ltd. (Australia) (3-MONTH SOFR + 1.75%), 5.03%, 1/15/2030 (a) (b) | 200,000 | 193,233 |
Morgan Stanley | ||
(SOFR + 1.99%), 2.19%, 4/28/2026 (b) | 40,000 | 38,032 |
4.35%, 9/8/2026 | 1,163,000 | 1,128,207 |
(SOFR + 1.02%), 1.93%, 4/28/2032 (b) | 110,000 | 84,545 |
Nasdaq, Inc. 5.55%, 2/15/2034 | 138,000 | 137,908 |
Nomura Holdings, Inc. (Japan) | ||
2.33%, 1/22/2027 | 800,000 | 720,808 |
2.68%, 7/16/2030 | 453,000 | 371,820 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
UBS Group AG (Switzerland) | ||
(SOFR + 2.04%), 2.19%, 6/5/2026 (a) (b) | 250,000 | 235,100 |
(SOFRINDX + 0.98%), 1.31%, 2/2/2027 (a) (b) | 900,000 | 812,164 |
9,624,132 | ||
Chemicals — 0.2% | ||
Albemarle Corp. 5.05%, 6/1/2032 | 540,000 | 499,916 |
RPM International, Inc. 2.95%, 1/15/2032 | 238,000 | 191,361 |
691,277 | ||
Construction & Engineering — 0.1% | ||
Quanta Services, Inc. 2.35%, 1/15/2032 | 446,000 | 349,251 |
Construction Materials — 0.0% ^ | ||
Martin Marietta Materials, Inc. Series CB, 2.50%, 3/15/2030 | 40,000 | 33,579 |
Consumer Finance — 2.2% | ||
AerCap Ireland Capital DAC (Ireland) | ||
2.45%, 10/29/2026 | 1,404,000 | 1,279,033 |
3.00%, 10/29/2028 | 1,235,000 | 1,088,474 |
American Express Co. (SOFR + 1.33%), 6.34%, 10/30/2026 (b) | 490,000 | 496,680 |
Avolon Holdings Funding Ltd. (Ireland) | ||
2.13%, 2/21/2026 (a) | 692,000 | 629,919 |
4.25%, 4/15/2026 (a) | 832,000 | 791,330 |
4.38%, 5/1/2026 (a) | 1,063,000 | 1,011,905 |
2.53%, 11/18/2027 (a) | 2,793,000 | 2,413,460 |
Capital One Financial Corp. | ||
(SOFR + 1.37%), 4.17%, 5/9/2025 (b) | 394,000 | 388,042 |
(SOFR + 1.27%), 2.62%, 11/2/2032 (b) | 409,000 | 306,666 |
General Motors Financial Co., Inc. | ||
1.20%, 10/15/2024 | 420,000 | 403,053 |
2.35%, 1/8/2031 | 890,000 | 708,718 |
Mitsubishi HC Finance America LLC (Japan) 5.81%, 9/12/2028 (a) | 200,000 | 201,207 |
Park Aerospace Holdings Ltd. (Ireland) 5.50%, 2/15/2024 (a) | 392,000 | 390,926 |
10,109,413 | ||
Consumer Staples Distribution & Retail — 0.0% ^ | ||
7-Eleven, Inc. 1.80%, 2/10/2031 (a) | 205,000 | 160,232 |
Containers & Packaging — 0.1% | ||
Graphic Packaging International LLC 1.51%, 4/15/2026 (a) | 453,000 | 409,092 |
WRKCo, Inc. 4.90%, 3/15/2029 | 150,000 | 146,938 |
556,030 | ||
Diversified REITs — 0.3% | ||
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a) | 163,000 | 148,810 |
Safehold GL Holdings LLC 2.80%, 6/15/2031 | 682,000 | 530,667 |
WP Carey, Inc. 2.25%, 4/1/2033 | 893,000 | 659,689 |
1,339,166 | ||
Diversified Telecommunication Services — 0.4% | ||
AT&T, Inc. 1.65%, 2/1/2028 | 381,000 | 331,856 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Diversified Telecommunication Services — continued | ||
NBN Co. Ltd. (Australia) 2.63%, 5/5/2031 (a) | 800,000 | 662,535 |
Sprint Capital Corp. 6.88%, 11/15/2028 | 155,000 | 163,899 |
Verizon Communications, Inc. | ||
2.63%, 8/15/2026 | 793,000 | 744,661 |
1.68%, 10/30/2030 | 70,000 | 55,462 |
1,958,413 | ||
Electric Utilities — 2.1% | ||
Alabama Power Co. 5.85%, 11/15/2033 | 500,000 | 516,368 |
American Electric Power Co., Inc. 2.03%, 3/15/2024 | 179,000 | 176,889 |
Arizona Public Service Co. 3.35%, 6/15/2024 | 322,000 | 317,583 |
Atlantic City Electric Co. 4.00%, 10/15/2028 | 20,000 | 19,043 |
CenterPoint Energy Houston Electric LLC Series AA, 3.00%, 2/1/2027 | 10,000 | 9,392 |
Cleveland Electric Illuminating Co. (The) | ||
5.50%, 8/15/2024 | 10,000 | 9,981 |
3.50%, 4/1/2028 (a) | 386,000 | 355,231 |
4.55%, 11/15/2030 (a) | 290,000 | 267,660 |
Connecticut Light and Power Co. (The) Series A, 3.20%, 3/15/2027 | 20,000 | 18,904 |
Duke Energy Carolinas LLC 6.45%, 10/15/2032 | 50,000 | 52,866 |
Duke Energy Ohio, Inc. 5.25%, 4/1/2033 | 73,000 | 72,445 |
Duquesne Light Holdings, Inc. | ||
2.53%, 10/1/2030 (a) | 421,000 | 339,637 |
2.78%, 1/7/2032 (a) | 254,000 | 193,451 |
Edison International 3.55%, 11/15/2024 | 714,000 | 697,169 |
Evergy, Inc. 2.90%, 9/15/2029 | 218,000 | 190,150 |
Fells Point Funding Trust 3.05%, 1/31/2027 (a) | 864,000 | 795,665 |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 421,000 | 393,695 |
Interstate Power and Light Co. 4.10%, 9/26/2028 | 30,000 | 28,534 |
ITC Holdings Corp. 2.95%, 5/14/2030 (a) | 251,000 | 213,997 |
Kentucky Utilities Co. 3.30%, 10/1/2025 | 200,000 | 192,613 |
NextEra Energy Capital Holdings, Inc. 2.25%, 6/1/2030 | 200,000 | 164,887 |
Niagara Mohawk Power Corp. 3.51%, 10/1/2024 (a) | 640,000 | 626,446 |
NRG Energy, Inc. 2.45%, 12/2/2027 (a) | 405,000 | 354,930 |
Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029 | 260,000 | 266,794 |
Pacific Gas and Electric Co. | ||
2.95%, 3/1/2026 | 458,000 | 427,528 |
4.55%, 7/1/2030 | 778,999 | 715,455 |
Pennsylvania Electric Co. 3.25%, 3/15/2028 (a) | 256,000 | 233,515 |
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036 | 848,000 | 773,517 |
SCE Recovery Funding LLC Series A-2, 1.94%, 5/15/2038 | 285,000 | 199,625 |
Southwestern Electric Power Co. Series M, 4.10%, 9/15/2028 | 10,000 | 9,414 |
Virginia Electric and Power Co. Series A, 3.50%, 3/15/2027 | 10,000 | 9,500 |
Vistra Operations Co. LLC 4.88%, 5/13/2024 (a) | 680,000 | 675,202 |
9,318,086 | ||
Electrical Equipment — 0.0% ^ | ||
Eaton Corp. 3.10%, 9/15/2027 | 50,000 | 47,060 |
Electronic Equipment, Instruments & Components — 0.1% | ||
Arrow Electronics, Inc. 3.88%, 1/12/2028 | 458,000 | 426,691 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Energy Equipment & Services — 0.1% | ||
Halliburton Co. 2.92%, 3/1/2030 | 200,000 | 175,239 |
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (a) | 39,000 | 37,028 |
212,267 | ||
Financial Services — 0.3% | ||
Global Payments, Inc. | ||
2.15%, 1/15/2027 | 501,000 | 451,710 |
3.20%, 8/15/2029 | 200,000 | 176,240 |
LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (a) | 490,000 | 424,855 |
Nationwide Building Society (United Kingdom) 4.85%, 7/27/2027 (a) | 300,000 | 293,165 |
1,345,970 | ||
Food Products — 0.2% | ||
General Mills, Inc. 4.95%, 3/29/2033 | 151,000 | 146,739 |
J M Smucker Co. (The) 6.20%, 11/15/2033 | 264,000 | 275,634 |
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 | 89,000 | 87,288 |
Smithfield Foods, Inc. 5.20%, 4/1/2029 (a) | 376,000 | 349,251 |
858,912 | ||
Gas Utilities — 0.0% ^ | ||
ONE Gas, Inc. 2.00%, 5/15/2030 | 248,000 | 202,452 |
Ground Transportation — 0.5% | ||
ERAC USA Finance LLC 3.85%, 11/15/2024 (a) | 416,000 | 408,554 |
Penske Truck Leasing Co. LP | ||
5.75%, 5/24/2026 (a) | 219,000 | 218,213 |
5.55%, 5/1/2028 (a) | 818,000 | 809,876 |
Triton Container International Ltd. (Bermuda) | ||
2.05%, 4/15/2026 (a) | 637,000 | 576,574 |
3.25%, 3/15/2032 | 508,000 | 387,116 |
2,400,333 | ||
Health Care Equipment & Supplies — 0.0% ^ | ||
Abbott Laboratories 3.88%, 9/15/2025 | 40,000 | 39,339 |
Becton Dickinson & Co. 3.36%, 6/6/2024 | 46,000 | 45,412 |
84,751 | ||
Health Care Providers & Services — 0.5% | ||
CommonSpirit Health | ||
3.35%, 10/1/2029 | 455,000 | 403,383 |
2.78%, 10/1/2030 | 171,000 | 141,597 |
CVS Health Corp. 1.88%, 2/28/2031 | 281,000 | 222,178 |
HCA, Inc. | ||
5.25%, 6/15/2026 | 20,000 | 19,828 |
4.13%, 6/15/2029 | 764,000 | 708,619 |
Humana, Inc. 3.95%, 3/15/2027 | 292,000 | 280,976 |
Quest Diagnostics, Inc. | ||
2.95%, 6/30/2030 | 93,000 | 79,923 |
2.80%, 6/30/2031 | 287,000 | 239,973 |
UnitedHealth Group, Inc. 3.38%, 4/15/2027 | 20,000 | 19,072 |
2,115,549 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Health Care REITs — 0.5% | ||
Healthcare Realty Holdings LP | ||
3.10%, 2/15/2030 | 269,000 | 228,286 |
2.00%, 3/15/2031 | 429,000 | 331,221 |
Healthpeak OP LLC 2.13%, 12/1/2028 | 270,000 | 230,466 |
