JPMorgan Limited Duration 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 Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — 38.1% | ||
ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class A, 6.26%, 12/18/2037 (a) (b) | 52,125 | 51,951 |
American Credit Acceptance Receivables Trust Series 2023-1, Class A, 5.45%, 9/14/2026 (a) | 152,652 | 152,608 |
Amortizing Residential Collateral Trust Series 2002-BC9, Class M1, 7.09%, 12/25/2032 (b) | 1,089,955 | 1,016,264 |
AMSR Trust | ||
Series 2020-SFR3, Class A, 1.36%, 9/17/2037 (a) | 7,104,240 | 6,721,857 |
Series 2021-SFR2, Class A, 1.53%, 8/17/2038 (a) | 4,000,000 | 3,655,616 |
Apidos CLO (Cayman Islands) Series 2019-31A, Class A1R, 6.69%, 4/15/2031 (a) (b) | 4,350,000 | 4,360,079 |
Arivo Acceptance Auto Loan Receivables Trust Series 2021-1A, Class A, 1.19%, 1/15/2027 (a) | 37,256 | 37,040 |
Auxilior Term Funding LLC Series 2023-1A, Class A2, 6.18%, 12/15/2028 (a) | 1,015,000 | 1,017,982 |
Ballyrock CLO Ltd. (Cayman Islands) | ||
Series 2020-2A, Class A1R, 6.60%, 10/20/2031 (a) (b) | 3,094,123 | 3,096,577 |
Series 2019-1A, Class A1R, 6.62%, 7/15/2032 (a) (b) | 6,415,000 | 6,429,825 |
Bear Stearns Asset-Backed Securities I Trust Series 2005-HE1, Class M2, 5.09%, 1/25/2035 (b) | 286,524 | 288,643 |
Bear Stearns Asset-Backed Securities Trust Series 2003-SD1, Class A, 6.34%, 12/25/2033 (b) | 392,475 | 370,454 |
BRE Grand Islander Timeshare Issuer LLC Series 2019-A, Class A, 3.28%, 9/26/2033 (a) | 1,008,112 | 968,452 |
BSPRT Issuer Ltd. (Cayman Islands) Series 2022-FL8, Class A, 6.82%, 2/15/2037 (a) (b) | 4,844,062 | 4,831,220 |
Business Jet Securities LLC | ||
Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (a) | 1,060,819 | 997,472 |
Series 2022-1A, Class A, 4.46%, 6/15/2037 ‡ (a) | 6,986,388 | 6,727,822 |
Series 2024-1A, Class A, 6.20%, 5/15/2039 (a) | 1,263,125 | 1,268,423 |
BXG Receivables Note Trust Series 2018-A, Class A, 3.77%, 2/2/2034 (a) | 675,300 | 661,556 |
BXMT Ltd. (Cayman Islands) Series 2020-FL3, Class A, 6.84%, 11/15/2037 (a) (b) | 6,953,721 | 6,761,179 |
CarMax Auto Owner Trust Series 2022-2, Class A3, 3.49%, 2/16/2027 | 3,445,940 | 3,396,263 |
Carvana Auto Receivables Trust | ||
Series 2020-P1, Class A4, 0.61%, 10/8/2026 | 1,072,411 | 1,051,602 |
Series 2023-N4, Class A, 6.42%, 1/10/2028 (a) | 3,813,924 | 3,830,396 |
Centex Home Equity Loan Trust Series 2002-A, Class MV1, 6.29%, 1/25/2032 (b) | 68,034 | 68,833 |
CF Hippolyta Issuer LLC Series 2020-1, Class A1, 1.69%, 7/15/2060 (a) | 2,307,094 | 2,176,424 |
CoreVest American Finance Trust | ||
Series 2020-2, Class A, 3.38%, 5/15/2052 (a) | 582,079 | 567,310 |
Series 2020-4, Class A, 1.17%, 12/15/2052 (a) | 3,246,675 | 3,062,493 |
Countrywide Asset-Backed Certificates | ||
Series 2003-BC2, Class 2A1, 6.04%, 6/25/2033 (b) | 189,266 | 185,859 |
Series 2004-S1, Class M2, 5.58%, 2/25/2035 (c) | 14,789 | 14,571 |
CPS Auto Receivables Trust Series 2023-A, Class A, 5.54%, 3/16/2026 (a) | 493,258 | 493,083 |
Credit Acceptance Auto Loan Trust Series 2023-3A, Class A, 6.39%, 8/15/2033 (a) | 2,375,000 | 2,401,905 |
Diamond Resorts Owner Trust Series 2021-1A, Class A, 1.51%, 11/21/2033 (a) | 399,198 | 373,117 |
DLLST LLC Series 2022-1A, Class A3, 3.40%, 1/21/2025 (a) | 675,293 | 673,846 |
DT Auto Owner Trust | ||
Series 2021-1A, Class C, 0.84%, 10/15/2026 (a) | 134,487 | 134,013 |
Series 2023-1A, Class A, 5.48%, 4/15/2027 (a) | 1,300,858 | 1,299,675 |
Elmwood CLO Ltd. (Cayman Islands) Series 2020-2A, Class AR, 6.74%, 10/20/2034 (a) (b) | 7,500,000 | 7,513,095 |
Enterprise Fleet Financing LLC Series 2022-1, Class A2, 3.03%, 1/20/2028 (a) | 1,411,367 | 1,395,407 |
Exeter Automobile Receivables Trust | ||
Series 2024-3A, Class A2, 5.82%, 2/15/2027 | 3,050,000 | 3,049,644 |
Series 2023-4A, Class C, 6.51%, 8/15/2028 | 2,500,000 | 2,520,960 |
First Franklin Mortgage Loan Trust | ||
Series 2002-FF1, Class M1, 6.49%, 4/25/2032 (b) | 43,934 | 45,165 |
