JPMorgan Short Duration Core Plus 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 Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 34.8% | ||
Aerospace & Defense — 0.4% | ||
Boeing Co. (The) 6.30%, 5/1/2029 (a) | 515,000 | 519,174 |
Bombardier, Inc. (Canada) | ||
7.88%, 4/15/2027 (a) | 34,000 | 34,036 |
6.00%, 2/15/2028 (a) | 109,000 | 107,223 |
RTX Corp. 5.75%, 11/8/2026 | 850,000 | 858,414 |
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a) | 29,000 | 31,110 |
TransDigm, Inc. 6.38%, 3/1/2029 (a) | 135,000 | 134,707 |
1,684,664 | ||
Automobile Components — 0.2% | ||
Adient Global Holdings Ltd. | ||
4.88%, 8/15/2026 (a) | 200,000 | 194,144 |
7.00%, 4/15/2028 (a) | 50,000 | 51,053 |
Allison Transmission, Inc. 5.88%, 6/1/2029 (a) | 89,000 | 87,558 |
American Axle & Manufacturing, Inc. | ||
6.50%, 4/1/2027 | 68,000 | 67,629 |
6.88%, 7/1/2028 | 44,000 | 43,669 |
Clarios Global LP | ||
6.25%, 5/15/2026 (a) | 137,000 | 136,882 |
6.75%, 5/15/2028 (a) | 35,000 | 35,368 |
Dana, Inc. | ||
5.38%, 11/15/2027 | 62,000 | 60,250 |
4.50%, 2/15/2032 | 23,000 | 19,505 |
Goodyear Tire & Rubber Co. (The) 5.25%, 4/30/2031 | 167,000 | 151,507 |
Icahn Enterprises LP 5.25%, 5/15/2027 | 160,000 | 146,793 |
994,358 | ||
Automobiles — 0.3% | ||
Ford Motor Co. 9.63%, 4/22/2030 | 36,000 | 41,704 |
Hyundai Capital America | ||
1.80%, 10/15/2025 (a) | 200,000 | 189,744 |
5.25%, 1/8/2027 (a) | 965,000 | 958,938 |
Volkswagen Group of America Finance LLC (Germany) 3.35%, 5/13/2025 (a) | 200,000 | 195,848 |
1,386,234 | ||
Banks — 16.0% | ||
ABN AMRO Bank NV (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.54%, 6/16/2027 (a) (b) | 400,000 | 367,146 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 6.34%, 9/18/2027 (a) (b) | 500,000 | 506,025 |
AIB Group plc (Ireland) (SOFR + 2.33%), 6.61%, 9/13/2029 (a) (b) | 1,750,000 | 1,799,288 |
ASB Bank Ltd. (New Zealand) | ||
5.35%, 6/15/2026 (a) | 1,000,000 | 999,236 |
5.40%, 11/29/2027 (a) | 1,000,000 | 1,000,608 |
Banco Bilbao Vizcaya Argentaria SA (Spain) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.86%, 9/14/2026 (b) | 800,000 | 799,379 |
5.38%, 3/13/2029 | 1,200,000 | 1,201,407 |
Banco Continental SAECA (Paraguay) 2.75%, 12/10/2025 (a) | 350,000 | 330,203 |
Banco Santander SA (Spain) | ||
2.75%, 5/28/2025 | 600,000 | 582,752 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (b) | 200,000 | 182,742 |
5.59%, 8/8/2028 | 800,000 | 804,661 |
6.61%, 11/7/2028 | 200,000 | 209,705 |
Bank of America Corp. | ||
(3-MONTH CME TERM SOFR + 0.90%), 2.02%, 2/13/2026 (b) | 585,000 | 569,794 |
(SOFR + 1.33%), 3.38%, 4/2/2026 (b) | 380,000 | 372,551 |
(SOFR + 0.96%), 1.73%, 7/22/2027 (b) | 230,000 | 212,392 |
(SOFR + 1.34%), 5.93%, 9/15/2027 (b) | 1,000,000 | 1,009,665 |
(SOFR + 1.05%), 2.55%, 2/4/2028 (b) | 345,000 | 320,757 |
(SOFR + 2.04%), 4.95%, 7/22/2028 (b) | 475,000 | 469,548 |
(SOFR + 1.99%), 6.20%, 11/10/2028 (b) | 400,000 | 411,375 |
(SOFR + 1.63%), 5.20%, 4/25/2029 (b) | 870,000 | 865,301 |
Bank of Ireland Group plc (Ireland) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, 9/16/2026 (a) (b) | 335,000 | 336,384 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (a) (b) | 245,000 | 225,138 |
(SOFR + 1.62%), 5.60%, 3/20/2030 (a) (b) | 480,000 | 474,251 |
Bank of Montreal (Canada) 5.20%, 2/1/2028 | 585,000 | 586,007 |
Bank of New Zealand (New Zealand) 5.08%, 1/30/2029 (a) | 395,000 | 391,793 |
Bank of Nova Scotia (The) (Canada) | ||
5.35%, 12/7/2026 | 720,000 | 719,569 |
5.25%, 6/12/2028 | 500,000 | 500,710 |
Banque Federative du Credit Mutuel SA (France) | ||
5.90%, 7/13/2026 (a) | 500,000 | 504,583 |
4.75%, 7/13/2027 (a) | 530,000 | 521,261 |
5.79%, 7/13/2028 (a) | 750,000 | 763,459 |
Barclays plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.28%, 11/24/2027 (b) | 820,000 | 755,910 |
BNP Paribas SA (France) | ||
(SOFR + 2.07%), 2.22%, 6/9/2026 (a) (b) | 795,000 | 767,083 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.34%, 6/12/2029 (a) (b) | 500,000 | 499,372 |
(SOFR + 1.59%), 5.50%, 5/20/2030 (a) (b) | 630,000 | 627,282 |
BPCE SA (France) | ||
5.15%, 7/21/2024 (a) | 285,000 | 284,455 |
(SOFR + 1.52%), 1.65%, 10/6/2026 (a) (b) | 750,000 | 708,488 |
(SOFR + 2.10%), 5.98%, 1/18/2027 (a) (b) | 500,000 | 501,400 |
(SOFR + 1.98%), 6.61%, 10/19/2027 (a) (b) | 1,525,000 | 1,549,974 |
(SOFR + 2.27%), 6.71%, 10/19/2029 (a) (b) | 375,000 | 389,622 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.96%), 5.72%, 1/18/2030 (a) (b) | 460,000 | 459,744 |
CaixaBank SA (Spain) | ||
(SOFR + 2.08%), 6.68%, 9/13/2027 (a) (b) | 805,000 | 819,602 |
(SOFR + 1.78%), 5.67%, 3/15/2030 (a) (b) | 702,000 | 699,121 |
Canadian Imperial Bank of Commerce (Canada) | ||
5.00%, 4/28/2028 | 505,000 | 500,360 |
5.26%, 4/8/2029 | 660,000 | 657,962 |
Citigroup, Inc. | ||
(SOFR + 0.69%), 2.01%, 1/25/2026 (b) | 455,000 | 443,955 |
(SOFR + 2.84%), 3.11%, 4/8/2026 (b) | 200,000 | 195,601 |
(SOFR + 1.55%), 5.61%, 9/29/2026 (b) | 1,750,000 | 1,749,320 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(SOFR + 0.77%), 1.12%, 1/28/2027 (b) | 85,000 | 79,063 |
(3-MONTH CME TERM SOFR + 1.82%), 3.89%, 1/10/2028 (b) | 370,000 | 356,445 |
(SOFR + 1.28%), 3.07%, 2/24/2028 (b) | 500,000 | 470,431 |
(SOFR + 1.36%), 5.17%, 2/13/2030 (b) | 1,130,000 | 1,118,975 |
Cooperatieve Rabobank UA (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (a) (b) | 535,000 | 509,058 |
Credit Agricole SA (France) | ||
(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (b) | 765,000 | 735,231 |
5.59%, 7/5/2026 (a) | 1,825,000 | 1,833,100 |
(SOFR + 1.69%), 5.34%, 1/10/2030 (a) (b) | 645,000 | 640,852 |
Danske Bank A/S (Denmark) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.98%, 9/10/2025 (a) (b) | 805,000 | 793,974 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.18%), 6.26%, 9/22/2026 (a) (b) | 805,000 | 810,252 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (a) (b) | 350,000 | 350,378 |
DNB Bank ASA (Norway) (SOFRINDX + 1.95%), 5.90%, 10/9/2026 (a) (b) | 500,000 | 501,596 |
Federation des Caisses Desjardins du Quebec (Canada) | ||
4.40%, 8/23/2025 (a) | 200,000 | 197,397 |
5.70%, 3/14/2028 (a) | 325,000 | 328,056 |
5.25%, 4/26/2029 (a) | 710,000 | 705,664 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 1.57%), 5.89%, 8/14/2027 (b) | 855,000 | 860,770 |
(SOFR + 1.97%), 6.16%, 3/9/2029 (b) | 1,750,000 | 1,787,347 |
(SOFR + 1.46%), 5.55%, 3/4/2030 (b) | 300,000 | 300,035 |
ING Groep NV (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.40%, 7/1/2026 (a) (b) | 500,000 | 477,441 |
(SOFR + 1.01%), 1.73%, 4/1/2027 (b) | 200,000 | 186,516 |
KBC Group NV (Belgium) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (a) (b) | 1,030,000 | 1,035,644 |
Lloyds Banking Group plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.44%, 2/5/2026 (b) | 200,000 | 195,523 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.48%), 5.99%, 8/7/2027 (b) | 1,000,000 | 1,004,912 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.38%), 5.46%, 1/5/2028 (b) | 740,000 | 738,028 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.70%), 5.87%, 3/6/2029 (b) | 755,000 | 763,333 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 5.72%, 6/5/2030 (b) | 1,575,000 | 1,584,042 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.13%), 3.84%, 4/17/2026 (b) | 258,000 | 253,843 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (b) | 512,000 | 471,961 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (b) | 400,000 | 370,288 |
Mizuho Financial Group, Inc. (Japan) | ||
(3-MONTH CME TERM SOFR + 1.24%), 2.84%, 7/16/2025 (b) | 200,000 | 199,273 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 2.65%, 5/22/2026 (b) | 470,000 | 456,706 |
Morgan Stanley Bank NA (SOFR + 0.87%), 5.50%, 5/26/2028 (b) | 1,495,000 | 1,501,667 |
National Bank of Canada (Canada) 5.60%, 12/18/2028 | 1,620,000 | 1,634,762 |
NatWest Group plc (United Kingdom) | ||
4.80%, 4/5/2026 | 500,000 | 493,699 |
(3-MONTH SOFR + 1.75%), 4.89%, 5/18/2029 (b) | 1,100,000 | 1,072,199 |
NatWest Markets plc (United Kingdom) | ||
5.42%, 5/17/2027 (a) | 745,000 | 744,215 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
5.41%, 5/17/2029 (a) | 805,000 | 802,581 |
Nordea Bank Abp (Finland) 1.50%, 9/30/2026 (a) | 500,000 | 457,705 |
Santander UK Group Holdings plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (b) | 655,000 | 621,859 |
Skandinaviska Enskilda Banken AB (Sweden) 5.38%, 3/5/2029 (a) | 940,000 | 935,753 |
Societe Generale SA (France) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.23%, 1/21/2026 (a) (b) | 365,000 | 356,119 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (b) | 570,000 | 532,671 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 6.45%, 1/10/2029 (a) (b) | 1,055,000 | 1,077,256 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 5.63%, 1/19/2030 (a) (b) | 1,000,000 | 991,828 |
Standard Chartered plc (United Kingdom) | ||
