JPMorgan Short Duration Core Plus 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 Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 36.2% | ||
Aerospace & Defense — 0.4% | ||
Bombardier, Inc. (Canada) | ||
7.88%, 4/15/2027 (a) | 41,000 | 41,030 |
6.00%, 2/15/2028 (a) | 49,000 | 46,190 |
RTX Corp. 5.75%, 11/8/2026 | 850,000 | 861,350 |
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a) | 29,000 | 31,357 |
TransDigm, Inc. 6.25%, 3/15/2026 (a) | 95,000 | 94,345 |
1,074,272 | ||
Automobile Components — 0.2% | ||
Adient Global Holdings Ltd. 7.00%, 4/15/2028 (a) | 50,000 | 50,803 |
Allison Transmission, Inc. 5.88%, 6/1/2029 (a) | 89,000 | 86,140 |
American Axle & Manufacturing, Inc. | ||
6.50%, 4/1/2027 | 68,000 | 65,597 |
6.88%, 7/1/2028 | 44,000 | 40,488 |
Clarios Global LP | ||
6.25%, 5/15/2026 (a) | 32,000 | 31,824 |
6.75%, 5/15/2028 (a) | 35,000 | 35,314 |
Dana, Inc. | ||
5.38%, 11/15/2027 | 62,000 | 58,855 |
4.50%, 2/15/2032 | 23,000 | 18,859 |
Goodyear Tire & Rubber Co. (The) 5.25%, 4/30/2031 | 112,000 | 98,374 |
Icahn Enterprises LP 5.25%, 5/15/2027 | 80,000 | 72,400 |
558,654 | ||
Automobiles — 0.1% | ||
Ford Motor Co. 9.63%, 4/22/2030 | 36,000 | 41,237 |
Hyundai Capital America 1.80%, 10/15/2025 (a) | 200,000 | 185,933 |
Volkswagen Group of America Finance LLC (Germany) 3.35%, 5/13/2025 (a) | 200,000 | 192,956 |
420,126 | ||
Banks — 16.7% | ||
ABN AMRO Bank NV (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.54%, 6/16/2027 (a) (b) | 400,000 | 356,398 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 6.34%, 9/18/2027 (a) (b) | 500,000 | 502,496 |
AIB Group plc (Ireland) | ||
(3-MONTH SOFR + 1.87%), 4.26%, 4/10/2025 (a) (b) | 645,000 | 639,443 |
(SOFR + 2.33%), 6.61%, 9/13/2029 (a) (b) | 750,000 | 764,460 |
ASB Bank Ltd. (New Zealand) 5.35%, 6/15/2026 (a) | 1,000,000 | 996,609 |
Banco Bilbao Vizcaya Argentaria SA (Spain) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.86%, 9/14/2026 (b) | 800,000 | 796,653 |
Banco Continental SAECA (Paraguay) 2.75%, 12/10/2025 (a) | 150,000 | 138,161 |
Banco Santander SA (Spain) | ||
2.75%, 5/28/2025 | 600,000 | 570,755 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (b) | 200,000 | 177,416 |
5.59%, 8/8/2028 | 800,000 | 794,543 |
6.61%, 11/7/2028 | 200,000 | 207,122 |
Bank of America Corp. | ||
(3-MONTH CME TERM SOFR + 0.90%), 2.02%, 2/13/2026 (b) | 585,000 | 557,162 |
(SOFR + 1.33%), 3.38%, 4/2/2026 (b) | 380,000 | 367,073 |
(SOFR + 0.96%), 1.73%, 7/22/2027 (b) | 230,000 | 207,617 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(SOFR + 1.05%), 2.55%, 2/4/2028 (b) | 345,000 | 314,304 |
(SOFR + 2.04%), 4.95%, 7/22/2028 (b) | 475,000 | 466,024 |
(SOFR + 1.99%), 6.20%, 11/10/2028 (b) | 400,000 | 409,010 |
(SOFR + 1.63%), 5.20%, 4/25/2029 (b) | 870,000 | 856,661 |
Bank of Ireland Group plc (Ireland) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, 9/16/2026 (a) (b) | 335,000 | 335,056 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (a) (b) | 245,000 | 218,753 |
Bank of Montreal (Canada) 5.20%, 2/1/2028 | 585,000 | 582,698 |
Bank of Nova Scotia (The) (Canada) | ||
5.35%, 12/7/2026 | 720,000 | 718,079 |
5.25%, 6/12/2028 | 500,000 | 496,961 |
Banque Federative du Credit Mutuel SA (France) | ||
5.90%, 7/13/2026 (a) | 500,000 | 503,145 |
4.75%, 7/13/2027 (a) | 530,000 | 515,606 |
5.79%, 7/13/2028 (a) | 750,000 | 757,623 |
Barclays plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.28%, 11/24/2027 (b) | 820,000 | 735,194 |
BNP Paribas SA (France) | ||
(SOFR + 2.07%), 2.22%, 6/9/2026 (a) (b) | 795,000 | 751,653 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.34%, 6/12/2029 (a) (b) | 500,000 | 494,949 |
BPCE SA (France) | ||
5.15%, 7/21/2024 (a) | 285,000 | 282,076 |
(SOFR + 1.52%), 1.65%, 10/6/2026 (a) (b) | 750,000 | 688,358 |
(SOFR + 2.10%), 5.98%, 1/18/2027 (a) (b) | 500,000 | 497,642 |
4.75%, 7/19/2027 (a) | 500,000 | 482,220 |
(SOFR + 1.98%), 6.61%, 10/19/2027 (a) (b) | 525,000 | 531,715 |
CaixaBank SA (Spain) (SOFR + 2.08%), 6.68%, 9/13/2027 (a) (b) | 805,000 | 812,344 |
Canadian Imperial Bank of Commerce (Canada) 5.00%, 4/28/2028 | 505,000 | 495,952 |
Citigroup, Inc. | ||
(SOFR + 0.67%), 0.98%, 5/1/2025 (b) | 85,000 | 83,079 |
(SOFR + 0.69%), 2.01%, 1/25/2026 (b) | 455,000 | 433,626 |
(SOFR + 2.84%), 3.11%, 4/8/2026 (b) | 200,000 | 192,845 |
(SOFR + 1.55%), 5.61%, 9/29/2026 (b) | 1,750,000 | 1,747,928 |
(SOFR + 0.77%), 1.12%, 1/28/2027 (b) | 85,000 | 76,968 |
(3-MONTH CME TERM SOFR + 1.82%), 3.89%, 1/10/2028 (b) | 370,000 | 352,067 |
Series VAR, (SOFR + 1.28%), 3.07%, 2/24/2028 (b) | 500,000 | 463,522 |
Cooperatieve Rabobank UA (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (a) (b) | 535,000 | 500,363 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.56%, 2/28/2029 (a) (b) | 500,000 | 496,446 |
Credit Agricole SA (France) | ||
(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (b) | 765,000 | 718,210 |
5.59%, 7/5/2026 (a) | 1,825,000 | 1,833,397 |
Danske Bank A/S (Denmark) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.98%, 9/10/2025 (a) (b) | 805,000 | 773,592 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.18%), 6.26%, 9/22/2026 (a) (b) | 805,000 | 810,446 |
DNB Bank ASA (Norway) (SOFRINDX + 1.95%), 5.90%, 10/9/2026 (a) (b) | 500,000 | 499,931 |
Federation des Caisses Desjardins du Quebec (Canada) | ||
4.40%, 8/23/2025 (a) | 200,000 | 195,498 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
5.70%, 3/14/2028 (a) | 325,000 | 326,185 |
HSBC Holdings plc (United Kingdom) | ||
(3-MONTH CME TERM SOFR + 1.21%), 3.80%, 3/11/2025 (b) | 250,000 | 248,344 |
(SOFR + 0.71%), 0.98%, 5/24/2025 (b) | 350,000 | 340,996 |
(SOFR + 1.29%), 1.59%, 5/24/2027 (b) | 569,000 | 512,657 |
(SOFR + 1.57%), 5.89%, 8/14/2027 (b) | 855,000 | 856,551 |
(SOFR + 1.10%), 2.25%, 11/22/2027 (b) | 385,000 | 348,363 |
(SOFR + 2.61%), 5.21%, 8/11/2028 (b) | 420,000 | 412,569 |
ING Groep NV (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.40%, 7/1/2026 (a) (b) | 500,000 | 465,108 |
(SOFR + 1.01%), 1.73%, 4/1/2027 (b) | 200,000 | 181,682 |
KBC Group NV (Belgium) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (a) (b) | 200,000 | 198,434 |
Lloyds Banking Group plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.44%, 2/5/2026 (b) | 200,000 | 191,372 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.70%), 5.87%, 3/6/2029 (b) | 755,000 | 756,986 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.13%), 3.84%, 4/17/2026 (b) | 258,000 | 251,044 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (b) | 512,000 | 460,855 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (b) | 400,000 | 362,702 |
Mizuho Financial Group, Inc. (Japan) | ||
(3-MONTH CME TERM SOFR + 1.24%), 2.84%, 7/16/2025 (b) | 200,000 | 196,127 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 2.65%, 5/22/2026 (b) | 470,000 | 447,762 |
NatWest Group plc (United Kingdom) | ||
4.80%, 4/5/2026 | 500,000 | 490,178 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 5.85%, 3/2/2027 (b) | 1,100,000 | 1,096,334 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.95%), 5.81%, 9/13/2029 (b) | 500,000 | 497,729 |
Nordea Bank Abp (Finland) 1.50%, 9/30/2026 (a) | 500,000 | 447,659 |
Royal Bank of Canada (Canada) 5.20%, 8/1/2028 | 620,000 | 617,815 |
Santander UK Group Holdings plc (United Kingdom) | ||
(SOFR + 0.79%), 1.09%, 3/15/2025 (b) | 645,000 | 634,203 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (b) | 655,000 | 602,138 |
Societe Generale SA (France) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.23%, 1/21/2026 (a) (b) | 365,000 | 347,134 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (b) | 570,000 | 515,871 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 6.45%, 1/10/2029 (a) (b) | 805,000 | 812,252 |
Standard Chartered plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 0.99%, 1/12/2025 (a) (b) | 250,000 | 248,430 |
(3-MONTH SOFR + 1.21%), 2.82%, 1/30/2026 (a) (b) | 200,000 | 191,763 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 3.97%, 3/30/2026 (a) (b) | 310,000 | 300,164 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.85%), 6.19%, 7/6/2027 (a) (b) | 470,000 | 471,579 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
