UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22903
J.P. Morgan Exchange-Traded Fund Trust
(Exact name of registrant as specified in charter)
277 Park Avenue
New York, NY 10172
(Address of principal executive offices) (Zip code)
Gregory S. Samuels
J.P. Morgan Investment Management Inc.
277 Park Avenue
New York, NY 10172
(Name and Address of Agent for Service)
With copies to:
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| Elizabeth A. Davin, Esq. | | Jon S. Rand, Esq. |
| JPMorgan Chase & Co. | | Dechert LLP |
| 1111 Polaris Parkway | | 1095 Avenue of the Americas |
| Columbus, OH 43240 | | New York, NY 10036 |
Registrant’s telephone number, including area code: 1-844-457-6383
Date of fiscal year end: Last Day of February
Date of reporting period: March 1, 2022 through February 28, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
a.) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Reports. Not Applicable. Notices do not incorporate disclosures from the shareholder reports.
Annual Report
J.P. Morgan Exchange-Traded Funds
February 28, 2023
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JPMorgan Core Plus Bond ETF | | |
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JPMorgan International Bond Opportunities ETF | | |
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JPMorgan Short Duration Core Plus ETF | | |
JPMorgan Ultra-Short Income ETF | | |
JPMorgan Ultra-Short Municipal Income ETF | | |
CONTENTS
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Shares are bought and sold throughout the day on an exchange at market price (not at net asset value) through a brokerage account, and are not individually subscribed and redeemed from a Fund. Shares may only be subscribed and redeemed directly from a Fund by Authorized Participants, in very large creation/redemption units. Brokerage commissions will reduce returns.
President's Letter
April 11, 2023 (Unaudited)
Dear Shareholder,
Financial markets have shown some resiliency in recent months after sharply rising interest rates and the outbreak of war in Ukraine in 2022 fueled dislocations in both equity and bond markets. While asset prices have yet to fully rebound from last year, overall financial market volatility has receded and asset valuations may have grown more attractive to investors.
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“As investors assess the potential risks to financial market returns, we believe it is important to recognize both the potential benefits of portfolio diversification and the potential investment opportunities uncovered by changes in relative asset valuations.” — Brian S. Shlissel
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Certainly, the factors that weighed on markets in 2022 largely remain in place in early 2023. Additionally, the failures of two U.S. regional banks and the takeover of troubled Credit Suisse Group AG by UBS Group AG have rattled the financial services sector, though regulators moved quickly to attempt to contain the risk of contagion and overall US. bank capitalization rates remain healthy and much improved since the 2008 financial crisis.
The International Monetary Fund (the “IMF”) recently trimmed its forecast for global economic growth in 2023 and warned that any further turmoil in the financial system could further impede economic activity. The IMF also indicated that infla
tionary pressures had yet to peak in many countries, despite moderation in prices for energy and food. Notably, the IMF slightly raised its growth forecast for the U.S., while lowering its forecast for Germany and Japan.
Above average wage inflation, contracting profit margins and slower economic activity may put pressure on U.S. equities in the months ahead, though companies positioned to weather a secular slowdown may stand out. Lower valuations compared with the U.S. and a weakening dollar could provide support for international equities. Core fixed income assets may also prove attractive to investors if interest rates decline in the year ahead.
As investors assess the potential risks to financial market returns, we believe it is important to recognize both the potential benefits of portfolio diversification and the investment potential opportunities uncovered by changes in relative asset valuations. Our lineup of investment solutions seeks to provide investors with ability to build durable portfolios that can meet their financial goals.
Sincerely,
Brian S. Shlissel
President, J.P. Morgan Exchange-Traded Funds
J.P. Morgan Asset Management
1-844-4JPM-ETF or jpmorgan.com/etfs for more information
| J.P. Morgan Exchange-Traded Funds | |
J.P. Morgan Exchange-Traded Funds
MARKET OVERVIEW
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
Global financial markets declined through most of the period amid inflationary pressures, rapidly rising interest rates, war across Ukraine and weaker economic conditions in China. However, developed markets stabilized somewhat in the second half of the period as domestic economic data improved.
While both equities and bonds were down for the period, fixed income assets experienced a historically poor performance. For the twelve month period, the Bloomberg U.S. Aggregate Index returned -9.72%, the Bloomberg U.S. High Yield Index returned -5.46% and the Bloomberg Emerging Markets Index returned -8.01%.
Through the second quarter of 2022, investor demand for bonds was crushed by the highest inflation levels in four decades and the subsequent policy response by leading central banks. Russia’s invasion of Ukraine at the end of February 2022, followed by the U.S. Federal Reserve’s (the “Fed”) decision to initiate its current monetary tightening cycle in mid-March 2022, drove global financial markets sharply lower. Stocks and bonds fell in tandem and volatility spiked higher. By the end of February 2023, the Fed had raised interest rates eight times to a range of 4.50% to 4.75%, the highest level since the 2007-08 financial crisis.
The Bank of England and the European Central Bank also aggressively tightened their monetary policies in response to accelerating price pressures, though the former started raising interest rates in December 2021 and the latter waited until September 2022 to begin raising rates.
In the second half of the period, financial markets appeared to stabilize and even rebounded somewhat. The U.S. economy proved to be resilient and data showed price inflation receding, while Europe largely avoided a prolonged energy crisis through coordinated efforts to obtain alternatives to Russian supplies of petroleum and natural gas. Additionally, China dropped many of the strict anti-pandemic measures that had severely constrained spending and demand in the first half of the period.
While both bond and equity markets had negative returns for the twelve-month period, U.S. high yield bonds (also known as junk bonds) and emerging markets debt posted a moderate positive performance for the final half of the period.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
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Bloomberg U.S. Aggregate Index | |
Net Assets as of 2/28/2023 | |
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INVESTMENT OBJECTIVE***
The JPMorgan Core Plus Bond ETF (the “Fund”) seeks a high level of current income by investing primarily in a diversified portfolio of high, medium and low-grade debt securities.
INVESTMENT APPROACH
The Fund invests primarily in investment grade bonds, with the flexibility to invest up to 30% in below investment grade securities (i.e., high yield or “junk bonds”) or the unrated equivalent, including below investment grade foreign securities. Up to 25% of the Fund’s assets may be invested in foreign securities. The adviser allocates the Fund’s assets among a range of sectors based on strategic positioning and other tactical considerations. In buying and selling investments for the Fund, the adviser looks for market sectors and securities that it believes will perform well over time. The adviser selects individual securities after performing a risk/reward analysis that includes an evaluation of interest rate risk, credit risk, currency risk, legal provisions and the structure of the transactions.
HOW DID THE FUND PERFORM?
For the twelve months ended February 28, 2023, the Fund outperformed the Bloomberg U.S. Aggregate Index (the “Index”).
Relative to the Index, the Fund’s shorter overall duration was the leading contributor to performance. Generally, bonds with shorter duration will experience a smaller decrease in price compared with longer duration bonds when interest rates rise. Additionally, the Fund’s overweight positions in high yield corporate credit (also known as “junk bonds”) and in securitized credit, including asset-backed securities and commercial mortgage-backed securities, also contributed to relative performance. The Fund’s underweight position in agency mortgage-backed securities also contributed to performance as interest rate volatility during the period led to underperformance in the sector.
The Fund’s underweight position in investment grade corporate credit and its security selection within hard-currency emerging markets debt were leading detractors from relative performance.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers focused on security selection and relative value, which seeks to take advantage of pricing discrepancies among individual securities or market sectors. They employed macro-economic analysis to determine asset allocations and positioning on the yield curve. The portfolio managers used bottom-up research and top-down macro perspective to construct a diversified portfolio of fixed income securities. As a result of this process, the Fund’s largest sector allocations at the end of the reporting period were to U.S. government debt, including Treasury bonds and agency debentures, as well as securitized debt, including agency and non-agency residential mortgage-backed securities, asset-backed securities, and commercial mortgage-backed securities. The Fund’s smallest allocations were to emerging markets debt and cash and cash equivalents.
PORTFOLIO COMPOSITION
AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
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Mortgage-Backed Securities | |
U.S. Treasury Obligations | |
Commercial Mortgage-Backed Securities | |
Collateralized Mortgage Obligations | |
Others (each less than 1.0%) | |
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*
The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $46.22 as of February 28, 2023.
**
Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of February 28, 2023, the closing price was $46.30.
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Exchange-Traded Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF February 28, 2023 (Unaudited)
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JPMorgan Core Plus Bond ETF | | | |
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LIFE OF FUND PERFORMANCE (1/28/19 TO 2/28/23)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-844-457-6383.
Fund commenced operations on January 28, 2019.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Core Plus Bond ETF and the Bloomberg U.S. Aggregate Index from January 28, 2019 to February 28, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg U.S. Aggregate Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Bloomberg U.S. Aggregate Index is an
unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Investors cannot invest directly in an index.
Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Exchange-Traded Funds | |
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
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Bloomberg U.S. Aggregate Index | |
Net Assets as of 2/28/2023 | |
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INVESTMENT OBJECTIVE***
The JPMorgan Income ETF (the “Fund”) seeks to provide income with a secondary objective of capital appreciation.
INVESTMENT APPROACH
The Fund invests opportunistically in a wide variety of debt securities that have high potential to produce income and have low correlations to each other in order to manage risk. The Fund utilizes a flexible approach, shifting its allocations based on changing market conditions and seeks to manage distributions to reduce fluctuations in monthly dividends.
HOW DID THE FUND PERFORM?
For the twelve months ended February 28, 2023, the Fund outperformed the Bloomberg U.S. Aggregate Index (the “Index”).
Relative to the Index, the Fund’s shorter overall duration was a leading contributor to relative performance as interest rates rose during the period. Generally, bonds with shorter duration will experience a smaller price decline when interest rates rise relative to longer duration bonds. The Fund’s out-of-Index allocation to non-agency mortgage-backed securities and its underweight position in investment grade corporate bonds also contributed to relative performance.
The Fund’s out-of-Index allocation to emerging markets debt and overweight allocation to commercial mortgage-backed securities were the leading detractors from relative performance.
HOW WAS THE FUND POSITIONED?
During the period, the Fund invested opportunistically among multiple debt markets and sectors that the adviser believed had a high potential to produce income. The Fund’s adviser sought
to manage risk through exposure to debt markets that it believed to have low correlations to each other. During the period, the Fund’s adviser increased its allocations to asset-backed securities and investment grade corporate bonds. The adviser decreased the Fund’s exposure to emerging markets debt and high yield bonds (also known as “junk bonds”). The Fund's duration increased to 4.11 years at February 28, 2023 from 2.31 years at February 28, 2022.
PORTFOLIO COMPOSITION
AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
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Commercial Mortgage-Backed Securities | |
Mortgage-Backed Securities | |
Collateralized Mortgage Obligations | |
Foreign Government Securities | |
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*
The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $44.90 as of February 28, 2023.
**
Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of February 28, 2023, the closing price was $45.25.
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Exchange-Traded Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF February 28, 2023 (Unaudited)
LIFE OF FUND PERFORMANCE (10/28/21 TO 2/28/23)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-844-457-6383.
Fund commenced operations on October 28, 2021.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Income ETF and the Bloomberg U.S. Aggregate Index from October 28, 2021 to February 28, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg U.S. Aggregate Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of
all dividends and capital gain distributions of the securities included in the Index, if applicable. The Bloomberg U.S. Aggregate Index is an unmanaged index that represents securities that are taxable and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Investors cannot invest directly in an index.
Fund performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares. The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
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Bloomberg Multiverse ex-USA (USD Hedged) Index | |
Net Assets as of 2/28/2023 | |
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INVESTMENT OBJECTIVE***
The JPMorgan International Bond Opportunities ETF (the “Fund”) seeks to provide total return.
INVESTMENT APPROACH
The Fund invests across sectors in developed and emerging markets and is without benchmark constraints. The Fund is flexible and opportunistic and the Fund’s adviser has broad discretion to shift the Fund’s exposure to strategies, sectors, countries or currencies based on changing market conditions and its view of the best mix of investment opportunities.
HOW DID THE FUND PERFORM?
For the twelve months ended February 28, 2023, the Fund posted a negative return of -1.81%. The Fund is managed with an unconstrained orientation and is not managed relative to a benchmark index. The Fund’s return is compared with the Bloomberg Multiverse ex-USA (USD Hedged) Index, which returned -6.70% for the period.
Relative to the Bloomberg Multiverse ex-USA (USD Hedged) Index, the Fund’s shorter overall duration was the leading contributor to performance as interest rates rose during the period. Generally, bonds with shorter duration will experience a smaller price decrease when interest rates rise, compared with bonds with longer duration.
In terms of absolute performance, the Fund’s allocations to corporate credit and emerging markets debt were leading detractors from absolute performance as bond yields rose. The Fund’s allocations to securitized credit and the net short duration positioning in global government interest rates contributed to absolute performance.
HOW WAS THE FUND POSITIONED?
During the period, the Fund’s portfolio managers decreased the Fund’s net exposure to high yield corporate bonds (also known as “junk bonds”) to 22% from 30% and decreased net exposure to emerging markets debt to 17% from 22%. The portfolio managers increased the Fund’s exposure to investment grade credit to 37% from 18% and made no changes to its exposure to securitized credit. The portfolio managers increased the
Fund’s overall duration, mainly by reducing short positions in government interest rates, to 3.49 years at February 28, 2023, from 2.63 years at February 28, 2022.
PORTFOLIO COMPOSITION
AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
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Foreign Government Securities | |
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Commercial Mortgage-Backed Securities | |
Collateralized Mortgage Obligations | |
Others (each less than 1.0%) | |
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PORTFOLIO COMPOSITION BY COUNTRY
AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
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Others (each less than 1.0%) | |
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| J.P. Morgan Exchange-Traded Funds | |
*
The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $46.64 as of February 28, 2023.
**
Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of February 28, 2023, the closing price was $46.84.
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF February 28, 2023 (Unaudited)
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JPMorgan International Bond Opportunities ETF | | | | |
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LIFE OF FUND PERFORMANCE (4/5/17 TO 2/28/23)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-844-457-6383.
Fund commenced operations on April 5, 2017.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan International Bond Opportunities ETF and the Bloomberg Multiverse ex-USA (USD Hedged) Index from April 5, 2017 to February 28, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg Multiverse ex-USA (USD Hedged) Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the respective Index, if applicable.
The Bloomberg Multiverse ex-USA (USD Hedged) Index is a measure of the global fixed income bond market that combines the Barclays Global Aggregate Index, which measures investment-grade debt from 24 different local currency markets, and the Barclays Global High Yield Index, which measures the global high yield fixed income markets. It excludes U.S. securities and is hedged to the U.S. dollar. Investors cannot invest directly in an index.
Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Exchange-Traded Funds | |
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
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Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index | |
Net Assets as of 2/28/2023 | |
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INVESTMENT OBJECTIVE***
The JPMorgan Municipal ETF (the “Fund”) seeks to provide monthly dividends, which are excluded from gross income, and to protect the value of your investment by investing primarily in municipal obligations. For purposes of the Fund’s investment objective, “gross income” means gross income for federal income tax purposes.
INVESTMENT APPROACH
The Fund invests primarily in a portfolio of municipal securities, the income from which is exempt from federal income tax. The Fund seeks to maintain an average dollar weighted maturity between three and twelve years.
HOW DID THE FUND PERFORM?
For the twelve months ended February 28, 2023, the Fund underperformed the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index (the “Index”).
Relative to the Index, the Fund’s longer overall duration was a leading detractor from performance as interest rates rose during the period. Generally, bonds with longer duration will experience a greater decrease in price compared with shorter duration bonds when interest rates rise. The Fund’s overweight positions in bonds rated BBB and in the housing sector, and its underweight position in pre-refunded bonds also detracted from relative performance.
The Fund’s underweight position in local general obligation bonds and in the transportation sector were leading
contributors to performance relative to the Index. The Fund’s underweight positions in Texas and New Jersey bonds also contributed to relative performance.
HOW WAS THE FUND POSITIONED?
At the end of the period, the Fund was overweight in bonds rated single-A and BBB. The Fund’s duration was 5.7 years compared with 4.6 years for the Index.
PORTFOLIO COMPOSITION
AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
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*
The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $49.77 as of February 28, 2023.
**
Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of February 28, 2023, the closing price was $49.81.
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Exchange-Traded Funds | |
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF February 28, 2023 (Unaudited)
LIFE OF FUND PERFORMANCE (10/29/18 TO 2/28/23)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-844-457-6383.
Fund commenced operations on October 29, 2018.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Municipal ETF and the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index from October 29, 2018 to February 28, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index does not reflect the deduction of expenses associated with an exchange-traded
fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index represents the performance of municipal bonds with maturities from 1 to 17 years.
Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
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Bloomberg 1-5 Year Government/Credit Index | |
Net Assets as of 2/28/2023 | |
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INVESTMENT OBJECTIVE***
The JPMorgan Short Duration Core Plus ETF (the “Fund”) seeks total return, consistent with preservation of capital.
INVESTMENT APPROACH
The Fund invests primarily in traditional fixed income sectors, with the flexibility to invest up to 30% of its net assets in below investment grade securities (also known as high yield or “junk bonds”) and up to 25% of its net assets in foreign securities. The Fund’s adviser seeks to maintain a duration of three years or less. Duration is a measure of the price sensitivity of a debt security or a portfolio of debt securities to relative changes in interest rates. The adviser uses both a top down and bottom up research process as well as a combination of fundamental and quantitative inputs to allocate the Fund’s assets among a range of sectors. In buying and selling investments for the Fund, the adviser looks for market sectors and individual securities that it believes will perform well over time. The adviser selects individual securities after performing a risk/reward analysis to address the Fund’s dual objective of seeking total return and preservation of capital. Such analysis includes an evaluation of interest rate risk, credit risk, duration, liquidity, currency risk, legal provisions and the structure of the transaction.
HOW DID THE FUND PERFORM?
For the twelve months ended February 28, 2023, the Fund outperformed the Bloomberg 1-5 Year Government/Credit Index (the “Index”).
Relative to the Index, the Fund’s shorter overall duration was the leading contributor to performance. Generally, bonds with shorter duration will experience a smaller decrease in price compared with longer duration bonds when interest rates rise. The Fund’s allocation to corporate bonds also contributed to relative performance, while the Fund’s allocation to commercial mortgage-backed securities and emerging markets debt were detractors from relative performance.
HOW WAS THE FUND POSITIONED?
The Fund’s adviser focused on security selection and relative value, which seeks to take advantage of pricing discrepancies
among individual securities or market sectors. The adviser used bottom-up research to construct, in its view, a portfolio of undervalued fixed income securities. The adviser employs a macro-economic analysis to determine asset allocation and positioning on the yield curve. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.
Relative to the Index during the period, the Fund had an underweight position in U.S. Treasury bonds and out-of-Index allocations to mortgage-backed securities, asset-backed securities, high yield bonds (also known as junk bonds) and emerging markets debt. The Fund’s portfolio managers increased the Fund’s duration to 2.62 years at February 28, 2023 from 2.28 years at February 28, 2022.
PORTFOLIO COMPOSITION
AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
U.S. Treasury Obligations | |
Mortgage-Backed Securities | |
Commercial Mortgage-Backed Securities | |
Collateralized Mortgage Obligations | |
Foreign Government Securities | |
Others (each less than 1.0%) | |
| |
*
The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $45.89 as of February 28, 2023.
**
Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of February 28, 2023, the closing price was $45.85.
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Exchange-Traded Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF February 28, 2023 (Unaudited)
| | | |
JPMorgan Short Duration Core Plus ETF | | | |
| | | |
| | | |
LIFE OF FUND PERFORMANCE (3/1/21 TO 2/28/23)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-844-457-6383.
Fund commenced operations on March 1, 2021.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Short Duration Core Plus ETF and the Bloomberg 1-5 Year Government/Credit Index from March 1, 2021 to February 28, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg 1-5 Year Government/Credit Index does not reflect the deduction of expenses associated with an exchange-traded fund and
has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Bloomberg 1-5 Year Government/Credit Index includes the Government and Credit portions of the Barclays Aggregate for securities of 1-5 year maturities. The Government portion includes treasuries and agencies. The Credit portion includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. Investors cannot invest directly in an index.
Fund performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
| |
| |
| |
ICE BofAML 3-Month US Treasury Bill Index | |
Net Assets as of 2/28/2023 | |
| |
| |
INVESTMENT OBJECTIVE***
The JPMorgan Ultra-Short Income ETF (the “Fund”) seeks to provide current income while seeking to maintain a low volatility of principal.
INVESTMENT APPROACH
The Fund primarily invests in investment grade, U.S. dollar-denominated short-term fixed, variable and floating-rate debt. The Fund seeks to maintain a duration of one year or less, although under certain market conditions, the Fund’s duration may be longer than one year. Duration measures the price sensitivity of a debt security or a portfolio of debt securities to relative changes in interest rates. The Fund’s adviser has broad discretion to shift the Fund’s exposure to strategies and sectors based on changing market conditions and its view of the best mix of investment opportunities.
HOW DID THE FUND PERFORM?
For the twelve months ended February 28, 2023, the Fund underperformed the ICE BofAML 3-Month US Treasury Bill Index (the “Index”).
Relative to the Index, the Fund’s allocation to investment grade corporate bonds, which are not held in the Index, was a leading detractor from performance as interest rates rose during the period and corporate bonds generally underperformed U.S. Treasury securities of similar duration. The Fund’s out-of-Index short duration positions in two-year U.S. Treasury futures and its allocations to money market securities, including corporate debt, certificates of deposit and JPMorgan money market funds, were leading contributors to relative performance. Generally, bonds of shorter duration will experience a smaller decline in price compared with longer duration bonds when interest rates rise.
HOW WAS THE FUND POSITIONED?
During the period, the Fund’s adviser maintained the portfolio with an average duration about 0.37 years amid rising interest
rates, and gradually extended out to 0.60 years in the last two months of the period. In descending order, the Fund’s largest allocations at the end of the period were to money market securities that included JPMorgan money market funds, as well as corporate bonds, collateralized loan obligations, U.S. Treasuries, asset-backed securities, mortgage-backed securities, agencies and non-corporate credit.
PORTFOLIO COMPOSITION BY SECTOR
AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
U.S. Treasury Obligations | |
| |
| |
| |
| |
| |
Others (each less than 1.0%) | |
| |
*
The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $50.28 as of February 28, 2023.
**
Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of February 28, 2023, the closing price was $50.30.
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Exchange-Traded Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF February 28, 2023 (Unaudited)
| | | | |
JPMorgan Ultra-Short Income ETF | | | | |
| | | | |
| | | | |
LIFE OF FUND PERFORMANCE (5/17/17 TO 2/28/23)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-844-457-6383.
Fund commenced operations on May 17, 2017.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Ultra-Short Income ETF and the ICE BofAML 3-Month US Treasury Bill Index from May 17, 2017 to February 28, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The ICE BofAML 3-Month US
Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. The index is rebalanced monthly and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond 3 months from the rebalancing date. Investors cannot invest directly in an index.
Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
| |
| |
| |
Bloomberg 1-Year Municipal Bond Index | |
Net Assets as of 2/28/2023 | |
| |
| |
INVESTMENT OBJECTIVE***
The JPMorgan Ultra-Short Municipal Income ETF (the “Fund”) seeks as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.
INVESTMENT APPROACH
The Fund primarily invests in investment grade fixed securities or the unrated equivalent, variable and floating rate municipal securities, the income from which is exempt from federal income tax. The Fund invests in a portfolio of municipal securities with an average weighted maturity of two years or less.
HOW DID THE FUND PERFORM?
For the twelve months ended February 28, 2023, the Fund outperformed the Bloomberg 1-Year Municipal Bond Index (the “Index”).
Relative to the Index, the Fund’s shorter overall duration was a leading contributor to performance as interest rates rose during the period. Generally, bonds of shorter duration will experience a smaller decline in price relative to longer duration bonds when interest rates rise. The Fund’s underweight allocations to bonds rated AA and its out-of-Index allocation to variable rate demand notes also contributed to relative performance.
The Fund’s underweight positions in state general obligation bonds and California bonds were leading detractors from relative performance.
HOW WAS THE FUND POSITIONED?
At the end of the period, the Fund’s duration was 0.6 years compared with 1.4 years for the Index.
PORTFOLIO COMPOSITION
AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
*
The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $50.61 as of February 28, 2023.
**
Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of February 28, 2023, the closing price was $50.58.
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Exchange-Traded Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF February 28, 2023 (Unaudited)
| | | |
JPMorgan Ultra-Short Municipal Income ETF | | | |
| | | |
| | | |
LIFE OF FUND PERFORMANCE (10/16/18 TO 2/28/23)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-844-457-6383.
Fund commenced operations on October 16, 2018.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Ultra-Short Municipal Income ETF and the Bloomberg 1-Year Municipal Bond Index from October 16, 2018 to February 28, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg 1-Year Municipal Bond Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Bloomberg 1-Year Municipal Bond Index is an unmanaged index that includes bonds with a
minimum credit rating of BAA3, are issued as part of a deal of at least $50 million, have an amount outstanding of at least $5 million, and have maturities of 1 to 2 years. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Fund reflects the deduction of the mutual fund expenses, including sales charges if applicable. An individual cannot invest directly in an index.
Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemption on gains resulting from or sale of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023
| | |
|
Aerospace & Defense — 0.4% |
| | |
| | |
| | |
| | |
| | |
| | |
Bombardier, Inc. (Canada) 6.00%, 2/15/2028 (a) | | |
BWX Technologies, Inc. 4.13%, 4/15/2029 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Precision Castparts Corp. 4.38%, 6/15/2045 | | |
Raytheon Technologies Corp. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
TransDigm, Inc. 6.25%, 3/15/2026 (a) | | |
| | |
| | |
| | |
| | |
Wesco Aircraft Holdings, Inc. 9.00%, 11/15/2026 (a) | | |
| | |
|
| | |
| | |
| | |
| | |
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | | |
Delta Air Lines, Inc. 7.38%, 1/15/2026 | | |
| | |
|
|
Mileage Plus Holdings LLC 6.50%, 6/20/2027 (a) | | |
United Airlines Holdings, Inc. | | |
| | |
| | |
| | |
|
Adient Global Holdings Ltd. 4.88%, 8/15/2026 (a) | | |
Allison Transmission, Inc. | | |
| | |
| | |
American Axle & Manufacturing, Inc. | | |
| | |
| | |
| | |
Aptiv plc 5.40%, 3/15/2049 | | |
Clarios Global LP 6.25%, 5/15/2026 (a) | | |
Cooper-Standard Automotive, Inc. | | |
4.50% (PIK), 3/31/2027 (a) (b) | | |
10.63% (PIK), 5/15/2027 (a) (b) | | |
| | |
| | |
| | |
Goodyear Tire & Rubber Co. (The) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Lear Corp. 2.60%, 1/15/2032 | | |
| | |
|
Ford Motor Co. 9.63%, 4/22/2030 | | |
General Motors Co. 5.95%, 4/1/2049 | | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
ABN AMRO Bank NV (Netherlands) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.90%), 3.32%, 3/13/2037 (a) (c) | | |
ASB Bank Ltd. (New Zealand) 2.38%, 10/22/2031 (a) | | |
Banco Bilbao Vizcaya Argentaria SA (Spain) 0.88%, 9/18/2023 | | |
Banco Santander SA (Spain) 2.75%, 5/28/2025 | | |
| | |
(SOFR + 0.41%), 0.52%, 6/14/2024 (c) | | |
| | |
(SOFR + 1.01%), 1.20%, 10/24/2026 (c) | | |
(ICE LIBOR USD 3 Month + 1.06%), 3.56%, 4/23/2027 (c) | | |
(ICE LIBOR USD 3 Month + 1.58%), 3.82%, 1/20/2028 (c) | | |
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (c) | | |
(ICE LIBOR USD 3 Month + 1.37%), 3.59%, 7/21/2028 (c) | | |
(SOFR + 2.04%), 4.95%, 7/22/2028 (c) | | |
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (c) | | |
(SOFR + 1.06%), 2.09%, 6/14/2029 (c) | | |
(SOFR + 1.53%), 1.90%, 7/23/2031 (c) | | |
(SOFR + 1.37%), 1.92%, 10/24/2031 (c) | | |
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (c) | | |
(SOFR + 1.32%), 2.69%, 4/22/2032 (c) | | |
(SOFR + 1.22%), 2.30%, 7/21/2032 (c) | | |
(SOFR + 1.21%), 2.57%, 10/20/2032 (c) | | |
(SOFR + 2.16%), 5.02%, 7/22/2033 (c) | | |
(ICE LIBOR USD 3 Month + 1.32%), 4.08%, 4/23/2040 (c) | | |
(SOFR + 1.93%), 2.68%, 6/19/2041 (c) | | |
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) (c) | | |
Bank of Montreal (Canada) 1.50%, 1/10/2025 | | |
Bank of New Zealand (New Zealand) 3.50%, 2/20/2024 (a) | | |
| | |
|
|
Bank of Nova Scotia (The) (Canada) | | |
(ICE LIBOR USD 3 Month + 2.65%), 7.45%, 4/12/2023 (c) (d) (e) (f) | | |
| | |
| | |
Banque Federative du Credit Mutuel SA (France) | | |
| | |
| | |
| | |
| | |
Barclays plc (United Kingdom) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.30%), 7.39%, 11/2/2028 (c) | | |
BNP Paribas SA (France) (SOFR + 1.61%), 1.90%, 9/30/2028 (a) (c) | | |
Canadian Imperial Bank of Commerce (Canada) 3.30%, 4/7/2025 | | |
| | |
Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025 (c) (e) (f) | | |
(SOFR + 1.37%), 4.14%, 5/24/2025 (c) | | |
(SOFR + 0.69%), 2.01%, 1/25/2026 (c) | | |
(SOFR + 1.55%), 5.61%, 9/29/2026 (c) | | |
(ICE LIBOR USD 3 Month + 1.56%), 3.89%, 1/10/2028 (c) | | |
Series VAR, (SOFR + 1.28%), 3.07%, 2/24/2028 (c) | | |
(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (c) | | |
(ICE LIBOR USD 3 Month + 1.19%), 4.07%, 4/23/2029 (c) | | |
(ICE LIBOR USD 3 Month + 1.34%), 3.98%, 3/20/2030 (c) | | |
(SOFR + 1.42%), 2.98%, 11/5/2030 (c) | | |
(SOFR + 3.91%), 4.41%, 3/31/2031 (c) | | |
(SOFR + 2.11%), 2.57%, 6/3/2031 (c) | | |
