Capital Group Core Bond ETF
Investment portfolio
September 30, 2023
unaudited
Bonds, notes & other debt instruments 92.06% Mortgage-backed obligations 35.53% Federal agency mortgage-backed obligations 31.06% | Principal amount (000) | Value (000) | |
Fannie Mae Pool #MA4623 2.50% 6/1/20521 | USD301 | $239 | |
Fannie Mae Pool #MA4743 2.50% 8/1/20521 | 1,818 | 1,445 | |
Fannie Mae Pool #MA5071 5.00% 7/1/20531 | 1,007 | 951 | |
Fannie Mae Pool #MA5163 4.50% 10/1/20531 | 958 | 880 | |
Freddie Mac Pool #SD8204 2.00% 4/1/20521 | 2,331 | 1,776 | |
Freddie Mac Pool #SD8237 4.00% 8/1/20521 | 866 | 772 | |
Freddie Mac Pool #SD8242 3.00% 9/1/20521 | 1,435 | 1,189 | |
Freddie Mac Pool #SD8324 5.50% 5/1/20531 | 1,007 | 974 | |
Freddie Mac Pool #SD8388 3.50% 10/1/20531 | 1,390 | 1,197 | |
Uniform Mortgage-Backed Security 6.00% 11/1/20531,2 | 640 | 631 | |
Uniform Mortgage-Backed Security 6.50% 11/1/20531,2 | 650 | 653 | |
10,707 | |||
Collateralized mortgage-backed obligations (privately originated) 2.98% | |||
Connecticut Avenue Securities Trust, Series 2023-R01, Class 1M1, (30-day Average USD-SOFR + 2.40%) 7.715% 12/25/20421,3 | 313 | 319 | |
Connecticut Avenue Securities Trust, Series 2023-R04, Class 1M1, (30-day Average USD-SOFR + 2.30%) 7.615% 5/25/20431,3 | 471 | 477 | |
Progress Residential Trust, Series 2023-SFR1, Class A, 4.30% 3/17/20401,3 | 249 | 233 | |
1,029 | |||
Commercial mortgage-backed securities 1.49% | |||
AMSR Trust, Series 2023-SFR2, Class A, 3.95% 8/17/20401,3 | 160 | 146 | |
Benchmark Mortgage Trust, Series 2022-B35, Class A5, 4.593% 5/15/20551 | 175 | 154 | |
Commercial Mortgage Trust, Series 2015-3BP, Class A, 3.178% 2/10/20351,3 | 225 | 212 | |
512 | |||
Total mortgage-backed obligations | 12,248 | ||
Corporate bonds, notes & loans 34.88% Financials 22.72% | |||
American International Group, Inc. 5.125% 3/27/2033 | 55 | 51 | |
Bank of America Corp. 2.551% 2/4/2028 (USD-SOFR + 1.05% on 2/4/2027)4 | 510 | 455 | |
Bank of America Corp. 3.974% 2/7/2030 (3-month USD CME Term SOFR + 1.472% on 2/7/2029)4 | 369 | 332 | |
Bank of New York Mellon Corp. 5.834% 10/25/2033 (USD-SOFR + 2.074% on 10/25/2032)4 | 111 | 109 | |
Bank of Nova Scotia (The) 5.25% 6/12/2028 | 115 | 112 | |
Blackstone Holdings Finance Co., LLC 6.20% 4/22/20333 | 44 | 44 | |
BNP Paribas SA 2.591% 1/20/2028 (USD-SOFR + 1.228% on 1/20/2027)3,4 | 200 | 178 | |
BPCE 2.045% 10/19/2027 (USD-SOFR + 1.087% on 10/19/2026)3,4 | 288 | 254 | |
CaixaBank, SA 6.208% 1/18/2029 (USD-SOFR + 2.70% on 1/18/2028)3,4 | 203 | 199 | |
Canadian Imperial Bank of Commerce 3.60% 4/7/2032 | 55 | 47 | |
Charles Schwab Corp. 5.643% 5/19/2029 (USD-SOFR + 2.21% on 5/19/2028)4 | 100 | 98 | |
Citigroup, Inc. 4.412% 3/31/2031 (USD-SOFR + 3.914% on 3/31/2030)4 | 229 | 206 | |
Danske Bank AS 4.298% 4/1/2028 (1-year UST Yield Curve Rate T Note Constant Maturity + 1.75% on 4/1/2027)3,4 | 200 | 186 | |
Deutsche Bank AG 2.311% 11/16/2027 (USD-SOFR + 1.219% on 11/16/2026)4 | 242 | 211 |
Capital Group Core Bond ETF — Page 1 of 8
unaudited
Bonds, notes & other debt instruments (continued) Corporate bonds, notes & loans (continued) Financials (continued) | Principal amount (000) | Value (000) | |
DNB Bank ASA 1.535% 5/25/2027 (5-year UST Yield Curve Rate T Note Constant Maturity + 0.72% on 5/25/2026)3,4 | USD200 | $177 | |
Fifth Third Bancorp 6.339% 7/27/2029 (USD-SOFR + 2.34% on 7/27/2028)4 | 102 | 101 | |
Five Corners Funding Trust III 5.791% 2/15/20333 | 115 | 113 | |
Goldman Sachs Group, Inc. 4.223% 5/1/2029 (3-month USD CME Term SOFR + 1.563% on 5/1/2028)4 | 240 | 222 | |
HSBC Holdings PLC 4.583% 6/19/2029 (3-month USD CME Term SOFR + 1.796% on 6/19/2028)4 | 230 | 213 | |
Intercontinental Exchange, Inc. 4.60% 3/15/2033 | 67 | 62 | |