5.88%, 7/13/2026 | 585,000 | 590,637 |
5.52%, 1/13/2028 | 775,000 | 778,774 |
Sumitomo Mitsui Trust Bank Ltd. (Japan) 0.85%, 3/25/2024 (a) | 200,000 | 196,948 |
Svenska Handelsbanken AB (Sweden) 5.50%, 6/15/2028 (a) | 750,000 | 744,542 |
Toronto-Dominion Bank (The) (Canada) | ||
5.10%, 1/9/2026 | 575,000 | 573,864 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
5.53%, 7/17/2026 | 620,000 | 623,126 |
Wells Fargo & Co. | ||
(3-MONTH CME TERM SOFR + 1.01%), 2.16%, 2/11/2026 (b) | 150,000 | 143,232 |
(SOFR + 1.51%), 3.53%, 3/24/2028 (b) | 285,000 | 267,207 |
(SOFR + 1.98%), 4.81%, 7/25/2028 (b) | 945,000 | 921,859 |
(SOFR + 1.74%), 5.57%, 7/25/2029 (b) | 975,000 | 973,436 |
(SOFR + 1.79%), 6.30%, 10/23/2029 (b) | 210,000 | 216,326 |
48,060,786 | ||
Biotechnology — 0.0% ^ | ||
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) | 39,000 | 15,356 |
Broadline Retail — 0.0% ^ | ||
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a) | 72,000 | 67,445 |
Nordstrom, Inc. 4.38%, 4/1/2030 | 44,000 | 36,583 |
104,028 | ||
Building Products — 0.1% | ||
Builders FirstSource, Inc. 4.25%, 2/1/2032 (a) | 64,000 | 54,900 |
Emerald Debt Merger Sub LLC 6.63%, 12/15/2030 (a) | 55,000 | 54,863 |
Griffon Corp. 5.75%, 3/1/2028 | 80,000 | 75,611 |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | 44,000 | 40,584 |
PGT Innovations, Inc. 4.38%, 10/1/2029 (a) | 49,000 | 46,371 |
Standard Industries, Inc. 4.75%, 1/15/2028 (a) | 64,000 | 60,148 |
Summit Materials LLC 5.25%, 1/15/2029 (a) | 54,000 | 50,490 |
382,967 | ||
Capital Markets — 4.3% | ||
Bank of New York Mellon Corp. (The) (SOFR + 1.03%), 4.95%, 4/26/2027 (b) | 380,000 | 375,742 |
Credit Suisse AG (Switzerland) 7.50%, 2/15/2028 | 270,000 | 289,360 |
Deutsche Bank AG (Germany) | ||
(SOFR + 1.87%), 2.13%, 11/24/2026 (b) | 500,000 | 458,229 |
(SOFR + 2.52%), 7.15%, 7/13/2027 (b) | 350,000 | 356,991 |
(SOFR + 2.51%), 6.82%, 11/20/2029 (b) | 495,000 | 504,313 |
Goldman Sachs Group, Inc. (The) | ||
(SOFR + 0.73%), 1.76%, 1/24/2025 (b) | 500,000 | 496,668 |
(SOFR + 0.91%), 1.95%, 10/21/2027 (b) | 423,000 | 379,848 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (b) | 390,000 | 355,217 |
(SOFR + 1.85%), 3.62%, 3/15/2028 (b) | 720,000 | 677,484 |
(SOFR + 1.73%), 4.48%, 8/23/2028 (b) | 1,000,000 | 964,481 |
Macquarie Bank Ltd. (Australia) 5.21%, 6/15/2026 (a) | 1,000,000 | 994,741 |
Macquarie Group Ltd. (Australia) | ||
6.21%, 11/22/2024 (a) | 490,000 | 491,447 |
(SOFR + 0.91%), 1.63%, 9/23/2027 (a) (b) | 140,000 | 123,884 |
(SOFR + 2.13%), 4.10%, 6/21/2028 (a) (b) | 380,000 | 358,043 |
Morgan Stanley | ||
(SOFR + 0.72%), 0.99%, 12/10/2026 (b) | 150,000 | 135,942 |
(SOFR + 0.86%), 1.51%, 7/20/2027 (b) | 335,000 | 300,779 |
(SOFR + 1.00%), 2.48%, 1/21/2028 (b) | 400,000 | 364,520 |
(SOFR + 2.24%), 6.30%, 10/18/2028 (b) | 985,000 | 1,012,225 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
(SOFR + 1.59%), 5.16%, 4/20/2029 (b) | 565,000 | 555,610 |
(SOFR + 1.63%), 5.45%, 7/20/2029 (b) | 600,000 | 597,725 |
Nomura Holdings, Inc. (Japan) 1.85%, 7/16/2025 | 200,000 | 187,227 |
State Street Corp. (SOFR + 1.48%), 5.68%, 11/21/2029 (b) | 715,000 | 720,912 |
UBS Group AG (Switzerland) | ||
(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (b) | 250,000 | 242,936 |
(SOFR + 3.34%), 6.37%, 7/15/2026 (a) (b) | 405,000 | 405,829 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.71%, 1/12/2027 (a) (b) | 297,000 | 295,678 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (a) (b) | 410,000 | 397,540 |
(SOFR + 3.70%), 6.44%, 8/11/2028 (a) (b) | 370,000 | 375,993 |
12,419,364 | ||
Chemicals — 0.2% | ||
Avient Corp. 5.75%, 5/15/2025 (a) | 44,000 | 43,846 |
Braskem Netherlands Finance BV (Brazil) 4.50%, 1/31/2030 (c) | 200,000 | 163,685 |
Chemours Co. (The) 5.75%, 11/15/2028 (a) | 80,000 | 72,414 |
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | 62,000 | 55,096 |
NOVA Chemicals Corp. (Canada) 4.25%, 5/15/2029 (a) | 67,000 | 52,897 |
Scotts Miracle-Gro Co. (The) 4.50%, 10/15/2029 | 108,000 | 92,086 |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a) | 11,000 | 9,185 |
WR Grace Holdings LLC 4.88%, 6/15/2027 (a) | 64,000 | 60,948 |
550,157 | ||
Commercial Services & Supplies — 0.2% | ||
ACCO Brands Corp. 4.25%, 3/15/2029 (a) | 67,000 | 58,007 |
Allied Universal Holdco LLC 6.63%, 7/15/2026 (a) | 31,000 | 30,122 |
APi Group DE, Inc. 4.13%, 7/15/2029 (a) | 50,000 | 43,656 |
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | 59,000 | 55,835 |
Brink's Co. (The) 4.63%, 10/15/2027 (a) | 31,000 | 29,060 |
Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a) | 85,000 | 80,820 |
GFL Environmental, Inc. (Canada) | ||
4.00%, 8/1/2028 (a) | 40,000 | 35,688 |
4.75%, 6/15/2029 (a) | 71,000 | 64,847 |
Madison IAQ LLC 4.13%, 6/30/2028 (a) | 126,000 | 111,935 |
Prime Security Services Borrower LLC 5.75%, 4/15/2026 (a) | 130,000 | 128,579 |
638,549 | ||
Communications Equipment — 0.1% | ||
CommScope, Inc. | ||
6.00%, 3/1/2026 (a) | 85,000 | 72,887 |
4.75%, 9/1/2029 (a) | 95,000 | 59,613 |
132,500 | ||
Construction & Engineering — 0.1% | ||
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | 44,000 | 39,777 |
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | 54,000 | 45,131 |
Pike Corp. 5.50%, 9/1/2028 (a) | 35,000 | 31,878 |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | 59,000 | 54,057 |
170,843 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Consumer Finance — 1.8% | ||
AerCap Ireland Capital DAC (Ireland) | ||
4.88%, 1/16/2024 | 450,000 | 449,300 |
6.45%, 4/15/2027 (a) | 195,000 | 197,596 |
5.75%, 6/6/2028 | 500,000 | 498,004 |
Ally Financial, Inc. 5.75%, 11/20/2025 | 65,000 | 63,791 |
American Express Co. (SOFR + 1.33%), 6.34%, 10/30/2026 (b) | 910,000 | 922,405 |
Avolon Holdings Funding Ltd. (Ireland) | ||
5.25%, 5/15/2024 (a) | 450,000 | 447,018 |
5.50%, 1/15/2026 (a) | 875,000 | 857,935 |
Capital One Financial Corp. | ||
(SOFR + 0.69%), 1.34%, 12/6/2024 (b) | 270,000 | 269,927 |
(SOFR + 2.06%), 4.93%, 5/10/2028 (b) | 400,000 | 382,653 |
(SOFR + 2.08%), 5.47%, 2/1/2029 (b) | 345,000 | 331,427 |
Ford Motor Credit Co. LLC 4.27%, 1/9/2027 | 425,000 | 399,136 |
OneMain Finance Corp. | ||
7.13%, 3/15/2026 | 67,000 | 67,560 |
6.63%, 1/15/2028 | 23,000 | 22,353 |
5.38%, 11/15/2029 | 23,000 | 20,701 |
Park Aerospace Holdings Ltd. (Ireland) 5.50%, 2/15/2024 (a) | 150,000 | 149,589 |
5,079,395 | ||
Consumer Staples Distribution & Retail — 0.1% | ||
Albertsons Cos., Inc. | ||
4.63%, 1/15/2027 (a) | 216,000 | 207,512 |
3.50%, 3/15/2029 (a) | 59,000 | 52,291 |
Performance Food Group, Inc. 5.50%, 10/15/2027 (a) | 22,000 | 21,294 |
Rite Aid Corp. 8.00%, 11/15/2026 (a) (d) | 85,000 | 64,175 |
345,272 | ||
Containers & Packaging — 0.3% | ||
Ardagh Packaging Finance plc 4.13%, 8/15/2026 (a) | 200,000 | 176,929 |
Graphic Packaging International LLC 1.51%, 4/15/2026 (a) | 70,000 | 63,215 |
LABL, Inc. 6.75%, 7/15/2026 (a) | 100,000 | 95,052 |
Mauser Packaging Solutions Holding Co. 7.88%, 8/15/2026 (a) | 113,000 | 112,252 |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | 62,000 | 61,361 |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | 49,000 | 44,835 |
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (e) | 200,000 | 192,196 |
745,840 | ||
Diversified Consumer Services — 0.0% ^ | ||
Service Corp. International 5.13%, 6/1/2029 | 41,000 | 39,155 |
Diversified Telecommunication Services — 0.4% | ||
Altice France SA (France) 5.13%, 7/15/2029 (a) | 200,000 | 143,042 |
CCO Holdings LLC | ||
5.00%, 2/1/2028 (a) | 197,000 | 184,604 |
4.75%, 3/1/2030 (a) | 257,000 | 224,916 |
4.50%, 8/15/2030 (a) | 285,000 | 244,534 |
4.75%, 2/1/2032 (a) | 13,000 | 10,920 |
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a) | 77,000 | 72,340 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Diversified Telecommunication Services — continued | ||
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | 77,000 | 71,353 |
Lumen Technologies, Inc. | ||
5.13%, 12/15/2026 (a) | 41,000 | 20,090 |
4.00%, 2/15/2027 (a) | 216,000 | 114,117 |
Telecom Italia Capital SA (Italy) 6.38%, 11/15/2033 | 31,000 | 29,061 |
1,114,977 | ||
Electric Utilities — 1.6% | ||
Enel Finance America LLC (Italy) 7.10%, 10/14/2027 (a) | 200,000 | 209,241 |