(SOFR + 1.17%), 2.56%, 5/1/2032 (c) | | |
(SOFR + 1.18%), 2.52%, 11/3/2032 (c) | | |
(SOFR + 1.38%), 2.90%, 11/3/2042 (c) | | |
Citizens Financial Group, Inc. 2.50%, 2/6/2030 | | |
Credit Agricole SA (France) | | |
(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
(SOFR + 0.89%), 1.25%, 1/26/2027 (a) (c) | | |
| | |
(USD Swap Semi 5 Year + 1.64%), 4.00%, 1/10/2033 (a) (c) | | |
Danske Bank A/S (Denmark) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.45%), 3.77%, 3/28/2025 (a) (c) | | |
(ICE LIBOR USD 3 Month + 1.59%), 3.24%, 12/20/2025 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (a) (c) | | |
Fifth Third Bancorp 3.65%, 1/25/2024 | | |
HSBC Holdings plc (United Kingdom) | | |
(SOFR + 3.03%), 7.34%, 11/3/2026 (c) | | |
(SOFR + 1.29%), 1.59%, 5/24/2027 (c) | | |
(ICE LIBOR USD 3 Month + 1.55%), 4.04%, 3/13/2028 (c) | | |
(SOFR + 2.61%), 5.21%, 8/11/2028 (c) | | |
(SOFR + 1.73%), 2.01%, 9/22/2028 (c) | | |
(SOFR + 1.29%), 2.21%, 8/17/2029 (c) | | |
(ICE LIBOR USD 3 Month + 1.61%), 3.97%, 5/22/2030 (c) | | |
(SOFR + 1.19%), 2.80%, 5/24/2032 (c) | | |
(SOFR + 1.41%), 2.87%, 11/22/2032 (c) | | |
(SOFR + 2.87%), 5.40%, 8/11/2033 (c) | | |
| | |
ING Groep NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.86%), 3.88%, 5/16/2027 (c) (d) (e) (f) | | |
Intesa Sanpaolo SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (a) (c) | | |
| | |
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.51%, 3/18/2026 (c) | | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 0.85%, 9/15/2024 (c) | | |
| | |
| | |
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.06%, 9/12/2025 (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.53%), 5.47%, 2/22/2031 (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.85%, 1/19/2033 (c) | | |
Mizuho Financial Group, Inc. (Japan) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 5.41%, 9/13/2028 (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.87%), 2.17%, 5/22/2032 (c) | | |
National Australia Bank Ltd. (Australia) 3.38%, 1/14/2026 | | |
NatWest Group plc (United Kingdom) | | |
(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%, 11/10/2026 (c) | | |
(ICE LIBOR USD 3 Month + 1.91%), 5.08%, 1/27/2030 (c) | | |
NatWest Markets plc (United Kingdom) 0.80%, 8/12/2024 (a) | | |
Nordea Bank Abp (Finland) 5.38%, 9/22/2027 (a) | | |
PNC Financial Services Group, Inc. (The) | | |
| | |
(SOFR + 0.98%), 2.31%, 4/23/2032 (c) | | |
(SOFR + 1.93%), 5.07%, 1/24/2034 (c) | | |
Royal Bank of Canada (Canada) | | |
| | |
| | |
Santander UK Group Holdings plc (United Kingdom) | | |
(SOFR + 0.99%), 1.67%, 6/14/2027 (c) | | |
(ICE LIBOR USD 3 Month + 1.40%), 3.82%, 11/3/2028 (c) | | |
(SOFR + 2.60%), 6.53%, 1/10/2029 (c) | | |
Societe Generale SA (France) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.80%, 1/19/2028 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 6.45%, 1/10/2029 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.95%), 6.69%, 1/10/2034 (a) (c) | | |
Standard Chartered plc (United Kingdom) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 0.99%, 1/12/2025 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.45%), 6.30%, 1/9/2029 (a) | | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | | |
| | |
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| | |
Sumitomo Mitsui Trust Bank Ltd. (Japan) | | |
| | |
| | |
Swedbank AB (Sweden) 5.34%, 9/20/2027 (a) | | |
Toronto-Dominion Bank (The) (Canada) | | |
| | |
| | |
| | |
Truist Bank 4.05%, 11/3/2025 | | |
Truist Financial Corp. (SOFR + 1.85%), 5.12%, 1/26/2034 (c) | | |
| | |
|
|
UniCredit SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (c) | | |
| | |
| | |
(SOFR + 2.11%), 4.97%, 7/22/2033 (c) | | |
| | |
| | |
(ICE LIBOR USD 3 Month + 0.75%), 2.16%, 2/11/2026 (c) | | |
(SOFR + 1.32%), 3.91%, 4/25/2026 (c) | | |
| | |
(SOFR + 1.51%), 3.53%, 3/24/2028 (c) | | |
(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (c) | | |
(SOFR + 1.98%), 4.81%, 7/25/2028 (c) | | |
(SOFR + 1.26%), 2.57%, 2/11/2031 (c) | | |
(SOFR + 1.50%), 3.35%, 3/2/2033 (c) | | |
(SOFR + 2.10%), 4.90%, 7/25/2033 (c) | | |
| | |
Westpac Banking Corp. (Australia) | | |
| | |
| | |
(USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (c) (d) | | |
| | |
|
Anheuser-Busch Cos. LLC (Belgium) | | |
| | |
| | |
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | | |
| | |
| | |
Coca-Cola Co. (The) 2.60%, 6/1/2050 | | |
Constellation Brands, Inc. | | |
| | |
| | |
Diageo Capital plc (United Kingdom) 3.88%, 4/29/2043 | | |
Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050 | | |
Keurig Dr Pepper, Inc. 3.40%, 11/15/2025 | | |
PepsiCo, Inc. 4.65%, 2/15/2053 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
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| | |
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| | |
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Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) | | |
| | |
| | |
| | |
Grifols Escrow Issuer SA (Spain) 4.75%, 10/15/2028 (a) | | |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | | |
| | |
|
Builders FirstSource, Inc. 4.25%, 2/1/2032 (a) | | |
Griffon Corp. 5.75%, 3/1/2028 | | |
James Hardie International Finance DAC 5.00%, 1/15/2028 (a) | | |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | | |
Masco Corp. 1.50%, 2/15/2028 | | |
PGT Innovations, Inc. 4.38%, 10/1/2029 (a) | | |
Standard Industries, Inc. | | |
| | |
| | |
| | |
Summit Materials LLC 5.25%, 1/15/2029 (a) | | |
| | |
|
Ameriprise Financial, Inc. 4.00%, 10/15/2023 | | |
Bank of New York Mellon Corp. (The) | | |
| | |
| | |
|
Capital Markets — continued |
(SOFR + 1.42%), 4.29%, 6/13/2033 (c) | | |
Charles Schwab Corp. (The) | | |
| | |
| | |
Coinbase Global, Inc. 3.63%, 10/1/2031 (a) | | |
Credit Suisse AG (Switzerland) | | |
| | |
| | |
Credit Suisse Group AG (Switzerland) | | |
(SOFR + 0.98%), 1.31%, 2/2/2027 (a) (c) | | |
(SOFR + 5.02%), 9.02%, 11/15/2033 (a) (c) | | |
Credit Suisse USA, Inc. (Switzerland) 7.13%, 7/15/2032 | | |
Deutsche Bank AG (Germany) (SOFR + 2.16%), 2.22%, 9/18/2024 (c) | | |
Goldman Sachs Group, Inc. (The) | | |
| | |
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025 (c) | | |
| | |
| | |
(SOFR + 0.80%), 1.43%, 3/9/2027 (c) | | |
(SOFR + 1.51%), 4.39%, 6/15/2027 (c) | | |
(SOFR + 1.11%), 2.64%, 2/24/2028 (c) | | |
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c) | | |
(SOFR + 1.28%), 2.62%, 4/22/2032 (c) | | |
(SOFR + 1.41%), 3.10%, 2/24/2033 (c) | | |
(SOFR + 1.51%), 3.21%, 4/22/2042 (c) | | |
(SOFR + 1.63%), 3.44%, 2/24/2043 (c) | | |
LPL Holdings, Inc. 4.00%, 3/15/2029 (a) | | |
Macquarie Group Ltd. (Australia) (ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (a) (c) | | |
| | |
(SOFR + 1.16%), 3.62%, 4/17/2025 (c) | | |
| | |
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| | |
(SOFR + 0.88%), 1.59%, 5/4/2027 (c) | | |
(SOFR + 1.00%), 2.48%, 1/21/2028 (c) | | |
(SOFR + 1.61%), 4.21%, 4/20/2028 (c) | | |
(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Capital Markets — continued |
(SOFR + 1.73%), 5.12%, 2/1/2029 (c) | | |
(ICE LIBOR USD 3 Month + 1.63%), 4.43%, 1/23/2030 (c) | | |
(SOFR + 1.14%), 2.70%, 1/22/2031 (c) | | |
(SOFR + 1.18%), 2.24%, 7/21/2032 (c) | | |
(SOFR + 1.20%), 2.51%, 10/20/2032 (c) | | |
(SOFR + 1.29%), 2.94%, 1/21/2033 (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (c) | | |
(SOFR + 1.49%), 3.22%, 4/22/2042 (c) | | |
MSCI, Inc. 4.00%, 11/15/2029 (a) | | |
Northern Trust Corp. 3.95%, 10/30/2025 | | |
Nuveen LLC 4.00%, 11/1/2028 (a) | | |
| | |
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| | |
State Street Corp. (SOFR + 1.72%), 5.82%, 11/4/2028 (c) | | |
UBS Group AG (Switzerland) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.49%, 8/10/2027 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.75%, 5/12/2028 (a) (c) | | |
(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.40%), 4.99%, 8/5/2033 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 3.18%, 2/11/2043 (a) (c) | | |
| | |
|
Avient Corp. 7.13%, 8/1/2030 (a) | | |
Axalta Coating Systems LLC 4.75%, 6/15/2027 (a) | | |
| | |
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|
|
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CVR Partners LP 6.13%, 6/15/2028 (a) | | |
| | |
| | |
| | |
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | | |
INEOS Quattro Finance 2 plc (United Kingdom) 3.38%, 1/15/2026 (a) | | |
International Flavors & Fragrances, Inc. | | |
| | |
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LYB International Finance III LLC 3.38%, 10/1/2040 | | |
NOVA Chemicals Corp. (Canada) 5.25%, 6/1/2027 (a) | | |
| | |
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| | |
Scotts Miracle-Gro Co. (The) 4.50%, 10/15/2029 | | |
Sherwin-Williams Co. (The) 4.50%, 6/1/2047 | | |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a) | | |
| | |
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| | |
Commercial Services & Supplies — 0.4% |
ACCO Brands Corp. 4.25%, 3/15/2029 (a) | | |
| | |
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| | |
Allied Universal Holdco LLC 4.63%, 6/1/2028 (a) | | |
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | | |
Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a) | | |
GFL Environmental, Inc. (Canada) | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Commercial Services & Supplies — continued |
| | |
Madison IAQ LLC 4.13%, 6/30/2028 (a) | | |
Prime Security Services Borrower LLC | | |
| | |
| | |
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Waste Management, Inc. 1.50%, 3/15/2031 | | |
| | |
Communications Equipment — 0.1% |
CommScope Technologies LLC 6.00%, 6/15/2025 (a) | | |
CommScope, Inc. 6.00%, 3/1/2026 (a) | | |
| | |
Construction & Engineering — 0.1% |
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | | |
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | | |
MasTec, Inc. 4.50%, 8/15/2028 (a) | | |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | | |
| | |
Construction Materials — 0.0% ^ |
Martin Marietta Materials, Inc. 2.40%, 7/15/2031 | | |
|
AerCap Ireland Capital DAC (Ireland) | | |
| | |
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Avolon Holdings Funding Ltd. (Ireland) | | |
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|
Consumer Finance — continued |
Capital One Financial Corp. (SOFR + 1.27%), 2.62%, 11/2/2032 (c) | | |
Ford Motor Credit Co. LLC | | |
| | |
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| | |
General Motors Financial Co., Inc. | | |
| | |
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John Deere Capital Corp. 4.75%, 1/20/2028 | | |
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Park Aerospace Holdings Ltd. (Ireland) | | |
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| | |
Containers & Packaging — 0.4% |
Ardagh Packaging Finance plc | | |
| | |
| | |
Ball Corp. 3.13%, 9/15/2031 | | |
Canpack SA (Poland) 3.88%, 11/15/2029 (a) | | |
Crown Americas LLC 4.25%, 9/30/2026 | | |
Graphic Packaging International LLC | | |
| | |
| | |
LABL, Inc. 6.75%, 7/15/2026 (a) | | |
Mauser Packaging Solutions Holding Co. 7.88%, 8/15/2026 (a) | | |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | | |
Packaging Corp. of America 3.05%, 10/1/2051 | | |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | | |
Sealed Air Corp. 4.00%, 12/1/2027 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Containers & Packaging — continued |
TriMas Corp. 4.13%, 4/15/2029 (a) | | |
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (h) | | |
WRKCo, Inc. 4.65%, 3/15/2026 | | |
| | |
Diversified Consumer Services — 0.0% ^ |
Service Corp. International 5.13%, 6/1/2029 | | |
University of Miami Series 2022, 4.06%, 4/1/2052 | | |
| | |
Diversified Financial Services — 0.1% |
EDP Finance BV (Portugal) 1.71%, 1/24/2028 (a) | | |
LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (a) | | |
Shell International Finance BV (Netherlands) | | |
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Diversified Telecommunication Services — 1.1% |
Altice France Holding SA (Luxembourg) 10.50%, 5/15/2027 (a) | | |
Altice France SA (France) 5.13%, 7/15/2029 (a) | | |
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Embarq Corp. 8.00%, 6/1/2036 | | |
ESC Co., Intelsat Jackson Holdings, Ltd. 8.50%, 10/15/2024 ‡ (a) (i) | | |
| | |
|
Diversified Telecommunication Services — continued |
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a) | | |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | | |
| | |
| | |
| | |
Series G, 6.88%, 1/15/2028 | | |
Sprint Capital Corp. 8.75%, 3/15/2032 | | |
Telecom Italia Capital SA (Italy) 6.00%, 9/30/2034 | | |
Telecom Italia SpA (Italy) 5.30%, 5/30/2024 (a) | | |
Verizon Communications, Inc. | | |
| | |
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| | |
Zayo Group Holdings, Inc. 4.00%, 3/1/2027 (a) | | |
| | |
Electric Utilities — 1.9% |
| | |
Series N, 2.75%, 8/15/2051 | | |
Series O, 4.50%, 6/15/2052 | | |
Alabama Power Co. 3.05%, 3/15/2032 | | |
American Electric Power Co., Inc. 2.03%, 3/15/2024 | | |
Baltimore Gas and Electric Co. | | |
| | |
| | |
Commonwealth Edison Co. 5.30%, 2/1/2053 | | |
Connecticut Light and Power Co. (The) 4.00%, 4/1/2048 | | |
| | |
Series A, 4.00%, 4/1/2043 | | |
| | |
Duke Energy Carolinas LLC 3.20%, 8/15/2049 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
| | |
Series YYY, 3.25%, 10/1/2049 | | |
| | |
Duquesne Light Holdings, Inc. 2.53%, 10/1/2030 (a) | | |
Edison International 6.95%, 11/15/2029 | | |
Emera US Finance LP (Canada) | | |
| | |
| | |
Enel Finance International NV (Italy) 2.25%, 7/12/2031 (a) | | |
| | |
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| | |
Entergy Mississippi LLC 3.50%, 6/1/2051 | | |
Entergy Texas Restoration Funding II LLC Series A-2, 3.70%, 12/15/2035 | | |
Entergy Texas, Inc. 1.75%, 3/15/2031 | | |
Eversource Energy 4.60%, 7/1/2027 | | |
Fells Point Funding Trust 3.05%, 1/31/2027 (a) | | |
FirstEnergy Transmission LLC 4.55%, 4/1/2049 (a) | | |
Florida Power & Light Co. | | |
| | |
| | |
| | |
Indiana Michigan Power Co. Series K, 4.55%, 3/15/2046 | | |
| | |
| | |
| | |
Kentucky Utilities Co. 5.13%, 11/1/2040 | | |
MidAmerican Energy Co. 3.65%, 4/15/2029 | | |
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (a) | | |
Monongahela Power Co. 4.10%, 4/15/2024 (a) | | |
NextEra Energy Capital Holdings, Inc. | | |
| | |
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|
Electric Utilities — continued |
Northern States Power Co. | | |
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Series P, 2.60%, 4/1/2030 | | |
Series R, 2.90%, 10/1/2051 | | |
Oklahoma Gas and Electric Co. 5.40%, 1/15/2033 | | |
Oncor Electric Delivery Co. LLC | | |
| | |
| | |
Pacific Gas and Electric Co. | | |
| | |
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PG&E Recovery Funding LLC Series A-3, 5.54%, 7/15/2047 (d) | | |
PG&E Wildfire Recovery Funding LLC | | |
Series A-2, 4.26%, 6/1/2036 | | |
Series A-4, 5.21%, 12/1/2047 | | |
Series A-5, 5.10%, 6/1/2052 | | |
PPL Electric Utilities Corp. 5.25%, 5/15/2053 | | |
Public Service Co. of Colorado Series 36, 2.70%, 1/15/2051 | | |
Public Service Co. of Oklahoma Series K, 3.15%, 8/15/2051 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
Public Service Electric and Gas Co. | | |
| | |
| | |
Southern California Edison Co. | | |
| | |
Series G, 2.50%, 6/1/2031 | | |
Series C, 3.60%, 2/1/2045 | | |
Series C, 4.13%, 3/1/2048 | | |
Series 20A, 2.95%, 2/1/2051 | | |
Southwestern Electric Power Co. | | |
Series N, 1.65%, 3/15/2026 | | |
| | |
Southwestern Public Service Co. | | |
| | |
| | |
Tucson Electric Power Co. | | |
| | |
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Vistra Operations Co. LLC | | |
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Wisconsin Public Service Corp. 4.75%, 11/1/2044 | | |
| | |
Electrical Equipment — 0.1% |
Eaton Corp. 4.00%, 11/2/2032 | | |
EnerSys 4.38%, 12/15/2027 (a) | | |
| | |
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| | |
Sensata Technologies BV 5.00%, 10/1/2025 (a) | | |
Vertiv Group Corp. 4.13%, 11/15/2028 (a) | | |
| | |
| | |
|
Electronic Equipment, Instruments & Components — 0.0% ^ |
Arrow Electronics, Inc. 2.95%, 2/15/2032 | | |
Coherent Corp. 5.00%, 12/15/2029 (a) | | |
Corning, Inc. 3.90%, 11/15/2049 | | |
Sensata Technologies, Inc. 4.38%, 2/15/2030 (a) | | |
| | |
Energy Equipment & Services — 0.1% |
Baker Hughes Holdings LLC 2.06%, 12/15/2026 | | |
Halliburton Co. 3.80%, 11/15/2025 | | |
Oceaneering International, Inc. 4.65%, 11/15/2024 | | |
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a) | | |
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (a) | | |
Transocean, Inc. 8.75%, 2/15/2030 (a) | | |
USA Compression Partners LP 6.88%, 4/1/2026 | | |
| | |
|
Activision Blizzard, Inc. | | |
| | |
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Live Nation Entertainment, Inc. | | |
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Take-Two Interactive Software, Inc. 3.70%, 4/14/2027 | | |
| | |
| | |
| | |
| | |
Warnermedia Holdings, Inc. | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Entertainment — continued |
| | |
WMG Acquisition Corp. 3.88%, 7/15/2030 (a) | | |
| | |
Equity Real Estate Investment Trusts (REITs) — 0.5% |
Alexandria Real Estate Equities, Inc. | | |
| | |
| | |
| | |
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| | |
AvalonBay Communities, Inc. 3.35%, 5/15/2027 | | |
Camden Property Trust 3.15%, 7/1/2029 | | |
Corporate Office Properties LP 2.25%, 3/15/2026 | | |
Crown Castle, Inc. 2.90%, 3/15/2027 | | |
Equinix, Inc. 3.90%, 4/15/2032 | | |
ERP Operating LP 3.25%, 8/1/2027 | | |
Essex Portfolio LP 2.65%, 3/15/2032 | | |
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a) | | |
Healthpeak Properties Interim, Inc. | | |
| | |
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| | |
Life Storage LP 2.20%, 10/15/2030 | | |
Mid-America Apartments LP 4.20%, 6/15/2028 | | |
National Retail Properties, Inc. 3.60%, 12/15/2026 | | |
Office Properties Income Trust | | |
| | |
| | |
Prologis LP 1.75%, 7/1/2030 | | |
Public Storage 2.25%, 11/9/2031 | | |
| | |
| | |
| | |
Regency Centers LP 3.70%, 6/15/2030 | | |
RHP Hotel Properties LP 4.75%, 10/15/2027 | | |
Sabra Health Care LP 3.20%, 12/1/2031 | | |
| | |
|
Equity Real Estate Investment Trusts (REITs) — continued |
SBA Communications Corp. 3.13%, 2/1/2029 | | |
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (a) | | |
Simon Property Group LP 3.25%, 9/13/2049 | | |
UDR, Inc. 2.10%, 8/1/2032 | | |
| | |
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| | |
WP Carey, Inc. 2.25%, 4/1/2033 | | |
| | |
Food & Staples Retailing — 0.2% |
| | |
| | |
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| | |
Alimentation Couche-Tard, Inc. (Canada) | | |
| | |
| | |
Performance Food Group, Inc. 5.50%, 10/15/2027 (a) | | |
Rite Aid Corp. 8.00%, 11/15/2026 (a) | | |
Sysco Corp. 2.40%, 2/15/2030 | | |
| | |
|
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | | |
Campbell Soup Co. 4.15%, 3/15/2028 | | |
Cargill, Inc. 4.38%, 4/22/2052 (a) | | |
Darling Ingredients, Inc. | | |
| | |
| | |
General Mills, Inc. 4.15%, 2/15/2043 | | |
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (a) | | |
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Food Products — continued |
| | |
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|
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Boston Gas Co. 3.00%, 8/1/2029 (a) | | |
CenterPoint Energy Resources Corp. 5.40%, 3/1/2033 | | |
Piedmont Natural Gas Co., Inc. 5.05%, 5/15/2052 | | |
Southern California Gas Co. Series XX, 2.55%, 2/1/2030 | | |
Southwest Gas Corp. 4.05%, 3/15/2032 | | |
Superior Plus LP (Canada) 4.50%, 3/15/2029 (a) | | |
| | |
Health Care Equipment & Supplies — 0.1% |
Abbott Laboratories 4.75%, 11/30/2036 | | |
Avantor Funding, Inc. 4.63%, 7/15/2028 (a) | | |
Becton Dickinson and Co. 3.70%, 6/6/2027 | | |
DH Europe Finance II SARL 3.25%, 11/15/2039 | | |
Hologic, Inc. 3.25%, 2/15/2029 (a) | | |
| | |
| | |
| | |
Teleflex, Inc. 4.25%, 6/1/2028 (a) | | |
| | |
Health Care Providers & Services — 1.6% |
Acadia Healthcare Co., Inc. | | |
| | |
| | |
AdaptHealth LLC 4.63%, 8/1/2029 (a) | | |
| | |
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|
Health Care Providers & Services — continued |
Centene Corp. 4.63%, 12/15/2029 | | |
Cigna Group (The) 2.38%, 3/15/2031 | | |
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Community Health Systems, Inc. | | |
| | |
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DaVita, Inc. 4.63%, 6/1/2030 (a) | | |
| | |
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| | |
Envision Healthcare Corp. 8.75%, 10/15/2026 (a) | | |
Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041 | | |
| | |
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| | |
MultiCare Health System 2.80%, 8/15/2050 | | |
MyMichigan Health Series 2020, 3.41%, 6/1/2050 | | |
New York and Presbyterian Hospital (The) 2.61%, 8/1/2060 | | |
Northwell Healthcare, Inc. 4.26%, 11/1/2047 | | |
Owens & Minor, Inc. 4.50%, 3/31/2029 (a) | | |
Quest Diagnostics, Inc. 2.95%, 6/30/2030 | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Health Care Providers & Services — continued |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Health Care Technology — 0.0% ^ |
IQVIA, Inc. 5.00%, 5/15/2027 (a) | | |
Hotels, Restaurants & Leisure — 0.9% |
| | |
| | |
| | |
Boyd Gaming Corp. 4.75%, 12/1/2027 | | |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | | |
Caesars Entertainment, Inc. 6.25%, 7/1/2025 (a) | | |
| | |
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Hilton Domestic Operating Co., Inc. | | |
| | |
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| | |
International Game Technology plc 6.25%, 1/15/2027 (a) | | |
Las Vegas Sands Corp. 2.90%, 6/25/2025 | | |
Marriott Ownership Resorts, Inc. 4.50%, 6/15/2029 (a) | | |
MGM Resorts International | | |
| | |
| | |
Royal Caribbean Cruises Ltd. | | |
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|
Hotels, Restaurants & Leisure — continued |
| | |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | | |
Starbucks Corp. 3.35%, 3/12/2050 | | |
Station Casinos LLC 4.50%, 2/15/2028 (a) | | |
Travel + Leisure Co. 5.65%, 4/1/2024 (h) | | |
Vail Resorts, Inc. 6.25%, 5/15/2025 (a) | | |
| | |
| | |
| | |
Wynn Macau Ltd. (Macau) 5.63%, 8/26/2028 (a) | | |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a) | | |
Yum! Brands, Inc. 4.63%, 1/31/2032 | | |
| | |
Household Durables — 0.1% |
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | | |
Lennar Corp. 4.50%, 4/30/2024 | | |
| | |
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| | |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | | |
| | |
Household Products — 0.2% |
| | |
| | |
| | |
Colgate-Palmolive Co. 3.70%, 8/1/2047 | | |
| | |
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| | |
Kimberly-Clark Corp. 3.20%, 4/25/2029 | | |
| | |
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| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Independent Power and Renewable Electricity Producers — 0.1% |
| | |
| | |
| | |
Constellation Energy Generation LLC | | |
| | |
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|
AIA Group Ltd. (Hong Kong) 3.20%, 3/11/2025 (a) | | |
Alleghany Corp. 3.25%, 8/15/2051 | | |
Aon Corp. 5.35%, 2/28/2033 | | |
| | |
| | |
| | |
Berkshire Hathaway Finance Corp. | | |
| | |
| | |
| | |
Equitable Financial Life Global Funding 1.70%, 11/12/2026 (a) | | |
F&G Global Funding 1.75%, 6/30/2026 (a) | | |
Great-West Lifeco Finance 2018 LP (Canada) 4.58%, 5/17/2048 (a) | | |
Manulife Financial Corp. (Canada) 4.15%, 3/4/2026 | | |
| | |
| | |
| | |
New York Life Global Funding 3.00%, 1/10/2028 (a) | | |
New York Life Insurance Co. 4.45%, 5/15/2069 (a) | | |
Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (a) (c) | | |
Principal Financial Group, Inc. 3.70%, 5/15/2029 | | |
| | |
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|
|
Prudential Financial, Inc. | | |
| | |
| | |
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (a) | | |
Travelers Cos., Inc. (The) 5.35%, 11/1/2040 | | |
W R Berkley Corp. 3.55%, 3/30/2052 | | |
| | |
Interactive Media & Services — 0.1% |
Alphabet, Inc. 2.05%, 8/15/2050 | | |
Meta Platforms, Inc. 3.85%, 8/15/2032 | | |
TripAdvisor, Inc. 7.00%, 7/15/2025 (a) | | |
| | |
Internet & Direct Marketing Retail — 0.2% |
| | |
| | |
| | |
| | |
| | |
| | |
Go Daddy Operating Co. LLC 5.25%, 12/1/2027 (a) | | |
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a) | | |
| | |
|
Arches Buyer, Inc. 4.25%, 6/1/2028 (a) | | |
Black Knight InfoServ LLC 3.63%, 9/1/2028 (a) | | |
Block, Inc. 3.50%, 6/1/2031 | | |
Fidelity National Information Services, Inc. 2.25%, 3/1/2031 | | |
Fiserv, Inc. 3.20%, 7/1/2026 | | |
Gartner, Inc. 3.75%, 10/1/2030 (a) | | |
| | |
| | |
| | |
| | |
Presidio Holdings, Inc. 4.88%, 2/1/2027 (a) | | |
Visa, Inc. 2.70%, 4/15/2040 | | |
| | |
Leisure Products — 0.0% ^ |
Hasbro, Inc. 3.90%, 11/19/2029 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Leisure Products — continued |
| | |
| | |
| | |
| | |
Life Sciences Tools & Services — 0.1% |
Charles River Laboratories International, Inc. 3.75%, 3/15/2029 (a) | | |
Syneos Health, Inc. 3.63%, 1/15/2029 (a) | | |
Thermo Fisher Scientific, Inc. | | |
| | |
| | |
| | |
|
Amsted Industries, Inc. 5.63%, 7/1/2027 (a) | | |
| | |
| | |
| | |
Chart Industries, Inc. 7.50%, 1/1/2030 (a) | | |
Deere & Co. 3.90%, 6/9/2042 | | |
Hillenbrand, Inc. 3.75%, 3/1/2031 | | |
Illinois Tool Works, Inc. 3.90%, 9/1/2042 | | |
Otis Worldwide Corp. 2.06%, 4/5/2025 | | |
| | |
| | |
| | |
Stanley Black & Decker, Inc. 2.75%, 11/15/2050 | | |
Terex Corp. 5.00%, 5/15/2029 (a) | | |
TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027 (a) | | |
Xylem, Inc. 1.95%, 1/30/2028 | | |
| | |
|
Charter Communications Operating LLC | | |
| | |
| | |
| | |
| | |
| | |
| | |
Clear Channel Outdoor Holdings, Inc. 5.13%, 8/15/2027 (a) | | |
| | |
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|
|
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| | |
Directv Financing LLC 5.88%, 8/15/2027 (a) | | |
Discovery Communications LLC 4.00%, 9/15/2055 | | |
| | |
| | |
| | |
| | |
| | |
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | | |
Gray Escrow II, Inc. 5.38%, 11/15/2031 (a) | | |
Gray Television, Inc. 4.75%, 10/15/2030 (a) | | |
iHeartCommunications, Inc. | | |
| | |
| | |
| | |
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| | |
News Corp. 3.88%, 5/15/2029 (a) | | |
| | |
| | |
| | |
Outfront Media Capital LLC | | |
| | |
| | |
Paramount Global 4.95%, 1/15/2031 | | |
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a) | | |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Sinclair Television Group, Inc. 4.13%, 12/1/2030 (a) | | |
| | |
| | |
| | |
| | |
| | |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | | |
TEGNA, Inc. 5.00%, 9/15/2029 | | |
Univision Communications, Inc. | | |
| | |
| | |
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| | |
| | |
| | |
|
Alcoa Nederland Holding BV | | |
| | |
| | |
Arconic Corp. 6.13%, 2/15/2028 (a) | | |
ATI, Inc. 5.88%, 12/1/2027 | | |
BHP Billiton Finance USA Ltd. (Australia) 4.90%, 2/28/2033 | | |
Carpenter Technology Corp. 6.38%, 7/15/2028 | | |
| | |
| | |
| | |
FMG Resources August 2006 Pty. Ltd. (Australia) | | |
| | |
| | |
| | |
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| | |
| | |
| | |
Glencore Funding LLC (Australia) | | |
| | |
| | |
| | |
| | |
| | |
Kaiser Aluminum Corp. 4.63%, 3/1/2028 (a) | | |
| | |
|
Metals & Mining — continued |
Novelis Corp. 4.75%, 1/30/2030 (a) | | |
Nucor Corp. 2.98%, 12/15/2055 | | |
Rio Tinto Finance USA Ltd. (Australia) | | |
| | |
| | |
Rio Tinto Finance USA plc (Australia) 4.13%, 8/21/2042 | | |
Teck Resources Ltd. (Canada) 5.40%, 2/1/2043 | | |
United States Steel Corp. 6.88%, 3/1/2029 | | |
Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030 | | |
| | |
Mortgage Real Estate Investment Trusts (REITs) — 0.1% |
Great Ajax Operating Partnership LP Series QIB, 8.88%, 9/1/2027 (a) | | |
|
Macy's Retail Holdings LLC 5.88%, 4/1/2029 (a) | | |
Nordstrom, Inc. 4.38%, 4/1/2030 | | |
Target Corp. 4.80%, 1/15/2053 | | |
| | |
|
| | |
| | |
| | |
Berkshire Hathaway Energy Co. | | |
| | |
| | |
| | |
Consolidated Edison Co. of New York, Inc. | | |
Series E, 4.65%, 12/1/2048 | | |
Series A, 4.13%, 5/15/2049 | | |
Consumers Energy Co. 4.63%, 5/15/2033 | | |
PG&E Energy Recovery Funding LLC Series A-3, 2.82%, 7/15/2046 | | |
Puget Sound Energy, Inc. 5.76%, 7/15/2040 | | |
San Diego Gas & Electric Co. 2.95%, 8/15/2051 | | |
Southern Co. Gas Capital Corp. | | |
| | |
Series 21A, 3.15%, 9/30/2051 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — 2.5% |
Aker BP ASA (Norway) 3.10%, 7/15/2031 (a) | | |
Antero Midstream Partners LP | | |
| | |
| | |
| | |
| | |
| | |
| | |
Apache Corp. 4.38%, 10/15/2028 | | |
Baytex Energy Corp. (Canada) 8.75%, 4/1/2027 (a) | | |
Blue Racer Midstream LLC 6.63%, 7/15/2026 (a) | | |
BP Capital Markets America, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
BP Capital Markets plc (United Kingdom) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (c) (e) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (c) (e) (f) | | |
| | |
| | |
| | |
Cameron LNG LLC 3.70%, 1/15/2039 (a) | | |
Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025 | | |
Cheniere Energy Partners LP | | |
| | |
| | |
| | |
| | |
| | |
| | |
Chevron Corp. 2.00%, 5/11/2027 | | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | | |
CNX Resources Corp. 7.25%, 3/14/2027 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Coterra Energy, Inc. 3.90%, 5/15/2027 | | |
Crescent Energy Finance LLC 7.25%, 5/1/2026 (a) | | |
Crestwood Midstream Partners LP | | |
| | |
| | |
| | |
| | |
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| | |
| | |
EnLink Midstream Partners LP | | |
| | |
| | |
Enterprise Products Operating LLC | | |
| | |
| | |
| | |
EQM Midstream Partners LP | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Flex Intermediate Holdco LLC | | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
| | |
| | |
| | |
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | | |
Hess Midstream Operations LP | | |
| | |
| | |
Hilcorp Energy I LP 5.75%, 2/1/2029 (a) | | |
Holly Energy Partners LP 6.38%, 4/15/2027 (a) | | |
Kinder Morgan, Inc. 3.25%, 8/1/2050 | | |
Kinetik Holdings LP 5.88%, 6/15/2030 (a) | | |
MEG Energy Corp. (Canada) 5.88%, 2/1/2029 (a) | | |
| | |
| | |
| | |
| | |
NGL Energy Operating LLC 7.50%, 2/1/2026 (a) | | |
NGPL PipeCo LLC 3.25%, 7/15/2031 (a) | | |
| | |
| | |
| | |
Occidental Petroleum Corp. | | |
| | |
| | |
Pioneer Natural Resources Co. 1.13%, 1/15/2026 | | |
| | |
| | |
| | |
Sabine Pass Liquefaction LLC | | |
| | |
| | |
| | |
| | |
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| | |
| | |
Spectra Energy Partners LP 4.50%, 3/15/2045 | | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
Summit Midstream Holdings LLC 8.50%, 10/15/2026 (a) | | |
Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038 | | |
| | |
| | |
| | |
| | |
Tallgrass Energy Partners LP | | |
| | |
| | |
| | |
| | |
| | |
Targa Resources Corp. 5.20%, 7/1/2027 | | |
TotalEnergies Capital International SA (France) | | |
| | |
| | |
TransCanada PipeLines Ltd. (Canada) 5.10%, 3/15/2049 | | |
Valero Energy Corp. 2.15%, 9/15/2027 | | |
Venture Global Calcasieu Pass LLC 3.88%, 8/15/2029 (a) | | |
Vital Energy, Inc. 9.50%, 1/15/2025 | | |
Western Midstream Operating LP | | |
| | |
| | |
Williams Cos., Inc. (The) | | |
| | |
| | |
| | |
|
Edgewell Personal Care Co. | | |
| | |
| | |
Estee Lauder Cos., Inc. (The) 2.60%, 4/15/2030 | | |
Prestige Brands, Inc. 5.13%, 1/15/2028 (a) | | |
| | |
|
Astrazeneca Finance LLC (United Kingdom) 2.25%, 5/28/2031 | | |
Bausch Health Americas, Inc. | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Pharmaceuticals — continued |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Bayer US Finance II LLC (Germany) 3.38%, 7/15/2024 (a) | | |
| | |
| | |
| | |
| | |
Catalent Pharma Solutions, Inc. 3.13%, 2/15/2029 (a) | | |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (h) | | |
| | |
| | |
| | |
| | |
Jazz Securities DAC 4.38%, 1/15/2029 (a) | | |
Merck & Co., Inc. 2.75%, 12/10/2051 | | |
| | |
| | |
| | |
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (a) (h) | | |
| | |
| | |
| | |
Roche Holdings, Inc. 2.08%, 12/13/2031 (a) | | |
Royalty Pharma plc 1.20%, 9/2/2025 | | |
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | | |
Takeda Pharmaceutical Co. Ltd. (Japan) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Real Estate Management & Development — 0.0% ^ |
Kennedy-Wilson, Inc. 4.75%, 3/1/2029 | | |
Realogy Group LLC 5.75%, 1/15/2029 (a) | | |
| | |
|
Avis Budget Car Rental LLC | | |
| | |
| | |
| | |
Burlington Northern Santa Fe LLC | | |
| | |
| | |
Canadian Pacific Railway Co. (Canada) 3.10%, 12/2/2051 | | |
| | |
| | |
| | |
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | | |
Hertz Corp. (The) 4.63%, 12/1/2026 (a) | | |
Kansas City Southern 2.88%, 11/15/2029 | | |
Norfolk Southern Corp. 3.95%, 10/1/2042 | | |
Penske Truck Leasing Co. LP 1.20%, 11/15/2025 (a) | | |
Triton Container International Ltd. (Bermuda) 1.15%, 6/7/2024 (a) | | |
Uber Technologies, Inc. 7.50%, 5/15/2025 (a) | | |
Union Pacific Corp. 4.95%, 5/15/2053 | | |
XPO Escrow Sub LLC 7.50%, 11/15/2027 (a) | | |
| | |
Semiconductors & Semiconductor Equipment — 0.6% |
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | | |
ams-OSRAM AG (Austria) 7.00%, 7/31/2025 (a) | | |
| | |
| | |
| | |
Entegris Escrow Corp. 5.95%, 6/15/2030 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Semiconductors & Semiconductor Equipment — continued |
| | |
Marvell Technology, Inc. 2.95%, 4/15/2031 | | |
Microchip Technology, Inc. 0.97%, 2/15/2024 | | |
NVIDIA Corp. 2.00%, 6/15/2031 | | |
| | |
| | |
| | |
ON Semiconductor Corp. 3.88%, 9/1/2028 (a) | | |
| | |
| | |
| | |
TSMC Arizona Corp. (Taiwan) 2.50%, 10/25/2031 | | |
TSMC Global Ltd. (Taiwan) 1.00%, 9/28/2027 (a) | | |
Xilinx, Inc. 2.38%, 6/1/2030 | | |
| | |
|
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | | |
| | |
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| | |
Roper Technologies, Inc. 1.75%, 2/15/2031 | | |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | | |
VMware, Inc. 4.65%, 5/15/2027 | | |
Workday, Inc. 3.70%, 4/1/2029 | | |
| | |
| | |
|
|
Asbury Automotive Group, Inc. 4.50%, 3/1/2028 | | |
| | |
| | |
| | |
Gap, Inc. (The) 3.63%, 10/1/2029 (a) | | |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Lithia Motors, Inc. 3.88%, 6/1/2029 (a) | | |
| | |
| | |
| | |
| | |
O'Reilly Automotive, Inc. | | |
| | |
| | |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | | |
PetSmart, Inc. 4.75%, 2/15/2028 (a) | | |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | | |
SRS Distribution, Inc. 4.63%, 7/1/2028 (a) | | |
| | |
| | |
| | |
| | |
Technology Hardware, Storage & Peripherals — 0.3% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Technology Hardware, Storage & Peripherals — continued |
| | |
| | |
| | |
Textiles, Apparel & Luxury Goods — 0.0% ^ |
| | |
| | |
| | |
William Carter Co. (The) 5.63%, 3/15/2027 (a) | | |
| | |
Thrifts & Mortgage Finance — 0.3% |
| | |
| | |
| | |
(SOFR + 1.73%), 3.12%, 10/19/2032 (a) (c) | | |
Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (a) | | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
BAT Capital Corp. (United Kingdom) | | |
| | |
| | |
| | |
Imperial Brands Finance plc (United Kingdom) 6.13%, 7/27/2027 (a) | | |
Philip Morris International, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
Trading Companies & Distributors — 0.3% |
| | |
| | |
| | |
|
Trading Companies & Distributors — continued |
| | |
Aviation Capital Group LLC | | |
| | |
| | |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | | |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | | |
United Rentals North America, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
Transportation Infrastructure — 0.0% ^ |
Transurban Finance Co. Pty. Ltd. (Australia) 2.45%, 3/16/2031 (a) | | |
Wireless Telecommunication Services — 0.3% |
Hughes Satellite Systems Corp. | | |
| | |
| | |
Rogers Communications, Inc. (Canada) 4.55%, 3/15/2052 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Total Corporate Bonds
(Cost $251,178,800) | | |
Asset-Backed Securities — 16.5% |
ACC Trust Series 2022-1, Class C, 3.24%, 10/20/2025 (a) | | |
ACHV ABS TRUST Series 2023-1PL, Class C, 7.42%, 3/18/2030 (a) | | |
ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class B, 5.99%, 12/18/2037 (a) (j) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
Air Canada Pass-Through Trust (Canada) Series 2017-1, Class AA, 3.30%, 1/15/2030 (a) | | |
American Airlines Pass-Through Trust Series 2015-2, Class A, 4.00%, 9/22/2027 | | |
American Credit Acceptance Receivables Trust | | |
Series 2020-2, Class C, 3.88%, 4/13/2026 (a) | | |
Series 2022-2, Class E, 6.57%, 6/13/2028 (a) | | |
Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | | |
American Homes 4 Rent Trust | | |
Series 2014-SFR3, Class B, 4.20%, 12/17/2036 (a) | | |
Series 2015-SFR1, Class E, 5.64%, 4/17/2052 (a) | | |
Series 2015-SFR1, Class F, 5.89%, 4/17/2052 (a) | | |
Series 2015-SFR2, Class A, 3.73%, 10/17/2052 (a) | | |
| | |
Series 2020-SFR1, Class E, 3.22%, 4/17/2037 (a) | | |
Series 2020-SFR2, Class E2, 4.28%, 7/17/2037 (a) | | |
Series 2020-SFR3, Class E2, 2.76%, 9/17/2037 (a) | | |
Series 2020-SFR4, Class A, 1.36%, 11/17/2037 (a) | | |
Series 2020-SFR4, Class E2, 2.46%, 11/17/2037 (a) | | |
Series 2021-SFR3, Class C, 1.80%, 10/17/2038 (a) | | |
Series 2022-SFR1, Class F, 6.02%, 3/17/2039 (a) | | |
Series 2022-SFR3, Class E2, 4.00%, 10/17/2039 (a) | | |
Series 2023-SFR1, Class E2, 4.00%, 4/17/2040 (a) (g) | | |
Aqua Finance Trust Series 2019-A, Class B, 3.47%, 7/16/2040 (a) | | |
Avid Automobile Receivables Trust Series 2019-1, Class D, 4.03%, 7/15/2026 (a) | | |