Physicians Realty LP 2.63%, 11/1/2031 | 409,000 | 323,077 |
Sabra Health Care LP 3.20%, 12/1/2031 | 440,000 | 344,128 |
Ventas Realty LP | ||
3.50%, 2/1/2025 | 110,000 | 106,656 |
4.13%, 1/15/2026 | 45,000 | 43,475 |
3.25%, 10/15/2026 | 229,000 | 214,109 |
Welltower OP LLC 2.75%, 1/15/2032 | 404,000 | 327,110 |
2,148,528 | ||
Hotels, Restaurants & Leisure — 0.1% | ||
Expedia Group, Inc. 3.25%, 2/15/2030 | 755,000 | 667,091 |
Industrial REITs — 0.1% | ||
Prologis LP 4.75%, 6/15/2033 | 407,000 | 388,529 |
Insurance — 0.9% | ||
Athene Global Funding 2.72%, 1/7/2029 (a) | 711,000 | 601,246 |
Brighthouse Financial Global Funding 1.00%, 4/12/2024 (a) | 258,000 | 253,434 |
CNA Financial Corp. 3.95%, 5/15/2024 | 439,000 | 434,712 |
CNO Global Funding | ||
1.75%, 10/7/2026 (a) | 531,000 | 473,481 |
2.65%, 1/6/2029 (a) | 200,000 | 169,435 |
F&G Global Funding 2.30%, 4/11/2027 (a) | 604,000 | 531,807 |
Guardian Life Global Funding 0.88%, 12/10/2025 (a) | 512,000 | 465,640 |
Manulife Financial Corp. (Canada) 4.15%, 3/4/2026 | 389,000 | 380,326 |
Marsh & McLennan Cos., Inc. 3.88%, 3/15/2024 | 30,000 | 29,835 |
Principal Financial Group, Inc. | ||
3.10%, 11/15/2026 | 20,000 | 18,785 |
3.70%, 5/15/2029 | 30,000 | 27,574 |
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (a) | 650,000 | 667,480 |
4,053,755 | ||
Leisure Products — 0.1% | ||
Hasbro, Inc. 3.90%, 11/19/2029 | 392,000 | 352,517 |
Media — 0.6% | ||
Charter Communications Operating LLC 4.91%, 7/23/2025 | 814,000 | 800,643 |
Comcast Corp. 4.15%, 10/15/2028 | 544,000 | 525,950 |
Discovery Communications LLC 3.95%, 3/20/2028 | 652,000 | 610,237 |
Paramount Global 2.90%, 1/15/2027 | 246,000 | 223,065 |
Time Warner Cable Enterprises LLC 8.38%, 7/15/2033 | 346,000 | 388,026 |
2,547,921 | ||
Metals & Mining — 0.2% | ||
Glencore Funding LLC (Australia) | ||
2.50%, 9/1/2030 (a) | 260,000 | 212,826 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Metals & Mining — continued | ||
2.85%, 4/27/2031 (a) | 350,000 | 286,997 |
Steel Dynamics, Inc. 1.65%, 10/15/2027 | 324,000 | 281,536 |
781,359 | ||
Multi-Utilities — 0.2% | ||
CenterPoint Energy, Inc. 1.45%, 6/1/2026 | 288,000 | 262,458 |
CMS Energy Corp. 2.95%, 2/15/2027 | 170,000 | 156,144 |
Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028 | 10,000 | 9,545 |
NiSource, Inc. 5.25%, 3/30/2028 | 166,000 | 165,775 |
PG&E Energy Recovery Funding LLC Series A-2, 2.28%, 1/15/2036 | 225,000 | 168,071 |
Puget Energy, Inc. 2.38%, 6/15/2028 | 234,000 | 203,217 |
965,210 | ||
Office REITs — 0.2% | ||
Alexandria Real Estate Equities, Inc. 3.38%, 8/15/2031 | 483,000 | 416,926 |
Corporate Office Properties LP 2.00%, 1/15/2029 | 257,000 | 203,362 |
Kilroy Realty LP 2.65%, 11/15/2033 | 592,000 | 410,788 |
1,031,076 | ||
Oil, Gas & Consumable Fuels — 1.8% | ||
Aker BP ASA (Norway) 2.00%, 7/15/2026 (a) | 222,000 | 202,344 |
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (a) | 424,000 | 404,451 |
Cameron LNG LLC 2.90%, 7/15/2031 (a) | 146,000 | 123,963 |
Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025 | 272,000 | 272,045 |
Coterra Energy, Inc. 3.90%, 5/15/2027 | 424,000 | 404,151 |
Eastern Energy Gas Holdings LLC Series A, 2.50%, 11/15/2024 | 50,000 | 48,486 |
Ecopetrol SA (Colombia) | ||
4.13%, 1/16/2025 | 313,000 | 304,236 |
5.38%, 6/26/2026 | 295,000 | 285,059 |
Enbridge, Inc. (Canada) 5.70%, 3/8/2033 | 399,000 | 398,996 |
Energy Transfer LP | ||
5.95%, 12/1/2025 | 446,000 | 447,181 |
5.50%, 6/1/2027 | 244,000 | 243,687 |
Enterprise Products Operating LLC 3.95%, 2/15/2027 | 392,000 | 380,142 |
Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (a) | 1,116,000 | 872,840 |
Gray Oak Pipeline LLC | ||
2.60%, 10/15/2025 (a) | 312,000 | 292,140 |
3.45%, 10/15/2027 (a) | 637,000 | 580,531 |
HF Sinclair Corp. 5.88%, 4/1/2026 | 300,000 | 301,336 |
MPLX LP | ||
4.13%, 3/1/2027 | 458,000 | 439,963 |
4.25%, 12/1/2027 | 118,000 | 112,794 |
5.00%, 3/1/2033 | 350,000 | 330,310 |
NGPL PipeCo LLC 3.25%, 7/15/2031 (a) | 271,000 | 223,824 |
Ovintiv, Inc. 5.38%, 1/1/2026 | 420,000 | 417,377 |
Plains All American Pipeline LP 4.65%, 10/15/2025 | 357,000 | 350,014 |
Sabine Pass Liquefaction LLC 4.50%, 5/15/2030 | 250,000 | 236,023 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
Suncor Energy, Inc. (Canada) 5.95%, 12/1/2034 | 216,000 | 215,024 |
Targa Resources Partners LP 4.00%, 1/15/2032 | 153,000 | 132,980 |
8,019,897 | ||
Passenger Airlines — 0.0% ^ | ||
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | 102,068 | 99,305 |
Personal Care Products — 0.1% | ||
Kenvue, Inc. 5.00%, 3/22/2030 | 428,000 | 430,043 |
Pharmaceuticals — 0.2% | ||
Bristol-Myers Squibb Co. 3.40%, 7/26/2029 | 30,000 | 27,850 |
Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030 | 800,000 | 662,023 |
689,873 | ||
Real Estate Management & Development — 0.1% | ||
Mitsui Fudosan Co. Ltd. (Japan) 3.65%, 7/20/2027 (a) | 219,000 | 207,937 |
Ontario Teachers' Cadillac Fairview Properties Trust (Canada) 3.88%, 3/20/2027 (a) | 325,000 | 303,883 |
511,820 | ||
Residential REITs — 0.2% | ||
Essex Portfolio LP 1.65%, 1/15/2031 | 279,000 | 212,232 |
Mid-America Apartments LP 1.70%, 2/15/2031 | 187,000 | 146,111 |
UDR, Inc. | ||
3.20%, 1/15/2030 | 260,000 | 228,272 |
2.10%, 8/1/2032 | 266,000 | 198,130 |
2.10%, 6/15/2033 | 350,000 | 256,304 |
1,041,049 | ||
Retail REITs — 0.4% | ||
Brixmor Operating Partnership LP | ||
3.85%, 2/1/2025 | 375,000 | 364,505 |
2.25%, 4/1/2028 | 186,000 | 160,348 |
2.50%, 8/16/2031 | 140,000 | 110,394 |
NNN REIT, Inc. | ||
3.60%, 12/15/2026 | 247,000 | 232,265 |
4.30%, 10/15/2028 | 370,000 | 348,450 |
Regency Centers LP 3.70%, 6/15/2030 | 350,000 | 312,068 |
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (a) | 350,000 | 340,146 |
SITE Centers Corp. 3.63%, 2/1/2025 | 100,000 | 96,580 |
1,964,756 | ||
Semiconductors & Semiconductor Equipment — 0.5% | ||
Broadcom, Inc. 4.11%, 9/15/2028 | 792,000 | 756,735 |
Marvell Technology, Inc. 2.95%, 4/15/2031 | 422,000 | 353,665 |
Microchip Technology, Inc. 0.97%, 2/15/2024 | 546,000 | 540,544 |
NXP BV (China) 2.50%, 5/11/2031 | 658,000 | 532,934 |
2,183,878 | ||
Software — 0.3% | ||
Oracle Corp. | ||
2.65%, 7/15/2026 | 60,000 | 56,207 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Software — continued | ||
4.50%, 5/6/2028 | 295,000 | 288,048 |
2.88%, 3/25/2031 | 502,000 | 429,719 |
6.50%, 4/15/2038 | 50,000 | 53,511 |
Roper Technologies, Inc. 3.80%, 12/15/2026 | 427,000 | 411,649 |
1,239,134 | ||
Specialized REITs — 0.7% | ||
American Tower Corp. 1.45%, 9/15/2026 | 1,378,000 | 1,233,235 |
Crown Castle, Inc. 4.45%, 2/15/2026 | 578,000 | 563,709 |
Equinix, Inc. 2.90%, 11/18/2026 | 605,000 | 564,409 |
Extra Space Storage LP | ||
2.20%, 10/15/2030 | 510,000 | 405,036 |
2.35%, 3/15/2032 | 467,000 | 361,954 |
3,128,343 | ||
Specialty Retail — 0.3% | ||
Advance Auto Parts, Inc. 3.50%, 3/15/2032 | 460,000 | 355,268 |
AutoZone, Inc. 1.65%, 1/15/2031 | 265,000 | 206,796 |
Home Depot, Inc. (The) 2.95%, 6/15/2029 | 50,000 | 45,754 |
Lowe's Cos., Inc. | ||
3.75%, 4/1/2032 | 20,000 | 17,896 |
5.15%, 7/1/2033 | 200,000 | 196,689 |
O'Reilly Automotive, Inc. | ||
5.75%, 11/20/2026 | 195,000 | 197,216 |
3.60%, 9/1/2027 | 203,000 | 192,374 |
1,211,993 | ||
Tobacco — 0.3% | ||
Altria Group, Inc. 2.45%, 2/4/2032 | 532,000 | 417,845 |
BAT Capital Corp. (United Kingdom) | ||
3.22%, 8/15/2024 | 116,000 | 113,809 |
2.26%, 3/25/2028 | 816,000 | 714,848 |
1,246,502 | ||
Trading Companies & Distributors — 0.4% | ||
Air Lease Corp. | ||
1.88%, 8/15/2026 | 504,000 | 455,981 |