Enel Finance International NV (Italy) 4.63%, 6/15/2027 (a) | 445,000 | 430,791 |
EnfraGen Energia Sur SA (Colombia) 5.38%, 12/30/2030 (c) | 200,000 | 149,951 |
Eskom Holdings SOC Ltd. (South Africa) 7.13%, 2/11/2025 (c) | 200,000 | 198,937 |
Exelon Corp. 5.15%, 3/15/2028 | 305,000 | 304,581 |
Fells Point Funding Trust 3.05%, 1/31/2027 (a) | 535,000 | 492,686 |
ITC Holdings Corp. 3.65%, 6/15/2024 | 745,000 | 735,472 |
Metropolitan Edison Co. 5.20%, 4/1/2028 (a) | 240,000 | 236,951 |
NextEra Energy Capital Holdings, Inc. | ||
5.75%, 9/1/2025 | 445,000 | 445,273 |
4.90%, 2/28/2028 | 600,000 | 591,448 |
NRG Energy, Inc. | ||
3.38%, 2/15/2029 (a) | 46,000 | 39,369 |
5.25%, 6/15/2029 (a) | 127,000 | 118,316 |
Pennsylvania Electric Co. 5.15%, 3/30/2026 (a) | 225,000 | 222,636 |
PG&E Corp. 5.00%, 7/1/2028 | 85,000 | 80,857 |
Vistra Operations Co. LLC | ||
3.55%, 7/15/2024 (a) | 350,000 | 342,714 |
5.00%, 7/31/2027 (a) | 90,000 | 85,652 |
4.38%, 5/1/2029 (a) | 27,000 | 24,375 |
4,709,250 | ||
Electrical Equipment — 0.0% ^ | ||
Vertiv Group Corp. 4.13%, 11/15/2028 (a) | 44,000 | 39,828 |
Electronic Equipment, Instruments & Components — 0.0% ^ | ||
Coherent Corp. 5.00%, 12/15/2029 (a) | 41,000 | 37,106 |
Energy Equipment & Services — 0.1% | ||
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a) | 176,852 | 155,154 |
Nabors Industries, Inc. 7.38%, 5/15/2027 (a) | 40,000 | 38,675 |
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a) | 50,000 | 49,696 |
Transocean, Inc. 8.75%, 2/15/2030 (a) | 33,250 | 33,958 |
USA Compression Partners LP 6.88%, 9/1/2027 | 75,000 | 74,034 |
351,517 | ||
Entertainment — 0.4% | ||
Cinemark USA, Inc. | ||
5.88%, 3/15/2026 (a) | 31,000 | 30,076 |
5.25%, 7/15/2028 (a) (f) | 28,000 | 25,203 |
Live Nation Entertainment, Inc. 4.75%, 10/15/2027 (a) (f) | 120,000 | 112,800 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Entertainment — continued | ||
Take-Two Interactive Software, Inc. 5.00%, 3/28/2026 | 103,000 | 102,315 |
Warnermedia Holdings, Inc. 3.76%, 3/15/2027 | 975,000 | 919,983 |
1,190,377 | ||
Financial Services — 1.0% | ||
Block, Inc. | ||
2.75%, 6/1/2026 | 15,000 | 13,833 |
3.50%, 6/1/2031 | 38,000 | 31,802 |
Element Fleet Management Corp. (Canada) | ||
1.60%, 4/6/2024 (a) | 145,000 | 142,708 |
3.85%, 6/15/2025 (a) | 200,000 | 192,757 |
Fondo MIVIVIENDA SA (Peru) 4.63%, 4/12/2027 (a) | 200,000 | 191,084 |
Global Payments, Inc. | ||
1.20%, 3/1/2026 | 415,000 | 375,706 |
4.95%, 8/15/2027 | 335,000 | 328,344 |
National Rural Utilities Cooperative Finance Corp. 5.05%, 9/15/2028 | 615,000 | 616,734 |
Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (a) | 72,000 | 69,480 |
Nationwide Building Society (United Kingdom) (SOFR + 1.29%), 2.97%, 2/16/2028 (a) (b) | 850,000 | 772,337 |
NCR Atleos Corp. 9.50%, 4/1/2029 (a) | 25,000 | 25,817 |
Rocket Mortgage LLC | ||
2.88%, 10/15/2026 (a) | 57,000 | 51,514 |
3.63%, 3/1/2029 (a) | 44,000 | 38,647 |
4.00%, 10/15/2033 (a) | 5,000 | 4,043 |
2,854,806 | ||
Food Products — 0.3% | ||
Post Holdings, Inc. | ||
5.63%, 1/15/2028 (a) | 63,000 | 61,298 |
4.63%, 4/15/2030 (a) | 31,000 | 27,695 |
Viterra Finance BV (Netherlands) | ||
2.00%, 4/21/2026 (a) | 200,000 | 183,222 |
4.90%, 4/21/2027 (a) | 570,000 | 553,915 |
826,130 | ||
Gas Utilities — 0.0% ^ | ||
AmeriGas Partners LP 5.88%, 8/20/2026 | 49,000 | 47,849 |
Superior Plus LP (Canada) 4.50%, 3/15/2029 (a) | 70,000 | 61,641 |
109,490 | ||
Ground Transportation — 0.1% | ||
Avis Budget Car Rental LLC | ||
5.75%, 7/15/2027 (a) | 64,000 | 60,390 |
4.75%, 4/1/2028 (a) | 31,000 | 28,091 |
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | 44,000 | 37,428 |
Hertz Corp. (The) 4.63%, 12/1/2026 (a) | 108,000 | 95,187 |
RXO, Inc. 7.50%, 11/15/2027 (a) | 50,000 | 51,331 |
Uber Technologies, Inc. 7.50%, 9/15/2027 (a) | 40,000 | 40,733 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Ground Transportation — continued | ||
XPO, Inc. | ||
6.25%, 6/1/2028 (a) | 20,000 | 19,759 |
7.13%, 6/1/2031 (a) | 45,000 | 45,485 |
378,404 | ||
Health Care Equipment & Supplies — 0.1% | ||
Medline Borrower LP | ||
3.88%, 4/1/2029 (a) | 90,000 | 79,879 |
5.25%, 10/1/2029 (a) | 90,000 | 81,447 |
161,326 | ||
Health Care Providers & Services — 0.5% | ||
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (a) | 41,000 | 39,280 |
AdaptHealth LLC 4.63%, 8/1/2029 (a) | 54,000 | 42,646 |
Community Health Systems, Inc. | ||
8.00%, 3/15/2026 (a) | 98,000 | 94,351 |
5.63%, 3/15/2027 (a) | 23,000 | 20,522 |
6.00%, 1/15/2029 (a) | 67,000 | 56,448 |
4.75%, 2/15/2031 (a) | 77,000 | 56,493 |
DaVita, Inc. 4.63%, 6/1/2030 (a) | 103,000 | 87,057 |
Encompass Health Corp. 4.75%, 2/1/2030 | 81,000 | 73,604 |
HCA, Inc. 5.20%, 6/1/2028 | 520,000 | 512,570 |
Owens & Minor, Inc. 4.50%, 3/31/2029 (a) | 45,000 | 38,531 |
Tenet Healthcare Corp. | ||
5.13%, 11/1/2027 | 59,000 | 56,601 |
4.25%, 6/1/2029 | 393,000 | 352,206 |
1,430,309 | ||
Hotel & Resort REITs — 0.0% ^ | ||
RHP Hotel Properties LP | ||
4.75%, 10/15/2027 | 67,000 | 63,632 |
4.50%, 2/15/2029 (a) | 60,000 | 54,119 |
117,751 | ||
Hotels, Restaurants & Leisure — 0.6% | ||
1011778 BC ULC (Canada) 3.88%, 1/15/2028 (a) | 46,000 | 42,340 |
Boyd Gaming Corp. 4.75%, 12/1/2027 | 59,000 | 55,855 |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | 85,000 | 76,842 |
Caesars Entertainment, Inc. 6.25%, 7/1/2025 (a) | 95,000 | 94,453 |
Carnival Corp. | ||
9.88%, 8/1/2027 (a) | 162,000 | 169,295 |
4.00%, 8/1/2028 (a) | 100,000 | 90,586 |
Cedar Fair LP 5.25%, 7/15/2029 | 85,000 | 77,720 |
Gohl Capital Ltd. (Malaysia) 4.25%, 1/24/2027 (c) | 200,000 | 188,500 |
Hilton Domestic Operating Co., Inc. 4.88%, 1/15/2030 | 72,000 | 67,767 |
Marriott Ownership Resorts, Inc. 4.50%, 6/15/2029 (a) | 49,000 | 41,198 |
MGM Resorts International 5.50%, 4/15/2027 | 78,000 | 75,567 |
Royal Caribbean Cruises Ltd. | ||
11.63%, 8/15/2027 (a) | 25,000 | 27,114 |
8.25%, 1/15/2029 (a) | 75,000 | 78,187 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Hotels, Restaurants & Leisure — continued | ||
9.25%, 1/15/2029 (a) | 70,000 | 74,492 |
Sands China Ltd. (Macau) 5.38%, 8/8/2025 (e) | 200,000 | 195,209 |
Six Flags Entertainment Corp. 5.50%, 4/15/2027 (a) | 56,000 | 53,534 |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | 22,000 | 22,076 |
Station Casinos LLC 4.50%, 2/15/2028 (a) | 89,000 | 80,496 |
Wynn Las Vegas LLC 5.50%, 3/1/2025 (a) | 49,000 | 48,410 |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a) | 105,000 | 94,565 |
Yum! Brands, Inc. | ||
4.75%, 1/15/2030 (a) | 28,000 | 26,025 |
4.63%, 1/31/2032 | 8,000 | 7,194 |
1,687,425 | ||
Household Durables — 0.1% | ||
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | 54,000 | 52,230 |
Newell Brands, Inc. 6.38%, 9/15/2027 | 125,000 | 121,982 |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | 90,000 | 77,901 |
252,113 | ||
Household Products — 0.1% | ||
Central Garden & Pet Co. | ||
4.13%, 10/15/2030 | 59,000 | 50,546 |
4.13%, 4/30/2031 (a) | 31,000 | 26,158 |
Energizer Holdings, Inc. | ||
4.75%, 6/15/2028 (a) | 41,000 | 36,649 |
4.38%, 3/31/2029 (a) | 44,000 | 37,949 |
Spectrum Brands, Inc. 5.00%, 10/1/2029 (a) | 90,000 | 83,043 |
234,345 | ||
Independent Power and Renewable Electricity Producers — 0.2% | ||
Calpine Corp. 4.50%, 2/15/2028 (a) | 85,000 | 80,220 |
Constellation Energy Generation LLC 5.60%, 3/1/2028 | 355,000 | 357,499 |
Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029 (c) | 155,000 | 148,541 |
586,260 | ||
Industrial REITs — 0.2% | ||
Prologis LP 4.88%, 6/15/2028 | 685,000 | 678,294 |
Insurance — 1.2% | ||
Athene Global Funding | ||
0.95%, 1/8/2024 (a) | 259,000 | 257,659 |
0.91%, 8/19/2024 (a) | 295,000 | 283,715 |
2.50%, 1/14/2025 (a) | 308,000 | 294,670 |
Corebridge Global Funding 5.90%, 9/19/2028 (a) | 645,000 | 652,284 |
Equitable Financial Life Global Funding 0.80%, 8/12/2024 (a) | 230,000 | 221,945 |
Jackson National Life Global Funding | ||
3.88%, 6/11/2025 (a) | 150,000 | 144,523 |
5.50%, 1/9/2026 (a) | 575,000 | 569,758 |
Met Tower Global Funding 5.40%, 6/20/2026 (a) | 1,000,000 | 1,004,031 |
3,428,585 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
IT Services — 0.0% ^ | ||