JPMorgan Chase & Co. 4.203% 7/23/2029 (3-month USD CME Term SOFR + 1.522% on 7/23/2028)4 | 458 | 425 | |
KBC Groep NV 5.796% 1/19/2029 (1-year UST Yield Curve Rate T Note Constant Maturity + 2.10% on 1/19/2028)3,4 | 200 | 195 | |
Lloyds Banking Group PLC 5.871% 3/6/2029 (1-year UST Yield Curve Rate T Note Constant Maturity + 1.70% on 3/6/2028)4 | 200 | 196 | |
Metropolitan Life Global Funding I 5.15% 3/28/20333 | 150 | 142 | |
Mitsubishi UFJ Financial Group, Inc. 5.422% 2/22/2029 (1-year UST Yield Curve Rate T Note Constant Maturity + 1.38% on 2/22/2028)4 | 400 | 392 | |
Mizuho Financial Group, Inc. 1.234% 5/22/2027 (1-year UST Yield Curve Rate T Note Constant Maturity + 0.67% on 5/22/2026)4 | 230 | 203 | |
Morgan Stanley 5.123% 2/1/2029 (USD-SOFR + 1.73% on 2/1/2028)4 | 514 | 495 | |
Nasdaq, Inc. 5.35% 6/28/2028 | 100 | 98 | |
NatWest Group PLC 5.076% 1/27/2030 (3-month USD-LIBOR + 1.905% on 1/27/2029)4 | 230 | 214 | |
New York Life Global Funding 4.55% 1/28/20333 | 44 | 40 | |
Northwestern Mutual Life Insurance Co. (The). 4.90% 6/12/20283 | 78 | 76 | |
PNC Financial Services Group, Inc. 5.582% 6/12/2029 (USD-SOFR + 1.841% on 6/12/2028)4 | 177 | 172 | |
Royal Bank of Canada 5.20% 8/1/2028 | 100 | 97 | |
State Street Corp. 5.159% 5/18/2034 (USD-SOFR + 1.89% on 5/18/2033)4 | 55 | 51 | |
Sumitomo Mitsui Financial Group, Inc. 1.902% 9/17/2028 | 200 | 165 | |
Svenska Handelsbanken AB 5.50% 6/15/20283 | 250 | 243 | |
Toronto-Dominion Bank 5.523% 7/17/2028 | 100 | 99 | |
U.S. Bancorp 4.653% 2/1/2029 (USD-SOFR + 1.23% on 2/1/2028)4 | 216 | 202 | |
UBS Group AG 9.016% 11/15/2033 (USD-SOFR + 5.02% on 11/15/2032)3,4 | 288 | 333 | |
Wells Fargo & Co. 5.574% 7/25/2029 (USD-SOFR + 1.74% on 7/25/2028)4 | 551 | 538 | |
Westpac Banking Corp. 4.11% 7/24/2034 (5-year UST Yield Curve Rate T Note Constant Maturity + 2.00% on 7/24/2029)4 | 100 | 86 | |
7,832 | |||
Health care 2.89% | |||
Amgen, Inc. 5.25% 3/2/2033 | 230 | 220 | |
Baxter International, Inc. 2.272% 12/1/2028 | 174 | 147 | |
Cencora, Inc. 2.70% 3/15/2031 | 77 | 63 | |
Centene Corp. 2.45% 7/15/2028 | 85 | 72 | |
CVS Health Corp. 4.30% 3/25/2028 | 221 | 209 | |
Elevance Health, Inc. 4.75% 2/15/2033 | 45 | 42 | |
Eli Lilly and Co. 4.70% 2/27/2033 | 55 | 53 | |
GE HealthCare Technologies, Inc. 5.857% 3/15/2030 | 115 | 114 | |
Pfizer Investment Enterprises Pte., Ltd. 4.75% 5/19/2033 | 80 | 75 | |
995 | |||
Utilities 2.23% | |||
Edison International 4.125% 3/15/2028 | 155 | 143 | |
FirstEnergy Corp. 2.65% 3/1/2030 | 144 | 117 | |
Georgia Power Co. 4.95% 5/17/2033 | 153 | 144 | |
Pacific Gas and Electric Co. 4.55% 7/1/2030 | 287 | 254 |
Capital Group Core Bond ETF — Page 2 of 8
unaudited
Bonds, notes & other debt instruments (continued) Corporate bonds, notes & loans (continued) Utilities (continued) | Principal amount (000) | Value (000) | |
Southern California Edison Co. 2.95% 2/1/2051 | USD111 | $66 | |
Xcel Energy, Inc. 5.45% 8/15/2033 | 48 | 46 | |
770 | |||
Communication services 2.07% | |||
AT&T, Inc. 4.30% 2/15/2030 | 204 | 186 | |
Charter Communications Operating, LLC 6.384% 10/23/2035 | 115 | 107 | |
Netflix, Inc. 4.875% 4/15/2028 | 89 | 86 | |
T-Mobile USA, Inc. 3.875% 4/15/2030 | 178 | 158 | |
Verizon Communications, Inc. 4.329% 9/21/2028 | 188 | 177 | |
714 | |||
Information technology 1.13% | |||
Analog Devices, Inc. 2.10% 10/1/2031 | 77 | 61 | |
Broadcom, Inc. 3.469% 4/15/20343 | 169 | 133 | |
ServiceNow, Inc. 1.40% 9/1/2030 | 253 | 194 | |
388 | |||
Energy 0.97% | |||
Columbia Pipelines Operating Co., LLC 5.927% 8/15/20303 | 63 | 62 | |
EQT Corp. 5.70% 4/1/2028 | 89 | 87 | |
Kinder Morgan, Inc. 7.75% 1/15/2032 | 78 | 85 | |
ONEOK, Inc. 5.65% 11/1/2028 | 100 | 99 | |
333 | |||