(3-MONTH SOFR + 1.21%), 2.82%, 1/30/2026 (a) (b) | 200,000 | 195,904 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 3.97%, 3/30/2026 (a) (b) | 310,000 | 304,823 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.85%), 6.19%, 7/6/2027 (a) (b) | 470,000 | 473,793 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.69%, 5/14/2028 (a) (b) | 755,000 | 755,000 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
5.88%, 7/13/2026 | 585,000 | 590,555 |
5.52%, 1/13/2028 | 775,000 | 782,888 |
Sumitomo Mitsui Trust Bank Ltd. (Japan) 5.20%, 3/7/2029 (a) | 820,000 | 820,892 |
Svenska Handelsbanken AB (Sweden) 5.50%, 6/15/2028 (a) | 750,000 | 752,226 |
Toronto-Dominion Bank (The) (Canada) 5.53%, 7/17/2026 | 1,195,000 | 1,198,258 |
Wells Fargo & Co. | ||
(3-MONTH CME TERM SOFR + 1.01%), 2.16%, 2/11/2026 (b) | 150,000 | 146,343 |
(SOFR + 1.51%), 3.53%, 3/24/2028 (b) | 285,000 | 270,981 |
(SOFR + 1.07%), 5.71%, 4/22/2028 (b) | 1,245,000 | 1,253,522 |
(SOFR + 1.98%), 4.81%, 7/25/2028 (b) | 945,000 | 928,180 |
(SOFR + 1.74%), 5.57%, 7/25/2029 (b) | 975,000 | 980,512 |
(SOFR + 1.79%), 6.30%, 10/23/2029 (b) | 210,000 | 217,309 |
(SOFR + 1.50%), 5.20%, 1/23/2030 (b) | 915,000 | 907,187 |
Westpac New Zealand Ltd. (New Zealand) 5.20%, 2/28/2029 (a) | 715,000 | 710,541 |
72,274,303 | ||
Beverages — 0.0% ^ | ||
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a) | 60,000 | 55,442 |
Biotechnology — 0.1% | ||
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) | 39,000 | 23,293 |
Grifols SA (Spain) 4.75%, 10/15/2028 (a) | 200,000 | 174,005 |
197,298 | ||
Broadline Retail — 0.0% ^ | ||
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a) | 72,000 | 71,593 |
Nordstrom, Inc. 4.38%, 4/1/2030 | 44,000 | 40,007 |
111,600 | ||
Building Products — 0.2% | ||
Builders FirstSource, Inc. 4.25%, 2/1/2032 (a) | 149,000 | 130,122 |
EMRLD Borrower LP 6.63%, 12/15/2030 (a) | 140,000 | 140,244 |
Griffon Corp. 5.75%, 3/1/2028 | 125,000 | 120,831 |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | 79,000 | 74,022 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Building Products — continued | ||
Smyrna Ready Mix Concrete LLC 8.88%, 11/15/2031 (a) | 70,000 | 73,705 |
Standard Industries, Inc. 4.75%, 1/15/2028 (a) | 64,000 | 60,969 |
Summit Materials LLC 5.25%, 1/15/2029 (a) | 114,000 | 109,793 |
709,686 | ||
Capital Markets — 3.5% | ||
Bank of New York Mellon Corp. (The) (SOFR + 1.03%), 4.95%, 4/26/2027 (b) | 380,000 | 376,986 |
Deutsche Bank AG (Germany) | ||
(SOFR + 1.87%), 2.13%, 11/24/2026 (b) | 350,000 | 331,440 |
(SOFR + 2.52%), 7.15%, 7/13/2027 (b) | 350,000 | 358,763 |
(SOFR + 1.22%), 2.31%, 11/16/2027 (b) | 150,000 | 137,850 |
(SOFR + 2.51%), 6.82%, 11/20/2029 (b) | 1,303,000 | 1,352,575 |
Goldman Sachs Group, Inc. (The) | ||
(SOFR + 0.91%), 1.95%, 10/21/2027 (b) | 423,000 | 388,969 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (b) | 390,000 | 362,459 |
(SOFR + 1.85%), 3.62%, 3/15/2028 (b) | 720,000 | 686,645 |
(SOFR + 1.73%), 4.48%, 8/23/2028 (b) | 1,000,000 | 974,485 |
(SOFR + 1.27%), 5.73%, 4/25/2030 (b) | 880,000 | 891,620 |
Macquarie Bank Ltd. (Australia) 5.21%, 6/15/2026 (a) | 1,000,000 | 997,981 |
Macquarie Group Ltd. (Australia) | ||
6.21%, 11/22/2024 (a) | 490,000 | 491,176 |
(SOFR + 0.91%), 1.63%, 9/23/2027 (a) (b) | 140,000 | 127,777 |
(SOFR + 2.13%), 4.10%, 6/21/2028 (a) (b) | 380,000 | 364,883 |
Morgan Stanley | ||
(SOFR + 0.72%), 0.99%, 12/10/2026 (b) | 150,000 | 139,797 |
(SOFR + 0.86%), 1.51%, 7/20/2027 (b) | 335,000 | 308,380 |
(SOFR + 1.00%), 2.48%, 1/21/2028 (b) | 400,000 | 371,627 |
(SOFR + 2.24%), 6.30%, 10/18/2028 (b) | 985,000 | 1,013,163 |
(SOFR + 1.59%), 5.16%, 4/20/2029 (b) | 565,000 | 561,194 |
(SOFR + 1.63%), 5.45%, 7/20/2029 (b) | 600,000 | 602,100 |
(SOFR + 1.26%), 5.66%, 4/18/2030 (b) | 930,000 | 942,173 |
Nomura Holdings, Inc. (Japan) 1.85%, 7/16/2025 | 200,000 | 191,405 |
UBS AG (Switzerland) 7.50%, 2/15/2028 | 270,000 | 288,440 |
UBS Group AG (Switzerland) | ||
(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (b) | 250,000 | 247,736 |
(SOFR + 3.34%), 6.37%, 7/15/2026 (a) (b) | 405,000 | 406,980 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.71%, 1/12/2027 (a) (b) | 297,000 | 296,846 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (a) (b) | 410,000 | 402,038 |
(SOFR + 3.70%), 6.44%, 8/11/2028 (a) (b) | 870,000 | 891,591 |
(USD SOFR ICE Swap Rate 1 Year + 1.34%), 5.62%, 9/13/2030 (a) (b) | 1,085,000 | 1,086,931 |
15,594,010 | ||
Chemicals — 0.2% | ||
Avient Corp. 5.75%, 5/15/2025 (a) | 44,000 | 43,762 |
Braskem Netherlands Finance BV (Brazil) 4.50%, 1/31/2030 (c) | 200,000 | 167,500 |
Chemours Co. (The) 5.75%, 11/15/2028 (a) | 160,000 | 146,437 |
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | 62,000 | 56,418 |
INEOS Finance plc (Luxembourg) 6.75%, 5/15/2028 (a) | 200,000 | 198,254 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Chemicals — continued | ||
NOVA Chemicals Corp. (Canada) | ||
8.50%, 11/15/2028 (a) | 50,000 | 53,028 |
4.25%, 5/15/2029 (a) | 67,000 | 58,781 |
Scotts Miracle-Gro Co. (The) 4.50%, 10/15/2029 | 173,000 | 155,649 |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a) | 11,000 | 8,978 |
WR Grace Holdings LLC | ||
4.88%, 6/15/2027 (a) | 64,000 | 61,460 |
5.63%, 8/15/2029 (a) | 125,000 | 115,002 |
1,065,269 | ||
Commercial Services & Supplies — 0.7% | ||
ACCO Brands Corp. 4.25%, 3/15/2029 (a) | 122,000 | 108,222 |
Allied Universal Holdco LLC | ||
6.63%, 7/15/2026 (a) | 2,000 | 1,999 |
4.63%, 6/1/2028 (a) | 200,000 | 180,075 |
APi Group DE, Inc. 4.13%, 7/15/2029 (a) | 50,000 | 44,788 |
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | 59,000 | 56,410 |
Brink's Co. (The) 4.63%, 10/15/2027 (a) | 31,000 | 29,596 |
Element Fleet Management Corp. (Canada) | ||
3.85%, 6/15/2025 (a) | 200,000 | 195,904 |
5.64%, 3/13/2027 (a) | 1,845,000 | 1,845,996 |
Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a) | 85,000 | 80,773 |
GFL Environmental, Inc. | ||
4.00%, 8/1/2028 (a) | 160,000 | 146,304 |
4.75%, 6/15/2029 (a) | 71,000 | 66,085 |
Madison IAQ LLC 4.13%, 6/30/2028 (a) | 186,000 | 172,351 |
Prime Security Services Borrower LLC | ||
5.75%, 4/15/2026 (a) | 130,000 | 129,080 |
6.25%, 1/15/2028 (a) | 145,000 | 142,352 |
3,199,935 | ||
Communications Equipment — 0.0% ^ | ||
CommScope, Inc. | ||
6.00%, 3/1/2026 (a) | 85,000 | 75,862 |
4.75%, 9/1/2029 (a) | 95,000 | 68,400 |
144,262 | ||
Construction & Engineering — 0.1% | ||
Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (c) | 173,548 | 129,510 |
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | 44,000 | 40,880 |
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | 84,000 | 77,848 |
Pike Corp. 5.50%, 9/1/2028 (a) | 35,000 | 33,309 |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | 59,000 | 54,035 |
335,582 | ||
Consumer Finance — 1.9% | ||
AerCap Ireland Capital DAC (Ireland) | ||
6.45%, 4/15/2027 | 695,000 | 711,423 |
5.75%, 6/6/2028 | 500,000 | 504,144 |
Ally Financial, Inc. 5.75%, 11/20/2025 | 65,000 | 64,706 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Consumer Finance — continued | ||
American Express Co. | ||
(SOFR + 1.33%), 6.34%, 10/30/2026 (b) | 910,000 | 919,728 |
(SOFR + 1.09%), 5.53%, 4/25/2030 (b) | 1,225,000 | 1,236,092 |
Avolon Holdings Funding Ltd. (Ireland) | ||
5.50%, 1/15/2026 (a) | 875,000 | 865,760 |
5.75%, 3/1/2029 (a) | 970,000 | 963,175 |
Capital One Financial Corp. | ||
(SOFR + 2.08%), 5.47%, 2/1/2029 (b) | 345,000 | 342,228 |
(SOFR + 1.91%), 5.70%, 2/1/2030 (b) | 1,000,000 | 999,453 |
Ford Motor Credit Co. LLC 4.27%, 1/9/2027 | 200,000 | 192,188 |
General Motors Financial Co., Inc. | ||
5.40%, 5/8/2027 | 515,000 | 514,135 |
5.55%, 7/15/2029 | 815,000 | 811,376 |
OneMain Finance Corp. | ||
7.13%, 3/15/2026 | 67,000 | 67,983 |
6.63%, 1/15/2028 | 143,000 | 142,063 |
5.38%, 11/15/2029 | 58,000 | 53,941 |
8,388,395 | ||
Consumer Staples Distribution & Retail — 0.1% | ||
Albertsons Cos., Inc. | ||
4.63%, 1/15/2027 (a) | 216,000 | 208,186 |
3.50%, 3/15/2029 (a) | 59,000 | 52,623 |
Performance Food Group, Inc. 5.50%, 10/15/2027 (a) | 22,000 | 21,442 |
Rite Aid Corp. 8.00%, 11/15/2026 (a) (d) | 85,000 | 42,500 |
324,751 | ||
Containers & Packaging — 0.2% | ||
Ardagh Packaging Finance plc 4.13%, 8/15/2026 (a) | 200,000 | 170,050 |
Graphic Packaging International LLC 1.51%, 4/15/2026 (a) | 70,000 | 64,720 |
LABL, Inc. 6.75%, 7/15/2026 (a) | 100,000 | 98,819 |
Mauser Packaging Solutions Holding Co. 7.88%, 4/15/2027 (a) | 173,000 | 176,263 |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | 152,000 | 150,922 |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | 104,000 | 97,063 |
TriMas Corp. 4.13%, 4/15/2029 (a) | 60,000 | 54,306 |
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (e) | 200,000 | 197,175 |
1,009,318 | ||
Diversified Consumer Services — 0.0% ^ | ||
Service Corp. International 5.13%, 6/1/2029 | 41,000 | 39,404 |
Diversified Telecommunication Services — 0.4% | ||
Altice France SA (France) 5.13%, 7/15/2029 (a) | 200,000 | 134,132 |
CCO Holdings LLC | ||
5.00%, 2/1/2028 (a) | 197,000 | 181,892 |
4.75%, 3/1/2030 (a) | 362,000 | 308,371 |
4.50%, 8/15/2030 (a) | 715,000 | 594,098 |
4.75%, 2/1/2032 (a) | 13,000 | 10,468 |