Arches Buyer, Inc. 4.25%, 6/1/2028 (a) | 49,000 | 42,693 |
Presidio Holdings, Inc. 4.88%, 2/1/2027 (a) | 52,000 | 50,290 |
92,983 | ||
Leisure Products — 0.0% ^ | ||
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) | 59,000 | 55,902 |
Machinery — 0.0% ^ | ||
Chart Industries, Inc. 7.50%, 1/1/2030 (a) | 92,000 | 93,831 |
Terex Corp. 5.00%, 5/15/2029 (a) | 41,000 | 37,594 |
131,425 | ||
Media — 0.8% | ||
Charter Communications Operating LLC 6.15%, 11/10/2026 | 700,000 | 708,814 |
Clear Channel Outdoor Holdings, Inc. | ||
5.13%, 8/15/2027 (a) | 131,000 | 121,254 |
7.75%, 4/15/2028 (a) | 26,000 | 21,311 |
CSC Holdings LLC | ||
5.25%, 6/1/2024 | 44,000 | 41,914 |
6.50%, 2/1/2029 (a) | 200,000 | 169,156 |
Directv Financing LLC 5.88%, 8/15/2027 (a) | 49,000 | 44,092 |
DISH DBS Corp. | ||
5.88%, 11/15/2024 | 119,000 | 104,466 |
7.75%, 7/1/2026 | 76,000 | 45,363 |
5.25%, 12/1/2026 (a) | 98,000 | 78,797 |
DISH Network Corp. 11.75%, 11/15/2027 (a) | 49,000 | 48,639 |
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | 41,000 | 36,002 |
Gray Escrow II, Inc. 5.38%, 11/15/2031 (a) | 90,000 | 64,161 |
iHeartCommunications, Inc. | ||
8.38%, 5/1/2027 (f) | 22,500 | 15,747 |
5.25%, 8/15/2027 (a) | 100,000 | 76,636 |
News Corp. 3.88%, 5/15/2029 (a) | 46,000 | 40,693 |
Nexstar Media, Inc. 5.63%, 7/15/2027 (a) | 97,000 | 91,842 |
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a) | 36,000 | 30,260 |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | 18,000 | 15,165 |
Sinclair Television Group, Inc. 4.13%, 12/1/2030 (a) | 59,000 | 41,448 |
Sirius XM Radio, Inc. | ||
5.00%, 8/1/2027 (a) | 49,000 | 46,554 |
5.50%, 7/1/2029 (a) | 190,000 | 176,540 |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | 67,000 | 58,709 |
TEGNA, Inc. 4.63%, 3/15/2028 | 50,000 | 45,472 |
Univision Communications, Inc. | ||
6.63%, 6/1/2027 (a) | 26,000 | 25,622 |
4.50%, 5/1/2029 (a) | 53,000 | 46,504 |
Videotron Ltd. (Canada) 5.13%, 4/15/2027 (a) | 41,000 | 39,668 |
2,234,829 | ||
Metals & Mining — 0.2% | ||
ATI, Inc. 5.88%, 12/1/2027 | 108,000 | 104,370 |
Big River Steel LLC 6.63%, 1/31/2029 (a) | 41,000 | 40,930 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Metals & Mining — continued | ||
Carpenter Technology Corp. 6.38%, 7/15/2028 | 67,000 | 65,822 |
Cleveland-Cliffs, Inc. | ||
6.75%, 3/15/2026 (a) | 62,000 | 62,084 |
5.88%, 6/1/2027 | 8,000 | 7,853 |
4.63%, 3/1/2029 (a) | 13,000 | 11,683 |
CSN Inova Ventures (Brazil) 6.75%, 1/28/2028 (c) | 200,000 | 189,125 |
FMG Resources August 2006 Pty. Ltd. (Australia) 4.50%, 9/15/2027 (a) | 62,000 | 58,518 |
Novelis Corp. 4.75%, 1/30/2030 (a) | 77,000 | 69,904 |
610,289 | ||
Oil, Gas & Consumable Fuels — 1.8% | ||
Antero Midstream Partners LP | ||
7.88%, 5/15/2026 (a) | 48,000 | 48,942 |
5.38%, 6/15/2029 (a) | 26,000 | 24,348 |
Antero Resources Corp. | ||
7.63%, 2/1/2029 (a) | 27,000 | 27,651 |
5.38%, 3/1/2030 (a) | 59,000 | 55,261 |
APA Infrastructure Ltd. (Australia) 4.20%, 3/23/2025 (a) | 350,000 | 342,546 |
Baytex Energy Corp. (Canada) 8.75%, 4/1/2027 (a) | 44,000 | 45,137 |
Blue Racer Midstream LLC 6.63%, 7/15/2026 (a) | 27,000 | 26,499 |
Buckeye Partners LP 4.13%, 12/1/2027 | 80,000 | 73,890 |
California Resources Corp. 7.13%, 2/1/2026 (a) | 35,000 | 35,212 |
Chesapeake Energy Corp. 6.75%, 4/15/2029 (a) | 72,000 | 71,744 |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 36,000 | 35,768 |
Civitas Resources, Inc. | ||
8.38%, 7/1/2028 (a) | 23,000 | 23,556 |
8.75%, 7/1/2031 (a) | 20,000 | 20,699 |
CNX Resources Corp. 6.00%, 1/15/2029 (a) | 54,000 | 51,494 |
Comstock Resources, Inc. 6.75%, 3/1/2029 (a) | 98,000 | 90,225 |
Crescent Energy Finance LLC 9.25%, 2/15/2028 (a) | 70,000 | 72,338 |
DT Midstream, Inc. 4.13%, 6/15/2029 (a) | 85,000 | 76,310 |
Ecopetrol SA (Colombia) | ||
5.38%, 6/26/2026 | 150,000 | 144,945 |
8.63%, 1/19/2029 | 50,000 | 51,648 |
Energian Israel Finance Ltd. (Israel) 4.88%, 3/30/2026 (c) | 180,000 | 164,448 |
Energy Transfer LP | ||
5.63%, 5/1/2027 (a) | 49,000 | 48,145 |
5.55%, 2/15/2028 | 410,000 | 411,683 |
8.00%, 4/1/2029 (a) | 16,000 | 16,573 |
EQM Midstream Partners LP | ||
4.00%, 8/1/2024 | 10,000 | 9,790 |
5.50%, 7/15/2028 | 85,000 | 82,618 |
Genesis Energy LP 8.00%, 1/15/2027 | 46,000 | 46,042 |
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (a) | 475,000 | 444,765 |
Greenko Dutch BV (India) 3.85%, 3/29/2026 (a) | 185,000 | 169,275 |
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | 76,436 | 77,382 |
Hilcorp Energy I LP 5.75%, 2/1/2029 (a) | 72,000 | 67,668 |
KazMunayGas National Co. JSC (Kazakhstan) 5.38%, 4/24/2030 (c) | 200,000 | 187,700 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
Kinetik Holdings LP 5.88%, 6/15/2030 (a) | 54,000 | 51,440 |
Leviathan Bond Ltd. (Israel) | ||
6.13%, 6/30/2025 (c) | 50,000 | 48,250 |
6.50%, 6/30/2027 (c) | 150,000 | 140,415 |
MEG Energy Corp. (Canada) 5.88%, 2/1/2029 (a) | 54,000 | 51,617 |
NGL Energy Operating LLC 7.50%, 2/1/2026 (a) | 28,000 | 28,105 |
Northriver Midstream Finance LP (Canada) 5.63%, 2/15/2026 (a) | 45,000 | 43,763 |
NuStar Logistics LP 5.63%, 4/28/2027 | 55,000 | 54,142 |
Peru LNG Srl (Peru) 5.38%, 3/22/2030 (c) | 200,000 | 154,000 |
Petroleos Mexicanos (Mexico) | ||
4.25%, 1/15/2025 | 200,000 | 191,780 |
4.50%, 1/23/2026 | 100,000 | 91,009 |
6.88%, 8/4/2026 | 180,000 | 169,137 |
6.49%, 1/23/2027 | 420,000 | 378,021 |
Range Resources Corp. | ||
8.25%, 1/15/2029 | 54,000 | 55,961 |
4.75%, 2/15/2030 (a) | 24,000 | 21,890 |
Rockies Express Pipeline LLC 4.95%, 7/15/2029 (a) | 85,000 | 78,459 |
SM Energy Co. | ||
6.75%, 9/15/2026 | 26,000 | 25,660 |
6.63%, 1/15/2027 | 54,000 | 53,124 |
Southwestern Energy Co. | ||
8.38%, 9/15/2028 | 31,000 | 32,061 |
5.38%, 3/15/2030 | 45,000 | 42,667 |
Sunoco LP 5.88%, 3/15/2028 | 54,000 | 52,885 |
Tallgrass Energy Partners LP | ||
6.00%, 3/1/2027 (a) | 44,000 | 42,317 |
6.00%, 12/31/2030 (a) | 32,000 | 28,894 |
Venture Global LNG, Inc. 8.13%, 6/1/2028 (a) | 145,000 | 143,763 |
Vital Energy, Inc. 9.50%, 1/15/2025 | 31,000 | 31,120 |
5,054,782 | ||
Passenger Airlines — 0.1% | ||
American Airlines, Inc. | ||
5.50%, 4/20/2026 (a) | 163,333 | 160,795 |
5.75%, 4/20/2029 (a) | 48,750 | 46,704 |
United Airlines, Inc. | ||
4.38%, 4/15/2026 (a) | 47,000 | 44,694 |
4.63%, 4/15/2029 (a) | 50,000 | 44,635 |
VistaJet Malta Finance plc (Switzerland) 9.50%, 6/1/2028 (a) (f) | 40,000 | 33,182 |
330,010 | ||
Personal Care Products — 0.1% | ||
Edgewell Personal Care Co. 5.50%, 6/1/2028 (a) | 108,000 | 102,870 |
Prestige Brands, Inc. 5.13%, 1/15/2028 (a) | 54,000 | 51,317 |
154,187 | ||
Pharmaceuticals — 0.2% | ||
Bausch Health Americas, Inc. 9.25%, 4/1/2026 (a) | 88,000 | 77,448 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Pharmaceuticals — continued | ||
Bausch Health Cos., Inc. | ||
5.50%, 11/1/2025 (a) | 59,000 | 51,404 |
4.88%, 6/1/2028 (a) | 257,000 | 130,793 |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (e) (f) | 54,000 | 53,932 |
Organon & Co. 4.13%, 4/30/2028 (a) | 200,000 | 177,594 |
491,171 | ||
Real Estate Management & Development — 0.0% ^ | ||
Kennedy-Wilson, Inc. 4.75%, 3/1/2029 | 67,000 | 53,716 |
Realogy Group LLC 5.75%, 1/15/2029 (a) | 49,000 | 34,947 |
88,663 | ||
Semiconductors & Semiconductor Equipment — 0.3% | ||
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | 54,000 | 54,246 |
Entegris Escrow Corp. 5.95%, 6/15/2030 (a) | 90,000 | 86,936 |
Marvell Technology, Inc. 5.75%, 2/15/2029 | 670,000 | 676,157 |
Synaptics, Inc. 4.00%, 6/15/2029 (a) | 35,000 | 30,286 |
847,625 | ||
Software — 0.2% | ||
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | 64,000 | 57,743 |
NCR Voyix Corp. | ||
5.00%, 10/1/2028 (a) | 62,000 | 56,442 |
5.13%, 4/15/2029 (a) | 48,000 | 43,961 |
Oracle Corp. 4.50%, 5/6/2028 | 395,000 | 385,691 |
RingCentral, Inc. 8.50%, 8/15/2030 (a) | 35,000 | 34,867 |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | 70,000 | 67,743 |
646,447 | ||
Specialized REITs — 0.0% ^ | ||
Iron Mountain, Inc. 4.88%, 9/15/2027 (a) | 52,000 | 49,225 |
Specialty Retail — 0.3% | ||
Asbury Automotive Group, Inc. 4.50%, 3/1/2028 | 59,000 | 54,280 |
Bath & Body Works, Inc. | ||
5.25%, 2/1/2028 | 41,000 | 39,393 |
7.50%, 6/15/2029 (f) | 76,000 | 78,035 |