Consumer staples 0.92% | |||
BAT Capital Corp. 6.343% 8/2/2030 | 155 | 153 | |
Constellation Brands, Inc. 2.875% 5/1/2030 | 78 | 65 | |
Philip Morris International, Inc. 5.625% 11/17/2029 | 100 | 99 | |
317 | |||
Real estate 0.79% | |||
Equinix, Inc. 3.20% 11/18/2029 | 90 | 77 | |
Prologis, LP 4.75% 6/15/2033 | 63 | 58 | |
Public Storage Operating Co. 5.125% 1/15/2029 | 78 | 77 | |
VICI Properties, LP 4.95% 2/15/2030 | 67 | 61 | |
273 | |||
Industrials 0.66% | |||
Boeing Co. 5.04% 5/1/2027 | 232 | 227 | |
Consumer discretionary 0.50% | |||
Daimler Trucks Finance North America, LLC 2.375% 12/14/20283 | 150 | 127 | |
Ford Motor Co. 3.25% 2/12/2032 | 58 | 45 | |
172 | |||
Total corporate bonds, notes & loans | 12,021 | ||
Asset-backed obligations 12.68% | |||
ACHV ABS Trust, Series 2023-3PL, Class B, 7.17% 8/19/20301,3 | 150 | 151 | |
Affirm, Inc., Series 2023-B, Class A, 6.82% 9/15/20281,3 | 150 | 150 | |
Apidos CLO, Ltd., Series 2015-23, Class AR, (3-month USD CME Term SOFR + 1.482%) 6.79% 4/15/20331,3 | 275 | 274 | |
Avis Budget Rental Car Funding (AESOP), LLC, Series 2023-8, Class A, 6.02% 2/20/20301,3 | 150 | 150 |
Capital Group Core Bond ETF — Page 3 of 8
unaudited
Bonds, notes & other debt instruments (continued) Asset-backed obligations (continued) | Principal amount (000) | Value (000) | |
Bain Capital Credit CLO, Ltd., Series 2017-2, Class AR2, (3-month USD CME Term SOFR + 1.442%) 6.793% 7/25/20341,3 | USD275 | $273 | |
Bankers Healthcare Group Securitization Trust, Series 2022-A, Class A, 1.71% 2/20/20351,3 | 150 | 145 | |
CF Hippolyta, LLC, Series 2021-1, Class A1, 1.53% 3/15/20611,3 | 150 | 132 | |
Citizens Auto Receivables Trust, Series 2023-2, Class A4, 5.74% 10/15/20301,3 | 150 | 150 | |
CPS Auto Receivables Trust, Series 2023-C, Class A, 6.13% 9/15/20261,3 | 150 | 150 | |
CPS Auto Receivables Trust, Series 2023-A, Class B, 5.47% 11/16/20261,3 | 150 | 148 | |
Dryden Senior Loan Fund, CLO, Series 2021-93, Class A1A, (3-month USD CME Term SOFR + 1.342%) 6.65% 1/15/20341,3 | 275 | 274 | |
First National Master Note Trust, Series 2023-2, Class A, 5.77% 9/17/20291 | 150 | 150 | |
Ford Credit Auto Owner Trust, Series 2023-B, Class A4, 5.06% 2/15/20291 | 100 | 99 | |
Ford Credit Auto Owner Trust, Series 2023-1, Class A, 4.85% 8/15/20351,3 | 150 | 145 | |
Global SC Finance V SRL, Series 2020-1A, Class A, 2.17% 10/17/20401,3 | 166 | 148 | |
Global SC Finance VII SRL, Series 2020-2A, Class A, 2.26% 11/19/20401,3 | 168 | 149 | |
Global SC Finance VII SRL, Series 2021-1A, Class A, 1.86% 4/17/20411,3 | 185 | 160 | |
Hertz Vehicle Financing III, LLC, Series 2023-4, Class A, 6.15% 3/25/20301,3 | 150 | 150 | |
LAD Auto Receivables Trust, Series 2023-2, Class A3, 5.42% 2/15/20281,3 | 250 | 247 | |
Neuberger Berman CLO, Ltd., Series 2019-35, Class A1, (3-month USD CME Term SOFR + 1.602%) 6.922% 1/19/20331,3 | 300 | 300 | |
PFS Financing Corp., Series 2023-A, Class A, 5.80% 3/15/20281,3 | 150 | 150 | |
Sixth Street CLO XVI, Ltd., Series 2020-16, Class A1A, (3-month USD CME Term SOFR + 1.582%) 6.908% 10/20/20321,3 | 275 | 275 | |
TICP CLO, Ltd., Series 2018-12, Class AR, (3-month USD CME Term SOFR + 1.432%) 6.74% 7/15/20341,3 | 275 | 274 | |
TIF Funding II, LLC, Series 2021-1A, Class A, 1.65% 2/20/20461,3 | 150 | 125 | |
4,369 | |||
U.S. Treasury bonds & notes 8.97% U.S. Treasury 8.97% | |||
U.S. Treasury 4.625% 9/30/2030 | 500 | 500 | |
U.S. Treasury 3.875% 8/15/2033 | 200 | 189 | |
U.S. Treasury 4.375% 8/15/2043 | 200 | 187 | |
U.S. Treasury 3.625% 5/15/20535 | 2,678 | 2,217 | |
3,093 | |||
Total bonds, notes & other debt instruments (cost: $31,780,000) | 31,731 | ||
Short-term securities 30.84% Money market investments 30.84% | Shares | ||