3.63%, 4/1/2027 | 757,000 | 700,989 |
Aviation Capital Group LLC 5.50%, 12/15/2024 (a) | 422,000 | 417,008 |
BOC Aviation Ltd. (China) 3.50%, 10/10/2024 (a) | 200,000 | 196,162 |
1,770,140 | ||
Water Utilities — 0.0% ^ | ||
American Water Capital Corp. 3.85%, 3/1/2024 | 20,000 | 19,898 |
Wireless Telecommunication Services — 0.3% | ||
Rogers Communications, Inc. (Canada) 3.80%, 3/15/2032 | 474,000 | 412,588 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Wireless Telecommunication Services — continued | ||
T-Mobile USA, Inc. | ||
4.95%, 3/15/2028 | 440,000 | 436,679 |
3.88%, 4/15/2030 | 684,000 | 628,264 |
1,477,531 | ||
Total Corporate Bonds (Cost $133,751,870) | 121,229,224 | |
Mortgage-Backed Securities — 20.1% | ||
FHLMC Gold Pools, 20 Year | ||
Pool # C91030, 5.50%, 5/1/2027 | 17,934 | 17,984 |
Pool # C91802, 3.50%, 1/1/2035 | 1,949,299 | 1,843,411 |
FHLMC Gold Pools, 30 Year | ||
Pool # A15232, 5.00%, 10/1/2033 | 91,123 | 91,443 |
Pool # A57681, 6.00%, 12/1/2036 | 581 | 600 |
Pool # G06493, 4.50%, 5/1/2041 | 389,134 | 376,575 |
FHLMC Gold Pools, Other | ||
Pool # WN1157, 1.80%, 11/1/2028 | 1,000,000 | 862,242 |
Pool # U90690, 3.50%, 6/1/2042 | 405,101 | 370,003 |
FHLMC UMBS, 30 Year | ||
Pool # ZM6956, 4.50%, 6/1/2048 | 788,925 | 752,562 |
Pool # RA5276, 2.50%, 5/1/2051 | 3,930,665 | 3,208,456 |
Pool # QC3244, 3.00%, 6/1/2051 | 2,496,424 | 2,117,613 |
Pool # QC7410, 2.50%, 9/1/2051 | 1,536,687 | 1,257,194 |
Pool # RA5906, 2.50%, 9/1/2051 | 1,388,523 | 1,136,825 |
Pool # RA6702, 3.00%, 2/1/2052 | 3,503,032 | 2,964,074 |
Pool # RA7937, 5.00%, 9/1/2052 | 3,654,022 | 3,522,582 |
FNMA UMBS, 15 Year Pool # 995381, 6.00%, 1/1/2024 | 1 | 1 |
FNMA UMBS, 20 Year | ||
Pool # MA1138, 3.50%, 8/1/2032 | 318,884 | 301,463 |
Pool # AP9584, 3.00%, 10/1/2032 | 1,519,607 | 1,410,215 |
FNMA UMBS, 30 Year | ||
Pool # AL0045, 6.00%, 12/1/2032 | 139,712 | 142,853 |
Pool # 735503, 6.00%, 4/1/2035 | 36,686 | 37,799 |
Pool # 888460, 6.50%, 10/1/2036 | 231,258 | 242,215 |
Pool # 888890, 6.50%, 10/1/2037 | 5,179 | 5,440 |
Pool # 949320, 7.00%, 10/1/2037 | 19,731 | 20,252 |
Pool # 995149, 6.50%, 10/1/2038 | 11,951 | 12,291 |
Pool # 994410, 7.00%, 11/1/2038 | 126,412 | 129,744 |
Pool # AD9151, 5.00%, 8/1/2040 | 202,255 | 201,321 |
Pool # AE0681, 4.50%, 12/1/2040 | 460,627 | 445,113 |
Pool # BM3500, 4.00%, 9/1/2047 | 779,061 | 737,104 |
Pool # BM3499, 4.00%, 12/1/2047 | 980,906 | 910,247 |
Pool # BE8354, 4.00%, 3/1/2048 | 418,254 | 388,008 |
Pool # CA6989, 2.50%, 9/1/2050 | 2,200,421 | 1,812,979 |
Pool # FS5384, 2.50%, 6/1/2051 | 1,950,219 | 1,601,010 |
Pool # CB1878, 3.00%, 10/1/2051 | 2,743,871 | 2,329,223 |
Pool # CB2637, 2.50%, 1/1/2052 | 2,350,537 | 1,909,593 |
Pool # CB2670, 3.00%, 1/1/2052 | 2,212,194 | 1,872,517 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # FS5986, 2.50%, 2/1/2052 | 1,743,003 | 1,423,427 |
Pool # FS0882, 2.50%, 3/1/2052 | 883,784 | 725,494 |
Pool # CB3378, 4.00%, 4/1/2052 | 1,973,484 | 1,793,252 |
Pool # CB3629, 4.00%, 5/1/2052 | 4,605,778 | 4,186,583 |
Pool # DA4015, 6.00%, 10/1/2053 | 610,000 | 611,809 |
FNMA, Other | ||
Pool # AM4716, 3.38%, 12/1/2023 | 1,344,151 | 1,338,897 |
Pool # AM8674, 2.81%, 4/1/2025 | 2,200,000 | 2,125,271 |
Pool # AM8846, 2.68%, 5/1/2025 | 1,755,506 | 1,690,105 |
Pool # AN1413, 2.49%, 5/1/2026 | 780,884 | 735,522 |
Pool # AN1497, 2.61%, 6/1/2026 | 860,000 | 810,858 |
Pool # AN1243, 2.64%, 6/1/2026 | 1,600,000 | 1,509,972 |
Pool # AN1247, 2.64%, 6/1/2026 | 1,576,000 | 1,483,358 |
Pool # AN6732, 2.83%, 5/1/2027 | 1,174,800 | 1,096,543 |
Pool # AN7338, 3.06%, 11/1/2027 | 949,485 | 885,741 |
Pool # AN7943, 3.10%, 1/1/2028 | 2,378,286 | 2,213,925 |
Pool # AN1161, 3.05%, 4/1/2028 | 936,683 | 866,832 |
Pool # BS8224, 4.10%, 5/1/2028 | 3,775,000 | 3,652,812 |
Pool # AN9486, 3.57%, 6/1/2028 | 3,693,776 | 3,472,233 |
Pool # AN2069, 2.35%, 8/1/2028 | 1,379,980 | 1,237,298 |
Pool # BL0907, 3.88%, 12/1/2028 | 700,000 | 668,345 |
Pool # BM4162, 3.12%, 10/1/2029 (e) | 127,302 | 117,332 |
Pool # BL4333, 2.52%, 11/1/2029 | 1,135,697 | 1,001,052 |
Pool # BS8252, 4.36%, 4/1/2030 | 3,495,000 | 3,382,310 |
Pool # BM7037, 1.75%, 3/1/2032 (e) | 999,241 | 789,194 |
Pool # BS5117, 2.58%, 3/1/2032 | 2,393,690 | 1,991,373 |
Pool # BS8503, 4.62%, 5/1/2033 | 1,000,000 | 969,520 |
Pool # BS2933, 1.82%, 9/1/2033 | 3,400,000 | 2,563,412 |
Pool # MA1125, 4.00%, 7/1/2042 | 526,687 | 495,289 |
Pool # MA1437, 3.50%, 5/1/2043 | 726,008 | 662,075 |
Pool # MA1463, 3.50%, 6/1/2043 | 695,742 | 634,471 |
Pool # BF0669, 4.00%, 6/1/2052 | 2,170,086 | 1,988,679 |
Pool # BF0230, 5.50%, 1/1/2058 | 3,177,231 | 3,230,718 |
Pool # BM6734, 4.00%, 8/1/2059 | 3,691,094 | 3,370,381 |
Pool # BF0497, 3.00%, 7/1/2060 | 1,787,036 | 1,458,152 |
Pool # BF0546, 2.50%, 7/1/2061 | 857,514 | 673,255 |
Pool # BF0617, 2.50%, 3/1/2062 | 2,107,120 | 1,650,416 |
GNMA II, 30 Year | ||
Pool # 4245, 6.00%, 9/20/2038 | 61,373 | 63,113 |
Pool # BA7567, 4.50%, 5/20/2048 | 662,357 | 625,000 |
Pool # BI0416, 4.50%, 11/20/2048 | 73,798 | 70,323 |
Pool # BM9692, 4.50%, 7/20/2049 | 272,431 | 258,588 |
Total Mortgage-Backed Securities (Cost $98,652,529) | 91,553,882 | |
U.S. Treasury Obligations — 16.5% | ||
U.S. Treasury Inflation Indexed Notes | ||
0.25%, 1/15/2025 (f) | 22,408,406 | 21,635,491 |
0.63%, 1/15/2026 | 522,026 | 499,813 |
0.13%, 4/15/2027 | 23,867,740 | 22,107,028 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — continued | ||
0.38%, 7/15/2027 | 12,783,718 | 11,960,392 |
0.63%, 7/15/2032 | 10,349,752 | 9,138,912 |
U.S. Treasury Inflation Linked Notes 0.13%, 10/15/2025 | 10,301,135 | 9,826,987 |
Total U.S. Treasury Obligations (Cost $78,471,062) | 75,168,623 | |
Asset-Backed Securities — 16.2% | ||
ACM Auto Trust Series 2023-1A, Class A, 6.61%, 1/22/2030 (a) | 85,228 | 85,164 |
Air Canada Pass-Through Trust (Canada) | ||
Series 2013-1, Class A, 4.13%, 5/15/2025 (a) | 263,098 | 249,392 |
Series 2017-1, Class AA, 3.30%, 1/15/2030 (a) | 367,536 | 322,125 |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (a) | 1,966,000 | 1,729,689 |
American Airlines Pass-Through Trust | ||
Series 2016-3, Class AA, 3.00%, 10/15/2028 | 73,946 | 65,755 |
Series 2021-1, Class B, 3.95%, 7/11/2030 | 1,012,830 | 881,247 |
American Credit Acceptance Receivables Trust | ||
Series 2023-2, Class A, 5.89%, 10/13/2026 (a) | 250,549 | 250,405 |
Series 2023-1, Class C, 5.59%, 4/12/2029 (a) | 799,000 | 786,350 |
AmeriCredit Automobile Receivables Trust | ||
Series 2020-3, Class B, 0.76%, 12/18/2025 | 439,572 | 434,667 |
Series 2021-2, Class B, 0.69%, 1/19/2027 | 704,000 | 676,694 |
AMSR Trust | ||
Series 2020-SFR4, Class A, 1.36%, 11/17/2037 (a) | 2,019,000 | 1,850,503 |
Series 2020-SFR5, Class A, 1.38%, 11/17/2037 (a) | 526,971 | 482,878 |
Amur Equipment Finance Receivables X LLC Series 2022-1A, Class A2, 1.64%, 10/20/2027 (a) | 800,338 | 774,752 |
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026 (a) | 710,000 | 673,128 |
Business Jet Securities LLC | ||
Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (a) | 111,732 | 105,985 |
Series 2022-1A, Class A, 4.46%, 6/15/2037 ‡ (a) | 947,698 | 891,469 |
CarMax Auto Owner Trust | ||
Series 2021-1, Class A3, 0.34%, 12/15/2025 | 767,192 | 751,174 |
Series 2023-4, Class A3, 6.00%, 7/17/2028 | 241,000 | 245,242 |
Carvana Auto Receivables Trust | ||
Series 2021-P3, Class A3, 0.70%, 11/10/2026 | 895,063 | 860,722 |
Series 2023-N1, Class A, 6.36%, 4/12/2027 (a) | 644,492 | 644,920 |
Series 2022-P3, Class A3, 4.61%, 11/10/2027 | 245,000 | 241,232 |
Series 2021-P4, Class A4, 1.64%, 12/10/2027 | 2,700,000 | 2,451,408 |
