JPMorgan Active Bond ETF
Schedule of Portfolio Investments as of May 31, 2024
(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., 2024. |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — 23.9% | ||
U.S. Treasury Bonds | ||
3.88%, 8/15/2040 | 600,000 | 548,695 |
4.75%, 2/15/2041 | 1,679,000 | 1,701,758 |
4.38%, 8/15/2043 | 4,865,000 | 4,645,885 |
3.00%, 2/15/2048 | 1,920,000 | 1,443,000 |
3.00%, 8/15/2048 | 1,678,000 | 1,257,648 |
2.38%, 11/15/2049 | 1,250,000 | 817,871 |
3.00%, 8/15/2052 | 637,000 | 471,828 |
4.13%, 8/15/2053 | 2,099,000 | 1,925,177 |
4.75%, 11/15/2053 | 950,000 | 967,812 |
4.25%, 2/15/2054 | 1,070,000 | 1,003,627 |
U.S. Treasury Notes | ||
5.00%, 9/30/2025 | 305,000 | 304,654 |
4.25%, 12/31/2025 | 1,800,000 | 1,779,187 |
4.25%, 3/15/2027 | 3,040,000 | 3,004,850 |
4.50%, 5/15/2027 | 2,000,000 | 1,990,625 |
4.63%, 9/30/2028 | 7,885,000 | 7,906,253 |
2.63%, 2/15/2029 | 2,800,000 | 2,576,328 |
2.38%, 3/31/2029 | 500,000 | 453,887 |
4.13%, 3/31/2029 | 5,305,000 | 5,215,064 |
4.13%, 8/31/2030 | 6,090,000 | 5,961,063 |
4.88%, 10/31/2030 | 1,300,000 | 1,325,797 |
4.38%, 11/30/2030 | 8,205,000 | 8,142,501 |
4.50%, 11/15/2033 | 3,500,000 | 3,500,547 |
4.00%, 2/15/2034 | 1,849,400 | 1,778,025 |
U.S. Treasury STRIPS Bonds | ||
4.95%, 5/15/2040 (a) | 1,670,000 | 773,875 |
5.59%, 2/15/2041 (a) | 2,249,000 | 999,328 |
Total U.S. Treasury Obligations (Cost $60,336,041) | 60,495,285 | |
Mortgage-Backed Securities — 22.8% | ||
FHLMC Gold Pools, Other Pool # RE0003, 4.00%, 7/1/2049 | 554,391 | 512,469 |
FHLMC UMBS, 30 Year | ||
Pool # SI2041, 3.00%, 10/1/2049 | 1,375,681 | 1,173,807 |
Pool # RA3653, 1.50%, 10/1/2050 | 731,114 | 539,925 |
Pool # QC2061, 2.00%, 5/1/2051 | 808,778 | 632,347 |
Pool # RA5680, 2.00%, 8/1/2051 | 1,870,986 | 1,450,530 |
Pool # SD0809, 3.00%, 1/1/2052 | 1,394,922 | 1,182,217 |
Pool # RA6815, 2.50%, 2/1/2052 | 1,040,193 | 849,414 |
Pool # SD1373, 3.00%, 5/1/2052 | 568,823 | 482,020 |
FNMA / FHLMC UMBS, Single Family, 30 Year TBA, 5.00%, 6/25/2054 (b) | 5,900,000 | 5,677,952 |
FNMA UMBS, 30 Year | ||
Pool # AL9058, 3.50%, 9/1/2046 | 297,245 | 266,779 |
Pool # AL9397, 3.00%, 10/1/2046 | 384,297 | 331,733 |
Pool # BE9590, 3.50%, 5/1/2047 | 142,439 | 127,482 |
Pool # BQ1367, 2.50%, 9/1/2050 | 1,030,933 | 843,904 |
Pool # BQ3137, 2.50%, 10/1/2050 | 427,761 | 354,404 |
Pool # FM4947, 2.00%, 12/1/2050 | 1,511,978 | 1,182,314 |
Pool # CA8021, 2.50%, 12/1/2050 | 477,653 | 388,994 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # CB0458, 2.50%, 5/1/2051 | 464,287 | 378,139 |
Pool # FM7293, 2.50%, 5/1/2051 | 224,863 | 184,216 |
Pool # CB0397, 3.00%, 5/1/2051 | 267,127 | 226,984 |
Pool # FM7346, 3.00%, 5/1/2051 | 474,138 | 402,887 |
Pool # BT2415, 2.50%, 7/1/2051 (b) | 1,585,568 | 1,286,419 |
Pool # FM7910, 2.50%, 7/1/2051 | 630,479 | 521,950 |
Pool # FM7957, 2.50%, 7/1/2051 | 780,152 | 637,640 |
Pool # CB1406, 3.00%, 8/1/2051 | 813,286 | 691,060 |
Pool # FS5389, 2.50%, 11/1/2051 | 472,399 | 385,940 |
Pool # BU3608, 3.00%, 11/1/2051 | 142,831 | 121,144 |
Pool # BU9885, 2.50%, 1/1/2052 | 575,492 | 466,130 |
Pool # CB2855, 2.50%, 2/1/2052 | 756,677 | 622,770 |
Pool # FS0488, 3.00%, 2/1/2052 | 1,402,801 | 1,194,195 |
Pool # BV4133, 2.50%, 3/1/2052 | 1,321,126 | 1,069,575 |
Pool # CB3384, 4.00%, 4/1/2052 | 386,584 | 351,506 |
Pool # CB3775, 4.00%, 6/1/2052 | 365,145 | 332,050 |
Pool # BY9849, 6.00%, 10/1/2053 | 573,782 | 576,335 |
FNMA, Other | ||
Pool # BS2870, 1.27%, 8/1/2028 | 345,847 | 299,513 |
Pool # BL6257, 2.13%, 11/1/2028 | 1,200,051 | 1,068,435 |
Pool # BS5507, 3.23%, 11/1/2028 | 298,447 | 279,058 |
Pool # BS4928, 2.15%, 3/1/2029 | 2,646,000 | 2,349,258 |
Pool # BS5162, 2.73%, 9/1/2029 | 1,140,093 | 1,026,476 |
Pool # BL4429, 2.25%, 10/1/2029 | 297,933 | 262,986 |
Pool # AM6835, 3.58%, 10/1/2029 | 1,164,545 | 1,086,864 |
Pool # BL4333, 2.52%, 11/1/2029 | 374,715 | 334,020 |
Pool # AN8514, 3.27%, 2/1/2030 | 953,521 | 879,164 |
Pool # BS6161, 4.47%, 8/1/2030 | 491,791 | 478,668 |
Pool # BZ0392, 4.82%, 3/1/2031 | 797,791 | 794,395 |
Pool # BM6857, 1.83%, 12/1/2031 (c) | 1,495,811 | 1,214,005 |
Pool # BS5337, 3.01%, 4/1/2032 | 310,000 | 272,654 |
Pool # BS5581, 3.46%, 6/1/2032 | 368,536 | 334,993 |
Pool # BS5659, 3.66%, 6/1/2032 | 795,000 | 726,489 |
Pool # AN5759, 3.29%, 7/1/2032 | 1,132,680 | 1,014,836 |
Pool # BS5530, 3.30%, 7/1/2032 | 701,000 | 624,159 |
Pool # BS6132, 3.86%, 7/1/2032 | 415,000 | 385,703 |
Pool # BS6276, 3.97%, 8/1/2032 | 680,000 | 633,560 |
Pool # BS5718, 3.46%, 9/1/2032 | 900,000 | 808,253 |
Pool # BS6689, 3.83%, 9/1/2032 | 390,000 | 361,235 |
Pool # BS6417, 3.83%, 10/1/2032 | 495,650 | 459,168 |
Pool # BS6951, 3.90%, 10/1/2032 | 500,000 | 463,801 |
Pool # BS6619, 3.91%, 10/1/2032 | 592,436 | 548,440 |
Pool # BS6731, 3.78%, 11/1/2032 | 132,731 | 122,716 |
Pool # BZ0159, 4.98%, 1/1/2033 | 490,000 | 490,540 |
Pool # BS1636, 2.25%, 4/1/2033 | 750,000 | 611,761 |
Pool # BS1899, 2.17%, 5/1/2033 | 605,000 | 489,827 |
Pool # BS9616, 4.79%, 9/1/2033 | 300,000 | 295,119 |
Pool # BZ0419, 4.25%, 1/1/2034 | 605,000 | 573,336 |
Pool # BZ0430, 4.32%, 2/1/2034 | 325,000 | 309,478 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # BZ0401, 4.52%, 3/1/2034 | 400,000 | 387,122 |
Pool # BL2213, 3.34%, 5/1/2034 | 1,000,000 | 882,963 |
Pool # BZ0565, 5.04%, 5/1/2034 | 1,000,000 | 1,004,951 |
Pool # BL3772, 2.92%, 10/1/2034 | 110,016 | 93,996 |
Pool # BL7071, 1.91%, 6/1/2035 | 383,000 | 284,310 |
Pool # AN4430, 3.61%, 1/1/2037 | 414,823 | 383,168 |
Pool # BS5761, 3.87%, 6/1/2037 | 100,000 | 88,812 |
Pool # MA1177, 3.50%, 9/1/2042 | 51,344 | 46,563 |
Pool # CA4632, 4.00%, 11/1/2043 | 571,522 | 539,440 |
Pool # BF0189, 3.00%, 6/1/2057 | 669,816 | 560,754 |
Pool # BF0546, 2.50%, 7/1/2061 | 407,071 | 322,905 |
FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 2.50%, 6/25/2054 (b) | 7,010,000 | 5,659,515 |
GNMA II Pool # CK7234 ARM, 6.56%, 2/20/2072 (c) | 421,608 | 434,787 |
GNMA II, 30 Year | ||