Series 2002-FF4, Class M1, 7.01%, 2/25/2033 (b) | 578,174 | 470,348 |
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2003-FFH1, Class M2, 8.06%, 9/25/2033 (b) | 226,749 | 199,438 |
Series 2004-FF8, Class M4, 7.05%, 10/25/2034 (b) | 206,280 | 125,615 |
FirstKey Homes Trust Series 2021-SFR1, Class A, 1.54%, 8/17/2038 (a) | 6,732,597 | 6,168,804 |
Foundation Finance Trust Series 2024-1A, Class A, 5.50%, 12/15/2049 (a) | 2,359,370 | 2,346,430 |
FS Rialto (Cayman Islands) Series 2021-FL3, Class A, 6.68%, 11/16/2036 (a) (b) | 5,024,263 | 5,000,132 |
Galaxy CLO Ltd. (Cayman Islands) Series 2013-15A, Class ARR, 6.56%, 10/15/2030 (a) (b) | 1,165,055 | 1,166,251 |
Goodgreen (Cayman Islands) | ||
Series 2018-1A, Class A, 3.93%, 10/15/2053 ‡ (a) (b) | 1,890,429 | 1,705,678 |
Series 2019-1A, Class A, 3.86%, 10/15/2054 ‡ (a) | 1,368,782 | 1,219,253 |
Goodgreen Trust Series 2017-2A, Class A, 3.26%, 10/15/2053 ‡ (a) | 1,181,373 | 1,046,576 |
GreenPoint Mortgage Funding Trust Series 2005-HE3, Class A, 5.61%, 9/15/2030 (b) | 4,491 | 4,419 |
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (a) | 754,999 | 662,039 |
Hilton Grand Vacations Trust | ||
Series 2018-AA, Class A, 3.54%, 2/25/2032 (a) | 283,066 | 277,601 |
Series 2022-2A, Class A, 4.30%, 1/25/2037 (a) | 1,566,994 | 1,517,709 |
Series 2020-AA, Class A, 2.74%, 2/25/2039 (a) | 652,596 | 620,865 |
LCM Ltd. (Cayman Islands) Series 29A, Class AR, 6.66%, 4/15/2031 (a) (b) | 5,000,000 | 5,007,245 |
Lendingpoint Asset Securitization Trust | ||
Series 2022-B, Class A, 4.77%, 10/15/2029 (a) | 1,003,286 | 996,860 |
Series 2022-C, Class A, 6.56%, 2/15/2030 (a) | 718,595 | 718,484 |
Lendmark Funding Trust Series 2022-1A, Class A, 5.12%, 7/20/2032 (a) | 3,000,000 | 2,966,732 |
LP LMS Asset Securitization Trust Series 2023-1A, Class A, 8.18%, 10/17/2033 (a) | 1,297,465 | 1,300,606 |
Mariner Finance Issuance Trust | ||
Series 2020-AA, Class A, 2.19%, 8/21/2034 (a) | 682,994 | 675,484 |
Series 2021-AA, Class A, 1.86%, 3/20/2036 (a) | 3,000,000 | 2,759,293 |
MF1 Ltd. (Cayman Islands) | ||
Series 2021-FL7, Class A, 6.51%, 10/16/2036 (a) (b) | 3,057,660 | 3,039,916 |
Series 2022-FL8, Class A, 6.67%, 2/19/2037 (a) (b) | 4,843,317 | 4,808,445 |
MVW LLC Series 2024-1A, Class A, 5.32%, 2/20/2043 (a) | 2,262,701 | 2,247,436 |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) Series 2020-37A, Class AR, 6.56%, 7/20/2031 (a) (b) | 4,258,312 | 4,264,439 |
New Century Home Equity Loan Trust Series 2003-5, Class AII, 3.72%, 11/25/2033 (b) | 171,920 | 140,287 |
OCP CLO Ltd. (Cayman Islands) Series 2015-9A, Class A1R2, 6.58%, 1/15/2033 (a) (b) | 5,000,000 | 5,008,150 |
OneMain Financial Issuance Trust Series 2021-1A, Class A1, 1.55%, 6/16/2036 (a) | 5,000,000 | 4,529,816 |
Oportun Issuance Trust Series 2022-A, Class A, 5.05%, 6/9/2031 (a) | 5,000,000 | 4,961,364 |
Pagaya AI Technology in Housing Trust Series 2023-1, Class A, 3.60%, 10/25/2040 (a) | 3,500,000 | 3,196,729 |
Palmer Square Loan Funding Ltd. (Cayman Islands) | ||
Series 2021-3A, Class A1, 6.39%, 7/20/2029 (a) (b) | 1,167,746 | 1,168,622 |
Series 2021-4A, Class A1, 6.39%, 10/15/2029 (a) (b) | 2,311,879 | 2,313,612 |
Series 2022-2A, Class A1, 6.60%, 10/15/2030 (a) (b) | 3,319,824 | 3,322,235 |
PRET LLC Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (c) | 1,363,340 | 1,331,720 |
Progress Residential | ||
Series 2021-SFR1, Class A, 1.05%, 4/17/2038 (a) | 3,010,165 | 2,772,103 |
Series 2021-SFR4, Class A, 1.56%, 5/17/2038 (a) | 4,978,243 | 4,600,164 |
Progress Residential Trust | ||
Series 2020-SFR3, Class A, 1.29%, 10/17/2027 (a) | 8,907,854 | 8,406,219 |
Series 2020-SFR2, Class A, 2.08%, 6/17/2037 (a) | 5,038,016 | 4,853,369 |
Series 2021-SFR8, Class A, 1.51%, 10/17/2038 (a) | 4,466,301 | 4,054,445 |
Series 2023-SFR1, Class A, 4.30%, 3/17/2040 (a) | 3,392,478 | 3,244,608 |
Series 2024-SFR1, Class A, 3.35%, 2/17/2041 (a) | 5,500,000 | 5,010,166 |