CoreVest American Finance Trust | ||
Series 2019-3, Class A, 2.71%, 10/15/2052 (a) | 145,281 | 139,463 |
Series 2022-1, Class A, 4.74%, 6/17/2055 (a) (e) | 519,856 | 500,366 |
CPS Auto Receivables Trust | ||
Series 2023-A, Class C, 5.54%, 4/16/2029 (a) | 651,000 | 639,972 |
Series 2022-C, Class B, 4.88%, 4/15/2030 (a) | 2,200,000 | 2,174,114 |
Credit Acceptance Auto Loan Trust | ||
Series 2021-2A, Class A, 0.96%, 2/15/2030 (a) | 271,324 | 269,359 |
Series 2021-3A, Class A, 1.00%, 5/15/2030 (a) | 356,355 | 350,676 |
Series 2023-1A, Class B, 7.02%, 5/16/2033 (a) | 2,100,000 | 2,101,202 |
Drive Auto Receivables Trust Series 2021-3, Class B, 1.11%, 5/15/2026 | 56,676 | 56,510 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
DT Auto Owner Trust | ||
Series 2022-2A, Class A, 2.88%, 6/15/2026 (a) | 199,230 | 198,290 |
Series 2021-3A, Class C, 0.87%, 5/17/2027 (a) | 1,292,000 | 1,259,493 |
Series 2021-4A, Class D, 1.99%, 9/15/2027 (a) | 760,000 | 696,451 |
Series 2023-1A, Class C, 5.55%, 10/16/2028 (a) | 1,798,000 | 1,768,038 |
Series 2023-2A, Class B, 5.41%, 2/15/2029 (a) | 756,000 | 747,058 |
Exeter Automobile Receivables Trust | ||
Series 2022-3A, Class A3, 4.21%, 1/15/2026 | 94,761 | 94,651 |
Series 2022-5A, Class B, 5.97%, 3/15/2027 | 1,392,000 | 1,387,245 |
Series 2023-5A, Class A3, 6.32%, 3/15/2027 | 471,000 | 472,016 |
Series 2022-4A, Class C, 4.92%, 12/15/2028 | 1,076,000 | 1,056,152 |
Series 2023-1A, Class D, 6.69%, 6/15/2029 | 243,000 | 240,864 |
FHF Trust Series 2023-1A, Class A2, 6.57%, 6/15/2028 (a) | 580,054 | 574,834 |
FirstKey Homes Trust | ||
Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (a) | 1,059,477 | 969,297 |
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (a) | 600,000 | 524,084 |
Series 2021-SFR2, Class D, 2.06%, 9/17/2038 (a) | 2,900,000 | 2,520,065 |
Flagship Credit Auto Trust | ||
Series 2019-4, Class C, 2.77%, 12/15/2025 (a) | 6,083 | 6,075 |
Series 2021-4, Class A, 0.81%, 7/17/2026 (a) | 295,060 | 290,197 |
Series 2022-1, Class A, 1.79%, 10/15/2026 (a) | 705,126 | 692,267 |
Series 2023-1, Class A2, 5.38%, 12/15/2026 (a) | 132,250 | 131,694 |
Series 2023-2, Class A2, 5.76%, 4/15/2027 (a) | 1,163,322 | 1,158,949 |
Series 2023-1, Class C, 5.43%, 5/15/2029 (a) | 1,800,000 | 1,752,656 |
FRTKL Series 2021-SFR1, Class A, 1.57%, 9/17/2038 (a) | 2,118,000 | 1,870,493 |
GLS Auto Receivables Issuer Trust Series 2021-3A, Class C, 1.11%, 9/15/2026 (a) | 815,000 | 793,010 |
GM Financial Consumer Automobile Receivables Trust Series 2021-1, Class A3, 0.35%, 10/16/2025 | 112,625 | 110,897 |
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (a) | 114,159 | 100,469 |
Hertz Vehicle Financing LLC Series 2022-1A, Class A, 1.99%, 6/25/2026 (a) | 922,000 | 872,892 |
Home Partners of America Trust Series 2022-1, Class D, 4.73%, 4/17/2039 (a) | 1,155,981 | 1,055,076 |
Kubota Credit Owner Trust Series 2023-1A, Class A3, 5.02%, 6/15/2027 (a) | 1,063,000 | 1,054,786 |
Lendmark Funding Trust Series 2022-1A, Class A, 5.12%, 7/20/2032 (a) | 177,000 | 173,913 |
LP LMS Asset Securitization Trust Series 2023-1A, Class A, 8.18%, 10/17/2033 ‡ (a) | 583,330 | 580,653 |
MVW LLC | ||
Series 2021-2A, Class A, 1.43%, 5/20/2039 (a) | 644,558 | 586,172 |
Series 2021-1WA, Class A, 1.14%, 1/22/2041 (a) | 124,677 | 114,244 |
OneMain Direct Auto Receivables Trust Series 2023-1A, Class A, 5.41%, 11/14/2029 (a) | 1,534,000 | 1,519,515 |
PRET LLC Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (d) | 555,912 | 537,100 |
Progress Residential Trust | ||
Series 2020-SFR3, Class B, 1.50%, 10/17/2027 (a) | 785,000 | 721,894 |
Series 2021-SFR2, Class E1, 2.55%, 4/19/2038 (a) | 350,000 | 309,506 |
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a) | 1,144,000 | 985,489 |
Series 2021-SFR11, Class A, 2.28%, 1/17/2039 (a) | 1,995,577 | 1,683,132 |
Series 2023-SFR1, Class A, 4.30%, 3/17/2040 (a) | 1,252,224 | 1,172,606 |
Series 2021-SFR9, Class E1, 2.81%, 11/17/2040 (a) | 1,048,000 | 838,857 |
PRPM LLC Series 2021-10, Class A1, 2.49%, 10/25/2026 (a) (d) | 590,763 | 561,909 |
Santander Consumer Auto Receivables Trust Series 2021-AA, Class A3, 0.33%, 10/15/2025 (a) | 21,918 | 21,867 |
Santander Drive Auto Receivables Trust | ||
Series 2021-2, Class C, 0.90%, 6/15/2026 | 194,256 | 193,140 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2022-5, Class B, 4.43%, 3/15/2027 | 562,000 | 552,901 |
Series 2023-1, Class B, 4.98%, 2/15/2028 | 440,000 | 434,184 |
Series 2023-5, Class B, 6.16%, 12/17/2029 | 740,000 | 746,751 |
Santander Retail Auto Lease Trust Series 2022-A, Class A3, 1.34%, 7/21/2025 (a) | 559,656 | 548,358 |
SCF Equipment Leasing LLC Series 2022-2A, Class A3, 6.50%, 10/21/2030 (a) | 1,780,000 | 1,790,101 |
Sierra Timeshare Receivables Funding LLC Series 2022-2A, Class A, 4.73%, 6/20/2040 (a) | 79,007 | 77,454 |
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 | 106,636 | 93,235 |
SpringCastle America Funding LLC Series 2020-AA, Class A, 1.97%, 9/25/2037 (a) | 184,999 | 169,411 |
Toyota Auto Receivables Owner Trust | ||
Series 2021-A, Class A3, 0.26%, 5/15/2025 | 340,339 | 336,004 |
Series 2020-C, Class A4, 0.57%, 10/15/2025 | 442,753 | 435,509 |
Series 2021-C, Class A4, 0.72%, 1/15/2027 | 800,000 | 740,643 |
United Airlines Pass-Through Trust | ||
Series 2016-1, Class AA, 3.10%, 7/7/2028 | 726,459 | 650,214 |
Series 2016-2, Class AA, 2.88%, 10/7/2028 | 731,185 | 641,619 |
Series 2018-1, Class AA, 3.50%, 3/1/2030 | 480,035 | 428,722 |
Series 2018-1, Class A, 3.70%, 3/1/2030 | 802,843 | 684,939 |
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 ‡ (a) | 248,078 | 236,763 |
VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (a) (d) | 354,159 | 331,143 |
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (a) (d) | 731,272 | 675,598 |
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (a) (d) | 702,467 | 649,345 |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (a) (d) | 634,043 | 596,513 |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (d) | 855,578 | 816,008 |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (a) (d) | 493,278 | 464,338 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (a) (d) | 824,055 | 788,317 |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (d) | 1,052,002 | 991,319 |
Westgate Resorts LLC Series 2022-1A, Class A, 1.79%, 8/20/2036 (a) | 704,643 | 671,836 |
Westlake Automobile Receivables Trust | ||
Series 2021-3A, Class A3, 0.95%, 6/16/2025 (a) | 53,279 | 53,181 |
Series 2022-3A, Class A3, 5.49%, 7/15/2026 (a) | 2,196,000 | 2,187,030 |
Series 2021-3A, Class D, 2.12%, 1/15/2027 (a) | 806,000 | 757,359 |
Series 2023-1A, Class A3, 5.21%, 1/18/2028 (a) | 450,000 | 447,171 |
Series 2023-1A, Class C, 5.74%, 8/15/2028 (a) | 180,000 | 177,279 |
World Omni Auto Receivables Trust | ||
Series 2021-A, Class A3, 0.30%, 1/15/2026 | 501,593 | 492,219 |
Series 2021-C, Class A3, 0.44%, 8/17/2026 | 462,189 | 447,475 |
Series 2023-D, Class A3, 5.79%, 2/15/2029 | 275,000 | 279,399 |
Total Asset-Backed Securities (Cost $77,315,800) | 73,476,897 | |
Collateralized Mortgage Obligations — 9.8% | ||
CHL Mortgage Pass-Through Trust Series 2004-8, Class 2A1, 4.50%, 6/25/2019 ‡ | 414 | 244 |
Citigroup Mortgage Loan Trust Series 2004-HYB4, Class WA, 5.21%, 12/25/2034 (e) | 6,716 | 6,362 |
Citigroup Mortgage Loan Trust, Inc. Series 2003-1, Class 3A4, 5.25%, 9/25/2033 | 3,811 | 3,507 |
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27, Class 5A4, 5.25%, 11/25/2033 | 717 | 688 |
CSMC Trust Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (a) (d) | 740,387 | 722,101 |