Pool # AQ6679, 3.50%, 10/20/2045 | 130,986 | 118,196 |
Pool # AK8802, 3.75%, 3/20/2046 | 297,196 | 271,903 |
Pool # CO8957, 5.00%, 12/20/2052 | 798,414 | 768,967 |
Pool # CX2674, 6.00%, 10/20/2053 | 227,604 | 231,796 |
GNMA II, Other Pool # AD0019, 3.50%, 2/20/2033 | 837,186 | 791,250 |
Total Mortgage-Backed Securities (Cost $57,215,007) | 57,915,539 | |
Asset-Backed Securities — 21.2% | ||
ACM Auto Trust Series 2023-2A, Class A, 7.97%, 6/20/2030 (d) | 189,627 | 190,770 |
American Credit Acceptance Receivables Trust Series 2023-4, Class C, 6.99%, 9/12/2030 (d) | 430,000 | 437,589 |
AMSR Trust | ||
Series 2020-SFR2, Class E1, 4.03%, 7/17/2037 (d) | 368,000 | 356,093 |
Series 2020-SFR2, Class E2, 4.28%, 7/17/2037 (d) | 500,000 | 484,076 |
Series 2020-SFR4, Class D, 2.01%, 11/17/2037 (d) | 544,000 | 510,919 |
Series 2021-SFR1, Class D, 2.60%, 6/17/2038 (d) | 1,000,000 | 870,273 |
Series 2021-SFR2, Class A, 1.53%, 8/17/2038 (d) | 100,000 | 91,390 |
Series 2021-SFR3, Class C, 1.80%, 10/17/2038 (d) | 380,000 | 344,191 |
Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 (d) | 620,000 | 562,607 |
Series 2019-SFR1, Class D, 3.25%, 1/19/2039 (d) | 500,000 | 468,817 |
Series 2023-SFR1, Class E1, 4.00%, 4/17/2040 (d) | 520,000 | 469,294 |
Series 2023-SFR2, Class E1, 3.95%, 6/17/2040 (d) | 550,000 | 481,356 |
Aqua Finance Trust Series 2020-AA, Class C, 3.97%, 7/17/2046 (d) | 150,000 | 135,424 |
Bridge Trust Series 2022-SFR1, Class A, 3.40%, 11/17/2037 (d) | 350,000 | 336,223 |
Bridgecrest Lending Auto Securitization Trust Series 2023-1, Class C, 7.10%, 8/15/2029 | 350,000 | 358,379 |
Business Jet Securities LLC | ||
Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (d) | 1,153,413 | 1,084,537 |
Series 2021-1A, Class B, 2.92%, 4/15/2036 ‡ (d) | 45,743 | 43,019 |
BXG Receivables Note Trust Series 2022-A, Class C, 5.35%, 9/28/2037 (d) | 240,051 | 228,435 |
Carvana Auto Receivables Trust | ||
Series 2023-N1, Class B, 5.85%, 11/10/2027 (d) | 660,000 | 659,084 |
Series 2021-P4, Class A4, 1.64%, 12/10/2027 | 400,000 | 373,932 |
Series 2022-P1, Class A4, 3.52%, 2/10/2028 | 300,000 | 288,760 |
Cascade MH Asset Trust Series 2021-MH1, Class M2, 3.69%, 2/25/2046 (d) | 630,000 | 486,421 |
CPS Auto Receivables Trust Series 2023-D, Class C, 7.17%, 1/15/2030 (d) | 400,000 | 408,729 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Credit Acceptance Auto Loan Trust | ||
Series 2021-2A, Class C, 1.64%, 6/17/2030 (d) | 496,880 | 496,007 |
Series 2021-4, Class A, 1.26%, 10/15/2030 (d) | 213,660 | 211,449 |
Series 2021-4, Class C, 1.94%, 2/18/2031 (d) | 480,000 | 460,623 |
Series 2023-2A, Class A, 5.92%, 5/16/2033 (d) | 600,000 | 600,434 |
DP Lion Holdco LLC Series 2023-1A, Class A, 8.24%, 11/30/2043 ‡ | 239,295 | 240,467 |
FHF Issuer Trust | ||
Series 2023-2A, Class B, 7.49%, 11/15/2029 (d) | 450,000 | 464,333 |
Series 2024-1A, Class B, 6.26%, 3/15/2030 (d) | 158,000 | 158,248 |
First Investors Auto Owner Trust Series 2023-1A, Class C, 6.81%, 12/17/2029 (d) | 340,000 | 347,299 |
FirstKey Homes Trust | ||
Series 2020-SFR1, Class D, 2.24%, 8/17/2037 (d) | 400,000 | 379,646 |
Series 2020-SFR1, Class E, 2.79%, 8/17/2037 (d) | 500,000 | 476,370 |
Series 2020-SFR2, Class C, 1.67%, 10/19/2037 (d) | 295,000 | 276,760 |
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (d) | 615,000 | 581,465 |
Series 2021-SFR1, Class C, 1.89%, 8/17/2038 (d) | 450,000 | 410,037 |
Series 2022-SFRA, Class A, 3.10%, 3/17/2039 (d) | 295,662 | 276,673 |
FMC GMSR Issuer Trust | ||
Series 2020-GT1, Class A, 4.45%, 1/25/2026 (c) (d) | 1,600,000 | 1,477,901 |
Series 2021-GT1, Class A, 3.62%, 7/25/2026 (c) (d) | 1,113,095 | 988,656 |
Series 2021-GT1, Class B, 4.36%, 7/25/2026 (c) (d) | 600,000 | 517,032 |
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (c) (d) | 522,400 | 464,395 |
Series 2022-GT1, Class B, 7.17%, 4/25/2027 (d) | 500,000 | 471,736 |
Foundation Finance Trust Series 2023-2A, Class D, 9.10%, 6/15/2049 (d) | 500,000 | 513,303 |
FRTKL Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (d) | 545,000 | 490,817 |
GLS Auto Receivables Issuer Trust Series 2021-4A, Class D, 2.48%, 10/15/2027 (d) | 1,000,000 | 952,030 |
GLS Auto Select Receivables Trust | ||
Series 2023-2A, Class A3, 6.38%, 2/15/2029 (d) | 500,000 | 508,777 |
Series 2024-1A, Class C, 5.69%, 3/15/2030 (d) | 300,000 | 298,084 |
Series 2024-1A, Class D, 6.43%, 1/15/2031 (d) | 295,000 | 296,514 |
Goodgreen Ltd. | ||
Series 2024-1A, Class A, 6.29%, 7/15/2056 ‡ (d) | 493,852 | 488,715 |
Series 2024-1A, Class B, 8.12%, 7/15/2056 ‡ (d) | 493,851 | 491,036 |
Goodgreen Trust | ||
Series 2016-1A, Class A, 3.23%, 10/15/2052 ‡ (d) | 687,084 | 609,155 |
Series 2020-1A, Class A, 2.63%, 4/15/2055 ‡ (d) | 659,734 | 535,053 |
Granite Park Equipment Leasing LLC | ||
Series 2023-1A, Class A3, 6.46%, 9/20/2032 (d) | 354,000 | 358,921 |
Series 2023-1A, Class D, 7.00%, 8/22/2033 (d) | 350,000 | 343,014 |
HERO Funding (Cayman Islands) Series 2017-3A, Class A1, 3.19%, 9/20/2048 ‡ (d) | 467,347 | 399,187 |
HERO Funding Trust (Cayman Islands) Series 2020-1A, Class A, 2.59%, 9/20/2057 ‡ (d) | 529,665 | 426,159 |
Hilton Grand Vacations Trust | ||
Series 2022-2A, Class B, 4.74%, 1/25/2037 (d) | 378,444 | 368,922 |
Series 2024-1B, Class B, 5.99%, 9/15/2039 (d) | 531,284 | 534,573 |
HIN Timeshare Trust Series 2020-A, Class A, 1.39%, 10/9/2039 (d) | 303,862 | 275,654 |
HINNT LLC Series 2024-A, Class C, 6.32%, 3/15/2043 (d) | 671,017 | 669,652 |
Home Partners of America Trust | ||
Series 2022-1, Class D, 4.73%, 4/17/2039 (d) | 336,045 | 314,053 |
Series 2020-2, Class E, 3.08%, 1/17/2041 (d) | 487,465 | 406,190 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Lendmark Funding Trust | ||
Series 2021-1A, Class B, 2.47%, 11/20/2031 (d) | 400,000 | 353,493 |
Series 2021-2A, Class B, 2.37%, 4/20/2032 (d) | 500,000 | 433,690 |
Series 2022-1A, Class E, 7.58%, 7/20/2032 ‡ (d) | 775,000 | 753,785 |
Mariner Finance Issuance Trust | ||