British Airways Pass-Through Trust (United Kingdom) Series 2013-1, Class A, 4.63%, 6/20/2024 (a) | | |
| | |
|
Business Jet Securities LLC | | |
Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (a) | | |
Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (a) | | |
Series 2021-1A, Class B, 2.92%, 4/15/2036 ‡ (a) | | |
Series 2021-1A, Class C, 5.07%, 4/15/2036 ‡ (a) | | |
BXG Receivables Note Trust Series 2020-A, Class C, 4.22%, 2/28/2036 (a) | | |
CarNow Auto Receivables Trust Series 2021-1A, Class C, 2.16%, 2/17/2026 (a) | | |
Carvana Auto Receivables Trust Series 2019-4A, Class D, 3.07%, 7/15/2025 (a) | | |
Cascade MH Asset Trust Series 2019-MH1, Class B, 5.00%, 11/25/2044 ‡ (a) (j) | | |
Continental Finance Credit Card ABS Master Trust Series 2022-A, Class A, 6.19%, 10/15/2030 (a) | | |
CoreVest American Finance Trust | | |
Series 2019-1, Class E, 5.61%, 3/15/2052 (a) (j) | | |
Series 2019-2, Class E, 5.25%, 6/15/2052 (a) (j) | | |
Series 2019-3, Class E, 4.75%, 10/15/2052 (a) (j) | | |
CPS Auto Receivables Trust | | |
Series 2022-D, Class D, 8.73%, 1/16/2029 (a) | | |
Series 2023-A, Class D, 6.44%, 4/16/2029 (a) | | |
Series 2022-C, Class C, 5.28%, 4/15/2030 (a) | | |
Credit Acceptance Auto Loan Trust | | |
Series 2020-1A, Class C, 2.59%, 6/15/2029 (a) | | |
Series 2022-3A, Class D, 9.00%, 4/18/2033 (a) | | |
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (a) | | |
Delta Air Lines Pass-Through Trust Series 2019-1, Class AA, 3.20%, 4/25/2024 | | |
Diamond Resorts Owner Trust | | |
Series 2021-1A, Class A, 1.51%, 11/21/2033 (a) | | |
Series 2021-1A, Class D, 3.83%, 11/21/2033 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Asset-Backed Securities — continued |
Drive Auto Receivables Trust Series 2020-2, Class D, 3.05%, 5/15/2028 | | |
| | |
Series 2020-2A, Class D, 4.73%, 3/16/2026 (a) | | |
Series 2022-3A, Class C, 7.69%, 7/17/2028 (a) | | |
Series 2023-1A, Class D, 6.44%, 11/15/2028 (a) | | |
Elara HGV Timeshare Issuer LLC | | |
Series 2021-A, Class C, 2.09%, 8/27/2035 (a) | | |
Series 2021-A, Class D, 3.32%, 8/27/2035 (a) | | |
Exeter Automobile Receivables Trust | | |
Series 2020-2A, Class C, 3.28%, 5/15/2025 (a) | | |
Series 2020-2A, Class D, 4.73%, 4/15/2026 (a) | | |
Series 2022-3A, Class D, 6.76%, 9/15/2028 | | |
Series 2022-5A, Class D, 7.40%, 2/15/2029 | | |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | | |
Series 2022-4A, Class E, 8.23%, 3/15/2030 (a) | | |
| | |
Series 2021-1A, Class A, 1.27%, 3/15/2027 (a) | | |
Series 2022-2A, Class A, 6.14%, 12/15/2027 (a) | | |
| | |
Series 2022-SFR3, Class D, 3.50%, 7/17/2026 (a) | | |
Series 2020-SFR1, Class F1, 3.64%, 8/17/2037 (a) | | |
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (a) | | |
Series 2020-SFR2, Class F1, 3.02%, 10/19/2037 (a) | | |
Series 2020-SFR2, Class F2, 3.12%, 10/19/2037 (a) | | |
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (a) | | |
Series 2021-SFR1, Class F1, 3.24%, 8/17/2038 (a) | | |
Series 2021-SFR2, Class E1, 2.26%, 9/17/2038 (a) | | |
| | |
|
Series 2021-SFR2, Class E2, 2.36%, 9/17/2038 (a) | | |
Series 2022-SFR1, Class E2, 5.00%, 5/17/2039 (a) | | |
Series 2022-SFR2, Class E2, 4.50%, 7/17/2039 (a) | | |
Flagship Credit Auto Trust | | |
Series 2020-4, Class D, 2.18%, 2/16/2027 (a) | | |
Series 2021-4, Class C, 1.96%, 12/15/2027 (a) | | |
Series 2022-3, Class E, 7.95%, 10/15/2029 (a) | | |
| | |
Series 2021-GT1, Class B, 4.36%, 7/25/2026 (a) (j) | | |
Series 2022-GT1, Class B, 7.17%, 4/25/2027 (a) | | |
Series 2022-GT2, Class B, 10.07%, 7/25/2027 (a) | | |
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 | | |
| | |
Series 2020-1A, Class B, 4.62%, 7/16/2040 (a) | | |
Series 2020-1A, Class C, 5.75%, 7/16/2040 (a) | | |
Series 2021-1A, Class C, 2.99%, 5/15/2041 (a) | | |
| | |
Series 2021-2, Class C, 1.94%, 6/19/2028 (a) | | |
Series 2022-1FP, Class D, 3.35%, 3/19/2029 (a) | | |
Series 2022-3FP, Class C, 7.05%, 8/20/2029 (a) | | |
Series 2022-4FP, Class C, 8.59%, 12/18/2029 (a) | | |
FRTKL Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (a) | | |
GLS Auto Receivables Issuer Trust | | |
Series 2022-1A, Class D, 3.97%, 1/18/2028 (a) | | |
Series 2021-2A, Class E, 2.87%, 5/15/2028 (a) | | |
Series 2022-3A, Class E, 8.35%, 10/15/2029 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
HGI CRE CLO Ltd. (Cayman Islands) | | |
Series 2022-FL3, Class B, 7.01%, 4/20/2037 (a) (j) | | |
Series 2022-FL3, Class E, 8.71%, 4/20/2037 (a) (j) | | |
Hilton Grand Vacations Trust | | |
Series 2022-1D, Class D, 6.79%, 6/20/2034 (a) | | |
Series 2022-2A, Class D, 8.73%, 1/25/2037 (a) | | |
Series 2020-AA, Class C, 6.42%, 2/25/2039 (a) | | |
| | |
Series 2020-A, Class D, 5.50%, 10/9/2039 (a) | | |
Series 2020-A, Class E, 6.50%, 10/9/2039 (a) | | |
HINNT LLC Series 2022-A, Class D, 6.50%, 5/15/2041 (a) | | |
Home Partners of America Trust Series 2022-1, Class D, 4.73%, 4/17/2039 (a) | | |
Lendingpoint Asset Securitization Trust Series 2022-A, Class D, 4.54%, 6/15/2029 (a) | | |
| | |
Series 2019-2A, Class C, 3.72%, 4/20/2028 (a) | | |
Series 2019-2A, Class D, 5.24%, 4/20/2028 (a) | | |
Series 2021-1A, Class D, 5.05%, 11/20/2031 (a) | | |
Series 2021-2A, Class B, 2.37%, 4/20/2032 (a) | | |
LP LMS Asset Securitization Trust, 6.17%, 10/15/2028 ‡ | | |
Mariner Finance Issuance Trust | | |
Series 2019-AA, Class D, 5.44%, 7/20/2032 (a) | | |
Series 2020-AA, Class D, 5.75%, 8/21/2034 (a) | | |
Series 2021-AA, Class D, 3.83%, 3/20/2036 (a) | | |
Series 2022-AA, Class D, 9.10%, 10/20/2037 (a) | | |
Marlette Funding Trust Series 2023-1A, Class C, 7.20%, 4/15/2033 (a) | | |
Mercury Financial Credit Card Master Trust Series 2023-1A, Class A, 8.04%, 9/20/2027 (a) | | |
| | |
|
| | |
Series 2020-1A, Class C, 4.21%, 10/20/2037 (a) | | |
Series 2020-1A, Class D, 7.14%, 10/20/2037 (a) | | |
Series 2019-2A, Class B, 2.44%, 10/20/2038 (a) | | |
Series 2022-2A, Class C, 7.62%, 10/21/2041 (a) | | |
Series 2022-2A, Class D, 9.00%, 10/21/2041 (a) | | |
MVW Owner Trust Series 2019-1A, Class C, 3.33%, 11/20/2036 (a) | | |
New Residential Mortgage Loan Trust | | |
Series 2022-SFR1, Class D, 3.30%, 2/17/2039 (a) | | |
Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (a) | | |
NMEF Funding LLC Series 2021-A, Class C, 2.58%, 12/15/2027 (a) | | |
NRZ Excess Spread-Collateralized Notes | | |
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (a) | | |
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a) | | |
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a) | | |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a) | | |
NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (a) | | |
| | |
Series 2020-1A, Class C, 2.89%, 3/20/2026 (a) | | |
Series 2022-2A, Class C, 6.29%, 7/20/2028 (a) | | |
Series 2022-2A, Class D, 7.70%, 2/20/2030 (a) | | |
OneMain Direct Auto Receivables Trust Series 2019-1A, Class B, 3.95%, 11/14/2028 (a) | | |
| | |
Series 2021-A, Class A, 1.21%, 3/8/2028 (a) | | |
Series 2021-A, Class C, 3.44%, 3/8/2028 (a) | | |
| | |
Series 2022-2, Class C, 9.36%, 10/9/2029 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Asset-Backed Securities — continued |
Series 2022-3, Class C, 10.15%, 1/8/2030 (a) | | |
Series 2021-B, Class B, 1.96%, 5/8/2031 (a) | | |
Series 2021-B, Class C, 3.65%, 5/8/2031 (a) | | |
Series 2022-A, Class C, 7.40%, 6/9/2031 (a) | | |
Pagaya AI Debt Selection Trust Series 2021-1, Class B, 2.13%, 11/15/2027 (a) | | |
PFP Ltd. (Cayman Islands) | | |
Series 2021-7, Class C, 6.24%, 4/14/2038 (a) (j) | | |
Series 2021-7, Class D, 6.99%, 4/14/2038 (a) (j) | | |
Prestige Auto Receivables Trust | | |
Series 2018-1A, Class D, 4.14%, 10/15/2024 (a) | | |
Series 2022-1A, Class C, 7.09%, 8/15/2028 (a) | | |
| | |
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (h) | | |
Series 2021-RN3, Class A1, 1.84%, 9/25/2051 (a) (h) | | |
Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (a) (h) | | |
| | |
Series 2021-SFR3, Class E1, 2.54%, 5/17/2026 (a) | | |
Series 2021-SFR3, Class E2, 2.69%, 5/17/2026 (a) | | |
Progress Residential Trust | | |
Series 2022-SFR2, Class E2, 4.80%, 4/17/2027 (a) | | |
Series 2020-SFR3, Class E, 2.30%, 10/17/2027 (a) | | |
Series 2020-SFR3, Class G, 4.11%, 10/17/2027 (a) | | |
Series 2020-SFR1, Class C, 2.18%, 4/17/2037 (a) | | |
Series 2020-SFR1, Class E, 3.03%, 4/17/2037 (a) | | |
Series 2020-SFR1, Class F, 3.43%, 4/17/2037 (a) | | |
Series 2020-SFR2, Class D, 3.87%, 6/17/2037 (a) | | |
| | |
|
Series 2021-SFR2, Class E2, 2.65%, 4/19/2038 (a) | | |
Series 2021-SFR5, Class E1, 2.21%, 7/17/2038 (a) | | |
Series 2021-SFR5, Class E2, 2.36%, 7/17/2038 (a) | | |
Series 2022-SFR3, Class F, 6.60%, 4/17/2039 (a) | | |
Series 2022-SFR5, Class E2, 6.86%, 6/17/2039 (a) | | |
Series 2023-SFR1, Class E2, 6.60%, 3/17/2040 (a) | | |
Series 2021-SFR7, Class E1, 2.59%, 8/17/2040 (a) | | |
Series 2022-SFR1, Class E2, 3.99%, 2/17/2041 (a) | | |
ReadyCap Lending Small Business Loan Trust Series 2019-2, Class A, 7.25%, 12/27/2044 (a) (j) | | |
Regional Management Issuance Trust | | |
Series 2020-1, Class C, 3.80%, 10/15/2030 (a) | | |
Series 2021-1, Class D, 5.07%, 3/17/2031 (a) | | |
Series 2022-2B, Class B, 8.51%, 11/17/2032 (a) | | |
Santander Revolving Auto Loan Trust Series 2019-A, Class D, 3.45%, 1/26/2032 (a) | | |
SCF Equipment Leasing LLC Series 2022-2A, Class E, 6.50%, 6/20/2035 (a) | | |
Sierra Timeshare Receivables Funding LLC | | |
Series 2020-2A, Class D, 6.59%, 7/20/2037 (a) | | |
Series 2021-1A, Class D, 3.17%, 11/20/2037 (a) | | |
Series 2022-1A, Class D, 6.00%, 10/20/2038 (a) | | |
Series 2022-3A, Class D, 10.52%, 7/20/2039 (a) | | |
Series 2022-2A, Class D, 9.22%, 6/20/2040 (a) | | |
SpringCastle America Funding LLC Series 2020-AA, Class A, 1.97%, 9/25/2037 (a) | | |
Theorem Funding Trust Series 2022-2A, Class A, 6.06%, 12/15/2028 (a) | | |
Tricon American Homes Series 2020-SFR1, Class E, 3.54%, 7/17/2038 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
United Airlines Pass-Through Trust | | |
Series 2014-1, Class A, 4.00%, 4/11/2026 | | |
Series 2016-2, Class A, 3.10%, 10/7/2028 | | |
Series 2018-1, Class A, 3.70%, 3/1/2030 | | |
United Auto Credit Securitization Trust | | |
Series 2022-2, Class C, 5.81%, 5/10/2027 (a) | | |
Series 2022-2, Class E, 10.00%, 4/10/2029 (a) | | |
Upstart Securitization Trust Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | | |
Upstart Structured Pass-Through Trust Series 2022-4A, Class A, 7.01%, 11/15/2030 (a) | | |
US Airways Pass-Through Trust Series 2011-1, Class A, 7.13%, 10/22/2023 | | |
US Auto Funding Trust Series 2022-1A, Class D, 9.14%, 7/15/2027 (a) | | |
| | |
Series 2020-1A, Class B, 3.22%, 5/15/2024 (a) | | |
Series 2020-1A, Class D, 9.35%, 3/15/2027 (a) | | |
| | |
Series 2021-NPL1, Class A1, 2.29%, 12/26/2050 (a) (h) | | |
Series 2021-NPL5, Class A1, 1.87%, 8/25/2051 (a) (h) | | |
Veros Auto Receivables Trust Series 2021-1, Class B, 1.49%, 10/15/2026 (a) | | |
VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (a) (h) | | |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (a) (h) | | |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (h) | | |
| | |
Series 2020-1A, Class C, 6.21%, 3/20/2034 (a) | | |
Series 2022-1A, Class B, 2.29%, 8/20/2036 (a) | | |
Series 2022-1A, Class D, 3.84%, 8/20/2036 (a) | | |
Westlake Automobile Receivables Trust | | |
Series 2021-3A, Class D, 2.12%, 1/15/2027 (a) | | |
| | |
|
Series 2021-3A, Class E, 3.42%, 4/15/2027 (a) | | |
Series 2022-2A, Class D, 5.48%, 9/15/2027 (a) | | |
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | | |
Total Asset-Backed Securities
(Cost $130,468,739) | | |
Mortgage-Backed Securities — 16.1% |
FHLMC Gold Pools, 30 Year Pool # G60855, 4.50%, 12/1/2045 | | |
| | |
Pool # WN2203, 3.75%, 8/1/2032 | | |
Pool # N31271, 4.50%, 1/1/2036 | | |
| | |
Pool # QA5045, 4.00%, 11/1/2049 | | |
Pool # QB1397, 2.50%, 7/1/2050 | | |
Pool # SD1464, 3.00%, 5/1/2052 | | |
Pool # SD1303, 4.50%, 7/1/2052 | | |
Pool # SD1725, 4.00%, 10/1/2052 (g) | | |
Pool # QF3433, 5.00%, 11/1/2052 (g) | | |
FNMA UMBS, 20 Year Pool # MA3004, 4.00%, 5/1/2037 | | |
| | |
Pool # AL2374, 4.00%, 12/1/2041 | | |
Pool # AL4244, 4.00%, 7/1/2042 | | |
Pool # BM1164, 3.50%, 12/1/2045 | | |
Pool # MA3073, 4.50%, 7/1/2047 | | |
Pool # BK4769, 5.00%, 8/1/2048 | | |
Pool # BN5013, 5.00%, 1/1/2049 | | |
Pool # BO1073, 4.50%, 6/1/2049 | | |
Pool # BO3039, 3.00%, 7/1/2049 | | |
Pool # BN6475, 4.00%, 7/1/2049 | | |
Pool # BO2562, 4.00%, 7/1/2049 | | |
Pool # BO4519, 4.00%, 8/1/2049 | | |
Pool # BO2203, 3.50%, 9/1/2049 | | |
Pool # FS1186, 3.50%, 1/1/2050 | | |
Pool # CA5702, 2.50%, 5/1/2050 | | |
Pool # BU0070, 2.50%, 10/1/2051 | | |
Pool # FM9961, 3.00%, 12/1/2051 | | |
Pool # CB2637, 2.50%, 1/1/2052 | | |
Pool # BV0273, 3.00%, 1/1/2052 | | |
Pool # CB2670, 3.00%, 1/1/2052 | | |
Pool # BV3930, 3.00%, 2/1/2052 | | |
Pool # BV0295, 3.50%, 2/1/2052 | | |
Pool # FS1954, 3.00%, 3/1/2052 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Mortgage-Backed Securities — continued |
Pool # BW6017, 3.50%, 5/1/2052 | | |
Pool # FS3536, 4.50%, 8/1/2052 (g) | | |
Pool # FS2588, 4.50%, 8/1/2052 | | |
Pool # CB4830, 4.50%, 9/1/2052 | | |
Pool # FS3829, 4.50%, 9/1/2052 | | |
Pool # CB4837, 5.00%, 10/1/2052 | | |
Pool # BX0627, 5.00%, 11/1/2052 (g) | | |
Pool # CB5413, 4.00%, 12/1/2052 | | |
Pool # CB5428, 4.50%, 12/1/2052 | | |
| | |
Pool # AM8846, 2.68%, 5/1/2025 | | |
Pool # AM0414, 2.87%, 9/1/2027 | | |
Pool # AN7560, 2.90%, 12/1/2027 | | |
Pool # BL2367, 3.48%, 5/1/2029 | | |
Pool # BS1577, 1.82%, 2/1/2030 | | |
Pool # BS6827, 4.19%, 5/1/2030 | | |
Pool # BS4878, 2.44%, 6/1/2030 | | |
Pool # 387898, 3.71%, 8/1/2030 | | |
Pool # BS5171, 2.51%, 10/1/2030 | | |
Pool # BS5985, 3.99%, 11/1/2030 | | |
Pool # BL9645, 1.50%, 1/1/2031 | | |
Pool # BL9627, 1.56%, 1/1/2031 | | |
Pool # BS1731, 1.82%, 1/1/2031 | | |
Pool # BS1304, 1.54%, 3/1/2031 | | |
Pool # BS2422, 1.67%, 7/1/2031 | | |
Pool # BS2898, 1.56%, 9/1/2031 | | |
Pool # BS4116, 2.28%, 10/1/2031 | | |
Pool # BS3612, 1.93%, 11/1/2031 | | |
Pool # BS4563, 2.01%, 1/1/2032 | | |
Pool # BS3464, 2.03%, 1/1/2032 | | |
Pool # BM7037, 1.75%, 3/1/2032 (j) | | |
Pool # BS4654, 2.39%, 3/1/2032 | | |
Pool # BL6367, 1.82%, 4/1/2032 | | |
Pool # BS5130, 2.55%, 4/1/2032 | | |
Pool # BS6301, 3.67%, 8/1/2032 | | |
Pool # BS6385, 3.89%, 8/1/2032 | | |
Pool # BS6448, 3.93%, 8/1/2032 | | |
Pool # BS6502, 3.41%, 9/1/2032 | | |
Pool # BS6335, 3.75%, 9/1/2032 | | |
Pool # BS6339, 3.80%, 9/1/2032 | | |
Pool # BS6347, 4.03%, 9/1/2032 | | |
Pool # BS6759, 3.97%, 10/1/2032 | | |
Pool # BL8708, 1.40%, 11/1/2032 | | |
Pool # BS6995, 4.18%, 11/1/2032 | | |
Pool # BS6849, 4.23%, 11/1/2032 | | |
| | |
|
Pool # BS6815, 4.71%, 11/1/2032 | | |
Pool # BS6994, 4.85%, 11/1/2032 | | |
Pool # BS7203, 4.98%, 11/1/2032 | | |
Pool # BS7095, 4.80%, 12/1/2032 | | |
Pool # BS7663, 4.71%, 1/1/2033 | | |
Pool # BS7671, 4.76%, 2/1/2033 | | |
Pool # AN6000, 3.21%, 7/1/2033 | | |
Pool # AN9725, 3.76%, 7/1/2033 | | |
Pool # BS4197, 2.14%, 12/1/2033 | | |
Pool # BS6427, 3.75%, 9/1/2034 | | |
Pool # BL3772, 2.92%, 10/1/2034 | | |
Pool # BS5018, 2.88%, 10/1/2035 | | |
Pool # AN7345, 3.21%, 11/1/2037 | | |
Pool # MA1072, 3.50%, 5/1/2042 | | |
Pool # BF0230, 5.50%, 1/1/2058 | | |
Pool # BF0400, 4.00%, 8/1/2059 | | |
Pool # BF0497, 3.00%, 7/1/2060 | | |
Pool # BF0560, 2.50%, 9/1/2061 | | |
Pool # BF0562, 3.50%, 9/1/2061 | | |
Pool # BF0583, 4.00%, 12/1/2061 | | |
Pool # BF0586, 5.00%, 12/1/2061 | | |
Pool # BF0617, 2.50%, 3/1/2062 | | |
FNMA/FHLMC UMBS, Single Family, 30 Year | | |
TBA, 3.50%, 3/25/2053 (g) | | |
TBA, 4.00%, 3/25/2053 (g) | | |
TBA, 4.50%, 3/25/2053 (g) | | |
| | |
Pool # CO1928, 5.50%, 10/15/2052 | | |
Pool # CR2369, 6.00%, 1/15/2053 | | |
| | |
Pool # CJ7125, ARM, 6.29%, 10/20/2071 (j) | | |
Pool # CJ7141, ARM, 6.21%, 11/20/2071 (j) | | |
Pool # CE9384, ARM, 6.25%, 11/20/2071 (j) | | |
Pool # CE5557, ARM, 6.39%, 11/20/2071 (j) | | |
Pool # CK2792, ARM, 6.38%, 3/20/2072 (j) | | |
Pool # CO0363, ARM, 6.54%, 7/20/2072 (j) | | |
| | |
Pool # AJ9020, 4.50%, 10/20/2044 | | |
Pool # BB3525, 4.00%, 9/20/2047 | | |
Pool # BM2418, 4.00%, 8/20/2049 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Mortgage-Backed Securities — continued |
Pool # BN7049, 4.50%, 8/20/2049 | | |
Pool # BP7160, 4.50%, 9/20/2049 | | |
Pool # CC9803, 4.00%, 4/20/2051 | | |
Pool # MA7534, 2.50%, 8/20/2051 | | |
Pool # MA7705, 2.50%, 11/20/2051 | | |
Pool # CH7863, 3.50%, 12/20/2051 | | |
Pool # CI2080, 3.50%, 12/20/2051 | | |
Pool # CH0876, 3.00%, 1/20/2052 | | |
Pool # CH0877, 3.00%, 1/20/2052 | | |
Pool # CH0878, 3.00%, 1/20/2052 | | |
Pool # CJ3916, 3.00%, 1/20/2052 | | |
Pool # CK2608, 3.00%, 1/20/2052 | | |
Pool # CK4909, 3.00%, 1/20/2052 | | |
Pool # CK4916, 3.00%, 1/20/2052 | | |
Pool # CJ8184, 3.50%, 1/20/2052 | | |
Pool # CK4918, 3.50%, 1/20/2052 | | |
Pool # CK7137, 4.00%, 1/20/2052 | | |
Pool # CK2667, 3.00%, 2/20/2052 | | |
Pool # CK2672, 3.50%, 2/20/2052 | | |
Pool # CM2154, 3.00%, 3/20/2052 | | |
Pool # CM2278, 3.50%, 4/20/2052 | | |
Pool # CO4826, 5.00%, 6/20/2052 | | |
Pool # CO4847, 5.00%, 7/20/2052 | | |
Pool # MA8200, 4.00%, 8/20/2052 | | |
Pool # CO1924, 4.50%, 10/20/2052 | | |
Pool # CP8517, 4.50%, 10/20/2052 | | |
Pool # CO1925, 5.00%, 10/20/2052 | | |
Total Mortgage-Backed Securities
(Cost $128,472,348) | | |
U.S. Treasury Obligations — 15.3% |
| | |
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|
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| | |
| | |
| | |
| | |
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| | |
| | |
U.S. Treasury STRIPS Bonds | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Total U.S. Treasury Obligations
(Cost $129,550,804) | | |
Commercial Mortgage-Backed Securities — 5.4% |
| | |
Series 2014-FRR4, Class BK29, PO, 4/27/2023 ‡ (a) | | |
Series 2014-FRR5, Class AK37, 2.37%, 1/27/2047 (a) (j) | | |
BB-UBS Trust Series 2012-SHOW, Class E, 4.03%, 11/5/2036 (a) (j) | | |
BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
Cascade Funding Mortgage Trust | | |
Series 2021-FRR1, Class DK45, 0.00%, 2/28/2025 (a) | | |
Series 2021-FRR1, Class CK45, 1.39%, 2/28/2025 (a) (j) | | |
Series 2021-FRR1, Class BK45, 2.10%, 2/28/2025 (a) (j) | | |
Series 2021-FRR1, Class CK54, 0.00%, 2/28/2026 (a) | | |
Series 2021-FRR1, Class DKW1, 0.00%, 2/28/2026 (a) | | |
Series 2021-FRR1, Class BK98, 0.00%, 8/29/2029 (a) | | |
Series 2021-FRR1, Class BK99, 0.00%, 9/29/2029 (a) | | |
CSMC OA LLC Series 2014-USA, Class D, 4.37%, 9/15/2037 (a) | | |
FHLMC, Multi-Family Structured Credit Risk | | |
Series 2021-MN1, Class M1, 6.48%, 1/25/2051 (a) (j) | | |
Series 2021-MN1, Class M2, 8.23%, 1/25/2051 (a) (j) | | |
Series 2021-MN3, Class M1, 6.78%, 11/25/2051 (a) (j) | | |
Series 2022-MN4, Class M1, 8.73%, 5/25/2052 (a) (j) | | |
Series 2022-MN4, Class M2, 10.98%, 5/25/2052 (a) (j) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series KW06, Class A2, 3.80%, 6/25/2028 (j) | | |
Series K088, Class A2, 3.69%, 1/25/2029 | | |
Series K128, Class X3, IO, 2.78%, 4/25/2031 (j) | | |
Series K142, Class A2, 2.40%, 3/25/2032 | | |
Series K-151, Class A2, 3.80%, 10/25/2032 (j) | | |
Series K-153, Class A2, 3.82%, 12/25/2032 (j) | | |
Series K-1520, Class X1, IO, 0.47%, 2/25/2036 (j) | | |
Series K-1520, Class X3, IO, 3.09%, 4/25/2039 (j) | | |
Series K145, Class AM, 2.58%, 6/25/2055 | | |
Series Q014, Class X, IO, 2.79%, 10/25/2055 (j) | | |
| | |
|
| | |
Series 2017-M3, Class A2, 2.47%, 12/25/2026 (j) | | |
Series 2021-M11, Class A2, 1.46%, 3/25/2031 (j) | | |
Series 2022-M1G, Class A2, 1.53%, 9/25/2031 (j) | | |
Series 2022-M1, Class A1, 1.67%, 10/25/2031 (j) | | |
Series 2022-M3, Class A2, 1.71%, 11/25/2031 (j) | | |
Series 2022-M2S, Class A1, 3.75%, 5/25/2032 (j) | | |
Series 2022-M13, Class A2, 2.59%, 6/25/2032 (j) | | |
Series 2020-M53, Class A2, 1.68%, 11/25/2032 (j) | | |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | | |
Series 2021-M3, Class X1, IO, 1.94%, 11/25/2033 (j) | | |
| | |
Series 2018-KL3W, Class CW, 4.23%, 8/25/2025 (a) (j) | | |
Series 2018-KBX1, Class B, 3.58%, 1/25/2026 (a) (j) | | |
Series 2021-KHG3, Class BFX, 2.40%, 9/25/2028 (a) (j) | | |
Series 2015-K44, Class B, 3.72%, 1/25/2048 (a) (j) | | |
Series 2015-K45, Class B, 3.61%, 4/25/2048 (a) (j) | | |
Series 2015-K48, Class B, 3.65%, 8/25/2048 (a) (j) | | |
Series 2015-K50, Class B, 3.78%, 10/25/2048 (a) (j) | | |
Series 2015-K51, Class B, 3.95%, 10/25/2048 (a) (j) | | |
Series 2016-K52, Class B, 3.93%, 1/25/2049 (a) (j) | | |
Series 2016-K53, Class C, 4.02%, 3/25/2049 (a) (j) | | |
Series 2016-K57, Class B, 3.92%, 8/25/2049 (a) (j) | | |
Series 2017-K729, Class B, 3.67%, 11/25/2049 (a) (j) | | |
Series 2018-K80, Class B, 4.23%, 8/25/2050 (a) (j) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Commercial Mortgage-Backed Securities — continued |
Series 2019-K88, Class C, 4.38%, 2/25/2052 (a) (j) | | |
FRR Re-REMIC Trust Series 2018-C1, Class CK43, PO, 2/27/2048 (a) | | |
Hudson Yards Mortgage Trust Series 2019-30HY, Class A, 3.23%, 7/10/2039 (a) | | |
JPMCC Re-REMIC Trust Series 2015-FRR2, Class AK39, 2.74%, 8/27/2047 (a) (j) | | |
MHC Commercial Mortgage Trust Series 2021-MHC, Class F, 7.19%, 4/15/2038 (a) (j) | | |
Multi-Family Connecticut Avenue Securities Trust | | |
Series 2019-01, Class M10, 7.87%, 10/25/2049 (a) (j) | | |
Series 2020-01, Class M7, 6.57%, 3/25/2050 (a) (j) | | |
Series 2020-01, Class M10, 8.37%, 3/25/2050 (a) (j) | | |
Total Commercial Mortgage-Backed Securities
(Cost $43,451,340) | | |
Collateralized Mortgage Obligations — 3.8% |
Ajax Mortgage Loan Trust Series 2021-B, Class A, 2.24%, 6/25/2066 (a) (h) | | |
Anchor Mortgage Trust Series 2021-1, Class A2, 3.65%, 10/25/2026 (a) (h) | | |
Bayview Financing Trust Series 2021-2F, Class M2, 4.79%, 1/10/2032 ‡ (a) (j) | | |
| | |
Series 2021-MH1, Class A1, 1.75%, 2/25/2046 (a) | | |
Series 2022-MH1, Class M, 4.25%, 8/25/2054 ‡ (a) (h) | | |
| | |
Series 2021-JR1, Class A1, 2.46%, 9/27/2066 (a) (j) | | |
Series 2022-JR1, Class A1, 4.27%, 10/25/2066 ‡ (a) (h) | | |
| | |
Series 2708, Class ZD, 5.50%, 11/15/2033 | | |
Series 4302, Class PA, 4.00%, 12/15/2043 | | |
Series 4281, Class BC, 4.50%, 12/15/2043 (j) | | |
Series 5141, Class AH, 2.25%, 11/25/2047 | | |
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|
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Series 2003-7, Class FA, 5.37%, 2/25/2033 (j) | | |
Series 2013-108, Class GU, 3.00%, 10/25/2033 | | |
Series 2005-110, Class TY, 5.50%, 12/25/2035 | | |
Series 2007-89, Class F, 5.20%, 9/25/2037 (j) | | |
Series 2011-112, Class PB, 4.00%, 11/25/2041 | | |
| | |
Series 2012-61, Class FM, 4.99%, 5/16/2042 (j) | | |
Series 2010-H24, Class FA, 4.74%, 10/20/2060 (j) | | |
Series 2014-H03, Class FA, 4.99%, 1/20/2064 (j) | | |
Series 2015-H05, Class FC, 4.87%, 2/20/2065 (j) | | |
Series 2021-H14, Class CF, 5.83%, 9/20/2071 (j) | | |
| | |
Series 2021-2, Class M1A, 5.73%, 1/25/2034 (a) (j) | | |
Series 2022-1, Class M1C, 9.98%, 10/25/2034 (a) (j) | | |
| | |
Series 2021-RTL1, Class A1, 2.09%, 2/25/2026 (a) (j) | | |
Series 2023-RTL1, Class A1, 7.87%, 1/25/2028 ‡ (a) (h) | | |
PMT Credit Risk Transfer Trust Series 2021-1R, Class A, 7.42%, 2/27/2024 (a) (j) | | |
PRPM LLC Series 2021-2, Class A1, 2.12%, 3/25/2026 (a) (j) | | |
Radnor RE Ltd. (Bermuda) Series 2022-1, Class M1B, 11.23%, 9/25/2032 (a) (j) | | |
RCO VI Mortgage LLC Series 2022-1, Class A1, 3.00%, 1/25/2027 (a) (h) | | |
Seasoned Credit Risk Transfer Trust | | |
Series 2018-1, Class MA, 3.00%, 5/25/2057 | | |
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | | |
Series 2018-3, Class MA, 3.50%, 8/25/2057 (j) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Collateralized Mortgage Obligations — continued |
Series 2018-3, Class M55D, 4.00%, 8/25/2057 (j) | | |
Series 2018-2, Class MT, 3.50%, 11/25/2057 | | |
Series 2018-2, Class M55D, 4.00%, 11/25/2057 | | |
Series 2019-1, Class MA, 3.50%, 7/25/2058 | | |
Series 2019-2, Class MA, 3.50%, 8/25/2058 | | |
Series 2020-1, Class MA, 2.50%, 8/25/2059 | | |
Series 2020-3, Class M5TW, 3.00%, 5/25/2060 | | |
Series 2020-3, Class TTW, 3.00%, 5/25/2060 | | |
Series 2021-1, Class BXS, 12.61%, 9/25/2060 (a) (j) | | |
Series 2022-1, Class MTU, 3.25%, 11/25/2061 | | |
Thorne Glen, 4.43%, 9/1/2030 (g) | | |
Towd Point Mortgage Trust Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (a) | | |
VM Master Issuer LLC Series 2022-1, Class B, 6.88%, 5/24/2025 ‡ (a) (j) | | |
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (a) (h) | | |
Total Collateralized Mortgage Obligations
(Cost $30,017,794) | | |
U.S. Government Agency Securities — 0.2% |
Resolution Funding Corp. STRIPS
DN, 4.32%, 4/15/2030 (k) (Cost $1,613,417) | | |
| | |
|
Oil, Gas & Consumable Fuels — 0.0% ^ |
| | |
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| | |
Professional Services — 0.0% ^ |
| | |
Wireless Telecommunication Services — 0.0% ^ |
Intelsat SA (Luxembourg) ‡ * | | |
Total Common Stocks
(Cost $10,146) | | |
| | |
Municipal Bonds — 0.0% (l) ^ |
|
Ohio University, General Receipts, Federally Taxable Rev., 5.59%, 12/1/2114 (Cost $32,774) | | |
| | |
Preferred Stocks — 0.0% ^ |
Internet & Direct Marketing Retail — 0.0% ^ |
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡
(Cost $2,753) | | |
| | |
|
Diversified Telecommunication Services — 0.0% ^ |
Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD ‡ * | | |
|
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) ‡ * | | |
| | |
| | |
|
Diversified Telecommunication Services — 0.0% ^ |
Intelsat Jackson Holdings SA, expiring 12/5/2025 (Luxembourg) ‡ *
(Cost $1 ) | | |
| | |
Short-Term Investments — 14.6% |
Investment Companies — 14.6% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (m) (n)
(Cost $111,022,635) | | |
Total Investments — 102.9%
(Cost $825,821,552) | | |
Liabilities in Excess of Other Assets — (2.9)% | | |
| | |
Percentages indicated are based on net assets. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| Alternative Credit Enhancement Securities |
| Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 28, 2023. |
| Credit Suisse Mortgage Trust |
| |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| Intercontinental Exchange |
| 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. |
| London Interbank Offered Rate |
| 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. |
| |
| Real Estate Mortgage Investment Conduit |
| Combined Real Estate Mortgage Investment Conduit |
| |
| Limited partnership with share capital |
| Secured Overnight Financing Rate |
| Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
| To Be Announced; Security is subject to delayed delivery. |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| Non-income producing security. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
| Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at February 28, 2023 is $790,686 or 0.10% of the Fund’s net assets as of February 28, 2023 . | |
| Security is an interest bearing note with preferred security characteristics. | |
| Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of February 28, 2023. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 28, 2023. | |
| | |
| Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2023. | |
| The rate shown is the effective yield as of February 28, 2023. | |
| The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| The rate shown is the current yield as of February 28, 2023. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
Futures contracts outstanding as of February 28, 2023:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
U.S. Treasury 10 Year Note | | | | | |
| | | | | |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
| | | | | |
U.S. Treasury 10 Year Note | | | | | |
U.S. Treasury 10 Year Ultra Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
| | | | | |
Forward foreign currency exchange contracts outstanding as of February 28, 2023:
| | | | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | | |
| | | | | | |
Total unrealized depreciation | |
Net unrealized depreciation | |
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of February 28, 2023:
REFERENCE
OBLIGATION/INDEX | FINANCING
RATE PAID
BY THE FUND
(%) | | | | | UPFRONT
PAYMENTS
(RECEIPTS)
| UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | |
| | | | | | | | |
| The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| 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. |
| 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. |
| 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). |
| |
| Credit Default Swap Index |
| |
Centrally Cleared Credit default swap contracts toutstanding — sell protection(**) as of February 28, 2023:
REFERENCE
OBLIGATION/INDEX | FINANCING
RATE PAID
BY THE FUND
(%) | | | | | UPFRONT
PAYMENTS
(RECEIPTS)
| UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| 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. |
| 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. |
| 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. |
| 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). |
| |
| Credit Default Swap Index |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023
| | |
|
Aerospace & Defense — 0.3% |
Bombardier, Inc. 7.50%, 3/15/2025 (a) | | |
BWX Technologies, Inc. 4.13%, 6/30/2028 (a) | | |
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a) | | |
TransDigm, Inc. 6.25%, 3/15/2026 (a) | | |
Triumph Group, Inc. 9.00%, 3/15/2028 (a) (b) | | |
| | |
|
| | |
| | |
| | |
Mileage Plus Holdings LLC 6.50%, 6/20/2027 (a) | | |
| | |
|
Adient Global Holdings Ltd. 4.88%, 8/15/2026 (a) | | |
Allison Transmission, Inc. | | |
| | |
| | |
| | |
American Axle & Manufacturing, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (a) | | |
Goodyear Tire & Rubber Co. (The) | | |
| | |
| | |
Icahn Enterprises LP 6.25%, 5/15/2026 | | |
| | |
| | |
|
|
Banco do Brasil SA (Brazil) (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 6.36%), 9.00%, 6/18/2024 (c) (d) (e) (f) (g) | | |
Banco Mercantil del Norte SA (Mexico) (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 5.47%), 7.50%, 6/27/2029 (c) (d) (e) (f) (g) | | |
| | |
Series DD, (ICE LIBOR USD 3 Month + 4.55%), 6.30%, 3/10/2026 (d) (e) (g) | | |
Series RR, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.76%), 4.38%, 1/27/2027 (d) (e) (g) | | |
Series TT, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%), 6.13%, 4/27/2027 (d) (e) (g) | | |
Bank of Nova Scotia (The) (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.39%), 8.62%, 10/27/2082 (c) (g) | | |
Barclays plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.43%), 8.00%, 3/15/2029 (c) (d) (e) (g) | | |
| | |
Series U, (SOFR + 3.81%), 5.00%, 9/12/2024 (d) (e) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (d) (e) (g) | | |
Credit Agricole SA (France) (USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025 (a) (c) (d) (e) (g) | | |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (a) (g) | | |
HSBC Holdings plc (United Kingdom) | | |
(SOFR + 3.35%), 7.39%, 11/3/2028 (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (c) (d) (e) (g) | | |
ING Groep NV (Netherlands) (USD ICE Swap Rate 5 Year + 4.20%), 6.75%, 4/16/2024 (c) (d) (e) (f) (g) | | |
NatWest Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (c) (d) (e) (g) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
|
Nordea Bank Abp (Finland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.11%), 6.63%, 3/26/2026 (a) (c) (d) (e) (g) | | |
Santander UK Group Holdings plc (United Kingdom) (SOFR + 2.60%), 6.53%, 1/10/2029 (g) | | |
Societe Generale SA (France) | | |
(USD ICE Swap Rate 5 Year + 5.87%), 8.00%, 9/29/2025 (a) (c) (d) (e) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (a) (g) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.39%), 9.38%, 11/22/2027 (a) (c) (d) (e) (g) | | |
Toronto-Dominion Bank (The) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.08%), 8.12%, 10/31/2082 (c) (g) | | |
Truist Financial Corp. Series Q, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 4.35%), 5.10%, 3/1/2030 (d) (e) (g) | | |
Wells Fargo & Co. Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (d) (e) (g) | | |
| | |
|
Grifols Escrow Issuer SA (Spain) 4.75%, 10/15/2028 (a) | | |
|
Builders FirstSource, Inc. 6.38%, 6/15/2032 (a) | | |
Griffon Corp. 5.75%, 3/01/2028 | | |
| | |
| | |
| | |
Masonite International Corp. 5.38%, 2/1/2028 (a) | | |
MIWD Holdco II LLC 5.50%, 2/01/2030 (a) | | |
Standard Industries, Inc. | | |
| | |
| | |
| | |
|
Coinbase Global, Inc. 3.38%, 10/01/2028 (a) | | |
| | |
|
Capital Markets — continued |
Goldman Sachs Group, Inc. (The) Series R, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.95%, 2/10/2025 (d) (e) (g) | | |
UBS Group AG (Switzerland) (USD Swap Semi 5 Year + 4.59%), 6.87%, 8/7/2025 (c) (d) (e) (f) (g) | | |
| | |
|
Axalta Coating Systems LLC | | |
| | |
| | |
Braskem Idesa SAPI (Mexico) 6.99%, 2/20/2032 (a) | | |
Braskem Netherlands Finance BV (Brazil) 7.25%, 2/13/2033 (a) | | |
| | |
| | |
| | |
Element Solutions, Inc. 3.88%, 9/01/2028 (a) | | |
NOVA Chemicals Corp. (Canada) | | |
| | |
| | |
Scotts Miracle-Gro Co. (The) | | |
| | |
| | |
| | |
Trinseo Materials Operating SCA | | |
| | |
| | |
| | |
| | |
| | |
| | |
Commercial Services & Supplies — 1.3% |
ACCO Brands Corp. 4.25%, 3/15/2029 (a) | | |
| | |
| | |
| | |
Allied Universal Holdco LLC 6.63%, 7/15/2026 (a) | | |
Aramark Services, Inc. 5.00%, 2/01/2028 (a) | | |
Brink's Co. (The) 4.63%, 10/15/2027 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Commercial Services & Supplies — continued |
Garda World Security Corp. 4.63%, 2/15/2027 (a) | | |
GFL Environmental, Inc. (Canada) | | |
| | |
| | |
| | |
| | |
Madison IAQ LLC 4.13%, 6/30/2028 (a) | | |
Prime Security Services Borrower LLC | | |
| | |
| | |
Stericycle, Inc. 3.88%, 1/15/2029 (a) | | |
| | |
Communications Equipment — 0.4% |
| | |
| | |
| | |
| | |
| | |
Construction & Engineering — 0.2% |
Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (f) | | |
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | | |
International Airport Finance SA (Ecuador) 12.00%, 3/15/2033 (f) | | |
MasTec, Inc. 4.50%, 8/15/2028 (a) | | |
Mexico City Airport Trust (Mexico) 5.50%, 10/31/2046 (f) | | |
| | |
|
AerCap Ireland Capital DAC 3.00%, 10/29/2028 | | |
Avolon Holdings Funding Ltd. (Ireland) 2.88%, 2/15/2025 (a) | | |
Ford Motor Credit Co. LLC | | |
| | |
| | |
| | |
| | |
OneMain Finance Corp. 3.88%, 9/15/2028 | | |
| | |
Containers & Packaging — 1.1% |
Ardagh Packaging Finance plc | | |
| | |
|
Containers & Packaging — continued |
| | |
| | |
LABL, Inc. 6.75%, 7/15/2026 (a) | | |
Mauser Packaging Solutions Holding Co. 7.88%, 8/15/2026 (a) | | |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | | |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | | |
TriMas Corp. 4.13%, 4/15/2029 (a) | | |
Trivium Packaging Finance BV (Netherlands) | | |
| | |
| | |
| | |
Diversified Consumer Services — 0.1% |
Service Corp. International 3.38%, 8/15/2030 | | |
Diversified Financial Services — 0.1% |
Corebridge Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.87%, 12/15/2052 (a) (g) | | |
Diversified Telecommunication Services — 3.0% |
Altice France Holding SA 10.50%, 5/15/2027 (a) | | |
Altice France SA (France) | | |
| | |
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| | |
Frontier Communications Holdings LLC | | |
| | |
| | |
Intelsat Jackson Holdings SA 6.50%, 3/15/2030 (a) | | |
Level 3 Financing, Inc. 4.63%, 9/15/2027 (a) | | |
Lumen Technologies, Inc. 4.00%, 2/15/2027 (a) | | |
Sitios Latinoamerica SAB de CV (Brazil) 5.38%, 4/4/2032 (a) | | |
Sprint Capital Corp. 8.75%, 3/15/2032 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
Diversified Telecommunication Services — continued |
Telecom Italia Capital SA (Italy) 6.38%, 11/15/2033 | | |
Zayo Group Holdings, Inc. 4.00%, 3/1/2027 (a) | | |
| | |
Electric Utilities — 1.2% |
Electricidad Firme de Mexico Holdings SA de CV (Mexico) 4.90%, 11/20/2026 (a) | | |
Energuate Trust (Guatemala) 5.88%, 5/3/2027 (f) | | |
Eskom Holdings SOC Ltd. (South Africa) | | |
| | |
| | |
FEL Energy VI SARL (Mexico) 5.75%, 12/1/2040 (f) | | |
Instituto Costarricense de Electricidad (Costa Rica) 6.75%, 10/7/2031 (a) | | |
| | |
| | |
| | |
| | |
| | |
Trinidad Generation UnLtd (Trinidad And Tobago) 5.25%, 11/4/2027 (f) | | |
Vistra Operations Co. LLC | | |
| | |
| | |
| | |
Electrical Equipment — 0.1% |
| | |
| | |
| | |
| | |
| | |
| | |
Electronic Equipment, Instruments & Components — 0.4% |
| | |
Coherent Corp. 5.00%, 12/15/2029 (a) | | |
Sensata Technologies, Inc. 3.75%, 2/15/2031 (a) | | |
| | |
Energy Equipment & Services — 0.1% |
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (f) | | |
| | |
|
Energy Equipment & Services — continued |
Nabors Industries, Inc. 5.75%, 2/01/2025 | | |
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a) | | |
Transocean, Inc. 8.75%, 2/15/2030 (a) | | |
| | |
|
Live Nation Entertainment, Inc. | | |
| | |
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Warnermedia Holdings, Inc. 3.76%, 3/15/2027 (a) | | |
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| | |
Equity Real Estate Investment Trusts (REITs) — 0.7% |
| | |
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| | |
SBA Communications Corp. 3.88%, 2/15/2027 | | |
| | |
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| | |
| | |
| | |
Food & Staples Retailing — 1.0% |
| | |
| | |
| | |
| | |
| | |
Performance Food Group, Inc. | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Food & Staples Retailing — continued |
| | |
| | |
| | |
| | |
| | |
| | |
|
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (a) | | |
| | |
| | |
| | |
Sigma Holdco BV (Netherlands) 7.88%, 5/15/2026 (a) | | |
| | |
|
AmeriGas Partners LP 5.75%, 5/20/2027 | | |
Health Care Equipment & Supplies — 0.7% |
Avantor Funding, Inc. 4.63%, 7/15/2028 (a) | | |
Hologic, Inc. 3.25%, 2/15/2029 (a) | | |
| | |
| | |
| | |
| | |
Health Care Providers & Services — 2.5% |
Acadia Healthcare Co., Inc. | | |
| | |
| | |