Capital Group Central Cash Fund 5.44%6,7 | 106,337 | 10,632 | |
Total short-term securities (cost: $10,634,000) | 10,632 | ||
Total investment securities 122.90% (cost: $42,414,000) | 42,363 | ||
Other assets less liabilities (22.90)% | (7,894) | ||
Net assets 100.00% | $34,469 |
Capital Group Core Bond ETF — Page 4 of 8
unaudited
Swap contracts
Interest rate swaps
Centrally cleared interest rate swaps
Receive | Pay | Expiration date | Notional amount (000) | Value at 9/30/2023 (000) | Upfront premium paid (000) | Unrealized appreciation (depreciation) at 9/30/2023 (000) | ||||||
Rate | Payment frequency | Rate | Payment frequency | |||||||||
5.1035% | Annual | SOFR | Annual | 9/28/2025 | USD5,300 | $6 | $— | $6 | ||||
4.6415% | Annual | SOFR | Annual | 10/3/2026 | 1,400 | — | — | — | ||||
SOFR | Annual | 4.3905% | Annual | 9/28/2028 | 1,000 | (1) | — | (1) | ||||
4.295% | Annual | SOFR | Annual | 9/28/2030 | 900 | —8 | — | —8 | ||||
SOFR | Annual | 4.25% | Annual | 9/28/2033 | 700 | 1 | — | 1 | ||||
4.2515% | Annual | SOFR | Annual | 9/28/2038 | 580 | (1) | — | (1) | ||||
4.206% | Annual | SOFR | Annual | 9/28/2043 | 1,000 | (2) | — | (2) | ||||
$3 | $— | $3 |
Investments in affiliates7
Value of affiliate at 9/26/20239 (000) | Additions (000) | Reductions (000) | Net realized gain (000) | Net unrealized depreciation (000) | Value of affiliate at 9/30/2023 (000) | Dividend income (000) | |
Short-term securities 30.84% | |||||||
Money market investments 30.84% | |||||||
Capital Group Central Cash Fund 5.44%6 | $— | $16,575 | $5,941 | $— | $(2) | $10,632 | $6 |
1 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
2 | Purchased on a TBA basis. |
3 | Acquired in a transaction exempt from registration under Rule 144A or, for commercial paper, Section 4(a)(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $8,009,000, which represented 23.24% of the net assets of the fund. |
4 | Step bond; coupon rate may change at a later date. |
5 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $191,000, which represented .55% of the net assets of the fund. |
6 | Rate represents the seven-day yield at September 30, 2023. |
7 | Part of the same "group of investment companies" as the fund as defined under the Investment Company Act of 1940, as amended. |
8 | Amount less than one thousand. |
9 | Commencement of operations. |
Valuation disclosures
Capital Research and Management Company (“CRMC”), the fund’s investment adviser, values the fund’s investments at fair value as defined by accounting principles generally accepted in the United States of America. The net asset value per share is calculated once daily as of the close of regular trading on the New York Stock Exchange, normally 4 p.m. New York time, each day the New York Stock Exchange is open. Security transactions are recorded by the fund as of the date the trades are executed with brokers. Assets and liabilities, including investment securities, denominated in currencies other than U.S. dollars are translated into U.S. dollars at the exchange rates supplied by one or more pricing vendors on the valuation date.
Methods and inputs — The fund’s investment adviser uses the following methods and inputs to establish the fair value of the fund’s assets and liabilities. Use of particular methods and inputs may vary over time based on availability and relevance as market and economic conditions evolve.
Equity securities, including depositary receipts, are generally valued at the official closing price of, or the last reported sale price on, the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the last available bid price. Prices for each security are taken from the principal exchange or market on which the security trades.