Series 2020-AA, Class A, 2.19%, 8/21/2034 (d) | 92,898 | 91,876 |
Series 2020-AA, Class B, 3.21%, 8/21/2034 (d) | 200,000 | 194,787 |
Series 2021-AA, Class B, 2.33%, 3/20/2036 (d) | 310,000 | 277,318 |
Series 2021-AA, Class C, 2.96%, 3/20/2036 (d) | 200,000 | 177,522 |
Series 2021-AA, Class D, 3.83%, 3/20/2036 (d) | 225,000 | 198,451 |
Series 2021-BA, Class C, 2.66%, 11/20/2036 (d) | 200,000 | 172,279 |
Merchants Fleet Funding LLC Series 2023-1A, Class A, 7.21%, 5/20/2036 (d) | 477,127 | 479,219 |
MNR ABS Issuer I LLC, 8.95%, 12/15/2038 ‡ | 238,882 | 240,344 |
New Residential Mortgage Loan Trust Series 2022-SFR1, Class B, 2.85%, 2/17/2039 (d) | 455,000 | 418,441 |
NRZ Excess Spread-Collateralized Notes | ||
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (d) | 984,232 | 928,883 |
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (d) | 462,105 | 433,192 |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (d) | 287,265 | 266,312 |
NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (d) | 499,401 | 482,912 |
OneMain Direct Auto Receivables Trust | ||
Series 2021-1A, Class A, 0.87%, 7/14/2028 (d) | 220,118 | 212,962 |
Series 2021-1A, Class B, 1.26%, 7/14/2028 (d) | 700,000 | 650,433 |
Oportun Issuance Trust | ||
Series 2024-1A, Class B, 6.55%, 4/8/2031 (d) | 206,000 | 205,900 |
Series 2021-B, Class A, 1.47%, 5/8/2031 (d) | 1,020,000 | 963,889 |
Series 2021-B, Class C, 3.65%, 5/8/2031 (d) | 1,400,000 | 1,340,606 |
Series 2021-C, Class A, 2.18%, 10/8/2031 (d) | 868,000 | 821,740 |
Series 2021-C, Class B, 2.67%, 10/8/2031 (d) | 665,000 | 626,401 |
Pagaya AI Technology in Housing Trust Series 2023-1, Class A, 3.60%, 10/25/2040 (d) | 550,000 | 502,343 |
Pretium Mortgage Credit Partners LLC | ||
Series 2022-NPL1, Class A1, 2.98%, 1/25/2052 (d) (e) | 421,043 | 407,891 |
Series 2021-RN1, Class A1, 1.99%, 2/25/2061 (d) (e) | 160,102 | 156,801 |
Progress Residential | ||
Series 2021-SFR3, Class A, 1.64%, 5/17/2026 (d) | 98,289 | 90,759 |
Series 2021-SFR1, Class C, 1.56%, 4/17/2038 (d) | 500,000 | 460,642 |
Progress Residential Trust | ||
Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 (d) | 700,000 | 653,756 |
Series 2021-SFR6, Class A, 1.52%, 7/17/2038 (d) | 99,569 | 91,317 |
Series 2023-SFR1, Class E2, 6.60%, 3/17/2040 (d) | 450,000 | 436,902 |
Series 2021-SFR7, Class A, 1.69%, 8/17/2040 (d) | 418,443 | 360,689 |
Series 2023-SFR2, Class D, 4.50%, 10/17/2040 (d) | 450,000 | 417,025 |
Series 2021-SFR10, Class E1, 3.57%, 12/17/2040 (d) | 731,739 | 643,669 |
Series 2022-SFR1, Class E1, 3.93%, 2/17/2041 (d) | 1,048,000 | 926,024 |
Series 2022-SFR4, Class A, 4.44%, 5/17/2041 (d) | 199,194 | 190,544 |
PRPM LLC Series 2021-7, Class A1, 1.87%, 8/25/2026 (d) (e) | 379,824 | 367,576 |
Regional Management Issuance Trust Series 2022-1, Class B, 3.71%, 3/15/2032 (d) | 300,000 | 281,712 |
Renew (Cayman Islands) | ||
Series 2017-2A, Class A, 3.22%, 9/22/2053 ‡ (d) | 280,416 | 242,607 |
Series 2023-1A, Class A, 5.90%, 11/20/2058 ‡ (d) | 907,799 | 867,027 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2024-1A, Class A, 6.21%, 11/20/2059 ‡ (d) | 784,687 | 758,268 |
Republic Finance Issuance Trust Series 2020-A, Class B, 3.54%, 11/20/2030 (d) | 125,000 | 122,453 |
Santander Drive Auto Receivables Trust | ||
Series 2022-4, Class C, 5.00%, 11/15/2029 | 545,000 | 536,647 |
Series 2022-5, Class D, 5.67%, 12/16/2030 | 400,000 | 395,992 |
Series 2022-6, Class D, 5.69%, 2/18/2031 | 400,000 | 398,130 |
SCF Equipment Leasing LLC | ||
Series 2022-2A, Class A3, 6.50%, 10/21/2030 (d) | 600,000 | 604,305 |
Series 2023-1A, Class A3, 6.17%, 5/20/2032 (d) | 300,000 | 305,615 |
Series 2022-2A, Class D, 6.50%, 10/20/2032 (d) | 200,000 | 196,214 |
Series 2023-1A, Class D, 7.00%, 8/22/2033 (d) | 699,000 | 702,435 |
Sierra Timeshare Receivables Funding LLC | ||
Series 2021-2A, Class A, 1.35%, 9/20/2038 (d) | 78,354 | 73,942 |
Series 2021-2A, Class C, 1.95%, 9/20/2038 (d) | 23,045 | 21,528 |
Series 2023-1A, Class C, 7.00%, 1/20/2040 (d) | 347,629 | 348,646 |
Series 2022-2A, Class C, 6.36%, 6/20/2040 (d) | 315,544 | 311,401 |
Tricolor Auto Securitization Trust Series 2022-1A, Class D, 5.38%, 1/15/2026 (d) | 350,000 | 347,669 |
Tricon American Homes Trust Series 2020-SFR2, Class E1, 2.73%, 11/17/2039 (d) | 500,000 | 441,849 |
Tricon Residential Trust | ||
Series 2022-SFR1, Class E1, 5.34%, 4/17/2039 (d) | 272,000 | 259,649 |
Series 2023-SFR2, Class C, 5.00%, 12/17/2040 (d) | 300,000 | 286,692 |
Vericrest Opportunity Loan Transferee Series 2021-NP11, Class A1, 1.87%, 8/25/2051 (d) (e) | 443,864 | 429,557 |
VOLT C LLC Series 2021-NPL9, Class A1, 4.99%, 5/25/2051 (d) (e) | 61,279 | 59,510 |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 4.89%, 2/27/2051 (d) (e) | 109,903 | 107,734 |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 5.24%, 2/27/2051 (d) (e) | 117,703 | 116,152 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 5.12%, 3/27/2051 (d) (e) | 438,569 | 432,591 |
Westlake Automobile Receivables Trust Series 2023-4A, Class D, 7.19%, 7/16/2029 (d) | 350,000 | 358,528 |
Total Asset-Backed Securities (Cost $52,881,720) | 53,686,884 | |
Corporate Bonds — 16.4% | ||
Aerospace & Defense — 0.4% | ||
BAE Systems plc (United Kingdom) 5.80%, 10/11/2041 (d) | 100,000 | 100,908 |
Boeing Co. (The) 3.38%, 6/15/2046 | 590,000 | 372,855 |
L3Harris Technologies, Inc. | ||
5.25%, 6/1/2031 | 110,000 | 108,845 |
5.40%, 7/31/2033 | 100,000 | 99,185 |
4.85%, 4/27/2035 | 115,000 | 108,375 |
Northrop Grumman Corp. 5.15%, 5/1/2040 | 110,000 | 105,450 |
RTX Corp. 3.03%, 3/15/2052 | 170,000 | 108,150 |
1,003,768 | ||
Automobiles — 0.1% | ||
General Motors Co. 5.95%, 4/1/2049 | 130,000 | 125,217 |
Banks — 3.9% | ||
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (d) (f) | 200,000 | 175,197 |
AIB Group plc (Ireland) (SOFR + 1.91%), 5.87%, 3/28/2035 (d) (f) | 500,000 | 496,492 |
Bank of America Corp. | ||
