JPMorgan Income 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 Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 34.9% | ||
Aerospace & Defense — 0.3% | ||
Bombardier, Inc. (Canada) | ||
7.50%, 3/15/2025 (a) | 64,000 | 63,980 |
7.88%, 4/15/2027 (a) | 455,000 | 455,330 |
8.75%, 11/15/2030 (a) | 405,000 | 414,639 |
BWX Technologies, Inc. 4.13%, 6/30/2028 (a) | 250,000 | 225,942 |
Howmet Aerospace, Inc. 6.75%, 1/15/2028 | 150,000 | 154,816 |
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a) | 487,000 | 526,588 |
TransDigm, Inc. 6.25%, 3/15/2026 (a) | 625,000 | 620,688 |
Triumph Group, Inc. 9.00%, 3/15/2028 (a) | 186,000 | 190,935 |
2,652,918 | ||
Automobile Components — 1.0% | ||
Adient Global Holdings Ltd. | ||
4.88%, 8/15/2026 (a) | 800,000 | 770,198 |
7.00%, 4/15/2028 (a) | 185,000 | 187,973 |
8.25%, 4/15/2031 (a) | 155,000 | 157,593 |
Allison Transmission, Inc. | ||
4.75%, 10/1/2027 (a) | 25,000 | 23,582 |
5.88%, 6/1/2029 (a) | 665,000 | 643,633 |
3.75%, 1/30/2031 (a) | 500,000 | 417,612 |
American Axle & Manufacturing, Inc. | ||
6.50%, 4/1/2027 | 63,000 | 60,773 |
6.88%, 7/1/2028 | 540,000 | 496,897 |
5.00%, 10/1/2029 | 400,000 | 331,044 |
Clarios Global LP | ||
6.75%, 5/15/2025 (a) | 135,000 | 135,336 |
6.25%, 5/15/2026 (a) | 1,385,000 | 1,377,375 |
8.50%, 5/15/2027 (a) | 1,015,000 | 1,021,082 |
Cooper-Standard Automotive, Inc. 13.50% (Blend (Cash 9.00% + PIK 4.50%)), 3/31/2027 (a) (b) | 100,000 | 104,922 |
Dana, Inc. | ||
5.38%, 11/15/2027 | 140,000 | 132,897 |
5.63%, 6/15/2028 | 335,000 | 319,288 |
4.25%, 9/1/2030 | 40,000 | 33,950 |
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (a) | 80,000 | 68,236 |
Goodyear Tire & Rubber Co. (The) | ||
5.00%, 7/15/2029 | 1,709,000 | 1,559,204 |
5.25%, 7/15/2031 | 150,000 | 130,125 |
Icahn Enterprises LP 6.25%, 5/15/2026 | 640,000 | 604,282 |
8,576,002 | ||
Banks — 1.2% | ||
Banco Mercantil del Norte SA (Mexico) (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 5.47%), 7.50%, 6/27/2029 (c) (d) (e) (f) (g) | 400,000 | 361,000 |
Bank of Nova Scotia (The) (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.39%), 8.63%, 10/27/2082 (c) (g) | 600,000 | 602,918 |
BBVA Bancomer SA (Mexico) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%), 5.13%, 1/18/2033 (c) (f) (g) | 400,000 | 357,352 |
BPCE SA (France) | ||
(SOFR + 2.10%), 5.98%, 1/18/2027 (a) (g) | 4,678,000 | 4,655,941 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
5.13%, 1/18/2028 (a) | 725,000 | 708,722 |
Citigroup, Inc. | ||
Series U, (SOFR + 3.81%), 5.00%, 9/12/2024 (d) (e) (g) | 95,000 | 91,507 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (d) (e) (g) | 100,000 | 87,018 |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (a) (g) | 200,000 | 200,492 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 3.35%), 7.39%, 11/3/2028 (g) | 290,000 | 306,222 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (c) (d) (e) (g) | 200,000 | 155,329 |
ING Groep NV (Netherlands) (USD ICE Swap Rate 5 Year + 4.20%), 6.75%, 4/16/2024 (c) (d) (e) (f) (g) | 200,000 | 196,760 |
Nordea Bank Abp (Finland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.11%), 6.63%, 3/26/2026 (a) (c) (d) (e) (g) | 200,000 | 191,901 |
Santander UK Group Holdings plc (United Kingdom) (SOFR + 2.60%), 6.53%, 1/10/2029 (g) | 720,000 | 726,060 |
Societe Generale SA (France) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (a) (g) | 315,000 | 316,132 |
Toronto-Dominion Bank (The) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.08%), 8.13%, 10/31/2082 (c) (g) | 950,000 | 955,251 |
Wells Fargo & Co. Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (d) (e) (g) | 162,000 | 146,152 |
10,058,757 | ||
Biotechnology — 0.0% ^ | ||
Grifols SA (Spain) 4.75%, 10/15/2028 (a) | 400,000 | 353,360 |
Broadline Retail — 0.2% | ||
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a) | 1,365,000 | 1,278,646 |
Nordstrom, Inc. | ||
4.00%, 3/15/2027 | 100,000 | 94,023 |
4.38%, 4/1/2030 | 150,000 | 124,716 |
4.25%, 8/1/2031 | 110,000 | 86,845 |
Shutterfly Finance LLC | ||
8.50% (Blend (Cash 4.25% + PIK 4.25%)), 10/1/2027 (a) (b) | 189,000 | 124,615 |
9.75%, 10/1/2027 (a) | 22,913 | 22,684 |
1,731,529 | ||
Building Products — 0.6% | ||
Advanced Drainage Systems, Inc. 5.00%, 9/30/2027 (a) | 150,000 | 142,451 |
Builders FirstSource, Inc. | ||
5.00%, 3/1/2030 (a) | 150,000 | 139,692 |
6.38%, 6/15/2032 (a) | 645,000 | 634,649 |
Emerald Debt Merger Sub LLC 6.63%, 12/15/2030 (a) | 1,070,000 | 1,067,325 |
Griffon Corp. 5.75%, 3/1/2028 | 85,000 | 80,337 |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | 200,000 | 184,474 |
Masonite International Corp. 5.38%, 2/1/2028 (a) | 250,000 | 237,500 |
MIWD Holdco II LLC 5.50%, 2/1/2030 (a) | 150,000 | 127,088 |
Standard Industries, Inc. | ||
4.75%, 1/15/2028 (a) | 2,175,000 | 2,044,108 |
4.38%, 7/15/2030 (a) | 320,000 | 280,490 |
Summit Materials LLC 7.25%, 1/15/2031 (a) (h) | 124,000 | 124,836 |
5,062,950 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Capital Markets — 0.3% | ||
Coinbase Global, Inc. 3.38%, 10/1/2028 (a) | 40,000 | 32,186 |
Goldman Sachs Group, Inc. (The) | ||
Series R, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.95%, 2/10/2025 (d) (e) (g) | 95,000 | 89,664 |
(SOFR + 1.08%), 5.80%, 8/10/2026 (g) | 1,150,000 | 1,150,998 |
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 7.50%, 2/10/2029 (d) (e) (g) | 390,000 | 395,675 |
Nasdaq, Inc. 5.35%, 6/28/2028 | 1,160,000 | 1,164,948 |
2,833,471 | ||
Chemicals — 1.1% | ||
Axalta Coating Systems LLC | ||
4.75%, 6/15/2027 (a) | 350,000 | 331,804 |
3.38%, 2/15/2029 (a) | 1,150,000 | 1,001,917 |
Braskem Idesa SAPI 6.99%, 2/20/2032 (a) | 400,000 | 255,000 |
Braskem Netherlands Finance BV (Brazil) 7.25%, 2/13/2033 (a) | 200,000 | 181,940 |
Celanese US Holdings LLC 1.40%, 8/5/2026 | 240,000 | 213,580 |
Chemours Co. (The) | ||
5.75%, 11/15/2028 (a) | 1,655,000 | 1,498,068 |
4.63%, 11/15/2029 (a) | 75,000 | 63,016 |
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | 365,000 | 324,354 |
INEOS Quattro Finance 2 plc (United Kingdom) 9.63%, 3/15/2029 (a) | 200,000 | 206,484 |
NOVA Chemicals Corp. (Canada) | ||
5.25%, 6/1/2027 (a) | 1,805,000 | 1,624,767 |
8.50%, 11/15/2028 (a) | 200,000 | 206,600 |
4.25%, 5/15/2029 (a) | 25,000 | 19,738 |
Scotts Miracle-Gro Co. (The) | ||
5.25%, 12/15/2026 | 20,000 | 19,055 |
4.50%, 10/15/2029 | 1,220,000 | 1,040,232 |
4.00%, 4/1/2031 | 200,000 | 160,505 |
Trinseo Materials Operating SCA | ||
5.38%, 9/1/2025 (a) | 9,000 | 7,515 |
5.13%, 4/1/2029 (a) | 220,000 | 85,468 |
WR Grace Holdings LLC | ||
4.88%, 6/15/2027 (a) | 1,015,000 | 966,590 |
5.63%, 8/15/2029 (a) | 1,020,000 | 858,605 |
9,065,238 | ||
Commercial Services & Supplies — 1.1% | ||
ACCO Brands Corp. 4.25%, 3/15/2029 (a) | 805,000 | 696,946 |
ADT Security Corp. (The) | ||
4.13%, 8/1/2029 (a) | 630,000 | 559,963 |
4.88%, 7/15/2032 (a) | 180,000 | 157,738 |
Allied Universal Holdco LLC 6.63%, 7/15/2026 (a) | 1,190,000 | 1,156,303 |
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | 1,005,000 | 951,083 |
Brink's Co. (The) 4.63%, 10/15/2027 (a) | 300,000 | 281,229 |
Garda World Security Corp. 4.63%, 2/15/2027 (a) | 215,000 | 204,427 |
GFL Environmental, Inc. (Canada) | ||
3.75%, 8/1/2025 (a) | 1,140,000 | 1,101,070 |
5.13%, 12/15/2026 (a) | 25,000 | 24,253 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Commercial Services & Supplies — continued | ||
4.00%, 8/1/2028 (a) | 780,000 | 695,920 |
4.38%, 8/15/2029 (a) | 60,000 | 52,984 |
6.75%, 1/15/2031 (a) | 158,000 | 159,383 |
Madison IAQ LLC 4.13%, 6/30/2028 (a) | 1,820,000 | 1,616,831 |
Prime Security Services Borrower LLC | ||
5.75%, 4/15/2026 (a) | 495,000 | 489,590 |
3.38%, 8/31/2027 (a) | 1,205,000 | 1,090,156 |
Stericycle, Inc. 3.88%, 1/15/2029 (a) | 250,000 | 220,436 |
Williams Scotsman, Inc. 7.38%, 10/1/2031 (a) | 150,000 | 153,616 |
9,611,928 | ||
Communications Equipment — 0.2% | ||
Ciena Corp. 4.00%, 1/31/2030 (a) | 150,000 | 132,227 |
CommScope, Inc. | ||
6.00%, 3/1/2026 (a) | 1,170,000 | 1,003,275 |
8.25%, 3/1/2027 (a) | 710,000 | 353,225 |
4.75%, 9/1/2029 (a) | 625,000 | 392,187 |
1,880,914 | ||
Construction & Engineering — 0.2% | ||
Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (f) | 489,816 | 342,308 |
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | 90,000 | 81,360 |
International Airport Finance SA (Ecuador) 12.00%, 3/15/2033 (f) | 192,467 | 191,745 |
MasTec, Inc. 4.50%, 8/15/2028 (a) | 275,000 | 247,818 |
Mexico City Airport Trust (Mexico) 5.50%, 10/31/2046 (f) | 400,000 | 311,052 |
Pike Corp. 8.63%, 1/31/2031 (a) | 105,000 | 106,169 |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | 150,000 | 137,434 |
1,417,886 | ||
Construction Materials — 0.0% ^ | ||
Knife River Corp. 7.75%, 5/1/2031 (a) | 150,000 | 154,059 |
Consumer Finance — 1.3% | ||
AerCap Ireland Capital DAC (Ireland) | ||
6.10%, 1/15/2027 | 335,000 | 336,707 |
3.00%, 10/29/2028 | 810,000 | 713,897 |
Avolon Holdings Funding Ltd. (Ireland) 2.88%, 2/15/2025 (a) | 1,140,000 | 1,088,861 |
Ford Motor Credit Co. LLC | ||
2.30%, 2/10/2025 | 1,755,000 | 1,667,790 |
4.69%, 6/9/2025 | 200,000 | 194,304 |
5.13%, 6/16/2025 | 600,000 | 586,523 |
3.38%, 11/13/2025 | 200,000 | 188,432 |
4.39%, 1/8/2026 | 600,000 | 575,246 |
6.95%, 6/10/2026 | 200,000 | 202,235 |
4.54%, 8/1/2026 | 200,000 | 190,241 |
4.27%, 1/9/2027 | 725,000 | 680,879 |
4.13%, 8/17/2027 | 3,505,000 | 3,239,044 |
2.90%, 2/10/2029 | 200,000 | 169,599 |
7.20%, 6/10/2030 | 200,000 | 206,751 |
OneMain Finance Corp. |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Consumer Finance — continued | ||
7.13%, 3/15/2026 | 95,000 | 95,794 |
3.88%, 9/15/2028 | 625,000 | 536,705 |
10,673,008 | ||
Consumer Staples Distribution & Retail — 0.9% | ||
Albertsons Cos., Inc. | ||
4.63%, 1/15/2027 (a) | 2,075,000 | 1,993,466 |
5.88%, 2/15/2028 (a) | 1,020,000 | 1,006,298 |
3.50%, 3/15/2029 (a) | 620,000 | 549,501 |
4.88%, 2/15/2030 (a) | 405,000 | 378,679 |
Performance Food Group, Inc. | ||
5.50%, 10/15/2027 (a) | 1,060,000 | 1,025,963 |
4.25%, 8/1/2029 (a) | 1,010,000 | 903,316 |
Rite Aid Corp. | ||
7.50%, 7/1/2025 (a) (i) | 248,000 | 187,240 |
8.00%, 11/15/2026 (a) (i) | 225,000 | 169,875 |
US Foods, Inc. | ||
6.88%, 9/15/2028 (a) | 130,000 | 131,804 |
4.75%, 2/15/2029 (a) | 794,000 | 735,989 |
4.63%, 6/1/2030 (a) | 266,000 | 239,991 |
7,322,122 | ||
Containers & Packaging — 1.0% | ||
Ardagh Packaging Finance plc | ||
4.13%, 8/15/2026 (a) | 1,020,000 | 902,338 |
5.25%, 8/15/2027 (a) | 1,020,000 | 748,899 |
LABL, Inc. 6.75%, 7/15/2026 (a) | 1,440,000 | 1,368,741 |
Mauser Packaging Solutions Holding Co. | ||
7.88%, 8/15/2026 (a) | 1,820,000 | 1,807,954 |
9.25%, 4/15/2027 (a) | 110,000 | 100,104 |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | 455,000 | 450,314 |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | 2,200,000 | 2,013,000 |
TriMas Corp. 4.13%, 4/15/2029 (a) | 65,000 | 56,504 |
Trivium Packaging Finance BV (Netherlands) | ||
5.50%, 8/15/2026 (a) (j) | 650,000 | 624,637 |
8.50%, 8/15/2027 (a) (j) | 250,000 | 227,199 |
8,299,690 | ||
Distributors — 0.0% ^ | ||
Ritchie Bros Holdings, Inc. 6.75%, 3/15/2028 (a) | 185,000 | 188,415 |
Diversified Consumer Services — 0.1% | ||
Service Corp. International 3.38%, 8/15/2030 | 1,230,000 | 1,033,237 |
Diversified REITs — 0.2% | ||
VICI Properties LP | ||
4.50%, 9/1/2026 (a) | 200,000 | 189,980 |
4.25%, 12/1/2026 (a) | 345,000 | 325,035 |
3.75%, 2/15/2027 (a) | 395,000 | 365,742 |
4.50%, 1/15/2028 (a) | 150,000 | 139,268 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Diversified REITs — continued | ||
3.88%, 2/15/2029 (a) | 675,000 | 601,088 |
4.63%, 12/1/2029 (a) | 37,000 | 33,485 |
1,654,598 | ||
Diversified Telecommunication Services — 2.1% | ||
Altice France Holding SA 10.50%, 5/15/2027 (a) | 400,000 | 212,460 |
Altice France SA (France) | ||
8.13%, 2/1/2027 (a) | 400,000 | 344,068 |
5.13%, 7/15/2029 (a) | 250,000 | 178,802 |
5.50%, 10/15/2029 (a) | 400,000 | 288,611 |
CCO Holdings LLC | ||
5.00%, 2/1/2028 (a) | 355,000 | 332,663 |
5.38%, 6/1/2029 (a) | 2,541,000 | 2,356,324 |
6.38%, 9/1/2029 (a) | 820,000 | 791,161 |
4.75%, 3/1/2030 (a) | 4,310,000 | 3,771,947 |
4.50%, 8/15/2030 (a) | 4,057,000 | 3,480,958 |
4.25%, 2/1/2031 (a) | 1,304,000 | 1,087,795 |
Frontier Communications Holdings LLC | ||
5.88%, 10/15/2027 (a) | 900,000 | 845,529 |
5.00%, 5/1/2028 (a) | 760,000 | 681,849 |
Intelsat Jackson Holdings SA 6.50%, 3/15/2030 (a) | 1,730,000 | 1,603,124 |
Level 3 Financing, Inc. | ||
4.63%, 9/15/2027 ‡ (a) | 745,000 | 454,450 |
4.25%, 7/1/2028 ‡ (a) | 450,000 | 252,000 |
Lumen Technologies, Inc. | ||
5.13%, 12/15/2026 (a) | 100,000 | 49,000 |
4.00%, 2/15/2027 (a) | 1,975,000 | 1,043,432 |
Sitios Latinoamerica SAB de CV (Brazil) 5.38%, 4/4/2032 (a) | 200,000 | 176,420 |