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a) | 77,000 | 74,979 |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | 187,000 | 175,897 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Diversified Telecommunication Services — continued | ||
Lumen Technologies, Inc. | ||
4.13%, 4/15/2029 (a) | 91,800 | 59,033 |
4.13%, 4/15/2030 (a) | 114,705 | 73,354 |
Telecom Italia Capital SA (Italy) 6.38%, 11/15/2033 | 31,000 | 27,485 |
1,639,709 | ||
Electric Utilities — 1.8% | ||
Enel Finance America LLC (Italy) 7.10%, 10/14/2027 (a) | 200,000 | 209,912 |
Enel Finance International NV (Italy) 4.63%, 6/15/2027 (a) | 445,000 | 435,180 |
EnfraGen Energia Sur SA (Colombia) 5.38%, 12/30/2030 (c) | 200,000 | 167,500 |
Eskom Holdings SOC Ltd. (South Africa) 7.13%, 2/11/2025 (c) | 200,000 | 199,000 |
Exelon Corp. 5.15%, 3/15/2028 | 305,000 | 303,499 |
Fells Point Funding Trust 3.05%, 1/31/2027 (a) | 2,535,000 | 2,377,334 |
FirstEnergy Pennsylvania Electric Co. | ||
5.15%, 3/30/2026 (a) | 225,000 | 222,456 |
5.20%, 4/1/2028 (a) | 240,000 | 239,199 |
Instituto Costarricense de Electricidad (Costa Rica) 6.75%, 10/7/2031 (a) | 200,000 | 197,500 |
ITC Holdings Corp. 3.65%, 6/15/2024 | 745,000 | 744,218 |
NextEra Energy Capital Holdings, Inc. 5.75%, 9/1/2025 | 445,000 | 445,764 |
NRG Energy, Inc. | ||
3.38%, 2/15/2029 (a) | 46,000 | 40,721 |
5.25%, 6/15/2029 (a) | 232,000 | 221,291 |
Pacific Gas and Electric Co. 5.55%, 5/15/2029 | 685,000 | 684,535 |
PG&E Corp. 5.00%, 7/1/2028 | 145,000 | 139,000 |
Southern California Edison Co. 5.15%, 6/1/2029 | 820,000 | 816,643 |
Vistra Operations Co. LLC | ||
3.55%, 7/15/2024 (a) | 350,000 | 348,926 |
5.00%, 7/31/2027 (a) | 90,000 | 87,042 |
4.38%, 5/1/2029 (a) | 27,000 | 24,992 |
7.75%, 10/15/2031 (a) | 100,000 | 103,907 |
8,008,619 | ||
Electrical Equipment — 0.0% ^ | ||
EnerSys 6.63%, 1/15/2032 (a) | 95,000 | 95,737 |
Vertiv Group Corp. 4.13%, 11/15/2028 (a) | 44,000 | 40,785 |
136,522 | ||
Electronic Equipment, Instruments & Components — 0.0% ^ | ||
Coherent Corp. 5.00%, 12/15/2029 (a) | 91,000 | 84,856 |
Energy Equipment & Services — 0.2% | ||
Archrock Partners LP 6.88%, 4/1/2027 (a) | 95,000 | 95,374 |
Diamond Foreign Asset Co. 8.50%, 10/1/2030 (a) | 50,000 | 52,495 |
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a) | 171,358 | 155,786 |
Nabors Industries, Inc. 7.38%, 5/15/2027 (a) | 85,000 | 84,810 |
Noble Finance II LLC 8.00%, 4/15/2030 (a) | 80,000 | 82,524 |
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a) | 41,000 | 40,984 |
Transocean, Inc. 8.75%, 2/15/2030 (a) | 31,500 | 32,862 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Energy Equipment & Services — continued | ||
USA Compression Partners LP 6.88%, 9/1/2027 | 75,000 | 75,004 |
Valaris Ltd. 8.38%, 4/30/2030 (a) | 50,000 | 51,680 |
671,519 | ||
Entertainment — 0.1% | ||
Cinemark USA, Inc. | ||
5.88%, 3/15/2026 (a) | 31,000 | 30,538 |
5.25%, 7/15/2028 (a) | 90,000 | 84,027 |
Live Nation Entertainment, Inc. | ||
6.50%, 5/15/2027 (a) | 135,000 | 135,704 |
4.75%, 10/15/2027 (a) | 120,000 | 113,691 |
Take-Two Interactive Software, Inc. 5.00%, 3/28/2026 | 103,000 | 102,220 |
466,180 | ||
Financial Services — 0.6% | ||
Block, Inc. | ||
2.75%, 6/1/2026 | 15,000 | 14,127 |
3.50%, 6/1/2031 | 38,000 | 32,549 |
Global Payments, Inc. | ||
1.20%, 3/1/2026 | 415,000 | 384,660 |
4.95%, 8/15/2027 | 335,000 | 330,581 |
Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (a) | 157,000 | 154,852 |
Nationwide Building Society (United Kingdom) (SOFR + 1.29%), 2.97%, 2/16/2028 (a) (b) | 1,850,000 | 1,727,676 |
NCR Atleos Corp. 9.50%, 4/1/2029 (a) | 120,000 | 129,463 |
Rocket Mortgage LLC | ||
2.88%, 10/15/2026 (a) | 57,000 | 53,027 |
3.63%, 3/1/2029 (a) | 44,000 | 39,350 |
4.00%, 10/15/2033 (a) | 5,000 | 4,151 |
2,870,436 | ||
Food Products — 0.2% | ||
Post Holdings, Inc. | ||
5.63%, 1/15/2028 (a) | 63,000 | 61,555 |
4.63%, 4/15/2030 (a) | 91,000 | 82,634 |
Viterra Finance BV (Netherlands) | ||
2.00%, 4/21/2026 (a) | 200,000 | 186,269 |
4.90%, 4/21/2027 (a) | 570,000 | 559,912 |
890,370 | ||
Gas Utilities — 0.0% ^ | ||
AmeriGas Partners LP | ||
5.88%, 8/20/2026 | 49,000 | 47,379 |
9.38%, 6/1/2028 (a) | 45,000 | 46,131 |
Superior Plus LP (Canada) 4.50%, 3/15/2029 (a) | 70,000 | 63,682 |
157,192 | ||
Ground Transportation — 0.1% | ||
Avis Budget Car Rental LLC | ||
5.75%, 7/15/2027 (a) | 144,000 | 138,235 |
4.75%, 4/1/2028 (a) | 31,000 | 28,180 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Ground Transportation — continued | ||
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | 109,000 | 98,239 |
Hertz Corp. (The) 4.63%, 12/1/2026 (a) | 153,000 | 118,791 |
RXO, Inc. 7.50%, 11/15/2027 (a) | 50,000 | 51,125 |
Uber Technologies, Inc. 7.50%, 9/15/2027 (a) | 40,000 | 40,740 |
XPO, Inc. | ||
6.25%, 6/1/2028 (a) | 20,000 | 19,940 |
7.13%, 6/1/2031 (a) | 45,000 | 45,915 |
541,165 | ||
Health Care Equipment & Supplies — 0.1% | ||
Medline Borrower LP | ||
3.88%, 4/1/2029 (a) | 195,000 | 177,485 |
6.25%, 4/1/2029 (a) | 37,000 | 37,007 |
5.25%, 10/1/2029 (a) | 90,000 | 84,841 |
299,333 | ||
Health Care Providers & Services — 0.8% | ||
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (a) | 41,000 | 39,868 |
AdaptHealth LLC 4.63%, 8/1/2029 (a) | 54,000 | 46,245 |
Cardinal Health, Inc. 5.13%, 2/15/2029 | 1,595,000 | 1,583,954 |
Community Health Systems, Inc. | ||
8.00%, 3/15/2026 (a) | 129,000 | 129,230 |
5.63%, 3/15/2027 (a) | 173,000 | 163,857 |
6.00%, 1/15/2029 (a) | 67,000 | 59,994 |
4.75%, 2/15/2031 (a) | 77,000 | 60,798 |
DaVita, Inc. 4.63%, 6/1/2030 (a) | 148,000 | 132,591 |
Encompass Health Corp. 4.75%, 2/1/2030 | 136,000 | 125,874 |
HCA, Inc. 5.20%, 6/1/2028 | 520,000 | 515,954 |
Owens & Minor, Inc. 4.50%, 3/31/2029 (a) | 125,000 | 110,313 |
Star Parent, Inc. 9.00%, 10/1/2030 (a) | 105,000 | 109,488 |
Tenet Healthcare Corp. | ||
5.13%, 11/1/2027 | 59,000 | 57,490 |
4.25%, 6/1/2029 | 553,000 | 511,579 |
3,647,235 | ||
Hotel & Resort REITs — 0.0% ^ | ||
RHP Hotel Properties LP | ||
4.75%, 10/15/2027 | 67,000 | 64,248 |
4.50%, 2/15/2029 (a) | 60,000 | 55,730 |
119,978 | ||
Hotels, Restaurants & Leisure — 0.5% | ||
1011778 BC ULC (Canada) 3.88%, 1/15/2028 (a) | 46,000 | 42,734 |
Boyd Gaming Corp. 4.75%, 12/1/2027 | 59,000 | 56,159 |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | 140,000 | 129,297 |
Caesars Entertainment, Inc. | ||
4.63%, 10/15/2029 (a) | 190,000 | 171,649 |
6.50%, 2/15/2032 (a) | 105,000 | 103,829 |
Carnival Corp. | ||
4.00%, 8/1/2028 (a) | 100,000 | 91,857 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Hotels, Restaurants & Leisure — continued | ||
6.00%, 5/1/2029 (a) | 110,000 | 107,509 |
10.50%, 6/1/2030 (a) | 110,000 | 119,568 |
Cedar Fair LP 5.25%, 7/15/2029 | 85,000 | 80,071 |
Hilton Domestic Operating Co., Inc. 4.88%, 1/15/2030 | 72,000 | 68,074 |
Marriott Ownership Resorts, Inc. | ||
4.75%, 1/15/2028 | 75,000 | 70,086 |
4.50%, 6/15/2029 (a) | 49,000 | 44,428 |
MGM Resorts International | ||
5.50%, 4/15/2027 | 78,000 | 76,712 |
4.75%, 10/15/2028 | 75,000 | 70,129 |
6.50%, 4/15/2032 | 90,000 | 88,003 |
Royal Caribbean Cruises Ltd. | ||
8.25%, 1/15/2029 (a) | 105,000 | 110,511 |
9.25%, 1/15/2029 (a) | 125,000 | 133,148 |
7.25%, 1/15/2030 (a) | 140,000 | 144,621 |
Sands China Ltd. (Macau) 5.12%, 8/8/2025 (e) | 200,000 | 198,420 |
Six Flags Entertainment Corp. 5.50%, 4/15/2027 (a) | 56,000 | 54,907 |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | 22,000 | 22,029 |
Station Casinos LLC 4.50%, 2/15/2028 (a) | 89,000 | 82,876 |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a) | 305,000 | 286,835 |
Yum! Brands, Inc. | ||
4.75%, 1/15/2030 (a) | 28,000 | 26,398 |
4.63%, 1/31/2032 | 8,000 | 7,287 |
2,387,137 | ||
Household Durables — 0.1% | ||
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | 179,000 | 177,579 |
Newell Brands, Inc. 6.38%, 9/15/2027 | 235,000 | 230,703 |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | 140,000 | 125,542 |
533,824 | ||
Household Products — 0.1% | ||
Central Garden & Pet Co. | ||
4.13%, 10/15/2030 | 59,000 | 52,247 |
4.13%, 4/30/2031 (a) | 31,000 | 27,113 |
Energizer Holdings, Inc. | ||
4.75%, 6/15/2028 (a) | 101,000 | 93,173 |
4.38%, 3/31/2029 (a) | 44,000 | 39,114 |
Spectrum Brands, Inc. 5.00%, 10/1/2029 (a) | 90,000 | 89,952 |
301,599 | ||
Independent Power and Renewable Electricity Producers — 0.1% | ||
Calpine Corp. 4.50%, 2/15/2028 (a) | 85,000 | 79,930 |
Constellation Energy Generation LLC 5.60%, 3/1/2028 | 355,000 | 358,204 |
Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029 (c) | 140,000 | 140,788 |
578,922 | ||
Insurance — 1.4% | ||
Athene Global Funding | ||
0.91%, 8/19/2024 (a) | 295,000 | 291,943 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Insurance — continued | ||
2.50%, 1/14/2025 (a) | 308,000 | 301,971 |
5.62%, 5/8/2026 (a) | 1,675,000 | 1,672,468 |
CNO Global Funding 5.88%, 6/4/2027 (a) | 1,145,000 | 1,147,804 |
Corebridge Global Funding 5.90%, 9/19/2028 (a) | 645,000 | 655,486 |
Equitable Financial Life Global Funding 0.80%, 8/12/2024 (a) | 230,000 | 227,715 |
HUB International Ltd. 7.25%, 6/15/2030 (a) | 80,000 | 81,282 |
Jackson National Life Global Funding | ||
3.88%, 6/11/2025 (a) | 150,000 | 147,078 |