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2024-SFR2, Class A, 3.30%, 4/17/2041 (a) | 7,930,000 | 7,190,150 |
PRPM LLC Series 2021-10, Class A1, 2.49%, 10/25/2026 (a) (c) | 1,085,901 | 1,064,955 |
RASC Trust Series 2003-KS4, Class MI2, 5.01%, 6/25/2033 (c) | 522,587 | 402,495 |
Santander Consumer Auto Receivables Trust Series 2021-AA, Class B, 0.71%, 8/17/2026 (a) | 2,750,000 | 2,668,346 |
Santander Drive Auto Receivables Trust Series 2022-4, Class A3, 4.14%, 2/16/2027 | 2,661,215 | 2,651,764 |
SCF Equipment Leasing LLC Series 2022-2A, Class A3, 6.50%, 10/21/2030 (a) | 5,900,000 | 5,942,329 |
Sierra Timeshare Receivables Funding LLC | ||
Series 2019-2A, Class A, 2.59%, 5/20/2036 (a) | 274,002 | 272,889 |
Series 2020-2A, Class A, 1.33%, 7/20/2037 (a) | 405,008 | 390,390 |
SoFi Professional Loan Program Trust | ||
Series 2021-B, Class AFX, 1.14%, 2/15/2047 (a) | 2,709,618 | 2,279,777 |
Series 2018-B, Class A2FX, 3.34%, 8/25/2047 (a) | 537,717 | 526,158 |
Structured Asset Investment Loan Trust Series 2003-BC2, Class A3, 6.14%, 4/25/2033 (b) | 5,355 | 5,452 |
Symphony CLO Ltd. (Cayman Islands) Series 2016-18A, Class A1RR, 6.69%, 7/23/2033 (a) (b) | 5,000,000 | 5,011,600 |
Tesla Auto Lease Trust Series 2024-A, Class B, 5.55%, 5/22/2028 (a) | 3,000,000 | 2,986,614 |
Toyota Auto Receivables Owner Trust Series 2020-C, Class A4, 0.57%, 10/15/2025 | 1,374,854 | 1,371,999 |
Tricon American Homes Series 2020-SFR1, Class A, 1.50%, 7/17/2038 (a) | 5,962,572 | 5,476,682 |
Tricon American Homes Trust Series 2019-SFR1, Class A, 2.75%, 3/17/2038 (a) | 3,253,046 | 3,095,264 |
Tricon Residential Trust | ||
Series 2024-SFR2, Class A, 4.75%, 6/17/2040 ‡ (a) (d) | 1,650,000 | 1,592,775 |
Series 2024-SFR1, Class A, 4.65%, 4/17/2041 (a) | 1,390,000 | 1,340,266 |
Upstart Securitization Trust | ||
Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | 1,361,987 | 1,357,874 |
Series 2023-1, Class A, 6.59%, 2/20/2033 (a) | 1,285,619 | 1,286,550 |
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 ‡ (a) | 879,444 | 864,256 |
VCAT LLC Series 2021-NPL1, Class A1, 5.29%, 12/26/2050 (a) (c) | 397,694 | 394,677 |
Verdant Receivables LLC Series 2023-1A, Class A2, 6.24%, 1/13/2031 (a) | 2,625,284 | 2,625,879 |
VOLT C LLC Series 2021-NPL9, Class A1, 4.99%, 5/25/2051 (a) (c) | 1,168,899 | 1,135,150 |
VOLT XCII LLC Series 2021-NPL1, Class A1, 4.89%, 2/27/2051 (a) (c) | 695,887 | 681,138 |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 4.89%, 2/27/2051 (a) (c) | 2,738,562 | 2,684,515 |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 5.24%, 2/27/2051 (a) (c) | 2,332,326 | 2,301,603 |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 5.12%, 4/25/2051 (a) (c) | 797,306 | 785,815 |
VOLT XCV LLC Series 2021-NPL4, Class A1, 5.24%, 3/27/2051 (a) (c) | 1,316,553 | 1,302,024 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 5.12%, 3/27/2051 (a) (c) | 1,604,922 | 1,583,044 |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 5.24%, 4/25/2051 (a) (c) | 2,339,583 | 2,308,568 |
Westgate Resorts LLC Series 2020-1A, Class A, 2.71%, 3/20/2034 (a) | 197,680 | 196,627 |
Westlake Automobile Receivables Trust | ||
Series 2022-2A, Class A3, 3.75%, 4/15/2026 (a) | 2,372,932 | 2,367,499 |
Series 2023-3A, Class A3, 5.82%, 5/17/2027 (a) | 4,000,000 | 4,007,850 |
World Omni Auto Receivables Trust Series 2024-A, Class A4, 4.84%, 10/15/2029 | 2,890,000 | 2,870,089 |
Total Asset-Backed Securities (Cost $273,978,514) | 266,921,451 | |
Collateralized Mortgage Obligations — 28.5% | ||
Alternative Loan Trust | ||
Series 2004-J4, Class 1A6, 5.26%, 6/25/2034 (c) | 207 | 200 |
Series 2004-33, Class 3A3, 4.49%, 12/25/2034 (b) | 101,644 | 92,901 |
Banc of America Funding Trust Series 2006-1, Class 2A1, 5.50%, 1/25/2036 | 84,371 | 70,072 |
Banc of America Mortgage Trust Series 2004-D, Class 2A2, 6.48%, 5/25/2034 (b) | 64,551 | 60,672 |
Bear Stearns Asset-Backed Securities I Trust Series 2004-AC6, Class M1, 6.44%, 11/25/2034 (b) | 98,217 | 36,873 |