Telecom Italia Capital SA (Italy) | ||
6.38%, 11/15/2033 | 43,000 | 40,310 |
6.00%, 9/30/2034 | 29,000 | 26,172 |
18,017,075 | ||
Electric Utilities — 0.9% | ||
Electricidad Firme de Mexico Holdings SA de CV (Mexico) 4.90%, 11/20/2026 (a) | 200,000 | 176,060 |
Energuate Trust (Guatemala) 5.88%, 5/3/2027 (f) | 200,000 | 183,000 |
Eskom Holdings SOC Ltd. (South Africa) 7.13%, 2/11/2025 (f) | 700,000 | 696,281 |
Instituto Costarricense de Electricidad (Costa Rica) | ||
6.75%, 10/7/2031 (a) | 200,000 | 192,158 |
6.38%, 5/15/2043 (f) | 200,000 | 164,722 |
Minejesa Capital BV (Indonesia) 4.63%, 8/10/2030 (f) | 200,000 | 185,160 |
NRG Energy, Inc. | ||
6.63%, 1/15/2027 | 20,000 | 19,848 |
5.75%, 1/15/2028 | 2,045,000 | 1,994,999 |
5.25%, 6/15/2029 (a) | 130,000 | 121,111 |
3.63%, 2/15/2031 (a) | 410,000 | 335,240 |
Tierra Mojada Luxembourg II SARL (Mexico) 5.75%, 12/1/2040 (f) | 182,793 | 155,347 |
Trinidad Generation UnLtd (Trinidad And Tobago) 5.25%, 11/4/2027 (f) | 200,000 | 194,738 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
Vistra Operations Co. LLC | ||
5.13%, 5/13/2025 (a) | 740,000 | 728,299 |
5.63%, 2/15/2027 (a) | 595,000 | 578,763 |
5.00%, 7/31/2027 (a) | 1,583,000 | 1,506,525 |
7,232,251 | ||
Electrical Equipment — 0.1% | ||
Regal Rexnord Corp. | ||
6.05%, 2/15/2026 (a) | 80,000 | 79,860 |
6.05%, 4/15/2028 (a) | 410,000 | 403,392 |
6.30%, 2/15/2030 (a) | 219,000 | 216,425 |
6.40%, 4/15/2033 (a) | 97,000 | 95,592 |
795,269 | ||
Electronic Equipment, Instruments & Components — 0.3% | ||
CDW LLC 4.25%, 4/1/2028 | 150,000 | 141,180 |
Coherent Corp. 5.00%, 12/15/2029 (a) | 862,000 | 780,130 |
Sensata Technologies, Inc. 3.75%, 2/15/2031 (a) | 1,845,000 | 1,559,855 |
2,481,165 | ||
Energy Equipment & Services — 0.2% | ||
Archrock Partners LP 6.88%, 4/1/2027 (a) | 390,000 | 386,433 |
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (f) | 176,852 | 155,154 |
Nabors Industries, Inc. | ||
5.75%, 2/1/2025 | 115,000 | 114,713 |
7.38%, 5/15/2027 (a) | 110,000 | 106,355 |
Precision Drilling Corp. (Canada) | ||
7.13%, 1/15/2026 (a) | 150,000 | 149,088 |
6.88%, 1/15/2029 (a) | 225,000 | 212,627 |
Transocean, Inc. 8.75%, 2/15/2030 (a) | 133,000 | 135,831 |
1,260,201 | ||
Entertainment — 0.6% | ||
Live Nation Entertainment, Inc. | ||
5.63%, 3/15/2026 (a) | 175,000 | 170,251 |
6.50%, 5/15/2027 (a) | 1,410,000 | 1,409,587 |
4.75%, 10/15/2027 (a) | 2,315,000 | 2,176,100 |
3.75%, 1/15/2028 (a) | 140,000 | 126,630 |
Warnermedia Holdings, Inc. 3.76%, 3/15/2027 | 720,000 | 679,372 |
WMG Acquisition Corp. | ||
3.75%, 12/1/2029 (a) | 198,000 | 173,111 |
3.88%, 7/15/2030 (a) | 307,000 | 267,402 |
5,002,453 | ||
Financial Services — 0.4% | ||
Block, Inc. 3.50%, 6/1/2031 | 1,150,000 | 962,442 |
Corebridge Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.88%, 12/15/2052 (g) | 500,000 | 480,158 |
Nationstar Mortgage Holdings, Inc. 5.50%, 8/15/2028 (a) | 280,000 | 259,105 |
NCR Atleos Corp. 9.50%, 4/1/2029 (a) | 429,000 | 443,024 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Financial Services — continued | ||
Rocket Mortgage LLC | ||
2.88%, 10/15/2026 (a) | 165,000 | 149,119 |
3.63%, 3/1/2029 (a) | 1,008,000 | 885,359 |
3,179,207 | ||
Food Products — 0.5% | ||
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (a) | 1,725,000 | 1,544,247 |
Minerva Luxembourg SA (Brazil) 8.88%, 9/13/2033 (a) | 300,000 | 303,375 |
Post Holdings, Inc. | ||
5.63%, 1/15/2028 (a) | 743,000 | 722,931 |
5.50%, 12/15/2029 (a) | 92,000 | 86,483 |
4.63%, 4/15/2030 (a) | 2,000,000 | 1,786,794 |
Sigma Holdco BV (Netherlands) 7.88%, 5/15/2026 (a) | 200,000 | 172,046 |
4,615,876 | ||
Gas Utilities — 0.1% | ||
AmeriGas Partners LP | ||
5.88%, 8/20/2026 | 210,000 | 205,067 |
5.75%, 5/20/2027 | 615,000 | 587,385 |
9.38%, 6/1/2028 (a) | 262,000 | 268,783 |
Superior Plus LP (Canada) 4.50%, 3/15/2029 (a) | 150,000 | 132,089 |
1,193,324 | ||
Ground Transportation — 0.8% | ||
Avis Budget Car Rental LLC | ||
5.75%, 7/15/2027 (a) | 225,000 | 212,308 |
4.75%, 4/1/2028 (a) | 1,470,000 | 1,332,063 |
EquipmentShare.com, Inc. 9.00%, 5/15/2028 (a) | 674,000 | 663,890 |
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | 180,000 | 153,114 |
Hertz Corp. (The) | ||
4.63%, 12/1/2026 (a) | 100,000 | 88,137 |
5.00%, 12/1/2029 (a) | 1,705,000 | 1,308,619 |
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (a) | 105,000 | 94,145 |
RXO, Inc. 7.50%, 11/15/2027 (a) | 150,000 | 153,992 |
Transnet SOC Ltd. (South Africa) 8.25%, 2/6/2028 (a) | 200,000 | 194,375 |
Uber Technologies, Inc. | ||
7.50%, 5/15/2025 (a) | 525,000 | 534,844 |
7.50%, 9/15/2027 (a) | 975,000 | 992,874 |
4.50%, 8/15/2029 (a) | 700,000 | 644,058 |
XPO, Inc. 6.25%, 6/1/2028 (a) | 175,000 | 172,887 |
6,545,306 | ||
Health Care Equipment & Supplies — 0.7% | ||
Avantor Funding, Inc. 4.63%, 7/15/2028 (a) | 1,905,000 | 1,781,881 |
Hologic, Inc. | ||
4.63%, 2/1/2028 (a) | 150,000 | 141,390 |
3.25%, 2/15/2029 (a) | 1,259,000 | 1,105,468 |
Medline Borrower LP |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Health Care Equipment & Supplies — continued | ||
3.88%, 4/1/2029 (a) | 1,825,000 | 1,619,772 |
5.25%, 10/1/2029 (a) | 965,000 | 873,292 |
5,521,803 | ||
Health Care Providers & Services — 1.6% | ||
180 Medical, Inc. (United Kingdom) 3.88%, 10/15/2029 (a) | 200,000 | 174,402 |
Acadia Healthcare Co., Inc. | ||
5.50%, 7/1/2028 (a) | 240,000 | 229,930 |
5.00%, 4/15/2029 (a) | 185,000 | 172,701 |
Centene Corp. 4.63%, 12/15/2029 | 460,000 | 427,217 |
Community Health Systems, Inc. | ||
8.00%, 3/15/2026 (a) | 1,586,000 | 1,526,940 |
5.63%, 3/15/2027 (a) | 475,000 | 423,823 |
6.00%, 1/15/2029 (a) | 445,000 | 374,913 |
4.75%, 2/15/2031 (a) | 130,000 | 95,378 |
DaVita, Inc. | ||
4.63%, 6/1/2030 (a) | 205,000 | 173,269 |
3.75%, 2/15/2031 (a) | 1,465,000 | 1,146,861 |
Encompass Health Corp. | ||
4.50%, 2/1/2028 | 910,000 | 850,511 |
4.75%, 2/1/2030 | 630,000 | 572,475 |
4.63%, 4/1/2031 | 350,000 | 307,214 |
McKesson Corp. 5.25%, 2/15/2026 | 395,000 | 393,973 |
Owens & Minor, Inc. 4.50%, 3/31/2029 (a) | 629,000 | 538,582 |
Tenet Healthcare Corp. | ||
4.88%, 1/1/2026 | 1,070,000 | 1,051,365 |
6.25%, 2/1/2027 | 167,000 | 166,282 |
5.13%, 11/1/2027 | 2,750,000 | 2,638,192 |
4.63%, 6/15/2028 | 1,995,000 | 1,858,128 |
6.13%, 6/15/2030 | 233,000 | 226,968 |
6.75%, 5/15/2031 (a) | 489,000 | 489,549 |
13,838,673 | ||
Health Care Technology — 0.1% | ||
IQVIA, Inc. 5.00%, 5/15/2027 (a) | 750,000 | 726,010 |
Hotel & Resort REITs — 0.2% | ||
RHP Hotel Properties LP | ||
4.75%, 10/15/2027 | 2,035,000 | 1,932,701 |
4.50%, 2/15/2029 (a) | 70,000 | 63,139 |
1,995,840 | ||
Hotels, Restaurants & Leisure — 2.0% | ||
1011778 BC ULC (Canada) | ||
3.88%, 1/15/2028 (a) | 1,370,000 | 1,260,994 |
4.00%, 10/15/2030 (a) | 405,000 | 349,144 |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | 375,000 | 339,007 |
Caesars Entertainment, Inc. | ||
6.25%, 7/1/2025 (a) | 1,465,000 | 1,456,566 |
8.13%, 7/1/2027 (a) | 695,000 | 708,034 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Hotels, Restaurants & Leisure — continued | ||
4.63%, 10/15/2029 (a) | 180,000 | 158,167 |
Carnival Corp. | ||
5.75%, 3/1/2027 (a) | 55,000 | 52,282 |
9.88%, 8/1/2027 (a) | 210,000 | 219,457 |
Carnival Holdings Bermuda Ltd. 10.38%, 5/1/2028 (a) | 1,015,000 | 1,103,711 |
Cedar Fair LP | ||
5.50%, 5/1/2025 (a) | 560,000 | 557,611 |
5.25%, 7/15/2029 | 190,000 | 173,726 |
Hilton Domestic Operating Co., Inc. 3.75%, 5/1/2029 (a) | 780,000 | 700,477 |
Hilton Worldwide Finance LLC 4.88%, 4/1/2027 | 1,050,000 | 1,021,088 |
Marriott Ownership Resorts, Inc. 4.50%, 6/15/2029 (a) | 150,000 | 126,117 |
MGM Resorts International | ||
6.75%, 5/1/2025 | 1,120,000 | 1,122,241 |
5.75%, 6/15/2025 | 415,000 | 412,660 |
4.63%, 9/1/2026 | 220,000 | 211,248 |
5.50%, 4/15/2027 | 60,000 | 58,128 |
Royal Caribbean Cruises Ltd. | ||
11.63%, 8/15/2027 (a) | 1,134,000 | 1,229,878 |
8.25%, 1/15/2029 (a) | 413,000 | 430,553 |
9.25%, 1/15/2029 (a) | 215,000 | 228,799 |
Six Flags Entertainment Corp. 5.50%, 4/15/2027 (a) | 815,000 | 779,116 |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | 15,000 | 15,052 |
Station Casinos LLC 4.50%, 2/15/2028 (a) | 630,000 | 569,804 |
Studio City Finance Ltd. (Macau) 5.00%, 1/15/2029 (f) | 200,000 | 155,100 |
Vail Resorts, Inc. 6.25%, 5/15/2025 (a) | 775,000 | 772,781 |
Wynn Las Vegas LLC 5.50%, 3/1/2025 (a) | 180,000 | 177,831 |
Wynn Macau Ltd. (Macau) 5.63%, 8/26/2028 (f) | 200,000 | 176,773 |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a) | 2,100,000 | 1,891,297 |
Yum! Brands, Inc. 4.75%, 1/15/2030 (a) | 1,050,000 | 975,930 |
17,433,572 | ||
Household Durables — 0.5% | ||
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | 535,000 | 517,468 |
Newell Brands, Inc. | ||
4.88%, 6/1/2025 | 100,000 | 97,591 |
5.20%, 4/1/2026 (j) | 1,640,000 | 1,583,171 |
6.37%, 4/1/2036 (j) | 150,000 | 132,471 |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | 1,930,000 | 1,670,533 |
4,001,234 | ||
Household Products — 0.4% | ||
Central Garden & Pet Co. | ||
5.13%, 2/1/2028 | 325,000 | 309,040 |
4.13%, 10/15/2030 | 450,000 | 385,522 |
Energizer Holdings, Inc. | ||
4.75%, 6/15/2028 (a) | 842,000 | 752,635 |
4.38%, 3/31/2029 (a) | 1,057,000 | 911,646 |
Spectrum Brands, Inc. | ||
5.00%, 10/1/2029 (a) | 620,000 | 572,071 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Household Products — continued | ||
5.50%, 7/15/2030 (a) | 320,000 | 298,714 |
3.88%, 3/15/2031 (a) | 470,000 | 401,206 |
3,630,834 | ||
Independent Power and Renewable Electricity Producers — 0.1% | ||
Calpine Corp. 4.63%, 2/1/2029 (a) | 590,000 | 534,374 |
Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029 (f) | 155,000 | 148,541 |
682,915 | ||
IT Services — 0.2% | ||
Gartner, Inc. 4.50%, 7/1/2028 (a) | 1,426,000 | 1,335,612 |
Presidio Holdings, Inc. 4.88%, 2/1/2027 (a) | 150,000 | 145,066 |
1,480,678 | ||
Leisure Products — 0.1% | ||
Mattel, Inc. 5.88%, 12/15/2027 (a) | 530,000 | 521,184 |
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) | 185,000 | 175,287 |
696,471 | ||
Machinery — 0.2% | ||
ATS Corp. (Canada) 4.13%, 12/15/2028 (a) | 150,000 | 132,375 |
Chart Industries, Inc. 7.50%, 1/1/2030 (a) | 720,000 | 734,333 |
Hillenbrand, Inc. 3.75%, 3/1/2031 | 150,000 | 124,455 |
Terex Corp. 5.00%, 5/15/2029 (a) | 80,000 | 73,354 |
TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027 (a) | 200,000 | 190,018 |
Trinity Industries, Inc. 7.75%, 7/15/2028 (a) | 150,000 | 153,000 |
Wabash National Corp. 4.50%, 10/15/2028 (a) | 150,000 | 128,245 |
1,535,780 | ||
Marine Transportation — 0.0% ^ | ||
MV24 Capital BV (Brazil) 6.75%, 6/1/2034 (f) | 168,118 | 151,040 |
Media — 3.8% | ||
Charter Communications Operating LLC 5.38%, 4/1/2038 | 100,000 | 86,584 |
Clear Channel Outdoor Holdings, Inc. | ||
5.13%, 8/15/2027 (a) | 1,775,000 | 1,642,941 |
7.75%, 4/15/2028 (a) | 367,000 | 300,818 |
9.00%, 9/15/2028 (a) | 1,490,000 | 1,504,900 |
CSC Holdings LLC | ||
5.38%, 2/1/2028 (a) | 300,000 | 255,071 |
6.50%, 2/1/2029 (a) | 2,500,000 | 2,114,450 |
Directv Financing LLC 5.88%, 8/15/2027 (a) | 1,845,000 | 1,660,207 |
Discovery Communications LLC 4.95%, 5/15/2042 | 60,000 | 46,535 |
DISH DBS Corp. | ||
5.88%, 11/15/2024 | 5,661,000 | 4,969,593 |
7.75%, 7/1/2026 | 1,085,000 | 647,610 |
5.25%, 12/1/2026 (a) | 254,000 | 204,229 |
DISH Network Corp. 11.75%, 11/15/2027 (a) | 1,717,000 | 1,704,342 |
GCI LLC 4.75%, 10/15/2028 (a) | 253,000 | 227,138 |
Gray Escrow II, Inc. 5.38%, 11/15/2031 (a) | 1,498,000 | 1,067,931 |
Gray Television, Inc. |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Media — continued | ||
7.00%, 5/15/2027 (a) | 455,000 | 413,481 |
4.75%, 10/15/2030 (a) | 189,000 | 134,928 |
iHeartCommunications, Inc. | ||
6.38%, 5/1/2026 | 640,000 | 544,633 |
5.25%, 8/15/2027 (a) | 2,360,000 | 1,808,616 |
Lamar Media Corp. 4.88%, 1/15/2029 | 140,000 | 132,650 |
Midcontinent Communications 5.38%, 8/15/2027 (a) | 190,000 | 176,774 |
News Corp. | ||
3.88%, 5/15/2029 (a) | 1,195,000 | 1,057,141 |
5.13%, 2/15/2032 (a) | 150,000 | 135,533 |
Nexstar Media, Inc. | ||
5.63%, 7/15/2027 (a) | 2,290,000 | 2,168,218 |
4.75%, 11/1/2028 (a) | 750,000 | 663,861 |
Outfront Media Capital LLC 4.63%, 3/15/2030 (a) | 150,000 | 128,806 |
Paramount Global (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.00%), 6.38%, 3/30/2062 (g) | 151,000 | 121,555 |
Sinclair Television Group, Inc. 4.13%, 12/1/2030 (a) | 150,000 | 105,375 |
Sirius XM Radio, Inc. | ||
5.00%, 8/1/2027 (a) | 1,200,000 | 1,140,107 |
4.00%, 7/15/2028 (a) | 955,000 | 853,285 |
5.50%, 7/1/2029 (a) | 1,780,000 | 1,653,905 |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | 775,000 | 679,094 |
TEGNA, Inc. | ||
4.63%, 3/15/2028 | 495,000 | 450,168 |
5.00%, 9/15/2029 | 575,000 | 511,002 |
Univision Communications, Inc. | ||
8.00%, 8/15/2028 (a) | 1,141,000 | 1,153,369 |