5.50%, 1/9/2026 (a) | 575,000 | 571,377 |
Met Tower Global Funding 5.40%, 6/20/2026 (a) | 1,000,000 | 1,001,356 |
6,098,480 | ||
IT Services — 0.1% | ||
Ahead DB Holdings LLC 6.63%, 5/1/2028 (a) | 120,000 | 111,300 |
Arches Buyer, Inc. 4.25%, 6/1/2028 (a) | 49,000 | 42,767 |
Presidio Holdings, Inc. 4.88%, 2/1/2027 (a) | 52,000 | 51,951 |
206,018 | ||
Leisure Products — 0.0% ^ | ||
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) | 59,000 | 57,970 |
Machinery — 0.1% | ||
Chart Industries, Inc. | ||
7.50%, 1/1/2030 (a) | 122,000 | 125,649 |
9.50%, 1/1/2031 (a) | 50,000 | 53,991 |
Esab Corp. 6.25%, 4/15/2029 (a) | 60,000 | 60,137 |
Hillenbrand, Inc. 6.25%, 2/15/2029 | 85,000 | 84,538 |
Terex Corp. 5.00%, 5/15/2029 (a) | 41,000 | 38,561 |
Trinity Industries, Inc. 7.75%, 7/15/2028 (a) | 100,000 | 103,046 |
465,922 | ||
Media — 0.9% | ||
Altice Financing SA (Luxembourg) 5.00%, 1/15/2028 (a) | 200,000 | 157,991 |
Charter Communications Operating LLC 6.15%, 11/10/2026 | 700,000 | 705,467 |
Clear Channel Outdoor Holdings, Inc. | ||
5.13%, 8/15/2027 (a) | 259,000 | 244,677 |
7.75%, 4/15/2028 (a) | 26,000 | 22,424 |
9.00%, 9/15/2028 (a) | 52,000 | 54,122 |
CSC Holdings LLC | ||
11.25%, 5/15/2028 (a) | 200,000 | 161,376 |
6.50%, 2/1/2029 (a) | 400,000 | 270,649 |
Directv Financing LLC 5.88%, 8/15/2027 (a) | 89,000 | 83,572 |
DISH DBS Corp. | ||
5.88%, 11/15/2024 | 119,000 | 113,316 |
7.75%, 7/1/2026 | 76,000 | 48,329 |
5.25%, 12/1/2026 (a) | 98,000 | 78,040 |
DISH Network Corp. 11.75%, 11/15/2027 (a) | 314,000 | 315,040 |
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | 91,000 | 85,880 |
Gray Television, Inc. | ||
10.50%, 7/15/2029 (a) | 105,000 | 104,304 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Media — continued | ||
5.38%, 11/15/2031 (a) | 90,000 | 49,982 |
iHeartCommunications, Inc. | ||
6.38%, 5/1/2026 | 100,000 | 76,528 |
8.38%, 5/1/2027 | 22,500 | 8,129 |
5.25%, 8/15/2027 (a) | 195,000 | 107,720 |
News Corp. 3.88%, 5/15/2029 (a) | 46,000 | 41,741 |
Nexstar Media, Inc. 5.63%, 7/15/2027 (a) | 147,000 | 138,751 |
Outfront Media Capital LLC 4.25%, 1/15/2029 (a) | 95,000 | 85,770 |
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a) | 36,000 | 23,117 |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | 18,000 | 11,689 |
Sinclair Television Group, Inc. | ||
5.13%, 2/15/2027 (a) | 60,000 | 53,433 |
4.13%, 12/1/2030 (a) | 59,000 | 40,012 |
Sirius XM Radio, Inc. | ||
5.00%, 8/1/2027 (a) | 49,000 | 46,534 |
5.50%, 7/1/2029 (a) | 285,000 | 264,698 |
4.13%, 7/1/2030 (a) | 45,000 | 37,717 |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | 117,000 | 107,096 |
TEGNA, Inc. | ||
4.63%, 3/15/2028 | 71,000 | 64,309 |
5.00%, 9/15/2029 | 67,000 | 58,879 |
Univision Communications, Inc. | ||
6.63%, 6/1/2027 (a) | 71,000 | 68,593 |
8.00%, 8/15/2028 (a) | 40,000 | 39,397 |
7.38%, 6/30/2030 (a) | 45,000 | 42,643 |
3,811,925 | ||
Metals & Mining — 0.1% | ||
ATI, Inc. 5.88%, 12/1/2027 | 108,000 | 106,049 |
Big River Steel LLC 6.63%, 1/31/2029 (a) | 41,000 | 40,843 |
Carpenter Technology Corp. 6.38%, 7/15/2028 | 67,000 | 66,893 |
Cleveland-Cliffs, Inc. | ||
5.88%, 6/1/2027 | 8,000 | 7,926 |
4.63%, 3/1/2029 (a) | 108,000 | 101,088 |
CSN Inova Ventures (Brazil) 6.75%, 1/28/2028 (c) | 200,000 | 192,563 |
FMG Resources August 2006 Pty. Ltd. (Australia) 4.50%, 9/15/2027 (a) | 62,000 | 58,894 |
Novelis Corp. 4.75%, 1/30/2030 (a) | 77,000 | 71,141 |
645,397 | ||
Mortgage Real Estate Investment Trusts (REITs) — 0.0% ^ | ||
Starwood Property Trust, Inc. 7.25%, 4/1/2029 (a) | 115,000 | 114,368 |
Multi-Utilities — 0.3% | ||
DTE Energy Co. 5.10%, 3/1/2029 | 1,455,000 | 1,435,314 |
Oil, Gas & Consumable Fuels — 1.6% | ||
Antero Midstream Partners LP 5.38%, 6/15/2029 (a) | 101,000 | 96,800 |
Antero Resources Corp. | ||
7.63%, 2/1/2029 (a) | 27,000 | 27,813 |
5.38%, 3/1/2030 (a) | 59,000 | 56,467 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
APA Infrastructure Ltd. (Australia) 4.20%, 3/23/2025 (a) | 350,000 | 345,761 |
Ascent Resources Utica Holdings LLC 8.25%, 12/31/2028 (a) | 95,000 | 97,172 |
Baytex Energy Corp. (Canada) 8.50%, 4/30/2030 (a) | 65,000 | 67,783 |
Blue Racer Midstream LLC 6.63%, 7/15/2026 (a) | 27,000 | 26,971 |
Buckeye Partners LP 4.13%, 12/1/2027 | 80,000 | 74,191 |
California Resources Corp. 7.13%, 2/1/2026 (a) | 35,000 | 35,177 |
Chesapeake Energy Corp. 6.75%, 4/15/2029 (a) | 167,000 | 167,438 |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 36,000 | 35,942 |
Civitas Resources, Inc. | ||
8.38%, 7/1/2028 (a) | 88,000 | 92,355 |
8.75%, 7/1/2031 (a) | 180,000 | 192,170 |
CNX Resources Corp. 6.00%, 1/15/2029 (a) | 54,000 | 52,692 |
Comstock Resources, Inc. 6.75%, 3/1/2029 (a) | 147,000 | 142,191 |
Crescent Energy Finance LLC 9.25%, 2/15/2028 (a) | 115,000 | 121,753 |
DT Midstream, Inc. 4.13%, 6/15/2029 (a) | 170,000 | 155,457 |
Ecopetrol SA (Colombia) | ||
5.38%, 6/26/2026 | 150,000 | 146,587 |
8.63%, 1/19/2029 | 50,000 | 52,066 |
8.38%, 1/19/2036 | 70,000 | 68,119 |
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a) | 85,000 | 86,658 |
Energian Israel Finance Ltd. (Israel) 4.88%, 3/30/2026 (c) | 180,000 | 170,775 |
Energy Transfer LP 5.63%, 5/1/2027 (a) | 565,000 | 563,252 |
EQM Midstream Partners LP | ||
4.00%, 8/1/2024 | 10,000 | 9,957 |
7.50%, 6/1/2027 (a) | 65,000 | 66,410 |
5.50%, 7/15/2028 | 135,000 | 132,375 |
Genesis Energy LP | ||
8.00%, 1/15/2027 | 66,000 | 67,262 |
7.75%, 2/1/2028 | 80,000 | 80,352 |
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (a) | 475,000 | 454,809 |
Greenko Dutch BV (India) 3.85%, 3/29/2026 (a) | 182,000 | 171,237 |
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | 146,436 | 148,443 |
Hilcorp Energy I LP 5.75%, 2/1/2029 (a) | 72,000 | 69,552 |
Kinetik Holdings LP 5.88%, 6/15/2030 (a) | 120,000 | 116,939 |
Leviathan Bond Ltd. (Israel) | ||
6.13%, 6/30/2025 (c) | 50,000 | 49,000 |
6.50%, 6/30/2027 (c) | 150,000 | 142,312 |
MEG Energy Corp. (Canada) 5.88%, 2/1/2029 (a) | 54,000 | 52,409 |
NGL Energy Operating LLC 8.13%, 2/15/2029 (a) | 85,000 | 86,526 |
Northriver Midstream Finance LP (Canada) 5.63%, 2/15/2026 (a) | 45,000 | 44,391 |
NuStar Logistics LP 5.63%, 4/28/2027 | 55,000 | 54,172 |
Permian Resources Operating LLC 7.00%, 1/15/2032 (a) | 210,000 | 214,538 |
Peru LNG Srl (Peru) 5.38%, 3/22/2030 (c) | 200,000 | 169,000 |
Petroleos Mexicanos (Mexico) | ||
4.25%, 1/15/2025 | 200,000 | 196,302 |
4.50%, 1/23/2026 | 100,000 | 94,618 |
6.88%, 8/4/2026 | 280,000 | 273,112 |
6.49%, 1/23/2027 | 420,000 | 399,588 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
5.35%, 2/12/2028 | 300,000 | 264,600 |
Range Resources Corp. | ||
8.25%, 1/15/2029 | 54,000 | 56,105 |
4.75%, 2/15/2030 (a) | 24,000 | 22,260 |
Rockies Express Pipeline LLC 4.95%, 7/15/2029 (a) | 85,000 | 78,731 |
SM Energy Co. | ||
6.75%, 9/15/2026 | 26,000 | 25,960 |
6.63%, 1/15/2027 | 84,000 | 83,511 |
Southwestern Energy Co. | ||
8.38%, 9/15/2028 | 31,000 | 32,008 |
5.38%, 3/15/2030 | 45,000 | 43,286 |
Sunoco LP 5.88%, 3/15/2028 | 149,000 | 146,576 |
Tallgrass Energy Partners LP | ||
6.00%, 3/1/2027 (a) | 44,000 | 43,082 |
6.00%, 12/31/2030 (a) | 102,000 | 96,129 |
Venture Global LNG, Inc. | ||
8.13%, 6/1/2028 (a) | 420,000 | 429,238 |
9.50%, 2/1/2029 (a) | 115,000 | 124,720 |
7,415,100 | ||
Passenger Airlines — 0.2% | ||
American Airlines, Inc. | ||
5.50%, 4/20/2026 (a) | 130,667 | 129,432 |
5.75%, 4/20/2029 (a) | 456,750 | 441,707 |
United Airlines, Inc. | ||
4.38%, 4/15/2026 (a) | 47,000 | 45,287 |
4.63%, 4/15/2029 (a) | 110,000 | 101,673 |
VistaJet Malta Finance plc (Switzerland) 9.50%, 6/1/2028 (a) | 150,000 | 136,424 |
854,523 | ||
Personal Care Products — 0.0% ^ | ||
Edgewell Personal Care Co. 5.50%, 6/1/2028 (a) | 108,000 | 104,992 |
Prestige Brands, Inc. 5.13%, 1/15/2028 (a) | 54,000 | 52,028 |
157,020 | ||
Pharmaceuticals — 0.2% | ||
Bausch Health Americas, Inc. 9.25%, 4/1/2026 (a) | 88,000 | 81,990 |
Bausch Health Cos., Inc. | ||
5.50%, 11/1/2025 (a) | 299,000 | 281,984 |
4.88%, 6/1/2028 (a) | 257,000 | 188,252 |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (e) | 54,000 | 54,444 |
Organon & Co. 4.13%, 4/30/2028 (a) | 200,000 | 184,737 |
791,407 | ||
Real Estate Management & Development — 0.0% ^ | ||
Anywhere Real Estate Group LLC 5.75%, 1/15/2029 (a) | 134,000 | 91,948 |
Kennedy-Wilson, Inc. 4.75%, 3/1/2029 | 67,000 | 56,975 |
148,923 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Semiconductors & Semiconductor Equipment — 0.2% | ||
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | 54,000 | 53,994 |
ams-OSRAM AG (Austria) 12.25%, 3/30/2029 (a) | 200,000 | 206,606 |
Entegris, Inc. 5.95%, 6/15/2030 (a) | 90,000 | 88,591 |
Marvell Technology, Inc. 5.75%, 2/15/2029 | 670,000 | 681,655 |
Synaptics, Inc. 4.00%, 6/15/2029 (a) | 35,000 | 31,345 |
1,062,191 | ||
Software — 0.1% | ||
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | 64,000 | 58,610 |
Elastic NV 4.13%, 7/15/2029 (a) | 80,000 | 71,528 |
NCR Voyix Corp. | ||
5.00%, 10/1/2028 (a) | 132,000 | 123,520 |
5.13%, 4/15/2029 (a) | 48,000 | 44,569 |
RingCentral, Inc. 8.50%, 8/15/2030 (a) | 125,000 | 130,805 |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | 150,000 | 146,904 |