FHLMC, REMIC | ||
Series 3521, Class B, 4.00%, 4/15/2024 | 11,605 | 11,532 |
Series 3544, Class BC, 4.00%, 6/15/2024 | 1,091 | 1,084 |
Series 3546, Class NB, 4.00%, 6/15/2024 | 61,586 | 61,211 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 3562, Class JC, 4.00%, 8/15/2024 | 47,604 | 47,233 |
Series 3563, Class BD, 4.00%, 8/15/2024 | 24,283 | 24,133 |
Series 3571, Class MY, 4.00%, 9/15/2024 | 12,690 | 12,589 |
Series 3575, Class EB, 4.00%, 9/15/2024 | 18,464 | 18,326 |
Series 3577, Class B, 4.00%, 9/15/2024 | 54,529 | 54,071 |
Series 3578, Class KB, 4.00%, 9/15/2024 | 7,112 | 7,051 |
Series 2989, Class TG, 5.00%, 6/15/2025 | 47,361 | 46,986 |
Series 2988, Class TY, 5.50%, 6/15/2025 | 2,843 | 2,814 |
Series 3816, Class HA, 3.50%, 11/15/2025 | 354,481 | 346,537 |
Series 3087, Class KX, 5.50%, 12/15/2025 | 8,906 | 8,796 |
Series 3787, Class AY, 3.50%, 1/15/2026 | 132,391 | 129,429 |
Series 3794, Class LB, 3.50%, 1/15/2026 | 98,124 | 95,929 |
Series 3102, Class CE, 5.50%, 1/15/2026 | 63,200 | 62,524 |
Series 3123, Class HT, 5.00%, 3/15/2026 | 13,011 | 12,829 |
Series 3121, Class JD, 5.50%, 3/15/2026 | 4,724 | 4,666 |
Series 3150, Class EQ, 5.00%, 5/15/2026 | 31,286 | 30,950 |
Series 3898, Class KH, 3.50%, 6/15/2026 | 164,831 | 160,663 |
Series 3885, Class AC, 4.00%, 6/15/2026 | 39,212 | 38,820 |
Series 3911, Class B, 3.50%, 8/15/2026 | 171,424 | 167,116 |
Series 3959, Class PB, 3.00%, 11/15/2026 | 1,099,261 | 1,066,268 |
Series 3337, Class MD, 5.50%, 6/15/2027 | 13,504 | 13,415 |
Series 2110, Class PG, 6.00%, 1/15/2029 | 35,799 | 35,751 |
Series 3563, Class LB, 4.00%, 8/15/2029 | 5,900 | 5,731 |
Series 3653, Class B, 4.50%, 4/15/2030 | 55,661 | 54,434 |
Series 3824, Class EY, 3.50%, 3/15/2031 | 146,450 | 139,486 |
Series 2525, Class AM, 4.50%, 4/15/2032 | 307,113 | 297,011 |
Series 2441, Class GF, 6.50%, 4/15/2032 | 10,238 | 10,396 |
Series 2436, Class MC, 7.00%, 4/15/2032 | 5,270 | 5,347 |
Series 2760, Class KT, 4.50%, 9/15/2032 | 38,397 | 36,813 |
Series 2505, Class D, 5.50%, 9/15/2032 | 42,272 | 41,998 |
Series 2544, Class KE, 5.50%, 12/15/2032 | 28,236 | 28,086 |
Series 2557, Class HL, 5.30%, 1/15/2033 | 72,575 | 71,645 |
Series 2575, Class PE, 5.50%, 2/15/2033 | 22,125 | 22,018 |
Series 2586, Class WG, 4.00%, 3/15/2033 | 89,660 | 85,876 |
Series 2596, Class QD, 4.00%, 3/15/2033 | 78,249 | 74,270 |
Series 2621, Class QH, 5.00%, 5/15/2033 | 88,146 | 86,680 |
Series 2624, Class QH, 5.00%, 6/15/2033 | 108,798 | 106,991 |
Series 2648, Class BK, 5.00%, 7/15/2033 | 9,812 | 9,652 |
Series 4238, Class UY, 3.00%, 8/15/2033 | 2,170,519 | 2,019,966 |
Series 2673, Class PE, 5.50%, 9/15/2033 | 172,045 | 171,285 |
Series 2696, Class DG, 5.50%, 10/15/2033 | 159,285 | 158,585 |
Series 2725, Class TA, 4.50%, 12/15/2033 | 284,000 | 273,654 |
Series 2733, Class ME, 5.00%, 1/15/2034 | 150,876 | 148,400 |
Series 2768, Class PK, 5.00%, 3/15/2034 | 149,230 | 143,192 |
Series 2934, Class KG, 5.00%, 2/15/2035 | 114,098 | 112,309 |
Series 3077, Class TO, PO, 4/15/2035 | 2,625 | 2,555 |
Series 2960, Class JH, 5.50%, 4/15/2035 | 329,918 | 328,268 |
Series 3082, Class PW, 5.50%, 12/15/2035 | 23,762 | 23,687 |
Series 3084, Class BH, 5.50%, 12/15/2035 | 488,685 | 487,963 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 3098, Class KG, 5.50%, 1/15/2036 | 519,218 | 518,665 |
Series 3136, Class CO, PO, 4/15/2036 | 9,329 | 7,988 |
Series 3145, Class AJ, 5.50%, 4/15/2036 | 19,126 | 19,122 |
Series 3819, Class ZQ, 6.00%, 4/15/2036 | 342,863 | 347,096 |
Series 3200, PO, 8/15/2036 | 39,369 | 31,980 |
Series 3270, Class AT, 5.50%, 1/15/2037 | 13,045 | 13,002 |
Series 3272, Class PA, 6.00%, 2/15/2037 | 3,543 | 3,621 |
Series 3348, Class HT, 6.00%, 7/15/2037 | 34,350 | 35,143 |
Series 3501, Class A, 4.50%, 1/15/2039 | 89,016 | 82,707 |
Series 3508, Class PK, 4.00%, 2/15/2039 | 1,676 | 1,542 |
Series 3513, Class A, 4.50%, 2/15/2039 | 7,701 | 7,226 |
Series 3653, Class HJ, 5.00%, 4/15/2040 | 379,607 | 373,997 |
Series 3677, Class KB, 4.50%, 5/15/2040 | 667,156 | 643,514 |
Series 3677, Class PB, 4.50%, 5/15/2040 | 316,783 | 307,549 |
Series 3715, Class PC, 4.50%, 8/15/2040 | 111,091 | 108,898 |
Series 3955, Class HB, 3.00%, 12/15/2040 | 57,817 | 55,418 |
Series 3828, Class PU, 4.50%, 3/15/2041 | 39,326 | 38,099 |
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (e) | 126,393 | 125,213 |
Series 3956, Class EB, 3.25%, 11/15/2041 | 703,463 | 629,618 |
Series 3963, Class JB, 4.50%, 11/15/2041 | 1,060,679 | 1,017,102 |
Series 4026, Class MQ, 4.00%, 4/15/2042 | 39,377 | 36,922 |
Series 4616, Class HP, 3.00%, 9/15/2046 | 960,094 | 840,450 |
Series 3688, Class GT, 7.54%, 11/15/2046 (e) | 18,324 | 19,376 |
FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042 | 426,587 | 391,678 |
FNMA, REMIC | ||
Series 2004-44, Class KT, 6.00%, 6/25/2024 | 22 | 22 |
Series 2004-53, Class NC, 5.50%, 7/25/2024 | 326 | 324 |
Series 2004-70, Class EB, 5.00%, 10/25/2024 | 11 | 11 |
Series 2010-49, Class KB, 4.00%, 5/25/2025 | 42,632 | 42,150 |
Series 2010-41, Class DC, 4.50%, 5/25/2025 | 1,690 | 1,671 |
Series 1997-57, Class PN, 5.00%, 9/18/2027 | 35,131 | 34,403 |
Series 2009-39, Class LB, 4.50%, 6/25/2029 | 41,623 | 40,267 |
Series 2009-96, Class DB, 4.00%, 11/25/2029 | 46,906 | 45,515 |
Series 2010-28, Class DE, 5.00%, 4/25/2030 | 135,708 | 132,632 |
Series 2001-63, Class TC, 6.00%, 12/25/2031 | 29,310 | 29,496 |
Series 2001-81, Class HE, 6.50%, 1/25/2032 | 72,946 | 73,738 |
Series 2002-75, Class GB, 5.50%, 11/25/2032 | 32,991 | 32,288 |
Series 2011-39, Class ZA, 6.00%, 11/25/2032 | 308,165 | 308,683 |
Series 2002-85, Class PE, 5.50%, 12/25/2032 | 24,383 | 24,215 |
Series 2003-21, Class OU, 5.50%, 3/25/2033 | 19,779 | 19,656 |
Series 2003-26, Class EB, 3.50%, 4/25/2033 | 497,091 | 458,935 |
Series 2003-23, Class CH, 5.00%, 4/25/2033 | 19,194 | 18,754 |
Series 2003-63, Class YB, 5.00%, 7/25/2033 | 67,132 | 65,597 |
Series 2003-69, Class N, 5.00%, 7/25/2033 | 126,558 | 123,658 |
Series 2003-80, Class QG, 5.00%, 8/25/2033 | 170,591 | 166,683 |
Series 2003-85, Class QD, 5.50%, 9/25/2033 | 68,778 | 68,359 |
Series 2003-94, Class CE, 5.00%, 10/25/2033 | 8,895 | 8,720 |
Series 2005-5, Class CK, 5.00%, 1/25/2035 | 101,082 | 98,325 |
Series 2005-29, Class WC, 4.75%, 4/25/2035 | 168,863 | 163,785 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 2005-48, Class TD, 5.50%, 6/25/2035 | 169,606 | 168,791 |
Series 2005-53, Class MJ, 5.50%, 6/25/2035 | 159,746 | 158,935 |
Series 2005-58, Class EP, 5.50%, 7/25/2035 | 10,512 | 10,498 |
Series 2005-68, Class BE, 5.25%, 8/25/2035 | 175,199 | 171,330 |
Series 2005-68, Class PG, 5.50%, 8/25/2035 | 62,590 | 61,976 |
Series 2005-102, Class PG, 5.00%, 11/25/2035 | 220,509 | 216,664 |
Series 2005-110, Class GL, 5.50%, 12/25/2035 | 281,938 | 280,667 |
Series 2006-49, Class PA, 6.00%, 6/25/2036 | 30,680 | 31,096 |
Series 2009-19, Class PW, 4.50%, 10/25/2036 | 175,787 | 167,732 |
Series 2006-114, Class HE, 5.50%, 12/25/2036 | 208,807 | 207,905 |
Series 2007-33, Class HE, 5.50%, 4/25/2037 | 15,504 | 15,483 |
Series 2007-65, Class KI, IF, IO, 1.18%, 7/25/2037 (e) | 3,564 | 324 |
Series 2007-71, Class KP, 5.50%, 7/25/2037 | 13,492 | 13,045 |
Series 2007-71, Class GB, 6.00%, 7/25/2037 | 120,249 | 122,679 |
Series 2009-86, Class OT, PO, 10/25/2037 | 22,472 | 18,186 |
Series 2008-72, Class BX, 5.50%, 8/25/2038 | 10,634 | 10,586 |
Series 2008-74, Class B, 5.50%, 9/25/2038 | 4,746 | 4,729 |
Series 2009-37, Class KI, IF, IO, 0.56%, 6/25/2039 (e) | 2,756 | 128 |
Series 2009-86, Class IP, IO, 5.50%, 10/25/2039 | 7,007 | 1,289 |