6.75%, 7/1/2036 | 23,000 | 21,389 |
Gap, Inc. (The) 3.63%, 10/1/2029 (a) | 85,000 | 69,977 |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | 49,000 | 44,158 |
Lithia Motors, Inc. | ||
4.63%, 12/15/2027 (a) | 31,000 | 28,813 |
4.38%, 1/15/2031 (a) | 31,000 | 26,715 |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | 64,000 | 55,506 |
PetSmart, Inc. 4.75%, 2/15/2028 (a) | 250,000 | 228,627 |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | 49,000 | 43,192 |
SRS Distribution, Inc. 4.63%, 7/1/2028 (a) | 49,000 | 44,731 |
Staples, Inc. 7.50%, 4/15/2026 (a) | 95,000 | 84,074 |
818,890 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Technology Hardware, Storage & Peripherals — 0.0% ^ | ||
Seagate HDD Cayman | ||
8.25%, 12/15/2029 (a) | 18,000 | 19,117 |
8.50%, 7/15/2031 (a) (f) | 6,000 | 6,412 |
9.63%, 12/1/2032 (a) | 44,000 | 49,421 |
74,950 | ||
Tobacco — 0.2% | ||
BAT International Finance plc (United Kingdom) 4.45%, 3/16/2028 | 475,000 | 455,643 |
Trading Companies & Distributors — 0.2% | ||
Air Lease Corp. 4.25%, 2/1/2024 | 150,000 | 149,455 |
Aviation Capital Group LLC 4.38%, 1/30/2024 (a) | 200,000 | 199,237 |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | 54,000 | 52,436 |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | 36,000 | 32,709 |
United Rentals North America, Inc. 4.88%, 1/15/2028 | 64,000 | 61,555 |
WESCO Distribution, Inc. 7.25%, 6/15/2028 (a) | 68,000 | 69,145 |
564,537 | ||
Wireless Telecommunication Services — 0.3% | ||
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | 67,000 | 52,696 |
T-Mobile USA, Inc. | ||
3.50%, 4/15/2025 | 150,000 | 145,889 |
3.38%, 4/15/2029 | 600,000 | 543,772 |
742,357 | ||
Total Corporate Bonds (Cost $107,039,818) | 104,369,472 | |
Asset-Backed Securities — 21.0% | ||
Accelerated LLC Series 2021-1H, Class B, 1.90%, 10/20/2040 (a) | 144,559 | 130,979 |
ACHV ABS TRUST Series 2023-4CP, Class B, 7.24%, 11/25/2030 (a) | 500,000 | 502,199 |
ACM Auto Trust Series 2023-1A, Class B, 7.26%, 1/22/2030 (a) | 383,000 | 382,398 |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (a) | 263,000 | 231,388 |
American Credit Acceptance Receivables Trust | ||
Series 2020-1, Class E, 3.32%, 3/13/2026 (a) | 450,000 | 448,552 |
Series 2022-1, Class D, 2.46%, 3/13/2028 (a) | 1,500,000 | 1,431,376 |
Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | 584,000 | 574,333 |
Series 2023-1, Class D, 6.35%, 4/12/2029 (a) | 375,000 | 368,255 |
AMSR Trust | ||
Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 (a) | 300,000 | 258,361 |
Series 2021-SFR4, Class E1, 2.97%, 12/17/2038 (a) | 400,000 | 345,867 |
Series 2023-SFR2, Class B, 3.95%, 6/17/2040 (a) | 1,500,000 | 1,352,079 |
Aqua Finance Trust Series 2021-A, Class B, 2.40%, 7/17/2046 (a) | 313,000 | 253,508 |
AREIT Trust Series 2021-CRE5, Class C, 7.69%, 11/17/2038 ‡ (a) (g) | 336,000 | 318,406 |
Atlas Senior Loan Fund (Cayman Islands) Series 2019-13A, Class A1NR, 6.75%, 4/22/2031 (a) (g) | 178,288 | 177,667 |
Bain Capital Credit CLO Ltd. (Cayman Islands) Series 2017-1A, Class A1R, 6.65%, 7/20/2030 (a) (g) | 265,481 | 264,961 |
BSPRT Issuer Ltd. (Cayman Islands) Series 2021-FL7, Class B, 7.49%, 12/15/2038 (a) (g) | 475,000 | 464,721 |
Business Jet Securities LLC | ||
Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (a) | 203,149 | 192,699 |
Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (a) | 474,666 | 434,897 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
CarNow Auto Receivables Trust | ||
Series 2021-1A, Class C, 2.16%, 2/17/2026 (a) | 47,939 | 47,759 |
Series 2021-2A, Class C, 1.69%, 3/15/2027 (a) | 500,000 | 494,814 |
Series 2022-1A, Class D, 5.79%, 9/15/2027 (a) | 397,000 | 350,758 |
Carvana Auto Receivables Trust Series 2019-3A, Class E, 4.60%, 7/15/2026 (a) | 713,888 | 708,055 |
Continental Finance Credit Card ABS Master Trust Series 2021-A, Class A, 2.55%, 12/17/2029 (a) | 400,000 | 376,917 |
CPS Auto Receivables Trust | ||
Series 2019-B, Class E, 5.00%, 3/17/2025 (a) | 211,728 | 211,592 |
Series 2021-D, Class D, 2.31%, 12/15/2027 (a) | 200,000 | 189,306 |
Series 2022-A, Class D, 2.84%, 4/16/2029 (a) | 1,021,000 | 952,623 |
Series 2023-A, Class D, 6.44%, 4/16/2029 (a) | 750,000 | 739,748 |
Series 2023-C, Class C, 6.27%, 10/15/2029 (a) | 881,000 | 879,102 |
Series 2022-C, Class D, 6.45%, 4/15/2030 (a) | 240,000 | 238,045 |
Credit Acceptance Auto Loan Trust | ||
Series 2021-3A, Class C, 1.63%, 9/16/2030 (a) | 250,000 | 236,052 |
Series 2022-1A, Class C, 5.70%, 10/15/2032 (a) | 467,000 | 450,696 |
Crossroads Asset Trust Series 2021-A, Class C, 1.44%, 1/20/2026 (a) | 69,661 | 69,161 |
Dext ABS LLC Series 2021-1, Class A, 1.12%, 2/15/2028 (a) | 100,926 | 97,945 |
DT Auto Owner Trust | ||
Series 2021-1A, Class D, 1.16%, 11/16/2026 (a) | 250,000 | 237,336 |
Series 2021-3A, Class D, 1.31%, 5/17/2027 (a) | 250,000 | 230,044 |
Series 2023-1A, Class C, 5.55%, 10/16/2028 (a) | 300,000 | 295,001 |
Series 2023-1A, Class D, 6.44%, 11/15/2028 (a) | 307,000 | 303,335 |
Series 2023-3A, Class C, 6.40%, 5/15/2029 (a) | 1,606,000 | 1,607,629 |
Elara HGV Timeshare Issuer LLC | ||
Series 2023-A, Class A, 6.16%, 2/25/2038 (a) | 519,810 | 523,814 |
Series 2023-A, Class C, 7.30%, 2/25/2038 (a) | 863,153 | 871,839 |
Equify ABS LLC Series 2023-1A, Class A, 7.20%, 9/15/2031 (a) | 786,067 | 787,614 |
Exeter Automobile Receivables Trust | ||
Series 2019-3A, Class D, 3.11%, 8/15/2025 (a) | 39,334 | 39,025 |
Series 2020-1A, Class E, 3.74%, 1/15/2027 (a) | 635,000 | 616,140 |
Series 2021-2A, Class D, 1.40%, 4/15/2027 | 210,000 | 196,086 |
Series 2022-5A, Class C, 6.51%, 12/15/2027 | 345,000 | 345,434 |
Series 2021-4A, Class D, 1.96%, 1/17/2028 | 480,000 | 447,158 |
Series 2023-3A, Class C, 6.21%, 6/15/2028 | 1,410,000 | 1,408,426 |
Series 2022-2A, Class D, 4.56%, 7/17/2028 | 800,000 | 767,089 |
Series 2022-5A, Class D, 7.40%, 2/15/2029 | 500,000 | 503,418 |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | 500,000 | 512,984 |
Series 2023-5A, Class D, 7.13%, 2/15/2030 | 700,000 | 705,979 |
FCI Funding LLC Series 2021-1A, Class A, 1.13%, 4/15/2033 ‡ (a) | 21,613 | 21,208 |
FHF Trust | ||
Series 2021-2A, Class A, 0.83%, 12/15/2026 (a) | 118,163 | 113,785 |
Series 2021-1A, Class A, 1.27%, 3/15/2027 (a) | 39,428 | 38,037 |
FirstKey Homes Trust | ||
Series 2021-SFR3, Class E1, 2.99%, 12/17/2038 (a) | 500,000 | 439,299 |
Series 2022-SFR2, Class D, 4.50%, 7/17/2039 (a) | 615,000 | 557,556 |
Flagship Credit Auto Trust | ||
Series 2021-1, Class D, 1.27%, 3/15/2027 (a) | 225,000 | 206,867 |
Series 2021-3, Class C, 1.46%, 9/15/2027 (a) | 143,000 | 131,819 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2022-1, Class D, 3.64%, 3/15/2028 (a) | 536,000 | 493,733 |
Series 2022-2, Class C, 5.30%, 4/17/2028 (a) | 750,000 | 734,176 |
Series 2022-3, Class C, 4.99%, 7/17/2028 (a) | 858,000 | 829,050 |
Series 2022-3, Class D, 6.00%, 7/17/2028 (a) | 600,000 | 586,112 |
Series 2023-3, Class C, 6.01%, 7/16/2029 (a) | 900,000 | 889,330 |
Foundation Finance Trust Series 2021-1A, Class A, 1.27%, 5/15/2041 (a) | 72,560 | 64,097 |
FRTKL | ||
Series 2021-SFR1, Class B, 1.72%, 9/17/2038 (a) | 650,000 | 572,875 |
Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (a) | 238,000 | 207,167 |
Galaxy CLO Ltd. (Cayman Islands) Series 2015-19A, Class A1RR, 6.61%, 7/24/2030 (a) (g) | 219,976 | 219,325 |
GLS Auto Receivables Issuer Trust | ||
Series 2019-4A, Class C, 3.06%, 8/15/2025 (a) | 39,351 | 39,142 |
Series 2021-3A, Class D, 1.48%, 7/15/2027 (a) | 200,000 | 184,703 |
Series 2020-4A, Class E, 3.51%, 10/15/2027 (a) | 1,000,000 | 953,862 |
Series 2022-1A, Class D, 3.97%, 1/18/2028 (a) | 750,000 | 711,019 |
Series 2023-3A, Class C, 6.01%, 5/15/2029 (a) | 900,000 | 897,806 |
GLS Auto Select Receivables Trust | ||
Series 2023-1A, Class A3, 5.96%, 10/16/2028 (a) | 757,000 | 756,395 |
Series 2023-1A, Class B, 6.09%, 3/15/2029 (a) | 722,000 | 717,145 |
Goldman Home Improvement Trust Issuer Trust Series 2021-GRN2, Class A, 1.15%, 6/25/2051 (a) | 66,681 | 61,797 |
Hilton Grand Vacations Trust Series 2023-1A, Class A, 5.72%, 1/25/2038 (a) | 1,007,669 | 1,004,384 |
Home Partners of America Trust Series 2021-3, Class E1, 3.20%, 1/17/2041 (a) | 459,933 | 378,433 |