575,936 | ||
Specialized REITs — 0.0% ^ | ||
Iron Mountain, Inc. 4.88%, 9/15/2027 (a) | 92,000 | 88,740 |
Specialty Retail — 0.3% | ||
Asbury Automotive Group, Inc. 4.50%, 3/1/2028 | 59,000 | 55,728 |
Bath & Body Works, Inc. | ||
5.25%, 2/1/2028 | 41,000 | 39,839 |
7.50%, 6/15/2029 | 76,000 | 78,029 |
6.75%, 7/1/2036 | 23,000 | 22,888 |
Gap, Inc. (The) 3.63%, 10/1/2029 (a) | 85,000 | 73,559 |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | 49,000 | 44,733 |
Lithia Motors, Inc. | ||
4.63%, 12/15/2027 (a) | 31,000 | 29,475 |
4.38%, 1/15/2031 (a) | 31,000 | 27,313 |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | 64,000 | 56,915 |
PetSmart, Inc. 4.75%, 2/15/2028 (a) | 250,000 | 232,176 |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | 164,000 | 147,349 |
SRS Distribution, Inc. 4.63%, 7/1/2028 (a) | 104,000 | 103,401 |
Staples, Inc. | ||
7.50%, 4/15/2026 (a) | 155,000 | 154,972 |
10.75%, 4/15/2027 (a) | 85,000 | 75,677 |
10.75%, 9/1/2029 (a) (f) | 115,000 | 111,275 |
1,253,329 | ||
Technology Hardware, Storage & Peripherals — 0.0% ^ | ||
Seagate HDD Cayman | ||
8.25%, 12/15/2029 (a) | 18,000 | 19,255 |
8.50%, 7/15/2031 (a) | 6,000 | 6,401 |
9.63%, 12/1/2032 | 44,000 | 49,841 |
75,497 | ||
Textiles, Apparel & Luxury Goods — 0.0% ^ | ||
Hanesbrands, Inc. 4.88%, 5/15/2026 (a) | 105,000 | 101,860 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Trading Companies & Distributors — 0.1% | ||
EquipmentShare.com, Inc. 9.00%, 5/15/2028 (a) | 70,000 | 72,218 |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | 74,000 | 72,246 |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | 76,000 | 70,740 |
United Rentals North America, Inc. 4.88%, 1/15/2028 | 64,000 | 61,610 |
WESCO Distribution, Inc. 7.25%, 6/15/2028 (a) | 68,000 | 69,271 |
346,085 | ||
Wireless Telecommunication Services — 0.2% | ||
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | 67,000 | 27,302 |
T-Mobile USA, Inc. | ||
3.50%, 4/15/2025 | 150,000 | 147,179 |
3.38%, 4/15/2029 | 600,000 | 549,118 |
723,599 | ||
Total Corporate Bonds (Cost $158,987,302) | 157,278,711 | |
Asset-Backed Securities — 20.4% | ||
Accelerated LLC Series 2021-1H, Class B, 1.90%, 10/20/2040 (a) | 124,563 | 113,888 |
ACHV ABS TRUST Series 2023-4CP, Class B, 7.24%, 11/25/2030 (a) | 500,000 | 503,006 |
ACM Auto Trust Series 2023-1A, Class B, 7.26%, 1/22/2030 (a) | 133,540 | 133,628 |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (a) | 263,000 | 240,692 |
American Credit Acceptance Receivables Trust | ||
Series 2022-1, Class D, 2.46%, 3/13/2028 (a) | 1,500,000 | 1,469,880 |
Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | 584,000 | 582,528 |
Series 2023-1, Class D, 6.35%, 4/12/2029 (a) | 375,000 | 374,939 |
AMSR Trust | ||
Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 (a) | 300,000 | 272,229 |
Series 2021-SFR4, Class E1, 2.97%, 12/17/2038 (a) | 400,000 | 357,156 |
Series 2023-SFR2, Class B, 3.95%, 6/17/2040 (a) | 1,500,000 | 1,386,107 |
Aqua Finance Trust Series 2021-A, Class B, 2.40%, 7/17/2046 (a) | 313,000 | 257,862 |
AREIT Trust Series 2021-CRE5, Class C, 7.69%, 11/17/2038 ‡ (a) (g) | 336,000 | 323,417 |
Atlas Senior Loan Fund (Cayman Islands) Series 2019-13A, Class A1NR, 6.67%, 4/22/2031 (a) (g) | 141,834 | 141,950 |
Ballyrock CLO Ltd. (Cayman Islands) Series 2018-1A, Class A2, 7.19%, 4/20/2031 (a) (g) | 250,000 | 250,391 |
Bayview Opportunity Master Fund Trust Series 2024-SN1, Class D, 6.36%, 7/16/2029 (a) | 1,000,000 | 999,738 |
BOF Funding Trust Series 2023-CAR3, Class C, 4.50%, 7/26/2032 (a) | 349,547 | 340,767 |
Bridgecrest Lending Auto Securitization Trust Series 2024-1, Class C, 5.65%, 4/16/2029 | 1,500,000 | 1,494,810 |
BSPRT Issuer Ltd. (Cayman Islands) Series 2021-FL7, Class B, 7.48%, 12/15/2038 (a) (g) | 475,000 | 466,617 |
Business Jet Securities LLC | ||
Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (a) | 602,954 | 566,948 |
Series 2022-1A, Class A, 4.46%, 6/15/2037 ‡ (a) | 408,704 | 393,578 |
Series 2024-1A, Class B, 6.92%, 5/15/2039 (a) | 979,167 | 986,732 |
Buttermilk Park CLO Ltd. (Cayman Islands) Series 2018-1A, Class B1R, 0.00%, 10/15/2031 (a) (f) (g) | 1,241,230 | 1,241,230 |
BXG Receivables Note Trust Series 2022-A, Class B, 4.61%, 9/28/2037 (a) | 1,699,800 | 1,642,620 |
CarNow Auto Receivables Trust Series 2022-1A, Class D, 5.79%, 9/15/2027 (a) | 397,000 | 382,414 |
Carvana Auto Receivables Trust | ||
Series 2019-3A, Class E, 4.60%, 7/15/2026 (a) | 299,913 | 299,077 |
Series 2023-N3, Class C, 6.55%, 12/10/2029 (a) | 1,600,000 | 1,620,798 |
Series 2023-N4, Class B, 6.46%, 2/11/2030 (a) | 1,435,000 | 1,453,468 |
Series 2024-N1, Class C, 5.80%, 5/10/2030 (a) | 1,250,000 | 1,251,303 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Continental Finance Credit Card ABS Master Trust Series 2021-A, Class A, 2.55%, 12/17/2029 (a) | 400,000 | 386,848 |
CPS Auto Receivables Trust | ||
Series 2021-D, Class D, 2.31%, 12/15/2027 (a) | 200,000 | 193,591 |
Series 2022-A, Class D, 2.84%, 4/16/2029 (a) | 1,021,000 | 976,555 |
Series 2023-A, Class D, 6.44%, 4/16/2029 (a) | 750,000 | 752,898 |
Series 2023-C, Class C, 6.27%, 10/15/2029 (a) | 881,000 | 885,145 |
Series 2022-C, Class D, 6.45%, 4/15/2030 (a) | 240,000 | 240,673 |
Credit Acceptance Auto Loan Trust | ||
Series 2021-3A, Class C, 1.63%, 9/16/2030 (a) | 250,000 | 245,696 |
Series 2022-1A, Class C, 5.70%, 10/15/2032 (a) | 467,000 | 461,358 |
Series 2023-5A, Class C, 7.30%, 4/17/2034 (a) | 350,000 | 359,433 |
Series 2024-1A, Class C, 6.71%, 7/17/2034 (a) | 600,000 | 605,974 |
Dext ABS LLC Series 2021-1, Class A, 1.12%, 2/15/2028 (a) | 30,412 | 30,117 |
DT Auto Owner Trust | ||
Series 2021-1A, Class D, 1.16%, 11/16/2026 (a) | 250,000 | 242,678 |
Series 2021-3A, Class D, 1.31%, 5/17/2027 (a) | 750,000 | 709,824 |
Series 2023-3A, Class B, 6.07%, 3/15/2028 (a) | 500,000 | 500,881 |
Series 2023-1A, Class C, 5.55%, 10/16/2028 (a) | 300,000 | 298,359 |
Series 2023-1A, Class D, 6.44%, 11/15/2028 (a) | 307,000 | 308,048 |
Series 2023-3A, Class C, 6.40%, 5/15/2029 (a) | 1,606,000 | 1,611,679 |
Elara HGV Timeshare Issuer LLC | ||
Series 2023-A, Class A, 6.16%, 2/25/2038 (a) | 443,576 | 446,396 |
Series 2023-A, Class C, 7.30%, 2/25/2038 (a) | 736,565 | 742,505 |
Equify ABS LLC Series 2023-1A, Class A, 7.20%, 9/15/2031 (a) | 416,349 | 417,701 |
Exeter Automobile Receivables Trust | ||
Series 2020-1A, Class E, 3.74%, 1/15/2027 (a) | 635,000 | 630,086 |
Series 2021-2A, Class D, 1.40%, 4/15/2027 | 210,000 | 201,325 |
Series 2022-5A, Class C, 6.51%, 12/15/2027 | 345,000 | 346,018 |
Series 2021-4A, Class D, 1.96%, 1/17/2028 | 480,000 | 458,478 |
Series 2023-3A, Class C, 6.21%, 6/15/2028 | 1,410,000 | 1,414,176 |
Series 2022-2A, Class D, 4.56%, 7/17/2028 | 800,000 | 781,514 |
Series 2022-5A, Class D, 7.40%, 2/15/2029 | 500,000 | 509,461 |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | 500,000 | 517,335 |
Series 2023-4A, Class D, 6.95%, 12/17/2029 | 800,000 | 815,475 |
Series 2023-5A, Class D, 7.13%, 2/15/2030 | 700,000 | 718,207 |
FCI Funding LLC Series 2021-1A, Class A, 1.13%, 4/15/2033 ‡ (a) | 10,764 | 10,625 |
FHF Trust | ||
Series 2021-2A, Class A, 0.83%, 12/15/2026 (a) | 72,801 | 71,074 |
Series 2021-1A, Class A, 1.27%, 3/15/2027 (a) | 24,471 | 24,062 |
Series 2023-1A, Class A2, 6.57%, 6/15/2028 (a) | 199,673 | 200,225 |
FirstKey Homes Trust | ||
Series 2021-SFR3, Class E1, 2.99%, 12/17/2038 (a) | 500,000 | 453,585 |
Series 2022-SFR2, Class D, 4.50%, 7/17/2039 (a) | 615,000 | 581,053 |
Flagship Credit Auto Trust | ||
Series 2021-1, Class D, 1.27%, 3/15/2027 (a) | 225,000 | 211,432 |
Series 2021-3, Class C, 1.46%, 9/15/2027 (a) | 1,568,000 | 1,497,074 |
Series 2022-1, Class D, 3.64%, 3/15/2028 (a) | 536,000 | 502,319 |
Series 2022-2, Class C, 5.30%, 4/17/2028 (a) | 750,000 | 739,664 |
Series 2022-3, Class C, 4.99%, 7/17/2028 (a) | 858,000 | 842,419 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2022-3, Class D, 6.00%, 7/17/2028 (a) | 600,000 | 592,065 |
Series 2023-3, Class C, 6.01%, 7/16/2029 (a) | 900,000 | 903,569 |
Foundation Finance Trust Series 2021-1A, Class A, 1.27%, 5/15/2041 (a) | 63,333 | 57,363 |
FRTKL | ||
Series 2021-SFR1, Class B, 1.72%, 9/17/2038 (a) | 650,000 | 589,500 |
Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (a) | 238,000 | 214,338 |
Galaxy CLO Ltd. (Cayman Islands) | ||
Series 2015-19A, Class A1RR, 6.53%, 7/24/2030 (a) (g) | 158,703 | 158,994 |
Series 2018-26A, Class BR, 7.93%, 11/22/2031 (a) (g) | 749,000 | 749,000 |
GLS Auto Receivables Issuer Trust | ||
Series 2021-3A, Class D, 1.48%, 7/15/2027 (a) | 200,000 | 189,816 |
Series 2020-4A, Class E, 3.51%, 10/15/2027 (a) | 1,000,000 | 975,907 |
Series 2022-1A, Class D, 3.97%, 1/18/2028 (a) | 750,000 | 727,633 |
Series 2023-3A, Class C, 6.01%, 5/15/2029 (a) | 900,000 | 900,208 |
GLS Auto Select Receivables Trust | ||
Series 2023-1A, Class A3, 5.96%, 10/16/2028 (a) | 757,000 | 761,520 |
Series 2023-1A, Class B, 6.09%, 3/15/2029 (a) | 722,000 | 730,627 |
Goldman Home Improvement Trust Issuer Trust Series 2021-GRN2, Class A, 1.15%, 6/25/2051 (a) | 50,789 | 47,805 |