4.50%, 5/1/2029 (a) | 182,000 | 159,691 |
7.38%, 6/30/2030 (a) | 155,000 | 152,118 |
Videotron Ltd. (Canada) | ||
5.13%, 4/15/2027 (a) | 1,300,000 | 1,257,770 |
3.63%, 6/15/2029 (a) | 150,000 | 131,644 |
32,166,073 | ||
Metals & Mining — 0.4% | ||
Alcoa Nederland Holding BV | ||
5.50%, 12/15/2027 (a) | 200,000 | 192,007 |
6.13%, 5/15/2028 (a) | 200,000 | 196,943 |
ATI, Inc. | ||
5.88%, 12/1/2027 | 175,000 | 169,118 |
4.88%, 10/1/2029 | 25,000 | 22,375 |
7.25%, 8/15/2030 | 150,000 | 150,704 |
Big River Steel LLC 6.63%, 1/31/2029 (a) | 55,000 | 54,906 |
Cleveland-Cliffs, Inc. 4.63%, 3/1/2029 (a) | 420,000 | 377,451 |
CSN Inova Ventures (Brazil) 6.75%, 1/28/2028 (f) | 400,000 | 378,250 |
FMG Resources August 2006 Pty. Ltd. 4.38%, 4/1/2031 (a) | 405,000 | 353,371 |
Nexa Resources SA (Brazil) 5.38%, 5/4/2027 (f) | 200,000 | 187,700 |
Novelis Corp. |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Metals & Mining — continued | ||
4.75%, 1/30/2030 (a) | 1,299,000 | 1,179,294 |
3.88%, 8/15/2031 (a) | 341,000 | 287,023 |
3,549,142 | ||
Oil, Gas & Consumable Fuels — 4.2% | ||
AI Candelaria Spain SA (Colombia) 5.75%, 6/15/2033 (a) | 250,000 | 183,125 |
Antero Midstream Partners LP | ||
7.88%, 5/15/2026 (a) | 30,000 | 30,589 |
5.75%, 3/1/2027 (a) | 340,000 | 332,669 |
5.75%, 1/15/2028 (a) | 1,470,000 | 1,421,962 |
5.38%, 6/15/2029 (a) | 425,000 | 397,989 |
Antero Resources Corp. | ||
8.38%, 7/15/2026 (a) | 20,000 | 20,649 |
7.63%, 2/1/2029 (a) | 270,000 | 276,512 |
5.38%, 3/1/2030 (a) | 335,000 | 313,768 |
Ascent Resources Utica Holdings LLC 7.00%, 11/1/2026 (a) | 242,000 | 238,665 |
Baytex Energy Corp. (Canada) | ||
8.75%, 4/1/2027 (a) | 200,000 | 205,167 |
8.50%, 4/30/2030 (a) | 550,000 | 562,435 |
Blue Racer Midstream LLC 7.63%, 12/15/2025 (a) | 150,000 | 151,508 |
BP Capital Markets plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (d) (e) (g) | 75,000 | 67,407 |
Buckeye Partners LP | ||
3.95%, 12/1/2026 | 902,000 | 850,134 |
4.13%, 12/1/2027 | 170,000 | 157,017 |
4.50%, 3/1/2028 (a) | 200,000 | 182,479 |
California Resources Corp. 7.13%, 2/1/2026 (a) | 100,000 | 100,605 |
Cheniere Energy, Inc. 4.63%, 10/15/2028 | 485,000 | 461,584 |
Chesapeake Energy Corp. 6.75%, 4/15/2029 (a) | 1,670,000 | 1,664,060 |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 375,000 | 372,581 |
Civitas Resources, Inc. | ||
8.38%, 7/1/2028 (a) | 390,000 | 399,434 |
8.63%, 11/1/2030 (a) | 695,000 | 719,828 |
8.75%, 7/1/2031 (a) | 407,000 | 421,232 |
Columbia Pipelines Holding Co. LLC 6.04%, 8/15/2028 (a) | 390,000 | 394,360 |
Comstock Resources, Inc. 5.88%, 1/15/2030 (a) | 1,380,000 | 1,197,068 |
Crescent Energy Finance LLC 9.25%, 2/15/2028 (a) | 105,000 | 108,507 |
DT Midstream, Inc. 4.13%, 6/15/2029 (a) | 1,315,000 | 1,180,568 |
Ecopetrol SA (Colombia) | ||
4.13%, 1/16/2025 | 300,000 | 291,600 |
8.63%, 1/19/2029 | 140,000 | 144,613 |
4.63%, 11/2/2031 | 100,000 | 79,770 |
8.88%, 1/13/2033 | 480,000 | 492,576 |
Enbridge, Inc. (Canada) Series NC5, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.79%), 8.25%, 1/15/2084 (g) | 305,000 | 304,469 |
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a) | 175,000 | 170,536 |
Energian Israel Finance Ltd. (Israel) | ||
4.88%, 3/30/2026 (f) | 300,000 | 274,080 |
5.38%, 3/30/2028 (f) | 50,000 | 43,453 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
Energy Transfer LP | ||
3.90%, 5/15/2024 (j) | 1,155,000 | 1,144,396 |
5.75%, 4/1/2025 | 125,000 | 124,441 |
5.63%, 5/1/2027 (a) | 535,000 | 525,664 |
8.00%, 4/1/2029 (a) | 180,000 | 186,447 |
EQM Midstream Partners LP | ||
6.00%, 7/1/2025 (a) | 98,000 | 97,242 |
6.50%, 7/1/2027 (a) | 715,000 | 716,138 |
5.50%, 7/15/2028 | 290,000 | 281,874 |
7.50%, 6/1/2030 (a) | 150,000 | 154,787 |
4.75%, 1/15/2031 (a) | 290,000 | 258,283 |
Genesis Energy LP | ||
8.00%, 1/15/2027 | 985,000 | 985,904 |
8.25%, 1/15/2029 | 97,000 | 95,992 |
Greenko Solar Mauritius Ltd. (India) 5.55%, 1/29/2025 (f) | 200,000 | 195,250 |
Greenko Wind Projects Mauritius Ltd. (India) 5.50%, 4/6/2025 (f) | 200,000 | 194,000 |
Greensaif Pipelines Bidco Sarl (Saudi Arabia) 6.51%, 2/23/2042 (f) | 200,000 | 200,000 |
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | 280,000 | 283,463 |
Hess Midstream Operations LP | ||
5.63%, 2/15/2026 (a) | 1,235,000 | 1,219,562 |
5.13%, 6/15/2028 (a) | 30,000 | 28,710 |
4.25%, 2/15/2030 (a) | 305,000 | 272,776 |
Howard Midstream Energy Partners LLC 8.88%, 7/15/2028 (a) | 150,000 | 155,987 |
KazMunayGas National Co. JSC (Kazakhstan) | ||
4.75%, 4/19/2027 (f) | 200,000 | 190,160 |
5.38%, 4/24/2030 (f) | 200,000 | 187,700 |
Kinetik Holdings LP 5.88%, 6/15/2030 (a) | 547,000 | 521,066 |
Leviathan Bond Ltd. (Israel) | ||
6.13%, 6/30/2025 (f) | 450,000 | 434,250 |
6.50%, 6/30/2027 (f) | 150,000 | 140,415 |
6.75%, 6/30/2030 (f) | 50,000 | 45,375 |
Medco Bell Pte. Ltd. (Indonesia) 6.38%, 1/30/2027 (f) | 200,000 | 188,500 |
NuStar Logistics LP | ||
6.00%, 6/1/2026 | 150,000 | 149,503 |
5.63%, 4/28/2027 | 455,000 | 447,904 |
6.38%, 10/1/2030 | 405,000 | 394,875 |
Oil and Gas Holding Co. BSCC (The) (Bahrain) 7.50%, 10/25/2027 (f) | 500,000 | 517,969 |
Peru LNG Srl (Peru) 5.38%, 3/22/2030 (f) | 800,000 | 616,000 |
Petroleos del Peru SA (Peru) 5.63%, 6/19/2047 (a) | 200,000 | 118,180 |
Petroleos Mexicanos (Mexico) | ||
4.88%, 1/18/2024 | 150,000 | 148,713 |
4.25%, 1/15/2025 | 200,000 | 191,780 |
6.88%, 10/16/2025 | 400,000 | 386,660 |
4.50%, 1/23/2026 | 200,000 | 182,018 |
6.88%, 8/4/2026 | 250,000 | 234,913 |
6.50%, 3/13/2027 | 400,000 | 359,350 |
5.35%, 2/12/2028 | 300,000 | 248,295 |
5.95%, 1/28/2031 | 330,000 | 245,982 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
10.00%, 2/7/2033 | 750,000 | 695,400 |
6.38%, 1/23/2045 | 410,000 | 243,909 |
7.69%, 1/23/2050 | 500,000 | 330,950 |
Range Resources Corp. | ||
8.25%, 1/15/2029 | 588,000 | 609,350 |
4.75%, 2/15/2030 (a) | 158,000 | 144,107 |
Rockies Express Pipeline LLC | ||
3.60%, 5/15/2025 (a) | 200,000 | 191,504 |
4.80%, 5/15/2030 (a) | 150,000 | 134,300 |
SM Energy Co. | ||
6.75%, 9/15/2026 | 430,000 | 424,382 |
6.50%, 7/15/2028 | 150,000 | 146,006 |
Southwestern Energy Co. | ||
8.38%, 9/15/2028 | 160,000 | 165,477 |
5.38%, 2/1/2029 | 315,000 | 299,724 |
5.38%, 3/15/2030 | 405,000 | 384,005 |
State Oil Co. of the Azerbaijan Republic (Azerbaijan) 6.95%, 3/18/2030 (f) | 200,000 | 202,000 |
Sunoco LP | ||
4.50%, 5/15/2029 | 500,000 | 455,721 |
4.50%, 4/30/2030 | 405,000 | 363,990 |
Tallgrass Energy Partners LP | ||
7.50%, 10/1/2025 (a) | 770,000 | 774,423 |
6.00%, 3/1/2027 (a) | 65,000 | 62,514 |
5.50%, 1/15/2028 (a) | 570,000 | 525,851 |
6.00%, 12/31/2030 (a) | 320,000 | 288,937 |
6.00%, 9/1/2031 (a) | 150,000 | 134,498 |
Targa Resources Partners LP | ||
6.50%, 7/15/2027 | 285,000 | 287,718 |
5.50%, 3/1/2030 | 25,000 | 24,132 |
Transcanada Trust (Canada) (SOFR + 4.42%), 5.50%, 9/15/2079 (g) | 100,000 | 83,345 |
Venture Global LNG, Inc. | ||
8.13%, 6/1/2028 (a) | 977,000 | 968,664 |
9.50%, 2/1/2029 (a) | 215,000 | 221,836 |
9.88%, 2/1/2032 (a) | 215,000 | 220,341 |
Vital Energy, Inc. 10.13%, 1/15/2028 | 465,000 | 473,480 |
36,140,087 | ||
Paper & Forest Products — 0.0% ^ | ||
Suzano Austria GmbH (Brazil) 7.00%, 3/16/2047 (f) | 200,000 | 199,500 |
Passenger Airlines — 0.4% | ||
American Airlines, Inc. | ||
11.75%, 7/15/2025 (a) | 110,000 | 120,379 |
5.50%, 4/20/2026 (a) | 2,016,667 | 1,985,324 |
5.75%, 4/20/2029 (a) | 450,000 | 431,117 |
Mileage Plus Holdings LLC 6.50%, 6/20/2027 (a) | 251,137 | 249,753 |
United Airlines, Inc. 4.38%, 4/15/2026 (a) | 330,000 | 313,808 |
3,100,381 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Personal Care Products — 0.3% | ||
Coty, Inc. | ||
5.00%, 4/15/2026 (a) | 364,000 | 355,280 |
4.75%, 1/15/2029 (a) | 210,000 | 195,512 |
Edgewell Personal Care Co. 5.50%, 6/1/2028 (a) | 1,670,000 | 1,590,676 |
Prestige Brands, Inc. 5.13%, 1/15/2028 (a) | 390,000 | 370,620 |
2,512,088 | ||
Pharmaceuticals — 0.9% | ||
Bausch Health Americas, Inc. 9.25%, 4/1/2026 (a) | 1,065,000 | 937,303 |
Bausch Health Cos., Inc. | ||
5.50%, 11/1/2025 (a) | 2,075,000 | 1,807,844 |
9.00%, 12/15/2025 (a) | 1,405,000 | 1,259,781 |
5.75%, 8/15/2027 (a) | 715,000 | 389,675 |
5.00%, 2/15/2029 (a) | 450,000 | 157,311 |
5.25%, 1/30/2030 (a) | 70,000 | 25,062 |
Catalent Pharma Solutions, Inc. | ||
5.00%, 7/15/2027 (a) | 50,000 | 47,211 |
3.13%, 2/15/2029 (a) | 155,000 | 129,812 |
Cheplapharm Arzneimittel GmbH (Germany) 5.50%, 1/15/2028 (a) | 250,000 | 231,808 |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (j) | 620,000 | 619,225 |
Jazz Securities DAC 4.38%, 1/15/2029 (a) | 200,000 | 179,925 |
Organon & Co. | ||
4.13%, 4/30/2028 (a) | 1,770,000 | 1,571,706 |
5.13%, 4/30/2031 (a) | 400,000 | 314,713 |
Teva Pharmaceutical Finance Netherlands III BV (Israel) 3.15%, 10/1/2026 | 50,000 | 45,305 |
7,716,681 | ||
Professional Services — 0.0% ^ | ||
TriNet Group, Inc. 7.13%, 8/15/2031 (a) | 150,000 | 151,500 |
Real Estate Management & Development — 0.0% ^ | ||
Realogy Group LLC | ||
5.75%, 1/15/2029 (a) | 218,000 | 155,479 |
5.25%, 4/15/2030 (a) | 125,000 | 84,139 |
239,618 | ||
Semiconductors & Semiconductor Equipment — 0.2% | ||
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | 365,000 | 366,664 |
Entegris Escrow Corp. | ||
4.75%, 4/15/2029 (a) | 200,000 | 188,955 |
5.95%, 6/15/2030 (a) | 660,000 | 637,532 |
Entegris, Inc. | ||
4.38%, 4/15/2028 (a) | 290,000 | 270,607 |
3.63%, 5/1/2029 (a) | 35,000 | 30,598 |
ON Semiconductor Corp. 3.88%, 9/1/2028 (a) | 440,000 | 397,771 |
Synaptics, Inc. 4.00%, 6/15/2029 (a) | 150,000 | 129,797 |
2,021,924 | ||
Software — 0.7% | ||
ACI Worldwide, Inc. 5.75%, 8/15/2026 (a) | 175,000 | 172,064 |
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (a) | 675,000 | 585,092 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Software — continued | ||
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | 1,430,000 | 1,290,195 |
NCR Voyix Corp. 5.13%, 4/15/2029 (a) | 2,705,000 | 2,477,371 |
RingCentral, Inc. 8.50%, 8/15/2030 (a) | 220,000 | 219,164 |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | 1,600,000 | 1,548,417 |
6,292,303 | ||
Specialized REITs — 0.1% | ||
Iron Mountain, Inc. | ||
5.25%, 3/15/2028 (a) | 290,000 | 274,804 |
5.00%, 7/15/2028 (a) | 115,000 | 107,388 |
SBA Communications Corp. 3.88%, 2/15/2027 | 795,000 | 748,369 |
1,130,561 | ||
Specialty Retail — 1.0% | ||
Asbury Automotive Group, Inc. | ||
4.50%, 3/1/2028 | 65,000 | 59,799 |
4.63%, 11/15/2029 (a) | 1,120,000 | 1,008,674 |
4.75%, 3/1/2030 | 70,000 | 62,753 |
Bath & Body Works, Inc. | ||
7.50%, 6/15/2029 | 105,000 | 107,811 |
6.75%, 7/1/2036 | 115,000 | 106,943 |
Gap, Inc. (The) 3.63%, 10/1/2029 (a) | 490,000 | 403,395 |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | 30,000 | 27,036 |
Lithia Motors, Inc. | ||
3.88%, 6/1/2029 (a) | 845,000 | 744,885 |
4.38%, 1/15/2031 (a) | 150,000 | 129,266 |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | 304,000 | 263,654 |
PetSmart, Inc. 4.75%, 2/15/2028 (a) | 2,755,000 | 2,519,467 |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | 528,000 | 465,420 |
SRS Distribution, Inc. | ||
4.63%, 7/1/2028 (a) | 1,111,000 | 1,014,209 |
6.13%, 7/1/2029 (a) | 45,000 | 39,745 |
6.00%, 12/1/2029 (a) | 159,000 | 138,330 |
Staples, Inc. 7.50%, 4/15/2026 (a) | 1,410,000 | 1,247,841 |
8,339,228 | ||
Technology Hardware, Storage & Peripherals — 0.1% | ||
Seagate HDD Cayman | ||
4.09%, 6/1/2029 | 430,000 | 385,757 |
8.25%, 12/15/2029 (a) | 245,000 | 260,199 |
8.50%, 7/15/2031 (a) | 42,000 | 44,883 |
690,839 | ||
Textiles, Apparel & Luxury Goods — 0.0% ^ | ||
William Carter Co. (The) 5.63%, 3/15/2027 (a) | 150,000 | 145,465 |
Tobacco — 0.0% ^ | ||
BAT International Finance plc (United Kingdom) 4.45%, 3/16/2028 | 310,000 | 297,367 |
Trading Companies & Distributors — 0.8% | ||
Air Lease Corp. 5.85%, 12/15/2027 | 540,000 | 542,304 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Trading Companies & Distributors — continued | ||
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | 775,000 | 752,550 |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | 2,330,000 | 2,117,013 |
United Rentals North America, Inc. | ||
4.88%, 1/15/2028 | 1,446,000 | 1,390,747 |
6.00%, 12/15/2029 (a) | 214,000 | 213,699 |
WESCO Distribution, Inc. | ||
7.13%, 6/15/2025 (a) | 1,545,000 | 1,547,198 |
7.25%, 6/15/2028 (a) | 605,000 | 615,189 |
7,178,700 | ||
Wireless Telecommunication Services — 0.2% | ||
Millicom International Cellular SA (Guatemala) 5.13%, 1/15/2028 (f) | 180,000 | 162,450 |
Sprint LLC | ||
7.13%, 6/15/2024 | 25,000 | 25,117 |
7.63%, 2/15/2025 | 275,000 | 279,218 |
7.63%, 3/1/2026 | 1,000,000 | 1,036,939 |
United States Cellular Corp. 6.70%, 12/15/2033 | 150,000 | 147,048 |
Vodafone Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.13%, 6/4/2081 (g) | 100,000 | 80,391 |