LCM LP (Cayman Islands) Series 14A, Class AR, 6.72%, 7/20/2031 (a) (g) | 350,068 | 348,472 |
LCM Ltd. (Cayman Islands) Series 26A, Class A1, 6.75%, 1/20/2031 (a) (g) | 184,374 | 184,178 |
Lendbuzz Securitization Trust Series 2021-1A, Class A, 1.46%, 6/15/2026 (a) | 58,466 | 56,408 |
Lendingpoint Asset Securitization Trust Series 2022-A, Class C, 2.82%, 6/15/2029 (a) | 300,000 | 295,055 |
LendingPoint Asset Securitization Trust Series 2020-REV1, Class B, 4.49%, 10/15/2028 (a) | 239,880 | 238,246 |
LendingPoint Pass-Through Trust Series 2022-ST1, Class A, 2.50%, 3/15/2028 (a) | 69,512 | 67,517 |
Lendmark Funding Trust Series 2021-1A, Class A, 1.90%, 11/20/2031 (a) | 950,000 | 834,503 |
LL ABS Trust Series 2021-1A, Class A, 1.07%, 5/15/2029 (a) | 25,433 | 25,162 |
LMREC LLC Series 2021-CRE4, Class A, 6.51%, 4/22/2037 (a) (g) | 10,231 | 10,070 |
LP LMS Asset Securitization Trust Series 2023-1A, Class A, 8.18%, 10/17/2033 ‡ (a) | 291,665 | 290,326 |
Mariner Finance Issuance Trust | ||
Series 2023-AA, Class A, 6.70%, 10/22/2035 (a) | 750,000 | 757,761 |
Series 2021-AA, Class A, 1.86%, 3/20/2036 (a) | 192,000 | 172,253 |
Mercury Financial Credit Card Master Trust Series 2023-1A, Class A, 8.04%, 9/20/2027 (a) | 408,000 | 410,820 |
Mission Lane Credit Card Master Trust Series 2023-A, Class A, 7.23%, 7/17/2028 (a) | 200,000 | 199,144 |
MVW LLC | ||
Series 2023-2A, Class C, 7.06%, 11/20/2040 (a) | 602,000 | 604,413 |
Series 2021-1WA, Class A, 1.14%, 1/22/2041 (a) | 90,216 | 82,667 |
Series 2021-1WA, Class B, 1.44%, 1/22/2041 (a) | 38,720 | 35,253 |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) Series 2020-37A, Class AR, 6.65%, 7/20/2031 (a) (g) | 354,000 | 352,435 |
New Residential Mortgage Loan Trust | ||
Series 2022-SFR1, Class B, 2.85%, 2/17/2039 (a) | 650,000 | 582,165 |
Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (a) | 520,000 | 446,407 |
NMEF Funding LLC Series 2021-A, Class B, 1.85%, 12/15/2027 (a) | 111,360 | 109,969 |
NRZ Excess Spread-Collateralized Notes Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a) | 78,290 | 72,008 |
Octane Receivables Trust Series 2023-1A, Class D, 7.76%, 3/20/2030 (a) | 500,000 | 505,183 |
Oportun Funding XIV LLC Series 2021-A, Class A, 1.21%, 3/8/2028 (a) | 94,977 | 90,294 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Pagaya AI Debt Selection Trust Series 2021-HG1, Class A, 1.22%, 1/16/2029 (a) | 87,911 | 85,077 |
Palmer Square Loan Funding Ltd. (Cayman Islands) Series 2021-2A, Class A1, 6.43%, 5/20/2029 (a) (g) | 88,319 | 88,042 |
PFP Ltd. (Cayman Islands) Series 2021-7, Class C, 7.09%, 4/14/2038 (a) (g) | 166,492 | 161,251 |
PRET LLC | ||
Series 2021-NPL3, Class A1, 1.87%, 7/25/2051 (a) (e) | 1,082,514 | 1,015,242 |
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (e) | 158,893 | 153,516 |
Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (a) (g) | 381,864 | 363,152 |
Pretium Mortgage Credit Partners I LLC | ||
Series 2021-NPL2, Class A1, 1.99%, 6/27/2060 (a) (e) | 164,768 | 155,145 |
Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (a) (e) | 116,141 | 114,029 |
Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 (a) (e) | 767,235 | 730,282 |
Progress Residential Series 2021-SFR3, Class E1, 2.54%, 5/17/2026 (a) | 200,000 | 176,175 |
Progress Residential Trust | ||
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a) | 350,000 | 301,505 |
Series 2022-SFR3, Class D, 4.45%, 4/17/2039 (a) | 562,000 | 518,156 |
PRPM LLC | ||
Series 2021-2, Class A1, 2.12%, 3/25/2026 (a) (g) | 91,561 | 88,831 |
Series 2021-5, Class A1, 1.79%, 6/25/2026 (a) (e) | 715,378 | 678,262 |
Series 2021-6, Class A1, 1.79%, 7/25/2026 (a) (e) | 212,251 | 201,296 |
Series 2021-7, Class A1, 1.87%, 8/25/2026 (a) (e) | 191,610 | 181,169 |
Series 2021-11, Class A1, 2.49%, 11/25/2026 (a) (e) | 192,439 | 184,606 |
Reach ABS Trust Series 2023-1A, Class A, 7.05%, 2/18/2031 (a) | 642,746 | 643,706 |
Republic Finance Issuance Trust Series 2021-A, Class A, 2.30%, 12/22/2031 (a) | 500,000 | 470,307 |
Santander Drive Auto Receivables Trust | ||
Series 2021-3, Class D, 1.33%, 9/15/2027 | 300,000 | 284,641 |
Series 2022-4, Class C, 5.00%, 11/15/2029 | 1,250,000 | 1,222,730 |
Series 2023-6, Class C, 6.40%, 3/17/2031 | 928,000 | 928,017 |
SCF Equipment Leasing LLC Series 2021-1A, Class D, 1.93%, 9/20/2030 (a) | 535,000 | 488,822 |
Sierra Timeshare Receivables Funding LLC Series 2023-2A, Class A, 5.80%, 4/20/2040 (a) | 1,027,191 | 1,035,210 |
Skopos Auto Receivables Trust Series 2019-1A, Class D, 5.24%, 4/15/2025 (a) | 86,477 | 86,404 |
Sound Point CLO Ltd. (Cayman Islands) Series 2019-1A, Class AR, 6.76%, 1/20/2032 (a) (g) | 400,000 | 398,636 |
Stratus CLO Ltd. (Cayman Islands) Series 2021-1A, Class A, 6.48%, 12/29/2029 (a) (g) | 335,023 | 333,603 |
Symphony CLO Ltd. (Cayman Islands) Series 2016-18A, Class A1RR, 6.77%, 7/23/2033 (a) (g) | 250,000 | 249,506 |
Tricon Residential Trust | ||
Series 2021-SFR1, Class E1, 2.79%, 7/17/2038 (a) | 240,000 | 213,760 |
Series 2023-SFR1, Class B, 5.10%, 7/17/2040 (a) | 800,000 | 758,495 |
Upstart Pass-Through Trust | ||
Series 2021-ST4, Class A, 2.00%, 7/20/2027 (a) | 57,043 | 54,939 |
Series 2021-ST5, Class A, 2.00%, 7/20/2027 (a) | 63,009 | 60,699 |
Series 2021-ST8, Class A, 1.75%, 10/20/2029 (a) | 70,769 | 69,213 |
Series 2021-ST9, Class A, 1.70%, 11/20/2029 (a) | 59,622 | 58,226 |
Series 2021-ST10, Class A, 2.25%, 1/20/2030 (a) | 123,257 | 121,046 |
Series 2022-ST1, Class A, 2.60%, 3/20/2030 (a) | 201,460 | 197,074 |
Upstart Securitization Trust | ||
Series 2021-2, Class B, 1.75%, 6/20/2031 (a) | 111,250 | 110,335 |
Series 2021-4, Class B, 1.84%, 9/20/2031 (a) | 231,000 | 223,668 |
Series 2021-5, Class B, 2.49%, 11/20/2031 (a) | 225,000 | 216,952 |
Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | 293,006 | 291,308 |
US Auto Funding Series 2021-1A, Class B, 1.49%, 3/17/2025 (a) | 2,479 | 2,470 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
US Auto Funding Trust Series 2022-1A, Class B, 5.13%, 12/15/2025 (a) | 574,000 | 473,998 |
VCAT LLC | ||
Series 2021-NPL2, Class A1, 2.12%, 3/27/2051 (a) (e) | 103,259 | 100,139 |
Series 2021-NPL3, Class A1, 1.74%, 5/25/2051 (a) (e) | 123,390 | 116,153 |
Series 2021-NPL4, Class A1, 1.87%, 8/25/2051 (a) (e) | 162,406 | 153,148 |
Venture CLO Ltd. (Cayman Islands) Series 2018-32A, Class A2A, 6.73%, 7/18/2031 (a) (g) | 148,959 | 148,353 |
Veros Auto Receivables Trust Series 2022-1, Class A, 3.47%, 12/15/2025 (a) | 80,821 | 80,208 |
VOLT CIII LLC Series 2021-CF1, Class A1, 1.99%, 8/25/2051 (a) (e) | 214,717 | 199,909 |
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (a) (e) | 358,402 | 331,299 |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (a) (e) | 105,125 | 98,957 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (a) (e) | 79,388 | 75,945 |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (e) | 106,703 | 100,548 |
Westlake Automobile Receivables Trust | ||
Series 2021-1A, Class D, 1.23%, 4/15/2026 (a) | 250,000 | 240,392 |
Series 2021-3A, Class D, 2.12%, 1/15/2027 (a) | 1,000,000 | 939,652 |
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | 500,000 | 496,837 |
Total Asset-Backed Securities (Cost $61,727,659) | 60,424,442 | |
U.S. Treasury Obligations — 17.8% | ||
U.S. Treasury Notes | ||
4.63%, 2/28/2025 | 32,500 | 32,331 |
3.88%, 3/31/2025 | 125,000 | 123,174 |
2.88%, 6/15/2025 | 5,820,000 | 5,646,537 |
3.00%, 7/15/2025 | 2,847,800 | 2,765,926 |
3.13%, 8/15/2025 | 195,000 | 189,599 |
3.50%, 9/15/2025 | 167,700 | 163,999 |
5.00%, 9/30/2025 | 135,000 | 135,496 |
4.25%, 10/15/2025 | 4,055,000 | 4,018,093 |
4.50%, 11/15/2025 | 5,285,000 | 5,263,117 |
4.00%, 12/15/2025 | 4,635,000 | 4,573,260 |
3.88%, 1/15/2026 | 2,475,000 | 2,436,521 |
4.00%, 2/15/2026 | 3,845,000 | 3,794,084 |
0.50%, 2/28/2026 | 15,000 | 13,697 |
4.63%, 3/15/2026 | 586,100 | 586,306 |
3.75%, 4/15/2026 | 425,000 | 417,114 |
0.75%, 5/31/2026 | 290,000 | 264,263 |
4.13%, 6/15/2026 | 1,480,000 | 1,465,373 |
4.38%, 8/15/2026 | 4,345,000 | 4,328,876 |
0.75%, 8/31/2026 | 1,180,000 | 1,066,886 |
4.63%, 9/15/2026 | 645,000 | 647,217 |
0.88%, 9/30/2026 | 65,000 | 58,894 |
4.63%, 10/15/2026 | 7,875,000 | 7,903,916 |
4.63%, 11/15/2026 | 410,000 | 411,762 |