(SOFR + 1.06%), 2.09%, 6/14/2029 (f) | 500,000 | 441,053 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(SOFR + 1.21%), 2.57%, 10/20/2032 (f) | 500,000 | 412,467 |
(SOFR + 1.65%), 5.47%, 1/23/2035 (f) | 355,000 | 352,667 |
(SOFR + 1.88%), 2.83%, 10/24/2051 (f) | 225,000 | 141,603 |
Bank of Ireland Group plc (Ireland) (SOFR + 1.62%), 5.60%, 3/20/2030 (d) (f) | 445,000 | 439,670 |
Banque Federative du Credit Mutuel SA (France) 5.79%, 7/13/2028 (d) | 200,000 | 203,589 |
Barclays plc (United Kingdom) | ||
(SOFR + 2.98%), 6.22%, 5/9/2034 (f) | 200,000 | 204,716 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 3.33%, 11/24/2042 (f) | 200,000 | 144,869 |
(SOFR + 2.42%), 6.04%, 3/12/2055 (f) | 216,000 | 221,704 |
BNP Paribas SA (France) (SOFR + 1.52%), 5.18%, 1/9/2030 (d) (f) | 400,000 | 396,645 |
BPCE SA (France) | ||
(SOFR + 1.98%), 6.61%, 10/19/2027 (d) (f) | 250,000 | 254,094 |
(SOFR + 2.59%), 7.00%, 10/19/2034 (d) (f) | 500,000 | 538,619 |
Citigroup, Inc. | ||
(3-MONTH CME TERM SOFR + 1.45%), 4.08%, 4/23/2029 (f) | 150,000 | 143,305 |
(SOFR + 1.18%), 2.52%, 11/3/2032 (f) | 250,000 | 205,018 |
Credit Agricole SA (France) (SOFR + 1.86%), 6.32%, 10/3/2029 (d) (f) | 250,000 | 257,708 |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (d) (f) | 400,000 | 400,432 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 1.29%), 2.21%, 8/17/2029 (f) | 200,000 | 175,129 |
(SOFR + 2.39%), 6.25%, 3/9/2034 (f) | 200,000 | 208,257 |
(SOFR + 2.65%), 6.33%, 3/9/2044 (f) | 200,000 | 211,276 |
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 5.72%, 6/5/2030 (f) | 200,000 | 201,148 |
Mizuho Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 5.75%, 7/6/2034 (f) | 200,000 | 203,086 |
NatWest Group plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.95%), 5.81%, 9/13/2029 (f) | 200,000 | 202,003 |
(3-MONTH SOFR + 1.87%), 4.45%, 5/8/2030 (f) | 230,000 | 218,847 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.78%, 3/1/2035 (f) | 480,000 | 480,320 |
Skandinaviska Enskilda Banken AB (Sweden) 5.38%, 3/5/2029 (d) | 205,000 | 204,074 |
Societe Generale SA (France) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (d) (f) | 200,000 | 164,493 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.95%), 6.69%, 1/10/2034 (d) (f) | 200,000 | 208,893 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.07%, 1/19/2035 (d) (f) | 214,000 | 214,017 |
Standard Chartered plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.69%, 5/14/2028 (d) (f) | 200,000 | 200,000 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.45%), 5.91%, 5/14/2035 (d) (f) | 355,000 | 354,379 |
Truist Financial Corp. (SOFR + 1.92%), 5.71%, 1/24/2035 (f) | 115,000 | 114,269 |
US Bancorp (SOFR + 1.86%), 5.68%, 1/23/2035 (f) | 100,000 | 99,851 |
Wells Fargo & Co. | ||
(SOFR + 1.79%), 6.30%, 10/23/2029 (f) | 315,000 | 325,964 |
(SOFR + 2.06%), 6.49%, 10/23/2034 (f) | 265,000 | 281,860 |
(SOFR + 1.78%), 5.50%, 1/23/2035 (f) | 175,000 | 173,484 |
(SOFR + 2.13%), 4.61%, 4/25/2053 (f) | 185,000 | 157,909 |
9,829,107 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Beverages — 0.1% | ||
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 5.80%, 1/23/2059 | 155,000 | 160,641 |
Molson Coors Beverage Co. 4.20%, 7/15/2046 | 105,000 | 84,241 |
244,882 | ||
Biotechnology — 0.4% | ||
AbbVie, Inc. | ||
4.55%, 3/15/2035 | 150,000 | 141,333 |
4.05%, 11/21/2039 | 300,000 | 258,863 |
4.25%, 11/21/2049 | 255,000 | 211,825 |
Amgen, Inc. 5.75%, 3/2/2063 | 225,000 | 221,540 |
Gilead Sciences, Inc. 2.60%, 10/1/2040 | 315,000 | 215,956 |
1,049,517 | ||
Broadline Retail — 0.0% ^ | ||
Amazon.com, Inc. 3.25%, 5/12/2061 | 160,000 | 106,312 |
Building Products — 0.0% ^ | ||
Masco Corp. 6.50%, 8/15/2032 | 100,000 | 105,807 |
Capital Markets — 1.5% | ||
Bank of New York Mellon Corp. (The) | ||
(SOFR + 1.60%), 6.32%, 10/25/2029 (f) | 110,000 | 114,657 |
(SOFR + 1.85%), 6.47%, 10/25/2034 (f) | 110,000 | 118,471 |
Deutsche Bank AG (Germany) | ||
(SOFR + 1.59%), 5.71%, 2/8/2028 (f) | 600,000 | 598,816 |
5.41%, 5/10/2029 | 205,000 | 204,634 |
(SOFR + 1.72%), 3.04%, 5/28/2032 (f) | 445,000 | 373,187 |
Goldman Sachs Group, Inc. (The) | ||
(SOFR + 1.27%), 5.73%, 4/25/2030 (f) | 215,000 | 217,839 |
(SOFR + 1.25%), 2.38%, 7/21/2032 (f) | 250,000 | 204,060 |
(SOFR + 1.55%), 5.85%, 4/25/2035 (f) | 350,000 | 357,445 |
(3-MONTH CME TERM SOFR + 1.69%), 4.41%, 4/23/2039 (f) | 250,000 | 221,474 |
Morgan Stanley | ||
(SOFR + 1.59%), 5.16%, 4/20/2029 (f) | 250,000 | 248,316 |
(SOFR + 1.87%), 5.25%, 4/21/2034 (f) | 250,000 | 244,329 |
(SOFR + 1.73%), 5.47%, 1/18/2035 (f) | 66,000 | 65,526 |
UBS Group AG (Switzerland) | ||
(USD SOFR ICE Swap Rate 1 Year + 1.34%), 5.62%, 9/13/2030 (d) (f) | 200,000 | 200,356 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00%), 6.30%, 9/22/2034 (d) (f) | 400,000 | 417,629 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 3.18%, 2/11/2043 (d) (f) | 200,000 | 143,666 |
3,730,405 | ||
Chemicals — 0.2% | ||
CF Industries, Inc. 5.15%, 3/15/2034 | 100,000 | 95,652 |
DuPont de Nemours, Inc. 5.32%, 11/15/2038 | 80,000 | 80,530 |
LYB International Finance III LLC 4.20%, 10/15/2049 | 240,000 | 183,834 |
Nutrien Ltd. (Canada) 5.00%, 4/1/2049 | 85,000 | 75,232 |
435,248 | ||
Commercial Services & Supplies — 0.0% ^ | ||
Element Fleet Management Corp. (Canada) 6.32%, 12/4/2028 (d) | 70,000 | 72,137 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Consumer Finance — 0.9% | ||
AerCap Ireland Capital DAC (Ireland) | ||
3.00%, 10/29/2028 | 200,000 | 180,701 |
3.30%, 1/30/2032 | 530,000 | 451,435 |
Avolon Holdings Funding Ltd. (Ireland) | ||
4.38%, 5/1/2026 (d) | 40,000 | 38,849 |
2.53%, 11/18/2027 (d) | 300,000 | 267,741 |
5.75%, 11/15/2029 (d) | 550,000 | 545,276 |
General Motors Financial Co., Inc. 5.95%, 4/4/2034 | 200,000 | 199,059 |
Macquarie Airfinance Holdings Ltd. (United Kingdom) 6.50%, 3/26/2031 (d) | 500,000 | 507,682 |
2,190,743 | ||
Consumer Staples Distribution & Retail — 0.2% | ||
7-Eleven, Inc. 1.80%, 2/10/2031 (d) | 100,000 | 79,795 |