Hilton Grand Vacations Trust | ||
Series 2023-1A, Class A, 5.72%, 1/25/2038 (a) | 861,725 | 866,310 |
Series 2024-2A, Class C, 5.99%, 3/25/2038 (a) | 1,007,000 | 1,007,962 |
Home Partners of America Trust Series 2021-3, Class E1, 3.20%, 1/17/2041 (a) | 456,390 | 392,162 |
LCM LP (Cayman Islands) Series 14A, Class AR, 6.63%, 7/20/2031 (a) (g) | 279,893 | 280,389 |
LCM Ltd. (Cayman Islands) Series 26A, Class A1, 6.66%, 1/20/2031 (a) (g) | 130,724 | 130,951 |
Lendbuzz Securitization Trust Series 2021-1A, Class A, 1.46%, 6/15/2026 (a) | 35,325 | 34,544 |
Lendingpoint Asset Securitization Trust Series 2022-A, Class C, 2.82%, 6/15/2029 (a) | 116,148 | 115,464 |
LendingPoint Asset Securitization Trust Series 2020-REV1, Class B, 4.49%, 10/15/2028 (a) | 85,929 | 85,573 |
LendingPoint Pass-Through Trust Series 2022-ST1, Class A, 2.50%, 3/15/2028 (a) | 45,636 | 44,611 |
Lendmark Funding Trust | ||
Series 2021-1A, Class A, 1.90%, 11/20/2031 (a) | 950,000 | 866,438 |
Series 2023-1A, Class D, 8.69%, 5/20/2033 (a) | 400,000 | 410,534 |
LP LMS Asset Securitization Trust Series 2023-1A, Class A, 8.18%, 10/17/2033 (a) | 162,183 | 162,576 |
Mariner Finance Issuance Trust | ||
Series 2023-AA, Class A, 6.70%, 10/22/2035 (a) | 750,000 | 757,245 |
Series 2021-AA, Class A, 1.86%, 3/20/2036 (a) | 192,000 | 176,595 |
Merchants Fleet Funding LLC Series 2023-1A, Class A, 7.21%, 5/20/2036 (a) | 329,217 | 330,661 |
Mercury Financial Credit Card Master Trust Series 2023-1A, Class A, 8.04%, 9/20/2027 (a) | 808,000 | 813,805 |
Mission Lane Credit Card Master Trust Series 2023-A, Class A, 7.23%, 7/17/2028 (a) | 200,000 | 201,108 |
MVW LLC | ||
Series 2023-2A, Class C, 7.06%, 11/20/2040 (a) | 529,161 | 533,219 |
Series 2021-1WA, Class A, 1.14%, 1/22/2041 (a) | 73,707 | 68,616 |
Series 2021-1WA, Class B, 1.44%, 1/22/2041 (a) | 31,634 | 29,345 |
Series 2024-1A, Class B, 5.51%, 2/20/2043 (a) | 1,350,866 | 1,342,707 |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) | ||
Series 2020-37A, Class AR, 6.56%, 7/20/2031 (a) (g) | 340,665 | 341,155 |
Series 2018-29A, Class B1R, 7.13%, 10/19/2031 (a) (g) | 659,000 | 659,347 |
New Residential Mortgage Loan Trust | ||
Series 2022-SFR1, Class B, 2.85%, 2/17/2039 (a) | 650,000 | 597,773 |
Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (a) | 520,000 | 465,240 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
NMEF Funding LLC Series 2021-A, Class B, 1.85%, 12/15/2027 (a) | 8,431 | 8,414 |
NRZ Excess Spread-Collateralized Notes Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a) | 71,164 | 67,162 |
OCP CLO Ltd. (Cayman Islands) Series 2014-6A, Class A2R2, 6.82%, 10/17/2030 (a) (g) | 791,000 | 792,636 |
Octagon Investment Partners Ltd. (Cayman Islands) Series 2017-1A, Class A2R, 7.04%, 3/17/2030 (a) (g) | 420,000 | 419,577 |
Octane Receivables Trust Series 2023-1A, Class D, 7.76%, 3/20/2030 (a) | 500,000 | 515,491 |
Oportun Funding XIV LLC Series 2021-A, Class A, 1.21%, 3/8/2028 (a) | 55,292 | 53,594 |
Oportun Issuance Trust | ||
Series 2021-B, Class B, 1.96%, 5/8/2031 (a) | 600,000 | 568,412 |
Series 2022-A, Class B, 5.25%, 6/9/2031 (a) | 600,000 | 583,650 |
Pagaya AI Debt Selection Trust Series 2021-HG1, Class A, 1.22%, 1/16/2029 (a) | 45,325 | 44,484 |
Palmer Square Loan Funding Ltd. (Cayman Islands) | ||
Series 2021-2A, Class A1, 6.39%, 5/20/2029 (a) (g) | 43,753 | 43,772 |
Series 2022-2A, Class A2, 7.23%, 10/15/2030 (a) (g) | 1,380,000 | 1,382,760 |
Series 2024-3A, Class A2, 0.00%, 8/8/2032 (a) (f) (g) | 998,994 | 998,994 |
PowerPay Issuance Trust Series 2024-1A, Class A, 6.53%, 2/18/2039 (a) | 777,224 | 775,621 |
PRET LLC | ||
Series 2021-NPL3, Class A1, 1.87%, 7/25/2051 (a) (e) | 1,001,883 | 972,369 |
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (e) | 128,007 | 125,038 |
Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (a) (g) | 356,335 | 347,230 |
Pretium Mortgage Credit Partners I LLC | ||
Series 2021-NPL2, Class A1, 1.99%, 6/27/2060 (a) (e) | 158,345 | 154,827 |
Series 2021-NPL1, Class A1, 5.24%, 9/27/2060 (a) (e) | 104,605 | 103,532 |
Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 (a) (e) | 733,653 | 715,389 |
Progress Residential Series 2021-SFR3, Class E1, 2.54%, 5/17/2026 (a) | 200,000 | 184,198 |
Progress Residential Trust | ||
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a) | 350,000 | 315,108 |
Series 2022-SFR3, Class D, 4.45%, 4/17/2039 (a) | 562,000 | 533,617 |
Series 2024-SFR1, Class D, 3.75%, 2/17/2041 (a) | 1,125,000 | 1,006,770 |
Series 2024-SFR2, Class B, 3.40%, 4/17/2041 (a) (g) | 1,697,000 | 1,515,808 |
PRPM LLC | ||
Series 2021-2, Class A1, 5.11%, 3/25/2026 (a) (g) | 80,763 | 80,069 |
Series 2021-5, Class A1, 1.79%, 6/25/2026 (a) (e) | 675,666 | 664,094 |
Series 2021-6, Class A1, 1.79%, 7/25/2026 (a) (e) | 191,676 | 186,294 |
Series 2021-7, Class A1, 1.87%, 8/25/2026 (a) (e) | 179,966 | 174,163 |
Series 2021-8, Class A1, 1.74%, 9/25/2026 (a) (g) | 961,818 | 923,654 |
Series 2021-11, Class A1, 2.49%, 11/25/2026 (a) (e) | 172,654 | 169,224 |
Purchasing Power Funding LLC Series 2024-A, Class B, 6.43%, 8/15/2028 (a) | 1,250,000 | 1,247,193 |
Reach ABS Trust Series 2023-1A, Class A, 7.05%, 2/18/2031 (a) | 339,200 | 339,908 |
Republic Finance Issuance Trust Series 2021-A, Class A, 2.30%, 12/22/2031 (a) | 500,000 | 481,087 |
Santander Drive Auto Receivables Trust | ||
Series 2021-3, Class D, 1.33%, 9/15/2027 | 299,294 | 290,375 |
Series 2022-3, Class C, 4.49%, 8/15/2029 | 985,000 | 966,551 |
Series 2022-4, Class C, 5.00%, 11/15/2029 | 1,250,000 | 1,230,843 |
Series 2022-6, Class D, 5.69%, 2/18/2031 | 500,000 | 497,663 |
Series 2023-6, Class C, 6.40%, 3/17/2031 | 928,000 | 950,873 |
Series 2023-4, Class C, 6.04%, 12/15/2031 | 2,000,000 | 2,021,643 |
SCF Equipment Leasing LLC Series 2021-1A, Class D, 1.93%, 9/20/2030 (a) | 535,000 | 504,769 |
Sierra Timeshare Receivables Funding LLC | ||
Series 2023-2A, Class A, 5.80%, 4/20/2040 (a) | 785,782 | 786,149 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2024-1A, Class B, 5.35%, 1/20/2043 (a) | 966,491 | 957,314 |
Sound Point CLO Ltd. (Cayman Islands) Series 2019-1A, Class AR, 6.67%, 1/20/2032 (a) (g) | 400,000 | 400,546 |
Symphony CLO Ltd. (Cayman Islands) | ||
Series 2015-16A, Class B1RR, 7.02%, 10/15/2031 (a) (g) | 680,000 | 680,000 |
Series 2016-18A, Class A1RR, 6.69%, 7/23/2033 (a) (g) | 250,000 | 250,580 |
Tricon Residential Trust | ||
Series 2021-SFR1, Class E1, 2.79%, 7/17/2038 (a) | 240,000 | 218,933 |
Series 2023-SFR1, Class B, 5.10%, 7/17/2040 (a) | 800,000 | 775,692 |
Upstart Pass-Through Trust | ||
Series 2021-ST4, Class A, 2.00%, 7/20/2027 (a) | 38,032 | 36,899 |
Series 2021-ST5, Class A, 2.00%, 7/20/2027 (a) | 34,121 | 33,391 |
Series 2021-ST8, Class A, 1.75%, 10/20/2029 (a) | 29,049 | 28,796 |
Series 2021-ST9, Class A, 1.70%, 11/20/2029 (a) | 27,084 | 26,805 |
Series 2021-ST10, Class A, 2.25%, 1/20/2030 (a) | 64,366 | 63,230 |
Series 2022-ST1, Class A, 2.60%, 3/20/2030 (a) | 120,034 | 118,270 |
Upstart Securitization Trust | ||
Series 2021-4, Class B, 1.84%, 9/20/2031 (a) | 133,985 | 132,222 |
Series 2021-5, Class B, 2.49%, 11/20/2031 (a) | 180,382 | 178,179 |
Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | 182,014 | 181,464 |
US Auto Funding Trust Series 2022-1A, Class B, 5.13%, 12/15/2025 ‡ (a) | 574,000 | 194,777 |
VCAT LLC | ||
Series 2021-NPL2, Class A1, 5.11%, 3/27/2051 (a) (e) | 84,612 | 83,360 |
Series 2021-NPL3, Class A1, 4.74%, 5/25/2051 (a) (e) | 105,454 | 102,259 |
Series 2021-NPL4, Class A1, 1.87%, 8/25/2051 (a) (e) | 136,690 | 134,241 |
Venture CLO Ltd. (Cayman Islands) Series 2018-32A, Class A2A, 6.66%, 7/18/2031 (a) (g) | 139,422 | 139,642 |
Veros Auto Receivables Trust | ||
Series 2022-1, Class A, 3.47%, 12/15/2025 (a) | 5,264 | 5,257 |
Series 2023-1, Class C, 8.32%, 11/15/2028 (a) | 1,250,000 | 1,289,011 |
VOLT CIII LLC Series 2021-CF1, Class A1, 1.99%, 8/25/2051 (a) (e) | 199,587 | 192,624 |
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (a) (e) | 331,454 | 320,427 |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 5.12%, 4/25/2051 (a) (e) | 85,045 | 83,820 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 5.12%, 3/27/2051 (a) (e) | 61,980 | 61,135 |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 5.24%, 4/25/2051 (a) (e) | 89,142 | 87,961 |
Westlake Automobile Receivables Trust | ||
Series 2021-1A, Class D, 1.23%, 4/15/2026 (a) | 250,000 | 246,471 |
Series 2021-3A, Class D, 2.12%, 1/15/2027 (a) | 1,000,000 | 960,422 |
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | 500,000 | 507,654 |
Total Asset-Backed Securities (Cost $92,696,009) | 92,036,801 | |
U.S. Treasury Obligations — 19.1% | ||
U.S. Treasury Notes | ||
4.63%, 2/28/2025 | 32,500 | 32,351 |
3.88%, 3/31/2025 | 125,000 | 123,643 |
4.50%, 11/15/2025 | 3,185,000 | 3,160,615 |
0.50%, 2/28/2026 | 15,000 | 13,897 |
0.75%, 8/31/2026 | 795,000 | 727,115 |
4.63%, 9/15/2026 | 705,000 | 702,246 |
4.63%, 10/15/2026 | 1,885,000 | 1,878,226 |
4.63%, 11/15/2026 | 410,000 | 408,687 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — continued | ||