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Connecticut Avenue Securities Trust | ||
Series 2021-R03, Class 1M1, 6.17%, 12/25/2041 (a) (b) | 2,891,983 | 2,888,387 |
Series 2022-R01, Class 1M1, 6.32%, 12/25/2041 (a) (b) | 1,790,092 | 1,791,756 |
Series 2022-R06, Class 1M1, 8.07%, 5/25/2042 (a) (b) | 2,549,360 | 2,628,538 |
Series 2022-R07, Class 1M1, 8.27%, 6/25/2042 (a) (b) | 3,836,023 | 3,969,095 |
Series 2022-R08, Class 1M1, 7.87%, 7/25/2042 (a) (b) | 1,491,200 | 1,535,597 |
Series 2024-R01, Class 1M1, 6.37%, 1/25/2044 (a) (b) | 2,436,577 | 2,436,736 |
Series 2024-R02, Class 1M1, 6.42%, 2/25/2044 (a) (b) | 1,952,626 | 1,955,871 |
Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) | ||
Series 2004-5, Class 4A1, 6.00%, 9/25/2034 | 227,020 | 215,780 |
Series 2005-5, Class 1A1, 5.00%, 5/25/2046 | 1,588 | 1,480 |
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-AR24, Class 2A4, 6.48%, 10/25/2033 (b) | 131,209 | 125,870 |
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 3.41%, 2/25/2020 (b) | 19,139 | 18,347 |
FHLMC Seasoned Credit Risk Transfer Trust Series 2020-1, Class M55G, 3.00%, 8/25/2059 | 6,786,382 | 5,918,891 |
FHLMC STACR REMIC Trust Series 2021-DNA3, Class M1, 6.07%, 10/25/2033 (a) (b) | 443,914 | 443,639 |
FHLMC, REMIC | ||
Series 1974, Class ZA, 7.00%, 7/15/2027 | 8,055 | 8,037 |
Series 3737, Class DG, 5.00%, 10/15/2030 | 50,736 | 50,341 |
Series 4120, Class KI, IO, 3.00%, 10/15/2032 | 626,643 | 34,626 |
Series 5000, Class CB, 1.25%, 1/25/2035 | 3,956,400 | 3,418,803 |
Series 3300, Class FA, 5.74%, 8/15/2035 (b) | 96,694 | 95,398 |
Series 3085, Class VS, IF, 6.97%, 12/15/2035 (b) | 91,348 | 96,926 |
Series 4867, Class WF, 5.84%, 4/15/2037 (b) | 6,517,475 | 6,547,263 |
Series 4350, Class AF, 5.79%, 12/15/2037 (b) | 1,751,886 | 1,689,631 |
Series 4350, Class FK, 5.79%, 6/15/2038 (b) | 2,072,134 | 1,999,208 |
Series 4515, Class FA, 5.81%, 8/15/2038 (b) | 1,003,842 | 996,907 |
Series 4350, Class KF, 5.79%, 1/15/2039 (b) | 341,157 | 329,080 |
Series 4448, Class TF, 5.76%, 5/15/2040 (b) | 1,908,748 | 1,866,917 |
Series 4480, Class FM, 5.79%, 6/15/2040 (b) | 2,539,216 | 2,447,127 |
Series 4457, Class KF, 5.79%, 10/15/2040 (b) | 3,320,618 | 3,244,863 |
Series 4363, Class FA, 5.81%, 9/15/2041 (b) | 1,589,747 | 1,555,527 |
Series 4413, Class WF, 5.79%, 10/15/2041 (b) | 1,452,018 | 1,401,239 |
Series 4559, Class AF, 5.94%, 3/15/2042 (b) | 983,932 | 979,775 |
Series 4074, Class FE, 5.84%, 7/15/2042 (b) | 1,243,537 | 1,219,784 |
Series 4150, Class F, 5.81%, 1/15/2043 (b) | 3,355,760 | 3,257,535 |
Series 4161, Class YF, 5.81%, 2/15/2043 (b) | 2,467,476 | 2,395,959 |
Series 4281, Class FB, 5.99%, 12/15/2043 (b) | 1,717,588 | 1,684,741 |
Series 4606, Class FL, 5.94%, 12/15/2044 (b) | 3,489,988 | 3,413,588 |
Series 4594, Class GN, 2.50%, 2/15/2045 | 1,665,453 | 1,488,035 |
Series 5072, Class QC, 1.00%, 10/25/2050 | 5,145,667 | 3,920,949 |
FHLMC, STRIPS | ||
Series 343, Class F4, 5.79%, 10/15/2037 (b) | 1,640,260 | 1,614,008 |
Series 328, Class S4, IF, IO, 0.07%, 2/15/2038 (b) | 3,055,507 | 202,033 |
FHLMC, Structured Pass-Through Certificates, Whole Loan | ||
Series T-51, Class 1A, PO, 9/25/2042 | 38,032 | 29,788 |
Series T-54, Class 4A, 4.22%, 2/25/2043 (b) | 655,613 | 586,461 |
First Horizon Mortgage Pass-Through Trust Series 2004-AR6, Class 2A1, 4.73%, 12/25/2034 (b) | 74,479 | 68,724 |
Flagstar Mortgage Trust Series 2019-2, Class A2, 3.50%, 12/25/2049 (a) (b) | 1,354,871 | 1,176,548 |
FNMA Trust, Whole Loan Series 2004-W2, Class 4A, 4.33%, 2/25/2044 (b) | 98,504 | 94,917 |
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
FNMA, Grantor Trust, Whole Loan | ||
Series 2002-T6, Class A4, 5.15%, 3/25/2041 (b) | 339,910 | 321,362 |
Series 2001-T8, Class A1, 7.50%, 7/25/2041 | 113,076 | 113,261 |
FNMA, REMIC | ||
Series 2013-43, Class YH, 2.50%, 5/25/2033 | 639,631 | 596,112 |
Series 2004-17, Class BF, 5.79%, 1/25/2034 (b) | 75,825 | 75,633 |