Capital Group Core Bond ETF — Page 5 of 8
unaudited
Fixed-income securities, including short-term securities, are generally valued at evaluated prices obtained from third-party pricing vendors. Vendors value such securities based on one or more of the inputs described in the following table. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed-income securities in which the fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income security.
Fixed-income class | Examples of standard inputs |
All | Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”) |
Corporate bonds, notes & loans; convertible securities | Standard inputs and underlying equity of the issuer |
Bonds & notes of governments & government agencies | Standard inputs and interest rate volatilities |
Mortgage-backed; asset-backed obligations | Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information |
Municipal securities | Standard inputs and, for certain distressed securities, cash flows or liquidation values using a net present value calculation based on inputs that include, but are not limited to, financial statements and debt contracts |
Securities with both fixed-income and equity characteristics, or equity securities traded principally among fixed-income dealers, are generally valued in the manner described for either equity or fixed-income securities, depending on which method is deemed most appropriate by the fund’s investment adviser. The Capital Group Central Cash Fund (“CCF”), a fund within the Capital Group Central Fund Series (“Central Funds“), is valued based upon a floating net asset value, which fluctuates with changes in the value of CCF’s portfolio securities. The underlying securities are valued based on the policies and procedures in CCF’s statement of additional information. Swaps are generally valued using evaluated prices obtained from third-party pricing vendors who calculate these values based on market inputs that may include the yields of the indices referenced in the instrument and the relevant curve, dealer quotes, default probabilities and recovery rates, other reference data, and terms of the contract. The average month-end notional amount of interest rate swaps while held was $10,880,000
Securities and other assets for which representative market quotations are not readily available or are considered unreliable by the fund’s investment adviser are fair valued as determined in good faith under fair valuation guidelines adopted by the fund’s investment adviser and approved by the board of trustees as further described. The investment adviser follows fair valuation guidelines, consistent with U.S. Securities and Exchange Commission rules and guidance, to consider relevant principles and factors when making fair value determinations. The investment adviser considers relevant indications of value that are reasonably and timely available to it in determining the fair value to be assigned to a particular security, such as the type and cost of the security, contractual or legal restrictions on resale of the security, relevant financial or business developments of the issuer, actively traded similar or related securities, dealer or broker quotes, conversion or exchange rights on the security, related corporate actions, significant events occurring after the close of trading in the security, and changes in overall market conditions. In addition, the closing prices of equity securities that trade in markets outside U.S. time zones may be adjusted to reflect significant events that occur after the close of local trading but before the net asset value of the fund is determined. Fair valuations of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.