1,731,163 | ||
Total Corporate Bonds (Cost $301,891,418) | 298,189,679 | |
Mortgage-Backed Securities — 25.6% | ||
FHLMC Gold Pools, Other | ||
Pool # WN1250, 4.40%, 5/1/2028 | 1,500,000 | 1,448,854 |
Pool # WN2492, 4.93%, 6/1/2028 | 1,000,000 | 987,163 |
Pool # WN2493, 4.94%, 9/1/2028 | 900,000 | 889,641 |
Pool # WN2435, 3.99%, 7/1/2030 | 2,070,000 | 1,947,700 |
Pool # WN2184, 2.50%, 4/1/2032 | 330,000 | 271,490 |
Pool # WN2270, 3.95%, 10/1/2032 | 600,000 | 539,999 |
Pool # WN2271, 3.95%, 10/1/2032 | 450,000 | 405,003 |
Pool # WN2290, 3.80%, 11/1/2032 | 470,000 | 418,699 |
Pool # WN2298, 4.35%, 11/1/2032 | 580,000 | 533,299 |
Pool # WA3236, 4.75%, 11/1/2032 | 576,112 | 541,345 |
Pool # WN2326, 4.45%, 12/1/2032 | 210,000 | 198,037 |
Pool # WN1205, 4.60%, 1/1/2033 | 390,000 | 362,093 |
Pool # WN1206, 4.60%, 1/1/2033 | 537,000 | 499,296 |
Pool # WN2308, 4.90%, 1/1/2033 | 200,000 | 188,608 |
Pool # WA4830, 3.96%, 9/1/2053 | 500,000 | 408,152 |
FNMA UMBS, 30 Year | ||
Pool # MA4894, 6.00%, 1/1/2053 | 5,374,393 | 5,393,844 |
Pool # MA4919, 5.50%, 2/1/2053 | 10,238,853 | 10,091,460 |
Pool # MA5073, 6.00%, 7/1/2053 | 10,899,941 | 10,932,259 |
Pool # MA5167, 6.50%, 10/1/2053 | 10,756,821 | 10,928,250 |
Pool # MA5192, 6.50%, 11/1/2053 | 31,659,653 | 32,162,878 |
FNMA, Other | ||
Pool # BS9065, 4.62%, 7/1/2028 | 1,500,000 | 1,462,108 |
Pool # BS9617, 4.79%, 10/1/2028 | 1,200,000 | 1,192,614 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # BS7094, 4.78%, 11/1/2029 | 3,520,000 | 3,442,071 |
Pool # BS9607, 5.06%, 9/1/2030 | 162,000 | 162,666 |
Pool # BS9738, 4.97%, 10/1/2030 | 220,000 | 219,739 |
Pool # BS3377, 1.72%, 10/1/2031 | 205,000 | 161,315 |
Pool # BS4789, 2.17%, 2/1/2032 | 1,000,000 | 808,798 |
Pool # BS6953, 4.90%, 10/1/2032 | 280,000 | 277,728 |
Pool # BS7948, 4.38%, 4/1/2033 | 335,000 | 318,963 |
Pool # BS8058, 4.89%, 4/1/2033 | 503,399 | 498,582 |
Pool # BS8213, 4.22%, 5/1/2033 | 79,465 | 75,143 |
Pool # BS8720, 4.40%, 6/1/2033 | 597,720 | 570,900 |
Pool # BS8742, 4.39%, 7/1/2033 | 557,000 | 530,096 |
Pool # BS8929, 4.52%, 7/1/2033 | 8,800,000 | 8,462,628 |
Pool # BS8912, 4.58%, 7/1/2033 | 210,000 | 203,746 |
Pool # BS8965, 4.69%, 7/1/2033 | 1,150,000 | 1,118,834 |
Pool # BS9112, 4.65%, 8/1/2033 | 394,198 | 383,496 |
Pool # BS9812, 5.06%, 11/1/2033 | 400,000 | 402,390 |
Pool # BS4294, 1.97%, 1/1/2034 | 800,000 | 613,315 |
Pool # BS7122, 4.94%, 11/1/2034 | 520,000 | 512,532 |
GNMA II, 30 Year | ||
Pool # MA8151, 4.50%, 7/20/2052 | 30 | 28 |
Pool # MA8649, 6.00%, 2/20/2053 | 485,982 | 489,704 |
Pool # MA8651, 7.00%, 2/20/2053 | 184,767 | 189,806 |
Pool # MA9109, 7.00%, 8/20/2053 | 2,148,149 | 2,206,732 |
Pool # MA9110, 7.50%, 8/20/2053 | 557,571 | 570,624 |
Pool # MA9173, 6.50%, 9/20/2053 | 11,253,383 | 11,448,293 |
Pool # MA9174, 7.00%, 9/20/2053 | 8,481,447 | 8,712,747 |
Pool # MA9243, 6.50%, 10/20/2053 | 57,879,219 | 58,870,848 |
GNMA II, Other | ||
Pool # CW7529, 7.00%, 9/20/2063 | 119,916 | 122,456 |
Pool # CX4071, 7.00%, 10/20/2063 | 1,999,227 | 2,041,574 |
Pool # CX4083, 7.00%, 10/20/2063 | 699,750 | 714,572 |
Pool # CY0090, 7.00%, 10/20/2063 | 249,931 | 255,225 |
Pool # CY0120, 7.00%, 10/20/2063 | 220,603 | 225,275 |
GNMA II, Single Family, 30 Year | ||
TBA, 5.50%, 12/15/2053 (h) | 6,883,000 | 6,832,343 |
TBA, 6.00%, 12/15/2053 (h) | 25,897,000 | 26,082,546 |
Total Mortgage-Backed Securities (Cost $217,599,245) | 219,328,507 | |
Asset-Backed Securities — 18.8% | ||
ACHV ABS TRUST Series 2023-2PL, Class B, 6.88%, 5/20/2030 (a) | 487,148 | 487,392 |
Affirm Asset Securitization Trust | ||
Series 2022-A, Class 1D, 5.53%, 5/17/2027 (a) | 595,000 | 575,621 |
Series 2023-A, Class 1A, 6.61%, 1/18/2028 (a) | 1,030,000 | 1,028,160 |
Series 2023-A, Class A, 6.61%, 1/18/2028 (a) | 500,000 | 499,506 |
Series 2023-B, Class A, 6.82%, 9/15/2028 (a) | 1,436,000 | 1,445,790 |
Air Canada Pass-Through Trust (Canada) Series 2020-2, Class B, 9.00%, 10/1/2025 (a) | 4,681 | 4,713 |
American Airlines Pass-Through Trust Series 2021-1, Class B, 3.95%, 7/11/2030 | 45,500 | 39,589 |
American Credit Acceptance Receivables Trust | ||
Series 2023-1, Class A, 5.45%, 9/14/2026 (a) | 192,008 | 191,639 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2022-3, Class B, 4.55%, 10/13/2026 (a) | 404,874 | 404,154 |
Series 2022-4, Class B, 6.75%, 10/13/2026 (a) | 200,000 | 200,177 |
Series 2021-3, Class E, 2.56%, 11/15/2027 (a) | 800,000 | 760,796 |
Series 2023-4, Class B, 6.63%, 2/14/2028 (a) | 2,566,000 | 2,580,122 |
Series 2022-2, Class E, 6.57%, 6/13/2028 (a) | 190,000 | 181,274 |
Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | 267,000 | 262,580 |
Series 2022-4, Class C, 7.86%, 2/15/2029 (a) | 210,000 | 211,894 |
Series 2023-1, Class C, 5.59%, 4/12/2029 (a) | 400,000 | 393,667 |
Series 2023-1, Class D, 6.35%, 4/12/2029 (a) | 395,000 | 387,896 |
Series 2023-2, Class C, 5.96%, 8/13/2029 (a) | 900,000 | 890,026 |
Series 2023-3, Class C, 6.44%, 10/12/2029 (a) | 1,083,000 | 1,081,991 |
Series 2023-3, Class D, 6.82%, 10/12/2029 (a) | 1,800,000 | 1,791,233 |
Series 2023-4, Class D, 7.65%, 9/12/2030 (a) | 2,400,000 | 2,438,461 |
AMSR Trust Series 2020-SFR1, Class H, 5.30%, 4/17/2037 (a) | 100,000 | 94,562 |
Apidos CLO (Cayman Islands) | ||
Series 2019-31A, Class A1R, 6.76%, 4/15/2031 (a) (k) | 1,000,000 | 999,464 |
Series XXXA, Class A1A, 6.80%, 10/18/2031 (a) (k) | 990,000 | 989,470 |
Applebee's Funding LLC Series 2019-1A, Class A2II, 4.72%, 6/5/2049 (a) | 495,000 | 465,096 |
Ares CLO Ltd. (Cayman Islands) | ||
Series 2016-40A, Class A1RR, 6.53%, 1/15/2029 (a) (k) | 668,036 | 665,896 |
Series 2016-39A, Class A1R2, 6.71%, 4/18/2031 (a) (k) | 1,440,000 | 1,439,214 |
Series 2019-52A, Class A1R, 6.72%, 4/22/2031 (a) (k) | 1,400,000 | 1,398,988 |
Avis Budget Rental Car Funding AESOP LLC | ||
Series 2020-1A, Class C, 3.02%, 8/20/2026 (a) | 461,000 | 431,249 |
Series 2022-3A, Class A, 4.62%, 2/20/2027 (a) | 943,000 | 918,470 |
Series 2023-4A, Class A, 5.49%, 6/20/2029 (a) | 800,000 | 789,307 |
Bain Capital Credit CLO (Cayman Islands) | ||
Series 2018-1A, Class A1, 6.63%, 4/23/2031 (a) (k) | 902,598 | 900,522 |
Series 2020-1A, Class A1, 6.85%, 4/18/2033 (a) (k) | 560,000 | 558,248 |
Bain Capital Credit CLO Ltd. (Cayman Islands) | ||
Series 2020-3A, Class A1R, 6.83%, 10/23/2034 (a) (k) | 250,000 | 248,658 |
Series 2021-7A, Class A1, 6.81%, 1/22/2035 (a) (k) | 270,000 | 268,902 |
Ballyrock CLO Ltd. (Cayman Islands) Series 2019-1A, Class A1R, 6.69%, 7/15/2032 (a) (k) | 800,000 | 796,951 |
Benefit Street Partners CLO Ltd. (Cayman Islands) Series 2019-18A, Class A1R, 6.83%, 10/15/2034 (a) (k) | 1,000,000 | 998,364 |
Bridgecrest Lending Auto Securitization Trust Series 2023-1, Class B, 6.80%, 8/15/2029 | 442,000 | 446,357 |
British Airways Pass-Through Trust (United Kingdom) Series 2020-1, Class B, 8.38%, 11/15/2028 (a) | 7,941 | 8,127 |
BSPRT Issuer Ltd. (Cayman Islands) | ||
Series 2021-FL7, Class D, 8.19%, 12/15/2038 (a) (k) | 275,000 | 258,745 |
Series 2021-FL7, Class E, 8.84%, 12/15/2038 (a) (k) | 265,000 | 243,689 |
Business Jet Securities LLC Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (a) | 50,787 | 48,175 |
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands) | ||
Series 2014-1A, Class A1R2, 6.63%, 4/17/2031 (a) (k) | 951,763 | 949,143 |
Series 2014-3RA, Class A1A, 6.70%, 7/27/2031 (a) (k) | 1,402,998 | 1,401,824 |
Series 2015-4A, Class A1R, 7.02%, 7/20/2032 (a) (k) | 850,000 | 849,553 |
CARLYLE US CLO Ltd. (Cayman Islands) Series 2018-1A, Class A1, 6.70%, 4/20/2031 (a) (k) | 1,257,045 | 1,255,594 |
CIFC Funding Ltd. (Cayman Islands) | ||
Series 2014-5A, Class A1R2, 6.86%, 10/17/2031 (a) (k) | 595,000 | 595,191 |
Series 2021-4A, Class A, 6.71%, 7/15/2033 (a) (k) | 2,000,000 | 1,994,430 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Conn's Receivables Funding LLC | ||
Series 2022-A, Class B, 9.52%, 12/15/2026 (a) | 450,919 | 452,693 |
Series 2023-A, Class A, 8.01%, 1/17/2028 (a) | 411,608 | 412,243 |
Series 2023-A, Class B, 10.00%, 1/17/2028 (a) | 508,000 | 507,523 |
CoreVest American Finance Trust | ||
Series 2019-1, Class E, 5.75%, 3/15/2052 (a) (k) | 300,000 | 272,741 |
Series 2019-2, Class E, 5.41%, 6/15/2052 (a) (k) | 350,000 | 304,689 |
Series 2019-3, Class E, 4.89%, 10/15/2052 (a) (k) | 350,000 | 296,270 |
Credit Acceptance Auto Loan Trust | ||
Series 2022-3A, Class A, 6.57%, 10/15/2032 (a) | 250,000 | 250,743 |
Series 2023-1A, Class A, 6.48%, 3/15/2033 (a) | 700,000 | 702,699 |
Series 2022-3A, Class D, 9.00%, 4/18/2033 (a) | 300,000 | 297,658 |
Series 2023-2A, Class A, 5.92%, 5/16/2033 (a) | 900,000 | 892,417 |
Series 2023-3A, Class B, 7.09%, 10/17/2033 (a) | 391,000 | 390,829 |
DB Master Finance LLC Series 2021-1A, Class A23, 2.79%, 11/20/2051 (a) | 294,000 | 230,428 |
Dewolf Park CLO Ltd. Series 2017-1A, Class AR, 6.58%, 10/15/2030 (a) (k) | 1,522,914 | 1,519,326 |
Domino's Pizza Master Issuer LLC Series 2015-1A, Class A2II, 4.47%, 10/25/2045 (a) | 558,000 | 539,468 |
Driven Brands Funding LLC | ||
Series 2019-1A, Class A2, 4.64%, 4/20/2049 (a) | 257,175 | 244,770 |
Series 2020-1A, Class A2, 3.79%, 7/20/2050 (a) | 483,750 | 434,508 |
Series 2021-1A, Class A2, 2.79%, 10/20/2051 (a) | 1,960,000 | 1,628,981 |
Series 2022-1A, Class A2, 7.39%, 10/20/2052 (a) | 594,000 | 601,748 |
Dryden CLO Ltd. (Cayman Islands) | ||
Series 2018-64A, Class A, 6.63%, 4/18/2031 (a) (k) | 968,373 | 966,968 |
Series 2018-58A, Class A1, 6.66%, 7/17/2031 (a) (k) | 443,132 | 442,491 |
Series 2019-68A, Class AR, 6.83%, 7/15/2035 (a) (k) | 1,790,000 | 1,785,197 |
Dryden Senior Loan Fund (Cayman Islands) | ||
Series 2017-47A, Class A1R, 6.64%, 4/15/2028 (a) (k) | 750,249 | 749,831 |
Series 2013-26A, Class AR, 6.56%, 4/15/2029 (a) (k) | 1,063,101 | 1,060,894 |
Series 2015-41A, Class AR, 6.63%, 4/15/2031 (a) (k) | 869,057 | 867,106 |
Series 2016-43A, Class AR2, 6.72%, 4/20/2034 (a) (k) | 600,000 | 596,596 |
DT Auto Owner Trust | ||
Series 2021-4A, Class D, 1.99%, 9/15/2027 (a) | 1,500,000 | 1,374,575 |
Series 2021-4A, Class E, 3.34%, 7/17/2028 (a) | 1,600,000 | 1,437,583 |
Series 2022-3A, Class C, 7.69%, 7/17/2028 (a) | 374,000 | 380,096 |
Series 2023-1A, Class B, 5.19%, 10/16/2028 (a) | 467,000 | 460,155 |
Series 2023-1A, Class C, 5.55%, 10/16/2028 (a) | 525,000 | 516,251 |
Series 2022-1A, Class E, 5.53%, 3/15/2029 (a) | 2,400,000 | 2,273,235 |
Series 2023-3A, Class C, 6.40%, 5/15/2029 (a) | 1,349,000 | 1,350,368 |
Elmwood CLO Ltd. (Cayman Islands) | ||
Series 2020-1A, Class A, 6.90%, 4/15/2033 (a) (k) | 1,200,000 | 1,199,358 |
Series 2021-3A, Class A, 6.72%, 10/20/2034 (a) (k) | 890,000 | 887,689 |
Exeter Automobile Receivables Trust | ||
Series 2020-3A, Class E, 3.44%, 8/17/2026 (a) | 2,000,000 | 1,935,761 |
Series 2021-2A, Class D, 1.40%, 4/15/2027 | 2,000,000 | 1,867,490 |
Series 2023-1A, Class B, 5.72%, 4/15/2027 | 149,000 | 148,411 |
Series 2021-3A, Class D, 1.55%, 6/15/2027 | 500,000 | 461,376 |
Series 2020-3A, Class F, 5.56%, 6/15/2027 (a) | 1,500,000 | 1,469,582 |
Series 2023-1A, Class C, 5.82%, 2/15/2028 | 176,000 | 174,186 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2023-3A, Class C, 6.21%, 6/15/2028 | 1,827,000 | 1,824,961 |
Series 2021-2A, Class E, 2.90%, 7/17/2028 (a) | 750,000 | 691,982 |
Series 2023-2A, Class C, 5.75%, 7/17/2028 | 500,000 | 493,756 |
Series 2023-4A, Class C, 6.51%, 8/15/2028 | 920,000 | 918,621 |
Series 2022-3A, Class D, 6.76%, 9/15/2028 | 400,000 | 396,015 |
Series 2021-3A, Class E, 3.04%, 12/15/2028 (a) | 900,000 | 803,924 |
Series 2022-4A, Class D, 5.98%, 12/15/2028 | 168,000 | 164,710 |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | 375,000 | 384,738 |
Series 2023-3A, Class D, 6.68%, 4/16/2029 | 954,000 | 942,956 |
Series 2023-1A, Class D, 6.69%, 6/15/2029 | 500,000 | 495,606 |
Series 2023-2A, Class D, 6.32%, 8/15/2029 | 500,000 | 493,956 |
Series 2022-1A, Class E, 5.02%, 10/15/2029 (a) | 1,070,000 | 940,848 |
Series 2023-1A, Class E, 12.07%, 9/16/2030 (a) | 900,000 | 967,952 |
FirstKey Homes Trust Series 2020-SFR1, Class F1, 3.64%, 8/17/2037 (a) | 500,000 | 464,649 |
Flagship Credit Auto Trust | ||
Series 2019-3, Class E, 3.84%, 12/15/2026 (a) | 800,000 | 767,076 |
Series 2023-1, Class A3, 5.01%, 8/16/2027 (a) | 133,000 | 131,621 |
Series 2023-1, Class B, 5.05%, 1/18/2028 (a) | 100,000 | 98,579 |
Flatiron CLO Ltd. (Cayman Islands) | ||
Series 2018-1A, Class A, 6.61%, 4/17/2031 (a) (k) | 213,304 | 212,940 |
Series 2019-1A, Class AR, 6.73%, 11/16/2034 (a) (k) | 450,000 | 449,464 |
FMC GMSR Issuer Trust Series 2022-GT1, Class B, 7.17%, 4/25/2027 (a) | 300,000 | 261,460 |
Foundation Finance Trust Series 2023-1A, Class D, 9.18%, 12/15/2043 (a) | 438,000 | 436,853 |
FREED ABS Trust | ||
Series 2022-1FP, Class D, 3.35%, 3/19/2029 (a) | 200,000 | 190,222 |
Series 2022-3FP, Class C, 7.05%, 8/20/2029 (a) | 100,000 | 99,685 |