Series 2006-3, Class SB, IF, IO, 1.26%, 7/25/2035 (b) | 55,535 | 483 |
Series 2006-16, Class HZ, 5.50%, 3/25/2036 | 99,881 | 100,853 |
Series 2006-124, Class FC, 5.79%, 1/25/2037 (b) | 500,656 | 490,121 |
Series 2014-23, Class FA, 5.74%, 10/25/2039 (b) | 7,574,107 | 7,558,206 |
Series 2012-38, Class PA, 2.00%, 9/25/2041 | 777,491 | 709,304 |
Series 2012-93, Class ME, 2.50%, 1/25/2042 | 964,526 | 879,878 |
Series 2012-13, Class FA, 6.02%, 2/25/2042 (b) | 4,512,463 | 4,432,754 |
Series 2012-31, Class FB, 5.99%, 4/25/2042 (b) | 3,775,599 | 3,704,617 |
Series 2013-23, Class KJ, 2.25%, 5/25/2042 | 1,469,247 | 1,313,850 |
Series 2012-119, Class FB, 5.79%, 11/25/2042 (b) | 2,448,613 | 2,377,520 |
Series 2012-139, Class JA, 3.50%, 12/25/2042 | 1,856,488 | 1,699,380 |
Series 2013-6, Class FL, 5.84%, 2/25/2043 (b) | 605,008 | 589,232 |
Series 2014-49, Class AF, 5.76%, 8/25/2044 (b) | 100,914 | 97,691 |
Series 2015-42, Class BF, 5.75%, 6/25/2045 (b) | 2,241,534 | 2,200,434 |
Series 2016-25, Class LA, 3.00%, 7/25/2045 | 6,448,460 | 5,861,951 |
Series 2016-33, Class JA, 3.00%, 7/25/2045 | 2,203,660 | 2,008,013 |
Series 2015-91, Class AF, 5.81%, 12/25/2045 (b) | 2,263,157 | 2,267,254 |
Series 2016-58, Class SA, IO, 0.10%, 8/25/2046 (b) | 6,176,170 | 300,117 |
Series 2017-108, Class PA, 3.00%, 6/25/2047 | 1,428,709 | 1,283,095 |
Series 2017-104, Class LA, 3.00%, 11/25/2047 | 995,746 | 879,574 |
Series 2019-38, Class PC, 3.00%, 2/25/2048 | 2,225,615 | 2,018,652 |
Series 2019-77, Class FP, 5.99%, 1/25/2050 (b) | 9,157,117 | 8,959,377 |
Series 2014-66, Class WF, 5.79%, 10/25/2054 (b) | 951,055 | 945,808 |
Series 2019-74, Class BF, 5.99%, 12/25/2059 (b) | 4,318,572 | 4,226,420 |
FNMA, REMIC Trust, Whole Loan | ||
Series 2003-W4, Class 5A, 4.12%, 10/25/2042 (b) | 319,376 | 305,356 |
Series 2003-W15, Class 3A, 4.64%, 12/25/2042 (b) | 354,088 | 329,677 |
Series 2003-W1, Class 2A, 5.27%, 12/25/2042 (b) | 105,726 | 103,479 |
Series 2009-W1, Class A, 6.00%, 12/25/2049 | 109,420 | 110,586 |
GNMA | ||
Series 2011-158, Class EB, 4.00%, 12/20/2026 | 1,633,345 | 1,608,806 |
Series 2010-166, Class GP, 3.00%, 4/20/2039 | 119,232 | 117,960 |
Series 2012-61, Class FM, 5.83%, 5/16/2042 (b) | 3,303,578 | 3,263,321 |
Series 2012-H21, Class FA, 5.94%, 7/20/2062 (b) | 647,523 | 646,333 |
Series 2012-H29, Class FA, 5.95%, 10/20/2062 (b) | 534,235 | 533,501 |
Series 2013-H16, Class FA, 5.98%, 7/20/2063 (b) | 1,498,083 | 1,496,305 |
Series 2014-H07, Class FC, 6.04%, 5/20/2064 (b) | 8,249,433 | 8,247,394 |
Series 2014-H11, Class JA, 5.94%, 6/20/2064 (b) | 1,707,928 | 1,704,696 |
Series 2014-H17, Class FM, 5.92%, 8/20/2064 (b) | 5,959,926 | 5,948,724 |
Series 2015-H03, Class FD, 6.08%, 1/20/2065 (b) | 3,328,645 | 3,311,393 |
Series 2015-H04, Class FL, 5.91%, 2/20/2065 (b) | 4,871,456 | 4,862,683 |
Series 2015-H12, Class FJ, 5.87%, 5/20/2065 (b) | 2,433,894 | 2,428,202 |
Series 2015-H14, Class FB, 5.87%, 5/20/2065 (b) | 2,148,096 | 2,142,520 |
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 2015-H12, Class FA, 5.92%, 5/20/2065 (b) | 3,535,650 | 3,530,085 |
Series 2015-H15, Class FB, 6.04%, 6/20/2065 (b) | 4,852,834 | 4,827,475 |
Series 2015-H19, Class FN, 5.88%, 7/20/2065 (b) | 5,374,286 | 5,361,423 |
Series 2015-H23, Class TA, 5.91%, 9/20/2065 (b) | 8,140,911 | 8,124,985 |
GSAA Trust Series 2004-CW1, Class 1A1, 5.50%, 4/1/2034 | 348,404 | 331,355 |
GSR Mortgage Loan Trust Series 2004-10F, Class 7A1, 5.50%, 9/25/2034 | 62,578 | 59,520 |
Impac CMB Trust | ||
Series 2004-6, Class 1A2, 6.22%, 10/25/2034 (b) | 26,428 | 25,725 |
Series 2005-5, Class A1, 6.08%, 8/25/2035 (b) | 269,840 | 243,886 |
IndyMac INDA Mortgage Loan Trust Series 2007-AR1, Class 1A1, 4.02%, 3/25/2037 (b) | 192,848 | 139,396 |
JPMorgan Mortgage Trust Series 2003-A1, Class 1A1, 5.31%, 10/25/2033 (b) | 14,474 | 13,350 |
MASTR Adjustable Rate Mortgages Trust | ||
Series 2004-13, Class 2A1, 6.42%, 4/21/2034 (b) | 50,824 | 47,813 |