Alimentation Couche-Tard, Inc. (Canada) | ||
3.44%, 5/13/2041 (d) | 125,000 | 93,946 |
5.62%, 2/12/2054 (d) | 110,000 | 107,720 |
Kroger Co. (The) 5.00%, 4/15/2042 | 95,000 | 87,390 |
368,851 | ||
Diversified REITs — 0.1% | ||
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (d) | 150,000 | 138,909 |
Simon Property Group LP 3.25%, 9/13/2049 | 85,000 | 57,155 |
WP Carey, Inc. 2.25%, 4/1/2033 | 100,000 | 76,122 |
272,186 | ||
Diversified Telecommunication Services — 0.4% | ||
AT&T, Inc. | ||
3.50%, 6/1/2041 | 145,000 | 110,657 |
3.55%, 9/15/2055 | 470,000 | 315,589 |
3.80%, 12/1/2057 | 240,000 | 167,086 |
Verizon Communications, Inc. | ||
2.65%, 11/20/2040 | 130,000 | 89,550 |
3.55%, 3/22/2051 | 155,000 | 110,913 |
2.99%, 10/30/2056 | 290,000 | 176,858 |
970,653 | ||
Electric Utilities — 1.9% | ||
DTE Electric Co. 5.40%, 4/1/2053 | 70,000 | 68,365 |
Duke Energy Corp. 3.75%, 9/1/2046 | 270,000 | 198,528 |
Duquesne Light Holdings, Inc. 2.78%, 1/7/2032 (d) | 100,000 | 80,772 |
Electricite de France SA (France) 5.95%, 4/22/2034 (d) | 200,000 | 201,488 |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | 255,000 | 206,417 |
Entergy Arkansas LLC 5.75%, 6/1/2054 | 70,000 | 69,461 |
Entergy Mississippi LLC 5.85%, 6/1/2054 | 115,000 | 114,518 |
Entergy Texas, Inc. 5.80%, 9/1/2053 | 125,000 | 124,301 |
FirstEnergy Transmission LLC 5.45%, 7/15/2044 (d) | 215,000 | 202,566 |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 100,000 | 94,589 |
ITC Holdings Corp. | ||
2.95%, 5/14/2030 (d) | 100,000 | 87,464 |
5.40%, 6/1/2033 (d) | 200,000 | 196,940 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
Massachusetts Electric Co. 4.00%, 8/15/2046 (d) | 65,000 | 49,405 |
Monongahela Power Co. 5.85%, 2/15/2034 (d) | 100,000 | 101,307 |
NextEra Energy Capital Holdings, Inc. | ||
5.25%, 2/28/2053 | 120,000 | 111,600 |
5.55%, 3/15/2054 | 200,000 | 193,508 |
Niagara Mohawk Power Corp. 5.66%, 1/17/2054 (d) | 60,000 | 57,537 |
Oncor Electric Delivery Co. LLC 4.95%, 9/15/2052 | 110,000 | 99,909 |
Pacific Gas and Electric Co. | ||
6.40%, 6/15/2033 | 125,000 | 129,754 |
5.80%, 5/15/2034 | 285,000 | 284,314 |
4.45%, 4/15/2042 | 230,000 | 184,859 |
3.50%, 8/1/2050 | 255,000 | 168,181 |
PPL Electric Utilities Corp. 5.25%, 5/15/2053 | 105,000 | 100,131 |
Public Service Co. of Oklahoma | ||
5.25%, 1/15/2033 | 100,000 | 97,463 |
Series K, 3.15%, 8/15/2051 | 135,000 | 86,504 |
Public Service Electric and Gas Co. 5.45%, 3/1/2054 | 150,000 | 147,254 |
Sierra Pacific Power Co. 5.90%, 3/15/2054 (d) | 145,000 | 145,249 |
Southern California Edison Co. | ||
5.45%, 6/1/2031 | 180,000 | 180,600 |
6.00%, 1/15/2034 | 100,000 | 103,165 |
5.70%, 3/1/2053 | 110,000 | 107,452 |
5.75%, 4/15/2054 | 220,000 | 216,681 |
Union Electric Co. 4.00%, 4/1/2048 | 120,000 | 92,586 |
Vistra Operations Co. LLC 6.00%, 4/15/2034 (d) | 421,000 | 421,603 |
Xcel Energy, Inc. 4.80%, 9/15/2041 | 90,000 | 77,552 |
4,802,023 | ||
Electronic Equipment, Instruments & Components — 0.0% ^ | ||
Corning, Inc. 5.35%, 11/15/2048 | 60,000 | 56,054 |
Entertainment — 0.0% ^ | ||
Warnermedia Holdings, Inc. 5.14%, 3/15/2052 | 120,000 | 94,729 |
Financial Services — 0.2% | ||
Fiserv, Inc. 4.40%, 7/1/2049 | 90,000 | 73,284 |
Global Payments, Inc. | ||
5.30%, 8/15/2029 | 100,000 | 98,717 |
4.15%, 8/15/2049 | 120,000 | 90,363 |
Nationwide Building Society (United Kingdom) (3-MONTH SOFR + 1.45%), 4.30%, 3/8/2029 (d) (f) | 220,000 | 209,805 |
472,169 | ||
Food Products — 0.3% | ||
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | 100,000 | 85,078 |
Campbell Soup Co. 3.13%, 4/24/2050 | 65,000 | 42,006 |
J M Smucker Co. (The) | ||
6.20%, 11/15/2033 | 80,000 | 83,572 |
6.50%, 11/15/2053 | 75,000 | 80,338 |
JBS USA Holding Lux SARL | ||
3.75%, 12/1/2031 | 135,000 | 116,851 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Food Products — continued | ||
6.75%, 3/15/2034 (d) | 100,000 | 105,065 |
4.38%, 2/2/2052 | 240,000 | 177,760 |
Kraft Heinz Foods Co. 4.38%, 6/1/2046 | 90,000 | 73,774 |
Tyson Foods, Inc. 5.70%, 3/15/2034 | 80,000 | 79,524 |
843,968 | ||
Gas Utilities — 0.1% | ||
Atmos Energy Corp. 4.13%, 3/15/2049 | 90,000 | 71,504 |
Boston Gas Co. 4.49%, 2/15/2042 (d) | 100,000 | 81,314 |
Piedmont Natural Gas Co., Inc. 5.05%, 5/15/2052 | 75,000 | 65,737 |
Southwest Gas Corp. 3.80%, 9/29/2046 | 65,000 | 47,477 |
266,032 | ||
Ground Transportation — 0.1% | ||
Burlington Northern Santa Fe LLC 3.55%, 2/15/2050 | 100,000 | 72,890 |
CSX Corp. 3.35%, 9/15/2049 | 95,000 | 66,647 |
Norfolk Southern Corp. 4.05%, 8/15/2052 | 80,000 | 61,455 |
Penske Truck Leasing Co. LP 6.05%, 8/1/2028 (d) | 100,000 | 102,065 |
Union Pacific Corp. 4.10%, 9/15/2067 | 65,000 | 48,888 |
351,945 | ||
Health Care Providers & Services — 0.5% | ||
Aetna, Inc. 4.50%, 5/15/2042 | 100,000 | 83,653 |
Cigna Group (The) 3.40%, 3/15/2051 | 170,000 | 115,522 |
CVS Health Corp. | ||
5.13%, 2/21/2030 | 114,000 | 112,103 |
5.05%, 3/25/2048 | 325,000 | 280,158 |
Elevance Health, Inc. 4.65%, 1/15/2043 | 100,000 | 88,373 |
HCA, Inc. | ||
5.60%, 4/1/2034 | 200,000 | 198,273 |
4.63%, 3/15/2052 | 315,000 | 253,915 |
UnitedHealth Group, Inc. 3.25%, 5/15/2051 | 185,000 | 126,734 |
1,258,731 | ||
Health Care REITs — 0.3% | ||
Healthcare Realty Holdings LP 3.10%, 2/15/2030 | 500,000 | 434,150 |
Welltower OP LLC | ||
3.10%, 1/15/2030 | 100,000 | 89,198 |
6.50%, 3/15/2041 | 100,000 | 107,272 |
630,620 | ||
Independent Power and Renewable Electricity Producers — 0.4% | ||
Constellation Energy Generation LLC | ||
5.80%, 3/1/2033 | 200,000 | 203,131 |
5.75%, 10/1/2041 | 455,000 | 442,534 |
6.50%, 10/1/2053 | 150,000 | 160,179 |
Southern Power Co. 5.15%, 9/15/2041 | 310,000 | 286,753 |
1,092,597 | ||
Industrial Conglomerates — 0.0% ^ | ||
Honeywell International, Inc. 5.25%, 3/1/2054 | 100,000 | 96,946 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Industrial REITs — 0.0% ^ | ||
Prologis LP 2.25%, 4/15/2030 | 100,000 | 85,337 |