Series 2022-4FP, Class B, 7.58%, 12/18/2029 (a) | 259,170 | 260,032 |
Galaxy CLO Ltd. (Cayman Islands) | ||
Series 2015-21A, Class AR, 6.70%, 4/20/2031 (a) (k) | 297,901 | 297,564 |
Series 2016-22A, Class ARR, 6.86%, 4/16/2034 (a) (k) | 2,200,000 | 2,197,360 |
GLS Auto Receivables Issuer Trust | ||
Series 2023-1A, Class A2, 5.98%, 8/17/2026 (a) | 394,149 | 393,896 |
Series 2023-1A, Class B, 6.19%, 6/15/2027 (a) | 484,000 | 482,612 |
Series 2021-1A, Class E, 3.14%, 1/18/2028 (a) | 650,000 | 615,034 |
Series 2022-1A, Class D, 3.97%, 1/18/2028 (a) | 250,000 | 237,006 |
Series 2022-2A, Class D, 6.15%, 4/17/2028 (a) | 420,000 | 412,976 |
Series 2021-3A, Class E, 3.20%, 10/16/2028 (a) | 2,300,000 | 2,109,918 |
Series 2023-1A, Class C, 6.38%, 12/15/2028 (a) | 203,000 | 202,431 |
Series 2023-1A, Class D, 7.01%, 1/16/2029 (a) | 652,000 | 653,926 |
Series 2022-2A, Class E, 5.50%, 6/15/2029 (a) | 2,500,000 | 2,269,967 |
Goldentree Loan Management US CLO Ltd. (Cayman Islands) Series 2017-2A, Class AR, 6.59%, 11/20/2030 (a) (k) | 1,283,035 | 1,279,550 |
GoldenTree Loan Opportunities Ltd. Series 2015-10A, Class AR, 6.80%, 7/20/2031 (a) (k) | 250,000 | 249,863 |
Goldman Home Improvement Trust Issuer Trust Series 2022-GRN1, Class A, 4.50%, 6/25/2052 (a) | 207,239 | 199,385 |
Greenwood Park CLO Ltd. Series 2018-1A, Class A2, 6.67%, 4/15/2031 (a) (k) | 300,595 | 299,893 |
Hertz Vehicle Financing LLC | ||
Series 2022-3A, Class B, 3.86%, 3/25/2025 (a) | 333,333 | 331,880 |
Series 2022-4A, Class D, 6.56%, 9/25/2026 (a) | 300,000 | 286,524 |
Series 2023-1A, Class A, 5.49%, 6/25/2027 (a) | 400,000 | 395,157 |
Series 2023-1A, Class C, 6.91%, 6/25/2027 (a) | 292,000 | 289,177 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2023-3A, Class A, 5.94%, 2/25/2028 (a) | 595,000 | 595,222 |
Series 2023-3A, Class D, 9.43%, 2/25/2028 (a) | 1,600,000 | 1,596,163 |
HGI CRE CLO Ltd. (Cayman Islands) Series 2022-FL3, Class E, 9.62%, 4/20/2037 (a) (k) | 195,500 | 188,210 |
Hilton Grand Vacations Trust Series 2022-1D, Class D, 6.79%, 6/20/2034 (a) | 247,556 | 235,303 |
HINNT LLC Series 2022-A, Class D, 6.50%, 5/15/2041 (a) | 439,016 | 415,521 |
LCM Ltd. (Cayman Islands) Series 26A, Class A1, 6.75%, 1/20/2031 (a) (k) | 464,623 | 464,128 |
LendingClub Loan Certificate Issuer Trust | ||
Series 2022-NP1, Class CERT, 0.00%, 3/16/2037 ‡ (a) | 50,000 | 521,611 |
Series 2022-P1, Class CERT, 0.00%, 3/16/2037 ‡ (a) | 50,000 | 473,372 |
Series 2022-P2, Class CERT, 0.00%, 4/15/2037 ‡ (a) | 50,000 | 519,821 |
Lendingpoint Asset Securitization Trust | ||
Series 2022-A, Class D, 4.54%, 6/15/2029 (a) | 2,250,000 | 1,860,455 |
Series 2022-B, Class A, 4.77%, 10/15/2029 (a) | 81,735 | 80,879 |
Series 2022-C, Class C, 8.68%, 2/15/2030 (a) | 200,000 | 197,169 |
Lendmark Funding Trust Series 2021-1A, Class D, 5.05%, 11/20/2031 (a) | 500,000 | 404,415 |
Madison Park Funding Ltd. (Cayman Islands) | ||
Series 2014-13A, Class AR2, 6.61%, 4/19/2030 (a) (k) | 258,872 | 258,374 |
Series 2018-32A, Class A1R, 6.67%, 1/22/2031 (a) (k) | 500,000 | 498,692 |
Series 2017-23A, Class AR, 6.62%, 7/27/2031 (a) (k) | 1,212,953 | 1,208,257 |
Series 2019-34A, Class AR, 6.76%, 4/25/2032 (a) (k) | 530,000 | 529,147 |
Series 2019-33A, Class AR, 6.68%, 10/15/2032 (a) (k) | 1,500,000 | 1,496,682 |
Series 2019-37A, Class AR, 6.73%, 7/15/2033 (a) (k) | 1,150,000 | 1,145,674 |
Magnetite Ltd. (Cayman Islands) | ||
Series 2012-7A, Class A1R2, 6.46%, 1/15/2028 (a) (k) | 283,314 | 282,529 |
Series 2019-22A, Class AR, 6.72%, 4/15/2031 (a) (k) | 1,000,000 | 998,345 |
Series 2015-15A, Class AR, 6.65%, 7/25/2031 (a) (k) | 397,752 | 397,531 |
Series 2015-12A, Class ARR, 6.76%, 10/15/2031 (a) (k) | 700,000 | 699,399 |
Mariner Finance Issuance Trust Series 2023-AA, Class E, 11.12%, 10/22/2035 (a) | 500,000 | 496,727 |
Marlette Funding Trust | ||
Series 2023-1A, Class A, 6.07%, 4/15/2033 (a) | 346,299 | 345,544 |
Series 2023-1A, Class B, 6.50%, 4/15/2033 (a) | 700,000 | 698,422 |
Series 2023-1A, Class C, 7.20%, 4/15/2033 (a) | 350,000 | 351,785 |
Neuberger Berman CLO (Cayman Islands) Series 2013-15A, Class A1R2, 6.58%, 10/15/2029 (a) (k) | 236,979 | 236,094 |
Neuberger Berman CLO Ltd. (Cayman Islands) Series 2013-14A, Class AR2, 6.68%, 1/28/2030 (a) (k) | 665,442 | 665,078 |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) | ||
Series 2017-26A, Class AR, 6.58%, 10/18/2030 (a) (k) | 495,361 | 494,105 |
Series 2019-34A, Class A1R, 6.66%, 1/20/2035 (a) (k) | 1,950,000 | 1,941,556 |
New Residential Mortgage LLC Series 2020-FNT2, Class A, 5.44%, 7/25/2025 (a) | 490,979 | 475,005 |
New Residential Mortgage Loan Trust Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (a) | 168,000 | 144,224 |
NRZ Excess Spread-Collateralized Notes | ||
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a) | 281,931 | 259,308 |
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a) | 146,752 | 134,965 |
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (a) | 228,326 | 207,503 |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a) | 80,169 | 73,320 |
OCP CLO Ltd. (Cayman Islands) | ||
Series 2018-15A, Class A1, 6.78%, 7/20/2031 (a) (k) | 346,496 | 346,252 |
Series 2020-18A, Class AR, 6.77%, 7/20/2032 (a) (k) | 320,000 | 319,491 |
Series 2015-9A, Class A1R2, 6.64%, 1/15/2033 (a) (k) | 1,500,000 | 1,490,838 |
Octagon Investment Partners 35 Ltd. (Cayman Islands) Series 2018-1A, Class A1A, 6.74%, 1/20/2031 (a) (k) | 996,875 | 995,586 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Octagon Loan Funding Ltd. (Cayman Islands) Series 2014-1A, Class ARR, 6.81%, 11/18/2031 (a) (k) | 1,530,000 | 1,529,345 |
OHA Credit Partners Ltd. (Cayman Islands) Series 2012-7A, Class AR3, 6.70%, 2/20/2034 (a) (k) | 1,500,000 | 1,497,801 |
OnDeck Asset Securitization Trust IV LLC Series 2023-1A, Class A, 7.00%, 8/19/2030 (a) | 468,000 | 467,255 |
OneMain Financial Issuance Trust | ||
Series 2018-2A, Class A, 3.57%, 3/14/2033 (a) | 131,519 | 130,199 |
Series 2023-2A, Class A2, 6.82%, 9/15/2036 (a) (k) | 1,780,000 | 1,781,245 |
Oportun Issuance Trust | ||
Series 2022-2, Class A, 5.94%, 10/9/2029 (a) | 25,181 | 25,124 |
Series 2022-2, Class D, 11.34%, 10/9/2029 | 863,000 | 833,173 |
Series 2022-3, Class A, 7.45%, 1/8/2030 (a) | 261,413 | 261,517 |
Pagaya AI Debt Selection Trust Series 2021-3, Class C, 3.27%, 5/15/2029 (a) | 1,499,918 | 1,220,173 |
Palmer Square CLO Ltd. (Cayman Islands) | ||
Series 2014-1A, Class A1R2, 6.79%, 1/17/2031 (a) (k) | 908,492 | 908,128 |
Series 2018-2A, Class A1A, 6.76%, 7/16/2031 (a) (k) | 787,002 | 786,627 |
Series 2015-1A, Class A1A4, 6.76%, 5/21/2034 (a) (k) | 510,000 | 509,582 |
Palmer Square Loan Funding Ltd. (Cayman Islands) Series 2022-1A, Class A1, 6.44%, 4/15/2030 (a) (k) | 505,270 | 503,279 |
Planet Fitness Master Issuer LLC Series 2018-1A, Class A2II, 4.67%, 9/5/2048 (a) | 665,000 | 642,724 |
PMT Issuer Trust-FMSR | ||
Series 2021-FT1, Class A, 8.46%, 3/25/2026 (a) (k) | 2,600,000 | 2,554,249 |
Series 2022-FT1, Class A, 9.52%, 6/25/2027 (a) (k) | 1,200,000 | 1,202,999 |
PNMAC GMSR ISSUER TRUST Series 2022-GT1, Class A, 9.58%, 5/25/2027 (a) (k) | 343,000 | 343,008 |
Progress Residential Trust Series 2023-SFR1, Class E1, 6.15%, 3/17/2040 (a) | 736,000 | 690,392 |
PRPM LLC Series 2021-11, Class A2, 4.58%, 11/25/2026 (a) (j) | 1,000,000 | 953,781 |
RCO VI Mortgage LLC Series 2022-1, Class A1, 3.00%, 1/25/2027 (a) (j) | 114,355 | 109,206 |
Republic Finance Issuance Trust Series 2021-A, Class D, 5.23%, 12/22/2031 (a) | 800,000 | 665,753 |
Santander Bank Auto Credit-Linked Notes | ||
Series 2022-C, Class B, 6.45%, 12/15/2032 (a) | 214,345 | 214,250 |
Series 2022-C, Class C, 6.99%, 12/15/2032 (a) | 185,766 | 186,077 |
Series 2022-C, Class D, 8.20%, 12/15/2032 (a) | 171,477 | 172,687 |
Series 2022-C, Class E, 11.37%, 12/15/2032 (a) | 142,168 | 143,412 |
Santander Drive Auto Receivables Trust | ||
Series 2021-3, Class D, 1.33%, 9/15/2027 | 2,000,000 | 1,897,607 |
Series 2023-4, Class B, 5.77%, 12/15/2028 | 428,000 | 428,423 |
Series 2022-4, Class C, 5.00%, 11/15/2029 | 1,130,000 | 1,105,348 |
Series 2023-3, Class C, 5.77%, 11/15/2030 | 220,000 | 219,431 |
Series 2023-5, Class C, 6.43%, 2/18/2031 | 1,904,000 | 1,918,809 |
Series 2023-6, Class C, 6.40%, 3/17/2031 | 3,171,000 | 3,171,059 |
Series 2022-7, Class C, 6.69%, 3/17/2031 | 174,000 | 176,236 |
SBA Small Business Investment Cos. Series 2023-10A, Class 1, 5.17%, 3/10/2033 | 2,377,225 | 2,347,905 |
SoFi Consumer Loan Program Trust Series 2023-1S, Class A, 5.81%, 5/15/2031 (a) | 117,387 | 117,143 |
Symphony CLO Ltd. (Cayman Islands) | ||
Series 2018-19A, Class A, 6.62%, 4/16/2031 (a) (k) | 1,011,544 | 1,009,578 |
Series 2020-23A, Class AR, 6.68%, 1/15/2034 (a) (k) | 600,000 | 598,028 |
Theorem Funding Trust | ||
Series 2022-2A, Class B, 9.27%, 12/15/2028 (a) | 400,000 | 411,078 |
Series 2022-3A, Class A, 7.60%, 4/15/2029 (a) | 151,794 | 152,692 |
Tricon Residential Trust Series 2022-SFR1, Class E2, 5.74%, 4/17/2039 (a) | 101,000 | 93,280 |
United Airlines Pass-Through Trust | ||
Series 2016-2, Class B, 3.65%, 10/7/2025 | 29,167 | 27,323 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2016-1, Class B, 3.65%, 1/7/2026 | 26,447 | 24,694 |
Upstart Pass-Through Trust | ||
Series 2022-PT2, Class A, 18.32%, 2/20/2030 (a) (k) | 416,617 | 416,617 |
Series 2022-PT3, Class A, 19.85%, 4/20/2030 ‡ (a) (k) | 271,605 | 275,296 |
Upstart Securitization Trust | ||
Series 2021-2, Class C, 3.61%, 6/20/2031 (a) | 3,300,000 | 3,125,520 |
Series 2022-2, Class B, 6.10%, 5/20/2032 (a) | 250,000 | 247,506 |
Voya CLO Ltd. (Cayman Islands) Series 2020-2A, Class A1R, 6.82%, 7/19/2034 (a) (k) | 1,000,000 | 998,429 |
Westlake Automobile Receivables Trust | ||
Series 2022-2A, Class D, 5.48%, 9/15/2027 (a) | 432,000 | 424,508 |
Series 2023-1A, Class B, 5.41%, 1/18/2028 (a) | 375,000 | 371,362 |
Series 2021-3A, Class F, 4.25%, 6/15/2028 (a) | 2,000,000 | 1,753,443 |
Series 2023-1A, Class C, 5.74%, 8/15/2028 (a) | 405,000 | 398,878 |
Series 2023-3A, Class C, 6.02%, 9/15/2028 (a) | 920,000 | 911,341 |
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | 437,000 | 434,236 |
Series 2023-3A, Class D, 6.47%, 3/15/2029 (a) | 632,000 | 624,098 |
Total Asset-Backed Securities (Cost $162,092,098) | 161,107,084 | |
Commercial Mortgage-Backed Securities — 13.6% | ||
BANK | ||
Series 2022-BNK39, Class XA, IO, 0.53%, 2/15/2055 (k) | 8,060,318 | 214,118 |
Series 2019-BN20, Class D, 2.50%, 9/15/2062 (a) | 700,000 | 384,543 |
Series 2020-BN28, Class XA, IO, 1.88%, 3/15/2063 (k) | 4,130,496 | 366,714 |
Series 2020-BN26, Class E, 2.50%, 3/15/2063 (a) | 320,000 | 133,340 |
BBCMS Mortgage Trust | ||
Series 2021-C11, Class XB, IO, 1.08%, 9/15/2054 (k) | 4,500,000 | 279,098 |
Series 2023-C20, Class XA, IO, 1.07%, 7/15/2056 (k) | 13,294,229 | 724,597 |
Series 2023-C21, Class A5, 6.00%, 9/15/2056 (k) | 1,350,000 | 1,384,613 |
Benchmark Mortgage Trust | ||
Series 2021-B26, Class ASB, 2.26%, 6/15/2054 | 800,000 | 696,756 |
Series 2022-B33, Class A5, 3.46%, 3/15/2055 | 800,000 | 683,023 |
Series 2022-B36, Class A5, 4.47%, 7/15/2055 (k) | 800,000 | 729,350 |
Series 2022-B37, Class A5, 5.94%, 11/15/2055 (k) | 604,000 | 608,034 |
BHMS Series 2018-ATLS, Class A, 6.87%, 7/15/2035 (a) (k) | 2,580,000 | 2,549,706 |
BX Series 2021-MFM1, Class A, 6.14%, 1/15/2034 (a) (k) | 536,383 | 527,952 |
BX Commercial Mortgage Trust | ||
Series 2021-21M, Class A, 6.17%, 10/15/2036 (a) (k) | 337,457 | 330,150 |
Series 2021-VINO, Class A, 6.09%, 5/15/2038 (a) (k) | 272,098 | 266,970 |
Series 2021-ACNT, Class A, 6.29%, 11/15/2038 (a) (k) | 850,000 | 833,465 |
BX Trust Series 2022-LBA6, Class A, 6.32%, 1/15/2039 (a) (k) | 155,000 | 151,207 |
CD Mortgage Trust Series 2018-CD7, Class C, 5.00%, 8/15/2051 (k) | 580,000 | 463,709 |
Citigroup Commercial Mortgage Trust | ||
Series 2018-C5, Class XA, IO, 0.83%, 6/10/2051 (k) | 1,478,878 | 37,906 |
Series 2018-C6, Class XA, IO, 0.92%, 11/10/2051 (k) | 2,073,319 | 62,715 |
Series 2015-GC33, Class B, 4.73%, 9/10/2058 (k) | 65,000 | 50,410 |
Commercial Mortgage Trust | ||
Series 2015-CR22, Class D, 4.20%, 3/10/2048 (a) (k) | 500,000 | 389,125 |
Series 2015-PC1, Class B, 4.42%, 7/10/2050 (k) | 65,000 | 59,563 |
Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class A, 6.35%, 5/15/2036 (a) (k) | 588,536 | 587,209 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
FHLMC Series K-153, Class X1, IO, 0.60%, 12/25/2032 (k) | 16,499,830 | 565,570 |
FHLMC Multiclass Certificates | ||
Series 2020-RR12, Class X, IO, 2.10%, 10/27/2027 (k) | 2,000,000 | 127,345 |
Series 2020-RR06, Class AX, IO, 1.88%, 10/27/2028 (k) | 2,000,000 | 131,852 |
Series 2020-RR14, Class X, IO, 2.13%, 3/27/2034 (k) | 2,500,000 | 368,982 |
Series 2021-RR16, Class X, IO, 0.96%, 10/27/2034 (k) | 5,600,000 | 414,722 |