Series 2004-13, Class 3A7B, 7.20%, 11/21/2034 (b) | 161,344 | 148,984 |
MASTR Seasoned Securitization Trust Series 2003-1, Class 3A2, 5.84%, 2/25/2033 (b) | 32,715 | 30,957 |
Mellon Residential Funding Corp. Mortgage Pass-Through Certificates | ||
Series 2002-TBC1, Class B1, 6.43%, 9/15/2030 (b) | 8,821 | 8,268 |
Series 2002-TBC1, Class B2, 6.83%, 9/15/2030 (b) | 3,569 | 2,850 |
Series 2001-TBC1, Class B1, 6.31%, 11/15/2031 (b) | 49,678 | 45,337 |
Merrill Lynch Mortgage Investors Trust | ||
Series 2004-D, Class A1, 6.10%, 9/25/2029 (b) | 19,297 | 19,173 |
Series 2004-1, Class 2A3, 5.31%, 12/25/2034 (b) | 56,961 | 51,159 |
Metlife Securitization Trust | ||
Series 2017-1A, Class A, 3.00%, 4/25/2055 (a) (b) | 515,815 | 479,743 |
Series 2018-1A, Class A, 3.75%, 3/25/2057 (a) (b) | 1,661,538 | 1,553,322 |
Morgan Stanley Dean Witter Capital I, Inc. Trust | ||
Series 2003-HYB1, Class A4, 6.22%, 3/25/2033 (b) | 36,216 | 30,992 |
Series 2003-HYB1, Class B1, 6.22%, 3/25/2033 (b) | 34,249 | 17,979 |
Morgan Stanley Mortgage Loan Trust | ||
Series 2004-3, Class 4A, 5.65%, 4/25/2034 (b) | 524,225 | 507,451 |
Series 2004-5AR, Class 3A3, 5.77%, 7/25/2034 (b) | 64,983 | 62,186 |
Series 2004-5AR, Class 3A5, 5.77%, 7/25/2034 (b) | 366,209 | 353,949 |
Series 2004-11AR, Class 1A2A, 5.75%, 1/25/2035 (b) | 161,515 | 147,653 |
MRFC Mortgage Pass-Through Trust Series 2002-TBC2, Class B1, 6.28%, 8/15/2032 (b) | 22,483 | 20,815 |
NAAC Reperforming Loan REMIC Trust Certificates Series 2004-R3, Class AF, 5.89%, 2/25/2035 (a) (b) | 490,086 | 390,909 |
New Residential Mortgage Loan Trust Series 2018-4A, Class A1S, 6.19%, 1/25/2048 (a) (b) | 985,534 | 959,801 |
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-A3, Class A1, 5.50%, 8/25/2033 (c) | 120,550 | 117,338 |
Prime Mortgage Trust Series 2005-2, Class 2A1, 5.83%, 10/25/2032 (b) | 164,104 | 159,414 |
PRPM LLC Series 2020-6, Class A1, 5.36%, 11/25/2025 (a) (c) | 1,686,668 | 1,678,857 |
RFMSI Trust | ||
Series 2005-SA2, Class 2A2, 5.97%, 6/25/2035 (b) | 291,197 | 276,954 |
Series 2006-SA4, Class 2A1, 5.52%, 11/25/2036 (b) | 135,607 | 110,946 |
Sequoia Mortgage Trust | ||
Series 11, Class A, 6.33%, 12/20/2032 (b) | 6,834 | 5,956 |
Series 2003-3, Class A2, 6.38%, 7/20/2033 (b) | 40,421 | 35,558 |
Series 2004-11, Class A2, 6.35%, 12/20/2034 (b) | 229,733 | 195,551 |
Structured Asset Mortgage Investments II Trust Series 2004-AR1, Class 1A1, 6.13%, 3/19/2034 (b) | 24,033 | 21,868 |
Structured Asset Mortgage Investments Trust Series 2002-AR2, Class A3, 6.18%, 7/19/2032 (b) | 100,611 | 73,653 |
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates | ||
Series 2003-24A, Class 2A, 6.96%, 7/25/2033 (b) | 235,699 | 222,341 |
Series 2003-40A, Class 4A, 7.75%, 1/25/2034 (b) | 106,353 | 97,501 |
Thornburg Mortgage Securities Trust Series 2004-4, Class 5A, 3.04%, 12/25/2044 (b) | 1,209,338 | 1,024,214 |
Towd Point Mortgage Trust Series 2018-4, Class A1, 3.00%, 6/25/2058 (a) (b) | 2,745,288 | 2,506,715 |
WaMu Mortgage Pass-Through Certificates Trust | ||
Series 2004-AR3, Class A1, 5.75%, 6/25/2034 (b) | 221,467 | 197,844 |
Series 2004-AR11, Class A, 5.96%, 10/25/2034 (b) | 113,138 | 107,107 |
Total Collateralized Mortgage Obligations (Cost $207,190,363) | 199,645,689 | |
Commercial Mortgage-Backed Securities — 11.4% | ||
20 Times Square Trust Series 2018-20TS, Class A, 3.10%, 5/15/2035 (a) (b) | 1,818,155 | 1,696,148 |
BAMLL Commercial Mortgage Securities Trust Series 2015-200P, Class A, 3.22%, 4/14/2033 (a) | 3,500,000 | 3,381,350 |
BANK Series 2021-BN35, Class A2, 1.87%, 6/15/2064 | 2,650,000 | 2,338,416 |
Bayview Commercial Asset Trust | ||
Series 2005-2A, Class A2, 5.96%, 8/25/2035 (a) (b) | 343,354 | 330,465 |
Series 2005-2A, Class M1, 6.08%, 8/25/2035 (a) (b) | 68,575 | 65,741 |
Series 2007-3, Class A2, 5.87%, 7/25/2037 (a) (b) | 325,346 | 303,067 |
BBCMS Mortgage Trust Series 2020-C7, Class A2, 2.02%, 4/15/2053 | 1,000,000 | 942,630 |