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| | |
Community Health Systems, Inc. | | |
| | |
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|
Health Care Providers & Services — continued |
| | |
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| | |
McKesson Corp. 5.25%, 2/15/2026 | | |
| | |
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Health Care Technology — 0.1% |
IQVIA, Inc. 5.00%, 5/15/2027 (a) | | |
Hotels, Restaurants & Leisure — 2.4% |
| | |
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| | |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | | |
Caesars Entertainment, Inc. | | |
| | |
| | |
| | |
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| | |
| | |
Carnival Holdings Bermuda Ltd. 10.38%, 5/01/2028 (a) | | |
| | |
| | |
| | |
Hilton Domestic Operating Co., Inc. 3.75%, 5/01/2029 (a) | | |
Hilton Worldwide Finance LLC 4.88%, 4/01/2027 | | |
MGM Resorts International | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
Hotels, Restaurants & Leisure — continued |
| | |
Royal Caribbean Cruises Ltd. | | |
| | |
| | |
| | |
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Six Flags Entertainment Corp. | | |
| | |
| | |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | | |
Station Casinos LLC 4.50%, 2/15/2028 (a) | | |
Vail Resorts, Inc. 6.25%, 5/15/2025 (a) | | |
Wynn Las Vegas LLC 5.50%, 3/01/2025 (a) | | |
Wynn Resorts Finance LLC 5.13%, 10/01/2029 (a) | | |
Yum! Brands, Inc. 4.75%, 1/15/2030 (a) | | |
| | |
Household Durables — 0.4% |
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | | |
Newell Brands, Inc. 4.45%, 4/01/2026 (h) | | |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | | |
| | |
Household Products — 0.5% |
| | |
| | |
| | |
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| | |
Independent Power and Renewable Electricity Producers — 0.1% |
Calpine Corp. 4.63%, 2/01/2029 (a) | | |
Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029 (f) | | |
| | |
| | |
|
Internet & Direct Marketing Retail — 0.0% ^ |
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a) | | |
|
Block, Inc. 3.50%, 6/01/2031 | | |
Gartner, Inc. 4.50%, 7/01/2028 (a) | | |
| | |
|
Mattel, Inc. 5.88%, 12/15/2027 (a) | | |
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) | | |
| | |
|
Chart Industries, Inc. 7.50%, 1/1/2030 (a) | | |
Terex Corp. 5.00%, 5/15/2029 (a) | | |
TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027 (a) | | |
| | |
|
MV24 Capital BV (Brazil) 6.75%, 6/1/2034 (f) | | |
|
Charter Communications Operating LLC 5.38%, 4/1/2038 | | |
Clear Channel Outdoor Holdings, Inc. | | |
| | |
| | |
CSC Holdings LLC 6.50%, 2/01/2029 (a) | | |
Directv Financing LLC 5.88%, 8/15/2027 (a) | | |
Discovery Communications LLC 4.95%, 5/15/2042 | | |
| | |
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DISH Network Corp. 11.75%, 11/15/2027 (a) | | |
GCI LLC 4.75%, 10/15/2028 (a) | | |
Gray Escrow II, Inc. 5.38%, 11/15/2031 (a) | | |
| | |
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| | |
iHeartCommunications, Inc. | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
| | |
Lamar Media Corp. 4.88%, 1/15/2029 | | |
Midcontinent Communications 5.38%, 8/15/2027 (a) | | |
News Corp. 3.88%, 5/15/2029 (a) | | |
| | |
| | |
| | |
Paramount Global (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.00%), 6.37%, 3/30/2062 (g) | | |
| | |
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| | |
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Stagwell Global LLC 5.63%, 8/15/2029 (a) | | |
Univision Communications, Inc. | | |
| | |
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Videotron Ltd. 5.13%, 4/15/2027 (a) | | |
| | |
|
Alcoa Nederland Holding BV 6.13%, 5/15/2028 (a) | | |
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Big River Steel LLC 6.63%, 1/31/2029 (a) | | |
Cleveland-Cliffs, Inc. 4.63%, 3/1/2029 (a) | | |
CSN Inova Ventures (Brazil) 6.75%, 1/28/2028 (f) | | |
FMG Resources August 2006 Pty. Ltd. (Australia) 4.38%, 4/1/2031 (a) | | |
Freeport-McMoRan, Inc. 4.38%, 8/1/2028 | | |
Kaiser Aluminum Corp. 4.63%, 3/01/2028 (a) | | |
| | |
| | |
| | |
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|
NMG Holding Co., Inc. 7.13%, 4/01/2026 (a) | | |
| | |
|
Multiline Retail — continued |
| | |
| | |
| | |
| | |
Oil, Gas & Consumable Fuels — 4.2% |
AI Candelaria Spain SA (Colombia) 5.75%, 6/15/2033 (a) | | |
Antero Midstream Partners LP | | |
| | |
| | |
| | |
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| | |
BP Capital Markets plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (d) (e) (g) | | |
| | |
| | |
| | |
| | |
California Resources Corp. 7.13%, 2/1/2026 (a) | | |
Cheniere Energy Partners LP | | |
| | |
| | |
Cheniere Energy, Inc. 4.63%, 10/15/2028 | | |
Chesapeake Energy Corp. 6.75%, 4/15/2029 (a) | | |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | | |
Comstock Resources, Inc. 5.88%, 1/15/2030 (a) | | |
Crestwood Midstream Partners LP | | |
| | |
| | |
| | |
DT Midstream, Inc. 4.13%, 6/15/2029 (a) | | |
| | |
| | |
| | |
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
Energean Israel Finance Ltd. (Israel) | | |
| | |
| | |
EnLink Midstream Partners LP 4.85%, 7/15/2026 | | |
EQM Midstream Partners LP | | |
| | |
| | |
| | |
| | |
Genesis Energy LP 8.00%, 1/15/2027 | | |
Greenko Solar Mauritius Ltd. (India) 5.55%, 1/29/2025 (f) | | |
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | | |
Hess Midstream Operations LP | | |
| | |
| | |
| | |
Kinetik Holdings LP 5.88%, 6/15/2030 (a) | | |
Leviathan Bond Ltd. (Israel) | | |
| | |
| | |
Medco Bell Pte. Ltd. (Indonesia) 6.38%, 1/30/2027 (f) | | |
| | |
| | |
| | |
Occidental Petroleum Corp. | | |
| | |
| | |
| | |
Oil and Gas Holding Co. BSCC (The) (Bahrain) 8.38%, 11/7/2028 (f) | | |
Peru LNG Srl (Peru) 5.38%, 3/22/2030 (f) | | |
Petroleos del Peru SA (Peru) 5.63%, 6/19/2047 (a) | | |
Petroleos Mexicanos (Mexico) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
| | |
| | |
SM Energy Co. 6.75%, 9/15/2026 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Tallgrass Energy Partners LP | | |
| | |
| | |
| | |
| | |
Targa Resources Partners LP | | |
| | |
| | |
| | |
| | |
Transcanada Trust (Canada) (SOFR + 4.42%), 5.50%, 9/15/2079 (g) | | |
| | |
Paper & Forest Products — 0.1% |
Suzano Austria GmbH (Brazil) 7.00%, 3/16/2047 (f) | | |
|
| | |
| | |
| | |
Edgewell Personal Care Co. 5.50%, 6/01/2028 (a) | | |
Prestige Brands, Inc. 5.13%, 1/15/2028 (a) | | |
| | |
|
Bausch Health Americas, Inc. 9.25%, 4/01/2026 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Pharmaceuticals — continued |
Cheplapharm Arzneimittel GmbH (Germany) 5.50%, 1/15/2028 (a) | | |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (h) | | |
Jazz Securities DAC 4.38%, 1/15/2029 (a) | | |
Organon & Co. 4.13%, 4/30/2028 (a) | | |
Teva Pharmaceutical Finance Netherlands III BV (Israel) 3.15%, 10/1/2026 | | |
| | |
Real Estate Management & Development — 0.1% |
GLP Pte. Ltd. (Singapore) 3.88%, 6/4/2025 (f) | | |
| | |
| | |
| | |
| | |
|
Avis Budget Car Rental LLC | | |
| | |
| | |
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | | |
Hertz Corp. (The) 5.00%, 12/01/2029 (a) | | |
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (a) | | |
Transnet SOC Ltd. (South Africa) 8.25%, 2/6/2028 (a) | | |
| | |
| | |
| | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 0.3% |
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | | |
| | |
| | |
| | |
Entegris, Inc. 4.38%, 4/15/2028 (a) | | |
ON Semiconductor Corp. 3.88%, 9/01/2028 (a) | | |
| | |
|
ACI Worldwide, Inc. 5.75%, 8/15/2026 (a) | | |
| | |
|
|
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (a) | | |
Clarivate Science Holdings Corp. 3.88%, 7/01/2028 (a) | | |
| | |
| | |
| | |
| | |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | | |
| | |
|
Asbury Automotive Group, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
Gap, Inc. (The) 3.63%, 10/01/2029 (a) | | |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | | |
Lithia Motors, Inc. 3.88%, 6/01/2029 (a) | | |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | | |
PetSmart, Inc. 4.75%, 2/15/2028 (a) | | |
| | |
| | |
| | |
| | |
Staples, Inc. 7.50%, 4/15/2026 (a) | | |
| | |
Technology Hardware, Storage & Peripherals — 0.1% |
Seagate HDD Cayman 4.09%, 6/1/2029 | | |
Thrifts & Mortgage Finance — 1.7% |
| | |
(SOFR + 2.10%), 5.97%, 1/18/2027 (a) (g) | | |
| | |
Nationstar Mortgage Holdings, Inc. 5.50%, 8/15/2028 (a) | | |
Rocket Mortgage LLC 3.63%, 3/01/2029 (a) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Corporate Bonds — continued |
|
BAT International Finance plc (United Kingdom) 4.45%, 3/16/2028 | | |
Trading Companies & Distributors — 1.3% |
Air Lease Corp. 5.85%, 12/15/2027 | | |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | | |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | | |
United Rentals North America, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
Wireless Telecommunication Services — 0.9% |
Kenbourne Invest SA (Chile) 4.70%, 1/22/2028 (f) | | |
| | |
| | |
| | |
Vodafone Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.12%, 6/4/2081 (g) | | |
| | |
Total Corporate Bonds
(Cost $162,478,998) | | |
Asset-Backed Securities — 24.9% |
ACC Trust Series 2019-2, Class C, 5.24%, 10/21/2024 (a) | | |
ACHV ABS TRUST Series 2023-1PL, Class A, 6.42%, 3/18/2030 (a) | | |
Affirm Asset Securitization Trust | | |
Series 2021-Z2, Class A, 1.17%, 11/16/2026 (a) | | |
Series 2022-A, Class 1D, 5.53%, 5/17/2027 (a) | | |
Series 2022-Z1, Class A, 4.55%, 6/15/2027 (a) | | |
Air Canada Pass-Through Trust (Canada) Series 2020-2, Class B, 9.00%, 10/1/2025 (a) | | |
American Airlines Pass-Through Trust Series 2021-1, Class B, 3.95%, 7/11/2030 | | |
American Credit Acceptance Receivables Trust | | |
Series 2019-4, Class E, 3.85%, 12/12/2025 (a) | | |
| | |
|
Series 2023-1, Class A, 5.45%, 9/14/2026 (a) | | |
Series 2022-3, Class B, 4.55%, 10/13/2026 (a) | | |
Series 2022-4, Class B, 6.75%, 10/13/2026 (a) | | |
Series 2020-4, Class D, 1.77%, 12/14/2026 (a) | | |
Series 2020-4, Class E, 3.65%, 12/14/2026 (a) | | |
Series 2021-2, Class E, 2.54%, 7/13/2027 (a) | | |
Series 2021-3, Class E, 2.56%, 11/15/2027 (a) | | |
Series 2022-2, Class D, 4.85%, 6/13/2028 (a) | | |
Series 2022-2, Class E, 6.57%, 6/13/2028 (a) | | |
Series 2021-4, Class F, 4.21%, 7/13/2028 (a) | | |
Series 2022-3, Class C, 4.86%, 10/13/2028 (a) | | |
Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | | |
Series 2022-4, Class C, 7.86%, 2/15/2029 (a) | | |
Series 2023-1, Class C, 5.59%, 4/12/2029 (a) | | |
Series 2023-1, Class D, 6.35%, 4/12/2029 (a) | | |
AMSR Trust Series 2020-SFR1, Class H, 5.30%, 4/17/2037 (a) | | |
Apidos CLO XXX (Cayman Islands) Series XXXA, Class A1A, 5.93%, 10/18/2031 (a) (i) | | |
| | |
Series 2019-1A, Class A2I, 4.19%, 6/5/2049 (a) | | |
Series 2019-1A, Class A2II, 4.72%, 6/5/2049 (a) | | |
Ares CLO Ltd. (Cayman Islands) | | |
Series 2016-40A, Class A1RR, 5.66%, 1/15/2029 (a) (i) | | |
Series 2019-52A, Class A1R, 5.87%, 4/22/2031 (a) (i) | | |
Avis Budget Rental Car Funding AESOP LLC | | |
Series 2020-1A, Class C, 3.02%, 8/20/2026 (a) | | |
Series 2022-3A, Class A, 4.62%, 2/20/2027 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Asset-Backed Securities — continued |
Bain Capital Credit CLO (Cayman Islands) Series 2018-1A, Class A1, 5.78%, 4/23/2031 (a) (i) | | |
Bain Capital Credit CLO Ltd. (Cayman Islands) | | |
Series 2020-3A, Class A1R, 5.98%, 10/23/2034 (a) (i) | | |
Series 2021-7A, Class A1, 5.96%, 1/22/2035 (a) (i) | | |
British Airways Pass-Through Trust (United Kingdom) Series 2020-1, Class B, 8.38%, 11/15/2028 (a) | | |
BSPRT Issuer Ltd. (Cayman Islands) | | |
Series 2021-FL7, Class A, 5.91%, 12/15/2038 (a) (i) | | |
Series 2021-FL7, Class D, 7.34%, 12/15/2038 (a) (i) | | |
Series 2021-FL7, Class E, 7.99%, 12/15/2038 (a) (i) | | |
Business Jet Securities LLC Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (a) | | |
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands) Series 2014-3RA, Class A1A, 5.86%, 7/27/2031 (a) (i) | | |
Carlyle US CLO Ltd. (Cayman Islands) Series 2018-1A, Class A1, 5.83%, 4/20/2031 (a) (i) | | |
Conn's Receivables Funding LLC Series 2022-A, Class B, 9.52%, 12/15/2026 (a) | | |
CoreVest American Finance Trust | | |
Series 2019-1, Class E, 5.61%, 3/15/2052 (a) (i) | | |
Series 2019-2, Class E, 5.25%, 6/15/2052 (a) (i) | | |
Series 2019-3, Class E, 4.75%, 10/15/2052 (a) (i) | | |
CPS Auto Receivables Trust Series 2022-C, Class D, 6.45%, 4/15/2030 (a) | | |
Credit Acceptance Auto Loan Trust | | |
Series 2022-3A, Class A, 6.57%, 10/15/2032 (a) | | |
Series 2022-3A, Class D, 9.00%, 4/18/2033 (a) | | |
DB Master Finance LLC Series 2021-1A, Class A23, 2.79%, 11/20/2051 (a) | | |
Driven Brands Funding LLC Series 2021-1A, Class A2, 2.79%, 10/20/2051 (a) | | |
Dryden 68 CLO Ltd. (Cayman Islands) Series 2019-68A, Class AR, 5.96%, 7/15/2035 (a) (i) | | |
| | |
|
| | |
Series 2019-2A, Class E, 4.46%, 5/15/2026 (a) | | |
Series 2021-3A, Class D, 1.31%, 5/17/2027 (a) | | |
Series 2021-4A, Class D, 1.99%, 9/15/2027 (a) | | |
Series 2021-2A, Class E, 2.97%, 7/17/2028 (a) | | |
Series 2021-4A, Class E, 3.34%, 7/17/2028 (a) | | |
Series 2022-3A, Class C, 7.69%, 7/17/2028 (a) | | |
Series 2023-1A, Class B, 5.19%, 10/16/2028 (a) | | |
Series 2023-1A, Class C, 5.55%, 10/16/2028 (a) | | |
Exeter Automobile Receivables Trust | | |
Series 2018-3A, Class F, 6.55%, 8/25/2025 (a) | | |
Series 2020-3A, Class E, 3.44%, 8/17/2026 (a) | | |
Series 2021-2A, Class D, 1.40%, 4/15/2027 | | |
Series 2023-1A, Class B, 5.72%, 4/15/2027 | | |
Series 2021-3A, Class D, 1.55%, 6/15/2027 | | |
Series 2020-3A, Class F, 5.56%, 6/15/2027 (a) | | |
Series 2023-1A, Class C, 5.82%, 2/15/2028 | | |
Series 2021-2A, Class E, 2.90%, 7/17/2028 (a) | | |
Series 2022-3A, Class D, 6.76%, 9/15/2028 | | |
Series 2022-4A, Class D, 5.98%, 12/15/2028 | | |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | | |
Series 2023-1A, Class D, 6.69%, 6/15/2029 | | |
Series 2023-1A, Class E, 12.07%, 9/16/2030 (a) | | |
FirstKey Homes Trust Series 2020-SFR1, Class F1, 3.64%, 8/17/2037 (a) | | |
Flagship Credit Auto Trust | | |
Series 2023-1, Class A3, 5.01%, 8/16/2027 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Asset-Backed Securities — continued |
Series 2023-1, Class B, 5.05%, 1/18/2028 (a) | | |
FMC GMSR Issuer Trust Series 2022-GT1, Class B, 7.17%, 4/25/2027 (a) | | |
| | |
Series 2020-FP1, Class C, 4.37%, 3/18/2027 (a) | | |
Series 2022-1FP, Class D, 3.35%, 3/19/2029 (a) | | |
Series 2022-3FP, Class A, 4.50%, 8/20/2029 (a) | | |
Series 2022-3FP, Class C, 7.05%, 8/20/2029 (a) | | |
Series 2022-4FP, Class B, 7.58%, 12/18/2029 (a) | | |
Galaxy CLO Ltd. (Cayman Islands) Series 2015-21A, Class AR, 5.83%, 4/20/2031 (a) (i) | | |
GLS Auto Receivables Issuer Trust | | |
Series 2021-4A, Class D, 2.48%, 10/15/2027 (a) | | |
Series 2021-1A, Class E, 3.14%, 1/18/2028 (a) | | |
Series 2022-1A, Class D, 3.97%, 1/18/2028 (a) | | |
Series 2022-2A, Class D, 6.15%, 4/17/2028 (a) | | |
Series 2021-3A, Class E, 3.20%, 10/16/2028 (a) | | |
Series 2022-2A, Class E, 5.50%, 6/15/2029 (a) | | |
GoldenTree Loan Opportunities Ltd. Series 2015-10A, Class AR, 5.93%, 7/20/2031 (a) (i) | | |
Goldman Home Improvement Trust Issuer Trust Series 2022-GRN1, Class A, 4.50%, 6/25/2052 (a) | | |
Greenwood Park CLO Ltd. Series 2018-1A, Class A2, 5.80%, 4/15/2031 (a) (i) | | |
Hertz Vehicle Financing III LLC | | |
Series 2022-3A, Class B, 3.86%, 3/25/2025 (a) | | |
Series 2023-1A, Class A, 5.49%, 6/25/2027 (a) | | |
Series 2023-1A, Class C, 6.91%, 6/25/2027 (a) | | |
Hertz Vehicle Financing LLC | | |
Series 2021-1A, Class A, 1.21%, 12/26/2025 (a) | | |
| | |
|
Series 2022-4A, Class D, 6.56%, 9/25/2026 (a) | | |
HGI CRE CLO Ltd. (Cayman Islands) Series 2022-FL3, Class E, 8.71%, 4/20/2037 (a) (i) | | |
Hilton Grand Vacations Trust Series 2022-1D, Class D, 6.79%, 6/20/2034 (a) | | |
HINNT LLC Series 2022-A, Class D, 6.50%, 5/15/2041 (a) | | |
LendingClub Loan Certificate Issuer Trust | | |
Series 2022-NP1, Class CERT, 0.00%, 3/16/2037 ‡ (a) | | |
Series 2022-P1, Class CERT, 0.00%, 3/16/2037 ‡ (a) | | |
Series 2022-P2, Class CERT, 0.00%, 4/15/2037 ‡ (a) | | |
Lendingpoint Asset Securitization Trust | | |
Series 2022-A, Class D, 4.54%, 6/15/2029 (a) | | |
Series 2022-B, Class A, 4.77%, 10/15/2029 (a) | | |
Series 2022-C, Class C, 8.68%, 2/15/2030 (a) | | |
| | |
Series 2021-1A, Class A, 1.90%, 11/20/2031 (a) | | |
Series 2021-1A, Class D, 5.05%, 11/20/2031 (a) | | |
Madison Park Funding XIII Ltd. (Cayman Islands) Series 2014-13A, Class AR2, 5.75%, 4/19/2030 (a) (i) | | |
Magnetite Ltd. (Cayman Islands) | | |
Series 2012-7A, Class A1R2, 5.59%, 1/15/2028 (a) (i) | | |
Series 2016-18A, Class AR2, 5.74%, 11/15/2028 (a) (i) | | |
Series 2015-15A, Class AR, 5.93%, 7/25/2031 (a) (i) | | |
Series 2015-12A, Class ARR, 5.89%, 10/15/2031 (a) (i) | | |
| | |
Series 2023-1A, Class A, 6.07%, 4/15/2033 (a) | | |
Series 2023-1A, Class B, 6.50%, 4/15/2033 (a) | | |
Series 2023-1A, Class C, 7.20%, 4/15/2033 (a) | | |
ME Funding LLC Series 2019-1, Class A2, 6.45%, 7/30/2049 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Asset-Backed Securities — continued |
Neuberger Berman CLO (Cayman Islands) Series 2013-15A, Class A1R2, 5.71%, 10/15/2029 (a) (i) | | |
New Residential Mortgage Loan Trust Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (a) | | |
NRZ Excess Spread-Collateralized Notes | | |
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a) | | |
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a) | | |
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (a) | | |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a) | | |
OneMain Direct Auto Receivables Trust Series 2022-1A, Class A1, 4.65%, 3/14/2029 (a) | | |
OneMain Financial Issuance Trust Series 2018-2A, Class A, 3.57%, 3/14/2033 (a) | | |
| | |
Series 2022-2, Class A, 5.94%, 10/9/2029 (a) | | |
Series 2022-2, Class D, 11.34%, 10/9/2029 | | |
Series 2022-3, Class A, 7.45%, 1/8/2030 (a) | | |
Pagaya AI Debt Selection Trust Series 2021-3, Class C, 3.27%, 5/15/2029 (a) | | |
Palmer Square CLO Ltd. (Cayman Islands) Series 2015-1A, Class A1A4, 6.05%, 5/21/2034 (a) (i) | | |
Planet Fitness Master Issuer LLC Series 2022-1A, Class A2I, 3.25%, 12/5/2051 (a) | | |
PNMAC GMSR ISSUER TRUST Series 2022-GT1, Class A, 8.73%, 5/25/2027 (a) (i) | | |
Progress Residential Trust Series 2023-SFR1, Class E1, 6.15%, 3/17/2040 (a) | | |
Republic Finance Issuance Trust Series 2021-A, Class D, 5.23%, 12/22/2031 (a) | | |
Santander Bank Auto Credit-Linked Notes | | |
Series 2022-C, Class B, 6.45%, 12/15/2032 (a) | | |
Series 2022-C, Class C, 6.99%, 12/15/2032 (a) | | |
Series 2022-C, Class D, 8.20%, 12/15/2032 (a) | | |
Series 2022-C, Class E, 11.37%, 12/15/2032 (a) | | |
| | |
|
Santander Drive Auto Receivables Trust | | |
Series 2021-3, Class D, 1.33%, 9/15/2027 | | |
Series 2022-2, Class B, 3.44%, 9/15/2027 | | |
Series 2022-2, Class C, 3.76%, 7/16/2029 | | |
Series 2022-7, Class C, 6.69%, 3/17/2031 | | |
Service Experts Issuer LLC Series 2021-1A, Class A, 2.67%, 2/2/2032 (a) | | |
SoFi Consumer Loan Program Trust Series 2023-1S, Class A, 5.81%, 5/15/2031 (a) | | |
| | |
Series 2022-2A, Class B, 9.27%, 12/15/2028 (a) | | |
Series 2022-3A, Class A, 7.60%, 4/15/2029 (a) | | |
Tricon Residential Trust Series 2022-SFR1, Class E2, 5.74%, 4/17/2039 (a) | | |
United Airlines Pass-Through Trust | | |
Series 2016-2, Class B, 3.65%, 10/7/2025 | | |
Series 2016-1, Class B, 3.65%, 1/7/2026 | | |
Upstart Pass-Through Trust | | |
Series 2021-ST10, Class A, 2.25%, 1/20/2030 (a) | | |
Series 2022-PT2, Class A, 18.46%, 2/20/2030 ‡ (a) (i) | | |
Series 2022-PT3, Class A, 20.13%, 4/20/2030 ‡ (a) (i) | | |
Upstart Securitization Trust | | |
Series 2020-3, Class C, 6.25%, 11/20/2030 (a) | | |
Series 2021-2, Class C, 3.61%, 6/20/2031 (a) | | |
Series 2022-2, Class B, 6.10%, 5/20/2032 (a) | | |
Westlake Automobile Receivables Trust | | |
Series 2021-2A, Class E, 2.38%, 3/15/2027 (a) | | |
Series 2022-2A, Class C, 4.85%, 9/15/2027 (a) | | |
Series 2022-2A, Class D, 5.48%, 9/15/2027 (a) | | |
Series 2023-1A, Class B, 5.41%, 1/18/2028 (a) | | |
Series 2023-1A, Class C, 5.74%, 8/15/2028 (a) | | |
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | | |
Total Asset-Backed Securities
(Cost $89,412,724) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Commercial Mortgage-Backed Securities — 16.1% |
| | |
Series 2022-BNK39, Class XA, IO, 0.43%, 2/15/2055 (i) | | |
Series 2019-BN20, Class D, 2.50%, 9/15/2062 (a) | | |
Series 2020-BN28, Class XA, IO, 1.76%, 3/15/2063 (i) | | |
Series 2020-BN26, Class E, 2.50%, 3/15/2063 (a) | | |
BBCMS Mortgage Trust Series 2021-C11, Class XB, IO, 0.97%, 9/15/2054 (i) | | |
| | |
Series 2021-B26, Class ASB, 2.26%, 6/15/2054 | | |
Series 2022-B33, Class A5, 3.46%, 3/15/2055 | | |
Series 2022-B36, Class A5, 4.47%, 7/15/2055 (i) | | |
Series 2022-B37, Class A5, 5.75%, 11/15/2055 (i) | | |
BHMS Series 2018-ATLS, Class A, 5.84%, 7/15/2035 (a) (i) | | |
BLP Commercial Mortgage Trust | | |
Series 2023-IND, Class A, 6.23%, 3/15/2040 (i) | | |
Series 2023-IND, Class C, 7.23%, 3/15/2040 (i) | | |
BX Series 2021-MFM1, Class A, 5.38%, 1/15/2034 (a) (i) | | |
BX Commercial Mortgage Trust | | |
Series 2021-21M, Class A, 5.32%, 10/15/2036 (a) (i) | | |
Series 2021-VINO, Class A, 5.24%, 5/15/2038 (a) (i) | | |
Series 2021-XL2, Class A, 5.28%, 10/15/2038 (a) (i) | | |
Series 2021-ACNT, Class A, 5.44%, 11/15/2038 (a) (i) | | |
Series 2020-VIV4, Class A, 2.84%, 3/9/2044 (a) | | |
Series 2021-VIV5, Class A, 2.84%, 3/9/2044 (a) (i) | | |
Series 2020-VIVA, Class D, 3.55%, 3/11/2044 (a) (i) | | |
| | |
Series 2022-LBA6, Class A, 5.56%, 1/15/2039 (a) (i) | | |
Series 2022-FOX2, Class A2, 5.31%, 4/15/2039 (a) (i) | | |
| | |
|
Series 2022-PSB, Class A, 7.01%, 8/15/2039 (a) (i) | | |
Series 2022-PSB, Class E, 10.90%, 8/15/2039 (a) (i) | | |
CD Mortgage Trust Series 2018-CD7, Class C, 4.85%, 8/15/2051 (i) | | |
Citigroup Commercial Mortgage Trust | | |
Series 2013-GC17, Class B, 5.10%, 11/10/2046 (i) | | |
Series 2014-GC23, Class C, 4.43%, 7/10/2047 (i) | | |
Series 2018-C5, Class XA, IO, 0.67%, 6/10/2051 (i) | | |
Series 2018-C6, Class XA, IO, 0.77%, 11/10/2051 (i) | | |
Series 2015-GC33, Class B, 4.57%, 9/10/2058 (i) | | |
Commercial Mortgage Trust Series 2015-PC1, Class B, 4.29%, 7/10/2050 (i) | | |
Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class A, 5.57%, 5/15/2036 (a) (i) | | |
FHLMC Series K-153, Class X1, IO, 0.44%, 12/25/2032 (i) | | |
FHLMC Multiclass Certificates | | |
Series 2020-RR12, Class X, IO, 2.10%, 10/27/2027 (i) | | |
Series 2020-RR06, Class AX, IO, 1.88%, 10/27/2028 (i) | | |
Series 2020-RR14, Class X, IO, 2.13%, 3/27/2034 (i) | | |
Series 2021-RR16, Class X, IO, 0.96%, 10/27/2034 (i) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series KC06, Class X1, IO, 0.88%, 6/25/2026 (i) | | |
Series K741, Class X1, IO, 0.57%, 12/25/2027 (i) | | |
Series K742, Class X1, IO, 0.78%, 3/25/2028 (i) | | |
Series K742, Class X3, IO, 2.60%, 4/25/2028 (i) | | |
Series K743, Class X1, IO, 0.93%, 5/25/2028 (i) | | |
Series K744, Class X1, IO, 0.86%, 7/25/2028 (i) | | |
Series K084, Class X3, IO, 2.24%, 11/25/2028 (i) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
Series K100, Class X1, IO, 0.65%, 9/25/2029 (i) | | |
Series K104, Class X1, IO, 1.13%, 1/25/2030 (i) | | |
Series K110, Class X1, IO, 1.70%, 4/25/2030 (i) | | |
Series K115, Class X1, IO, 1.33%, 6/25/2030 (i) | | |
Series K119, Class X1, IO, 0.93%, 9/25/2030 (i) | | |
Series K123, Class X1, IO, 0.77%, 12/25/2030 (i) | | |
Series K132, Class X1, IO, 0.51%, 8/25/2031 (i) | | |
Series K-1514, Class X1, IO, 0.58%, 10/25/2034 (i) | | |
Series K-1520, Class X1, IO, 0.47%, 2/25/2036 (i) | | |
Series K067, Class X3, IO, 2.11%, 9/25/2044 (i) | | |
Series K060, Class X3, IO, 1.90%, 12/25/2044 (i) | | |
Series K065, Class X3, IO, 2.18%, 7/25/2045 (i) | | |
Series K085, Class X3, IO, 2.31%, 12/25/2045 (i) | | |
Series K097, Class X3, IO, 2.02%, 9/25/2046 (i) | | |
Series K083, Class X3, IO, 2.29%, 11/25/2046 (i) | | |
Series K737, Class X3, IO, 1.77%, 1/25/2048 (i) | | |
Series K121, Class X3, IO, 2.77%, 11/25/2048 (i) | | |
Series K124, Class X3, IO, 2.62%, 2/25/2049 (i) | | |
Series K741, Class X3, IO, 2.45%, 3/25/2049 (i) | | |
Series K743, Class X3, IO, 2.95%, 6/25/2049 (i) | | |
FIVE Mortgage Trust Series 2023-V1, Class XA, IO, 0.83%, 2/10/2056 (i) | | |
| | |
Series 2020-M3, Class X1, IO, 0.36%, 2/25/2030 (i) | | |
Series 2022-M2, Class X2, IO, 0.21%, 1/25/2032 (i) | | |
Series 2020-M31, Class AB, 0.50%, 10/25/2032 | | |
| | |
|
| | |
Series 2017-KF36, Class B, 7.22%, 8/25/2024 (a) (i) | | |
Series 2019-KF60, Class B, 6.92%, 2/25/2026 (a) (i) | | |
Series 2019-KF72, Class B, 6.67%, 11/25/2026 (a) (i) | | |
Series 2018-KF54, Class B, 6.77%, 11/25/2028 (i) | | |
Series 2019-KF59, Class B, 6.92%, 2/25/2029 (a) (i) | | |
Series 2019-KW09, Class X2A, IO, 0.10%, 5/25/2029 (a) | | |
Series 2019-KW09, Class C, PO, 6/25/2029 (a) | | |
Series 2019-KW09, Class X2B, IO, 0.10%, 6/25/2029 (a) | | |
Series 2020-KF76, Class B, 7.32%, 1/25/2030 (a) (i) | | |
Series 2018-KW07, Class B, 4.08%, 10/25/2031 (a) (i) | | |
Series 2023-KF149, Class CS, 10.46%, 12/25/2032 (a) (i) | | |
Series 19K-1513, Class X2A, IO, 0.10%, 8/25/2034 (a) | | |
Series 2015-K46, Class C, 3.70%, 4/25/2048 (a) (i) | | |
Series 2017-K724, Class D, PO, 12/25/2049 (a) | | |
Series 2018-K730, Class B, 3.80%, 2/25/2050 (a) (i) | | |
Series 2017-K725, Class C, 3.90%, 2/25/2050 (a) (i) | | |
Series 2017-K65, Class B, 4.08%, 7/25/2050 (a) (i) | | |
Series 2019-K91, Class C, 4.26%, 4/25/2051 (a) (i) | | |
| | |
Series 2013-72, IO, 0.57%, 11/16/2047 (i) | | |
Series 2015-93, IO, 0.30%, 11/16/2054 (i) | | |
Series 2014-166, Class IH, IO, 0.92%, 10/16/2055 (i) | | |
Series 2015-33, IO, 0.26%, 2/16/2056 (i) | | |
Series 2016-137, IO, 0.52%, 10/16/2056 (i) | | |
Series 2017-53, IO, 0.53%, 11/16/2056 (i) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Commercial Mortgage-Backed Securities — continued |
Series 2015-114, IO, 0.37%, 3/15/2057 (i) | | |
Series 2017-158, IO, 0.46%, 9/16/2057 (i) | | |
Series 2017-3, IO, 0.55%, 9/16/2058 (i) | | |
Series 2020-184, IO, 0.91%, 11/16/2060 (i) | | |
Series 2021-147, IO, 0.99%, 6/16/2061 (i) | | |
Series 2021-218, IO, 0.96%, 10/16/2061 (i) | | |
Series 2020-120, IO, 0.76%, 5/16/2062 (i) | | |
Series 2020-100, IO, 0.78%, 5/16/2062 (i) | | |
Series 2020-161, IO, 1.05%, 8/16/2062 (i) | | |
Series 2021-71, IO, 0.87%, 10/16/2062 (i) | | |
Series 2020-190, IO, 1.03%, 11/16/2062 (i) | | |
Series 2021-35, IO, 0.99%, 12/16/2062 (i) | | |
Series 2021-11, Class IX, IO, 1.16%, 12/16/2062 (i) | | |
Series 2021-35, Class IX, IO, 1.16%, 12/16/2062 | | |
Series 2021-120, IO, 0.99%, 2/16/2063 (i) | | |
Series 2021-170, IO, 0.99%, 5/16/2063 (i) | | |
Series 2021-61, IO, 1.04%, 8/16/2063 (i) | | |
Series 2021-195, Class IX, IO, 1.20%, 8/16/2063 (i) | | |
Series 2021-110, IO, 0.87%, 11/16/2063 (i) | | |
Series 2021-200, IO, 0.87%, 11/16/2063 (i) | | |
Series 2021-180, IO, 0.90%, 11/16/2063 (i) | | |
Series 2021-150, IO, 1.03%, 11/16/2063 (i) | | |
Series 2021-185, IO, 1.10%, 11/16/2063 (i) | | |
Series 2021-220, IO, 0.83%, 12/16/2063 (i) | | |
Series 2022-7, Class SA, IF, IO, 0.00%, 2/16/2064 (i) | | |
| | |
|
Series 2021-224, IO, 0.78%, 4/16/2064 (i) | | |
Series 2022-134, IO, 0.51%, 6/16/2064 (i) | | |
Series 2022-80, IO, 0.59%, 6/16/2064 (i) | | |
Series 2022-62, IO, 0.62%, 6/16/2064 (i) | | |
Series 2022-141, IO, 0.77%, 6/16/2064 (i) | | |
Series 2022-52, IO, 0.77%, 6/16/2064 (i) | | |
Series 2022-210, IO, 0.69%, 7/16/2064 (i) | | |
Series 2022-199, IO, 0.76%, 7/16/2064 (i) | | |
GS Mortgage Securities Trust | | |
Series 2016-GS2, Class D, 2.75%, 5/10/2049 (a) | | |
Series 2019-GC40, Class E, 3.00%, 7/10/2052 (a) | | |
Hudson Yards Mortgage Trust Series 2019-30HY, Class A, 3.23%, 7/10/2039 (a) | | |
ILPT Commercial Mortgage Trust | | |
Series 2022-LPF2, Class A, 6.81%, 10/15/2039 (a) (i) | | |
Series 2022-LPF2, Class E, 10.50%, 10/15/2039 (a) (i) | | |
JPMBB Commercial Mortgage Securities Trust Series 2015-C33, Class C, 4.62%, 12/15/2048 (i) | | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-C16, Class D, 5.01%, 12/15/2046 (a) (i) | | |
Morgan Stanley Bank of America Merrill Lynch Trust | | |
Series 2014-C15, Class D, 4.89%, 4/15/2047 (a) (i) | | |
Series 2014-C16, Class AS, 4.09%, 6/15/2047 | | |
Series 2014-C18, Class B, 4.43%, 10/15/2047 (i) | | |
Series 2016-C31, Class C, 4.27%, 11/15/2049 (i) | | |
Morgan Stanley Capital I Trust Series 2021-L6, Class C, 3.46%, 6/15/2054 (i) | | |
MRCD MARK Mortgage Trust Series 2019-PARK, Class E, 2.72%, 12/15/2036 (a) | | |
MSC Trust Series 2021-ILP, Class A, 5.37%, 11/15/2023 (a) (i) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
MTN Commercial Mortgage Trust Series 2022-LPFL, Class A, 5.96%, 3/15/2039 (a) (i) | | |
Multi-Family Connecticut Avenue Securities Trust | | |
Series 2019-01, Class M10, 7.87%, 10/25/2049 (a) (i) | | |
Series 2020-01, Class M10, 8.37%, 3/25/2050 (a) (i) | | |
| | |
Series 2021-OVA, Class A, 2.59%, 7/15/2041 (a) | | |
Series 2021-OVA, Class E, 2.85%, 7/15/2041 (a) | | |
TPGI Trust Series 2021-DGWD, Class A, 5.29%, 6/15/2026 (a) (i) | | |
Velocity Commercial Capital Loan Trust | | |
Series 2018-1, Class A, 3.59%, 4/25/2048 (a) | | |
Series 2022-3, Class A, 5.22%, 6/25/2052 (a) (i) | | |
Series 2022-4, Class A, 5.63%, 8/25/2052 (a) (i) | | |
Wells Fargo Commercial Mortgage Trust | | |
Series 2018-C44, Class D, 3.00%, 5/15/2051 (a) | | |
Series 2022-C62, Class C, 4.35%, 4/15/2055 (i) | | |
WFRBS Commercial Mortgage Trust | | |
Series 2013-C13, Class C, 3.91%, 5/15/2045 (i) | | |
Series 2014-C22, Class C, 3.77%, 9/15/2057 (i) | | |
Series 2014-C22, Class B, 4.37%, 9/15/2057 (i) | | |
Total Commercial Mortgage-Backed Securities
(Cost $59,696,796) | | |
Mortgage-Backed Securities — 8.2% |
| | |
Pool # MA8151, 4.50%, 7/20/2052 | | |
Pool # MA8493, 6.50%, 12/20/2052 | | |
Pool # MA8571, 6.00%, 1/20/2053 | | |
Pool # MA8573, 7.00%, 1/20/2053 | | |
GNMA II, Single Family, 30 Year | | |
TBA, 5.50%, 3/15/2047 (b) | | |
TBA, 6.00%, 3/15/2053 (b) | | |
Total Mortgage-Backed Securities
(Cost $28,562,036) | | |
| | |
Collateralized Mortgage Obligations — 7.2% |
Angel Oak Mortgage Trust I LLC Series 2019-4, Class B2, 5.66%, 7/26/2049 (a) (i) | | |
CHL Mortgage Pass-Through Trust Series 2006-OA5, Class 2A1, 5.02%, 4/25/2046 (i) | | |
Connecticut Avenue Securities Trust | | |
Series 2019-R01, Class 2B1, 8.97%, 7/25/2031 (a) (i) | | |
Series 2019-R07, Class 1B1, 8.02%, 10/25/2039 (a) (i) | | |
Series 2023-R02, Class 1M1, 6.79%, 1/25/2043 (a) (i) | | |
Series 2023-R02, Class 1M2, 7.84%, 1/25/2043 (a) (i) | | |
Series 2023-R02, Class 1B1, 10.04%, 1/25/2043 (a) (i) | | |
Deephaven Residential Mortgage Trust Series 2022-2, Class A1, 4.30%, 3/25/2067 (a) (i) | | |
| | |
Series 2021-HQA1, Class M2, 6.73%, 8/25/2033 (a) (i) | | |
Series 2022-DNA3, Class M1B, 7.38%, 4/25/2042 (a) (i) | | |
FHLMC STACR Trust Series 2019-DNA2, Class B1, 8.97%, 3/25/2049 (a) (i) | | |
FHLMC Structured Agency Credit Risk Debt Notes | | |
Series 2017-DNA2, Class B1, 9.77%, 10/25/2029 (i) | | |
Series 2017-DNA3, Class B1, 9.07%, 3/25/2030 (i) | | |
FNMA, Connecticut Avenue Securities | | |
Series 2017-C01, Class 1B1, 10.37%, 7/25/2029 (i) | | |
Series 2017-C02, Class 2B1, 10.12%, 9/25/2029 (i) | | |
Series 2017-C04, Class 2B1, 9.67%, 11/25/2029 (i) | | |
Series 2017-C05, Class 1B1, 8.22%, 1/25/2030 (i) | | |
Series 2017-C06, Class 1B1, 8.77%, 2/25/2030 (i) | | |
Series 2017-C07, Class 1B1, 8.62%, 5/25/2030 (i) | | |
Series 2018-C01, Class 1B1, 8.17%, 7/25/2030 (i) | | |
Series 2018-C03, Class 1B1, 8.37%, 10/25/2030 (i) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | |
Collateralized Mortgage Obligations — continued |
Series 2021-R02, Class 2B1, 7.78%, 11/25/2041 (a) (i) | | |
Series 2021-R02, Class 2B2, 10.68%, 11/25/2041 (a) (i) | | |
FWD Securitization Trust Series 2020-INV1, Class A1, 2.24%, 1/25/2050 (a) (i) | | |
| | |
Series 2014-181, Class SL, IF, IO, 1.00%, 12/20/2044 (i) | | |
Series 2017-134, Class SD, IF, IO, 1.60%, 9/20/2047 (i) | | |
Series 2019-52, Class SA, IF, IO, 1.50%, 4/20/2049 (i) | | |
Series 2021-78, Class IB, IO, 3.00%, 5/20/2051 | | |
Series 2021-107, Class XI, IO, 3.00%, 6/20/2051 | | |
Series 2021-117, Class ES, IF, IO, 1.70%, 7/20/2051 (i) | | |
Series 2021-142, Class XI, IO, 3.00%, 8/20/2051 | | |
Series 2021-154, Class SD, IF, IO, 1.70%, 9/20/2051 (i) | | |
Series 2021-188, Class IJ, IO, 3.00%, 10/20/2051 | | |
LHOME Mortgage Trust Series 2023-RTL1, Class A1, 7.87%, 1/25/2028 ‡ (a) (h) | | |
| | |
Series 2022-RTL1, Class A1, 5.07%, 4/26/2027 (a) (h) | | |
Series 2023-RTL1, Class A1, 7.58%, 8/25/2027 (a) (h) | | |
Series 2021-NQM1, Class A1, 1.15%, 4/25/2065 (a) (i) | | |
New Residential Mortgage Loan Trust Series 2019-NQM5, Class A1, 2.71%, 11/25/2059 (a) (i) | | |
PNMAC GMSR ISSUER TRUST Series 2018-GT2, Class A, 7.27%, 8/25/2025 (a) (i) | | |
PRET LLC Series 2022-NPL4, Class A1, 6.56%, 8/25/2052 (a) (h) | | |
PRPM LLC Series 2021-11, Class A2, 4.58%, 11/25/2026 (a) (h) | | |
RCO VI Mortgage LLC Series 2022-1, Class A1, 3.00%, 1/25/2027 (a) (h) | | |
| | |
Series 2018-HRP2, Class M3, 7.02%, 2/25/2047 (a) (i) | | |
| | |
|
Series 2018-DNA3, Class B1, 8.52%, 9/25/2048 (a) (i) | | |
Starwood Mortgage Residential Trust Series 2020-INV1, Class B2, 4.26%, 11/25/2055 (a) | | |
Verus Securitization Trust Series 2023-1, Class A1, 5.85%, 12/25/2067 (a) (h) | | |
VM Master Issuer LLC Series 2022-1, Class B, 6.88%, 5/24/2025 ‡ (a) (i) | | |
Total Collateralized Mortgage Obligations
(Cost $25,526,704) | | |
Foreign Government Securities — 2.7% |
Banque Centrale de Tunisie 5.75%, 1/30/2025 (f) | | |
Dominican Republic Government Bond | | |
| | |
| | |
| | |
| | |
| | |
| | |
Federal Republic of Nigeria | | |
| | |
| | |
| | |
Federative Republic of Brazil 3.75%, 9/12/2031 | | |
Gabonese Republic 7.00%, 11/24/2031 (f) | | |
Hashemite Kingdom of Jordan | | |
| | |
| | |
Islamic Republic of Pakistan 6.00%, 4/8/2026 (f) | | |
Kingdom of Bahrain 5.45%, 9/16/2032 (f) | | |
| | |
| | |
| | |
| | |
Republic of Armenia 3.60%, 2/2/2031 (f) | | |
Republic of Colombia 3.00%, 1/30/2030 | | |
| | |
| | |
| | |
Republic of Cote d'Ivoire | | |
| | |
5.75%, 12/31/2032 (f) (h) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Foreign Government Securities — continued |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Republic of Namibia 5.25%, 10/29/2025 (f) | | |
Republic of Paraguay 5.40%, 3/30/2050 (a) | | |
Republic of Rwanda 5.50%, 8/9/2031 (a) | | |
| | |
| | |
| | |
Republic of Serbia 6.50%, 9/26/2033 (a) | | |
| | |
| | |
| | |
Republic of Turkey 9.38%, 1/19/2033 | | |
Republic of Uzbekistan 5.38%, 2/20/2029 (f) | | |
State of Mongolia 4.45%, 7/7/2031 (f) | | |
Sultanate of Oman Government Bond | | |
| | |
| | |
Total Foreign Government Securities
(Cost $10,737,582) | | |
| | |
Short-Term Investments — 1.2% |
Investment Companies — 1.2% |
JPMorgan Prime Money Market Fund Class IM Shares, 4.72% (k) (l)
(Cost $4,011,399) | | |
Total Investments — 105.0%
(Cost $380,426,239) | | |
Liabilities in Excess of Other Assets — (5.0)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| Alternative Credit Enhancement Securities |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| Intercontinental Exchange |
| Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of February 28, 2023. The rate may be subject to a cap and floor. |
| 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. |
| London Interbank Offered Rate |
| 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. |
| Real Estate Mortgage Investment Conduit |
| Limited partnership with share capital |
| Secured Overnight Financing Rate |
| To Be Announced; Security is subject to delayed delivery. |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at February 28, 2023 is $4,072,838 or 1.17% of the Fund’s net assets as of February 28, 2023 . | |
| Security is an interest bearing note with preferred security characteristics. | |
| Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of February 28, 2023. | |
| 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. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
| 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 February 28, 2023. | |
| 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 February 28, 2023. | |
| | |
| 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. | |
| The rate shown is the current yield as of February 28, 2023. | |
TBA Short Commitment
| | |
FNMA / FHLMC UMBS, Single Family, 30 Year TBA, 5.00%, 3/25/2053(a) | | |
(Proceeds received of $12,334,603) | | |
| |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| To Be Announced; Security is subject to delayed delivery. |
| Uniform Mortgage-Backed Securities |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
Futures contracts outstanding as of February 28, 2023:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
U.S. Treasury 10 Year Ultra Note | | | | | |
| | | | | |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | | | | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| | | | | |
U.S. Treasury 10 Year Note | | | | | |
U.S. Treasury 10 Year Ultra Note | | | | | |
| | | | | |
| | | | | |
| | | | | |
Forward foreign currency exchange contracts outstanding as of February 28, 2023:
| | | | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | | |
| | | | | | |
Total unrealized depreciation | |
Net unrealized depreciation | |
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of February 28, 2023:
REFERENCE
OBLIGATION/INDEX | FINANCING
RATE PAID
BY THE FUND
(%) | | | | | UPFRONT
PAYMENTS
(RECEIPTS)
| UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
| 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. |
| 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. |
| 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). |
SEE NOTES TO FINANCIAL STATEMENTS.