FHLMC, Multi-Family Structured Credit Risk | ||
Series 2023-MN7, Class M1, 8.93%, 9/25/2043 ‡ (a) (k) | 899,658 | 904,093 |
Series 2023-MN7, Class M2, 11.03%, 9/25/2043 ‡ (a) (k) | 750,000 | 753,752 |
Series 2023-MN7, Class B1, 14.18%, 9/25/2043 ‡ (a) (k) | 500,000 | 502,519 |
Series 2021-MN3, Class M2, 9.33%, 11/25/2051 (a) (k) | 4,700,000 | 4,305,603 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K038, Class X1, IO, 1.22%, 3/25/2024 (k) | 51,957,236 | 63,601 |
Series KC06, Class X1, IO, 1.01%, 6/25/2026 (k) | 5,557,027 | 57,492 |
Series K738, Class X1, IO, 1.62%, 1/25/2027 (k) | 14,812,671 | 552,495 |
Series K063, Class X3, IO, 2.15%, 2/25/2027 (k) | 11,342,000 | 672,443 |
Series K740, Class X1, IO, 0.83%, 9/25/2027 (k) | 15,733,864 | 374,005 |
Series K072, Class X1, IO, 0.49%, 12/25/2027 (k) | 15,323,223 | 198,089 |
Series K741, Class X1, IO, 0.65%, 12/25/2027 (k) | 1,441,191 | 26,835 |
Series K742, Class X1, IO, 0.87%, 3/25/2028 (k) | 2,763,389 | 60,609 |
Series K742, Class X3, IO, 2.68%, 4/25/2028 (k) | 5,000,000 | 457,385 |
Series K743, Class X1, IO, 1.02%, 5/25/2028 (k) | 1,649,536 | 56,633 |
Series K078, Class X1, IO, 0.22%, 6/25/2028 (k) | 62,454,268 | 313,396 |
Series K745, Class X1, IO, 0.77%, 8/25/2028 (k) | 15,928,327 | 413,495 |
Series K082, Class X1, IO, 0.15%, 9/25/2028 (k) | 197,048,140 | 533,133 |
Series K083, Class X1, IO, 0.18%, 9/25/2028 (k) | 132,773,201 | 470,163 |
Series K086, Class X1, IO, 0.39%, 11/25/2028 (k) | 51,318,281 | 589,247 |
Series K084, Class X3, IO, 2.31%, 11/25/2028 (k) | 751,485 | 70,430 |
Series K091, Class X1, IO, 0.71%, 3/25/2029 (k) | 8,804,195 | 223,508 |
Series K096, Class X3, IO, 2.11%, 7/25/2029 (k) | 8,380,000 | 764,341 |
Series K100, Class X1, IO, 0.77%, 9/25/2029 (k) | 54,778,110 | 1,707,450 |
Series K090, Class X3, IO, 2.39%, 10/25/2029 (k) | 5,000,000 | 527,663 |
Series K104, Class X1, IO, 1.25%, 1/25/2030 (k) | 9,306,171 | 496,999 |
Series K109, Class X1, IO, 1.70%, 4/25/2030 (k) | 5,941,499 | 461,168 |
Series K110, Class X1, IO, 1.81%, 4/25/2030 (k) | 8,843,451 | 718,445 |
Series K115, Class X1, IO, 1.43%, 6/25/2030 (k) | 7,960,400 | 535,423 |
Series K119, Class X1, IO, 1.02%, 9/25/2030 (k) | 7,339,663 | 355,985 |
Series K120, Class X1, IO, 1.13%, 10/25/2030 (k) | 21,735,545 | 1,164,814 |
Series K123, Class X1, IO, 0.86%, 12/25/2030 (k) | 18,406,273 | 764,188 |
Series K129, Class X3, IO, 3.27%, 5/25/2031 (k) | 8,000,000 | 1,429,780 |
Series K133, Class X1, IO, 0.44%, 9/25/2031 (k) | 7,467,808 | 164,979 |
Series K-1514, Class X1, IO, 0.70%, 10/25/2034 (k) | 1,187,166 | 51,459 |
Series Q012, Class X, IO, 4.09%, 9/25/2035 (k) | 406,627 | 71,733 |
Series K-1520, Class X1, IO, 0.58%, 2/25/2036 (k) | 412,472 | 15,513 |
Series K067, Class X3, IO, 2.19%, 9/25/2044 (k) | 15,000,000 | 1,037,078 |
Series K060, Class X3, IO, 1.96%, 12/25/2044 (k) | 11,950,000 | 594,362 |
Series K730, Class X3, IO, 2.10%, 2/25/2045 (k) | 25,000,000 | 544,655 |
Series K065, Class X3, IO, 2.26%, 7/25/2045 (k) | 8,509,531 | 567,784 |
Series K066, Class X3, IO, 2.24%, 8/25/2045 (k) | 25,000,000 | 1,741,633 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series K071, Class X3, IO, 2.08%, 11/25/2045 (k) | 8,700,000 | 608,903 |
Series K085, Class X3, IO, 2.39%, 12/25/2045 (k) | 1,850,000 | 171,935 |
Series K097, Class X3, IO, 2.09%, 9/25/2046 (k) | 3,000,000 | 275,984 |
Series K082, Class X3, IO, 2.29%, 10/25/2046 (k) | 10,000,000 | 918,684 |
Series K083, Class X3, IO, 2.37%, 11/25/2046 (k) | 621,062 | 58,428 |
Series K737, Class X3, IO, 1.83%, 1/25/2048 (k) | 11,779,376 | 551,149 |
Series K109, Class X3, IO, 3.50%, 5/25/2048 (k) | 3,400,000 | 580,982 |
Series K121, Class X3, IO, 2.87%, 11/25/2048 (k) | 5,000,000 | 740,493 |
Series K126, Class X3, IO, 2.72%, 1/25/2049 (k) | 2,950,000 | 424,770 |
Series K124, Class X3, IO, 2.71%, 2/25/2049 (k) | 5,000,000 | 702,828 |
Series K741, Class X3, IO, 2.53%, 3/25/2049 (k) | 13,766,615 | 1,103,467 |
Series K743, Class X3, IO, 3.06%, 6/25/2049 (k) | 13,000,000 | 1,385,232 |
FIVE Mortgage Trust Series 2023-V1, Class XA, IO, 1.04%, 2/10/2056 (k) | 5,683,075 | 165,568 |
FNMA ACES | ||
Series 2020-M3, Class X1, IO, 0.44%, 2/25/2030 (k) | 3,543,576 | 60,119 |
Series 2022-M2, Class X2, IO, 0.30%, 1/25/2032 (k) | 2,832,792 | 37,261 |
Series 2020-M31, Class AB, 0.50%, 10/25/2032 | 73,077 | 57,703 |
Series 2023-M8, Class A2, 4.47%, 3/25/2033 (k) | 1,500,000 | 1,434,774 |
FREMF Mortgage Trust | ||
Series 2017-KF31, Class B, 8.33%, 4/25/2024 (a) (k) | 145,324 | 144,637 |
Series 2017-KF38, Class B, 7.93%, 9/25/2024 (a) (k) | 828,828 | 813,685 |
Series 2018-KF45, Class B, 7.38%, 3/25/2025 (a) (k) | 675,023 | 649,564 |
Series 2018-KF47, Class B, 7.43%, 5/25/2025 (a) (k) | 243,085 | 236,428 |
Series 2018-KC02, Class B, 4.23%, 7/25/2025 (a) (k) | 25,000 | 23,590 |
Series 2018-KF53, Class B, 7.48%, 10/25/2025 (k) | 24,588 | 23,702 |
Series 2019-KF60, Class B, 7.78%, 2/25/2026 (a) (k) | 750,442 | 720,645 |
Series 2019-KF62, Class B, 7.48%, 4/25/2026 (a) (k) | 5,311 | 4,953 |
Series 2019-K735, Class B, 4.16%, 5/25/2026 (a) (k) | 150,000 | 143,370 |
Series 2019-KF72, Class B, 7.53%, 11/25/2026 (a) (k) | 730,796 | 685,384 |
Series 2017-KF40, Class B, 8.13%, 11/25/2027 (a) (k) | 943,700 | 871,959 |
Series 2018-KF43, Class B, 7.58%, 1/25/2028 (a) (k) | 21,473 | 20,287 |
Series 2018-KF50, Class B, 7.33%, 7/25/2028 (a) (k) | 3,383 | 3,018 |
Series 2018-KF54, Class B, 7.63%, 11/25/2028 (k) | 678,950 | 621,299 |
Series 2019-KF59, Class B, 7.78%, 2/25/2029 (a) (k) | 675,975 | 635,312 |
Series 2019-KW09, Class X2A, IO, 0.10%, 5/25/2029 (a) | 19,742,350 | 70,755 |
Series 2019-KW09, Class C, PO, 6/25/2029 ‡ (a) | 790,000 | 483,706 |
Series 2019-KW09, Class X2B, IO, 0.10%, 6/25/2029 (a) | 10,000,000 | 41,353 |
Series 2019-KF67, Class C, 11.43%, 8/25/2029 (a) (k) | 3,246,732 | 2,710,435 |
Series 2020-KF76, Class B, 8.18%, 1/25/2030 (a) (k) | 692,386 | 643,833 |
Series 2018-KW07, Class B, 4.22%, 10/25/2031 (a) (k) | 300,000 | 249,462 |
Series 2023-KF149, Class CS, 11.47%, 12/25/2032 (a) (k) | 499,894 | 510,154 |
Series 19K-1513, Class X2A, IO, 0.10%, 8/25/2034 (a) | 64,887,044 | 426,081 |
Series 2014-K38, Class B, 4.37%, 6/25/2047 (a) (k) | 335,000 | 331,571 |
Series 2015-K46, Class C, 3.82%, 4/25/2048 (a) (k) | 100,000 | 96,544 |
Series 2017-K724, Class D, PO, 12/25/2049 ‡ (a) | 500,000 | 496,681 |
Series 2017-K62, Class B, 4.01%, 1/25/2050 (a) (k) | 415,000 | 392,066 |
Series 2018-K730, Class B, 3.92%, 2/25/2050 (a) (k) | 200,000 | 194,114 |
Series 2019-K91, Class C, 4.40%, 4/25/2051 (a) (k) | 250,000 | 227,952 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
GNMA | ||
Series 2015-93, IO, 0.26%, 11/16/2054 (k) | 29,622,390 | 212,825 |
Series 2014-88, Class AJ, 2.99%, 3/16/2055 (k) | 1,078,148 | 917,014 |
Series 2015-33, IO, 0.25%, 2/16/2056 (k) | 47,961,712 | 387,742 |
Series 2017-53, IO, 0.53%, 11/16/2056 (k) | 4,392,495 | 133,797 |
Series 2023-127, IO, 0.43%, 7/16/2057 (k) | 48,868,357 | 794,062 |
Series 2017-158, IO, 0.45%, 9/16/2057 (k) | 3,512,226 | 89,429 |
Series 2018-45, IO, 0.54%, 3/16/2059 (k) | 12,658,707 | 409,785 |
Series 2023-108, IO, 0.70%, 8/16/2059 (k) | 13,175,140 | 458,017 |
Series 2019-109, IO, 0.80%, 4/16/2060 (k) | 5,658,679 | 305,357 |
Series 2020-184, IO, 0.91%, 11/16/2060 (k) | 9,346,837 | 563,100 |
Series 2021-17, IO, 1.05%, 1/16/2061 (k) | 13,424,369 | 978,410 |
Series 2021-90, IO, 0.83%, 5/16/2061 (k) | 17,958,839 | 1,078,509 |
Series 2021-147, IO, 0.99%, 6/16/2061 (k) | 7,770,728 | 535,266 |
Series 2019-154, IO, 0.58%, 9/16/2061 (k) | 7,279,194 | 292,759 |
Series 2021-218, IO, 0.96%, 10/16/2061 (k) | 331,367 | 22,978 |
Series 2020-110, IO, 0.98%, 3/16/2062 (k) | 19,140,529 | 1,267,413 |
Series 2020-120, IO, 0.76%, 5/16/2062 (k) | 5,947,983 | 333,070 |
Series 2020-100, IO, 0.78%, 5/16/2062 (k) | 5,730,101 | 324,328 |
Series 2020-91, Class IU, IO, 0.99%, 5/16/2062 (k) | 9,431,188 | 620,727 |
Series 2020-194, IO, 1.08%, 6/16/2062 (k) | 8,505,163 | 594,200 |
Series 2020-161, IO, 1.05%, 8/16/2062 (k) | 5,017,176 | 340,652 |
Series 2021-71, IO, 0.87%, 10/16/2062 (k) | 3,625,761 | 223,367 |
Series 2020-190, IO, 1.05%, 11/16/2062 (k) | 8,369,693 | 617,368 |
Series 2021-35, IO, 1.03%, 12/16/2062 (k) | 3,222,716 | 229,680 |
Series 2021-11, Class IX, IO, 1.16%, 12/16/2062 (k) | 6,449,181 | 502,738 |
Series 2021-40, IO, 0.82%, 2/16/2063 (k) | 3,152,247 | 190,967 |
Series 2021-120, IO, 0.99%, 2/16/2063 (k) | 6,484,503 | 451,025 |
Series 2021-62, Class SA, IF, IO, 3.37%, 2/16/2063 (k) | 3,290,640 | 186,843 |
Series 2021-106, IO, 0.86%, 4/16/2063 (k) | 4,998,716 | 325,340 |
Series 2021-151, IO, 0.92%, 4/16/2063 (k) | 8,009,770 | 538,042 |
Series 2021-60, IO, 0.83%, 5/16/2063 (k) | 2,254,447 | 132,600 |
Series 2021-126, IO, 0.85%, 5/16/2063 (k) | 9,800,224 | 624,354 |
Series 2021-22, IO, 0.98%, 5/16/2063 (k) | 7,933,225 | 538,636 |
Series 2021-10, IO, 0.99%, 5/16/2063 (k) | 4,950,302 | 340,331 |
Series 2021-170, IO, 0.99%, 5/16/2063 (k) | 12,078,543 | 858,321 |
Series 2021-141, Class SA, IF, IO, 3.65%, 6/16/2063 (k) | 1,730,961 | 71,679 |
Series 2021-133, IO, 0.88%, 7/16/2063 (k) | 9,052,855 | 593,086 |
Series 2021-61, IO, 1.04%, 8/16/2063 (k) | 1,393,624 | 96,005 |
Series 2023-15, Class AB, 4.00%, 8/16/2063 (k) | 742,891 | 684,469 |
Series 2023-179, IO, 0.61%, 9/16/2063 (h) (k) | 21,000,000 | 840,000 |
Series 2021-110, IO, 0.87%, 11/16/2063 (k) | 5,754,300 | 369,077 |
Series 2021-200, IO, 0.88%, 11/16/2063 (k) | 1,987,460 | 134,354 |
Series 2021-180, IO, 0.91%, 11/16/2063 (k) | 8,966,728 | 611,209 |
Series 2021-185, IO, 1.10%, 11/16/2063 (k) | 1,509,444 | 119,486 |
Series 2021-220, IO, 0.83%, 12/16/2063 (k) | 11,161,538 | 689,244 |
Series 2022-7, Class SA, IF, IO, 3.37%, 2/16/2064 (k) | 1,252,033 | 62,375 |
Series 2021-224, IO, 0.78%, 4/16/2064 (k) | 1,943,577 | 123,435 |
Series 2022-149, IO, 0.45%, 6/16/2064 (k) | 13,305,137 | 586,971 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series 2022-134, IO, 0.51%, 6/16/2064 (k) | 2,951,342 | 135,304 |
Series 2022-165, IO, 0.59%, 6/16/2064 (k) | 9,617,042 | 518,128 |
Series 2022-80, IO, 0.59%, 6/16/2064 (k) | 1,167,477 | 56,669 |
Series 2022-62, IO, 0.62%, 6/16/2064 (k) | 1,949,874 | 101,339 |
Series 2022-52, IO, 0.77%, 6/16/2064 (k) | 9,746,028 | 547,120 |
Series 2022-141, IO, 0.78%, 6/16/2064 (k) | 2,966,077 | 205,625 |
Series 2022-210, IO, 0.70%, 7/16/2064 (k) | 2,177,357 | 137,739 |
Series 2022-199, IO, 0.76%, 7/16/2064 (k) | 3,957,529 | 254,128 |
Series 2023-15, IO, 0.92%, 8/16/2064 (k) | 1,785,750 | 132,562 |
Series 2023-36, IO, 0.94%, 10/16/2064 (k) | 5,647,191 | 390,529 |
Series 2023-26, IO, 0.97%, 4/16/2065 (k) | 4,966,447 | 352,384 |
Series 2023-51, IO, 1.12%, 5/16/2065 (k) | 11,606,252 | 977,928 |
Series 2023-126, IO, 0.88%, 7/16/2065 (k) | 8,171,626 | 603,063 |
Series 2023-46, 1.16%, 7/16/2065 (k) | 4,500,000 | 367,009 |
GS Mortgage Securities Trust | ||
Series 2016-GS2, Class D, 2.75%, 5/10/2049 (a) | 750,000 | 581,108 |
Series 2019-GC40, Class E, 3.00%, 7/10/2052 (a) | 800,000 | 382,497 |
ILPT Commercial Mortgage Trust | ||
Series 2022-LPF2, Class A, 7.57%, 10/15/2039 (a) (k) | 104,962 | 103,966 |
Series 2022-LPF2, Class E, 11.26%, 10/15/2039 (a) (k) | 240,000 | 226,569 |
JPMBB Commercial Mortgage Securities Trust | ||
Series 2015-C30, Class C, 4.37%, 7/15/2048 (k) | 2,550,000 | 1,824,622 |
Series 2015-C31, Class B, 4.78%, 8/15/2048 (k) | 3,790,000 | 3,098,381 |
Series 2015-C33, Class C, 4.79%, 12/15/2048 (k) | 150,000 | 123,134 |
JPMCC Commercial Mortgage Securities Trust | ||
Series 2017-JP5, Class C, 3.90%, 3/15/2050 (k) | 1,050,000 | 785,677 |
Series 2017-JP5, Class B, 4.08%, 3/15/2050 (k) | 850,000 | 729,502 |
JPMorgan Chase Commercial Mortgage Securities Trust | ||
Series 2013-C16, Class D, 5.04%, 12/15/2046 (a) (k) | 1,500,000 | 1,275,000 |
Series 2016-JP3, Class C, 3.56%, 8/15/2049 (k) | 2,200,000 | 1,506,604 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2014-C15, Class D, 5.20%, 4/15/2047 (a) (k) | 1,337,000 | 1,275,584 |
Series 2014-C16, Class AS, 4.09%, 6/15/2047 | 600,000 | 587,143 |
Series 2014-C18, Class B, 4.58%, 10/15/2047 (k) | 100,000 | 96,001 |
Series 2016-C31, Class C, 4.40%, 11/15/2049 (k) | 100,000 | 75,423 |
Series 2015-C23, Class B, 4.28%, 7/15/2050 (k) | 900,000 | 832,244 |
Morgan Stanley Capital I Trust Series 2020-L4, Class D, 2.50%, 2/15/2053 (a) | 500,000 | 245,361 |
MRCD MARK Mortgage Trust Series 2019-PARK, Class E, 2.72%, 12/15/2036 (a) | 400,000 | 229,920 |
MSC Trust Series 2021-ILP, Class A, 6.22%, 11/15/2036 (a) (k) | 239,209 | 233,204 |
Multi-Family Connecticut Avenue Securities Trust | ||
Series 2019-01, Class M10, 8.69%, 10/25/2049 (a) (k) | 4,883,640 | 4,658,772 |
Series 2020-01, Class M10, 9.19%, 3/25/2050 (a) (k) | 5,186,508 | 4,956,361 |