4.00%, 2/29/2028 | 172,700 | 170,325 |
3.63%, 3/31/2028 | 3,040,000 | 2,953,787 |
3.63%, 5/31/2028 | 420,000 | 408,073 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — continued | ||
4.63%, 9/30/2028 | 440,000 | 445,775 |
4.88%, 10/31/2028 | 1,095,000 | 1,121,862 |
Total U.S. Treasury Obligations (Cost $51,618,975) | 51,406,263 | |
Mortgage-Backed Securities — 14.0% | ||
FHLMC Pool # 841368 ARM, 4.85%, 9/1/2047 (g) | 1,581,750 | 1,610,005 |
FHLMC Gold Pools, 30 Year Pool # G08878, 4.50%, 5/1/2049 | 244,626 | 233,410 |
FHLMC UMBS, 10 Year Pool # RD5034, 2.00%, 9/1/2030 | 400,920 | 366,145 |
FHLMC UMBS, 15 Year | ||
Pool # ZS6689, 2.50%, 4/1/2028 | 137,418 | 131,102 |
Pool # SB0725, 4.00%, 8/1/2037 | 931,484 | 898,256 |
Pool # SB8184, 4.00%, 10/1/2037 | 701,543 | 674,308 |
Pool # SB8189, 4.00%, 11/1/2037 | 1,954,511 | 1,878,605 |
Pool # SB8222, 4.50%, 4/1/2038 | 1,331,567 | 1,298,292 |
Pool # SB8229, 4.50%, 5/1/2038 | 1,809,387 | 1,764,171 |
FHLMC UMBS, 30 Year | ||
Pool # ZT1703, 4.00%, 1/1/2049 | 802,150 | 743,869 |
Pool # SD8231, 4.50%, 7/1/2052 | 825,389 | 773,361 |
Pool # SD8246, 5.00%, 9/1/2052 | 637,349 | 614,423 |
Pool # SD8343, 6.00%, 7/1/2053 | 7,110,242 | 7,131,368 |
FNMA Pool # BM4562 ARM, 6.26%, 5/1/2047 (g) | 1,031,879 | 1,050,494 |
FNMA UMBS, 15 Year | ||
Pool # FM1156, 2.50%, 4/1/2033 | 710,198 | 663,041 |
Pool # MA4361, 2.50%, 6/1/2036 | 343,003 | 308,948 |
Pool # CB1216, 2.50%, 7/1/2036 | 640,276 | 576,698 |
Pool # FS1563, 2.50%, 7/1/2036 | 480,247 | 432,554 |
Pool # FS1329, 2.00%, 2/1/2037 | 877,709 | 774,079 |
Pool # MA4640, 3.50%, 6/1/2037 | 645,730 | 608,656 |
Pool # MA4944, 4.50%, 3/1/2038 | 2,627,961 | 2,562,290 |
Pool # MA5041, 4.00%, 6/1/2038 | 235,677 | 226,525 |
FNMA UMBS, 20 Year | ||
Pool # FM3933, 3.00%, 6/1/2037 | 1,480,560 | 1,349,400 |
Pool # FM3075, 3.50%, 11/1/2039 | 956,287 | 884,060 |
Pool # CA8310, 2.50%, 12/1/2040 | 246,070 | 211,446 |
Pool # MA4780, 4.50%, 10/1/2042 | 2,469,379 | 2,364,014 |
FNMA UMBS, 30 Year | ||
Pool # FM2972, 4.00%, 12/1/2044 | 834,243 | 780,896 |
Pool # FS2237, 4.00%, 10/1/2046 | 1,961,860 | 1,840,638 |
Pool # BM1285, 4.50%, 5/1/2047 | 132,505 | 127,224 |
Pool # FS1847, 4.00%, 1/1/2049 | 245,252 | 227,787 |
Pool # FS1891, 4.00%, 1/1/2050 | 817,497 | 758,264 |
Pool # FS0085, 4.00%, 11/1/2050 | 878,766 | 814,977 |
Pool # MA4733, 4.50%, 9/1/2052 | 833,599 | 781,027 |
Pool # MA5039, 5.50%, 6/1/2053 | 3,018,723 | 2,974,871 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
GNMA II, 30 Year | ||
Pool # MA8201, 4.50%, 8/20/2052 | 702,256 | 664,765 |
Pool # MA8429, 5.50%, 11/20/2052 | 1,221,374 | 1,213,834 |
Total Mortgage-Backed Securities (Cost $41,327,028) | 40,313,803 | |
Commercial Mortgage-Backed Securities — 3.9% | ||
Beast Mortgage Trust Series 2021-1818, Class B, 6.89%, 3/15/2036 (a) (g) | 179,000 | 149,773 |
BX Commercial Mortgage Trust Series 2021-VOLT, Class D, 7.09%, 9/15/2036 (a) (g) | 275,000 | 262,987 |
BX Trust | ||
Series 2021-RISE, Class D, 7.19%, 11/15/2036 (a) (g) | 330,132 | 322,052 |
Series 2022-LBA6, Class D, 7.32%, 1/15/2039 (a) (g) | 525,000 | 510,507 |
Citigroup Commercial Mortgage Trust | ||
Series 2021-PRM2, Class F, 9.19%, 10/15/2038 (a) (g) | 275,000 | 262,577 |
Series 2015-GC27, Class B, 3.77%, 2/10/2048 | 200,000 | 187,727 |
Series 2015-GC27, Class C, 4.57%, 2/10/2048 (g) | 440,000 | 401,027 |
Series 2015-GC29, Class C, 4.28%, 4/10/2048 (g) | 400,000 | 366,342 |
Series 2015-GC31, Class C, 4.17%, 6/10/2048 (g) | 250,000 | 192,410 |
Commercial Mortgage Trust | ||
Series 2019-WCM, Class G, 8.14%, 10/15/2034 (a) (g) | 385,000 | 381,792 |
Series 2014-UBS5, Class C, 4.75%, 9/10/2047 (g) | 500,000 | 427,182 |
Series 2014-CR20, Class C, 4.60%, 11/10/2047 (g) | 100,000 | 90,855 |
Series 2015-CR26, Class B, 4.61%, 10/10/2048 (g) | 200,000 | 185,253 |
Series 2015-PC1, Class B, 4.42%, 7/10/2050 (g) | 200,000 | 183,272 |
CSAIL Commercial Mortgage Trust Series 2015-C4, Class E, 3.71%, 11/15/2048 (g) | 325,000 | 250,933 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K068, Class X1, IO, 0.55%, 8/25/2027 (g) | 3,527,766 | 47,664 |
Series K111, Class X3, IO, 3.29%, 4/25/2048 (g) | 405,000 | 64,774 |
Series K110, Class X3, IO, 3.52%, 6/25/2048 (g) | 380,000 | 63,674 |
Series K115, Class X3, IO, 3.06%, 9/25/2048 (g) | 430,000 | 64,292 |
Series K125, Class X3, IO, 2.74%, 2/25/2049 (g) | 460,000 | 65,617 |
FREMF Mortgage Trust | ||
Series 2018-K732, Class C, 4.19%, 5/25/2025 (a) (g) | 200,000 | 192,631 |
Series 2014-K41, Class C, 3.96%, 11/25/2047 (a) (g) | 100,000 | 97,425 |
Series 2016-K57, Class C, 4.05%, 8/25/2049 (a) (g) | 185,000 | 174,546 |
Series 2016-K58, Class C, 3.87%, 9/25/2049 (a) (g) | 110,000 | 103,227 |
GS Mortgage Securities Trust | ||
Series 2016-GS2, Class B, 3.76%, 5/10/2049 (g) | 100,000 | 89,389 |
Series 2017-GS5, Class D, 3.51%, 3/10/2050 (a) (g) | 250,000 | 108,490 |
Independence Plaza Trust Series 2018-INDP, Class C, 4.16%, 7/10/2035 (a) | 150,000 | 138,668 |
JPMBB Commercial Mortgage Securities Trust | ||
Series 2015-C31, Class C, 4.78%, 8/15/2048 (g) | 150,000 | 112,550 |
Series 2016-C1, Class D1, 4.36%, 3/17/2049 (a) (g) | 400,000 | 317,308 |
JPMCC Commercial Mortgage Securities Trust | ||
Series 2017-JP5, Class C, 3.90%, 3/15/2050 (g) | 800,000 | 598,611 |
Series 2017-JP5, Class D, 4.65%, 3/15/2050 (a) (g) | 275,000 | 185,786 |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-C16, Class D, 5.04%, 12/15/2046 (a) (g) | 200,000 | 170,000 |
Life Mortgage Trust Series 2021-BMR, Class C, 6.54%, 3/15/2038 (a) (g) | 191,679 | 184,693 |
MHC Commercial Mortgage Trust Series 2021-MHC, Class D, 7.04%, 4/15/2038 (a) (g) | 230,623 | 226,283 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2014-C14, Class D, 5.22%, 2/15/2047 (a) (g) | 175,023 | 157,616 |
Series 2015-C24, Class D, 3.26%, 5/15/2048 (a) | 220,000 | 180,426 |
Series 2015-C25, Class B, 4.67%, 10/15/2048 (g) | 500,000 | 457,774 |
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048 | 225,000 | 191,229 |
SMRT Series 2022-MINI, Class E, 8.02%, 1/15/2039 (a) (g) | 350,000 | 327,167 |
STWD Mortgage Trust (Cayman Islands) Series 2021-LIH, Class B, 7.09%, 11/15/2036 (a) (g) | 400,000 | 389,081 |
Velocity Commercial Capital Loan Trust Series 2021-2, Class A, 1.52%, 8/25/2051 (a) (g) | 122,852 | 100,835 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2015-NXS4, Class B, 4.22%, 12/15/2048 (g) | 500,000 | 453,369 |
Series 2015-LC22, Class D, 4.70%, 9/15/2058 (g) | 205,000 | 168,710 |
WFRBS Commercial Mortgage Trust | ||
Series 2013-C11, Class C, 4.13%, 3/15/2045 (g) | 117,000 | 94,879 |
Series 2014-C25, Class B, 4.24%, 11/15/2047 (g) | 160,000 | 150,066 |
Series 2014-C22, Class C, 3.90%, 9/15/2057 (g) | 725,000 | 510,920 |
Series 2014-C22, Class AS, 4.07%, 9/15/2057 (g) | 1,000,000 | 905,056 |
Total Commercial Mortgage-Backed Securities (Cost $12,758,708) | 11,267,445 | |
Collateralized Mortgage Obligations — 2.5% | ||
Connecticut Avenue Securities Trust | ||
Series 2022-R01, Class 1M2, 7.23%, 12/25/2041 (a) (g) | 521,000 | 519,089 |
Series 2022-R02, Class 2M2, 8.33%, 1/25/2042 (a) (g) | 225,000 | 227,392 |
FHLMC STACR REMIC Trust | ||
Series 2022-DNA1, Class M1A, 6.33%, 1/25/2042 (a) (g) | 638,059 | 634,757 |
Series 2020-HQA3, Class B1, 11.19%, 7/25/2050 (a) (g) | 170,590 | 187,873 |
FHLMC Structured Agency Credit Risk Debt Notes Series 2021-DNA2, Class M2, 7.63%, 8/25/2033 (a) (g) | 89,251 | 89,913 |
FHLMC, REMIC | ||
Series 2673, Class PE, 5.50%, 9/15/2033 | 84,589 | 84,215 |
Series 4754, Class VG, 4.00%, 12/15/2036 | 625,000 | 605,073 |
Series 3878, Class PL, 4.50%, 11/15/2040 | 354,581 | 344,797 |
Series 4376, Class A, 4.00%, 7/15/2041 | 1,071,198 | 1,046,394 |
Series 4718, Class DA, 3.00%, 2/15/2047 | 242,102 | 216,400 |
Series 5021, Class MI, IO, 3.00%, 10/25/2050 | 419,430 | 65,037 |
FNMA, REMIC | ||
Series 2012-136, Class DL, 3.50%, 12/25/2042 | 222,076 | 208,021 |
Series 2022-42, Class EA, 3.75%, 6/25/2052 | 2,157,553 | 2,014,449 |
Series 2022-43, Class P, 4.00%, 7/25/2052 | 511,287 | 479,420 |
GNMA Series 2021-9, Class MI, IO, 2.50%, 1/20/2051 | 225,996 | 30,584 |
Legacy Mortgage Asset Trust Series 2021-GS3, Class A1, 1.75%, 7/25/2061 (a) (e) | 108,145 | 101,296 |