BBCMS Trust Series 2015-VFM, Class A1, 2.47%, 3/10/2036 (a) | 603,959 | 579,348 |
BHMS Series 2018-ATLS, Class A, 6.86%, 7/15/2035 (a) (b) | 6,000,000 | 5,999,960 |
BX | ||
Series 2021-MFM1, Class A, 6.13%, 1/15/2034 (a) (b) | 3,065,047 | 3,049,792 |
Series 2024-PALM, Class A, 6.84%, 6/15/2037 (a) (b) (d) | 5,000,000 | 4,987,417 |
BX Trust | ||
Series 2021-BXMF, Class A, 6.07%, 10/15/2026 (a) (b) | 7,507,721 | 7,432,680 |
Series 2021-LBA, Class AJV, 6.23%, 2/15/2036 (a) (b) | 6,500,000 | 6,474,796 |
Commercial Mortgage Trust Series 2020-CBM, Class A1, 2.24%, 2/10/2037 (a) (b) | 6,000,000 | 5,801,654 |
FHLMC, Multi-Family Structured Credit Risk Series 2021-MN1, Class M1, 7.32%, 1/25/2051 (a) (b) | 146,227 | 143,782 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series Q007, Class APT2, 3.61%, 10/25/2047 (b) | 938,194 | 928,533 |
Series Q013, Class APT1, 2.17%, 5/25/2050 (b) | 2,643,721 | 2,585,221 |
ILPT Commercial Mortgage Trust Series 2022-LPF2, Class A, 7.56%, 10/15/2039 (a) (b) | 3,000,000 | 2,996,249 |
OAKST Commercial Mortgage Trust Series 2023-NLP, Class A, 6.09%, 3/15/2040 (a) (b) | 2,000,000 | 1,988,861 |
One Bryant Park Trust Series 2019-OBP, Class A, 2.52%, 9/15/2054 (a) | 5,000,000 | 4,222,672 |
ONE Mortgage Trust Series 2021-PARK, Class A, 6.13%, 3/15/2036 (a) (b) | 7,000,000 | 6,816,250 |
SDR Commercial Mortgage Trust Series 2024-DSNY, Class A, 6.69%, 5/15/2039 (a) (b) | 5,000,000 | 5,004,665 |
SMR Mortgage Trust Series 2022-IND, Class A, 6.97%, 2/15/2039 (a) (b) | 7,421,798 | 7,235,100 |
STWD Mortgage Trust (Cayman Islands) Series 2021-LIH, Class B, 7.09%, 11/15/2036 (a) (b) | 2,300,000 | 2,279,875 |
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a) | 36,602 | 34,333 |
Wells Fargo Commercial Mortgage Trust Series 2021-SAVE, Class A, 6.58%, 2/15/2040 (a) (b) | 2,158,874 | 2,150,104 |
Total Commercial Mortgage-Backed Securities (Cost $81,910,812) | 79,769,109 | |
Mortgage-Backed Securities — 10.1% | ||
FHLMC Gold Pools, Other Pool # U49009, 3.00%, 8/1/2028 | 665,030 | 639,559 |
FHLMC UMBS, 30 Year | ||
Pool # RA2459, 4.00%, 4/1/2050 | 4,745,812 | 4,369,855 |
Pool # RA2904, 3.00%, 6/1/2050 | 4,535,060 | 3,875,052 |
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # RA2970, 2.50%, 7/1/2050 | 5,232,484 | 4,256,265 |
Pool # SD1787, 5.00%, 10/1/2052 | 3,328,065 | 3,275,355 |
Pool # SD8277, 5.50%, 12/1/2052 | 4,468,886 | 4,406,178 |
FNMA UMBS, 15 Year Pool # AD1969, 4.00%, 2/1/2025 | 52,038 | 51,570 |
FNMA UMBS, 20 Year | ||
Pool # MA1338, 3.00%, 2/1/2033 | 769,116 | 716,451 |
Pool # MA1401, 3.00%, 4/1/2033 | 300,351 | 279,397 |
Pool # MA1490, 3.00%, 7/1/2033 | 998,697 | 927,025 |
FNMA UMBS, 30 Year | ||
Pool # 995724, 6.00%, 4/1/2039 | 138,687 | 141,605 |
Pool # AD0588, 5.00%, 12/1/2039 | 646,850 | 637,185 |
Pool # AD9721, 5.50%, 8/1/2040 | 166,781 | 165,406 |
Pool # BM3048, 4.00%, 10/1/2042 | 2,881,594 | 2,705,796 |
Pool # AS4592, 4.00%, 2/1/2045 | 4,953,334 | 4,600,800 |
Pool # BM5560, 4.00%, 1/1/2046 | 3,313,252 | 3,111,182 |
Pool # CA0411, 4.00%, 9/1/2047 | 3,269,044 | 3,069,420 |
Pool # CA2489, 4.50%, 10/1/2048 | 585,328 | 550,441 |
Pool # BP7345, 3.00%, 6/1/2050 | 6,031,012 | 5,137,949 |
Pool # BQ7436, 3.00%, 9/1/2051 | 4,108,982 | 3,466,341 |
Pool # BQ7454, 3.00%, 12/1/2051 | 5,616,634 | 4,738,174 |
Pool # FS2898, 4.50%, 9/1/2052 | 5,282,603 | 4,954,255 |
Pool # FS3051, 5.00%, 10/1/2052 | 3,342,282 | 3,289,346 |
Pool # CB4839, 5.50%, 10/1/2052 | 3,546,832 | 3,499,561 |
FNMA, Other Pool # BK7908, 4.00%, 11/1/2048 | 258,516 | 234,501 |
GNMA I, 15 Year Pool # 723171, 4.50%, 10/15/2024 | 12,135 | 12,086 |
GNMA II, 30 Year Pool # CG5224, 3.50%, 8/20/2051 | 8,777,638 | 7,726,637 |
Total Mortgage-Backed Securities (Cost $80,907,462) | 70,837,392 | |
Corporate Bonds — 3.8% | ||
Banks — 2.4% | ||
BNP Paribas SA (France) (SOFR + 1.00%), 1.32%, 1/13/2027 (a) (e) | 6,470,000 | 6,033,506 |
Sumitomo Mitsui Financial Group, Inc. (Japan) 0.95%, 1/12/2026 | 2,900,000 | 2,701,482 |