Insurance — 0.4% | ||
Aon North America, Inc. 5.75%, 3/1/2054 | 130,000 | 127,848 |
Arthur J Gallagher & Co. 5.75%, 7/15/2054 | 50,000 | 48,583 |
Berkshire Hathaway Finance Corp. 3.85%, 3/15/2052 | 110,000 | 84,557 |
CNA Financial Corp. 5.13%, 2/15/2034 | 100,000 | 95,656 |
F&G Annuities & Life, Inc. 6.50%, 6/4/2029 (b) | 320,000 | 319,492 |
Liberty Mutual Group, Inc. 3.95%, 10/15/2050 (d) | 80,000 | 58,216 |
Mutual of Omaha Cos. Global Funding 5.45%, 12/12/2028 (d) | 150,000 | 150,585 |
New York Life Insurance Co. 3.75%, 5/15/2050 (d) | 120,000 | 89,063 |
Prudential Funding Asia plc (Hong Kong) 3.13%, 4/14/2030 | 50,000 | 44,531 |
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (d) | 75,000 | 60,319 |
1,078,850 | ||
Interactive Media & Services — 0.1% | ||
Meta Platforms, Inc. 5.60%, 5/15/2053 | 125,000 | 126,654 |
Media — 0.6% | ||
Charter Communications Operating LLC | ||
3.50%, 3/1/2042 | 200,000 | 132,985 |
4.80%, 3/1/2050 | 335,000 | 247,028 |
Comcast Corp. | ||
5.30%, 6/1/2034 | 500,000 | 499,609 |
4.20%, 8/15/2034 | 250,000 | 227,906 |
3.25%, 11/1/2039 | 210,000 | 160,539 |
4.00%, 11/1/2049 | 135,000 | 104,756 |
Discovery Communications LLC 3.63%, 5/15/2030 | 150,000 | 131,991 |
Paramount Global 5.85%, 9/1/2043 | 80,000 | 65,233 |
1,570,047 | ||
Metals & Mining — 0.1% | ||
Glencore Funding LLC (Australia) 5.63%, 4/4/2034 (d) | 100,000 | 98,238 |
Newmont Corp. | ||
3.25%, 5/13/2030 (d) | 100,000 | 89,582 |
5.75%, 11/15/2041 (d) | 100,000 | 100,203 |
Steel Dynamics, Inc. 3.25%, 10/15/2050 | 85,000 | 55,444 |
343,467 | ||
Multi-Utilities — 0.2% | ||
Consolidated Edison Co. of New York, Inc. 5.70%, 6/15/2040 | 70,000 | 69,901 |
Consumers Energy Co. 3.25%, 8/15/2046 | 80,000 | 58,288 |
Dominion Energy, Inc. Series C, 4.90%, 8/1/2041 | 110,000 | 97,310 |
Puget Energy, Inc. 2.38%, 6/15/2028 | 100,000 | 88,662 |
San Diego Gas & Electric Co. 3.95%, 11/15/2041 | 55,000 | 43,914 |
Southern Co. Gas Capital Corp. 4.40%, 6/1/2043 | 140,000 | 115,066 |
473,141 | ||
Office REITs — 0.0% ^ | ||
Alexandria Real Estate Equities, Inc. 5.25%, 5/15/2036 | 60,000 | 57,517 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — 1.1% | ||
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (d) | 150,000 | 145,541 |
Cheniere Energy, Inc. 5.65%, 4/15/2034 (d) | 70,000 | 69,414 |
Columbia Pipelines Operating Co. LLC 5.93%, 8/15/2030 (d) | 100,000 | 101,471 |
ConocoPhillips Co. 5.30%, 5/15/2053 | 85,000 | 80,631 |
Enbridge, Inc. (Canada) 5.63%, 4/5/2034 | 190,000 | 188,856 |
Energy Transfer LP 6.50%, 2/1/2042 | 260,000 | 269,938 |
Exxon Mobil Corp. | ||
3.00%, 8/16/2039 | 90,000 | 68,293 |
3.45%, 4/15/2051 | 95,000 | 68,554 |
Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (d) | 100,000 | 82,246 |
Kinder Morgan, Inc. 5.00%, 2/1/2029 | 115,000 | 113,278 |
Marathon Petroleum Corp. 6.50%, 3/1/2041 | 70,000 | 73,756 |
MPLX LP 5.50%, 6/1/2034 | 280,000 | 273,867 |
NGPL PipeCo LLC | ||
4.88%, 8/15/2027 (d) | 100,000 | 97,402 |
3.25%, 7/15/2031 (d) | 100,000 | 84,938 |
Northern Natural Gas Co. 5.63%, 2/1/2054 (d) | 20,000 | 19,609 |
Ovintiv, Inc. 6.50%, 2/1/2038 | 235,000 | 241,045 |
Phillips 66 Co. 4.90%, 10/1/2046 | 125,000 | 110,121 |
Plains All American Pipeline LP 4.90%, 2/15/2045 | 450,000 | 382,252 |
TotalEnergies Capital International SA (France) 3.13%, 5/29/2050 | 125,000 | 84,824 |
TransCanada PipeLines Ltd. (Canada) 5.10%, 3/15/2049 | 270,000 | 244,165 |
2,800,201 | ||
Pharmaceuticals — 0.3% | ||
Bristol-Myers Squibb Co. | ||
5.55%, 2/22/2054 | 120,000 | 118,148 |
5.65%, 2/22/2064 | 180,000 | 175,890 |
Eli Lilly & Co. 5.00%, 2/9/2054 | 130,000 | 123,380 |
Merck & Co., Inc. 5.15%, 5/17/2063 | 125,000 | 118,019 |
Takeda Pharmaceutical Co. Ltd. (Japan) 3.03%, 7/9/2040 | 200,000 | 146,595 |
682,032 | ||
Residential REITs — 0.1% | ||
Essex Portfolio LP | ||
1.65%, 1/15/2031 | 100,000 | 78,555 |
5.50%, 4/1/2034 | 40,000 | 39,301 |
UDR, Inc. 3.10%, 11/1/2034 | 100,000 | 80,094 |
197,950 | ||
Retail REITs — 0.1% | ||
NNN REIT, Inc. | ||
5.60%, 10/15/2033 | 100,000 | 99,563 |
5.50%, 6/15/2034 | 70,000 | 69,057 |
Realty Income Corp. 4.85%, 3/15/2030 | 100,000 | 97,724 |
266,344 | ||
Semiconductors & Semiconductor Equipment — 0.5% | ||
Broadcom, Inc. | ||
2.45%, 2/15/2031 (d) | 150,000 | 125,401 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Semiconductors & Semiconductor Equipment — continued | ||
3.50%, 2/15/2041 (d) | 410,000 | 312,627 |
Foundry JV Holdco LLC 6.15%, 1/25/2032 (d) | 330,000 | 336,296 |
Intel Corp. 5.70%, 2/10/2053 | 110,000 | 107,615 |
KLA Corp. 3.30%, 3/1/2050 | 95,000 | 66,705 |
NXP BV (China) | ||
5.00%, 1/15/2033 | 100,000 | 96,849 |
3.25%, 5/11/2041 | 180,000 | 130,558 |
QUALCOMM, Inc. 4.50%, 5/20/2052 | 75,000 | 64,629 |
Texas Instruments, Inc. 5.05%, 5/18/2063 | 95,000 | 88,550 |
1,329,230 | ||
Software — 0.2% | ||
Intuit, Inc. 5.50%, 9/15/2053 | 70,000 | 69,838 |
Oracle Corp. | ||
4.90%, 2/6/2033 | 100,000 | 96,648 |
3.65%, 3/25/2041 | 215,000 | 164,785 |
3.60%, 4/1/2050 | 240,000 | 166,953 |
498,224 | ||
Specialized REITs — 0.1% | ||
Crown Castle, Inc. 4.00%, 3/1/2027 | 100,000 | 96,262 |
Extra Space Storage LP 5.90%, 1/15/2031 | 80,000 | 81,429 |
177,691 | ||
Technology Hardware, Storage & Peripherals — 0.1% | ||
Apple, Inc. 4.10%, 8/8/2062 | 260,000 | 208,537 |
Tobacco — 0.1% | ||
BAT Capital Corp. (United Kingdom) | ||
2.26%, 3/25/2028 | 100,000 | 89,209 |
4.39%, 8/15/2037 | 130,000 | 109,670 |
198,879 | ||
Water Utilities — 0.1% | ||
American Water Capital Corp. 5.45%, 3/1/2054 | 200,000 | 193,067 |
Wireless Telecommunication Services — 0.3% | ||
T-Mobile USA, Inc. | ||
3.88%, 4/15/2030 | 200,000 | 185,891 |
3.00%, 2/15/2041 | 595,000 | 426,948 |
5.50%, 1/15/2055 | 79,000 | 75,714 |
Vodafone Group plc (United Kingdom) 4.88%, 6/19/2049 | 115,000 | 100,221 |
788,774 | ||
Total Corporate Bonds (Cost $40,616,525) | 41,546,589 | |
Collateralized Mortgage Obligations — 7.2% | ||