4.38%, 12/15/2026 | 650,000 | 644,236 |
4.00%, 1/15/2027 | 13,910,000 | 13,661,685 |
4.13%, 2/15/2027 | 23,030,000 | 22,689,948 |
4.50%, 4/15/2027 | 6,030,000 | 6,000,792 |
4.50%, 5/15/2027 | 29,675,000 | 29,535,898 |
4.00%, 2/29/2028 | 172,700 | 169,199 |
3.63%, 3/31/2028 | 1,840,000 | 1,778,403 |
3.63%, 5/31/2028 | 420,000 | 405,661 |
4.63%, 9/30/2028 | 150,000 | 150,404 |
4.25%, 2/28/2029 | 4,480,000 | 4,430,125 |
Total U.S. Treasury Obligations (Cost $87,001,414) | 86,513,131 | |
Mortgage-Backed Securities — 11.3% | ||
FHLMC Pool # 841368 ARM, 6.96%, 9/1/2047 (g) | 1,270,123 | 1,292,862 |
FHLMC Gold Pools, 30 Year Pool # G08878, 4.50%, 5/1/2049 | 225,803 | 215,221 |
FHLMC UMBS, 10 Year Pool # RD5034, 2.00%, 9/1/2030 | 357,850 | 331,794 |
FHLMC UMBS, 15 Year | ||
Pool # ZS6689, 2.50%, 4/1/2028 | 114,567 | 109,459 |
Pool # SB0725, 4.00%, 8/1/2037 | 874,845 | 842,121 |
Pool # SB8184, 4.00%, 10/1/2037 | 650,312 | 623,922 |
Pool # SB8189, 4.00%, 11/1/2037 | 1,807,026 | 1,733,696 |
Pool # SB8261, 5.50%, 10/1/2038 | 1,122,766 | 1,124,574 |
Pool # SB8308, 5.00%, 6/1/2039 | 1,500,000 | 1,485,443 |
FHLMC UMBS, 30 Year | ||
Pool # ZT1703, 4.00%, 1/1/2049 | 766,537 | 708,291 |
Pool # SD8231, 4.50%, 7/1/2052 | 800,860 | 750,030 |
Pool # SD8246, 5.00%, 9/1/2052 | 617,713 | 595,348 |
Pool # SD8343, 6.00%, 7/1/2053 | 8,196,108 | 8,209,915 |
FNMA Pool # BM4562 ARM, 6.57%, 5/1/2047 (g) | 964,365 | 985,432 |
FNMA UMBS, 15 Year | ||
Pool # FM1156, 2.50%, 4/1/2033 | 639,952 | 595,393 |
Pool # MA4361, 2.50%, 6/1/2036 | 323,769 | 291,401 |
Pool # FM7767, 2.00%, 7/1/2036 | 3,644,318 | 3,215,959 |
Pool # CB1216, 2.50%, 7/1/2036 | 589,657 | 530,695 |
Pool # FS1563, 2.50%, 7/1/2036 | 447,871 | 403,079 |
Pool # FS1329, 2.00%, 2/1/2037 | 823,796 | 724,077 |
Pool # MA4640, 3.50%, 6/1/2037 | 599,586 | 563,672 |
Pool # MA4944, 4.50%, 3/1/2038 | 2,421,371 | 2,361,951 |
Pool # MA5093, 5.00%, 7/1/2038 | 7,609,424 | 7,535,576 |
FNMA UMBS, 20 Year | ||
Pool # FM3933, 3.00%, 6/1/2037 | 1,391,977 | 1,278,118 |
Pool # FM3075, 3.50%, 11/1/2039 | 905,735 | 836,727 |
Pool # CA8310, 2.50%, 12/1/2040 | 233,197 | 201,248 |
Pool # MA4780, 4.50%, 10/1/2042 | 2,323,860 | 2,222,508 |
FNMA UMBS, 30 Year | ||
Pool # FM2972, 4.00%, 12/1/2044 | 792,975 | 738,437 |
Pool # FS2237, 4.00%, 10/1/2046 | 1,866,307 | 1,747,456 |
Pool # BM1285, 4.50%, 5/1/2047 | 126,195 | 121,157 |
Pool # FS1847, 4.00%, 1/1/2049 | 233,703 | 216,608 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # FS1891, 4.00%, 1/1/2050 | 770,254 | 711,680 |
Pool # FS0085, 4.00%, 11/1/2050 | 835,942 | 772,513 |
Pool # MA4733, 4.50%, 9/1/2052 | 808,852 | 757,512 |
Pool # MA5039, 5.50%, 6/1/2053 | 2,913,167 | 2,866,917 |
GNMA II, 30 Year | ||
Pool # MA8201, 4.50%, 8/20/2052 | 674,673 | 638,624 |
Pool # MA8429, 5.50%, 11/20/2052 | 2,665,975 | 2,647,248 |
Total Mortgage-Backed Securities (Cost $52,068,606) | 50,986,664 | |
Commercial Mortgage-Backed Securities — 5.4% | ||
BAMLL Commercial Mortgage Securities Trust | ||
Series 2015-200P, Class C, 3.60%, 4/14/2033 (a) (g) | 1,000,000 | 961,096 |
Series 2015-200P, Class D, 3.60%, 4/14/2033 (a) (g) | 400,000 | 381,270 |
Beast Mortgage Trust Series 2021-1818, Class B, 6.88%, 3/15/2036 (a) (g) | 179,000 | 137,956 |
Benchmark Mortgage Trust Series 2024-V5, Class C, 6.97%, 1/10/2057 (g) | 300,000 | 305,755 |
BMO Mortgage Trust Series 2024-5C3, Class C, 6.86%, 2/15/2057 (g) | 300,000 | 302,673 |
BX Commercial Mortgage Trust | ||
Series 2021-VOLT, Class D, 7.08%, 9/15/2036 (a) (g) | 275,000 | 272,422 |
Series 2024-MF, Class B, 7.01%, 2/15/2039 (a) (g) | 1,200,000 | 1,198,125 |
BX Trust | ||
Series 2021-RISE, Class D, 7.18%, 11/15/2036 (a) (g) | 330,132 | 327,243 |
Series 2022-LBA6, Class D, 7.32%, 1/15/2039 (a) (g) | 525,000 | 521,723 |
Citigroup Commercial Mortgage Trust | ||
Series 2021-PRM2, Class F, 9.18%, 10/15/2038 (a) (g) | 275,000 | 270,233 |
Series 2015-GC27, Class B, 3.77%, 2/10/2048 | 200,000 | 195,487 |
Series 2015-GC27, Class C, 4.42%, 2/10/2048 (g) | 440,000 | 420,094 |
Series 2015-GC29, Class C, 4.14%, 4/10/2048 (g) | 400,000 | 375,403 |
Series 2015-GC31, Class C, 4.03%, 6/10/2048 (g) | 250,000 | 175,719 |
Commercial Mortgage Trust | ||
Series 2014-UBS5, Class C, 4.57%, 9/10/2047 (g) | 2,200,000 | 2,017,900 |
Series 2014-CR20, Class C, 4.45%, 11/10/2047 (g) | 100,000 | 97,474 |
Series 2015-CR26, Class B, 4.46%, 10/10/2048 (g) | 200,000 | 190,989 |
Series 2015-PC1, Class B, 4.28%, 7/10/2050 (g) | 200,000 | 189,176 |
CSAIL Commercial Mortgage Trust | ||
Series 2015-C4, Class E, 3.55%, 11/15/2048 (g) | 325,000 | 284,481 |
Series 2015-C2, Class C, 4.17%, 6/15/2057 (g) | 700,000 | 618,363 |
ELM Trust | ||
Series 2024-ELM, Class B10, 1.00%, 6/10/2027 ‡ (a) (f) (g) | 1,016,000 | 1,014,958 |
Series 2024-ELM, Class C10, 1.00%, 6/10/2027 ‡ (a) (f) (g) | 1,290,000 | 1,289,517 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K068, Class X1, IO, 0.42%, 8/25/2027 (g) | 3,489,984 | 41,331 |
Series K111, Class X3, IO, 3.18%, 4/25/2048 (g) | 405,000 | 62,125 |
Series K110, Class X3, IO, 3.40%, 6/25/2048 (g) | 380,000 | 59,982 |
Series K115, Class X3, IO, 2.96%, 9/25/2048 (g) | 430,000 | 61,397 |
Series K125, Class X3, IO, 2.65%, 2/25/2049 (g) | 460,000 | 63,351 |
FREMF Mortgage Trust | ||
Series 2018-K732, Class C, 4.06%, 5/25/2025 (a) (g) | 200,000 | 194,936 |
Series 2018-K82, Class X2A, IO, 0.10%, 9/25/2028 (a) | 10,784,923 | 35,259 |
Series 2018-K82, Class D, PO, 10/25/2028 (a) | 1,000,000 | 680,909 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series 2018-K82, Class X2B, IO, 0.10%, 10/25/2028 (a) | 3,000,000 | 10,736 |
Series 2014-K41, Class C, 3.83%, 11/25/2047 (a) (g) | 100,000 | 98,599 |
Series 2016-K57, Class C, 3.92%, 8/25/2049 (a) (g) | 185,000 | 176,064 |
Series 2016-K58, Class C, 3.74%, 9/25/2049 (a) (g) | 110,000 | 104,189 |
Series 2017-K68, Class D, PO, 10/25/2049 (a) | 1,000,000 | 738,461 |
GS Mortgage Securities Trust | ||
Series 2016-GS2, Class B, 3.76%, 5/10/2049 (g) | 100,000 | 93,983 |
Series 2017-GS5, Class D, 3.51%, 3/10/2050 (a) (g) | 250,000 | 120,143 |
Independence Plaza Trust Series 2018-INDP, Class C, 4.16%, 7/10/2035 (a) | 150,000 | 141,117 |
JPMBB Commercial Mortgage Securities Trust | ||
Series 2015-C31, Class C, 4.62%, 8/15/2048 (g) | 150,000 | 127,405 |
Series 2016-C1, Class D1, 4.20%, 3/17/2049 (a) (g) | 400,000 | 338,916 |
JPMCC Commercial Mortgage Securities Trust | ||
Series 2017-JP5, Class C, 3.75%, 3/15/2050 (g) | 800,000 | 654,332 |
Series 2017-JP5, Class D, 4.50%, 3/15/2050 (a) (g) | 275,000 | 216,137 |
JPMorgan Chase Commercial Mortgage Securities Trust | ||
Series 2013-C16, Class D, 4.89%, 12/15/2046 (a) (g) | 149,245 | 131,710 |
Series 2015-JP1, Class C, 4.72%, 1/15/2049 (g) | 1,000,000 | 879,864 |
Series 2016-JP3, Class C, 3.42%, 8/15/2049 (g) | 1,000,000 | 843,345 |
Life Mortgage Trust Series 2021-BMR, Class C, 6.53%, 3/15/2038 (a) (g) | 191,679 | 187,366 |
MHC Commercial Mortgage Trust Series 2021-MHC, Class D, 7.03%, 4/15/2038 (a) (g) | 209,719 | 208,410 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2015-C24, Class D, 3.26%, 5/15/2048 (a) | 220,000 | 191,556 |
Series 2015-C25, Class B, 4.52%, 10/15/2048 (g) | 500,000 | 468,011 |
SDR Commercial Mortgage Trust | ||
Series 2024-DSNY, Class A, 6.69%, 5/15/2039 (a) (g) | 804,000 | 804,750 |
Series 2024-DSNY, Class B, 7.04%, 5/15/2039 (a) (g) | 1,008,000 | 1,007,607 |
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048 | 225,000 | 202,030 |
SMRT Series 2022-MINI, Class E, 8.02%, 1/15/2039 (a) (g) | 350,000 | 343,095 |
STWD Mortgage Trust (Cayman Islands) Series 2021-LIH, Class B, 7.09%, 11/15/2036 (a) (g) | 400,000 | 396,500 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2015-NXS4, Class B, 4.22%, 12/15/2048 (g) | 500,000 | 476,856 |
Series 2015-LC22, Class D, 4.54%, 9/15/2058 (g) | 205,000 | 187,301 |
WFRBS Commercial Mortgage Trust | ||
Series 2013-C11, Class C, 4.00%, 3/15/2045 (g) | 117,000 | 104,939 |
Series 2014-C21, Class C, 4.23%, 8/15/2047 (g) | 1,000,000 | 918,049 |
Series 2014-C25, Class B, 4.24%, 11/15/2047 (g) | 160,000 | 151,845 |
Series 2014-C22, Class C, 3.75%, 9/15/2057 (g) | 725,000 | 594,940 |
Series 2014-C22, Class AS, 4.07%, 9/15/2057 (g) | 1,000,000 | 912,176 |
Total Commercial Mortgage-Backed Securities (Cost $25,402,254) | 24,577,779 | |
Collateralized Mortgage Obligations — 5.3% | ||
CFMT LLC Series 2024-HB13, Class M1, 3.00%, 5/25/2034 (a) (g) | 674,000 | 603,249 |
Connecticut Avenue Securities Trust | ||
Series 2022-R01, Class 1M2, 7.22%, 12/25/2041 (a) (g) | 521,000 | 526,846 |
Series 2022-R02, Class 2M2, 8.32%, 1/25/2042 (a) (g) | 225,000 | 231,469 |
FHLMC STACR REMIC Trust | ||
Series 2022-DNA1, Class M1A, 6.32%, 1/25/2042 (a) (g) | 582,376 | 582,376 |
Series 2023-HQA3, Class M2, 8.67%, 11/25/2043 (a) (g) | 725,000 | 765,855 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
FHLMC, REMIC | ||
Series 2673, Class PE, 5.50%, 9/15/2033 | 77,162 | 77,698 |
Series 4754, Class VG, 4.00%, 12/15/2036 | 624,258 | 614,298 |
Series 3878, Class PL, 4.50%, 11/15/2040 | 318,566 | 311,146 |
Series 4376, Class A, 4.00%, 7/15/2041 | 831,677 | 815,561 |