Series 2023-01, Class M7, 9.33%, 11/25/2053 (a) (k) | 2,500,000 | 2,518,734 |
Series 2023-01, Class M10, 11.83%, 11/25/2053 (a) (k) | 825,000 | 834,265 |
TPGI Trust Series 2021-DGWD, Class A, 6.14%, 6/15/2026 (a) (k) | 94,293 | 92,664 |
Velocity Commercial Capital Loan Trust | ||
Series 2018-1, Class A, 3.59%, 4/25/2048 (a) | 146,335 | 137,372 |
Series 2022-3, Class A, 5.22%, 6/25/2052 (a) (k) | 250,031 | 236,977 |
Series 2022-4, Class A, 5.63%, 8/25/2052 (a) (k) | 520,072 | 495,386 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Wells Fargo Commercial Mortgage Trust | ||
Series 2018-C44, Class D, 3.00%, 5/15/2051 (a) | 250,000 | 148,285 |
Series 2022-C62, Class C, 4.50%, 4/15/2055 (k) | 100,000 | 71,350 |
WFRBS Commercial Mortgage Trust | ||
Series 2014-C22, Class C, 3.90%, 9/15/2057 (k) | 100,000 | 70,472 |
Series 2014-C22, Class B, 4.37%, 9/15/2057 (k) | 100,000 | 84,627 |
Total Commercial Mortgage-Backed Securities (Cost $120,289,239) | 115,885,116 | |
Collateralized Mortgage Obligations — 6.7% | ||
Angel Oak Mortgage Trust I LLC Series 2019-4, Class B2, 5.66%, 7/26/2049 (a) (k) | 800,000 | 716,158 |
CHL Mortgage Pass-Through Trust Series 2006-OA5, Class 2A1, 5.86%, 4/25/2046 (k) | 148,261 | 120,440 |
COLT Mortgage Loan Trust Series 2023-2, Class A1, 6.60%, 7/25/2068 (a) (j) | 378,361 | 378,454 |
Connecticut Avenue Securities Trust | ||
Series 2019-R01, Class 2B1, 9.79%, 7/25/2031 (a) (k) | 1,500,000 | 1,605,188 |
Series 2019-R04, Class 2B1, 10.69%, 6/25/2039 (a) (k) | 693,574 | 738,606 |
Series 2019-R07, Class 1B1, 8.84%, 10/25/2039 (a) (k) | 670,000 | 681,467 |
Series 2020-R01, Class 1B1, 8.69%, 1/25/2040 (a) (k) | 1,500,000 | 1,516,693 |
Series 2022-R06, Class 1M2, 9.18%, 5/25/2042 (a) (k) | 1,100,000 | 1,155,052 |
Series 2023-R01, Class 1M1, 7.73%, 12/25/2042 (a) (k) | 2,649,447 | 2,694,104 |
Series 2023-R02, Class 1M1, 7.63%, 1/25/2043 (a) (k) | 279,352 | 283,508 |
Series 2023-R02, Class 1M2, 8.68%, 1/25/2043 (a) (k) | 550,000 | 570,826 |
Series 2023-R02, Class 1B1, 10.88%, 1/25/2043 (a) (k) | 350,000 | 374,351 |
Series 2023-R04, Class 1M1, 7.63%, 5/25/2043 (a) (k) | 1,085,426 | 1,101,934 |
Series 2023-R04, Class 1M2, 8.88%, 5/25/2043 (a) (k) | 500,000 | 521,737 |
Series 2023-R06, Class 1M2, 8.03%, 7/25/2043 (a) (k) | 680,000 | 687,479 |
Series 2023-R07, Class 2M2, 8.58%, 9/25/2043 (a) (k) | 1,500,000 | 1,541,615 |
Deephaven Residential Mortgage Trust Series 2022-2, Class A1, 4.30%, 3/25/2067 (a) (k) | 115,128 | 106,777 |
FHLMC STACR REMIC Trust | ||
Series 2021-HQA1, Class M2, 7.58%, 8/25/2033 (a) (k) | 1,791,928 | 1,787,374 |
Series 2022-DNA3, Class M1B, 8.23%, 4/25/2042 (a) (k) | 500,000 | 510,705 |
Series 2023-DNA1, Class M1A, 7.43%, 3/25/2043 (a) (k) | 530,905 | 538,844 |
FHLMC Stacr Trust Series 2019-HQA1, Class B1, 9.84%, 2/25/2049 (a) (k) | 750,000 | 809,029 |
FHLMC Structured Agency Credit Risk Debt Notes | ||
Series 2017-DNA2, Class B1, 10.59%, 10/25/2029 (k) | 250,000 | 273,112 |
Series 2017-DNA3, Class B1, 9.89%, 3/25/2030 (k) | 1,550,000 | 1,670,071 |
Series 2023-DNA2, Class M1A, 7.43%, 4/25/2043 (a) (k) | 1,152,774 | 1,166,732 |
FHLMC, REMIC Series 5164, Class J, 2.50%, 5/25/2049 | 1,339,399 | 1,128,184 |
Fhms Frn, 0.00%, 4/25/2035 (h) | 18,000,000 | 4,069,688 |
FNMA, Connecticut Avenue Securities | ||
Series 2017-C01, Class 1B1, 11.19%, 7/25/2029 (k) | 2,400,000 | 2,711,801 |
Series 2017-C02, Class 2B1, 10.94%, 9/25/2029 (k) | 2,120,000 | 2,370,945 |
Series 2017-C03, Class 1B1, 10.29%, 10/25/2029 (k) | 780,000 | 850,161 |
Series 2017-C05, Class 1B1, 9.04%, 1/25/2030 (k) | 1,090,558 | 1,147,784 |
Series 2017-C06, Class 1B1, 9.59%, 2/25/2030 (k) | 450,000 | 480,361 |
Series 2017-C07, Class 1B1, 9.44%, 5/25/2030 (k) | 790,000 | 857,024 |
Series 2018-C01, Class 1B1, 8.99%, 7/25/2030 (k) | 1,346,000 | 1,441,705 |
Series 2018-C03, Class 1B1, 9.19%, 10/25/2030 (k) | 3,647,000 | 3,928,757 |
Series 2021-R02, Class 2B1, 8.63%, 11/25/2041 (a) (k) | 64,000 | 64,119 |
Series 2021-R02, Class 2B2, 11.53%, 11/25/2041 (a) (k) | 26,000 | 26,606 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
FNMA, REMIC Series 2021-86, Class T, 2.50%, 9/25/2048 | 1,195,982 | 1,013,901 |
FWD Securitization Trust Series 2020-INV1, Class A1, 2.24%, 1/25/2050 (a) (k) | 462,326 | 414,983 |
GNMA | ||
Series 2014-181, Class SL, IF, IO, 0.15%, 12/20/2044 (k) | 491,886 | 42,345 |
Series 2021-78, Class IB, IO, 3.00%, 5/20/2051 | 943,647 | 151,397 |
Series 2021-107, Class XI, IO, 3.00%, 6/20/2051 | 1,423,817 | 195,952 |
Series 2021-117, Class ES, IF, IO, 0.85%, 7/20/2051 (k) | 1,657,619 | 207,416 |
Series 2021-142, Class XI, IO, 3.00%, 8/20/2051 | 147,628 | 23,093 |
Series 2021-188, Class IJ, IO, 3.00%, 10/20/2051 | 2,963,348 | 420,847 |
LHOME Mortgage Trust | ||
Series 2023-RTL1, Class A1, 7.87%, 1/25/2028 (a) (j) | 1,160,000 | 1,152,386 |
Series 2023-RTL2, Class A1, 8.00%, 6/25/2028 (a) (j) | 500,000 | 498,812 |
Series 2023-RTL3, Class A1, 8.00%, 8/25/2028 (a) (j) | 1,550,000 | 1,544,455 |
MFA Trust | ||
Series 2022-RTL1, Class A1, 5.07%, 4/26/2027 (a) (j) | 3,870,000 | 3,754,179 |
Series 2023-RTL1, Class A1, 7.58%, 8/25/2027 (a) (j) | 260,000 | 256,968 |
Series 2021-NQM1, Class A1, 1.15%, 4/25/2065 (a) (k) | 123,190 | 108,639 |
New Residential Mortgage Loan Trust | ||
Series 2018-3A, Class A1C, 3.00%, 5/25/2058 (a) (k) | 267,781 | 240,781 |
Series 2019-NQM5, Class A1, 2.71%, 11/25/2059 (a) (k) | 188,906 | 169,248 |
OBX Trust | ||
Series 2023-NQM3, Class A1, 5.95%, 2/25/2063 (a) (j) | 614,168 | 608,739 |
Series 2023-NQM7, Class A1, 6.84%, 4/25/2063 (a) (j) | 764,086 | 770,328 |
Series 2023-NQM6, Class A1, 6.52%, 7/25/2063 (a) (j) | 374,564 | 375,303 |
PNMAC GMSR Issuer Trust Series 2018-GT2, Class A, 8.86%, 8/25/2025 (a) (k) | 280,000 | 280,084 |
PRPM LLC Series 2020-6, Class A1, 5.36%, 11/25/2025 (a) (j) | 636,065 | 624,711 |
STACR Trust | ||
Series 2018-HRP2, Class B1, 9.64%, 2/25/2047 (a) (k) | 600,000 | 653,901 |
Series 2018-DNA3, Class B1, 9.34%, 9/25/2048 (a) (k) | 300,000 | 320,813 |
Starwood Mortgage Residential Trust Series 2020-INV1, Class B2, 4.26%, 11/25/2055 (a) | 250,000 | 185,105 |
Verus Securitization Trust | ||
Series 2023-1, Class A1, 5.85%, 12/25/2067 (a) (j) | 787,945 | 778,961 |
Series 2023-2, Class A1, 6.19%, 3/25/2068 (a) (j) | 617,235 | 613,713 |
Series 2023-4, Class A1, 5.81%, 5/25/2068 (a) (j) | 911,015 | 900,618 |
VM Master Issuer LLC Series 2022-1, Class B, 6.88%, 5/24/2025 ‡ (a) (k) | 500,000 | 450,814 |
Total Collateralized Mortgage Obligations (Cost $56,746,421) | 57,385,883 | |
Foreign Government Securities — 3.1% | ||
Dominican Republic Government Bond | ||
5.50%, 2/22/2029 (f) | 350,000 | 330,487 |
7.05%, 2/3/2031 (a) | 510,000 | 512,596 |
7.05%, 2/3/2031 (f) | 500,000 | 502,545 |
6.00%, 2/22/2033 (a) | 150,000 | 139,748 |
6.00%, 2/22/2033 (f) | 500,000 | 465,825 |
6.40%, 6/5/2049 (f) | 750,000 | 657,375 |
5.88%, 1/30/2060 (f) | 150,000 | 120,102 |
Federal Republic of Nigeria | ||
7.63%, 11/21/2025 (f) | 600,000 | 585,000 |
6.50%, 11/28/2027 (f) | 800,000 | 708,000 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
6.13%, 9/28/2028 (f) | 200,000 | 169,500 |
7.88%, 2/16/2032 (f) | 500,000 | 421,875 |
7.38%, 9/28/2033 (f) | 400,000 | 316,750 |
8.25%, 9/28/2051 (a) | 200,000 | 150,750 |
Federative Republic of Brazil 3.75%, 9/12/2031 | 200,000 | 174,020 |
Gabonese Republic 6.95%, 6/16/2025 (f) | 800,000 | 734,000 |
Hashemite Kingdom of Jordan | ||
4.95%, 7/7/2025 (f) | 600,000 | 580,500 |
5.85%, 7/7/2030 (f) | 400,000 | 363,500 |
7.38%, 10/10/2047 (f) | 400,000 | 346,000 |
Islamic Republic of Pakistan | ||
8.25%, 4/15/2024 (f) | 400,000 | 375,444 |
6.00%, 4/8/2026 (f) | 400,000 | 274,044 |
Istanbul Metropolitan Municipality 10.50%, 12/6/2028 (a) | 267,000 | 269,083 |
Kingdom of Bahrain | ||
7.38%, 5/14/2030 (f) | 200,000 | 204,000 |
5.45%, 9/16/2032 (f) | 200,000 | 177,500 |
7.50%, 9/20/2047 (f) | 200,000 | 182,000 |
Kingdom of Morocco 6.50%, 9/8/2033 (f) | 400,000 | 404,500 |
Magyar Export-Import Bank Zrt. 6.13%, 12/4/2027 (a) | 200,000 | 198,500 |
Republic of Angola | ||
9.50%, 11/12/2025 (f) | 400,000 | 389,250 |
8.25%, 5/9/2028 (f) | 600,000 | 531,000 |
8.00%, 11/26/2029 (f) | 400,000 | 334,500 |
8.75%, 4/14/2032 (a) | 200,000 | 166,688 |
9.13%, 11/26/2049 (f) | 200,000 | 151,000 |
Republic of Armenia 3.60%, 2/2/2031 (f) | 400,000 | 311,600 |
Republic of Colombia | ||
4.50%, 3/15/2029 | 200,000 | 179,000 |
3.00%, 1/30/2030 | 200,000 | 160,100 |
8.75%, 11/14/2053 | 379,000 | 401,740 |
Republic of Costa Rica | ||
6.13%, 2/19/2031 (f) | 200,000 | 199,300 |
6.55%, 4/3/2034 (a) | 920,000 | 924,760 |
7.00%, 4/4/2044 (f) | 400,000 | 399,200 |
7.30%, 11/13/2054 (a) | 565,000 | 575,170 |
Republic of Cote d'Ivoire | ||
6.38%, 3/3/2028 (f) | 1,400,000 | 1,344,700 |
5.75%, 12/31/2032 (f) (j) | 283,473 | 261,311 |
6.13%, 6/15/2033 (f) | 600,000 | 529,500 |
Republic of El Salvador | ||
6.38%, 1/18/2027 (f) | 450,000 | 379,345 |
8.63%, 2/28/2029 (f) | 200,000 | 169,936 |
7.12%, 1/20/2050 (f) | 350,000 | 233,467 |
Republic of Ghana | ||
6.38%, 2/11/2027 (f) (i) | 200,000 | 87,750 |
8.75%, 3/11/2061 (f) (i) | 200,000 | 85,000 |
Republic of Guatemala 6.60%, 6/13/2036 (a) | 400,000 | 385,448 |
Republic of Honduras 6.25%, 1/19/2027 (f) | 350,000 | 328,475 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Republic of Iraq 5.80%, 1/15/2028 (f) | 1,096,875 | 1,007,754 |
Republic of Kenya | ||
7.00%, 5/22/2027 (f) | 400,000 | 361,000 |
8.00%, 5/22/2032 (f) | 200,000 | 168,500 |
Republic of Namibia 5.25%, 10/29/2025 (f) | 200,000 | 194,500 |
Republic of Panama 6.40%, 2/14/2035 | 200,000 | 187,030 |
Republic of Paraguay | ||
5.85%, 8/21/2033 (a) | 200,000 | 193,344 |
6.10%, 8/11/2044 (f) | 400,000 | 365,292 |
5.40%, 3/30/2050 (a) | 200,000 | 163,498 |
Republic of Rwanda 5.50%, 8/9/2031 (a) | 200,000 | 155,000 |
Republic of Senegal | ||
6.25%, 5/23/2033 (f) | 1,000,000 | 828,750 |
6.75%, 3/13/2048 (f) | 400,000 | 281,000 |
Republic of Serbia 6.50%, 9/26/2033 (a) | 200,000 | 197,250 |
Republic of South Africa | ||
4.30%, 10/12/2028 | 500,000 | 450,000 |
5.88%, 4/20/2032 | 200,000 | 179,390 |
6.25%, 3/8/2041 | 100,000 | 81,750 |
Republic of Turkey | ||
9.38%, 3/14/2029 | 200,000 | 211,750 |
9.38%, 1/19/2033 | 200,000 | 212,500 |
Republic of Turkiye (The) 9.88%, 1/15/2028 | 300,000 | 322,125 |
Republic of Uzbekistan 5.38%, 2/20/2029 (f) | 200,000 | 182,800 |
Republic of Uzbekistan International Bond 7.85%, 10/12/2028 (a) | 200,000 | 202,700 |
Romania Government Bond 6.63%, 2/17/2028 (f) | 200,000 | 203,750 |
State of Mongolia | ||
3.50%, 7/7/2027 (f) | 200,000 | 174,522 |
4.45%, 7/7/2031 (f) | 200,000 | 161,022 |
Sultanate of Oman Government Bond | ||
6.25%, 1/25/2031 (f) | 600,000 | 614,475 |
6.50%, 3/8/2047 (f) | 400,000 | 383,000 |
6.75%, 1/17/2048 (f) | 200,000 | 194,440 |
Tunisian Republic 5.75%, 1/30/2025 (f) | 200,000 | 158,250 |
Turkiye Ihracat Kredi Bankasi A/S | ||
9.38%, 1/31/2026 (a) | 400,000 | 410,750 |
9.00%, 1/28/2027 (a) | 400,000 | 407,375 |
Total Foreign Government Securities (Cost $27,063,882) | 26,545,401 | |
Municipal Bonds — 0.1% (a) (k) (l) | ||
California — 0.1% | ||
California Infrastructure & Economic Development Bank Series 2020A-3, Rev., AMT, 8.00%, 8/15/2024 (Cost $600,000) | 600,000 | 607,646 |
Convertible Bonds — 0.0% ^ | ||
Media — 0.0% ^ | ||
DISH Network Corp. 2.38%, 3/15/2024 (Cost $150,000) | 150,000 | 143,340 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | SHARES | VALUE($) |
Short-Term Investments — 0.3% | ||
Investment Companies — 0.3% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.48% (m) (n) (Cost $2,657,620) | 2,656,419 | 2,657,748 |
Total Investments — 103.1% (Cost $889,089,923) | 881,850,404 | |
Liabilities in Excess of Other Assets — (3.1)% | (26,626,803 ) | |
NET ASSETS — 100.0% | 855,223,601 |
Percentages indicated are based on net assets. |
Abbreviations | |
ABS | Asset-Backed Securities |
ACES | Alternative Credit Enhancement Securities |
AMT | Alternative Minimum Tax |
CIFC | Commercial Industrial Finance Corp. |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
FRN | Floating Rate Note |
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. |
JSC | Joint Stock Company |
PIK | Payment In Kind |
PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
Rev. | Revenue |
SCA | Limited partnership with share capital |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced; Security is subject to delayed delivery. |
UMBS | Uniform Mortgage-Backed Securities |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(b) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(c) | Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at November 30, 2023 is $2,820,511 or 0.33% of the Fund’s net assets as of November 30, 2023. | |
(d) | Security is an interest bearing note with preferred security characteristics. | |