Truist Financial Corp. 1.20%, 8/5/2025 | 4,000,000 | 3,800,001 |
UBS AG (Switzerland) 7.95%, 1/9/2025 | 4,000,000 | 4,050,556 |
16,585,545 | ||
Diversified Telecommunication Services — 0.5% | ||
AT&T, Inc. 1.65%, 2/1/2028 | 4,335,000 | 3,830,911 |
Independent Power and Renewable Electricity Producers — 0.2% | ||
Southern Power Co. 0.90%, 1/15/2026 | 1,780,000 | 1,653,257 |
Insurance — 0.7% | ||
Protective Life Global Funding 1.17%, 7/15/2025 (a) | 5,190,000 | 4,945,821 |
Total Corporate Bonds (Cost $28,667,267) | 27,015,534 |
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued) INVESTMENTS | SHARES | VALUE($) |
Short-Term Investments — 8.7% | ||
Investment Companies — 8.7% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.40% (f) (g) (Cost $60,731,842) | 60,718,581 | 60,730,725 |
Total Investments — 100.6% (Cost $733,386,260) | 704,919,900 | |
Liabilities in Excess of Other Assets — (0.6)% | (4,052,921 ) | |
NET ASSETS — 100.0% | 700,866,979 |
Percentages indicated are based on net assets. |
Abbreviations | |
CLO | Collateralized Loan Obligations |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of May 31, 2024. The rate may be subject to a cap and floor. |
IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
REMIC | 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. |
UMBS | Uniform Mortgage-Backed Securities |
‡ | 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, 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. |
(c) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of May 31, 2024. |
(d) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
(e) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of May 31, 2024. |
(f) | 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. |
(g) | The rate shown is the current yield as of May 31, 2024. |
JPMorgan Limited Duration 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.
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.
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).
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 Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $252,105,580 | $14,815,871 | $266,921,451 |
Collateralized Mortgage Obligations | — | 199,645,689 | — | 199,645,689 |
Commercial Mortgage-Backed Securities | — | 79,769,109 | — | 79,769,109 |
Corporate Bonds | — | 27,015,534 | — | 27,015,534 |
Mortgage-Backed Securities | — | 70,837,392 | — | 70,837,392 |
Short-Term Investments | ||||
Investment Companies | 60,730,725 | — | — | 60,730,725 |
Total Investments in Securities | $60,730,725 | $629,373,304 | $14,815,871 | $704,919,900 |
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 | $13,893,620 | $— | $23,709 | $3,460 | $1,594,104 | $(1,865,737 ) | $1,166,715 | $— | $14,815,871 |
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 $3,984.
There were no significant transfers into or out of level 3 for the period ended May 31, 2024.
The significant unobservable inputs used in the fair value measurement of the Fund's investments are listed below. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default rate may decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at May 31, 2024 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$13,223,096 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 8.00% (2.57%) | |
Constant Default Rate | 0.00% - 60.00% (3.92%) | |||
Yield (Discount Rate of Cash Flows) | 5.87% - 8.78% (6.40%) | |||
Asset-Backed Securities | 13,223,096 | |||
Total | $13,223,096 |
# | 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 $1,592,775. 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. |
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)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 Prime Money Market Fund Class IM Shares, 5.40% (a) (b) | $71,408,011 | $56,701,141 | $67,358,317 | $(14,861 ) | $(5,249 ) | $60,730,725 | 60,718,581 | $815,869 | $— |
(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. |