CSMC Trust Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (d) (e) | 451,328 | 443,810 |
FHLMC Seasoned Credit Risk Transfer Trust | ||
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | 281,401 | 252,229 |
Series 2017-4, Class M60C, 3.50%, 6/25/2057 | 1,238,082 | 1,107,024 |
Series 2019-1, Class MA, 3.50%, 7/25/2058 | 879,197 | 818,157 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 2019-1, Class MT, 3.50%, 7/25/2058 | 507,650 | 441,846 |
Series 2019-2, Class HT, 3.00%, 8/25/2058 | 596,465 | 506,848 |
FHLMC, REMIC | ||
Series 4016, Class KZ, 4.00%, 3/15/2042 | 287,953 | 267,837 |
Series 5073, Class GA, 1.50%, 8/25/2044 | 1,092,684 | 884,318 |
Series 5027, Class JA, 2.00%, 10/25/2044 | 159,462 | 139,908 |
Series 4487, Class TL, 3.00%, 5/15/2045 | 1,000,000 | 841,025 |
Series 4585, Class DA, 3.00%, 6/15/2045 | 267,504 | 243,382 |
Series 4480, Class NB, 3.50%, 6/15/2045 | 500,000 | 414,603 |
Series 4710, Class JE, 2.75%, 6/15/2047 | 579,756 | 519,472 |
Series 4994, Class LI, IO, 4.00%, 12/25/2048 | 172,388 | 33,239 |
Series 4913, Class UA, 3.00%, 3/15/2049 | 852,594 | 735,646 |
Series 4896, Class CG, 3.50%, 4/15/2049 | 340,683 | 310,599 |
Series 5141, Class PA, 1.00%, 4/25/2050 | 337,506 | 267,295 |
FHLMC, STRIPS | ||
Series 276, Class 20, 2.00%, 9/15/2042 | 261,836 | 220,761 |
Series 326, Class 350, 3.50%, 3/15/2044 | 534,027 | 481,132 |
FNMA, REMIC | ||
Series 2012-4, Class NB, 4.00%, 2/25/2042 | 265,000 | 245,740 |
Series 2012-124, Class PA, 2.50%, 7/25/2042 | 117,453 | 104,826 |
Series 2012-130, Class DC, 3.00%, 12/25/2042 | 331,416 | 290,714 |
Series 2017-87, Class EA, 3.00%, 4/25/2044 | 275,588 | 243,218 |
Series 2019-60, Class DA, 2.50%, 3/25/2049 | 202,982 | 173,981 |
Series 2019-12, Class BA, 3.00%, 4/25/2049 | 295,256 | 252,165 |
Series 2020-54, Class UB, 5.00%, 7/25/2050 | 149,449 | 143,496 |
Series 2020-70, Class AD, 1.50%, 10/25/2050 | 334,823 | 256,427 |
Series 2021-27, Class EC, 1.50%, 5/25/2051 | 157,320 | 122,952 |
GNMA | ||
Series 2012-13, Class FQ, 5.75%, 1/20/2038 (c) | 353,069 | 346,273 |
Series 2019-83, Class YA, 4.77%, 6/20/2040 (c) | 175,760 | 172,267 |
Series 2013-91, Class WA, 4.43%, 4/20/2043 (c) | 244,034 | 227,205 |
Series 2021-50, Class LD, 1.50%, 1/20/2048 | 972,294 | 786,460 |
Series 2020-65, Class KC, 1.00%, 5/20/2050 | 493,756 | 371,844 |
Series 2022-34, Class PN, 3.00%, 2/20/2052 | 1,034,971 | 926,739 |
New Residential Mortgage Loan Trust Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (d) (e) | 480,000 | 483,479 |
PRPM LLC | ||
Series 2020-4, Class A1, 5.61%, 10/25/2025 (d) (e) | 563,082 | 562,295 |
Series 2023-RCF2, Class A1, 4.00%, 11/25/2053 (d) (e) | 181,364 | 173,390 |
Series 2024-RCF1, Class A1, 4.00%, 1/25/2054 (d) (e) | 178,719 | 170,683 |
Series 2024-RPL1, Class A1, 4.20%, 12/25/2064 (d) (e) | 392,416 | 373,881 |
Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (c) (d) | 1,154,524 | 962,551 |
Vendee Mortgage Trust | ||
Series 2010-1, Class DZ, 4.25%, 4/15/2040 | 573,662 | 540,281 |
Series 2011-1, Class DZ, 3.75%, 9/15/2046 | 1,501,263 | 1,374,534 |
Total Collateralized Mortgage Obligations (Cost $17,926,999) | 18,234,532 | |
Commercial Mortgage-Backed Securities — 6.4% | ||
BAMLL Re-REMIC Trust Series 2024-FRR3, Class B, 1.51%, 1/27/2050 (c) (d) | 851,000 | 738,901 |
Banc of America Re-Remic Trust Series 2024-FRR1, Class B, 0.00%, 4/27/2049 ‡ (d) | 1,000,000 | 646,094 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
BB-UBS Trust Series 2012-SHOW, Class B, 3.88%, 11/5/2036 (d) | 465,000 | 438,669 |
CSMC OA LLC | ||
Series 2014-USA, Class A2, 3.95%, 9/15/2037 (d) | 1,095,000 | 968,441 |
Series 2014-USA, Class B, 4.18%, 9/15/2037 (d) | 705,000 | 605,330 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series KL06, Class XFX, IO, 1.36%, 12/25/2029 (c) | 5,000,000 | 248,263 |
Series KJ40, Class A2, 3.69%, 11/25/2030 (c) | 335,000 | 315,202 |
Series K135, Class AM, 1.91%, 10/25/2031 (c) | 1,050,000 | 854,046 |
Series KJ44, Class A2, 4.61%, 2/25/2033 | 500,000 | 482,130 |
FNMA ACES | ||
Series 2022-M2S, Class A1, 3.75%, 5/25/2032 (c) | 216,550 | 207,117 |
Series 2020-M53, Class A2, 1.69%, 11/25/2032 (c) | 27,000 | 20,895 |
Series 2023-M8, Class A1, 4.47%, 11/25/2032 (c) | 496,455 | 483,817 |
Series 2024-M2, Class A1, 4.62%, 4/25/2033 (c) | 794,798 | 781,452 |
FREMF Mortgage Trust | ||
Series 2017-K66, Class B, 4.04%, 7/25/2027 (c) (d) | 1,160,000 | 1,106,789 |
Series 2017-KGX1, Class BFX, 3.59%, 10/25/2027 (c) (d) | 570,000 | 508,199 |
Series 2018-K154, Class B, 4.02%, 11/25/2032 (c) (d) | 610,000 | 510,228 |
Series 2018-K155, Class B, 4.17%, 4/25/2033 (c) (d) | 580,000 | 487,848 |
Series 2015-K46, Class C, 3.70%, 4/25/2048 (c) (d) | 316,000 | 308,731 |
Series 2015-K49, Class B, 3.72%, 10/25/2048 (c) (d) | 500,000 | 487,506 |
Series 2017-K64, Class B, 4.00%, 5/25/2050 (c) (d) | 1,155,000 | 1,103,181 |
Series 2018-K80, Class B, 4.23%, 8/25/2050 (c) (d) | 125,000 | 117,629 |
Series 2017-K71, Class B, 3.75%, 11/25/2050 (c) (d) | 100,000 | 93,925 |
Series 2018-K79, Class C, 4.21%, 7/25/2051 (c) (d) | 145,000 | 135,867 |
Series 2019-K90, Class C, 4.32%, 2/25/2052 (c) (d) | 500,000 | 468,463 |
GAM Re-REMIC Trust | ||
Series 2022-FRR3, Class BK41, PO, 10/27/2047 ‡ (d) | 250,000 | 241,102 |
Series 2022-FRR3, Class CK41, PO, 10/27/2047 ‡ (d) | 100,000 | 96,214 |
Series 2022-FRR3, Class AK47, 0.70%, 5/27/2048 ‡ (c) (d) | 500,000 | 468,589 |
Series 2021-FRR1, Class 2A, PO, 11/29/2050 ‡ (d) | 580,000 | 455,878 |
Series 2021-FRR2, Class AK44, 1.93%, 9/27/2051 ‡ (c) (d) | 1,000,000 | 964,725 |
GAM Re-REMIC TRUST Series 2021-FRR2, Class BK49, 2.29%, 9/27/2051 ‡ (c) (d) | 300,000 | 281,059 |
GNMA | ||
Series 2017-76, Class B, 2.60%, 12/16/2056 | 649,268 | 460,146 |
Series 2017-191, Class B, 2.50%, 7/16/2059 (c) | 688,303 | 391,436 |
JPMCC Re-REMIC Trust Series 2015-FRR2, Class AK39, 2.16%, 8/27/2047 (c) (d) | 500,000 | 492,519 |
MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (d) | 200,000 | 178,098 |