| |
| Credit Default Swap Index |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023
| | |
|
|
APA Infrastructure Ltd. 2.00%, 7/15/2030 (a) | | |
Commonwealth Bank of Australia | | |
| | |
| | |
| | |
| | |
| | |
| | |
Westpac Banking Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.00%), 4.11%, 7/24/2034 (c) (d) | | |
| | |
|
ams-OSRAM AG 6.00%, 7/31/2025 (a) | | |
|
| | |
| | |
| | |
Anheuser-Busch InBev SA/NV 3.70%, 4/2/2040 (a) | | |
Anheuser-Busch InBev Worldwide, Inc. 4.44%, 10/6/2048 | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (b) (d) | | |
(EUR Swap Annual 5 Year + 1.25%), 1.62%, 9/18/2029 (a) (d) | | |
Ontex Group NV 3.50%, 7/15/2026 (a) | | |
Sarens Finance Co. NV 5.75%, 2/21/2027 (a) | | |
Solvay Finance SACA (EUR Swap Annual 5 Year + 3.70%), 5.42%, 11/12/2023 (a) (d) (e) (f) | | |
| | |
|
|
Solvay SA (EUR Swap Annual 5 Year + 3.92%), 4.25%, 12/4/2023 (a) (d) (e) (f) | | |
Telenet Finance Luxembourg Notes SARL 3.50%, 3/1/2028 (a) | | |
| | |
|
Guara Norte SARL 5.20%, 6/15/2034 (b) | | |
Klabin Austria GmbH 7.00%, 4/3/2049 (a) | | |
| | |
| | |
| | |
| | |
|
Bank of Nova Scotia (The) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 4.59%, 5/4/2037 (c) (d) | | |
Emera US Finance LP 2.64%, 6/15/2031 | | |
Emera, Inc. Series 16-A, (ICE LIBOR USD 3 Month + 5.44%), 6.75%, 6/15/2076 (d) | | |
Federation des Caisses Desjardins du Quebec (SOFRINDX + 1.09%), 5.28%, 1/23/2026 (b) (d) | | |
TransCanada PipeLines Ltd. 2.50%, 10/12/2031 | | |
Transcanada Trust Series 16-A, (ICE LIBOR USD 3 Month + 4.64%), 5.87%, 8/15/2076 (d) | | |
| | |
|
Alfa Desarrollo SpA 4.55%, 9/27/2051 (b) | | |
Kenbourne Invest SA 6.88%, 11/26/2024 (b) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Country Garden Holdings Co. Ltd. 3.13%, 10/22/2025 (a) | | |
Huarong Finance 2017 Co. Ltd. 4.25%, 11/7/2027 (a) | | |
Huarong Finance 2019 Co. Ltd. 2.13%, 9/30/2023 (a) | | |
Longfor Group Holdings Ltd. 4.50%, 1/16/2028 (a) | | |
| | |
| | |
| | |
| | |
| | |
|
AI Candelaria Spain SA 5.75%, 6/15/2033 (b) | | |
|
Danske Bank A/S (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (b) (d) | | |
|
Accor SA 3.00%, 2/4/2026 (a) (g) | | |
| | |
| | |
| | |
Altice France SA 3.38%, 1/15/2028 (a) | | |
Autoroutes du Sud de la France SA 1.13%, 4/20/2026 (a) | | |
AXA SA (EURIBOR 3 Month + 3.75%), 3.38%, 7/6/2047 (a) (d) | | |
Banijay Entertainment SASU 3.50%, 3/1/2025 (a) | | |
Banque Federative du Credit Mutuel SA 3.75%, 7/20/2023 (b) | | |
BNP Paribas SA 3.50%, 3/1/2023 (b) | | |
| | |
| | |
| | |
| | |
|
|
(SOFR + 2.10%), 5.97%, 1/18/2027 (b) (d) | | |
(EURIBOR 3 Month + 1.00%), 0.50%, 9/15/2027 (a) (d) | | |
(SOFR + 1.31%), 2.28%, 1/20/2032 (b) (d) | | |
(SOFR + 1.73%), 3.12%, 10/19/2032 (b) (d) | | |
Burger King France SAS (EURIBOR 3 Month + 4.75%), 7.23%, 11/1/2026 (a) (d) | | |
Casino Guichard Perrachon SA 4.50%, 3/7/2024 (a) (g) | | |
CGG SA 7.75%, 4/1/2027 (a) | | |
Chrome Bidco SASU 3.50%, 5/31/2028 (a) | | |
| | |
(SOFR + 0.89%), 1.25%, 1/26/2027 (b) (d) | | |
| | |
Credit Mutuel Arkea SA (EURIBOR ICE Swap Rate 5 Year + 1.45%), 1.88%, 10/25/2029 (a) (d) | | |
| | |
(EUR Swap Annual 6 Year + 3.44%), 4.00%, 7/4/2024 (a) (d) (e) (f) | | |
(EUR Swap Annual 5 Year + 3.97%), 3.38%, 6/15/2030 (a) (d) (e) (f) | | |
Elis SA 1.63%, 4/3/2028 (a) | | |
| | |
| | |
| | |
| | |
iliad SA 1.88%, 2/11/2028 (a) | | |
| | |
| | |
| | |
Lune Holdings SARL 5.63%, 11/15/2028 (a) | | |
| | |
(EUR Swap Annual 5 Year + 2.36%), 2.38%, 1/15/2025 (a) (d) (e) (f) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
(EUR Swap Annual 5 Year + 3.99%), 5.00%, 10/1/2026 (a) (d) (e) (f) | | |
(EURIBOR ICE Swap Rate 5 Year + 2.18%), 1.75%, 12/19/2026 (a) (d) (e) (f) | | |
(EUR Swap Annual 5 Year + 2.10%), 1.75%, 7/15/2028 (a) (d) (e) (f) | | |
| | |
| | |
| | |
Parts Europe SA 6.50%, 7/16/2025 (a) | | |
Quatrim SASU 5.88%, 1/15/2024 (a) | | |
| | |
| | |
| | |
| | |
Rexel SA 2.13%, 6/15/2028 (a) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.39%), 9.38%, 11/22/2027 (b) (c) (d) (e) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.51%), 5.38%, 11/18/2030 (b) (c) (d) (e) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.34%, 1/21/2033 (b) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.95%), 6.69%, 1/10/2034 (b) (d) | | |
| | |
SPIE SA 2.63%, 6/18/2026 (a) | | |
TotalEnergies Capital International SA 3.13%, 5/29/2050 | | |
| | |
|
|
TotalEnergies SE (EUR Swap Annual 5 Year + 1.77%), 1.75%, 4/4/2024 (a) (d) (e) (f) | | |
Vallourec SA 8.50%, 6/30/2026 (a) | | |
| | |
|
Bertelsmann SE & Co. KGaA (EUR Swap Annual 5 Year + 2.64%), 3.00%, 4/23/2075 (a) (d) | | |
BK LC Lux Finco1 SARL 5.25%, 4/30/2029 (a) | | |
Cheplapharm Arzneimittel GmbH | | |
| | |
| | |
Commerzbank AG (EUR Swap Annual 5 Year + 4.35%), 4.00%, 12/5/2030 (a) (d) | | |
CT Investment GmbH 5.50%, 4/15/2026 (a) | | |
| | |
(SOFR + 2.16%), 2.22%, 9/18/2024 (d) | | |
(SOFR + 2.26%), 3.74%, 1/7/2033 (d) | | |
| | |
| | |
| | |
Deutsche Telekom International Finance BV 2.49%, 9/19/2023 (b) | | |
Douglas GmbH 6.00%, 4/8/2026 (a) | | |
Hapag-Lloyd AG 2.50%, 4/15/2028 (a) | | |
| | |
3.75% (Cash), 9/15/2026 (a) (h) | | |
3.88% (Cash), 5/15/2027 (a) (h) (i) | | |
Nidda Healthcare Holding GmbH 7.50%, 8/21/2026 (a) | | |
Renk AG 5.75%, 7/15/2025 (a) | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Techem Verwaltungsgesellschaft 674 mbH 6.00%, 7/30/2026 (a) | | |
Techem Verwaltungsgesellschaft 675 mbH 2.00%, 7/15/2025 (a) | | |
| | |
| | |
| | |
TK Elevator Midco GmbH 4.38%, 7/15/2027 (a) | | |
TUI Cruises GmbH 6.50%, 5/15/2026 (a) | | |
Volkswagen International Finance NV | | |
(EUR Swap Annual 5 Year + 3.75%), 3.50%, 6/17/2025 (a) (d) (e) (f) | | |
(EUR Swap Annual 10 Year + 3.98%), 4.62%, 6/27/2028 (a) (d) (e) (f) | | |
| | |
Vonovia Finance BV 2.25%, 4/7/2030 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Greenko Dutch BV 3.85%, 3/29/2026 (b) | | |
Greenko Power II Ltd. 4.30%, 12/13/2028 (b) | | |
NTPC Ltd. 3.75%, 4/3/2024 (a) | | |
| | |
|
Indonesia Asahan Aluminium Persero PT 5.45%, 5/15/2030 (b) | | |
| | |
|
|
Pertamina Persero PT 3.65%, 7/30/2029 (b) | | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 4.13%, 5/15/2027 (a) | | |
| | |
|
AerCap Ireland Capital DAC | | |
| | |
| | |
AIB Group plc (EUR Swap Annual 5 Year + 2.15%), 1.88%, 11/19/2029 (a) (d) | | |
Avolon Holdings Funding Ltd. | | |
| | |
| | |
| | |
| | |
| | |
Bank of Ireland Group plc (EUR Swap Annual 5 Year + 7.92%), 7.50%, 5/19/2025 (a) (c) (d) (e) (f) | | |
eircom Finance DAC 3.50%, 5/15/2026 (a) | | |
| | |
|
Energean Israel Finance Ltd. | | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Assicurazioni Generali SpA | | |
| | |
(EURIBOR 3 Month + 5.35%), 5.50%, 10/27/2047 (a) (d) | | |
| | |
| | |
| | |
| | |
Enel Finance International NV | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Series 63.5, (EUR Swap Annual 5 Year + 2.58%), 3.38%, 8/24/2026 (a) (d) (e) (f) | | |
Series 9.5Y, (EUR Swap Annual 5 Year + 2.01%), 1.88%, 6/8/2030 (a) (d) (e) (f) | | |
Eni SpA 4.25%, 5/9/2029 (b) | | |
Guala Closures SpA 3.25%, 6/15/2028 (a) | | |
Infrastrutture Wireless Italiane SpA 1.88%, 7/8/2026 (a) | | |
| | |
(EUR Swap Annual 5 Year + 7.19%), 7.75%, 1/11/2027 (a) (c) (d) (e) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (b) (d) | | |
Lottomatica SpA 5.13%, 7/15/2025 (a) | | |
Pro-Gest SpA 3.25%, 12/15/2024 (a) | | |
Rossini SARL 6.75%, 10/30/2025 (a) | | |
Saipem Finance International BV | | |
| | |
| | |
Shiba Bidco SpA 4.50%, 10/31/2028 (a) | | |
TeamSystem SpA 3.50%, 2/15/2028 (a) | | |
| | |
| | |
| | |
| | |
| | |
(EURIBOR ICE Swap Rate 5 Year + 7.33%), 7.50%, 6/3/2026 (a) (c) (d) (e) (f) | | |
| | |
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 3.13%, 6/3/2032 (b) (d) | | |
| | |
|
Mitsubishi UFJ Financial Group, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (d) | | |
Sumitomo Mitsui Financial Group, Inc. 3.75%, 7/19/2023 | | |
Takeda Pharmaceutical Co. Ltd. | | |
| | |
| | |
| | |
| | |
| | |
|
KazMunayGas National Co. JSC 5.75%, 4/19/2047 (a) | | |
|
MEGlobal Canada ULC 5.00%, 5/18/2025 (b) | | |
|
Altice Finco SA 4.75%, 1/15/2028 (a) | | |
| | |
| | |
| | |
ARD Finance SA 5.00% (Cash), 6/30/2027 (a) (h) (i) | | |
Herens Midco SARL 5.25%, 5/15/2029 (a) | | |
INEOS Finance plc 3.38%, 3/31/2026 (a) | | |
Matterhorn Telecom SA 3.13%, 9/15/2026 (a) | | |
Monitchem HoldCo 3 SA 5.25%, 3/15/2025 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
PLT VII Finance SARL 4.63%, 1/5/2026 (a) | | |
SELP Finance SARL, REIT 0.88%, 5/27/2029 (a) | | |
| | |
(EUR Swap Annual 5 Year + 3.19%), 2.87%, 5/27/2026 (a) (d) (e) (f) | | |
| | |
Summer BC Holdco A SARL 9.25%, 10/31/2027 (a) | | |
Summer BC Holdco B SARL 5.75%, 10/31/2026 (a) | | |
| | |
|
Petronas Capital Ltd. 3.40%, 4/28/2061 (b) | | |
|
BBVA Bancomer SA (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%), 5.12%, 1/18/2033 (b) (c) (d) | | |
Cemex SAB de CV (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.53%), 5.12%, 6/8/2026 (b) (d) (e) (f) | | |
Fomento Economico Mexicano SAB de CV 3.50%, 1/16/2050 | | |
Petroleos Mexicanos 5.95%, 1/28/2031 | | |
Southern Copper Corp. 5.88%, 4/23/2045 | | |
| | |
|
OCP SA 6.88%, 4/25/2044 (a) | | |
|
| | |
| | |
(EUR Swap Annual 5 Year + 4.67%), 4.37%, 9/22/2025 (a) (c) (d) (e) (f) | | |
| | |
| | |
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.90%), 3.32%, 3/13/2037 (b) (d) | | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.00%, 9/24/2026 (b) (d) | | |
(EUR Swap Annual 5 Year + 4.68%), 4.37%, 6/29/2027 (a) (c) (d) (e) (f) | | |
ING Groep NV (SOFR + 1.83%), 4.02%, 3/28/2028 (d) | | |
Nobel Bidco BV 3.13%, 6/15/2028 (a) | | |
Q-Park Holding I BV 2.00%, 3/1/2027 (a) | | |
Sigma Holdco BV 5.75%, 5/15/2026 (a) | | |
Titan Holdings II BV 5.13%, 7/15/2029 (a) | | |
Trivium Packaging Finance BV 3.75%, 8/15/2026 (a) (g) | | |
UPC Holding BV 3.88%, 6/15/2029 (a) | | |
Ziggo Bond Co. BV 3.38%, 2/28/2030 (a) | | |
| | |
|
ANZ New Zealand Int'l Ltd. 2.55%, 2/13/2030 (b) | | |
|
DNB Bank ASA (UK Government Bond 1 Year Note Generic Bid Yield + 1.35%), 2.62%, 6/10/2026 (a) (d) | | |
|
EDP - Energias de Portugal SA (EUR Swap Annual 5 Year + 1.84%), 1.70%, 7/20/2080 (a) (d) | | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
Abertis Infraestructuras Finance BV | | |
(EUR Swap Annual 5 Year + 3.69%), 3.25%, 11/24/2025 (a) (d) (e) (f) | | |
(EUR Swap Annual 5 Year + 3.27%), 2.62%, 1/26/2027 (a) (d) (e) (f) | | |
Banco Bilbao Vizcaya Argentaria SA (EUR Swap Annual 5 Year + 6.46%), 6.00%, 1/15/2026 (a) (c) (d) (e) (f) | | |
Banco de Sabadell SA (EUR Swap Annual 1 Year + 0.97%), 0.63%, 11/7/2025 (a) (d) | | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (d) | | |
| | |
(EUR Swap Annual 5 Year + 6.22%), 6.37%, 9/19/2023 (a) (c) (d) (e) (f) | | |
(EUR Swap Annual 5 Year + 6.50%), 6.75%, 6/13/2024 (a) (c) (d) (e) (f) | | |
| | |
(EUR Swap Annual 5 Year + 3.62%), 3.75%, 2/15/2029 (a) (d) | | |
Cellnex Finance Co. SA 2.25%, 4/12/2026 (a) | | |
| | |
| | |
| | |
Cirsa Finance International SARL 4.75%, 5/22/2025 (a) | | |
| | |
| | |
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| | |
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|
|
Iberdrola International BV (EUR Swap Annual 5 Year + 2.06%), 2.62%, 12/26/2023 (a) (d) (e) (f) | | |
Kaixo Bondco Telecom SA 5.13%, 9/30/2029 (a) | | |
Lorca Telecom Bondco SA 4.00%, 9/18/2027 (a) | | |
Naturgy Finance BV (EUR Swap Annual 9 Year + 3.08%), 3.38%, 4/24/2024 (a) (d) (e) (f) | | |
Repsol International Finance BV (EUR Swap Annual 10 Year + 4.20%), 4.50%, 3/25/2075 (a) (d) | | |
Telefonica Emisiones SA 5.21%, 3/8/2047 | | |
| | |
Series NC5, (EUR Swap Annual 5 Year + 2.45%), 3.00%, 9/4/2023 (a) (d) (e) (f) | | |
(EUR Swap Annual 8 Year + 2.97%), 3.88%, 6/22/2026 (a) (d) (e) (f) | | |
(EUR Swap Annual 6 Year + 2.87%), 2.88%, 2/24/2028 (a) (d) (e) (f) | | |
| | |
|
Dometic Group AB 3.00%, 5/8/2026 (a) | | |
Svenska Handelsbanken AB (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.05%), 4.75%, 3/1/2031 (a) (c) (d) (e) (f) | | |
| | |
| | |
| | |
Verisure Midholding AB 5.25%, 2/15/2029 (a) | | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
| | |
| | |
(SOFR + 3.34%), 6.37%, 7/15/2026 (b) (d) | | |
| | |
(SOFR + 3.73%), 4.19%, 4/1/2031 (b) (d) | | |
(SOFR + 1.73%), 3.09%, 5/14/2032 (b) (d) | | |
(SOFR + 5.02%), 9.02%, 11/15/2033 (b) (d) | | |
Dufry One BV 2.50%, 10/15/2024 (a) | | |
Holcim Sterling Finance Netherlands BV 2.25%, 4/4/2034 (a) | | |
Swiss Re Finance Luxembourg SA (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 5.00%, 4/2/2049 (b) (d) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (b) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (b) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.40%), 4.99%, 8/5/2033 (b) (d) | | |
Zurich Insurance Co. Ltd. (EURIBOR 3 Month + 3.95%), 3.50%, 10/1/2046 (a) (d) | | |
| | |
|
TSMC Arizona Corp. 4.25%, 4/22/2032 | | |
TSMC Global Ltd. 2.25%, 4/23/2031 (b) | | |
| | |
| | |
|
|
888 Acquisitions Ltd. 7.56%, 7/15/2027 (b) | | |
| | |
| | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.30%, 8/9/2026 (d) | | |
Bellis Acquisition Co. plc | | |
| | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (d) (e) (f) | | |
(EUR Swap Annual 5 Year + 3.88%), 3.25%, 3/22/2026 (a) (d) (e) (f) | | |
(EUR Swap Annual 5 Year + 4.12%), 3.63%, 3/22/2029 (a) (d) (e) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (d) (e) (f) | | |
Centrica plc 4.38%, 3/13/2029 (a) | | |
Constellation Automotive Financing plc 4.88%, 7/15/2027 (a) | | |
CPUK Finance Ltd. 4.50%, 8/28/2027 (a) | | |
EC Finance plc 3.00%, 10/15/2026 (a) | | |
eG Global Finance plc 4.38%, 2/7/2025 (a) | | |
Eversholt Funding plc 2.74%, 6/30/2040 (a) | | |
Gatwick Funding Ltd. 2.50%, 4/15/2030 (a) | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
United Kingdom — continued |
| | |
| | |
| | |
| | |
| | |
(SOFR + 1.54%), 1.64%, 4/18/2026 (d) | | |
(SOFR + 3.03%), 7.34%, 11/3/2026 (d) | | |
| | |
(SOFR + 2.61%), 5.21%, 8/11/2028 (d) | | |
(SOFR + 1.73%), 2.01%, 9/22/2028 (d) | | |
(ICE LIBOR USD 3 Month + 1.61%), 3.97%, 5/22/2030 (d) | | |
(SOFR + 1.41%), 2.87%, 11/22/2032 (d) | | |
Iceland Bondco plc 4.63%, 3/15/2025 (a) | | |
INEOS Quattro Finance 1 plc 3.75%, 7/15/2026 (a) | | |
INEOS Quattro Finance 2 plc 2.50%, 1/15/2026 (a) | | |
INEOS Styrolution Group GmbH 2.25%, 1/16/2027 (a) | | |
International Consolidated Airlines Group SA 1.50%, 7/4/2027 (a) | | |
Jaguar Land Rover Automotive plc | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (c) (d) (e) (f) | | |
| | |
|
United Kingdom — continued |
(U.K. Government Bonds 5 Year Note Generic Bid Yield + 4.99%), 5.13%, 5/12/2027 (c) (d) (e) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.27%), 5.52%, 9/30/2028 (d) | | |
(EURIBOR 3 Month + 0.89%), 0.67%, 9/14/2029 (a) (d) | | |
NGG Finance plc (EUR Swap Annual 5 Year + 2.53%), 2.13%, 9/5/2082 (a) (d) | | |
Pinnacle Bidco plc 5.50%, 2/15/2025 (a) | | |
Punch Finance plc 6.13%, 6/30/2026 (a) | | |
RAC Bond Co. plc 5.25%, 11/4/2027 (a) | | |
Rolls-Royce plc 0.88%, 5/9/2024 (a) | | |
Santander UK Group Holdings plc | | |
(SOFR + 2.75%), 6.83%, 11/21/2026 (d) | | |
(SOFR + 0.99%), 1.67%, 6/14/2027 (d) | | |
(SOFR + 2.60%), 6.53%, 1/10/2029 (d) | | |
South Eastern Power Networks plc 5.63%, 9/30/2030 (a) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 0.99%, 1/12/2025 (b) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 3.97%, 3/30/2026 (b) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (b) (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.45%), 6.30%, 1/9/2029 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
United Kingdom — continued |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.85%), 4.64%, 4/1/2031 (b) (d) | | |
Synthomer plc 3.88%, 7/1/2025 (a) | | |
Virgin Media Finance plc 3.75%, 7/15/2030 (a) | | |
| | |
(EUR Swap Annual 5 Year + 3.43%), 4.20%, 10/3/2078 (a) (d) | | |
(EUR Swap Annual 5 Year + 2.67%), 3.10%, 1/3/2079 (a) (d) | | |
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (d) | | |
Series NC10, (EUR Swap Annual 5 Year + 3.48%), 3.00%, 8/27/2080 (a) (d) | | |
| | |
|
AbbVie, Inc. 4.25%, 11/21/2049 | | |
| | |
| | |
| | |
Aetna, Inc. 2.80%, 6/15/2023 | | |
| | |
| | |
| | |
Alexander Funding Trust 1.84%, 11/15/2023 (b) | | |
American Express Co. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 3.55%, 9/15/2026 (d) (e) (f) | | |
American Medical Systems Europe BV 1.63%, 3/8/2031 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
United States — continued |
| | |
| | |
(SOFR + 1.29%), 5.08%, 1/20/2027 (d) | | |
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (d) | | |
(SOFR + 1.32%), 2.69%, 4/22/2032 (d) | | |
(SOFR + 1.22%), 2.30%, 7/21/2032 (d) | | |
Berkshire Hathaway Energy Co. 4.60%, 5/1/2053 | | |
Boeing Co. (The) 5.81%, 5/1/2050 | | |
BP Capital Markets America, Inc. 2.72%, 1/12/2032 | | |
Bristol-Myers Squibb Co. 2.95%, 3/15/2032 | | |
Capital One Financial Corp. Series M, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 3.95%, 9/1/2026 (d) (e) (f) | | |
CCO Holdings LLC 5.13%, 5/1/2027 (b) | | |
CenterPoint Energy, Inc. 2.95%, 3/1/2030 | | |
CF Industries, Inc. 4.95%, 6/1/2043 | | |
Charles Schwab Corp. (The) | | |
Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.17%), 4.00%, 6/1/2026 (d) (e) (f) | | |
Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%), 4.00%, 12/1/2030 (d) (e) (f) | | |
Charter Communications Operating LLC | | |
| | |
| | |
| | |
Series M, (ICE LIBOR USD 3 Month + 3.42%), 6.30%, 5/15/2024 (d) (e) (f) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
United States — continued |
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025 (d) (e) (f) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (d) (e) (f) | | |
Series Y, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.00%), 4.15%, 11/15/2026 (d) (e) (f) | | |
(SOFR + 1.17%), 2.56%, 5/1/2032 (d) | | |
(SOFR + 1.18%), 2.52%, 11/3/2032 (d) | | |
Comcast Corp. 2.94%, 11/1/2056 | | |
Conagra Brands, Inc. 0.50%, 8/11/2023 | | |
Constellation Energy Generation LLC | | |
| | |
| | |
CVS Health Corp. 5.25%, 2/21/2033 | | |
Danaher Corp. 2.80%, 12/10/2051 | | |
Diamondback Energy, Inc. 3.13%, 3/24/2031 | | |
Discover Bank 4.20%, 8/8/2023 | | |
Discovery Communications LLC 3.63%, 5/15/2030 | | |
Duquesne Light Holdings, Inc. 2.78%, 1/7/2032 (b) | | |
Entergy Texas, Inc. 1.75%, 3/15/2031 | | |
Enterprise Products Operating LLC 5.35%, 1/31/2033 | | |
Fells Point Funding Trust 3.05%, 1/31/2027 (b) | | |
Fidelity National Information Services, Inc. 2.00%, 5/21/2030 | | |
Fiserv, Inc. 1.63%, 7/1/2030 | | |
Ford Motor Credit Co. LLC | | |
| | |
| | |
|
United States — continued |
| | |
| | |
| | |
| | |
General Electric Co. 4.13%, 9/19/2035 (a) | | |
General Motors Financial Co., Inc. 2.75%, 6/20/2025 | | |
Georgia Power Co. Series A, 2.10%, 7/30/2023 | | |
| | |
| | |
| | |
Goldman Sachs Group, Inc. (The) | | |
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), 3.80%, 5/10/2026 (d) (e) (f) | | |
(SOFR + 0.91%), 1.95%, 10/21/2027 (d) | | |
(SOFR + 1.28%), 2.62%, 4/22/2032 (d) | | |
(SOFR + 1.25%), 2.38%, 7/21/2032 (d) | | |
(SOFR + 1.26%), 2.65%, 10/21/2032 (d) | | |
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (b) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Healthpeak Properties Interim, Inc., REIT 5.25%, 12/15/2032 | | |
| | |
| | |
| | |
| | |
| | |
| | |
International Game Technology plc 2.38%, 4/15/2028 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
United States — continued |
Kansas City Southern 3.50%, 5/1/2050 | | |
Kinder Morgan, Inc. 5.20%, 6/1/2033 | | |
Metropolitan Life Global Funding I 3.30%, 3/21/2029 (b) | | |
| | |
(SOFR + 0.46%), 5.02%, 1/25/2024 (d) | | |
(SOFR + 0.62%), 0.73%, 4/5/2024 (d) | | |
(SOFR + 0.88%), 1.59%, 5/4/2027 (d) | | |
(SOFR + 1.61%), 4.21%, 4/20/2028 (d) | | |
(SOFR + 1.73%), 5.12%, 2/1/2029 (d) | | |
(SOFR + 1.18%), 2.24%, 7/21/2032 (d) | | |
(SOFR + 1.20%), 2.51%, 10/20/2032 (d) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (d) | | |
| | |
| | |
| | |
Netflix, Inc. 5.38%, 11/15/2029 (b) | | |
Oracle Corp. 5.55%, 2/6/2053 | | |
Pacific Gas and Electric Co. | | |
| | |
| | |
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (b) (g) | | |
PepsiCo, Inc. 0.75%, 3/18/2027 | | |
PNC Financial Services Group, Inc. (The) | | |
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.60%), 3.40%, 9/15/2026 (d) (e) (f) | | |
(SOFR + 1.93%), 5.07%, 1/24/2034 (d) | | |
Regency Centers LP, REIT 2.95%, 9/15/2029 | | |
| | |
|
United States — continued |
Roper Technologies, Inc. 2.95%, 9/15/2029 | | |
Southern California Edison Co. Series J, 0.70%, 8/1/2023 | | |
Take-Two Interactive Software, Inc. | | |
| | |
| | |
| | |
Thermo Fisher Scientific, Inc. 0.88%, 10/1/2031 | | |
| | |
| | |
| | |
Toyota Motor Credit Corp. 0.50%, 8/14/2023 | | |
Truist Financial Corp. (SOFR + 1.85%), 5.12%, 1/26/2034 (d) | | |
Union Electric Co. 3.90%, 4/1/2052 | | |
Verizon Communications, Inc. | | |
| | |
| | |
| | |
VMware, Inc. 2.20%, 8/15/2031 | | |
Warnermedia Holdings, Inc. | | |
| | |
| | |
| | |
Wells Fargo & Co. Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (d) (e) (f) | | |
| | |
Total Corporate Bonds
(Cost $202,458,387) | | |
Foreign Government Securities — 27.8% |
|
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Foreign Government Securities — continued |
|
Commonwealth of Australia | | |
| | |
| | |
| | |
| | |
|
Kingdom of Bahrain 6.00%, 9/19/2044 (a) | | |
|
Notas do Tesouro Nacional | | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
Republic of Costa Rica 6.13%, 2/19/2031 (a) | | |
|
Republic of Cote d'Ivoire | | |
| | |
| | |
| | |
| | |
Dominican Republic — 0.4% |
Dominican Republic Government Bond | | |
| | |
| | |
| | |
| | |
| | |
|
|
Republic of Ecuador 2.50%, 7/31/2035 (a) (g) | | |
|
Hungary Government Bond 6.75%, 9/25/2052 (b) | | |
|
State of Israel Government Bond 3.38%, 1/15/2050 | | |
|
Italian Republic Government Bond | | |
| | |
| | |
| | |
| | |
|
Republic of Kazakhstan 1.50%, 9/30/2034 (b) | | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
New Zealand Government Bond | | |
| | |
| | |
| | |
|
Federal Republic of Nigeria | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Foreign Government Securities — continued |
|
Sultanate of Oman Government Bond | | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
|
Portuguese Republic 5.13%, 10/15/2024 (a) | | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
Kingdom of Saudi Arabia 5.00%, 1/18/2053 (b) | | |
|
Republic of Senegal 6.25%, 5/23/2033 (a) | | |
|
Republic of Serbia 1.50%, 6/26/2029 (b) | | |
|
| | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
|
Bonos and Obligaciones del Estado | | |
| | |
| | |
| | |
|
Republic of Turkey 9.88%, 1/15/2028 | | |
United Arab Emirates — 0.3% |
United Arab Emirates Government Bond | | |
| | |
| | |
| | |
| | |
|
Oriental Republic of Uruguay 5.10%, 6/18/2050 | | |
Total Foreign Government Securities
(Cost $86,702,556) | | |
Asset-Backed Securities — 2.2% |
|
Bain Capital Credit CLO Ltd. Series 2021-7A, Class A1, 5.96%, 1/22/2035 (b) (i) | | |
Dryden 68 CLO Ltd. Series 2019-68A, Class AR, 5.96%, 7/15/2035 (b) (i) | | |
Galaxy CLO Ltd. Series 2013-15A, Class ARR, 5.76%, 10/15/2030 (b) (i) | | |
Neuberger Berman CLO Series 2013-15A, Class A1R2, 5.71%, 10/15/2029 (b) (i) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Asset-Backed Securities — continued |
|
Accelerated Assets LLC Series 2018-1, Class C, 6.65%, 12/2/2033 (b) | | |
American Credit Acceptance Receivables Trust | | |
Series 2023-1, Class A, 5.45%, 9/14/2026 (b) | | |
Series 2023-1, Class C, 5.59%, 4/12/2029 (b) | | |
BMW Vehicle Lease Trust Series 2023-1, Class A3, 5.16%, 11/25/2025 | | |
Chase Funding Trust Series 2003-6, Class 1A7, 4.84%, 11/25/2034 (g) | | |
Credit-Based Asset Servicing and Securitization LLC Series 2004-CB5, Class M1, 5.53%, 1/25/2034 (i) | | |
| | |
Series 2019-1A, Class D, 3.87%, 11/15/2024 (b) | | |
Series 2019-1A, Class E, 4.94%, 2/17/2026 (b) | | |
Exeter Automobile Receivables Trust Series 2018-3A, Class D, 4.35%, 6/17/2024 (b) | | |
Flagship Credit Auto Trust | | |
Series 2023-1, Class A3, 5.01%, 8/16/2027 (b) | | |
Series 2023-1, Class B, 5.05%, 1/18/2028 (b) | | |
FREED ABS Trust Series 2022-3FP, Class B, 5.79%, 8/20/2029 (b) | | |
GM Financial Automobile Leasing Trust | | |
Series 2023-1, Class A2B, 5.10%, 6/20/2025 (i) | | |
Series 2023-1, Class A3, 5.16%, 4/20/2026 | | |
GoldenTree Loan Opportunities Ltd. Series 2015-10A, Class AR, 5.93%, 7/20/2031 (b) (i) | | |
JetBlue Pass-Through Trust | | |
Series 2019-1, Class B, 8.00%, 11/15/2027 | | |
Series 2019-1, Class A, 2.95%, 5/15/2028 | | |
| | |
|
United States — continued |
Series 2020-1, Class B, 7.75%, 11/15/2028 | | |
Lendmark Funding Trust Series 2019-2A, Class C, 3.72%, 4/20/2028 (b) | | |
Progress Residential Series 2021-SFR1, Class E, 2.11%, 4/17/2038 (b) | | |
Santander Revolving Auto Loan Trust | | |
Series 2019-A, Class C, 3.00%, 1/26/2032 (b) | | |
Series 2019-A, Class D, 3.45%, 1/26/2032 (b) | | |
Structured Asset Investment Loan Trust Series 2005-HE3, Class M1, 5.34%, 9/25/2035 (i) | | |
US Auto Funding Series 2021-1A, Class C, 2.20%, 5/15/2026 (b) | | |
| | |
Total Asset-Backed Securities
(Cost $6,396,023) | | |
Commercial Mortgage-Backed Securities — 1.6% |
|
BAMLL Re-REMIC Trust Series 2014-FRR4, Class BK29, PO, 4/27/2023 ‡ (b) | | |
| | |
Series 2018-BN10, Class C, 4.16%, 2/15/2061 (i) | | |
Series 2018-BN13, Class C, 4.58%, 8/15/2061 (i) | | |
Series 2019-BN20, Class C, 3.66%, 9/15/2062 (i) | | |
Benchmark Mortgage Trust Series 2019-B11, Class C, 3.75%, 5/15/2052 (i) | | |
BHMS Series 2018-ATLS, Class A, 5.84%, 7/15/2035 (b) (i) | | |
Cascade Funding Mortgage Trust Series 2021-FRR1, Class BK45, 2.10%, 2/28/2025 (b) (i) | | |
CCUBS Commercial Mortgage Trust Series 2017-C1, Class C, 4.43%, 11/15/2050 (i) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Commercial Mortgage-Backed Securities — continued |
United States — continued |
CD Mortgage Trust Series 2016-CD2, Class C, 3.98%, 11/10/2049 (i) | | |
Citigroup Commercial Mortgage Trust Series 2014-GC23, Class C, 4.43%, 7/10/2047 (i) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series K033, Class X1, IO, 0.28%, 7/25/2023 (i) | | |
Series K739, Class X1, IO, 1.22%, 9/25/2027 (i) | | |
Series K153, Class X3, IO, 3.78%, 4/25/2035 (i) | | |
Series K036, Class X3, IO, 2.12%, 12/25/2041 (i) | | |
Series K041, Class X3, IO, 1.64%, 11/25/2042 (i) | | |
Series K054, Class X3, IO, 1.60%, 4/25/2043 (i) | | |
Series K050, Class X3, IO, 1.55%, 10/25/2043 (i) | | |
Series K051, Class X3, IO, 1.61%, 10/25/2043 (i) | | |
Series K052, Class X3, IO, 1.61%, 1/25/2044 (i) | | |
Series K726, Class X3, IO, 2.15%, 7/25/2044 (i) | | |
Series K067, Class X3, IO, 2.11%, 9/25/2044 (i) | | |
Series K072, Class X3, IO, 2.14%, 12/25/2045 (i) | | |
Series K089, Class X3, IO, 2.30%, 1/25/2046 (i) | | |
Series K078, Class X3, IO, 2.21%, 6/25/2046 (i) | | |
Series K088, Class X3, IO, 2.35%, 2/25/2047 (i) | | |
FREMF Series 2018-KF46, Class B, 6.52%, 3/25/2028 (b) (i) | | |
| | |
Series 2017-KF31, Class B, 7.47%, 4/25/2024 (b) (i) | | |
Series 2017-KF36, Class B, 7.22%, 8/25/2024 (b) (i) | | |
Series 2017-KF38, Class B, 7.07%, 9/25/2024 (b) (i) | | |
| | |
|
United States — continued |
Series 2018-KF47, Class B, 6.57%, 5/25/2025 (b) (i) | | |
Series 2018-KF49, Class B, 6.47%, 6/25/2025 (b) (i) | | |
Series 2017-K728, Class B, 3.65%, 11/25/2050 (b) (i) | | |
Series 2017-K728, Class C, 3.65%, 11/25/2050 (b) (i) | | |
GNMA Series 2017-23, IO, 0.61%, 5/16/2059 (i) | | |
GS Mortgage Securities Trust | | |
Series 2012-GCJ9, Class D, 4.61%, 11/10/2045 (b) (i) | | |
Series 2015-GC30, Class C, 4.07%, 5/10/2050 (i) | | |
JPMBB Commercial Mortgage Securities Trust | | |
Series 2015-C30, Class C, 4.23%, 7/15/2048 (i) | | |
Series 2015-C31, Class C, 4.62%, 8/15/2048 (i) | | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-JP4, Class C, 3.38%, 12/15/2049 (i) | | |
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 (i) | | |
Morgan Stanley Bank of America Merrill Lynch Trust | | |
Series 2014-C14, Class C, 5.06%, 2/15/2047 (i) | | |
Series 2015-C24, Class C, 4.33%, 5/15/2048 (i) | | |
Morgan Stanley Capital I Trust | | |
Series 2005-HQ7, Class E, 5.49%, 11/14/2042 (i) | | |
Series 2015-MS1, Class B, 4.02%, 5/15/2048 (i) | | |
UBS Commercial Mortgage Trust Series 2017-C7, Class B, 4.29%, 12/15/2050 (i) | | |
Velocity Commercial Capital Loan Trust | | |
Series 2018-2, Class A, 4.05%, 10/26/2048 (b) (i) | | |
Series 2019-1, Class M1, 3.94%, 3/25/2049 (b) (i) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
United States — continued |
Wells Fargo Commercial Mortgage Trust | | |
Series 2016-C35, Class C, 4.18%, 7/15/2048 (i) | | |
Series 2019-C49, Class C, 4.87%, 3/15/2052 (i) | | |
Total Commercial Mortgage-Backed Securities
(Cost $5,232,023) | | |
Collateralized Mortgage Obligations — 1.1% |
|
Brass NO 8 plc Series 8A, Class A1, 5.57%, 11/16/2066 (b) (i) | | |
|
| | |
Series 2004-25CB, Class A1, 6.00%, 12/25/2034 | | |
Series 2005-6CB, Class 1A6, 5.50%, 4/25/2035 | | |
Series 2005-80CB, Class 5A1, 6.00%, 2/25/2036 | | |
Series 2007-2CB, Class 1A6, 5.75%, 3/25/2037 | | |
Chase Mortgage Finance Trust Series 2007-A1, Class 1A5, 3.80%, 2/25/2037 (i) | | |
CHL Mortgage Pass-Through Trust Series 2007-16, Class A1, 6.50%, 10/25/2037 | | |
Connecticut Avenue Securities Trust Series 2023-R02, Class 1M1, 6.79%, 1/25/2043 (b) (i) | | |
| | |
Series 2916, Class S, IF, IO, 2.66%, 1/15/2035 (i) | | |
Series 4305, Class SK, IF, IO, 2.01%, 2/15/2044 (i) | | |
Series 4689, Class SD, IF, IO, 1.56%, 6/15/2047 (i) | | |
Series 4714, Class SA, IF, IO, 1.56%, 8/15/2047 (i) | | |
Series 5022, IO, 3.00%, 9/25/2050 | | |
Series 5023, Class MI, IO, 3.00%, 10/25/2050 | | |
| | |
|
United States — continued |
Series 4839, Class WS, IF, IO, 1.51%, 8/15/2056 (i) | | |
| | |
Series 2012-146, Class AI, IO, 3.00%, 1/25/2028 | | |
Series 2016-68, Class BI, IO, 3.00%, 10/25/2031 | | |
Series 2012-93, Class SE, IF, IO, 1.48%, 9/25/2042 (i) | | |
Series 2012-124, Class UI, IO, 4.00%, 11/25/2042 | | |
Series 2012-133, Class NS, IF, IO, 1.53%, 12/25/2042 (i) | | |
Series 2015-40, Class LS, IF, IO, 1.55%, 6/25/2045 (i) | | |
Series 2016-75, Class SC, IF, IO, 1.48%, 10/25/2046 (i) | | |
Series 2017-31, Class SG, IF, IO, 1.48%, 5/25/2047 (i) | | |
Series 2017-39, Class ST, IF, IO, 1.48%, 5/25/2047 (i) | | |
Series 2017-69, Class SH, IF, IO, 1.58%, 9/25/2047 (i) | | |
Series 2019-42, Class SK, IF, IO, 1.43%, 8/25/2049 (i) | | |
FNMA, STRIPS Series 409, Class 27, IO, 4.00%, 4/25/2027 (i) | | |
| | |
Series 2017-107, Class KS, IF, IO, 1.60%, 7/20/2047 (i) | | |
Series 2015-H13, Class GI, IO, 1.41%, 4/20/2065 (i) | | |
Merrill Lynch Mortgage Investors Trust Series 2004-C, Class A1, 5.18%, 7/25/2029 (i) | | |
MFA Trust Series 2023-RTL1, Class A1, 7.58%, 8/25/2027 (b) (g) | | |
PNMAC GMSR ISSUER TRUST Series 2018-GT2, Class A, 7.27%, 8/25/2025 (b) (i) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Collateralized Mortgage Obligations — continued |
United States — continued |
Structured Adjustable Rate Mortgage Loan Trust Series 2004-8, Class 3A, 4.96%, 7/25/2034 (i) | | |
VM Master Issuer LLC Series 2022-1, Class A1, 5.16%, 5/24/2025 ‡ (b) (i) | | |
| | |
Total Collateralized Mortgage Obligations
(Cost $3,936,918) | | |
|
African Export-Import Bank (The), 5.25%, 10/11/2023 (a) | | |
European Union, 0.10%, 10/4/2040 (a) | | |
Total Supranational
(Cost $1,415,773) | | |
| | |
|
|
Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD ‡ *(Cost $—) | | |
| | |
Short-Term Investments — 0.2% |
Investment Companies — 0.2% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (l) (m)(Cost $486,978) | | |
Total Investments — 94.9%
(Cost $306,628,658) | | |
Other Assets Less Liabilities — 5.1% | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| |
| |
| |
| Collateralized Loan Obligations |
| |
| Euro Interbank Offered Rate |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| |
| Government National Mortgage Association |
| Intercontinental Exchange |
| Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of February 28, 2023. The rate may be subject to a cap and floor. |
| 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. |
| |
| London Interbank Offered Rate |
| |
| |
| 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. |
| Limited liability company |
| Real Estate Investment Trust |
| Real Estate Mortgage Investment Conduit |
| Combined Real Estate Mortgage Investment Conduit |
| Secured Overnight Financing Rate |
| Compounding index of the Secured Overnight Financing Rate |
| Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
| |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| Non-income producing security. | |
| 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. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at February 28, 2023 is $6,110,718 or 2.15% of the Fund’s net assets as of February 28, 2023 . | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
| Security is an interest bearing note with preferred security characteristics. | |
| Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of February 28, 2023. | |
| Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 28, 2023. | |
| Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
| Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2023. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| | |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| The rate shown is the current yield as of February 28, 2023. | |
Futures contracts outstanding as of February 28, 2023:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
U.S. Treasury 10 Year Note | | | | | |
| | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
U.S. Treasury 10 Year Ultra Note | | | | | |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
Forward foreign currency exchange contracts outstanding as of February 28, 2023:
| | | | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Merrill Lynch International | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International** | | |
| | | | Goldman Sachs International** | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International** | | |
| | | | | | |
| | | | Goldman Sachs International | | |
| | | | | | |
| | | | | | |
| | | | | | |
Total unrealized appreciation | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Merrill Lynch International | | |
| | | | Goldman Sachs International** | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International** | | |
| | | | | | |
| | | | Goldman Sachs International | | |
| | | | | | |
| | | | Merrill Lynch International | | |
Total unrealized depreciation | |
Net unrealized appreciation | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan International Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
Centrally Cleared interest rate swap contracts outstanding as of February 28, 2023:
| | | | | UPFRONT
PAYMENTS
(RECEIPTS)($) | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)($) |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
|
| Value of floating rate index at February 28, 2023 was as follows: |
| |
| Secured Overnight Financing Rate |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023
| | |
|
|
Black Belt Energy Gas District, Gas Project | | |
Series E, Rev., 5.00%, 6/1/2028 (a) (b) | | |
Series 2022C-1, Rev., 5.25%, 6/1/2029 (a) (b) | | |
Series 2021A, Rev., LIQ : Royal Bank of Canada, 4.00%, 12/1/2031 (a) (b) | | |
Black Belt Energy Gas District, Gas Project No. 8 Series 2022A, Rev., 4.00%, 12/1/2029 (a) (b) | | |
City of Pell City, Warrants Series 2015A, GO, 5.00%, 2/1/2025 (a) | | |
Selma Industrial Development Board, International Paper Co. Project Series 2020A, Rev., 1.37%, 6/16/2025 (a) (b) | | |
Southeast Alabama Gas Supply District (The), Project No. 1 Series 2018A, Rev., 4.00%, 4/1/2024 (a) (b) | | |
Southeast Energy Authority A Cooperative District, Project No. 2 Series 2021B, Rev., 4.00%, 12/1/2031 (a) (b) | | |
Southeast Energy Authority A Cooperative District, Project No. 3 Series 2022A-1, Rev., 5.50%, 12/1/2029 (a) (b) | | |
Southeast Energy Authority A Cooperative District, Project No. 4 Series 2022B-1, Rev., 5.00%, 8/1/2028 (a) (b) | | |
University of Alabama (The), Huntsville General Fee Series B-2, Rev., 5.00%, 9/1/2031 (a) | | |
| | |
|
Alaska Industrial Development and Export Authority, Tanana Chiefs Conference Project Series 2019A, Rev., 5.00%, 10/1/2024 (a) | | |
Alaska Municipal Bond Bank Authority | | |
Series 3, Rev., 5.00%, 10/1/2025 (a) | | |
Series 3, Rev., 5.00%, 12/1/2028 (a) | | |
| | |
|
| | |
Series 2020A, Rev., 5.00%, 7/1/2030 (a) | | |
Series A, Rev., 5.00%, 7/1/2033 (a) | | |
Arizona Industrial Development Authority, Academies of Math and Science Projects | | |
Rev., 5.00%, 7/1/2032 (a) (c) | | |
Rev., 4.50%, 7/1/2033 (a) (c) | | |
| | |
|
|
Arizona Industrial Development Authority, Cadence Campus Project | | |
Series 2020A, Rev., 4.00%, 7/15/2030 (a) (c) | | |
Series 2020A, Rev., 4.00%, 7/15/2040 (a) (c) | | |
Arizona Industrial Development Authority, Equitable School Revolving Fund LLC | | |
Series A, Rev., 5.00%, 11/1/2033 (a) | | |
Series A, Rev., 5.00%, 11/1/2044 (a) | | |
Arizona Industrial Development Authority, Great Lakes Senior Living Communities LLC Project Series 2019A, Rev., 5.00%, 1/1/2036 (a) | | |
Arizona Industrial Development Authority, KIPP Nashville Project | | |
Series A, Rev., 5.00%, 7/1/2028 (a) | | |
Series A, Rev., 5.00%, 7/1/2029 (a) | | |
Arizona Industrial Development Authority, Macombs Facility Project Series 2021A, Rev., 4.00%, 7/1/2051 (a) | | |
Arizona Industrial Development Authority, National Charter School Revolving Loan Fund Series 2020A, Rev., 4.00%, 11/1/2038 (a) | | |