LHOME Mortgage Trust Series 2021-RTL1, Class A1, 3.09%, 2/25/2026 (a) (g) | 16,436 | 16,375 |
NYMT Loan Trust Series 2021-SP1, Class A1, 1.67%, 8/25/2061 (a) (e) | 245,500 | 225,724 |
Verus Securitization Trust Series 2021-2, Class M1, 2.19%, 2/25/2066 (a) (g) | 144,000 | 96,457 |
Total Collateralized Mortgage Obligations (Cost $7,540,694) | 7,193,266 | |
Foreign Government Securities — 0.8% | ||
Dominican Republic Government Bond | ||
6.00%, 7/19/2028 (c) | 300,000 | 291,957 |
4.50%, 1/30/2030 (a) | 150,000 | 131,925 |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Federal Republic of Nigeria | ||
7.63%, 11/21/2025 (c) | 200,000 | 195,000 |
6.50%, 11/28/2027 (c) | 200,000 | 177,000 |
Hashemite Kingdom of Jordan | ||
4.95%, 7/7/2025 (c) | 200,000 | 193,500 |
6.13%, 1/29/2026 (c) | 200,000 | 196,000 |
Republic of Angola 8.25%, 5/9/2028 (c) | 200,000 | 177,000 |
Republic of Cote d'Ivoire | ||
6.38%, 3/3/2028 (c) | 400,000 | 384,200 |
5.75%, 12/31/2032 (c) (e) | 56,694 | 52,262 |
Republic of Iraq 5.80%, 1/15/2028 (c) | 140,625 | 129,199 |
Republic of Turkey 9.88%, 1/15/2028 | 200,000 | 214,750 |
Turkiye Ihracat Kredi Bankasi A/S 9.38%, 1/31/2026 (a) | 200,000 | 205,375 |
Total Foreign Government Securities (Cost $2,436,690) | 2,348,168 | |
Municipal Bonds — 0.0% (h) ^ | ||
California — 0.0% ^ | ||
California Housing Finance Agency Series 2021-1, Class X, Rev., 0.80%, 11/20/2035 (Cost $107,615) | 2,120,927 | 104,890 |
SHARES | ||
Short-Term Investments — 3.1% | ||
Investment Companies — 2.7% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.48% (i) (j) (Cost $7,819,831) | 7,817,604 | 7,821,513 |
Investment of Cash Collateral from Securities Loaned — 0.1% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.28% (i) (j) (Cost $307,458) | 307,458 | 307,458 |
PRINCIPAL AMOUNT($) | ||
U.S. Treasury Obligations — 0.3% | ||
U.S. Treasury Bills, 5.41%, 2/15/2024 (k) (l) (Cost $719,901) | 728,000 | 719,940 |
Total Short-Term Investments (Cost $8,847,190) | 8,848,911 | |
Total Investments — 99.3% (Cost $293,404,377) | 286,276,660 | |
Other Assets Less Liabilities — 0.7% | 1,924,808 | |
NET ASSETS — 100.0% | 288,201,468 |
Percentages indicated are based on net assets. |
Abbreviations | |
ABS | Asset-Backed Securities |
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2023. |
CLO | Collateralized Loan Obligations |
CME | Chicago Mercantile Exchange |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
GNMA | Government National Mortgage Association |
IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
JSC | Joint Stock Company |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
Rev. | Revenue |
SCA | Limited partnership with share capital |
SOFR | Secured Overnight Financing Rate |
SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
UMBS | Uniform Mortgage-Backed Securities |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(b) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2023. | |
(c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(d) | Defaulted security. | |
(e) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of November 30, 2023. | |
(f) | The security or a portion of this security is on loan at November 30, 2023. The total value of securities on loan at November 30, 2023 is $295,757. | |
(g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2023. | |
(h) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(i) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(j) | The rate shown is the current yield as of November 30, 2023. | |
(k) | The rate shown is the effective yield as of November 30, 2023. | |
(l) | All or a portion of this security is deposited with the broker as initial margin for futures contracts or centrally cleared swaps. |
Futures contracts outstanding as of November 30, 2023:
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 2 Year Note | 135 | 03/28/2024 | USD | 27,611,719 | 52,463 |
U.S. Treasury 5 Year Note | 374 | 03/28/2024 | USD | 39,991,703 | 147,962 |
200,425 | |||||
Short Contracts | |||||
U.S. Treasury 10 Year Note | (84 ) | 03/19/2024 | USD | (9,230,812 ) | (37,379 ) |
U.S. Treasury 10 Year Ultra Note | (39 ) | 03/19/2024 | USD | (4,430,766 ) | (24,043 ) |
U.S. Treasury Long Bond | (11 ) | 03/19/2024 | USD | (1,282,875 ) | (9,602 ) |
(71,024 ) | |||||
129,401 |
Abbreviations | |
USD | United States Dollar |
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of November 30, 2023:
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CDX.NA.HY.41-V2 | 5.00 | Quarterly | 12/20/2028 | 4.03 | USD1,530,000 | (13,777 ) | (60,177 ) | (73,954 ) |
(*) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. | ||||||||
(a) | Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. | ||||||||
(b) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. | ||||||||
(c) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
Abbreviations | |
CDX | Credit Default Swap Index |
USD | United States Dollar |
JPMorgan Short Duration Core Plus 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 per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations. Swaps are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the 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 Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $59,166,906 | $1,257,536 | $60,424,442 |
Collateralized Mortgage Obligations | — | 7,193,266 | — | 7,193,266 |
Commercial Mortgage-Backed Securities | — | 11,267,445 | — | 11,267,445 |
Corporate Bonds | — | 104,369,472 | — | 104,369,472 |
Foreign Government Securities | — | 2,348,168 | — | 2,348,168 |
Mortgage-Backed Securities | — | 40,313,803 | — | 40,313,803 |
Municipal Bonds | — | 104,890 | — | 104,890 |
U.S. Treasury Obligations | — | 51,406,263 | — | 51,406,263 |
Short-Term Investments | ||||
Investment Companies | 7,821,513 | — | — | 7,821,513 |
Investment of Cash Collateral from Securities Loaned | 307,458 | — | — | 307,458 |
U.S. Treasury Obligations | — | 719,940 | — | 719,940 |
Total Short-Term Investments | 8,128,971 | 719,940 | — | 8,848,911 |
Total Investments in Securities | $8,128,971 | $276,890,153 | $1,257,536 | $286,276,660 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $200,425 | $— | $— | $200,425 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (71,024 ) | — | — | (71,024 ) |
Swaps | — | (60,177 ) | — | (60,177 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $129,401 | $(60,177 ) | $— | $69,224 |
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, | |
Investments in Securities: | |||||||||
Asset-Backed Securities | $1,755,429 | $— | $20,420 | $2,007 | $499,998 | $(467,643 ) | $— | $(552,675 ) | $1,257,536 |
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 $20,420.
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.
B. Investment Transactions with Affiliates — The Fund invested in Underlying Funds advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuers listed in the table below to be affiliated issuers.
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
The Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the 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) | $— | $104,688,466 | $96,867,522 | $(1,113 ) | $1,682 | $7,821,513 | 7,817,604 | $314,902 | $— |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.28% (a) (b) | 805,328 | 9,072,965 | 9,570,835 | — | — | 307,458 | 307,458 | — | — |
Total | $805,328 | $113,761,431 | $106,438,357 | $(1,113 ) | $1,682 | $8,128,971 | $314,902 | $— |
(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.
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
The Fund may be exposed to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subject the Fund to risk of loss up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Fund's futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(2). 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.
JPMorgan Short Duration Core Plus ETFSCHEDULE OF PORTFOLIO INVESTMENTSAS OF November 30, 2023 (Unaudited) (continued)
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the Fund, as a protection seller, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to the Fund's portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.