(e) | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of November 30, 2023. | |
(f) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(g) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2023. |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
(h) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(i) | Defaulted security. | |
(j) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of November 30, 2023. | |
(k) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2023. | |
(l) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(m) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(n) | The rate shown is the current yield as of November 30, 2023. |
TBA Short Commitments
SECURITY DESCRIPTION | PRINCIPAL AMOUNT($) | VALUE($) |
FNMA / FHLMC UMBS, Single Family, 30 Year TBA, 4.00%, 12/25/2053(a) | (22,600,000 ) | (20,523,184 ) |
(Proceeds received of $20,140,254) | (20,523,184 ) |
Abbreviations | |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
TBA | To Be Announced; Security is subject to delayed delivery. |
UMBS | Uniform Mortgage-Backed Securities |
(a) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
Futures contracts outstanding as of November 30, 2023:
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 10 Year Note | 116 | 03/19/2024 | USD | 12,747,313 | 67,591 |
U.S. Treasury 10 Year Ultra Note | 308 | 03/19/2024 | USD | 34,991,688 | 211,173 |
U.S. Treasury Ultra Bond | 10 | 03/19/2024 | USD | 1,231,250 | 17,698 |
U.S. Treasury 2 Year Note | 635 | 03/28/2024 | USD | 129,877,344 | 360,845 |
U.S. Treasury 5 Year Note | 1,687 | 03/28/2024 | USD | 180,390,384 | 687,938 |
1,345,245 | |||||
Short Contracts | |||||
U.S. Treasury 10 Year Ultra Note | (181 ) | 03/19/2024 | USD | (20,563,297 ) | (66,482 ) |
U.S. Treasury Long Bond | (187 ) | 03/19/2024 | USD | (21,808,875 ) | (163,324 ) |
U.S. Treasury Ultra Bond | (62 ) | 03/19/2024 | USD | (7,633,750 ) | (65,621 ) |
(295,427 ) | |||||
1,049,818 |
Abbreviations | |
USD | United States Dollar |
Forward foreign currency exchange contracts outstanding as of November 30, 2023:
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||
JPY | 1,075,270,972 | USD | 7,198,181 | BNP Paribas | 12/15/2023 | 67,289 |
JPY | 180,363,801 | USD | 1,208,209 | HSBC Bank, NA | 12/15/2023 | 10,487 |
Total unrealized appreciation | 77,776 | |||||
Net unrealized appreciation | 77,776 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
Abbreviations | |
JPY | Japanese Yen |
USD | United States Dollar |
Over-the-Counter ("OTC") Credit default swap contracts outstanding — buy protection (*) as of November 30, 2023:
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | COUNTERPARTY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
Bank of America Corp., 3.50%, 4/19/2026 | 1.00 | Quarterly | Morgan Stanley | 6/20/2028 | 0.78 | USD2,200,000 | 16,744 | (40,787 ) | (24,043 ) |
Bank of America Corp., 3.50%, 4/19/2026 | 1.00 | Quarterly | Morgan Stanley | 6/20/2028 | 0.78 | USD5,000,000 | 7,985 | (62,628 ) | (54,643 ) |
24,729 | (103,415 ) | (78,686 ) |
(*) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. | ||||||||
(a) | Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. | ||||||||
(b) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. | ||||||||
(c) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). | ||||||||
Abbreviations | |||||||||
USD | United States Dollar |
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.HY.41-V2 | 5.00 | Quarterly | 12/20/2028 | 4.03 | USD13,150,000 | (81,340 ) | (554,279 ) | |
CDX.NA.HY.41-V2 | 5.00 | Quarterly | 12/20/2028 | 4.03 | USD13,150,000 | (118,413 ) | (517,206 ) | |
CDX.NA.HY.41-V2 | 5.00 | Quarterly | 12/20/2028 | 4.03 | USD26,000,000 | (980,479 ) | (276,017 ) | (1,256,496 ) |
(1,180,232 ) | (1,347,502 ) | (2,527,734 ) |
(*) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. | ||||||||
(a) | Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. | ||||||||
(b) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. | ||||||||
(c) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
Abbreviations | |
CDX | Credit Default Swap Index |
USD | United States Dollar |
Centrally Cleared Credit default swap contracts outstanding — sell 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 ($) |
CDX.NA.HY.40-V2 | 5.00 | Quarterly | 6/20/2028 | 3.81 | USD1,800,000 | 8,874 | 87,380 | 96,254 |
(**) | The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an upfront premium from or to the protection buyer, and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. | ||||||||
(a) | Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract.Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. | ||||||||
(b) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. | ||||||||
(c) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
Abbreviations | |
CDX | Credit Default Swap Index |
USD | United States Dollar |
Summary of total OTC swap contracts outstanding as of November 30, 2023:
NET UPFRONT PAYMENTS (RECEIPTS) ($) | VALUE ($) | |
Liabilities | ||
OTC Credit default swap contracts outstanding - buy protection | 24,729 | (78,686 ) |
JPMorgan Income 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.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset value ("NAV") per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
See the 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 Income 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:
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $159,268,809 | $1,838,275 | $161,107,084 |
Collateralized Mortgage Obligations | — | 56,935,069 | 450,814 | 57,385,883 |
Commercial Mortgage-Backed Securities | — | 112,744,365 | 3,140,751 | 115,885,116 |
Convertible Bonds | — | 143,340 | — | 143,340 |
Corporate Bonds | ||||
Aerospace & Defense | — | 2,652,918 | — | 2,652,918 |
Automobile Components | — | 8,576,002 | — | 8,576,002 |
Banks | — | 10,058,757 | — | 10,058,757 |
Biotechnology | — | 353,360 | — | 353,360 |
Broadline Retail | — | 1,731,529 | — | 1,731,529 |
Building Products | — | 5,062,950 | — | 5,062,950 |
Capital Markets | — | 2,833,471 | — | 2,833,471 |
Chemicals | — | 9,065,238 | — | 9,065,238 |
Commercial Services & Supplies | — | 9,611,928 | — | 9,611,928 |
Communications Equipment | — | 1,880,914 | — | 1,880,914 |
Construction & Engineering | — | 1,417,886 | — | 1,417,886 |
Construction Materials | — | 154,059 | — | 154,059 |
Consumer Finance | — | 10,673,008 | — | 10,673,008 |
Consumer Staples Distribution & Retail | — | 7,322,122 | — | 7,322,122 |
Containers & Packaging | — | 8,299,690 | — | 8,299,690 |
Distributors | — | 188,415 | — | 188,415 |
Diversified Consumer Services | — | 1,033,237 | — | 1,033,237 |
Diversified REITs | — | 1,654,598 | — | 1,654,598 |
Diversified Telecommunication Services | — | 17,310,625 | 706,450 | 18,017,075 |
Electric Utilities | — | 7,232,251 | — | 7,232,251 |
Electrical Equipment | — | 795,269 | — | 795,269 |
Electronic Equipment, Instruments & Components | — | 2,481,165 | — | 2,481,165 |
Energy Equipment & Services | — | 1,260,201 | — | 1,260,201 |
Entertainment | — | 5,002,453 | — | 5,002,453 |
Financial Services | — | 3,179,207 | — | 3,179,207 |
Food Products | — | 4,615,876 | — | 4,615,876 |
Gas Utilities | — | 1,193,324 | — | 1,193,324 |
Ground Transportation | — | 6,545,306 | — | 6,545,306 |
Health Care Equipment & Supplies | — | 5,521,803 | — | 5,521,803 |
Health Care Providers & Services | — | 13,838,673 | — | 13,838,673 |
Health Care Technology | — | 726,010 | — | 726,010 |
Hotel & Resort REITs | — | 1,995,840 | — | 1,995,840 |
Hotels, Restaurants & Leisure | — | 17,433,572 | — | 17,433,572 |
Household Durables | — | 4,001,234 | — | 4,001,234 |
Household Products | — | 3,630,834 | — | 3,630,834 |
Independent Power and Renewable Electricity Producers | — | 682,915 | — | 682,915 |
IT Services | — | 1,480,678 | — | 1,480,678 |
Leisure Products | — | 696,471 | — | 696,471 |
Machinery | — | 1,535,780 | — | 1,535,780 |
Marine Transportation | — | 151,040 | — | 151,040 |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Media | $— | $32,166,073 | $— | $32,166,073 |
Metals & Mining | — | 3,549,142 | — | 3,549,142 |
Oil, Gas & Consumable Fuels | — | 36,140,087 | — | 36,140,087 |
Paper & Forest Products | — | 199,500 | — | 199,500 |
Passenger Airlines | — | 3,100,381 | — | 3,100,381 |
Personal Care Products | — | 2,512,088 | — | 2,512,088 |
Pharmaceuticals | — | 7,716,681 | — | 7,716,681 |
Professional Services | — | 151,500 | — | 151,500 |
Real Estate Management & Development | — | 239,618 | — | 239,618 |
Semiconductors & Semiconductor Equipment | — | 2,021,924 | — | 2,021,924 |
Software | — | 6,292,303 | — | 6,292,303 |
Specialized REITs | — | 1,130,561 | — | 1,130,561 |
Specialty Retail | — | 8,339,228 | — | 8,339,228 |
Technology Hardware, Storage & Peripherals | — | 690,839 | — | 690,839 |
Textiles, Apparel & Luxury Goods | — | 145,465 | — | 145,465 |
Tobacco | — | 297,367 | — | 297,367 |
Trading Companies & Distributors | — | 7,178,700 | — | 7,178,700 |
Wireless Telecommunication Services | — | 1,731,163 | — | 1,731,163 |
Total Corporate Bonds | — | 297,483,229 | 706,450 | 298,189,679 |
Foreign Government Securities | — | 26,545,401 | — | 26,545,401 |
Mortgage-Backed Securities | — | 219,328,507 | — | 219,328,507 |
Municipal Bonds | — | 607,646 | — | 607,646 |
Short-Term Investments | ||||
Investment Companies | 2,657,748 | — | — | 2,657,748 |
Total Investments in Securities | $2,657,748 | $873,056,366 | $6,136,290 | $881,850,404 |
Liabilities | ||||
TBA Short Commitment | $— | $(20,523,184 ) | $— | $(20,523,184 ) |
Total Liabilities in Securities Sold Short | $— | $(20,523,184 ) | $— | $(20,523,184 ) |
Appreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | $— | $77,776 | $— | $77,776 |
Futures Contracts | 1,345,245 | — | — | 1,345,245 |
Swaps | — | 87,380 | — | 87,380 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (295,427 ) | — | — | (295,427 ) |
Swaps | — | (1,450,917 ) | — | (1,450,917 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $1,049,818 | $(1,285,761 ) | $— | $(235,943 ) |
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: |
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
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 | |
Asset-Backed Securities | $3,524,503 | $— | $4,172 | $(243 ) | $— | $(1,015,641 ) | $— | $(674,516 ) | $1,838,275 |
Collateralized Mortgage Obligations | 1,620,029 | — | (4,087 ) | 1 | — | — | — | (1,165,129 ) | 450,814 |
Commercial Mortgage-Backed Securities | — | — | 27,412 | (79 ) | 2,202,949 | (342 ) | 910,809 | 2 | 3,140,751 |
Corporate Bonds | — | (98,861 ) | (78,935 ) | 22,134 | 486,113 | (195,837 ) | 571,838 | (2 ) | 706,450 |
Total | $5,144,532 | $(98,861 ) | $(51,438 ) | $21,813 | $2,689,062 | $(1,211,820 ) | $1,482,647 | $(1,839,645 ) | $6,136,290 |
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 $(51,438).
There were no significant transfers into or out of level 3 for the period ended November 30, 2023.
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 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) | |
$323,471 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 8.00% (6.81%) | |
Constant Default Rate | 0.00% - 12.00% (10.21%) | |||
Yield (Discount Rate of Cash Flows) | 7.25% - 7.78% (7.33%) | |||
Asset-Backed Securities | 323,471 | |||
450,814 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 15.68% (15.68%) | |
Collateralized Mortgage Obligations | 450,814 | |||
Total | $774,285 |
# | 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 $ 5,362,005. 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.
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
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) | $4,011,385 | $369,365,735 | $370,724,011 | $4,498 | $141 | $2,657,748 | 2,656,419 | $523,361 | $— |
(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.
Notes (1) — (3) 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
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
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). Forward Foreign Currency Exchange Contracts— The Fund is exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of the foreign currency.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss, upon settlement, when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty.
The Fund's forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions).
The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(3). 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.
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.
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.
JPMorgan Income ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
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.