Arizona Industrial Development Authority, Phoenix Children's Hospital Series 2020A, Rev., 5.00%, 2/1/2031 (a) | | |
Arizona Industrial Development Authority, Pinecrest Academy of Northern Nevada Project Series 2022A, Rev., 4.50%, 7/15/2029 (a) (c) | | |
City of Mesa, Excise Tax Rev., 5.00%, 7/1/2031 (a) | | |
City of Phoenix Civic Improvement Corp. Series 2019A, Rev., 5.00%, 7/1/2044 (a) | | |
City of Phoenix Civic Improvement Corp., Junior Lien, Airport System Series 2017D, Rev., 5.00%, 7/1/2026 (a) | | |
Industrial Development Authority of the County of Pima (The), La Posada at Pusch Ridge Project Series 2022B-3, Rev., 5.13%, 11/15/2029 (a) (c) | | |
Maricopa County Industrial Development Authority, Banner Health Series A, Rev., 4.00%, 1/1/2041 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Maricopa County School District No. 3, Tempe Elementary, School Improvement, Project of 2016 Series 2017A, GO, 5.00%, 7/1/2027 (a) | | |
Maricopa County Unified School District No. 60 Higley COP, AGM, 5.00%, 6/1/2036 (a) | | |
Salt Verde Financial Corp. Rev., 5.25%, 12/1/2026 (a) | | |
| | |
|
City of Fort Smith, Water and Sewer Construction Rev., 5.00%, 10/1/2024 (a) | | |
|
Azusa Unified School District, Election of 2014 | | |
Series 2022D, GO, 5.00%, 8/1/2029 (a) | | |
Series 2022D, GO, 5.00%, 8/1/2032 (a) | | |
Brentwood Infrastructure Financing Authority, Civic Center Project Rev., 5.00%, 10/1/2025 (a) | | |
California Community Choice Financing Authority, Clean Energy Project | | |
Series 2023A-1, Rev., 5.00%, 8/1/2029 (a) (b) | | |
Series 2021B-1, Rev., 4.00%, 8/1/2031 (a) (b) | | |
California Enterprise Development Authority, Riverside County, Rocketship Public Schools-Obligated Group No. 2 Series 2022A, Rev., 4.00%, 6/1/2027 (a) (c) | | |
California Health Facilities Financing Authority, Kaiser Permanente Series 2006C, Rev., 5.00%, 11/1/2029 (a) (b) | | |
California Health Facilities Financing Authority, On Lok Senior Health Service | | |
Rev., 3.00%, 8/1/2023 (a) | | |
Rev., 5.00%, 8/1/2040 (a) | | |
California Municipal Finance Authority, Community Health System Series 2021A, Rev., 5.00%, 2/1/2033 (a) | | |
California Municipal Finance Authority, San Antonio Gardens Project Rev., 5.00%, 11/15/2039 (a) | | |
California Municipal Finance Authority, Waste Management, Inc. Project Series 2022-A, Rev., AMT, 4.13%, 10/1/2025 (a) (b) | | |
| | |
|
|
California Pollution Control Financing Authority, Poseidon Resources Channelside LP Desalination Project Rev., AMT, 5.00%, 7/1/2036 (a) (c) (d) | | |
California Public Finance Authority, Enso Village Project Series 2021B-1, Rev., 3.13%, 5/15/2029 (a) (c) | | |
California School Finance Authority, Kipp SoCal Public Schools Series A, Rev., 5.00%, 7/1/2039 (a) (c) | | |
California Statewide Communities Development Authority, Emanate Health, Tax-Exempt Series 2020A, Rev., 5.00%, 4/1/2030 (a) | | |
California Statewide Communities Development Authority, San Francisco Campus for Jewish Living Project | | |
Rev., 4.00%, 11/1/2027 (a) | | |
Rev., 4.00%, 11/1/2029 (a) | | |
Chula Vista Municipal Financing Authority Rev., 4.00%, 5/1/2026 (a) | | |
City of Aliso Viejo COP, 4.00%, 11/1/2028 (a) | | |
City of Los Angeles Department of Airports, International Airport Senior Series A, Rev., AMT, 5.00%, 5/15/2033 (a) | | |
City of Los Angeles Department of Airports, International Airport Subordinate | | |
Series 2019E, Rev., AMT, 5.00%, 5/15/2026 (a) | | |
Series 2021A, Rev., AMT, 5.00%, 5/15/2039 (a) | | |
City of Roseville, 316 Vernon Street Project COP, 5.00%, 8/1/2025 (a) | | |
City of Santa Rosa, Courthouse Square Project and Lease COP, 4.00%, 10/1/2024 (a) | | |
County of San Joaquin, Administration Building Project COP, AGM, 5.00%, 11/15/2027 (a) | | |
CSCDA Community Improvement Authority, Essential Housing, Pasadena Portfolio Series 2021A-1, Rev., 2.65%, 12/1/2046 (a) (c) | | |
CSCDA Community Improvement Authority, Essential Housing, Towne at Glendale Apartments Series 2022B, Rev., 5.00%, 9/1/2037 (a) (c) | | |
El Monte City School District, Election of 2014 Series A, GO, 5.00%, 8/1/2025 (a) | | |
Golden State Tobacco Securitization Corp., Enhanced Tobacco Settlement Series 2018A-1, Rev., 5.00%, 6/1/2028 (a) (e) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Hermosa Beach City School District, Election of 2016 Series 2016A, GO, 4.00%, 8/1/2023 (a) | | |
Indian Wells Financing Authority, Solar and Infrastructure Project Rev., 5.00%, 4/1/2029 (a) | | |
Indio Finance Authority, City of Indio | | |
Series A, Rev., 5.00%, 11/1/2028 (a) | | |
Series A, Rev., 5.00%, 11/1/2029 (a) | | |
Series A, Rev., 5.00%, 11/1/2030 (a) | | |
Series A, Rev., 5.00%, 11/1/2034 (a) | | |
Los Angeles Department of Water and Power System Revenue Series 2022A, Rev., 5.00%, 7/1/2030 (a) | | |
Los Angeles Department of Water and Power, Water System Series A, Subseries A-2, Rev., VRDO, LIQ : Barclays Bank plc, 1.55%, 3/1/2023 (a) (b) | | |
Los Angeles Unified School District Series 2021A, GO, 5.00%, 7/1/2030 (a) | | |
Ontario Public Financing Authority, Civic Center Improvements Series 2022A, Rev., AGM, 5.00%, 11/1/2033 (a) | | |
Orange County Community Facilities District No. 2021-1, Rienda Series A, Rev., 5.00%, 8/15/2037 (a) | | |
Petaluma Public Financing Authority, Road Improvement Projects Rev., 5.00%, 5/1/2026 (a) | | |
Redding Joint Powers Financing Authority Series 2019A, Rev., 5.00%, 4/1/2026 (a) | | |
River Islands Public Financing Authority, Facilities District No. 2003 | | |
Series 2022A-1, Rev., AGM, 5.00%, 9/1/2029 (a) | | |
Series 2022A-1, Rev., AGM, 5.00%, 9/1/2030 (a) | | |
Salinas Union High School District, Election of 2020 Series A, GO, 4.00%, 8/1/2047 (a) | | |
San Diego Redevelopment Agency Successor Agency Series A, Rev., 5.00%, 9/1/2023 (a) | | |
San Dieguito Union High School District, Election of 2012 Series A-2, GO, 5.00%, 8/1/2024 (a) | | |
San Francisco Bay Area Rapid Transit District, Election of 2016 Series C-1, GO, 4.00%, 8/1/2035 (a) | | |
| | |
|
|
San Francisco City and County Public Utilities Commission Wastewater Series B, Rev., 5.00%, 10/1/2034 (a) | | |
San Ramon Valley Fire Protection District, Public Safety Complex and Fire Training Facility Projects COP, 4.00%, 8/1/2032 (a) | | |
Sanger Unified School District | | |
COP, AGM, 5.00%, 6/1/2034 (a) | | |
COP, AGM, 5.00%, 6/1/2035 (a) | | |
Santa Cruz County Capital Financing Authority Series 2020A, Rev., 4.00%, 6/1/2025 (a) | | |
Sierra View Local Health Care District Rev., 4.00%, 7/1/2023 (a) | | |
Solano Irrigation District, Water COP, 4.00%, 8/1/2031 (a) | | |
South San Francisco Public Facilities Financing Authority, Community Civic Campus and Multiple Capital Projects Series 2021A, Rev., 4.00%, 6/1/2029 (a) | | |
South San Francisco Public Facilities Financing Authority, Multiple Capital Project Series 2022A, Rev., 5.00%, 6/1/2029 (a) | | |
State of California, Various Purpose GO, 5.00%, 11/1/2032 (a) | | |
Tobacco Securitization Authority of Northern California Series 2021A, Class 1, Rev., 5.00%, 6/1/2032 (a) | | |
Tracy Public Financing Authority, Legacy Fields Series 2022A, Rev., 5.00%, 11/1/2036 (a) | | |
University of California Series 2018AZ, Rev., 4.00%, 5/15/2029 (a) | | |
Vallecito Union School District Series A, GO, 5.00%, 8/1/2031 (a) | | |
West Hills Community College District GO, AGM, 5.00%, 8/1/2026 (a) | | |
Yucaipa Valley Water District Financing Authority, Water & Sewer Revenue Series A, Rev., 5.00%, 9/1/2034 (a) | | |
| | |
|
Board of Water Commissioners City and County of Denver (The) Series B, Rev., 4.00%, 9/15/2034 (a) | | |
City and County of Denver Series 2020B, GO, 5.00%, 8/1/2029 (a) | | |
City and County of Denver, Airport System | | |
Series 2018A, Rev., AMT, 5.00%, 12/1/2029 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Series 2022-A, Rev., AMT, 5.00%, 11/15/2032 (a) | | |
Series A, Rev., AMT, 5.00%, 12/1/2035 (a) | | |
Series A, Rev., AMT, 5.50%, 11/15/2042 (a) | | |
Colorado Educational and Cultural Facilities Authority, Aspen View Academy Project Rev., 4.00%, 5/1/2036 (a) | | |
Colorado Educational and Cultural Facilities Authority, Vega Collegiate Academy Project Series 2021A, Rev., 5.00%, 2/1/2051 (a) (c) | | |
Colorado Health Facilities Authority, Tax Exempt Series 2021B-3, Rev., 2.13%, 5/15/2028 (a) | | |
Colorado Higher Education, Capital Construction, Lease Purchase Financing Program | | |
Series 2014A, COP, 5.00%, 11/1/2025 (a) | | |
| | |
| | |
COP, 5.00%, 12/1/2023 (a) | | |
COP, 5.00%, 12/1/2024 (a) | | |
Dominion Water and Sanitation District Rev., 5.00%, 12/1/2027 (a) | | |
Regional Transportation District, Denver Transit Partners | | |
Rev., 5.00%, 7/15/2029 (a) | | |
Rev., 5.00%, 1/15/2030 (a) | | |
Rev., 5.00%, 7/15/2030 (a) | | |
Rev., 5.00%, 1/15/2031 (a) | | |
Series A, Rev., 4.00%, 7/15/2036 (a) | | |
Southlands Metropolitan District No. 1 Series A-1, GO, 5.00%, 12/1/2037 (a) | | |
State of Colorado Series S, COP, 4.00%, 3/15/2037 (a) | | |
STC Metropolitan District No. 2, Limited Tax Improvement Series 2019A, GO, 5.00%, 12/1/2038 (a) | | |
University of Colorado, Enterprise System Series A-2, Rev., 5.00%, 6/1/2026 (a) | | |
| | |
|
Metropolitan District (The) Series 2021A, GO, 5.00%, 9/1/2030 (a) | | |
| | |
|
|
Stamford Housing Authority, The Dogwoods Project Rev., BAN, 11.00%, 12/1/2027 (a) (c) | | |
State of Connecticut Series A, GO, 5.00%, 4/15/2033 (a) | | |
State of Connecticut, Special Tax Transportation Infrastructure Purposes Series B, Rev., 5.00%, 8/1/2023 (a) | | |
University of Connecticut Series 2017-A, Rev., 5.00%, 1/15/2028 (a) | | |
| | |
|
Delaware State Economic Development Authority, Newark Charter School, Inc. Project | | |
Rev., 4.00%, 9/1/2025 (a) | | |
Rev., 4.00%, 9/1/2026 (a) | | |
Delaware State Economic Development Authority, St. Andrews School Project Rev., 4.00%, 7/1/2041 (a) | | |
| | |
District of Columbia — 1.4% |
District of Columbia Water and Sewer Authority Series 2022C1, Rev., 4.00%, 10/1/2040 (a) | | |
District of Columbia, Income Tax Series 2019A, Rev., 5.00%, 3/1/2029 (a) | | |
District of Columbia, International School | | |
Rev., 5.00%, 7/1/2028 (a) | | |
Rev., 5.00%, 7/1/2039 (a) | | |
District of Columbia, Kipp DC Project Rev., 4.00%, 7/1/2039 (a) | | |
District of Columbia, Water and Sewer Authority, Public Utility, Senior Lien Series B, Rev., 5.00%, 10/1/2025 (a) | | |
Metropolitan Washington Airports Authority Aviation | | |
Series 2021-A, Rev., AMT, 5.00%, 10/1/2028 (a) | | |
Series A, Rev., AMT, 5.00%, 10/1/2031 (a) | | |
Total District of Columbia | | |
|
Charlotte County Industrial Development Authority, Town and Country Utilities Project Series 2021A, Rev., AMT, 4.00%, 10/1/2041 (a) (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
City of Cape Coral, Florida Special Obligation Rev., 5.00%, 10/1/2024 (a) | | |
City of Jacksonville Series 2022A, Rev., 5.00%, 10/1/2031 (a) | | |
City of Kissimmee Rev., 4.00%, 10/1/2025 (a) | | |
City of Lakeland, Lakeland Regional Health Systems Rev., 5.00%, 11/15/2023 (a) | | |
City of Miami Beach, Water and Sewer Rev., 5.00%, 9/1/2033 (a) | | |
City of Orlando, Capital Improvement Series B, Rev., 5.00%, 10/1/2024 (a) | | |
City of Pompano Beach, John Knox Village Project Rev., 3.50%, 9/1/2030 (a) | | |
City of Tampa, H. Lee Moffitt Cancer Center Project Series 2016B, Rev., 5.00%, 7/1/2024 (a) | | |
County of Broward, Port Facilities Series 2019A, Rev., 5.00%, 9/1/2030 (a) | | |
County of Hillsborough, Communications Services Tax Rev., 5.00%, 10/1/2024 (a) | | |
County of Lee, Airport Series 2021A, Rev., AMT, 5.00%, 10/1/2031 (a) | | |
County of Miami-Dade Series A, Rev., AMT, 5.00%, 10/1/2034 (a) | | |
County of Miami-Dade, Jackson Health System Series 2015A, Rev., 5.00%, 6/1/2025 (a) | | |
County of Okaloosa, Sales Tax Rev., 5.00%, 10/1/2024 (a) | | |
County of Osceola, Sales Tax Series 2016A, Rev., 4.00%, 10/1/2023 (a) | | |
County of Palm Beach, Palm Beach Atlantic University | | |
Series 2019A, Rev., 5.00%, 4/1/2029 (a) (c) | | |
Series 2019A, Rev., 5.00%, 4/1/2039 (a) (c) | | |
County of Seminole, Special Obligation Rev., 4.00%, 10/1/2024 (a) | | |
Duval County Public Schools Series 2022-A, COP, AGM, 5.00%, 7/1/2034 (a) | | |
East Central Regional Wastewater Treatment Facilities Operation Board, Biosolids Project Rev., 5.00%, 10/1/2024 (a) | | |
Florida Atlantic University Finance Corp., Student Housing Project Series 2019B, Rev., 5.00%, 7/1/2032 (a) | | |
| | |
|
|
Florida Department of Children and Families, Evaluation Treatment Center Financing Corp. Project Series 2021B, COP, 5.00%, 10/1/2028 (a) | | |
Florida Development Finance Corp., Educational Facilities, River City Science Academy Projects | | |
Series 2022A-1, Rev., 4.00%, 7/1/2031 (a) | | |
Rev., 4.00%, 7/1/2035 (a) | | |
Series 2022A-1, Rev., 5.00%, 7/1/2042 (a) | | |
Florida Development Finance Corp., IDEA Florida, Inc., Jacksonville IV Project Rev., 5.25%, 6/15/2029 (a) (c) | | |
Florida Development Finance Corp., The Glenridge on Palmer Ranch Project Rev., 3.00%, 6/1/2023 (a) | | |
Florida Municipal Loan Council, Village of Palmetto Bay Series 2021A, Rev., 4.00%, 10/1/2028 (a) | | |
Florida Municipal Power Agency, All-Requirements Power Supply Project Series 2016A, Rev., 5.00%, 10/1/2024 (a) | | |
Florida State Board of Governors, University of Florida Mandatory Student Fee Series 2021A, Rev., AGM, 5.00%, 11/1/2028 (a) | | |
Middleton Community Development District A, City of Wildwood, Florida Special Assessment | | |
| | |
| | |
Monroe County School District Series 2018A, COP, 4.00%, 6/1/2025 (a) | | |
Orange County Health Facilities Authority, Orlando Health Obligated Group Series 2023A, Rev., 5.00%, 10/1/2036 (a) | | |
Orange County Health Facilities Authority, The Nemours Foundation Project Series 2009C-2, Rev., VRDO, LOC : TD Bank NA, 2.60%, 3/9/2023 (a) (b) | | |
Orange County School Board Series 2015D, COP, 5.00%, 8/1/2025 (a) | | |
Palm Beach County Health Facilities Authority, Acts Retirement Life Communities, Inc., Obligated Group Rev., 5.00%, 11/15/2032 (a) | | |
Palm Beach County Health Facilities Authority, Jupiter Medical Center Series A, Rev., 5.00%, 11/1/2030 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Pinellas County Industrial Development Authority, Drs. Kiran & Pallavi Patel 2017 Foundation for Global Understanding, Inc., Project Rev., 5.00%, 7/1/2029 (a) | | |
Reedy Creek Improvement District, Ad Valorem Tax Series 2016-A, GO, 5.00%, 6/1/2026 (a) | | |
School District of Broward County Series A, COP, 5.00%, 7/1/2028 (a) | | |
Seminole County Industrial Development Authority, Galileo Schools for Gifted Learning Series 2021A, Rev., 4.00%, 6/15/2036 (a) (c) | | |
State of Florida Board of Education, Public Education Capital Outlay | | |
Series B, GO, 5.00%, 6/1/2024 (a) | | |
Series B, GO, 5.00%, 6/1/2026 (a) | | |
Series B, GO, 5.00%, 6/1/2031 (a) | | |
State of Florida Department of Transportation, Indirect Garvee Series 2021A, Rev., 5.00%, 7/1/2023 (a) | | |
State of Florida, State Board of Education, Lottery Series 2016A, Rev., 5.00%, 7/1/2026 (a) | | |
Tampa Bay Water, Regional Water Supply Authority, Utility System Series C, Rev., 5.00%, 10/1/2025 (a) | | |
Tampa-Hillsborough County Expressway Authority Series B, Rev., 5.00%, 7/1/2031 (a) | | |
Tohopekaliga Water Authority, Utility System Rev., 5.00%, 10/1/2025 (a) | | |
University of Florida Department of Housing & Residence Education Hsg Sys Rev Series 2021A, Rev., 5.00%, 7/1/2026 (a) | | |
| | |
|
City of Atlanta Series 2019-B, Rev., AMT, 5.00%, 7/1/2031 (a) | | |
City of Atlanta, Airport Passenger Facility Charge Series 2019D, Rev., AMT, 4.00%, 7/1/2037 (a) | | |
Clayton County Development Authority, Clayton State University Rev., 5.00%, 7/1/2034 (a) | | |
County of DeKalb, Water and Sewerage Series 2006B, Rev., 5.25%, 10/1/2026 (a) | | |
| | |
|
|
Georgia Higher Education Facilities Authority, USG Real Estate Foundation II LLC Projects Rev., 4.00%, 6/15/2038 (a) | | |
Georgia Ports Authority Rev., 4.00%, 7/1/2052 (a) | | |
Glynn-Brunswick Memorial Hospital Authority, Southeast Georgia Health System Project Rev., 4.00%, 8/1/2037 (a) | | |
Lee County School District Series 2022, GO, 5.00%, 2/1/2028 (a) | | |
Main Street Natural Gas, Inc. | | |
Series 2023B, Rev., 5.00%, 3/1/2030 (a) (b) | | |
Series 2023A, Rev., 5.00%, 6/1/2030 (a) (b) | | |
Main Street Natural Gas, Inc., Gas Supply | | |
Series 2021A, Rev., 4.00%, 9/1/2027 (a) (b) | | |
Series B, Rev., 5.00%, 6/1/2029 (a) (b) | | |
Metropolitan Atlanta Rapid Transit Authority, Sales Tax Series 2017D, Rev., 4.00%, 7/1/2028 (a) | | |
Walton County Water and Sewer Authority, Hard Labor Creek Reservoir Water Treatment Facility Project | | |
Rev., 5.25%, 2/1/2034 (a) | | |
Rev., 5.25%, 2/1/2035 (a) | | |
| | |
|
City and County of Honolulu Series D, GO, 5.00%, 9/1/2032 (a) | | |
| | |
Series EP, GO, 5.00%, 8/1/2023 (a) | | |
Series FK, GO, 5.00%, 5/1/2033 (a) | | |
State of Hawaii, Highway Fund Series B, Rev., 5.00%, 1/1/2027 (a) | | |
| | |
|
Idaho Health Facilities Authority, St. Luke's Health System Series 2021A, Rev., 5.00%, 3/1/2029 (a) | | |
Idaho Housing and Finance Association, Transportation Expansion and Congestion Mitigation Fund Series 2022A, Rev., 5.00%, 8/15/2035 (a) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Champaign County Community Unit School District No. 4 Champaign, School Building GO, 5.00%, 1/1/2027 (a) | | |
Chicago O'Hare International Airport, General Airport, Senior Lien | | |
Series 2020B, Rev., 5.00%, 1/1/2024 (a) | | |
Series 2017B, Rev., 5.00%, 1/1/2034 (a) | | |
Series 2020A, Rev., 5.00%, 1/1/2034 (a) | | |
City of Decatur GO, 5.00%, 3/1/2027 (a) | | |
City of Highland Park GO, 4.00%, 12/30/2028 (a) | | |
Cook County School District No., 87 Berkeley GO, AGM, 4.00%, 12/1/2030 (a) | | |
County of Cook, Sales Tax Rev., 5.00%, 11/15/2034 (a) | | |
County of Lake, Sales Tax GO, 4.00%, 11/30/2027 (a) | | |
Illinois Finance Authority, Clark-Lindsey Village Series A, Rev., 5.13%, 6/1/2032 (a) | | |
Illinois Finance Authority, Clean Water Initiative Revolving Fund Rev., 5.00%, 7/1/2032 (a) | | |
Illinois Finance Authority, Depaul College Prep Project | | |
Series 2023A, Rev., 4.50%, 8/1/2033 (a) (c) | | |
Series 2023A, Rev., 5.25%, 8/1/2038 (a) (c) | | |
Illinois Finance Authority, Lake Forest College | | |
Series A, Rev., 5.00%, 10/1/2029 (a) | | |
Series A, Rev., 5.00%, 10/1/2030 (a) | | |
Series A, Rev., 5.00%, 10/1/2031 (a) | | |
Illinois Finance Authority, Plymouth Place, Inc. | | |
Series 2022B-3, Rev., 4.75%, 11/15/2027 (a) | | |
Series 2022B-2, Rev., 5.25%, 11/15/2027 (a) | | |
Series 2022B-1, Rev., 6.00%, 11/15/2027 (a) | | |
Illinois Finance Authority, Smith Crossing Rev., 4.00%, 10/15/2028 (a) | | |
Illinois Finance Authority, Social Bonds-Learn Chapter School Project Rev., 4.00%, 11/1/2024 (a) | | |
Illinois Finance Authority, Uchicago Medicine Series 2022B-2, Rev., 5.00%, 8/15/2027 (a) (b) | | |
Illinois Finance Authority, Unitypoint Health Series 2016D, Rev., 5.00%, 2/15/2024 (a) | | |
| | |
|
|
Illinois State Toll Highway Authority | | |
Series D, Rev., 5.00%, 1/1/2024 (a) | | |
Series 2019A, Rev., 5.00%, 1/1/2036 (a) | | |
Kane McHenry Cook and De Kalb Counties Unit School District No. 300 GO, 5.00%, 1/1/2024 (a) | | |
Kendall and Kane Counties Community Unit School District No. 115 Series 2017B, GO, 5.00%, 1/1/2027 (a) | | |
Lake County Community Consolidated School District No. 3 Beach Park GO, AGM, 4.00%, 2/1/2032 (a) | | |
Lake County Forest Preserve District GO, 5.00%, 12/15/2028 (a) | | |
McLean and Woodford Counties Community Unit School District No. 5 Normal Series 2017A, GO, 4.00%, 12/1/2023 (a) | | |
Metropolitan Water Reclamation District of Greater Chicago, Limited Tax Series 2021C, GO, 5.00%, 12/1/2023 (a) | | |
Northern Illinois University, Auxiliary Facilities System Series 2020B, Rev., 5.00%, 4/1/2034 (a) | | |
Northern Illinois University, Board of Trustees, Auxiliary Facilities System | | |
Rev., 5.00%, 10/1/2029 (a) | | |
Rev., 5.00%, 10/1/2030 (a) | | |
Peoria Tazewell Etc Counties Community College District No. 514 GO, 4.00%, 12/1/2023 (a) | | |
Sales Tax Securitization Corp., Second Lien Series 2020A, Rev., 4.00%, 1/1/2040 (a) | | |
Sales Tax Securitization Corp., Senior Lien Series 2023C, Rev., 5.00%, 1/1/2033 (a) | | |
Southern Illinois University | | |
Series A, Rev., 5.00%, 4/1/2029 (a) | | |
Series A, Rev., 5.00%, 4/1/2030 (a) | | |
Series A, Rev., 5.00%, 4/1/2031 (a) | | |
Series A, Rev., 5.00%, 4/1/2032 (a) | | |
Southwestern Illinois Development Authority, Flood Prevention District Council Project Rev., 5.00%, 4/15/2030 (a) | | |
| | |
| | |
Series 2018A, GO, 5.00%, 10/1/2024 (a) | | |
Series 2017D, GO, 5.00%, 11/1/2025 (a) | | |
Series 2022A, GO, 5.00%, 3/1/2029 (a) | | |
Series B, GO, 5.00%, 10/1/2029 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
| | |
Series 2018-A, GO, 5.00%, 10/1/2033 (a) | | |
University of Illinois Series 2021A, Rev., 5.00%, 4/1/2029 (a) | | |
Village of Bolingbrook Series 2018A, GO, AGM, 5.00%, 1/1/2033 (a) | | |
Village of Elk Grove GO, 5.00%, 1/1/2029 (a) | | |
Village of Wilmette Series 2020B, GO, 5.00%, 12/1/2026 (a) | | |
| | |
|
Adams Central Elementary School Building Corp., Ad Valorem Property Tax First Mortgage Rev., 5.00%, 1/15/2027 (a) | | |
Ball State University, Student Fee Series R, Rev., 5.00%, 7/1/2024 (a) | | |
City of Goshen, Multi-Family, Green Oaks of Goshen Project Series 2021A, Rev., 5.00%, 8/1/2041 (a) (c) | | |
City of Valparaiso Rev., 5.38%, 12/1/2041 (a) (c) | | |
Decatur County, Jail Building Corp. Rev., 5.00%, 7/15/2028 (a) | | |
Indiana Finance Authority Series C, Rev., 5.00%, 12/1/2025 (a) | | |
Indiana Finance Authority, DePauw University Series 2022-A, Rev., 5.00%, 7/1/2031 (a) | | |
Indiana Finance Authority, Educational Facilities, Valparaiso University Project Rev., 4.00%, 10/1/2035 (a) | | |
Indiana Finance Authority, Franciscan Alliance, Inc., Obligated Group Series 2017C, Rev., 4.00%, 11/1/2034 (a) | | |
Indiana Finance Authority, Parkview Health System, Inc. Series 2017A, Rev., 5.00%, 11/1/2023 (a) | | |
Indiana Finance Authority, Rose-Hulman Institute of Technology Project Rev., 5.00%, 6/1/2030 (a) | | |
Indiana Housing and Community Development Authority, Vita of New Whiteland Project Rev., 6.75%, 1/1/2043 (a) | | |
Indiana State University, Housing and Dining System | | |
Rev., 5.00%, 4/1/2028 (a) | | |
Rev., 5.00%, 4/1/2031 (a) | | |
Indiana University, Student Fee Series Y, Rev., 5.00%, 8/1/2028 (a) | | |
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|
IPS Multi-School Building Corp., Indiana Unlimited Ad Valorem Property Tax, First Mortgage Rev., 5.00%, 7/15/2029 (a) | | |
Monroe County Community School Corp. GO, 5.00%, 7/15/2027 (a) | | |
Perry Township Multi School Building Corp., Ad Valorem Property Tax First Mortgage Rev., 5.00%, 7/15/2025 (a) | | |
Vinton-Tecumseh School Building Corp. | | |
Rev., 5.00%, 1/15/2030 (a) | | |
Rev., 5.00%, 7/15/2030 (a) | | |
Wheeler-Union Township School Building Corp. Rev., 4.00%, 7/15/2034 (a) | | |
| | |
|
City of West Des Moines, Urban Renewal Series 2016B, GO, 5.00%, 6/1/2024 (a) | | |
Des Moines Independent Community School District, Sales Services and Use Tax Rev., 5.00%, 6/1/2028 (a) | | |
Iowa Finance Authority, State Revolving Fund Rev., 5.00%, 8/1/2027 (a) | | |
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|
City of Manhattan, Meadowlark Hills Series 2022B-2, Rev., 2.38%, 6/1/2027 (a) | | |
City of Topeka, Kansas Health Care Facilities | | |
Series 2022-B, Rev., 5.13%, 12/1/2026 (a) | | |
Series 2022-A, Rev., 5.75%, 12/1/2033 (a) | | |
Johnson County Community College Foundation, Inc. COP, 5.00%, 10/1/2024 (a) | | |
Johnson County Water District No. 1 Series 2017A, Rev., 5.00%, 1/1/2025 (a) | | |
Kansas Development Finance Authority, AdventHealth Series 2021B, Rev., 5.00%, 11/15/2031 (a) (b) | | |
University of Kansas Hospital Authority Rev., VRDO, LOC : US Bank NA, 2.05%, 3/3/2023 (a) (b) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
City of Henderson, Pratt Paper LLC Project | | |
Series 2022B, Rev., AMT, 3.70%, 1/1/2032 (a) (c) | | |
Series 2022A, Rev., AMT, 4.45%, 1/1/2042 (a) (c) | | |
County of Boone, Duke Energy Kentucky, Inc. Series 2008A, Rev., 3.70%, 8/1/2027 (a) | | |
Kentucky Economic Development Finance Authority, Baptist Healthcare System Obligated Group Series B, Rev., 5.00%, 8/15/2029 (a) | | |
Kentucky Public Energy Authority, Gas Supply Series 2022A-1, Rev., 4.00%, 8/1/2030 (a) (b) | | |
Louisville and Jefferson County Metropolitan Government, Norton Healthcare, Inc. Series 2016-A, Rev., 4.00%, 10/1/2036 (a) | | |
Louisville and Jefferson County Metropolitan Sewer District, Sewer and Drainage System | | |
Series B, Rev., 5.00%, 5/15/2024 (a) | | |
Series A, Rev., 5.00%, 5/15/2027 (a) | | |
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|
City of Shreveport, Water and Sewer, Junior Lien Series 2019B, Rev., AGM, 5.00%, 12/1/2032 (a) | | |
Louisiana Local Government Environmental Facilities and Community Development Authority, Calcasieu Parish Projects Rev., 5.00%, 12/1/2030 (a) | | |
Louisiana Public Facilities Authority, Materra Campus Project Series 2021C, Rev., 4.00%, 6/1/2031 (a) (c) | | |
Louisiana Public Facilities Authority, Tulane University Project Series 2020A, Rev., 5.00%, 4/1/2029 (a) | | |
State of Louisiana Series 2016-B, GO, 4.00%, 8/1/2026 (a) | | |
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|
Maine Health and Higher Educational Facilities Authority | | |
Series 2020A, Rev., 5.00%, 7/1/2023 (a) (e) | | |
Series 2020A, Rev., 5.00%, 7/1/2023 (a) | | |
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|
Maine Municipal Bond Bank Series C, Rev., 5.00%, 11/1/2024 (a) | | |
Maine Turnpike Authority Rev., 4.00%, 7/1/2040 (a) | | |
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|
County of Howard, Consolidated Public Improvement Series 2022B, GO, 5.00%, 8/15/2030 (a) | | |
County of Montgomery, Consolidated Public Improvement Series A, GO, 5.00%, 8/1/2031 (a) | | |
County of St. Mary's, Public Improvement GO, 4.00%, 7/15/2027 (a) | | |
Maryland Economic Development Corp., Annapolis Mobility and Resilience Project Series 2022-A, Rev., 5.00%, 12/31/2037 (a) | | |
Maryland Economic Development Corp., Bowie State University Project Rev., 4.00%, 7/1/2040 (a) | | |
Maryland Economic Development Corp., Morgan State University Project Series 2022-A, Rev., 5.25%, 7/1/2031 (a) | | |
Maryland Health and Higher Educational Facilities Authority, Stevenson University Project | | |
Series 2021A, Rev., 5.00%, 6/1/2033 (a) | | |
Series 2021A, Rev., 4.00%, 6/1/2046 (a) | | |
State of Maryland, Department of Transportation Rev., 5.00%, 9/1/2026 (a) | | |
State of Maryland, State and Local Facilities Loan of 2017 Series 2017A, GO, 5.00%, 8/1/2025 (a) | | |
State of Maryland, State and Local Facilities Loan of 2021 Series A, GO, 5.00%, 3/1/2031 (a) | | |
State of Maryland, State and Local Facilities Loan of 2022 Series A, GO, 5.00%, 6/1/2033 (a) | | |
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City of Boston Series 2017A, GO, 5.00%, 4/1/2025 (a) | | |
Commonwealth of Massachusetts Series C, GO, 5.00%, 10/1/2026 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
Massachusetts — continued |
Massachusetts Development Finance Agency, Boston Medical Center Issue | | |
Series 2023G, Rev., 5.00%, 7/1/2029 (a) | | |
Series 2023G, Rev., 4.38%, 7/1/2052 (a) | | |
Series 2023G, Rev., 5.25%, 7/1/2052 (a) | | |
Massachusetts Development Finance Agency, Milford Regional Medical Center Series G, Rev., 5.00%, 7/15/2037 (a) (c) | | |
Massachusetts Development Finance Agency, Salem Community Corp. Rev., 5.00%, 1/1/2030 (a) | | |
Massachusetts Development Finance Agency, Southcoast Health System Obligated Group Issue Series 2021G, Rev., 5.00%, 7/1/2035 (a) | | |
Massachusetts Development Finance Agency, Wellforce Issue Series 2020C, Rev., AGM, 5.00%, 10/1/2030 (a) | | |
Massachusetts State College Building Authority Series D, Rev., 5.00%, 5/1/2027 (a) | | |
Town of Hopkinton, Municipal Purpose Loan GO, 5.00%, 11/15/2024 (a) | | |
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Berrien Springs Public Schools, School Building and Site, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2030 (a) | | |
City of Detroit, Unlimited Tax | | |
Series 2021A, GO, 5.00%, 4/1/2031 (a) | | |
Series 2021-A, GO, 5.00%, 4/1/2035 (a) | | |
Series 2021A, GO, 5.00%, 4/1/2046 (a) | | |
Grand Traverse County Hospital Finance Authority, Munson Healthcare Obligated Group Rev., 5.00%, 7/1/2026 (a) | | |
Michigan Finance Authority, Lawrence Technological University Rev., 4.00%, 2/1/2032 (a) | | |
Michigan State Hospital Finance Authority, Trinity Health Credit Group Series C, Rev., 5.00%, 12/1/2025 (a) | | |
State of Michigan Trunk Line, Rebuilding Michigan Program Series 2021-A, Rev., 4.00%, 11/15/2036 (a) | | |
Western Michigan University, Tax Exempt Series 2021A, Rev., AGM, 5.00%, 11/15/2031 (a) | | |
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Series B, GO, 5.00%, 2/1/2027 (a) | | |
Series B, GO, 5.00%, 2/1/2029 (a) | | |
City of Minneapolis, Health Care System, Fairview Health Services Series 2018A, Rev., 5.00%, 11/15/2033 (a) | | |
City of Woodbury, Charter School Lease, Woodbury Leadership Academy Project Series 2021A, Rev., 4.00%, 7/1/2031 (a) | | |
Duluth Economic Development Authority, Benedictine Health System Series 2021A, Rev., 3.00%, 7/1/2024 (a) | | |
Minnesota Municipal Gas Agency Series 2022A, Rev., LIQ : Royal Bank of Canada, 4.00%, 6/1/2027 (a) | | |
State of Minnesota, Various Purpose Series A, GO, 5.00%, 8/1/2030 (a) | | |
University of Minnesota Series B, Rev., 5.00%, 12/1/2025 (a) | | |
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County of Jackson, Pollution Control, Chevron USA, Inc., Project Series 1993, Rev., VRDO, 2.55%, 3/1/2023 (a) (b) | | |
Mississippi Development Bank, Ranking County Project Rev., 5.00%, 3/1/2026 (a) | | |
Mississippi State University Educational Building Corp., New Facilities and Refinancing Project Rev., 5.00%, 8/1/2025 (a) | | |
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Series 2015F, GO, 5.00%, 11/1/2025 (a) (e) | | |
Series B, GO, 5.00%, 12/1/2025 (a) | | |
Series 2018A, GO, 5.00%, 11/1/2026 (a) (e) | | |
University of Mississippi Educational Building Corp., Facilities Refinancing Project Series 2016A, Rev., 5.00%, 10/1/2030 (a) | | |
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Bi-State Development Agency of the Missouri-Illinois Metropolitan District, Combined Lien Mass Transit Sales Rev., 5.00%, 10/1/2023 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Bi-State Development Agency of the Missouri-Illinois Metropolitan District, St. Clair County Metrolink Project Rev., AGM, 5.25%, 7/1/2024 (a) | | |
City of Excelsior Springs Series 2020B, COP, 4.00%, 3/1/2030 (a) | | |
City of Kansas City, Sanitary Sewer System Series B, Rev., 5.00%, 1/1/2033 (a) | | |
Health and Educational Facilities Authority of the State of Missouri | | |
Rev., 4.00%, 2/15/2035 (a) | | |
Rev., 4.00%, 2/15/2036 (a) | | |
Health and Educational Facilities Authority of the State of Missouri, City Art Institute Rev., 5.00%, 9/1/2030 (a) | | |
Health and Educational Facilities Authority of the State of Missouri, Lake Regional Health System Rev., 5.00%, 2/15/2027 (a) | | |
Health and Educational Facilities Authority of the State of Missouri, Lutheran Senior Services Projects Series 2016A, Rev., 5.00%, 2/1/2036 (a) | | |
Health and Educational Facilities Authority of the State of Missouri, Mercy Health Series 2018A, Rev., 5.00%, 6/1/2028 (a) | | |
Health and Educational Facilities Authority of the State of Missouri, St. Luke's Episcopal-Presbyterian Hospitals Series 2015B, Rev., 5.00%, 12/1/2026 (a) | | |
Health and Educational Facilities Authority of the State of Missouri, St. Luke's Health System, Inc. Rev., 5.00%, 11/15/2029 (a) | | |
Health and Educational Facilities Authority of the State of Missouri, Wright Memorial Hospital Rev., 5.00%, 9/1/2026 (a) | | |
Industrial Development Authority of the City of St. Louis Missouri (The), Innovation District Rev., 5.00%, 5/15/2041 (a) | | |
Metropolitan St. Louis Sewer District, Wastewater System Improvement Series 2017A, Rev., 5.00%, 5/1/2027 (a) | | |
Missouri Development Finance Board, Fulton State Hospital Project Rev., 5.00%, 10/1/2025 (a) | | |
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County of Missoula GO, 4.00%, 7/1/2025 (a) | | |
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|
|
Central Plains Energy Project, Gas Project No. 3 Series 2017A, Rev., 5.00%, 9/1/2030 (a) | | |
City of Lincoln, Electric System | | |
Rev., 5.00%, 9/1/2026 (a) | | |
Rev., 5.00%, 9/1/2028 (a) | | |
City of Omaha, Sanitary Sewerage System Rev., 5.00%, 4/1/2027 (a) | | |
Nebraska Educational Health Cultural and Social Services Finance Authority, Immanuel Retirement Communities Obligated Group Series 2019A, Rev., 4.00%, 1/1/2033 (a) | | |
Omaha Public Power District, Electric System | | |
Series B, Rev., 5.00%, 2/1/2025 (a) | | |
Series 2016A, Rev., 5.00%, 2/1/2026 (a) | | |
Series 2016A, Rev., 5.00%, 2/1/2027 (a) | | |
Public Power Generation Agency, Whelan Energy Center Unit 2 Series 2015A, Rev., 5.00%, 1/1/2024 (a) | | |
University of Nebraska Facilities Corp., UNMC Global Center Project Rev., 5.00%, 12/15/2025 (a) | | |
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City of Sparks, Senior Sales Tax Series 2019A, Rev., 2.50%, 6/15/2024 (a) (c) | | |
Clark County School District, Limited Tax | | |
Series 2018A, GO, 5.00%, 6/15/2032 (a) | | |
Series 2018A, GO, 4.00%, 6/15/2035 (a) | | |
County of Clark Department of Aviation Series 2022-A, Rev., AMT, 5.00%, 7/1/2026 (a) | | |
County of Clark, Indexed Fuel Tax and Subordinate Motor Vehicle Fuel Tax Rev., 5.00%, 7/1/2028 (a) | | |
County of Clark, Limited Tax Series 2018B, GO, 5.00%, 12/1/2027 (a) | | |
County of Clark, Passenger Facility Charge, Las Vegas-McCarran International Airport Passenger Facility Series 2019E, Rev., 5.00%, 7/1/2033 (a) | | |
Truckee Meadows Water Authority Rev., 5.00%, 7/1/2029 (a) | | |
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New Hampshire Business Finance Authority, Springpoint Senior Living Project Rev., 4.00%, 1/1/2025 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Bergen County Improvement Authority (The), New Bridge Medical Center Series 2022, Rev., GTD, 5.00%, 8/1/2037 (a) | | |
City of New Brunswick GO, 4.00%, 3/15/2024 (a) | | |
New Jersey Economic Development Authority, Biomedical Research Facilities Series 2016A, Rev., 5.00%, 7/15/2028 (a) | | |
New Jersey Transportation Trust Fund Authority, Transportation System | | |
Series 2018A, Rev., 4.00%, 12/15/2031 (a) | | |
Series 2018A, Rev., 5.00%, 12/15/2033 (a) | | |
New Jersey Turnpike Authority | | |
Series D, Rev., 5.00%, 1/1/2028 (a) | | |
Series 2022-B, Rev., 5.00%, 1/1/2042 (a) | | |
Passaic County Improvement Authority (The), City of Paterson Project Rev., 5.00%, 6/15/2025 (a) | | |
Tobacco Settlement Financing Corp. Series 2018A, Rev., 5.00%, 6/1/2027 (a) | | |
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City of Albuquerque Series 2016A, GO, 5.00%, 7/1/2023 (a) | | |
City of Albuquerque, Gross Receipts Tax Series 2015A, Rev., 5.00%, 7/1/2026 (a) | | |
New Mexico Finance Authority, Senior Lien Public Project Revolving Fund Series 2016E, Rev., 5.00%, 6/1/2024 (a) | | |
New Mexico Finance Authority, State Transportation, Subordinate Lien Series 2108A, Rev., 5.00%, 6/15/2027 (a) | | |
New Mexico Hospital Equipment Loan Council, Presbyterian Healthcare Services Series 2015A, Rev., 5.00%, 8/1/2025 (a) (e) | | |
State of New Mexico, Capital Projects GO, 5.00%, 3/1/2024 (a) | | |
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Broome County Local Development Corp., Good Shepherd Village at Endwell, Inc. Rev., 3.50%, 7/1/2026 (a) | | |
Build NYC Resource Corp., Grand Concourse Academy Charter School Series 2022A, Rev., 5.00%, 7/1/2032 (a) | | |
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Build NYC Resource Corp., Kipp NYC Public School Facilities - Canal West Project | | |
Rev., 5.00%, 7/1/2033 (a) | | |
Rev., 5.00%, 7/1/2034 (a) | | |
Build NYC Resource Corp., New World Preparatory Charter School Project | | |
Series 2021A, Rev., 4.00%, 6/15/2041 (a) | | |
Series 2021A, Rev., 4.00%, 6/15/2051 (a) | | |
City of New York, Fiscal Year 2013 | | |
Series 2013J, GO, 5.00%, 8/1/2023 (a) | | |
Series I, GO, 5.00%, 8/1/2023 (a) | | |
City of New York, Fiscal Year 2014 Series 2014E, GO, 5.00%, 8/1/2027 (a) | | |
City of New York, Fiscal Year 2018 Series 2018F-1, GO, 5.00%, 4/1/2033 (a) | | |
City of New York, Fiscal Year 2019 Series 2019E, GO, 5.00%, 8/1/2033 (a) | | |
City of New York, Fiscal Year 2020 Series 2020C-1, GO, 5.00%, 8/1/2033 (a) | | |
City of New York, Fiscal Year 2021 | | |
Series 2021A-1, GO, 5.00%, 8/1/2031 (a) | | |
Series 2021-1, GO, 5.00%, 4/1/2033 (a) | | |
Series F, Subseries F-1, GO, 5.00%, 3/1/2037 (a) | | |
City of New York, Fiscal Year 2022 Series 2022B-1, GO, 5.00%, 8/1/2033 (a) | | |
County of Erie, Public Improvement Series 2019A, GO, 5.00%, 9/15/2025 (a) | | |
County of Onondaga GO, 5.00%, 3/15/2026 (a) | | |
Dutchess County Local Development Corp., The Culinary Institute of America Project Rev., 5.00%, 7/1/2025 (a) | | |
Erie County Water Authority Rev., 5.00%, 12/1/2027 (a) | | |
Falconer Central School District GO, 4.00%, 12/15/2034 (a) | | |
Longwood Central School District, Suffolk County GO, 5.00%, 6/15/2025 (a) | | |
New York City Municipal Water Finance Authority Series 2019FF-1, Rev., 4.00%, 6/15/2049 (a) | | |