Series 5182, Class D, 2.50%, 11/25/2043 | 3,653,072 | 3,286,017 |
Series 4583, Class UP, 3.00%, 7/15/2045 | 1,781,062 | 1,601,816 |
Series 4599, Class PA, 3.00%, 9/15/2045 | 1,823,613 | 1,656,656 |
Series 4718, Class DA, 3.00%, 2/15/2047 | 228,511 | 205,510 |
Series 5194, Class H, 2.50%, 10/25/2047 | 6,108,202 | 5,374,398 |
Series 5021, Class MI, IO, 3.00%, 10/25/2050 | 403,937 | 67,875 |
FNMA, REMIC | ||
Series 2012-136, Class DL, 3.50%, 12/25/2042 | 210,035 | 195,914 |
Series 2024-20, Class MA, 5.00%, 11/25/2049 | 2,960,228 | 2,897,013 |
Series 2022-42, Class EA, 3.75%, 6/25/2052 | 1,997,038 | 1,862,506 |
Series 2022-43, Class P, 4.00%, 7/25/2052 | 482,702 | 451,929 |
GNMA Series 2021-9, Class MI, IO, 2.50%, 1/20/2051 | 215,241 | 29,207 |
Legacy Mortgage Asset Trust Series 2021-GS3, Class A1, 4.75%, 7/25/2061 (a) (e) | 102,689 | 100,523 |
LHOME Mortgage Trust Series 2024-RTL1, Class A1, 7.02%, 1/25/2029 (a) (e) | 1,225,000 | 1,227,277 |
New Residential Mortgage Loan Trust Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (a) (e) | 255,000 | 256,848 |
NYMT Loan Trust Series 2021-SP1, Class A1, 1.67%, 8/25/2061 (a) (e) | 233,872 | 226,020 |
Verus Securitization Trust Series 2021-2, Class M1, 2.19%, 2/25/2066 (a) (g) | 144,000 | 104,622 |
Total Collateralized Mortgage Obligations (Cost $24,484,013) | 24,072,629 | |
Foreign Government Securities — 1.1% | ||
Arab Republic of Egypt 7.60%, 3/1/2029 (c) | 400,000 | 372,400 |
Benin Government Bond 7.96%, 2/13/2038 (a) | 200,000 | 187,616 |
Dominican Republic Government Bond | ||
6.00%, 7/19/2028 (c) | 300,000 | 297,750 |
4.50%, 1/30/2030 (a) | 150,000 | 135,900 |
4.50%, 1/30/2030 (c) | 150,000 | 135,900 |
7.05%, 2/3/2031 (c) | 200,000 | 205,500 |
Federal Republic of Nigeria, 6.50%, 11/28/2027 (c) | 400,000 | 373,432 |
Gabonese Republic 6.95%, 6/16/2025 (c) | 200,000 | 188,520 |
Hashemite Kingdom of Jordan | ||
4.95%, 7/7/2025 (c) | 200,000 | 196,242 |
6.13%, 1/29/2026 (c) | 200,000 | 196,354 |
Islamic Republic of Pakistan 7.38%, 4/8/2031 (a) | 200,000 | 163,688 |
Istanbul Metropolitan Municipality 10.50%, 12/6/2028 (a) | 200,000 | 214,500 |
Republic of Angola | ||
9.50%, 11/12/2025 (c) | 200,000 | 204,006 |
8.25%, 5/9/2028 (c) | 200,000 | 188,518 |
Republic of Cote d'Ivoire | ||
6.38%, 3/3/2028 (c) | 600,000 | 583,986 |
5.75%, 12/31/2032 (c) (e) | 53,695 | 50,071 |
7.63%, 1/30/2033 (a) | 200,000 | 195,742 |
Republic of Ecuador 6.00%, 7/31/2030 (c) (e) | 150,000 | 100,359 |
Republic of El Salvador 8.63%, 2/28/2029 (c) | 170,000 | 148,059 |
Republic of Iraq 5.80%, 1/15/2028 (c) | 250,000 | 237,153 |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Republic of Kenya 9.75%, 2/16/2031 (a) | 200,000 | 199,838 |
Republic of Senegal 6.25%, 5/23/2033 (c) | 200,000 | 169,182 |
Total Foreign Government Securities (Cost $4,811,856) | 4,744,716 | |
Municipal Bonds — 0.0% (g) (h) ^ | ||
California — 0.0% ^ | ||
California Housing Finance Agency Series 2021-1, Class X, Rev., 0.80%, 11/20/2035 (Cost $99,184) | 2,109,249 | 100,634 |
SHARES | ||
Short-Term Investments — 3.0% | ||
Investment Companies — 2.8% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.40% (i) (j) (Cost $12,352,908) | 12,350,438 | 12,352,909 |
PRINCIPAL AMOUNT($) | ||
U.S. Treasury Obligations — 0.2% | ||
U.S. Treasury Bills, 5.20%, 8/8/2024 (k) (l) (Cost $1,047,852) | 1,058,000 | 1,047,826 |
Total Short-Term Investments (Cost $13,400,760) | 13,400,735 | |
Total Investments — 100.4% (Cost $458,951,398) | 453,711,800 | |
Liabilities in Excess of Other Assets — (0.4)% | (1,678,202 ) | |
NET ASSETS — 100.0% | 452,033,598 |
Percentages indicated are based on net assets. |
Abbreviations | |
ABS | Asset-Backed Securities |
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May 31, 2024. |
CLO | Collateralized Loan Obligations |
CME | Chicago Mercantile Exchange |
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 |
Rev. | Revenue |
SCA | Limited partnership with share capital |
SOFR | Secured Overnight Financing Rate |
SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
UMBS | Uniform Mortgage-Backed Securities |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)‡ | Value determined using significant unobservable inputs. | |
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(b) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of May 31, 2024. | |
(c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(d) | Defaulted security. | |
(e) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of May 31, 2024. | |
(f) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of May 31, 2024. | |
(h) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(i) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(j) | The rate shown is the current yield as of May 31, 2024. | |
(k) | The rate shown is the effective yield as of May 31, 2024. | |
(l) | All or a portion of this security is deposited with the broker as initial margin for futures contracts or centrally cleared swaps. |
Futures contracts outstanding as of May 31, 2024:
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 2 Year Note | 38 | 09/30/2024 | USD | 7,744,875 | 6,231 |
U.S. Treasury 5 Year Note | 454 | 09/30/2024 | USD | 48,102,719 | 48,092 |
54,323 | |||||
Short Contracts | |||||
U.S. Treasury 10 Year Note | (118 ) | 09/19/2024 | USD | (12,858,313 ) | (279 ) |
U.S. Treasury 10 Year Ultra Note | (71 ) | 09/19/2024 | USD | (7,973,078 ) | 913 |
U.S. Treasury Long Bond | (17 ) | 09/19/2024 | USD | (1,980,500 ) | 4,057 |
4,691 | |||||
59,014 |
Abbreviations | |
USD | United States Dollar |
Centrally Cleared Credit default swap contracts toutstanding — sell protection(**) as of May 31, 2024:
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CDX.NA.HY.42-V1 | 5.00 | Quarterly | 6/20/2029 | 3.33 | USD1,400,000 | 94,123 | 14,928 | 109,051 |
(**) | The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an upfront premium from or to the protection buyer, and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. | ||||||||
(a) | Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract.Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. | ||||||||
(b) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. | ||||||||
(c) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)Abbreviations | |
CDX | Credit Default Swap Index |
USD | United States Dollar |
JPMorgan Short Duration Core Plus 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.
Futures contracts are generally valued on the basis of available market quotations. Swaps are valued utilizing market quotations from approved Pricing Services.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at 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 Short Duration Core Plus 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 (“SOI”):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $90,547,456 | $1,489,345 | $92,036,801 |
Collateralized Mortgage Obligations | — | 24,072,629 | — | 24,072,629 |
Commercial Mortgage-Backed Securities | — | 22,273,304 | 2,304,475 | 24,577,779 |
Corporate Bonds | — | 157,278,711 | — | 157,278,711 |
Foreign Government Securities | — | 4,744,716 | — | 4,744,716 |
Mortgage-Backed Securities | — | 50,986,664 | — | 50,986,664 |
Municipal Bonds | — | 100,634 | — | 100,634 |
U.S. Treasury Obligations | — | 86,513,131 | — | 86,513,131 |
Short-Term Investments | ||||
Investment Companies | 12,352,909 | — | — | 12,352,909 |
U.S. Treasury Obligations | — | 1,047,826 | — | 1,047,826 |
Total Short-Term Investments | 12,352,909 | 1,047,826 | — | 13,400,735 |
Total Investments in Securities | $12,352,909 | $437,565,071 | $3,793,820 | $453,711,800 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $59,293 | $— | $— | $59,293 |
Swaps | — | 14,928 | — | 14,928 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (279 ) | — | — | (279 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $59,014 | $14,928 | $— | $73,942 |
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 | $904,226 | $— | $(11,103 ) | $1,955 | $619,933 | $(247,471 ) | $221,805 | $— | $1,489,345 |
Commercial Mortgage-Backed Securities | — | — | (1,525 ) | — | 2,306,000 | — | — | — | 2,304,475 |
Corporate Bonds | 140,400 | (58,199 ) | 71,630 | 81 | — | (153,912 ) | — | — | — |
Total | $1,044,626 | $(58,199 ) | $59,002 | $2,036 | $2,925,933 | $(401,383 ) | $221,805 | $— | $3,793,820 |
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 $(19,423).
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
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at May 31, 2024 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$1,165,928 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 5.87% - 6.23% (5.01%) | |
Asset-Backed Securities | 1,165,928 | |||
Total | 1,165,928 |
# | 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 $2,627,892. 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 Prime Money Market Fund Class IM Shares, 5.40% (a) (b) | $25,964,962 | $50,416,912 | $64,025,377 | $(2,448 ) | $(1,140 ) | $12,352,909 | 12,350,438 | $153,310 | $— |
(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. |