Series 2009-92, Class AD, 6.00%, 11/25/2039 | 276,753 | 273,661 |
Series 2009-112, Class ST, IF, IO, 0.81%, 1/25/2040 (e) | 50,140 | 4,012 |
Series 2010-22, Class PE, 5.00%, 3/25/2040 | 1,094,052 | 1,076,529 |
Series 2010-35, Class SB, IF, IO, 0.98%, 4/25/2040 (e) | 19,419 | 1,224 |
Series 2010-37, Class CY, 5.00%, 4/25/2040 | 651,313 | 639,403 |
Series 2010-54, Class EA, 4.50%, 6/25/2040 | 19,116 | 18,455 |
Series 2010-64, Class DM, 5.00%, 6/25/2040 | 2,737 | 2,696 |
Series 2010-71, Class HJ, 5.50%, 7/25/2040 | 72,954 | 73,113 |
Series 2010-123, Class BP, 4.50%, 11/25/2040 | 1,608,560 | 1,541,692 |
Series 2011-41, Class KL, 4.00%, 5/25/2041 | 860,703 | 795,931 |
Series 2011-50, Class LP, 4.00%, 6/25/2041 | 370,842 | 343,645 |
Series 2012-137, Class CF, 5.74%, 8/25/2041 (e) | 78,576 | 77,738 |
Series 2012-103, Class DA, 3.50%, 10/25/2041 | 8,480 | 8,273 |
Series 2012-14, Class DE, 3.50%, 3/25/2042 | 573,690 | 522,923 |
Series 2012-139, Class JA, 3.50%, 12/25/2042 | 281,638 | 255,383 |
Series 2013-104, Class CY, 5.00%, 10/25/2043 | 2,250,000 | 2,101,775 |
Series 2019-65, Class PA, 2.50%, 5/25/2048 | 207,691 | 181,869 |
Series 2009-96, Class CB, 4.00%, 11/25/2049 | 13,542 | 12,214 |
Series 2019-7, Class CA, 3.50%, 11/25/2057 | 2,421,882 | 2,273,528 |
FNMA, STRIPS | ||
Series 293, Class 1, PO, 12/25/2024 | 123 | 122 |
Series 314, Class 1, PO, 7/25/2031 | 21,935 | 19,455 |
GNMA | ||
Series 2003-29, Class PD, 5.50%, 4/16/2033 | 137,242 | 136,725 |
Series 2003-65, Class AP, 5.50%, 8/20/2033 | 46,643 | 46,371 |
Series 2003-77, Class TK, 5.00%, 9/16/2033 | 191,773 | 190,741 |
Series 2004-16, Class GC, 5.50%, 2/20/2034 | 494,497 | 492,980 |
Series 2004-54, Class BG, 5.50%, 7/20/2034 | 10,497 | 10,490 |
Series 2004-93, Class PD, 5.00%, 11/16/2034 | 290,686 | 287,619 |
Series 2004-101, Class BE, 5.00%, 11/20/2034 | 250,568 | 247,490 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 2005-11, Class PL, 5.00%, 2/20/2035 | 117,834 | 116,526 |
Series 2005-26, Class XY, 5.50%, 3/20/2035 | 455,539 | 456,261 |
Series 2005-33, Class AY, 5.50%, 4/16/2035 | 115,768 | 115,578 |
Series 2005-49, Class B, 5.50%, 6/20/2035 | 38,963 | 39,014 |
Series 2005-51, Class DC, 5.00%, 7/20/2035 | 94,089 | 93,492 |
Series 2005-56, Class BD, 5.00%, 7/20/2035 | 14,614 | 14,460 |
Series 2006-7, Class ND, 5.50%, 8/20/2035 | 14,709 | 14,742 |
Series 2007-37, Class LB, 5.50%, 6/16/2037 | 117,501 | 118,622 |
Series 2007-79, Class BL, 5.75%, 8/20/2037 | 83,654 | 83,418 |
Series 2009-106, Class ST, IF, IO, 0.55%, 2/20/2038 (e) | 79,035 | 3,332 |
Series 2008-7, Class PQ, 5.00%, 2/20/2038 | 247,758 | 244,353 |
Series 2008-9, Class PW, 5.25%, 2/20/2038 | 261,587 | 259,593 |
Series 2008-23, Class YA, 5.25%, 3/20/2038 | 61,402 | 60,994 |
Series 2008-35, Class NF, 5.00%, 4/20/2038 | 63,053 | 62,256 |
Series 2008-34, Class PG, 5.25%, 4/20/2038 | 73,071 | 72,422 |
Series 2008-33, Class PB, 5.50%, 4/20/2038 | 209,721 | 209,323 |
Series 2008-38, Class BG, 5.00%, 5/16/2038 | 346,616 | 344,638 |
Series 2008-43, Class NB, 5.50%, 5/20/2038 | 106,735 | 106,124 |
Series 2008-56, Class PX, 5.50%, 6/20/2038 | 205,044 | 203,492 |
Series 2008-58, Class PE, 5.50%, 7/16/2038 | 551,301 | 556,192 |
Series 2008-62, Class SA, IF, IO, 0.70%, 7/20/2038 (e) | 1,541 | 20 |
Series 2008-76, Class US, IF, IO, 0.45%, 9/20/2038 (e) | 45,798 | 1,319 |
Series 2011-97, Class WA, 6.11%, 11/20/2038 (e) | 430,531 | 437,858 |
Series 2008-95, Class DS, IF, IO, 1.85%, 12/20/2038 (e) | 42,580 | 1,463 |
Series 2009-14, Class AG, 4.50%, 3/20/2039 | 73,748 | 71,558 |
Series 2009-72, Class SM, IF, IO, 0.81%, 8/16/2039 (e) | 99,446 | 5,592 |
Series 2009-61, Class AP, 4.00%, 8/20/2039 | 7,583 | 7,261 |
Series 2010-130, Class BD, 4.00%, 12/20/2039 | 229,017 | 220,397 |
Series 2010-157, Class OP, PO, 12/20/2040 | 71,485 | 58,716 |
Series 2014-H11, Class VA, 5.94%, 6/20/2064 (e) | 936,892 | 931,418 |
Series 2015-H20, Class FA, 5.91%, 8/20/2065 (e) | 1,344,474 | 1,336,992 |
Series 2015-H26, Class FG, 5.96%, 10/20/2065 (e) | 949,534 | 939,354 |
GSR Mortgage Loan Trust Series 2004-6F, Class 2A4, 5.50%, 5/25/2034 | 39,746 | 38,077 |
JPMorgan Mortgage Trust | ||
Series 2006-A2, Class 5A3, 6.13%, 11/25/2033 (e) | 66,700 | 63,570 |
Series 2007-A1, Class 5A5, 4.94%, 7/25/2035 (e) | 19,098 | 18,421 |
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 5.87%, 4/21/2034 (e) | 29,543 | 27,732 |
Merrill Lynch Mortgage Investors Trust | ||
Series 2003-F, Class A1, 6.10%, 10/25/2028 (e) | 29,474 | 27,333 |
Series 2004-B, Class A1, 5.96%, 5/25/2029 (e) | 36,155 | 34,425 |
Morgan Stanley Mortgage Loan Trust Series 2004-3, Class 4A, 5.64%, 4/25/2034 (e) | 16,763 | 16,248 |
PHH Mortgage Trust Series 2008-CIM2, Class 5A1, 6.00%, 7/25/2038 | 7,082 | 6,601 |
Seasoned Credit Risk Transfer Trust | ||
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | 1,361,384 | 1,233,442 |
Series 2017-4, Class M60C, 3.50%, 6/25/2057 | 1,373,548 | 1,241,207 |
Series 2017-4, Class MT, 3.50%, 6/25/2057 | 342,821 | 297,991 |
Series 2018-2, Class M55D, 4.00%, 11/25/2057 | 1,429,880 | 1,289,724 |
Series 2019-3, Class M55D, 4.00%, 10/25/2058 | 318,441 | 287,015 |
Series 2020-1, Class M55G, 3.00%, 8/25/2059 | 3,267,155 | 2,835,366 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028 | 379,163 | 355,500 |
Sequoia Mortgage Trust Series 2004-11, Class A1, 6.05%, 12/20/2034 (e) | 118,601 | 104,569 |
Structured Asset Mortgage Investments II Trust Series 2003-AR4, Class A1, 6.15%, 1/19/2034 (e) | 71,761 | 66,678 |
Thornburg Mortgage Securities Trust Series 2004-4, Class 3A, 4.46%, 12/25/2044 (e) | 93,537 | 85,929 |
Vendee Mortgage Trust Series 2003-2, Class Z, 5.00%, 5/15/2033 | 254,917 | 252,004 |
WaMu Mortgage Pass-Through Certificates Trust Series 2003-AR11, Class A6, 5.90%, 10/25/2033 (e) | 54,327 | 49,506 |
Total Collateralized Mortgage Obligations (Cost $48,886,319) | 44,569,954 | |
Commercial Mortgage-Backed Securities — 8.8% | ||
20 Times Square Trust Series 2018-20TS, Class A, 3.20%, 5/15/2035 (a) (e) | 686,580 | 621,406 |
BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (a) | 1,400,000 | 1,259,560 |
BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (a) | 1,500,000 | 1,364,717 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series J22F, Class A2, 4.09%, 9/25/2024 | 55,116 | 54,421 |
Series KL3L, Class ALNZ, 3.46%, 4/25/2025 (e) | 2,000,000 | 1,933,148 |
Series KLU2, Class A7, 2.23%, 9/25/2025 (e) | 334,333 | 315,146 |
Series K737, Class AM, 2.10%, 10/25/2026 | 3,110,000 | 2,869,964 |
Series K072, Class A2, 3.44%, 12/25/2027 | 473,000 | 448,629 |
Series K083, Class A2, 4.05%, 9/25/2028 (e) | 594,000 | 573,087 |
Series K145, Class AM, 2.58%, 6/25/2055 | 880,000 | 730,263 |
FNMA ACES | ||
Series 2014-M2, Class A2, 3.51%, 12/25/2023 (e) | 412,608 | 411,069 |
Series 2014-M3, Class A2, 3.50%, 1/25/2024 (e) | 123,944 | 123,268 |
Series 2014-M8, Class A2, 3.06%, 6/25/2024 (e) | 2,104,454 | 2,075,028 |
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (e) | 839,725 | 824,318 |
Series 2016-M6, Class A2, 2.49%, 5/25/2026 | 641,471 | 604,042 |
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (e) | 926,236 | 879,017 |
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (e) | 1,187,972 | 1,120,237 |
Series 2017-M12, Class A2, 3.16%, 6/25/2027 (e) | 2,662,640 | 2,513,758 |
Series 2017-M13, Class A2, 3.03%, 9/25/2027 (e) | 357,189 | 333,838 |
Series 2018-M2, Class A2, 3.00%, 1/25/2028 (e) | 3,104,403 | 2,893,480 |
Series 2018-M4, Class A2, 3.17%, 3/25/2028 (e) | 1,835,677 | 1,717,426 |
Series 2018-M9, Class APT2, 3.21%, 4/25/2028 (e) | 2,378,087 | 2,216,653 |