New York City Municipal Water Finance Authority, Second General Resolution Subseries AA-3, Rev., 5.00%, 6/15/2047 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
New York City Transitional Finance Authority Building Aid, Subordinate | | |
Rev., 5.00%, 7/15/2025 (a) (e) | | |
Series 2019S-2A, Rev., 5.00%, 7/15/2025 (a) | | |
Series S-1, Subseries S-1A, Rev., 5.00%, 7/15/2035 (a) | | |
Series S, Subseries S1B, Rev., 4.00%, 7/15/2042 (a) | | |
New York City Transitional Finance Authority Future Tax Secured Series 2021C, Subseries C-1, Rev., 4.00%, 5/1/2035 (a) | | |
New York City Transitional Finance Authority, Building Aid, Fiscal Year 2018 Series 2018S-4A, Rev., 5.00%, 7/15/2033 (a) | | |
New York City Transitional Finance Authority, Future Tax Secured Subseries A-2, Rev., 5.00%, 5/1/2039 (a) | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2017 | | |
Series E, Subseries E-1, Rev., 5.00%, 2/1/2030 (a) | | |
Series 2017F-1, Rev., 5.00%, 5/1/2030 (a) | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2018 Series 1, Rev., 5.00%, 11/1/2026 (a) | | |
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2022 Series 2022F, Rev., 5.00%, 2/1/2036 (a) | | |
New York State Dormitory Authority, Columbia University Series B, Rev., 5.00%, 10/1/2038 (a) | | |
New York State Dormitory Authority, Cornell University Series 2019D, Rev., 5.00%, 7/1/2033 (a) | | |
New York State Dormitory Authority, Montefiore Obligated Group Series 2020A, Rev., 4.00%, 9/1/2050 (a) | | |
New York State Dormitory Authority, New York University Series 2017A, Rev., 5.00%, 7/1/2023 (a) | | |
New York State Dormitory Authority, Northwell Health Obligated Group Series 2019A, Rev., 5.00%, 5/1/2029 (a) | | |
New York State Dormitory Authority, Personal Income Tax | | |
Series D, Rev., 5.00%, 2/15/2034 (a) | | |
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Series A, Rev., 4.00%, 3/15/2037 (a) | | |
Series 2021E, Rev., 4.00%, 3/15/2040 (a) | | |
New York State Dormitory Authority, State Personal Income Tax Series 2021E, Rev., 5.00%, 3/15/2033 (a) | | |
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2018A, Rev., 5.00%, 3/15/2031 (a) | | |
New York State Dormitory Authority, State Supported Debt University Facilities Series 2019A, Rev., 5.00%, 7/1/2024 (a) | | |
New York State Environmental Facilities Corp., State Clean Water and Drinking Water Revolving Funds, Municipal Water Finance Authority Projects - Second Resolution Series 2019B, Rev., 5.00%, 6/15/2031 (a) | | |
New York State Housing Finance Agency, 160 Madison Avenue Series 2013A, Rev., VRDO, LOC : Landesbank Hessen-Thuringen Girozentrale, 2.42%, 3/1/2023 (a) (b) | | |
New York State Urban Development Corp., Personal Income Tax Series 2013C, Rev., 5.00%, 3/15/2023 (a) (e) | | |
New York State Urban Development Corp., State Personal Income Tax, General Purpose | | |
Series 2016A, Rev., 5.00%, 3/15/2026 (a) (e) | | |
Series 2017A, Rev., 5.00%, 3/15/2026 (a) | | |
Series 2013A-1, Rev., 5.00%, 3/15/2028 (a) | | |
Series 2016A, Rev., 5.00%, 3/15/2028 (a) | | |
Series 2017-A, Rev., 5.00%, 3/15/2028 (a) | | |
Series 2020A, Rev., 4.00%, 3/15/2045 (a) | | |
New York State Urban Development Corp., State Sales Tax Series 2021-A, Rev., 4.00%, 3/15/2046 (a) | | |
New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project 5.00%, 1/1/2031 | | |
Onondaga Civic Development Corp., Le Moyne College Project | | |
Rev., 5.00%, 7/1/2027 (a) | | |
Rev., 5.00%, 7/1/2031 (a) | | |
Series 2020B, Rev., 5.00%, 7/1/2032 (a) | | |
Orange County Funding Corp., Mount Saint Mary College Project Series 2012B, Rev., 4.00%, 7/1/2023 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Port Authority of New York and New Jersey, Consolidated | | |
Series 205, Rev., 5.00%, 11/15/2028 (a) | | |
Series 214, Rev., AMT, 5.00%, 9/1/2036 (a) | | |
Series 223, Rev., AMT, 4.00%, 7/15/2037 (a) | | |
Port Washington Union Free School District GO, 4.00%, 8/1/2036 (a) | | |
Smithtown Central School District | | |
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Suffolk County Economic Development Corp., St. Johnland Assisted Living Inc., Project Rev., 5.13%, 11/1/2041 (a) (c) | | |
Syracuse Industrial Development Agency, Syracuse City School District Project Series 2020A, Rev., 4.00%, 5/1/2036 (a) | | |
Town of Stony Point GO, 5.00%, 8/15/2027 (a) | | |
Triborough Bridge and Tunnel Authority, Senior Lien Series 2022D-1A, Rev., 5.00%, 11/15/2037 (a) | | |
Westchester County Local Development Corp., Kendal on Hudson Project Series 2022B, Rev., 5.00%, 1/1/2032 (a) | | |
Westchester County Local Development Corp., Purchase Senior Learning Community, Inc. Project | | |
Series 2021D, Rev., 2.88%, 7/1/2026 (a) (c) | | |
Series 2021C, Rev., 3.20%, 7/1/2028 (a) (c) | | |
Yonkers Industrial Development Agency, New Community School Project Rev., 5.00%, 5/1/2042 (a) | | |
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County of Davidson GO, 5.00%, 6/1/2027 (a) | | |
County of Duplin Rev., 5.00%, 6/1/2028 (a) | | |
County of New Hanover, Limited Obligation Series 2022, Rev., 5.00%, 6/1/2027 (a) | | |
County of Wayne, Limited Obligation Rev., 5.00%, 6/1/2024 (a) | | |
North Carolina Turnpike Authority, Triangle Expressway System Series NTS2020, Rev., BAN, 5.00%, 2/1/2024 (a) (e) | | |
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North Carolina — continued |
State of North Carolina, Build NC Programs, Limited Obligation | | |
Series C, Rev., 5.00%, 5/1/2024 (a) | | |
Series 2020B, Rev., 5.00%, 5/1/2029 (a) | | |
University of North Carolina, Hospital at Chapel Hill Series A, Rev., VRDO, LIQ : TD Bank NA, 2.50%, 3/1/2023 (a) (b) | | |
Winston-Salem State University Foundation LLC, The Board of Governors of The University of North Carolina Rev., 5.00%, 4/1/2031 (a) | | |
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North Dakota Building Authority, Facilities Improvement Series 2020A, Rev., 5.00%, 12/1/2023 (a) | | |
North Dakota Housing Finance Agency, Home Mortgage Finance Program | | |
Series 2017H, Rev., VRDO, LIQ : Royal Bank of Canada, 3.42%, 3/7/2023 (a) (b) | | |
Series 2023A, Rev., 5.75%, 7/1/2053 (a) | | |
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Akron Bath Copley Joint Township Hospital District, Summa Health Obligated Group Rev., 5.00%, 11/15/2029 (a) | | |
American Municipal Power, Inc., Greenup Hydroelectric Projects Series 2016A, Rev., 5.00%, 2/15/2030 (a) | | |
Bowling Green State University, General Receipts Series 2016A, Rev., 5.00%, 6/1/2024 (a) | | |
Buckeye Tobacco Settlement Financing Authority Series 2020A-2, Class 1, Rev., 4.00%, 6/1/2048 (a) | | |
City of Cleveland Series A, GO, 5.00%, 12/1/2035 (a) | | |
City of Reynoldsburg, Limited Tax, Capital Facilities GO, 5.00%, 12/1/2026 (a) | | |
County of Cuyahoga, Eliza Jennings Senior Care Network Series 2022-A, Rev., 5.00%, 5/15/2032 (a) | | |
County of Summit, Various Purpose Improvement Series 2022, GO, 5.00%, 12/1/2031 (a) | | |
County of Warren, Healthcare Facilities, Otterbein Homes Obligated Group Series 2019A, Rev., 4.00%, 7/1/2033 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Northeast Ohio Medical University Series 2022, Rev., 5.00%, 12/1/2035 (a) | | |
Ohio Air Quality Development Authority, Duke Energy Corp. | | |
Series 2022B, Rev., 4.00%, 6/1/2027 (a) (b) | | |
Series 2022A, Rev., AMT, 4.25%, 6/1/2027 (a) (b) | | |
Ohio Higher Educational Facility Commission, Capital University 2022 Project | | |
Rev., 5.00%, 9/1/2031 (a) | | |
Rev., 5.75%, 9/1/2037 (a) | | |
Ohio Higher Educational Facility Commission, Denison University Project Series 2017A, Rev., 5.00%, 11/1/2025 (a) | | |
Ohio Higher Educational Facility Commission, Tiffin University 2019 Project Rev., 5.00%, 11/1/2034 (a) | | |
Ohio Higher Educational Facility Commission, University of Findlay 2019 Project | | |
Rev., 5.00%, 3/1/2027 (a) | | |
Rev., 5.00%, 3/1/2034 (a) | | |
Ohio Turnpike and Infrastructure Commission, Junior Lien | | |
Series A, Rev., 5.00%, 2/15/2027 (a) | | |
Series 2022A, Rev., 5.00%, 2/15/2033 (a) | | |
Ohio Water Development Authority Series 2022-A, Rev., 5.00%, 12/1/2041 (a) | | |
Ohio Water Development Authority, Fresh Water Series 2016B, Rev., 5.00%, 6/1/2026 (a) | | |
Ohio Water Development Authority, Water Pollution Control Loan Fund Series 2017A, Rev., 5.00%, 12/1/2026 (a) | | |
State of Ohio Series 2021B, GO, 5.00%, 9/15/2031 (a) | | |
State of Ohio, Capital Facilities Lease Appropriation Mental Health Facilities Improvement Fund Projects Series 2018A, Rev., 5.00%, 6/1/2025 (a) | | |
State of Ohio, Capital Facilities Lease Appropriation, Administrative Building Fund Projects, Tax Exempt Series 2018-A, Rev., 5.00%, 10/1/2034 (a) | | |
State of Ohio, Cleveland Clinic Health System Obligated Group Series 2017A, Rev., 5.00%, 1/1/2028 (a) | | |
State of Ohio, Infrastructure Improvement Series 2018A, GO, 5.00%, 9/1/2028 (a) | | |
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State of Ohio, Natural Resources Series V, GO, 5.00%, 10/1/2027 (a) | | |
Youngstown State University, General Receipts Rev., AGM, 4.00%, 12/15/2030 (a) | | |
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Cleveland County Educational Facilities Authority, Norman Public Schools Project Rev., 5.00%, 6/1/2025 (a) | | |
Oklahoma Capitol Improvement Authority, Capitol Repair Project | | |
Series C, Rev., 5.00%, 1/1/2030 (a) | | |
Series 2018C, Rev., 5.00%, 1/1/2036 (a) | | |
Oklahoma Capitol Improvement Authority, State Highway, Capital Improvement Rev., 5.00%, 7/1/2024 (a) | | |
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Hillsboro School District No. 1J GO, 5.00%, 6/15/2028 (a) | | |
Salem Hospital Facility Authority, Capital Manor Project Rev., 4.00%, 5/15/2040 (a) | | |
Salem Hospital Facility Authority, Multi Model, Salem Health Project Series 2019A, Rev., 5.00%, 5/15/2028 (a) | | |
Tri-County Metropolitan Transportation District of Oregon, Senior Lien Series 2021A, Rev., 5.00%, 9/1/2035 (a) | | |
Tri-County Metropolitan Transportation District of Oregon, Senior Lien Payroll Tax Series 2018A, Rev., 5.00%, 9/1/2027 (a) (e) | | |
Union County Hospital Facility Authority, Grande Ronde Hospital, Inc. | | |
Series 2022, Rev., 5.00%, 7/1/2026 (a) | | |
Series 2022, Rev., 5.00%, 7/1/2028 (a) | | |
Yamhill County Hospital Authority, Friendsview, Tax Exempt Series 2021B-1, Rev., 2.50%, 11/15/2028 (a) | | |
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Aliquippa School District, Limited Tax GO, 3.88%, 12/1/2037 (a) | | |
Allegheny County Higher Education Building Authority, Carnegie Mellon University Series 2008A, Rev., VRDO, LIQ : Bank of New York Mellon (The), 2.05%, 3/3/2023 (a) (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Allegheny County Higher Education Building Authority, Chatham University | | |
Rev., 5.00%, 9/1/2024 (a) | | |
Rev., 5.00%, 9/1/2025 (a) | | |
Rev., 5.00%, 9/1/2026 (a) | | |
Rev., 5.00%, 9/1/2027 (a) | | |
Berks County Industrial Development Authority, The Highlands at Wyomissing Series 2017A, Rev., 5.00%, 5/15/2037 (a) | | |
Bucks County Community College Authority Series 2019A, Rev., GTD, 5.00%, 6/15/2033 (a) | | |
Bucks County Water and Sewer Authority | | |
Series 2022A, Rev., AGM, 5.00%, 12/1/2032 (a) | | |
Series 2022A, Rev., AGM, 5.00%, 12/1/2033 (a) | | |
Series 2022A, Rev., AGM, 5.00%, 12/1/2036 (a) | | |
City of Philadelphia Series 2017-B, Rev., AMT, 5.00%, 7/1/2035 (a) | | |
Commonwealth Financing Authority, Tobacco Master Settlement Payment Rev., 5.00%, 6/1/2035 (a) | | |
Commonwealth of Pennsylvania Series 1, GO, 4.00%, 4/1/2033 (a) | | |
County of Chester GO, 5.00%, 11/15/2027 (a) | | |
County of Lehigh, Lehigh Valley Health Network Hospital Series 2016A, Rev., 4.00%, 7/1/2035 (a) | | |
Delaware Valley Regional Finance Authority, Local Government | | |
Series D, Rev., 4.00%, 3/1/2029 (a) | | |
Series 2021A, Rev., 2.00%, 10/1/2029 (a) | | |
Geisinger Authority, Health System Series 2020B, Rev., 5.00%, 2/15/2027 (a) (b) | | |
General Authority of Southcentral Pennsylvania, WellSpan Health Obligated Group Series D, Rev., VRDO, LIQ : Bank of America NA, 2.25%, 3/3/2023 (a) (b) | | |
Lancaster County Hospital Authority, St. Anne's Retirement Community, Inc., Project Rev., 5.00%, 3/1/2040 (a) | | |
Montgomery County Higher Education and Health Authority, Arcadia University Rev., 5.00%, 4/1/2034 (a) | | |
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Montgomery County Higher Education and Health Authority, Thomas Jefferson University | | |
Rev., 5.00%, 9/1/2027 (a) | | |
Series 2018A, Rev., 4.00%, 9/1/2038 (a) | | |
Northampton County General Purpose Authority, Moravian College Project Rev., 5.00%, 10/1/2027 (a) | | |
Pennsylvania Economic Development Financing Authority, The Penndot Major Bridges Rev., AMT, AGM, 5.00%, 12/31/2057 (a) | | |
Pennsylvania Higher Educational Facilities Authority, State System of Higher Education Series 2017AU-1, Rev., 5.00%, 6/15/2026 (a) | | |
Pennsylvania Housing Finance Agency, Single Family Mortgage Series 2023-141A, Rev., 5.75%, 10/1/2053 (a) | | |
Pennsylvania Turnpike Commission | | |
Series A-1, Rev., 5.00%, 12/1/2029 (a) | | |
Series A-1, Rev., 5.00%, 12/1/2031 (a) | | |
Series B, Rev., 4.00%, 6/1/2033 (a) | | |
Series 2022-A, Rev., 5.00%, 12/1/2033 (a) | | |
Series 2022-B, Rev., 5.25%, 12/1/2041 (a) | | |
Philadelphia Authority for Industrial Development, Holy Family University Project Rev., 5.00%, 9/1/2027 (a) (d) | | |
State Public School Building Authority, Delaware County Community College Project Rev., 5.00%, 10/1/2027 (a) | | |
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Township of Palmer Series 2020C, GO, 4.00%, 11/15/2031 (a) | | |
Township of Upper St. Clair Series 2016A, GO, 4.00%, 6/1/2025 (a) | | |
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State of Rhode Island and Providence Plantations Consolidated Capital Development Loan Series 2018A, GO, 5.00%, 4/1/2029 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Charleston County Airport District Rev., 5.00%, 7/1/2035 (a) | | |
South Carolina Jobs-Economic Development Authority, Episcopal Home at Still Hopes Series 2018A, Rev., 5.00%, 4/1/2033 (a) | | |
South Carolina Jobs-Economic Development Authority, Wofford College Project Rev., 5.00%, 4/1/2029 (a) | | |
University of South Carolina, Athletic Facilities Series 2022A, Rev., 5.00%, 5/1/2034 (a) | | |
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City of Rapid City, Sales Tax Rev., 5.00%, 12/1/2023 (a) | | |
South Dakota Board of Regents Housing and Auxiliary Facilities System Rev., 5.00%, 4/1/2027 (a) | | |
South Dakota Conservancy District, State Revolving Fund Program Rev., 5.00%, 8/1/2025 (a) | | |
South Dakota Health and Educational Facilities Authority, Sanford Obligated Group Rev., 5.00%, 11/1/2023 (a) | | |
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City of Clarksville Series 2021A, Rev., 4.00%, 2/1/2051 (a) | | |
City of Johnson City Series 2016A, GO, 5.00%, 6/1/2023 (a) | | |
City of Knoxville Series 2022B, Rev., 4.00%, 4/1/2045 (a) | | |
City of Lenoir City, Electric System Series 2022, Rev., 5.00%, 6/1/2033 (a) | | |
City of Murfreesboro GO, 4.00%, 4/1/2025 (a) | | |
County of Coffee, Rural High School Series 2021A, GO, 5.00%, 6/1/2028 (a) | | |
County of Montgomery, Public Improvement GO, 5.00%, 4/1/2027 (a) | | |
County of Robertson GO, 5.00%, 6/1/2025 (a) | | |
County of Shelby, Public Improvement Series 2019A, GO, 5.00%, 4/1/2027 (a) | | |
County of Sullivan GO, 5.00%, 5/1/2026 (a) | | |
County of Washington Series 2016A, GO, 4.00%, 6/1/2027 (a) | | |
| | |
|
|
County of Williamson GO, 5.00%, 4/1/2024 (a) | | |
Knox County Health Educational and Housing Facility Board, East Tennessee Children's Hospital Rev., 5.00%, 11/15/2023 (a) | | |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Belmon University Rev., 5.00%, 5/1/2026 (a) | | |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Trevecca Nazarene University Project Series 2021B, Rev., 4.00%, 10/1/2041 (a) | | |
Metropolitan Government of Nashville and Davidson County | | |
Series 2015A, GO, 5.00%, 7/1/2025 (a) | | |
| | |
Metropolitan Government of Nashville and Davidson County, Electric System Series 2017A, Rev., 5.00%, 5/15/2024 (a) | | |
Metropolitan Government of Nashville and Davidson County, Water and Sewer Series A, Rev., 4.00%, 7/1/2035 (a) | | |
Metropolitan Nashville Airport Authority (The) | | |
Series 2022-B, Rev., AMT, 5.50%, 7/1/2036 (a) | | |
Series 2022-B, Rev., AMT, 5.25%, 7/1/2047 (a) | | |
Series 2022-B, Rev., AMT, 5.00%, 7/1/2052 (a) | | |
Shelby County Health Educational and Housing Facilities Board, Methodist Le Bonheur Healthcare | | |
Series 2017A, Rev., 5.00%, 5/1/2024 (a) | | |
Series 2017A, Rev., 5.00%, 5/1/2027 (a) | | |
Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station Project | | |
Series 2019A, Rev., 5.00%, 10/1/2029 (a) | | |
Series 2019A, Rev., 5.50%, 10/1/2034 (a) | | |
State of Tennessee Series A, GO, 5.00%, 9/1/2024 (a) (e) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Tennessee Energy Acquisition Corp., Commodity Project Series 2021A, Rev., 5.00%, 11/1/2031 (a) (b) | | |
Tennessee Energy Acquisition Corp., Gas Project Series 2017A, Rev., 4.00%, 5/1/2023 (a) (b) | | |
| | |
|
Alamo Community College District, Limited Tax GO, 5.00%, 2/15/2024 (a) | | |
Angleton Independent School District, Unlimited Tax GO, 5.00%, 2/15/2036 (a) | | |
Arlington Higher Education Finance Corp., Trinity Basin Preparatory, Inc. | | |
Rev., PSF-GTD, 5.00%, 8/15/2026 (a) | | |
Rev., PSF-GTD, 5.00%, 8/15/2027 (a) | | |
Rev., PSF-GTD, 5.00%, 8/15/2028 (a) | | |
Rev., PSF-GTD, 5.00%, 8/15/2029 (a) | | |
Rev., PSF-GTD, 5.00%, 8/15/2030 (a) | | |
Rev., PSF-GTD, 5.00%, 8/15/2031 (a) | | |
Rev., PSF-GTD, 5.00%, 8/15/2032 (a) | | |
Austin Independent School District, Unlimited Tax Series 2022B, GO, PSF-GTD, 5.00%, 8/1/2028 (a) | | |
Board of Regents of the University of Texas System, Financing System Series 2016D, Rev., 5.00%, 8/15/2024 (a) | | |
Brushy Creek Regional Utility Authority, Inc., Brushy Creek Regional Water Treatment and Distribution Project Rev., 5.00%, 8/1/2026 (a) | | |
City of Austin, Airport System | | |
Series 2019B, Rev., AMT, 5.00%, 11/15/2029 (a) | | |
Rev., AMT, 5.00%, 11/15/2035 (a) | | |
Series 2017B, Rev., AMT, 5.00%, 11/15/2046 (a) | | |
City of Corpus Christi, Certificates of Obligation Series 2016A, GO, 4.00%, 3/1/2026 (a) | | |
City of Corpus Christi, Utility System Series B, Rev., 5.00%, 7/15/2032 (a) | | |
City of Houston, Airport System, Subordinate Lien Series 2021A, Rev., AMT, 5.00%, 7/1/2033 (a) | | |
City of Houston, Combined Utility System, First Lien Series 2018D, Rev., 5.00%, 11/15/2030 (a) | | |
| | |
|
|
City of Hutto, Waterworks and Sewer System GO, 5.00%, 8/1/2026 (a) | | |
City of League City, Combination Tax GO, 5.00%, 2/15/2027 (a) | | |
City of Pflugerville, Limited Tax GO, 5.00%, 8/1/2026 (a) | | |
City of San Angelo GO, 5.00%, 2/15/2027 (a) | | |
City of San Marcos, Combination Tax, Certificates of Obligation GO, 5.00%, 8/15/2031 (a) | | |
City of Temple, Utility System Series 2021, Rev., 5.00%, 8/1/2029 (a) | | |
Clifton Higher Education Finance Corp., Idea Public Schools Series 2022A, Rev., 5.00%, 8/15/2031 (a) | | |
Clifton Higher Education Finance Corp., Yes Prep Public Schools, Inc. | | |
Rev., PSF-GTD, 5.00%, 4/1/2029 (a) | | |
Rev., PSF-GTD, 5.00%, 4/1/2030 (a) | | |
Rev., PSF-GTD, 4.00%, 4/1/2031 (a) | | |
Clint Independent School District, Unlimited Tax Series 2015A, GO, PSF-GTD, 5.00%, 2/15/2024 (a) | | |
County of Harris, Unlimited Tax Series 2017A, GO, 5.00%, 10/1/2026 (a) | | |
County of Hays, Limited Tax GO, 5.00%, 2/15/2026 (a) | | |
County of Montgomery, Unlimited Tax GO, 5.00%, 3/1/2025 (a) | | |
County of Williamson, Limited Tax GO, 5.00%, 2/15/2026 (a) | | |
Cypress-Fairbanks Independent School District, Unlimited Tax Series 2015A, GO, PSF-GTD, 5.00%, 2/15/2025 (a) | | |
Dallas Area Rapid Transit Series 2014A, Rev., 5.00%, 12/1/2024 (a) (e) | | |
Fort Worth Independent School District, Unlimited Tax Series A, GO, PSF-GTD, 5.00%, 2/15/2029 (a) | | |
Harris County Cultural Education Facilities Finance Corp., Baylor College of Medicine Project Rev., 5.00%, 11/15/2023 (a) | | |
Laredo Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/1/2024 (a) | | |
Lower Colorado River Authority, LCRA Transmission Services Corp. Project Rev., 5.00%, 5/15/2035 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Metropolitan Transit Authority of Harris County, Sales and Use Tax | | |
Series 2017A, Rev., 5.00%, 11/1/2023 (a) | | |
Series 2017A, Rev., 5.00%, 11/1/2025 (a) | | |
Metropolitan Transit Authority of Harris County, Sales and Use Tax, Contractual Obligations Series B, Rev., 5.00%, 11/1/2029 (a) | | |
New Hope Cultural Education Facilities Finance Corp, Outlook at Windhaven Forefront Living Series 2022B-3, Rev., 4.25%, 10/1/2026 (a) | | |
North East Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/1/2025 (a) | | |
North Texas Municipal Water District, Wastewater System Rev., 5.00%, 6/1/2027 (a) | | |
Northside Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2024 (a) | | |
Old Spanish Trail-Alemda Corridors Redevelopment Authority Rev., 5.00%, 9/1/2028 (a) | | |
Permanent University Fund - University of Texas System Series 2016A, Rev., 5.00%, 7/1/2024 (a) | | |
Prosper Independent School District, Unlimited Tax School Building GO, PSF-GTD, 5.00%, 2/15/2037 (a) | | |
San Antonio Education Facilities Corp., Hallmark University Project Series 2021A, Rev., 5.00%, 10/1/2041 (a) | | |
San Antonio Water System, Junior Lien Series 2017A, Rev., 5.00%, 5/15/2025 (a) | | |
Sherman Independent School District, Unlimited Tax Series 2018A, GO, PSF-GTD, 5.00%, 2/15/2030 (a) | | |
State of Texas, Transportation Commission Mobility Fund Series 2015-A, GO, 5.00%, 10/1/2024 (a) | | |
Stephen F Austin State University, Financing System Series 2019A, Rev., 5.00%, 10/15/2026 (a) | | |
Tarrant County Cultural Education Facilities Finance Corp., Baylor Scott & White Health Project Series 2022F, Rev., 5.00%, 11/15/2030 (a) (b) | | |
| | |
|
|
Tarrant Regional, Water Control and Improvement District, Water System Rev., 5.00%, 3/1/2025 (a) | | |
Texas A&M University, Financing System Series E, Rev., 5.00%, 5/15/2030 (a) | | |
Texas Tech University System Series 2017A, Rev., 5.00%, 2/15/2024 (a) | | |
Trinity River Authority, Water Project Rev., 5.00%, 2/1/2026 (a) | | |
Uptown Development Authority, Tax Increment Contract Rev., 4.00%, 9/1/2032 (a) | | |
| | |
|
City of Salt Lake City Series 2021-A, Rev., AMT, 5.00%, 7/1/2029 (a) | | |
City of Salt Lake, International Airport Series 2022A, Rev., 4.00%, 10/1/2030 (a) | | |
City of South Jordan, Sales Tax Rev., 5.00%, 8/15/2029 (a) | | |
County of Summit, Sales Tax Rev., 5.00%, 12/15/2023 (a) | | |
Metropolitan Water District of Salt Lake and Sandy Series A, Rev., 4.00%, 7/1/2030 (a) | | |
Military Installation Development Authority Series 2021A-1, Rev., 4.00%, 6/1/2041 (a) | | |
Snyderville Basin Special Recreation District GO, 4.00%, 12/15/2025 (a) | | |
University of Utah (The) Series B, Rev., 5.00%, 8/1/2023 (a) (e) | | |
Utah Charter School Finance Authority, The Freedom Academy Foundation, St. George Campus Project Series 2021A, Rev., 5.00%, 6/15/2041 (a) (c) | | |
Utah Infrastructure Agency | | |
Rev., 5.00%, 10/15/2027 (a) | | |
Rev., 5.00%, 10/15/2032 (a) | | |
Utah Telecommunication Open Infrastructure Agency | | |
Rev., 5.25%, 6/1/2033 (a) | | |
Rev., 5.25%, 6/1/2034 (a) | | |
Rev., 5.25%, 6/1/2035 (a) | | |
Utah Transit Authority, Sales Tax Series A, Rev., BHAC - CR, 5.00%, 6/15/2035 (a) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Matching Fund Special Purpose Securitization Corp. Series 2022A, Rev., 5.00%, 10/1/2025 (a) | | |
|
City of Richmond, Public Improvement Series B, GO, 5.00%, 7/15/2027 (a) | | |
Commonwealth of Virginia Series 2018A, GO, 5.00%, 6/1/2030 (a) | | |
| | |
Series 2023A, GO, 4.00%, 10/1/2038 (a) | | |
Series 2023A, GO, 4.00%, 10/1/2039 (a) | | |
County of Spotsylvania, Public Improvement GO, 5.00%, 7/15/2029 (a) | | |
Loudoun County Economic Development Authority, Howard Hughes Medical Institute Series E, Rev., VRDO, 2.75%, 3/9/2023 (a) (b) | | |
Northern Virginia Transportation Commission Rev., 5.00%, 6/1/2040 (a) | | |
Virginia College Building Authority Series 2023A, Rev., 4.00%, 9/1/2040 (a) | | |
Virginia Public Building Authority Series 2021A-1, Rev., 5.00%, 8/1/2030 (a) | | |
Virginia Public Building Authority, Public Facilities Series 2022A, Rev., 5.00%, 8/1/2030 (a) | | |
Virginia Resources Authority, Infrastructure Pooled Financing Program Series 2013-C, Rev., 5.00%, 11/1/2023 (a) | | |
Virginia Small Business Financing Authority Rev., AMT, 4.00%, 1/1/2036 (a) | | |
Virginia Small Business Financing Authority, Senior Lien Rev., AMT, 4.00%, 7/1/2032 (a) | | |
| | |
|
Auburn School District No. 408 of King and Pierce Counties, Unlimited Tax GO, 4.00%, 12/1/2036 (a) | | |
Central Puget Sound Regional Transit Authority, Sales and Use Tax Series 2015S-1, Rev., 5.00%, 11/1/2024 (a) | | |
Central Puget Sound Regional Transit Authority, Sales Tax Series 2021S-1, Rev., 4.00%, 11/1/2040 (a) | | |
City of Bonney Lake, Water and Sewer System Rev., 4.00%, 12/1/2030 (a) | | |
| | |
|
|
City of Seattle, Drainage and Wastewater System Improvement Rev., 4.00%, 4/1/2026 (a) | | |
City of Seattle, Water System Rev., 5.00%, 8/1/2024 (a) | | |
City of Tacoma, Solid Waste Utility Rev., 5.00%, 12/1/2031 (a) | | |
City of University Place, Limited Tax GO, 5.00%, 12/1/2026 (a) | | |
Clark County School District No. 101 La Center, Unlimited Tax GO, 5.00%, 12/1/2029 (a) | | |
County of King, Limited Tax | | |
Series A, GO, 5.00%, 7/1/2025 (a) | | |
Series B, GO, 5.00%, 12/1/2025 (a) | | |
County of Snohomish, Limited Tax GO, 5.00%, 12/1/2025 (a) | | |
County of Spokane, Limited Tax Series 2022-A, GO, 5.00%, 12/1/2042 (a) | | |
Energy Northwest, Bonneville Power Administrator Series 2016-A, Rev., 5.00%, 7/1/2028 (a) | | |
Energy Northwest, Columbia Generating Station Series 2021A, Rev., 4.00%, 7/1/2042 (a) | | |
Energy Northwest, Project 1 Series 2017A, Rev., 5.00%, 7/1/2028 (a) | | |
Franklin County School District No. 1 Pasco, Unlimited Tax GO, 5.00%, 12/1/2030 (a) | | |
King County Public Hospital District No. 2, Evergreen Healthcare, Limited Tax GO, 5.00%, 12/1/2024 (a) (e) | | |
King County School District No. 403 Renton, Unlimited Tax GO, 4.00%, 12/1/2023 (a) | | |
King County School District No. 405 Bellevue, Unlimited Tax GO, 5.00%, 12/1/2026 (a) | | |
King County School District No. 411 Issaquah, Unlimited Tax GO, 5.00%, 12/1/2024 (a) | | |
Mason County School District No. 309 Shelton, Unlimited Tax GO, 5.00%, 12/1/2029 (a) | | |
North Thurston Public Schools GO, 4.00%, 12/1/2036 (a) | | |
Pierce County School District No. 403 Bethel, Unlimited Tax GO, 4.00%, 12/1/2023 (a) | | |
Pierce County School District No. 416 White River, Unlimited Tax GO, 5.00%, 12/1/2025 (a) | | |
Port of Seattle, Intermediate Lien Series 2022B, Rev., AMT, 4.00%, 8/1/2047 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Snohomish County School District No. 15 Edmonds, Unlimited Tax GO, 5.00%, 12/1/2025 (a) | | |
Snohomish County School District No. 4 Lake Stevens, Unlimited Tax GO, 5.00%, 12/1/2024 (a) | | |
Snohomish County School District No. 6 Mukilteo, Unlimited Tax GO, 5.00%, 12/1/2023 (a) | | |
Spokane County School District No. 354 Mead, Unlimited Tax GO, 5.00%, 12/1/2024 (a) | | |
| | |
Series 2021B, GO, 5.00%, 6/1/2033 (a) | | |
Series 2020-C, GO, 5.00%, 2/1/2043 (a) | | |
State of Washington, State and Local Agency Real and Personal Property Series 2015-C, COP, 5.00%, 1/1/2029 (a) | | |
State of Washington, Various Purpose | | |
Series 2023B-3, GO, 5.00%, 2/1/2043 (a) | | |
Series 2022A, GO, 5.00%, 8/1/2043 (a) | | |
Washington Health Care Facilities Authority, Providence St. Joseph Health Series 2018B, Rev., 5.00%, 10/1/2028 (a) | | |
| | |
|
| | |
Series E, Rev., 5.00%, 5/1/2027 (a) | | |
Series E, Rev., 5.00%, 5/1/2029 (a) | | |
| | |
Series D, Rev., 5.00%, 1/1/2027 (a) | | |
Series D, Rev., 5.00%, 1/1/2028 (a) | | |
Hamilton School District, School Building and Improvement GO, 5.00%, 4/1/2025 (a) | | |
| | |
Rev., 5.00%, 6/15/2032 (a) | | |
Rev., 5.00%, 6/15/2042 (a) | | |
Public Finance Authority, Acts Retirement Life Communities, Inc., Obligated Group Series 2020A, Rev., 4.00%, 11/15/2037 (a) | | |
Public Finance Authority, Eastern Michigan University Student Housing Project Series 2022A-1, Rev., 5.00%, 7/1/2032 (a) | | |
Public Finance Authority, Entrance Fee Principal Redemption, Searstone CCRC Project Series 2021B2, Rev., 2.25%, 6/1/2027 (a) (c) | | |
| | |
|
|
Public Finance Authority, Lenoir-Rhyne University | | |
Series 2022, Rev., 5.00%, 4/1/2029 (a) | | |
Series 2022, Rev., 5.00%, 4/1/2030 (a) | | |
Series 2022, Rev., 5.00%, 4/1/2031 (a) | | |
Series 2022, Rev., 5.00%, 4/1/2032 (a) | | |
Public Finance Authority, Piedmont Community Charter School Rev., 5.00%, 6/15/2039 (a) | | |
Public Finance Authority, Roseman University of Health Sciences Project Rev., 4.00%, 4/1/2032 (a) (c) | | |
Public Finance Authority, Scotland Healthcare System Series 2021A, Rev., 5.00%, 10/1/2027 (a) | | |
Public Finance Authority, Ultimate Medical Academy Project Series 2019A, Rev., 5.00%, 10/1/2029 (a) (c) | | |
| | |
Series B, GO, 4.00%, 5/1/2023 (a) | | |
Series 1, GO, 5.00%, 11/1/2024 (a) | | |
Series 2, GO, 5.00%, 11/1/2026 (a) | | |
State of Wisconsin, Clean Water Fund Leveraged Loan Portfolio | | |
Series 1, Rev., 5.00%, 6/1/2023 (a) (e) | | |
Rev., 5.00%, 6/1/2024 (a) (e) | | |
State of Wisconsin, Environmental Improvement Fund | | |
Series 2018A, Rev., 5.00%, 6/1/2025 (a) | | |
Series 2018A, Rev., 5.00%, 6/1/2026 (a) | | |
Village of Pleasant Prairie GO, 4.00%, 8/1/2024 (a) | | |
Wisconsin Department of Transportation | | |
Series 2, Rev., 5.00%, 7/1/2031 (a) | | |
Series 2, Rev., 5.00%, 7/1/2032 (a) | | |
Wisconsin Health and Educational Facilities Authority, Oakwood Lutheran Senior Ministries | | |
Rev., 4.00%, 1/1/2026 (a) | | |
Rev., 4.00%, 1/1/2027 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Wisconsin Health and Educational Facilities Authority, St. Camillus Health System Series 2019A, Rev., 5.00%, 11/1/2029 (a) | | |
WPPI Energy Series 2016A, Rev., 5.00%, 7/1/2024 (a) | | |
| | |
Total Municipal Bonds
(Cost $375,754,351) | | |
| | |
Short-Term Investments — 6.9% |
Investment Companies — 6.9% |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 2.93% (f) (g)
(Cost $28,404,779) | | |
Total Investments — 97.8%
(Cost $404,159,130) | | |
Other Assets Less Liabilities — 2.2% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Insured by Assured Guaranty Municipal Corp. |
| |
| |
| Insured by Berkshire Hathaway Assurance Corp. |
| Congregate Care Retirement Center |
| Certificate of Participation |
| |
| |
| |
| |
| |
| Permanent School Fund Guaranteed |
| Qualified School Bond Loan Fund |
| |
| Variable Rate Demand Obligation |
| Amount rounds to less than 0.1% of net assets. |
| The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
| Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2023. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| Security is prerefunded or escrowed to maturity. | |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| The rate shown is the current yield as of February 28, 2023. | |
Futures contracts outstanding as of February 28, 2023:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
U.S. Treasury 10 Year Ultra Note | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of February 28, 2023:
REFERENCE
OBLIGATION/INDEX | FINANCING
RATE PAID
BY THE FUND
(%) | | | | | UPFRONT
PAYMENTS
(RECEIPTS)
| UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | |
| | | | | | | | |
| The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
| 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. |
| 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. |
| 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). |
| |
| Credit Default Swap Index |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023
| | |
|
Aerospace & Defense — 0.3% |
Boeing Co. (The) 2.20%, 2/4/2026 | | |
Bombardier, Inc. (Canada) | | |
| | |
| | |
| | |
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TransDigm, Inc. 6.25%, 3/15/2026 (a) | | |
Triumph Group, Inc. 8.88%, 6/1/2024 (a) | | |
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|
| | |
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United Airlines, Inc. 4.38%, 4/15/2026 (a) | | |
| | |
|
Adient Global Holdings Ltd. 4.88%, 8/15/2026 (a) | | |
Allison Transmission, Inc. 5.88%, 6/1/2029 (a) | | |
American Axle & Manufacturing, Inc. | | |
| | |
| | |
Clarios Global LP 6.25%, 5/15/2026 (a) | | |
| | |
| | |
| | |
Goodyear Tire & Rubber Co. (The) 5.25%, 4/30/2031 (b) | | |
Icahn Enterprises LP 5.25%, 5/15/2027 | | |
| | |
|
Ford Motor Co. 9.63%, 4/22/2030 | | |
Hyundai Capital America 1.80%, 10/15/2025 (a) | | |
Volkswagen Group of America Finance LLC (Germany) 3.35%, 5/13/2025 (a) | | |
| | |
| | |
|
|
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.54%, 6/16/2027 (a) (c) | | |
AIB Group plc (Ireland) (ICE LIBOR USD 3 Month + 1.87%), 4.26%, 4/10/2025 (a) (c) | | |
Banco Bilbao Vizcaya Argentaria SA (Spain) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.86%, 9/14/2026 (c) | | |
Banco Continental SAECA (Paraguay) 2.75%, 12/10/2025 (a) | | |
Banco Santander SA (Spain) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00%), 4.17%, 3/24/2028 (c) | | |
| | |
(ICE LIBOR USD 3 Month + 0.94%), 3.86%, 7/23/2024 (c) | | |
(ICE LIBOR USD 3 Month + 0.64%), 2.01%, 2/13/2026 (c) | | |
(SOFR + 1.33%), 3.38%, 4/2/2026 (c) | | |
(SOFR + 0.96%), 1.73%, 7/22/2027 (c) | | |
(SOFR + 1.05%), 2.55%, 2/4/2028 (c) | | |
(SOFR + 2.04%), 4.95%, 7/22/2028 (c) | | |
(SOFR + 1.99%), 6.20%, 11/10/2028 (c) | | |
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) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (a) (c) | | |
Bank of Montreal (Canada) 5.20%, 2/1/2028 | | |
Banque Federative du Credit Mutuel SA (France) 4.75%, 7/13/2027 (a) | | |
Barclays plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.28%, 11/24/2027 (c) | | |
BNP Paribas SA (France) (SOFR + 2.07%), 2.22%, 6/9/2026 (a) (c) | | |
| | |
(SOFR + 0.67%), 0.98%, 5/1/2025 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
(SOFR + 0.69%), 2.01%, 1/25/2026 (c) | | |
(SOFR + 2.84%), 3.11%, 4/8/2026 (c) | | |
(SOFR + 1.55%), 5.61%, 9/29/2026 (c) | | |
(SOFR + 0.77%), 1.12%, 1/28/2027 (c) | | |
(SOFR + 1.89%), 4.66%, 5/24/2028 (b) (c) | | |
Citizens Bank NA (SOFR + 2.00%), 4.57%, 8/9/2028 (c) | | |
Credit Agricole SA (France) (SOFR + 1.68%), 1.91%, 6/16/2026 (a) (c) | | |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.98%, 9/10/2025 (a) (c) | | |
DNB Bank ASA (Norway) (SOFRINDX + 1.95%), 5.90%, 10/9/2026 (a) (c) | | |
Federation des Caisses Desjardins du Quebec (Canada) 2.05%, 2/10/2025 (a) | | |
HSBC Holdings plc (United Kingdom) | | |
(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (c) | | |
(SOFR + 0.53%), 0.73%, 8/17/2024 (c) | | |
(ICE LIBOR USD 3 Month + 1.21%), 3.80%, 3/11/2025 (c) | | |
(SOFR + 0.71%), 0.98%, 5/24/2025 (c) | | |
(SOFR + 1.29%), 1.59%, 5/24/2027 (c) | | |
(SOFR + 1.10%), 2.25%, 11/22/2027 (c) | | |
(SOFR + 2.61%), 5.21%, 8/11/2028 (c) | | |
ING Groep NV (Netherlands) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.40%, 7/1/2026 (a) (c) | | |
(SOFR + 1.01%), 1.73%, 4/1/2027 (c) | | |
KBC Group NV (Belgium) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (a) (c) | | |
Lloyds Banking Group plc (United Kingdom) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.44%, 2/5/2026 (c) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.70%), 5.87%, 3/6/2029 (c) | | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.13%), 3.84%, 4/17/2026 (c) | | |
| | |
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (c) | | |
Mizuho Financial Group Cayman 3 Ltd. (Japan) 4.60%, 3/27/2024 (a) (d) | | |
Mizuho Financial Group, Inc. (Japan) | | |
(SOFR + 1.25%), 1.24%, 7/10/2024 (c) | | |
(SOFR + 1.24%), 2.84%, 7/16/2025 (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 2.65%, 5/22/2026 (c) | | |
NatWest Group plc (United Kingdom) | | |
(ICE LIBOR USD 3 Month + 1.55%), 4.52%, 6/25/2024 (c) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%, 11/10/2026 (c) | | |
Nordea Bank Abp (Finland) 1.50%, 9/30/2026 (a) | | |
Santander UK Group Holdings plc (United Kingdom) | | |
(SOFR + 0.79%), 1.09%, 3/15/2025 (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (c) | | |
(SOFR + 2.60%), 6.53%, 1/10/2029 (c) | | |
Societe Generale SA (France) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.23%, 1/21/2026 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (a) (c) | | |
Standard Chartered plc (United Kingdom) | | |
(ICE LIBOR USD 3 Month + 1.08%), 3.89%, 3/15/2024 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 0.99%, 1/12/2025 (a) (c) | | |
(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (a) (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 3.97%, 3/30/2026 (a) (c) | | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | | |
| | |
| | |
Sumitomo Mitsui Trust Bank Ltd. (Japan) 0.85%, 3/25/2024 (a) | | |
Toronto-Dominion Bank (The) (Canada) 5.10%, 1/9/2026 | | |
| | |
(ICE LIBOR USD 3 Month + 0.75%), 2.16%, 2/11/2026 (c) | | |
(SOFR + 1.56%), 4.54%, 8/15/2026 (c) | | |
(SOFR + 1.51%), 3.53%, 3/24/2028 (c) | | |
(SOFR + 1.98%), 4.81%, 7/25/2028 (c) | | |
Westpac Banking Corp. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (c) (d) | | |
| | |
|
Amgen, Inc. 5.15%, 3/2/2028 (e) | | |
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) | | |
Grifols Escrow Issuer SA (Spain) 4.75%, 10/15/2028 (a) | | |