Processes and structure — The fund’s board of trustees has designated the fund’s investment adviser to make fair value determinations, subject to board oversight. The investment adviser has established a Joint Fair Valuation Committee (the “Committee”) to administer, implement and oversee the fair valuation process and to make fair value decisions. The Committee regularly reviews its own fair value decisions, as well as decisions made under its standing instructions to the investment adviser’s valuation team. The Committee reviews changes in fair value measurements from period to period, pricing vendor information and market data, and may, as deemed appropriate, update the fair valuation guidelines to better reflect the results of back testing and address new or evolving issues. Pricing decisions, processes and controls over security valuation are also subject to additional internal reviews facilitated by the investment adviser’s global risk management group. The Committee reports any changes to the fair valuation guidelines to the board of trustees. The fund’s board and audit committee also regularly review reports that describe fair value determinations and methods.
Capital Group Core Bond ETF — Page 6 of 8
unaudited
Classifications — The fund’s investment adviser classifies the fund’s assets and liabilities into three levels based on the inputs used to value the assets or liabilities. Level 1 values are based on quoted prices in active markets for identical securities. Level 2 values are based on significant observable market inputs, such as quoted prices for similar securities and quoted prices in inactive markets. Certain securities trading outside the U.S. may transfer between Level 1 and Level 2 due to valuation adjustments resulting from significant market movements following the close of local trading. Level 3 values are based on significant unobservable inputs that reflect the investment adviser’s determination of assumptions that market participants might reasonably use in valuing the securities. The valuation levels are not necessarily an indication of the risk or liquidity associated with the underlying investment. For example, U.S. government securities are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market. The following tables present the fund’s valuation levels as of September 30, 2023 (dollars in thousands):
Investment securities | |||||||
Level 1 | Level 2 | Level 3 | Total | ||||
Assets: | |||||||
Bonds, notes & other debt instruments: | |||||||
Mortgage-backed obligations | $— | $12,248 | $— | $12,248 | |||
Corporate bonds, notes & loans | — | 12,021 | — | 12,021 | |||
Asset-backed obligations | — | 4,369 | — | 4,369 | |||
U.S. Treasury bonds & notes | — | 3,093 | — | 3,093 | |||
Short-term securities | 10,632 | — | — | 10,632 | |||
Total | $10,632 | $31,731 | $— | $42,363 |
Other investments* | |||||||
Level 1 | Level 2 | Level 3 | Total | ||||
Assets: | |||||||
Unrealized appreciation on centrally cleared interest rate swaps | $— | $7 | $— | $7 | |||
Liabilities: | |||||||
Unrealized depreciation on centrally cleared interest rate swaps | — | (4) | — | (4) | |||
Total | $— | $3 | $— | $3 |
* | Interest rate swaps are not included in the investment portfolio. |
Key to abbreviations |
CLO = Collateralized Loan Obligations |
CME = CME Group |
LIBOR = London Interbank Offered Rate |
SOFR = Secured Overnight Financing Rate |
USD = U.S. dollars |
Capital Group Core Bond ETF — Page 7 of 8
unaudited
Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so they may lose value.
Investors should carefully consider investment objectives, risks, charges and expenses. This and other important information is contained in the fund prospectus and summary prospectus, which can be obtained from your financial professional and should be read carefully before investing.
You may also call American Funds Service Company (AFS) at (800) 421-4225 or visit the Capital Group website at capitalgroup.com.
All Capital Group trademarks mentioned are owned by The Capital Group Companies, Inc., an affiliated company or fund. All other company and product names mentioned are the property of their respective companies.
American Funds Distributors, Inc., member FINRA.
© 2023 Capital Group. All rights reserved.
ETGEFP3-312-1123O-S90624 | Capital Group Core Bond ETF — Page 8 of 8 |