Total Commercial Mortgage-Backed Securities (Cost $15,879,912) | 16,148,489 | |
Foreign Government Securities — 0.1% | ||
United Mexican States 6.34%, 5/4/2053 (Cost $217,443) | 230,000 | 219,578 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued) INVESTMENTS | SHARES | VALUE($) |
Short-Term Investments — 5.0% | ||
Investment Companies — 5.0% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.26% (g) (h) (Cost $12,578,019) | 12,578,019 | 12,578,019 |
Total Investments — 103.0% (Cost $257,651,666) | 260,824,915 | |
Liabilities in Excess of Other Assets — (3.0)% | (7,505,482 ) | |
NET ASSETS — 100.0% | 253,319,433 |
Percentages indicated are based on net assets. |
Abbreviations | |
ABS | Asset-Backed Securities |
ACES | Alternative Credit Enhancement Securities |
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May 31, 2024. |
CME | Chicago Mercantile Exchange |
CSMC | Credit Suisse Mortgage Trust |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
ICE | Intercontinental Exchange |
IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
Re-REMIC | Combined Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
TBA | To Be Announced; Security is subject to delayed delivery. |
UMBS | Uniform Mortgage-Backed Securities |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
(a) | The rate shown is the effective yield as of May 31, 2024. | |
(b) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(c) | 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 May 31, 2024. | |
(d) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(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 May 31, 2024. | |
(f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of May 31, 2024. | |
(g) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(h) | The rate shown is the current yield as of May 31, 2024. |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)Futures contracts outstanding as of May 31, 2024:
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury Ultra Bond | 27 | 09/19/2024 | USD | 3,315,094 | (47,098 ) |
U.S. Treasury 2 Year Note | 18 | 09/30/2024 | USD | 3,668,625 | 2,949 |
U.S. Treasury 5 Year Note | 37 | 09/30/2024 | USD | 3,920,266 | 5,129 |
(39,020 ) |
Abbreviations | |
USD | United States Dollar |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (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.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset value (“NAV”) of the Fund is calculated on a valuation date. Certain foreign equity instruments are valued by applying international fair value factors provided by approved Pricing Services. The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset value per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at May 31, 2024.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the 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).
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $46,507,525 | $7,179,359 | $53,686,884 |
Collateralized Mortgage Obligations | — | 18,234,532 | — | 18,234,532 |
Commercial Mortgage-Backed Securities | — | 12,994,828 | 3,153,661 | 16,148,489 |
Corporate Bonds | — | 41,546,589 | — | 41,546,589 |
Foreign Government Securities | — | 219,578 | — | 219,578 |
Mortgage-Backed Securities | — | 57,915,539 | — | 57,915,539 |
U.S. Treasury Obligations | — | 60,495,285 | — | 60,495,285 |
Short-Term Investments | ||||
Investment Companies | 12,578,019 | — | — | 12,578,019 |
Total Investments in Securities | $12,578,019 | $237,913,876 | $10,333,020 | $260,824,915 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $8,078 | $— | $— | $8,078 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (47,098 ) | — | — | (47,098 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $(39,020 ) | $— | $— | $(39,020 ) |
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
Balance as of February 29, 2024 | 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 May 31, 2024 | |
Investments in Securities: | |||||||||
Asset-Backed Securities | $5,123,870 | $— | $(42,202 ) | $4,145 | $1,480,850 | $(367,298 ) | $979,994 | $— | $7,179,359 |
Commercial Mortgage-Backed Securities | 2,094,670 | — | 85,248 | 3,999 | 969,744 | — | — | — | 3,153,661 |
Total | $7,218,540 | $— | $43,046 | $8,144 | $2,450,594 | $(367,298 ) | $979,994 | $— | $10,333,020 |
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 May 31, 2024, which were valued using significant unobservable inputs (level 3) amounted to $43,046.
There were no significant transfers into or out of level 3 for the period ended May 31, 2024.
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at May 31, 2024 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$5,718,796 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 30.00% (9.36%) | |
Yield (Discount Rate of Cash Flows) | 6.13% - 8.97% (6.95%) | |||
Asset-Backed Securities | 5,718,796 |
JPMorgan Active Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)Fair Value at May 31, 2024 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
Total | $5,718,796 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At May 31, 2024, the value of these investments was $4,614,224. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. |
(a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
B. Investment Transactions with Affiliates— The Fund invested in an Underlying Fund advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund's distributions may be reinvested into such Underlying Fund. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the period ended May 31, 2024 | |||||||||
Security Description | Value at February 29, 2024 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at May 31, 2024 | Shares at May 31, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.26% (a) (b) | $20,630,652 | $22,685,852 | $30,738,485 | $— | $— | $12,578,019 | 12,578,019 | $199,047 | $— |
(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 May 31, 2024. |