Series 2018-M14, Class A2, 3.70%, 8/25/2028 (e) | 381,300 | 360,951 |
Series 2017-M5, Class A2, 3.17%, 4/25/2029 (e) | 2,455,914 | 2,275,275 |
Series 2018-M3, Class A2, 3.17%, 2/25/2030 (e) | 1,145,280 | 1,042,787 |
Series 2020-M50, Class A2, 1.20%, 10/25/2030 | 407,022 | 362,641 |
Series 2020-M50, Class X1, IO, 1.93%, 10/25/2030 (e) | 5,669,626 | 355,834 |
Series 2021-M11, Class A2, 1.51%, 3/25/2031 (e) | 1,517,000 | 1,181,919 |
Series 2022-M1G, Class A2, 1.58%, 9/25/2031 (e) | 5,000,000 | 3,935,183 |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | 17,538 | 16,805 |
Series 2021-M3, Class X1, IO, 2.05%, 11/25/2033 (e) | 330,932 | 27,136 |
FREMF Mortgage Trust Series 2015-K44, Class B, 3.85%, 1/25/2048 (a) (e) | 1,500,000 | 1,455,886 |
Morgan Stanley Capital I Trust Series 2021-PLZA, Class A, 2.57%, 11/9/2043 ‡ (a) | 1,958,000 | 1,448,526 |
MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (a) | 300,000 | 274,448 |
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (a) | 1,770,000 | 1,402,365 |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a) | 27,444 | 25,248 |
Total Commercial Mortgage-Backed Securities (Cost $43,522,580) | 40,047,479 | |
Foreign Government Securities — 0.3% | ||
Republic of Colombia 7.38%, 9/18/2037 | 300,000 | 289,200 |
Republic of Panama 3.16%, 1/23/2030 | 200,000 | 163,680 |
United Mexican States | ||
4.13%, 1/21/2026 | 332,000 | 326,688 |
2.66%, 5/24/2031 | 1,000,000 | 817,000 |
Total Foreign Government Securities (Cost $1,859,812) | 1,596,568 | |
SHARES | ||
Short-Term Investments — 1.2% | ||
Investment Companies — 1.2% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.48% (g) (h) (Cost $5,621,548) | 5,618,763 | 5,621,573 |
Total Investments — 99.6% (Cost $488,081,520) | 453,264,200 | |
Other Assets Less Liabilities — 0.4% | 1,593,221 | |
NET ASSETS — 100.0% | 454,857,421 |
Percentages indicated are based on net assets. |
Abbreviations | |
ACES | Alternative Credit Enhancement Securities |
CME | Chicago Mercantile Exchange |
CSMC | Credit Suisse Mortgage Trust |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
ICE | Intercontinental Exchange |
IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of November 30, 2023. The rate may be subject to a cap and floor. |
IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
UMBS | Uniform Mortgage-Backed Securities |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
(b) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2023. | |
(c) | Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at November 30, 2023 is $2,229,921 or 0.49% of the Fund’s net assets as of November 30, 2023. | |
(d) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of November 30, 2023. | |
(e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2023. | |
(f) | All or a portion of this security is deposited with the broker as initial margin for futures contracts or centrally cleared swaps. | |
(g) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(h) | The rate shown is the current yield as of November 30, 2023. |
Futures contracts outstanding as of November 30, 2023:
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 10 Year Note | 443 | 03/19/2024 | USD | 48,681,547 | 202,507 |
U.S. Treasury 10 Year Ultra Note | 252 | 03/19/2024 | USD | 28,629,563 | 131,893 |
U.S. Treasury 5 Year Note | 493 | 03/28/2024 | USD | 52,716,336 | 149,321 |
483,721 | |||||
Short Contracts | |||||
U.S. Treasury Long Bond | (53 ) | 03/19/2024 | USD | (6,181,125 ) | (46,301 ) |
U.S. Treasury Ultra Bond | (35 ) | 03/19/2024 | USD | (4,309,375 ) | (55,311 ) |
U.S. Treasury 2 Year Note | (186 ) | 03/28/2024 | USD | (38,042,813 ) | (2,378 ) |
(103,990 ) | |||||
379,731 |
Abbreviations | |
USD | United States Dollar |
Centrally Cleared Inflation-linked swap contracts outstanding as of November 30, 2023 :
FLOATING RATE INDEX(a) | FIXED RATE | PAY/ RECEIVE FLOATING RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) $ | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CPI-U at termination | 2.36% at termination | Receive | 12/4/2028 | USD10,930,000 | — | — | — |
CPI-U at termination | 2.50% at termination | Receive | 12/4/2033 | USD7,481,000 | — | — | — |
— | — | — |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
FLOATING RATE INDEX(a) | FIXED RATE | PAY/ RECEIVE FLOATING RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) $ | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CPI-U at termination | 2.40% at termination | Receive | 10/16/2026 | USD4,136,000 | 134 | (4,621 ) | (4,487 ) |
CPI-U at termination | 2.43% at termination | Receive | 11/17/2028 | USD1,001,000 | — | (2,819 ) | (2,819 ) |
CPI-U at termination | 2.47% at termination | Receive | 9/6/2028 | USD4,235,000 | — | (6,887 ) | (6,887 ) |
CPI-U at termination | 2.47% at termination | Receive | 11/15/2028 | USD31,370,000 | — | (140,050 ) | (140,050 ) |
CPI-U at termination | 2.48% at termination | Receive | 8/4/2026 | USD36,743,000 | 3,039 | (14,673 ) | (11,634 ) |
CPI-U at termination | 2.49% at termination | Receive | 9/5/2028 | USD32,781,000 | 30,264 | (106,977 ) | (76,713 ) |
CPI-U at termination | 2.49% at termination | Receive | 10/12/2028 | USD3,133,000 | — | (11,559 ) | (11,559 ) |
CPI-U at termination | 2.49% at termination | Receive | 10/16/2028 | USD5,056,000 | 272 | (20,575 ) | (20,303 ) |
CPI-U at termination | 2.50% at termination | Receive | 9/29/2026 | USD4,708,000 | (4,464 ) | (8,274 ) | (12,738 ) |
CPI-U at termination | 2.52% at termination | Receive | 9/7/2028 | USD8,543,000 | — | (33,733 ) | (33,733 ) |
CPI-U at termination | 2.54% at termination | Receive | 10/3/2028 | USD14,905,000 | (31,676 ) | (45,547 ) | (77,223 ) |
CPI-U at termination | 2.56% at termination | Receive | 11/6/2028 | USD4,090,000 | — | (33,474 ) | (33,474 ) |
CPI-U at termination | 2.58% at termination | Receive | 9/14/2026 | USD9,026,000 | 360 | (41,077 ) | (40,717 ) |
CPI-U at termination | 2.58% at termination | Receive | 10/19/2026 | USD4,594,000 | (1,177 ) | (28,237 ) | (29,414 ) |
CPI-U at termination | 2.59% at termination | Receive | 7/11/2033 | USD20,704,000 | 18,938 | (114,442 ) | (95,504 ) |
CPI-U at termination | 2.62% at termination | Receive | 10/19/2028 | USD9,189,000 | 332 | (92,022 ) | (91,690 ) |
CPI-U at termination | 2.62% at termination | Receive | 11/2/2030 | USD5,989,000 | (7,817 ) | (57,612 ) | (65,429 ) |
CPI-U at termination | 2.62% at termination | Receive | 8/4/2033 | USD30,069,000 | 12,328 | (219,372 ) | (207,044 ) |
CPI-U at termination | 2.62% at termination | Receive | 10/3/2033 | USD4,779,000 | (18,900 ) | (19,482 ) | (38,382 ) |
CPI-U at termination | 2.63% at termination | Receive | 10/24/2026 | USD31,053,000 | — | (258,477 ) | (258,477 ) |
CPI-U at termination | 2.63% at termination | Receive | 8/2/2033 | USD2,736,000 | 6,036 | (27,035 ) | (20,999 ) |
CPI-U at termination | 2.63% at termination | Receive | 8/4/2033 | USD1,000,000 | — | (7,533 ) | (7,533 ) |
CPI-U at termination | 2.64% at termination | Receive | 7/31/2033 | USD1,096,000 | — | (8,764 ) | (8,764 ) |
CPI-U at termination | 2.64% at termination | Receive | 8/2/2033 | USD10,689,000 | — | (89,886 ) | (89,886 ) |
CPI-U at termination | 2.66% at termination | Receive | 11/2/2033 | USD5,553,000 | (11,428 ) | (64,051 ) | (75,479 ) |
CPI-U at termination | 2.70% at termination | Receive | 10/23/2033 | USD44,388,000 | (81,732 ) | (642,679 ) | (724,411 ) |
(85,491 ) | (2,099,858 ) | (2,185,349 ) | |||||
(85,491 ) | (2,099,858 ) | (2,185,349 ) |
Abbreviations | |
CPI-U | Consumer Price Index for All Urban Consumers |
USD | United States Dollar |
(a) | Value of floating rate index at November 30, 2023 was as follows: |
FLOATING RATE INDEX | VALUE |
CPI-U | 3.07% |
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of November 30, 2023:
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CDX.NA.IG.41-V1 | Quarterly | 12/20/2028 | USD47,467,000 | (515,944 ) | (376,091 ) | (892,035 ) |
(*) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. | ||||||||
(a) | Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
(b) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. | ||||||||
(c) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
Abbreviations | |
CDX | Credit Default Swap Index |
USD | United States Dollar |
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (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.
A market-based approach is primarily used to value the Fund's investments. Investments for which market quotations are not readily available are fair valued 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.
Futures contracts are generally valued on the basis of available market quotations. Swaps are valued utilizing market quotations from approved Pricing Services.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at November 30, 2023.
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.
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
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 | ||||
Asset-Backed Securities | $— | $71,561,558 | $1,915,339 | $73,476,897 |
Collateralized Mortgage Obligations | — | 44,569,710 | 244 | 44,569,954 |
Commercial Mortgage-Backed Securities | — | 38,598,953 | 1,448,526 | 40,047,479 |
Corporate Bonds | — | 121,229,224 | — | 121,229,224 |
Foreign Government Securities | — | 1,596,568 | — | 1,596,568 |
Mortgage-Backed Securities | — | 91,553,882 | — | 91,553,882 |
U.S. Treasury Obligations | — | 75,168,623 | — | 75,168,623 |
Short-Term Investments | ||||
Investment Companies | 5,621,573 | — | — | 5,621,573 |
Total Investments in Securities | $5,621,573 | $444,278,518 | $3,364,109 | $453,264,200 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $483,721 | $— | $— | $483,721 |
Swaps | — | — | — | — |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (103,990 ) | — | — | (103,990 ) |
Swaps | — | (2,475,949 ) | — | (2,475,949 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $379,731 | $(2,475,949 ) | $— | $(2,096,218 ) |
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
Balance as of February 28, 2023 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of November 30, 2023 | |
Investments in Securities: | |||||||||
Asset-Backed Securities | $1,279,429 | $— | $(3,688 ) | $1,946 | $999,995 | $(836,129 ) | $473,786 | $— | $1,915,339 |
Collateralized Mortgage Obligations | 935,153 | — | — | — | — | — | — | (934,909 ) | 244 |
Commercial Mortgage-Backed Securities | 1,508,498 | — | (58,391 ) | (1,581 ) | — | — | — | — | 1,448,526 |
Total | $3,723,080 | $— | $(62,079 ) | $365 | $999,995 | $(836,129 ) | $473,786 | $(934,909 ) | $3,364,109 |
1 | Purchases include all purchases of securities and securities received in corporate actions. | ||||||||
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at November 30, 2023, which were valued using significant unobservable inputs (level 3) amounted to $(62,079).
The significant unobservable inputs used in the fair value measurement of the Fund's 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
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
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.
Quantitative Information about Level 3 Fair Value Measurements
Fair Value at November 30, 2023 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$1,334,686 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 8.00% (0.67%) | |
Constant Default Rate | 0.00% - 29.00% (5.14%) | |||
Yield (Discount Rate of Cash Flows) | 6.62% - 15.84% (8.36%) | |||
Asset-Backed Securities | 1,334,686 | |||
Total | $1,334,686 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At November 30, 2023, the value of these investments was $2,029,423. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. |
(a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
B. Investment Transactions with Affiliates — The Fund invested in an Underlying Fund 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, 2023 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at November 30, 2023 | Shares at November 30, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.48% (a) (b) | $16,176,982 | $256,167,797 | $266,722,346 | $1,547 | $(2,407 ) | $5,621,573 | 5,618,763 | $447,956 | $— |
(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, 2023. |
C. Derivatives — The Fund used derivative instruments including options, futures contracts, forward foreign currency exchange contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund's risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund's 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 Fund in the event the Fund's 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 Fund 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 Fund 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 Fund. The ISDA agreements give the Fund 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 Fund.
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
Notes (1) — (2) below describe the various derivatives used by the Fund.
(1). Futures Contracts — The Fund used currency, index, interest rate, treasury or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to positive and negative price fluctuation or a particular countries or regions. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio. The Fund used commodity futures contracts to obtain long and short exposure to the underlying commodities markets. The purchase of futures contracts will tend to increase the Fund's exposure to positive and negative price fluctuations in the underlying instrument. The sales of futures contracts will tend to offset both positive and negative market price changes.
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. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted.
The Fund may be exposed 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 subject the Fund to risk of loss 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 — The Fund engaged in various swap transactions to manage credit, interest rate (e.g., duration, yield curve), currency, inflation and 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 the Fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.
Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, and amortized over the term of the swap. The value of an OTC swap agreement is recorded 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 Investments, while cash deposited is considered restricted. 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. 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.
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 Fund's swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
Inflation-Linked Swaps
The Fund 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.
Credit Default Swaps
The Fund 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.
JPMorgan Inflation Managed Bond ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (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 a 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. 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.