| | |
|
Builders FirstSource, Inc. 4.25%, 2/1/2032 (a) | | |
Griffon Corp. 5.75%, 3/1/2028 | | |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | | |
PGT Innovations, Inc. 4.38%, 10/1/2029 (a) | | |
Standard Industries, Inc. 4.75%, 1/15/2028 (a) | | |
Summit Materials LLC 5.25%, 1/15/2029 (a) | | |
| | |
|
Credit Suisse Group AG (Switzerland) | | |
| | |
(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (c) | | |
(SOFR + 3.34%), 6.37%, 7/15/2026 (a) (c) | | |
Deutsche Bank AG (Germany) | | |
(SOFR + 2.16%), 2.22%, 9/18/2024 (c) | | |
(SOFR + 1.87%), 2.13%, 11/24/2026 (c) | | |
| | |
|
Capital Markets — continued |
(SOFR + 1.22%), 2.31%, 11/16/2027 (c) | | |
(SOFR + 3.18%), 6.72%, 1/18/2029 (c) | | |
Goldman Sachs Group, Inc. (The) | | |
(SOFR + 0.57%), 0.68%, 3/8/2024 (c) | | |
(SOFR + 0.73%), 1.76%, 1/24/2025 (c) | | |
(SOFR + 0.91%), 1.95%, 10/21/2027 (c) | | |
(SOFR + 1.11%), 2.64%, 2/24/2028 (c) | | |
(SOFR + 1.85%), 3.62%, 3/15/2028 (c) | | |
Macquarie Group Ltd. (Australia) | | |
| | |
(SOFR + 0.91%), 1.63%, 9/23/2027 (a) (c) | | |
(SOFR + 2.13%), 4.10%, 6/21/2028 (a) (c) | | |
| | |
(SOFR + 0.62%), 0.73%, 4/5/2024 (c) | | |
(ICE LIBOR USD 3 Month + 0.85%), 3.74%, 4/24/2024 (c) | | |
(SOFR + 0.72%), 0.98%, 12/10/2026 (c) | | |
(SOFR + 0.86%), 1.51%, 7/20/2027 (c) | | |
(SOFR + 1.00%), 2.48%, 1/21/2028 (c) | | |
(SOFR + 1.61%), 4.21%, 4/20/2028 (c) | | |
(SOFR + 2.24%), 6.30%, 10/18/2028 (c) | | |
Nomura Holdings, Inc. (Japan) | | |
| | |
| | |
UBS Group AG (Switzerland) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 1.01%, 7/30/2024 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.71%, 1/12/2027 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.49%, 8/10/2027 (a) (c) | | |
| | |
|
Albemarle Corp. 4.65%, 6/1/2027 | | |
Avient Corp. 5.75%, 5/15/2025 (a) | | |
Braskem Netherlands Finance BV (Brazil) 4.50%, 1/31/2030 (f) | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | | |
INEOS Quattro Finance 2 plc (United Kingdom) 3.38%, 1/15/2026 (a) | | |
NOVA Chemicals Corp. (Canada) 4.25%, 5/15/2029 (a) | | |
Scotts Miracle-Gro Co. (The) 4.50%, 10/15/2029 | | |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a) | | |
WR Grace Holdings LLC 4.88%, 6/15/2027 (a) | | |
| | |
Commercial Services & Supplies — 0.3% |
ACCO Brands Corp. 4.25%, 3/15/2029 (a) (b) | | |
Allied Universal Holdco LLC 6.63%, 7/15/2026 (a) | | |
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | | |
Brink's Co. (The) 4.63%, 10/15/2027 (a) | | |
Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a) | | |
GFL Environmental, Inc. (Canada) | | |
| | |
| | |
Madison IAQ LLC 4.13%, 6/30/2028 (a) | | |
Prime Security Services Borrower LLC 5.75%, 4/15/2026 (a) | | |
Stericycle, Inc. 3.88%, 1/15/2029 (a) | | |
| | |
Communications Equipment — 0.1% |
| | |
| | |
| | |
| | |
Construction & Engineering — 0.1% |
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) (b) | | |
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | | |
MasTec, Inc. 4.50%, 8/15/2028 (a) | | |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | | |
| | |
|
AerCap Ireland Capital DAC (Ireland) | | |
| | |
| | |
| | |
|
Consumer Finance — continued |
| | |
Avolon Holdings Funding Ltd. (Ireland) | | |
| | |
| | |
Capital One Financial Corp. | | |
(SOFR + 0.69%), 1.34%, 12/6/2024 (c) | | |
(SOFR + 2.06%), 4.93%, 5/10/2028 (c) | | |
(SOFR + 2.08%), 5.47%, 2/1/2029 (c) | | |
Ford Motor Credit Co. LLC | | |
| | |
| | |
General Motors Financial Co., Inc. 5.00%, 4/9/2027 | | |
Navient Corp. 7.25%, 9/25/2023 | | |
| | |
| | |
| | |
| | |
Park Aerospace Holdings Ltd. (Ireland) | | |
| | |
| | |
| | |
Containers & Packaging — 0.3% |
Ardagh Packaging Finance plc 4.13%, 8/15/2026 (a) | | |
Graphic Packaging International LLC 1.51%, 4/15/2026 (a) | | |
LABL, Inc. 6.75%, 7/15/2026 (a) | | |
Mauser Packaging Solutions Holding Co. 7.88%, 8/15/2026 (a) | | |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | | |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | | |
| | |
Diversified Consumer Services — 0.0% ^ |
Service Corp. International 5.13%, 6/1/2029 | | |
Diversified Financial Services — 0.3% |
Element Fleet Management Corp. (Canada) | | |
| | |
| | |
Fondo MIVIVIENDA SA (Peru) 4.63%, 4/12/2027 (a) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Diversified Telecommunication Services — 0.7% |
Altice France SA (France) 5.13%, 7/15/2029 (a) | | |
| | |
| | |
| | |
| | |
| | |
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a) | | |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | | |
| | |
| | |
| | |
NBN Co. Ltd. (Australia) 1.45%, 5/5/2026 (a) | | |
Sprint Capital Corp. 8.75%, 3/15/2032 | | |
Telecom Italia Capital SA (Italy) 6.38%, 11/15/2033 | | |
| | |
Electric Utilities — 1.9% |
Enel Finance America LLC (Italy) 7.10%, 10/14/2027 (a) | | |
Enel Finance International NV (Italy) 4.63%, 6/15/2027 (a) | | |
Eskom Holdings SOC Ltd. (South Africa) 6.75%, 8/6/2023 (f) | | |
Exelon Corp. 5.15%, 3/15/2028 | | |
Fells Point Funding Trust 3.05%, 1/31/2027 (a) | | |
ITC Holdings Corp. 3.65%, 6/15/2024 | | |
NextEra Energy Capital Holdings, Inc. 4.90%, 2/28/2028 | | |
| | |
| | |
| | |
PG&E Corp. 5.00%, 7/1/2028 | | |
Vistra Operations Co. LLC | | |
| | |
| | |
| | |
| | |
Electrical Equipment — 0.1% |
| | |
| | |
| | |
| | |
|
Electrical Equipment — continued |
| | |
| | |
Vertiv Group Corp. 4.13%, 11/15/2028 (a) | | |
| | |
Electronic Equipment, Instruments & Components — 0.0% ^ |
Coherent Corp. 5.00%, 12/15/2029 (a) | | |
Sensata Technologies, Inc. 4.38%, 2/15/2030 (a) | | |
| | |
Energy Equipment & Services — 0.1% |
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a) | | |
Oceaneering International, Inc. 4.65%, 11/15/2024 | | |
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a) | | |
Transocean, Inc. 8.75%, 2/15/2030 (a) | | |
| | |
|
| | |
| | |
| | |
Live Nation Entertainment, Inc. 4.75%, 10/15/2027 (a) | | |
Warnermedia Holdings, Inc. 3.76%, 3/15/2027 (a) | | |
| | |
Equity Real Estate Investment Trusts (REITs) — 0.2% |
Corporate Office Properties LP 2.00%, 1/15/2029 | | |
Iron Mountain, Inc. 4.88%, 9/15/2027 (a) | | |
RHP Hotel Properties LP 4.75%, 10/15/2027 | | |
SBA Communications Corp. 3.13%, 2/1/2029 | | |
VICI Properties LP 5.63%, 5/1/2024 (a) | | |
| | |
Food & Staples Retailing — 0.2% |
| | |
| | |
| | |
Performance Food Group, Inc. 5.50%, 10/15/2027 (a) | | |
Rite Aid Corp. 8.00%, 11/15/2026 (a) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Lamb Weston Holdings, Inc. 4.88%, 5/15/2028 (a) | | |
| | |
| | |
| | |
Viterra Finance BV (Netherlands) | | |
| | |
| | |
| | |
|
AmeriGas Partners LP 5.88%, 8/20/2026 | | |
Superior Plus LP (Canada) 4.50%, 3/15/2029 (a) | | |
| | |
Health Care Equipment & Supplies — 0.1% |
Avantor Funding, Inc. 4.63%, 7/15/2028 (a) | | |
| | |
| | |
| | |
| | |
Health Care Providers & Services — 0.5% |
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (a) | | |
AdaptHealth LLC 4.63%, 8/1/2029 (a) | | |
Centene Corp. 4.63%, 12/15/2029 | | |
Community Health Systems, Inc. | | |
| | |
| | |
| | |
| | |
DaVita, Inc. 4.63%, 6/1/2030 (a) | | |
Encompass Health Corp. 4.75%, 2/1/2030 | | |
Owens & Minor, Inc. 4.38%, 12/15/2024 | | |
| | |
| | |
| | |
| | |
| | |
Hotels, Restaurants & Leisure — 0.7% |
1011778 BC ULC (Canada) 3.88%, 1/15/2028 (a) | | |
Boyd Gaming Corp. 4.75%, 12/1/2027 | | |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | | |
| | |
|
Hotels, Restaurants & Leisure — continued |
Caesars Entertainment, Inc. 6.25%, 7/1/2025 (a) | | |
Carnival Corp. 9.88%, 8/1/2027 (a) | | |
Cedar Fair LP 5.25%, 7/15/2029 | | |
Gohl Capital Ltd. (Malaysia) 4.25%, 1/24/2027 (f) | | |
Hilton Domestic Operating Co., Inc. 4.88%, 1/15/2030 | | |
Marriott Ownership Resorts, Inc. 4.50%, 6/15/2029 (a) | | |
MGM Resorts International 5.50%, 4/15/2027 | | |
Royal Caribbean Cruises Ltd. | | |
| | |
| | |
Six Flags Entertainment Corp. 5.50%, 4/15/2027 (a) (b) | | |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | | |
Station Casinos LLC 4.50%, 2/15/2028 (a) | | |
Vail Resorts, Inc. 6.25%, 5/15/2025 (a) | | |
Wynn Las Vegas LLC 5.50%, 3/1/2025 (a) | | |
| | |
| | |
| | |
| | |
Household Durables — 0.1% |
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | | |
Newell Brands, Inc. 6.38%, 9/15/2027 | | |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | | |
| | |
Household Products — 0.1% |
| | |
| | |
| | |
| | |
| | |
| | |
Spectrum Brands, Inc. 5.00%, 10/1/2029 (a) | | |
| | |
Independent Power and Renewable Electricity Producers — 0.3% |
Calpine Corp. 4.50%, 2/15/2028 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Independent Power and Renewable Electricity Producers — continued |
Constellation Energy Generation LLC 5.60%, 3/1/2028 | | |
Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029 (f) | | |
| | |
|
| | |
| | |
| | |
| | |
Equitable Financial Life Global Funding 0.80%, 8/12/2024 (a) | | |
Jackson National Life Global Funding | | |
| | |
| | |
| | |
|
Arches Buyer, Inc. 4.25%, 6/1/2028 (a) | | |
| | |
| | |
| | |
Gartner, Inc. 3.63%, 6/15/2029 (a) | | |
| | |
| | |
| | |
Presidio Holdings, Inc. 4.88%, 2/1/2027 (a) | | |
| | |
Leisure Products — 0.0% ^ |
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) | | |
Life Sciences Tools & Services — 0.0% ^ |
Charles River Laboratories International, Inc. 3.75%, 3/15/2029 (a) | | |
Syneos Health, Inc. 3.63%, 1/15/2029 (a) | | |
| | |
|
Chart Industries, Inc. 7.50%, 1/1/2030 (a) | | |
Terex Corp. 5.00%, 5/15/2029 (a) | | |
| | |
|
Clear Channel Outdoor Holdings, Inc. | | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
Directv Financing LLC 5.88%, 8/15/2027 (a) | | |
| | |
| | |
| | |
| | |
DISH Network Corp. 11.75%, 11/15/2027 (a) | | |
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | | |
Gray Escrow II, Inc. 5.38%, 11/15/2031 (a) | | |
iHeartCommunications, Inc. | | |
| | |
| | |
Lamar Media Corp. 4.00%, 2/15/2030 | | |
News Corp. 3.88%, 5/15/2029 (a) | | |
Nexstar Media, Inc. 5.63%, 7/15/2027 (a) | | |
Outfront Media Capital LLC 6.25%, 6/15/2025 (a) | | |
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a) | | |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | | |
Sinclair Television Group, Inc. 4.13%, 12/1/2030 (a) | | |
| | |
| | |
| | |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | | |
Univision Communications, Inc. | | |
| | |
| | |
Videotron Ltd. (Canada) 5.13%, 4/15/2027 (a) | | |
| | |
|
Alcoa Nederland Holding BV 6.13%, 5/15/2028 (a) (b) | | |
Arconic Corp. 6.13%, 2/15/2028 (a) | | |
ATI, Inc. 5.88%, 12/1/2027 | | |
Big River Steel LLC 6.63%, 1/31/2029 (a) | | |
Carpenter Technology Corp. 6.38%, 7/15/2028 | | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Metals & Mining — continued |
CSN Inova Ventures (Brazil) 6.75%, 1/28/2028 (f) | | |
FMG Resources August 2006 Pty. Ltd. (Australia) 4.50%, 9/15/2027 (a) | | |
Kaiser Aluminum Corp. 4.63%, 3/1/2028 (a) | | |
Novelis Corp. 4.75%, 1/30/2030 (a) | | |
| | |
|
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a) | | |
| | |
| | |
| | |
| | |
Oil, Gas & Consumable Fuels — 2.2% |
Antero Midstream Partners LP | | |
| | |
| | |
| | |
| | |
| | |
APA Infrastructure Ltd. (Australia) 4.20%, 3/23/2025 (a) | | |
Baytex Energy Corp. (Canada) 8.75%, 4/1/2027 (a) | | |
Blue Racer Midstream LLC 6.63%, 7/15/2026 (a) | | |
Buckeye Partners LP 4.13%, 12/1/2027 | | |
Cheniere Energy Partners LP 4.50%, 10/1/2029 | | |
Chesapeake Energy Corp. 6.75%, 4/15/2029 (a) | | |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | | |
| | |
| | |
| | |
Comstock Resources, Inc. 6.75%, 3/1/2029 (a) | | |
Crestwood Midstream Partners LP | | |
| | |
| | |
DT Midstream, Inc. 4.13%, 6/15/2029 (a) | | |
Ecopetrol SA (Colombia) 5.38%, 6/26/2026 | | |
Energean Israel Finance Ltd. (Israel) | | |
| | |
| | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
Energy Transfer LP 5.55%, 2/15/2028 | | |
EnLink Midstream Partners LP | | |
| | |
| | |
EQM Midstream Partners LP | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (a) | | |
Greenko Dutch BV (India) 3.85%, 3/29/2026 (a) | | |
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | | |
Hilcorp Energy I LP 5.75%, 2/1/2029 (a) | | |
Holly Energy Partners LP 6.38%, 4/15/2027 (a) | | |
Kinetik Holdings LP 5.88%, 6/15/2030 (a) | | |
Leviathan Bond Ltd. (Israel) | | |
| | |
| | |
MEG Energy Corp. (Canada) 5.88%, 2/1/2029 (a) | | |
NGL Energy Operating LLC 7.50%, 2/1/2026 (a) | | |
NuStar Logistics LP 5.63%, 4/28/2027 | | |
Occidental Petroleum Corp. 6.13%, 1/1/2031 | | |
Petroleos Mexicanos (Mexico) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Sunoco LP 5.88%, 3/15/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
Tallgrass Energy Partners LP | | |
| | |
| | |
Vital Energy, Inc. 9.50%, 1/15/2025 | | |
| | |
|
Edgewell Personal Care Co. 5.50%, 6/1/2028 (a) | | |
Prestige Brands, Inc. 5.13%, 1/15/2028 (a) | | |
| | |
|
Bausch Health Americas, Inc. | | |
| | |
| | |
| | |
| | |
| | |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (g) | | |
Organon & Co. 5.13%, 4/30/2031 (a) | | |
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (a) (g) | | |
| | |
Real Estate Management & Development — 0.1% |
GLP Pte. Ltd. (Singapore) 3.88%, 6/4/2025 (f) | | |
Kennedy-Wilson, Inc. 4.75%, 3/1/2029 | | |
Realogy Group LLC 5.75%, 1/15/2029 (a) | | |
| | |
|
Avis Budget Car Rental LLC | | |
| | |
| | |
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | | |
Hertz Corp. (The) 4.63%, 12/1/2026 (a) | | |
Triton Container International Ltd. (Bermuda) 2.05%, 4/15/2026 (a) | | |
Uber Technologies, Inc. 7.50%, 5/15/2025 (a) | | |
| | |
Semiconductors & Semiconductor Equipment — 0.1% |
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | | |
| | |
|
Semiconductors & Semiconductor Equipment — continued |
Entegris Escrow Corp. 5.95%, 6/15/2030 (a) | | |
Marvell Technology, Inc. 1.65%, 4/15/2026 | | |
| | |
|
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | | |
| | |
| | |
| | |
Oracle Corp. 4.50%, 5/6/2028 | | |
| | |
|
Asbury Automotive Group, Inc. 4.50%, 3/1/2028 | | |
| | |
| | |
| | |
| | |
Gap, Inc. (The) 3.63%, 10/1/2029 (a) | | |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | | |
| | |
| | |
| | |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | | |
PetSmart, Inc. 4.75%, 2/15/2028 (a) | | |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | | |
SRS Distribution, Inc. 4.63%, 7/1/2028 (a) | | |
Staples, Inc. 7.50%, 4/15/2026 (a) | | |
| | |
Technology Hardware, Storage & Peripherals — 0.0% ^ |
| | |
| | |
| | |
| | |
Textiles, Apparel & Luxury Goods — 0.0% ^ |
William Carter Co. (The) 5.63%, 3/15/2027 (a) | | |
Thrifts & Mortgage Finance — 1.6% |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Thrifts & Mortgage Finance — continued |
| | |
(SOFR + 1.52%), 1.65%, 10/6/2026 (a) (c) | | |
(SOFR + 2.10%), 5.97%, 1/18/2027 (a) (c) | | |
Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (a) | | |
Nationwide Building Society (United Kingdom) | | |
(ICE LIBOR USD 3 Month + 1.06%), 3.77%, 3/8/2024 (a) (c) | | |
(ICE LIBOR USD 3 Month + 1.39%), 4.36%, 8/1/2024 (a) (c) | | |
(SOFR + 1.29%), 2.97%, 2/16/2028 (a) (c) | | |
| | |
| | |
| | |
| | |
| | |
|
BAT International Finance plc (United Kingdom) 4.45%, 3/16/2028 | | |
Trading Companies & Distributors — 0.7% |
| | |
| | |
| | |
| | |
Aviation Capital Group LLC | | |
| | |
| | |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | | |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | | |
United Rentals North America, Inc. 4.88%, 1/15/2028 | | |
WESCO Distribution, Inc. 7.25%, 6/15/2028 (a) | | |
| | |
Wireless Telecommunication Services — 0.5% |
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | | |
Kenbourne Invest SA (Chile) 4.70%, 1/22/2028 (f) | | |
| | |
| | |
| | |
|
Wireless Telecommunication Services — continued |
| | |
| | |
| | |
Total Corporate Bonds
(Cost $83,768,537) | | |
Asset-Backed Securities — 19.7% |
ACC Auto Trust Series 2021-A, Class A, 1.08%, 4/15/2027 (a) | | |
Accelerated LLC Series 2021-1H, Class B, 1.90%, 10/20/2040 (a) | | |
| | |
Series 2022-1A, Class B, 4.47%, 4/20/2029 (a) | | |
Series 2023-1A, Class B, 7.26%, 1/22/2030 (a) | | |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (a) | | |
American Credit Acceptance Receivables Trust | | |
Series 2020-1, Class E, 3.32%, 3/13/2026 (a) | | |
Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | | |
Series 2023-1, Class D, 6.35%, 4/12/2029 (a) | | |
| | |
Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 (a) | | |
Series 2021-SFR4, Class E1, 2.97%, 12/17/2038 (a) | | |
Aqua Finance Trust Series 2021-A, Class B, 2.40%, 7/17/2046 (a) | | |
AREIT Trust Series 2021-CRE5, Class C, 6.85%, 11/17/2038 ‡ (a) (h) | | |
Atlas Senior Loan Fund (Cayman Islands) Series 2019-13A, Class A1NR, 5.90%, 4/22/2031 (a) (h) | | |
Bain Capital Credit CLO Ltd. (Cayman Islands) Series 2017-1A, Class A1R, 5.78%, 7/20/2030 (a) (h) | | |
BSPRT Issuer Ltd. (Cayman Islands) Series 2021-FL7, Class B, 6.64%, 12/15/2038 (a) (h) | | |
Business Jet Securities LLC | | |
Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (a) | | |
Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Asset-Backed Securities — continued |
CarNow Auto Receivables Trust | | |
Series 2020-1A, Class C, 3.84%, 9/16/2024 (a) | | |
Series 2021-1A, Class C, 2.16%, 2/17/2026 (a) | | |
Series 2021-2A, Class C, 1.69%, 3/15/2027 (a) | | |
Series 2022-1A, Class D, 5.79%, 9/15/2027 (a) | | |
CIFC Funding Ltd. (Cayman Islands) Series 2012-2RA, Class A1, 5.61%, 1/20/2028 (a) (h) | | |
Continental Finance Credit Card ABS Master Trust Series 2021-A, Class A, 2.55%, 12/17/2029 (a) | | |
CPS Auto Receivables Trust | | |
Series 2019-B, Class E, 5.00%, 3/17/2025 (a) | | |
Series 2019-A, Class E, 5.81%, 3/16/2026 (a) | | |
Series 2021-D, Class D, 2.31%, 12/15/2027 (a) | | |
Series 2023-A, Class D, 6.44%, 4/16/2029 (a) | | |
Series 2022-C, Class D, 6.45%, 4/15/2030 (a) | | |
Credit Acceptance Auto Loan Trust | | |
Series 2021-3A, Class C, 1.63%, 9/16/2030 (a) | | |
Series 2022-1A, Class C, 5.70%, 10/15/2032 (a) | | |
Crossroads Asset Trust Series 2021-A, Class C, 1.44%, 1/20/2026 (a) | | |
Dext ABS LLC Series 2021-1, Class A, 1.12%, 2/15/2028 (a) | | |
| | |
Series 2021-1A, Class D, 1.16%, 11/16/2026 (a) | | |
Series 2021-3A, Class D, 1.31%, 5/17/2027 (a) | | |
Series 2023-1A, Class D, 6.44%, 11/15/2028 (a) | | |
Exeter Automobile Receivables Trust | | |
Series 2019-3A, Class D, 3.11%, 8/15/2025 (a) | | |
Series 2020-1A, Class E, 3.74%, 1/15/2027 (a) | | |
Series 2021-2A, Class D, 1.40%, 4/15/2027 | | |
| | |
|
Series 2021-4A, Class D, 1.96%, 1/17/2028 | | |
Series 2022-2A, Class D, 4.56%, 7/17/2028 | | |
Series 2022-5A, Class D, 7.40%, 2/15/2029 | | |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | | |
FCI Funding LLC Series 2021-1A, Class A, 1.13%, 4/15/2033 ‡ (a) | | |
| | |
Series 2021-2A, Class A, 0.83%, 12/15/2026 (a) | | |
Series 2021-1A, Class A, 1.27%, 3/15/2027 (a) | | |
| | |
Series 2021-SFR3, Class E1, 2.99%, 12/17/2038 (a) | | |
Series 2022-SFR2, Class D, 4.50%, 7/17/2039 (a) | | |
Flagship Credit Auto Trust | | |
Series 2021-1, Class D, 1.27%, 3/15/2027 (a) | | |
Series 2021-3, Class C, 1.46%, 9/15/2027 (a) | | |
Series 2022-1, Class D, 3.64%, 3/15/2028 (a) | | |
Series 2022-3, Class C, 4.99%, 7/17/2028 (a) | | |
Series 2022-3, Class D, 6.00%, 7/17/2028 (a) | | |
Foundation Finance Trust Series 2021-1A, Class A, 1.27%, 5/15/2041 (a) | | |
| | |
Series 2021-1CP, Class B, 1.41%, 3/20/2028 (a) | | |
Series 2022-3FP, Class A, 4.50%, 8/20/2029 (a) | | |
FRTKL Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (a) | | |
Galaxy CLO Ltd. (Cayman Islands) Series 2015-19A, Class A1RR, 5.77%, 7/24/2030 (a) (h) | | |
GLS Auto Receivables Issuer Trust | | |
Series 2019-4A, Class C, 3.06%, 8/15/2025 (a) | | |
Series 2021-3A, Class D, 1.48%, 7/15/2027 (a) | | |
Series 2020-4A, Class E, 3.51%, 10/15/2027 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
Goldman Home Improvement Trust Issuer Trust Series 2021-GRN2, Class A, 1.15%, 6/25/2051 (a) | | |
Home Partners of America Trust Series 2021-3, Class E1, 3.20%, 1/17/2041 (a) | | |
LCM LP (Cayman Islands) Series 14A, Class AR, 5.85%, 7/20/2031 (a) (h) | | |
LCM Ltd. (Cayman Islands) Series 26A, Class A1, 5.88%, 1/20/2031 (a) (h) | | |
Lendbuzz Securitization Trust Series 2021-1A, Class A, 1.46%, 6/15/2026 (a) | | |
Lendingpoint Asset Securitization Trust | | |
Series 2021-A, Class B, 1.46%, 12/15/2028 (a) | | |
Series 2022-A, Class C, 2.82%, 6/15/2029 (a) | | |
LendingPoint Asset Securitization Trust Series 2020-REV1, Class B, 4.49%, 10/15/2028 (a) | | |
LendingPoint Pass-Through Trust Series 2022-ST1, Class A, 2.50%, 3/15/2028 (a) | | |
| | |
Series 2019-2A, Class A, 2.78%, 4/20/2028 (a) | | |
Series 2021-1A, Class A, 1.90%, 11/20/2031 (a) | | |
LL ABS Trust Series 2021-1A, Class A, 1.07%, 5/15/2029 (a) | | |
LMREC LLC Series 2021-CRE4, Class A, 5.67%, 4/22/2037 ‡ (a) (h) | | |
Longfellow Place CLO Ltd. (Cayman Islands) Series 2013-1A, Class AR3, 5.79%, 4/15/2029 (a) (h) | | |
Mariner Finance Issuance Trust Series 2021-AA, Class A, 1.86%, 3/20/2036 (a) | | |
Mercury Financial Credit Card Master Trust Series 2023-1A, Class A, 8.04%, 9/20/2027 (a) | | |
Mission Lane Credit Card Master Trust Series 2021-A, Class A, 1.59%, 9/15/2026 (a) | | |
| | |
Series 2021-1WA, Class A, 1.14%, 1/22/2041 (a) | | |
Series 2021-1WA, Class B, 1.44%, 1/22/2041 (a) | | |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) Series 2020-37A, Class AR, 5.78%, 7/20/2031 (a) (h) | | |
| | |
|
New Residential Mortgage Loan Trust Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (a) | | |
NMEF Funding LLC Series 2021-A, Class B, 1.85%, 12/15/2027 (a) | | |
NRZ Excess Spread-Collateralized Notes Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a) | | |
Octane Receivables Trust Series 2023-1A, Class D, 7.76%, 3/20/2030 ‡ (a) | | |
Oportun Funding XIV LLC Series 2021-A, Class A, 1.21%, 3/8/2028 (a) | | |
Pagaya AI Debt Selection Trust | | |
Series 2021-1, Class A, 1.18%, 11/15/2027 (a) | | |
Series 2021-HG1, Class A, 1.22%, 1/16/2029 (a) | | |
Series 2021-3, Class A, 1.15%, 5/15/2029 (a) | | |
Palmer Square Loan Funding Ltd. (Cayman Islands) | | |
Series 2020-1A, Class A1, 5.48%, 2/20/2028 (a) (h) | | |
Series 2021-2A, Class A1, 5.72%, 5/20/2029 (a) (h) | | |
PFP Ltd. (Cayman Islands) Series 2021-7, Class C, 6.24%, 4/14/2038 (a) (h) | | |
| | |
Series 2021-NPL3, Class A1, 1.87%, 7/25/2051 (a) (g) | | |
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (g) | | |
Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (a) (h) | | |
Pretium Mortgage Credit Partners I LLC | | |
Series 2021-NPL2, Class A1, 1.99%, 6/27/2060 (a) (g) | | |
Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (a) (g) | | |
Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 (a) (g) | | |
Progress Residential Series 2021-SFR3, Class E1, 2.54%, 5/17/2026 (a) | | |
Progress Residential Trust | | |
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a) | | |
Series 2022-SFR3, Class D, 4.45%, 4/17/2039 (a) | | |
Santander Drive Auto Receivables Trust Series 2021-3, Class D, 1.33%, 9/15/2027 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Asset-Backed Securities — continued |
Skopos Auto Receivables Trust Series 2019-1A, Class D, 5.24%, 4/15/2025 (a) | | |
Sound Point CLO Ltd. (Cayman Islands) Series 2019-1A, Class AR, 5.89%, 1/20/2032 (a) (h) | | |
Stratus CLO Ltd. (Cayman Islands) Series 2021-1A, Class A, 5.61%, 12/29/2029 (a) (h) | | |
Symphony CLO Ltd. (Cayman Islands) Series 2016-18A, Class A1RR, 5.92%, 7/23/2033 (a) (h) | | |
Tricon Residential Trust Series 2021-SFR1, Class E1, 2.79%, 7/17/2038 (a) | | |
Upstart Pass-Through Trust | | |
Series 2021-ST4, Class A, 2.00%, 7/20/2027 (a) | | |
Series 2021-ST5, Class A, 2.00%, 7/20/2027 (a) | | |
Series 2021-ST8, Class A, 1.75%, 10/20/2029 (a) | | |
Series 2021-ST9, Class A, 1.70%, 11/20/2029 (a) | | |
Series 2021-ST10, Class A, 2.25%, 1/20/2030 (a) | | |
Series 2022-ST1, Class A, 2.60%, 3/20/2030 (a) | | |
Upstart Securitization Trust | | |
Series 2021-2, Class B, 1.75%, 6/20/2031 (a) | | |
Series 2021-3, Class A, 0.83%, 7/20/2031 (a) | | |
Series 2021-4, Class B, 1.84%, 9/20/2031 (a) | | |
Series 2021-5, Class B, 2.49%, 11/20/2031 (a) | | |
Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | | |
US Auto Funding Series 2021-1A, Class B, 1.49%, 3/17/2025 (a) | | |
US Auto Funding Trust Series 2022-1A, Class B, 5.13%, 12/15/2025 (a) | | |
| | |
Series 2021-NPL2, Class A1, 2.12%, 3/27/2051 (a) (g) | | |
Series 2021-NPL3, Class A1, 1.74%, 5/25/2051 (a) (g) | | |
Series 2021-NPL4, Class A1, 1.87%, 8/25/2051 (a) (g) | | |
| | |
|
Venture CLO Ltd. (Cayman Islands) Series 2018-32A, Class A2A, 5.86%, 7/18/2031 (a) (h) | | |
Veros Auto Receivables Trust | | |
Series 2022-1, Class A, 3.47%, 12/15/2025 (a) | | |
Series 2021-1, Class A, 0.92%, 10/15/2026 (a) | | |
VOLT CIII LLC Series 2021-CF1, Class A1, 1.99%, 8/25/2051 (a) (g) | | |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (a) (g) | | |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (a) (g) | | |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (g) | | |
Westlake Automobile Receivables Trust | | |
Series 2019-3A, Class E, 3.59%, 3/17/2025 (a) | | |
Series 2021-1A, Class D, 1.23%, 4/15/2026 (a) | | |
Series 2021-3A, Class D, 2.12%, 1/15/2027 (a) | | |
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | | |
Total Asset-Backed Securities
(Cost $39,180,071) | | |
U.S. Treasury Obligations — 13.7% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
U.S. Treasury Obligations — continued |
| | |
| | |
Total U.S. Treasury Obligations
(Cost $26,529,532) | | |
Mortgage-Backed Securities — 9.6% |
FHLMC Pool # 841368 ARM, 2.81%, 9/1/2047 (h) | | |
FHLMC Gold Pools, 30 Year Pool # G08878, 4.50%, 5/1/2049 | | |
FHLMC UMBS, 10 Year Pool # RD5034, 2.00%, 9/1/2030 | | |
| | |
Pool # ZS6689, 2.50%, 4/1/2028 | | |
Pool # SB0725, 4.00%, 8/1/2037 | | |
Pool # SB8184, 4.00%, 10/1/2037 | | |
| | |
Pool # ZT1703, 4.00%, 1/1/2049 | | |
Pool # SD8231, 4.50%, 7/1/2052 | | |
FNMA Pool # BM4562 ARM, 3.06%, 5/1/2047 (h) | | |
| | |
Pool # FM1156, 2.50%, 4/1/2033 | | |
Pool # MA4361, 2.50%, 6/1/2036 | | |
Pool # FS1563, 2.50%, 7/1/2036 | | |
Pool # FS1329, 2.00%, 2/1/2037 | | |
| | |
Pool # FM3075, 3.50%, 11/1/2039 | | |
Pool # CA8310, 2.50%, 12/1/2040 | | |
| | |
Pool # FM2972, 4.00%, 12/1/2044 | | |
Pool # FS2237, 4.00%, 10/1/2046 | | |
Pool # BM1285, 4.50%, 5/1/2047 | | |
Pool # FS1847, 4.00%, 1/1/2049 | | |
Pool # FS1891, 4.00%, 1/1/2050 | | |
Pool # FS0085, 4.00%, 11/1/2050 | | |
Pool # MA4733, 4.50%, 9/1/2052 | | |
GNMA II, 30 Year Pool # MA8201, 4.50%, 8/20/2052 | | |
Total Mortgage-Backed Securities
(Cost $18,992,488) | | |
Commercial Mortgage-Backed Securities — 6.6% |
Beast Mortgage Trust Series 2021-1818, Class B, 6.04%, 3/15/2036 (a) (h) | | |
BX Commercial Mortgage Trust Series 2021-VOLT, Class D, 6.24%, 9/15/2036 (a) (h) | | |
| | |
|
| | |
Series 2021-RISE, Class D, 6.34%, 11/15/2036 (a) (h) | | |
Series 2022-LBA6, Class D, 6.56%, 1/15/2039 (a) (h) | | |
Series 2022-FOX2, Class A2, 5.31%, 4/15/2039 (a) (h) | | |
Citigroup Commercial Mortgage Trust | | |
Series 2021-PRM2, Class F, 8.34%, 10/15/2038 (a) (h) | | |
Series 2013-GC11, Class AS, 3.42%, 4/10/2046 | | |
Series 2014-GC23, Class C, 4.43%, 7/10/2047 (h) | | |
Series 2015-GC27, Class B, 3.77%, 2/10/2048 | | |
Series 2015-GC27, Class C, 4.42%, 2/10/2048 (h) | | |
Series 2015-GC29, Class C, 4.14%, 4/10/2048 (h) | | |
Series 2015-GC31, Class C, 4.04%, 6/10/2048 (h) | | |
Commercial Mortgage Trust | | |
Series 2019-WCM, Class G, 7.29%, 10/15/2034 (a) (h) | | |
Series 2013-CR10, Class AM, 4.52%, 8/10/2046 (a) (h) | | |
Series 2014-UBS5, Class C, 4.61%, 9/10/2047 (h) | | |
Series 2014-CR20, Class C, 4.46%, 11/10/2047 (h) | | |
Series 2015-CR26, Class B, 4.47%, 10/10/2048 (h) | | |
Series 2015-PC1, Class B, 4.29%, 7/10/2050 (h) | | |
CSAIL Commercial Mortgage Trust Series 2015-C4, Class E, 3.56%, 11/15/2048 (h) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series K068, Class X1, IO, 0.42%, 8/25/2027 (h) | | |
Series K028, Class X3, IO, 1.88%, 6/25/2041 (h) | | |
Series K111, Class X3, IO, 3.18%, 4/25/2048 (h) | | |
Series K110, Class X3, IO, 3.40%, 6/25/2048 (h) | | |
Series K115, Class X3, IO, 2.96%, 9/25/2048 (h) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
Series K125, Class X3, IO, 2.65%, 2/25/2049 (h) | | |
| | |
Series 2018-K732, Class C, 4.05%, 5/25/2025 (a) (h) | | |
Series 2013-K31, Class C, 3.62%, 7/25/2046 (a) (h) | | |
Series 2014-K41, Class C, 3.83%, 11/25/2047 (a) (h) | | |
Series 2016-K57, Class C, 3.92%, 8/25/2049 (a) (h) | | |
Series 2016-K58, Class C, 3.74%, 9/25/2049 (a) (h) | | |
GS Mortgage Securities Trust | | |
Series 2016-GS2, Class B, 3.76%, 5/10/2049 (h) | | |
Series 2016-GS3, Class C, 3.99%, 10/10/2049 (h) | | |
Series 2017-GS5, Class D, 3.51%, 3/10/2050 (a) (h) | | |
Independence Plaza Trust Series 2018-INDP, Class C, 4.16%, 7/10/2035 (a) | | |
JPMBB Commercial Mortgage Securities Trust | | |
Series 2015-C31, Class C, 4.62%, 8/15/2048 (h) | | |
Series 2016-C1, Class D1, 4.24%, 3/17/2049 (a) (h) | | |
JPMCC Commercial Mortgage Securities Trust Series 2017-JP5, Class D, 4.51%, 3/15/2050 (a) (h) | | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-C16, Class D, 5.01%, 12/15/2046 (a) (h) | | |
KKR Industrial Portfolio Trust Series 2021-KDIP, Class D, 5.93%, 12/15/2037 (a) (h) | | |
Life Mortgage Trust Series 2021-BMR, Class C, 5.69%, 3/15/2038 (a) (h) | | |
MHC Commercial Mortgage Trust Series 2021-MHC, Class D, 6.19%, 4/15/2038 (a) (h) | | |
Morgan Stanley Bank of America Merrill Lynch Trust | | |
Series 2014-C14, Class D, 5.06%, 2/15/2047 (a) (h) | | |
Series 2015-C24, Class D, 3.26%, 5/15/2048 (a) | | |
Series 2015-C25, Class B, 4.52%, 10/15/2048 (h) | | |
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048 | | |
| | |
|
SMRT Series 2022-MINI, Class E, 7.26%, 1/15/2039 (a) (h) | | |
STWD Mortgage Trust (Cayman Islands) Series 2021-LIH, Class B, 6.24%, 11/15/2036 (a) (h) | | |
Velocity Commercial Capital Loan Trust Series 2021-2, Class A, 1.52%, 8/25/2051 (a) (h) | | |
Wells Fargo Commercial Mortgage Trust | | |
Series 2015-NXS4, Class B, 4.22%, 12/15/2048 (h) | | |
Series 2015-LC22, Class D, 4.55%, 9/15/2058 (h) | | |
WFRBS Commercial Mortgage Trust | | |
Series 2013-C11, Class C, 4.06%, 3/15/2045 (h) | | |
Series 2014-C25, Class B, 4.24%, 11/15/2047 (h) | | |
Series 2014-C22, Class C, 3.77%, 9/15/2057 (h) | | |
Series 2014-C22, Class AS, 4.07%, 9/15/2057 (h) | | |
Total Commercial Mortgage-Backed Securities
(Cost $13,713,966) | | |
Collateralized Mortgage Obligations — 5.0% |
Connecticut Avenue Securities Trust | | |
Series 2022-R01, Class 1M2, 6.38%, 12/25/2041 (a) (h) | | |
Series 2022-R02, Class 2M2, 7.48%, 1/25/2042 (a) (h) | | |
| | |
Series 2020-DNA1, Class M2, 6.32%, 1/25/2050 (a) (h) | | |
Series 2020-HQA3, Class B1, 10.37%, 7/25/2050 (a) (h) | | |
FHLMC Structured Agency Credit Risk Debt Notes Series 2021-DNA2, Class M2, 6.78%, 8/25/2033 (a) (h) | | |
| | |
Series 2673, Class PE, 5.50%, 9/15/2033 | | |
Series 4754, Class VG, 4.00%, 12/15/2036 | | |
Series 3878, Class PL, 4.50%, 11/15/2040 | | |
Series 4376, Class A, 4.00%, 7/15/2041 | | |
Series 4718, Class DA, 3.00%, 2/15/2047 | | |
Series 5021, Class MI, IO, 3.00%, 10/25/2050 | | |
| | |
Series 2012-136, Class DL, 3.50%, 12/25/2042 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Collateralized Mortgage Obligations — continued |
Series 2022-42, Class EA, 3.75%, 6/25/2052 | | |
Series 2022-43, Class P, 4.00%, 7/25/2052 | | |
GNMA Series 2021-9, Class MI, IO, 2.50%, 1/20/2051 | | |
Legacy Mortgage Asset Trust Series 2021-GS3, Class A1, 1.75%, 7/25/2061 (a) (g) | | |
LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 2/25/2026 (a) (h) | | |
NYMT Loan Trust Series 2021-SP1, Class A1, 1.67%, 8/25/2061 (a) (g) | | |
| | |
Series 2021-2, Class A1, 2.12%, 3/25/2026 (a) (h) | | |
Series 2021-5, Class A1, 1.79%, 6/25/2026 (a) (g) | | |
Series 2021-6, Class A1, 1.79%, 7/25/2026 (a) (g) | | |
Series 2021-7, Class A1, 1.87%, 8/25/2026 (a) (g) | | |
Series 2021-11, Class A1, 2.49%, 11/25/2026 (a) (g) | | |
Verus Securitization Trust Series 2021-2, Class M1, 2.19%, 2/25/2066 (a) (h) | | |
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (a) (g) | | |
Total Collateralized Mortgage Obligations
(Cost $10,067,524) | | |
Foreign Government Securities — 1.1% |
Arab Republic of Egypt 6.20%, 3/1/2024 (f) | | |
Dominican Republic Government Bond | | |
| | |
| | |
Federal Republic of Nigeria | | |
| | |
| | |
Islamic Republic of Pakistan 6.00%, 4/8/2026 (a) | | |
Republic of Angola 8.25%, 5/9/2028 (f) | | |
Republic of Cote d'Ivoire | | |
| | |
5.75%, 12/31/2032 (f) (g) | | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Turkiye Ihracat Kredi Bankasi A/S 9.38%, 1/31/2026 (a) | | |
Total Foreign Government Securities
(Cost $2,418,751) | | |
Municipal Bonds — 0.1% (h) (i) |
|
California Housing Finance Agency Series 2021-1, Class X, Rev., 0.80%, 3/20/2023 (Cost $119,830) | | |
| | |
Short-Term Investments — 0.9% |
Investment of Cash Collateral from Securities Loaned — 0.4% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (j) (k)
(Cost $805,328) | | |
| | |
U.S. Treasury Obligations — 0.5% |
| | |
| | |
| | |
Total U.S. Treasury Obligations
(Cost $887,423) | | |
Total Short-Term Investments
(Cost $1,692,751) | | |
Total Investments — 98.1%
(Cost $196,483,450) | | |
Other Assets Less Liabilities — 1.9% | | |
| | |
Percentages indicated are based on net assets. |
| |
| |
| Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 28, 2023. |
| Commercial Industrial Finance Corp. |
| Collateralized Loan Obligations |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| Intercontinental Exchange |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Short Duration Core Plus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| 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. |
| London Interbank Offered Rate |
| Real Estate Mortgage Investment Conduit |
| |
| Limited partnership with share capital |
| Secured Overnight Financing Rate |
| Compounding index of the Secured Overnight Financing Rate |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| The security or a portion of this security is on loan at February 28, 2023. The total value of securities on loan at February 28, 2023 is $776,266. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
| Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at February 28, 2023 is $1,143,461 or 0.60% of the Fund’s net assets as of February 28, 2023 . | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
| Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 28, 2023. | |
| Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2023. | |
| The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| The rate shown is the current yield as of February 28, 2023. | |
| The rate shown is the effective yield as of February 28, 2023. | |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts or centrally cleared swaps. | |
Futures contracts outstanding as of February 28, 2023:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
| | | | | |
| | | | | |
U.S. Treasury 10 Year Note | | | | | |
U.S. Treasury 10 Year Ultra Note | | | | | |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of February 28, 2023:
REFERENCE
OBLIGATION/INDEX | FINANCING
RATE PAID
BY THE FUND
(%) | | | | | UPFRONT
PAYMENTS
(RECEIPTS)
| UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
| 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. |
| 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. |
| 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). |
| |
| Credit Default Swap Index |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023
| | |
|
Aerospace & Defense — 0.3% |
Boeing Co. (The) 4.51%, 5/1/2023 | | |
Northrop Grumman Corp. 3.25%, 8/1/2023 | | |
| | |
|
BMW US Capital LLC (Germany) | | |
| | |
| | |
(SOFRINDX + 0.53%), 5.11%, 4/1/2024 (a) (b) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Mercedes-Benz Finance North America LLC (Germany) | | |
| | |
| | |
Volkswagen Group of America Finance LLC (Germany) | | |
| | |
| | |
| | |
| | |
|
ASB Bank Ltd. (New Zealand) | | |
| | |
(ICE LIBOR USD 3 Month + 0.97%), 5.72%, 6/14/2023 (a) (b) (c) | | |
| | |
Australia & New Zealand Banking Group Ltd. (Australia) 4.83%, 2/3/2025 (a) | | |
Banco Bilbao Vizcaya Argentaria SA (Spain) 0.88%, 9/18/2023 | | |
Banco Santander SA (Spain) | | |
| | |
(ICE LIBOR USD 3 Month + 1.12%), 5.93%, 4/12/2023 (b) | | |
| | |
| | |
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 0.70%, 6/30/2024 (b) | | |
| | |
| | |
| | |
(SOFR + 1.46%), 1.49%, 5/19/2024 (b) | | |
(SOFR + 0.41%), 0.52%, 6/14/2024 (b) | | |
(ICE LIBOR USD 3 Month + 0.97%), 3.46%, 3/15/2025 (b) | | |
(SOFR + 0.69%), 0.98%, 4/22/2025 (b) | | |
(SOFR + 1.11%), 3.84%, 4/25/2025 (b) | | |
(SOFR + 1.29%), 5.08%, 1/20/2027 (b) | | |
Bank of Montreal (Canada) | | |
(SOFRINDX + 0.68%), 5.27%, 3/10/2023 (b) | | |
(SOFRINDX + 0.27%), 4.84%, 4/14/2023 (b) | | |
(SOFRINDX + 0.35%), 4.94%, 12/8/2023 (b) | | |
Bank of New Zealand (New Zealand) 4.85%, 2/7/2028 (a) | | |
Bank of Nova Scotia (The) (Canada) | | |
| | |
| | |
| | |
(SOFR + 0.26%), 4.85%, 9/15/2023 (b) | | |
(SOFRINDX + 0.55%), 5.14%, 9/15/2023 (b) | | |
| | |
| | |
Banque Federative du Credit Mutuel SA (France) | | |
| | |
| | |
| | |
Barclays plc (United Kingdom) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
(ICE LIBOR USD 3 Month + 1.61%), 3.93%, 5/7/2025 (b) | | |
| | |
| | |
| | |
BNZ International Funding Ltd. (New Zealand) 3.38%, 3/1/2023 (a) | | |
Canadian Imperial Bank of Commerce (Canada) | | |
(SOFR + 0.80%), 5.39%, 3/17/2023 (b) | | |
(SOFRINDX + 0.40%), 4.99%, 12/14/2023 (b) | | |
(SOFR + 0.94%), 5.52%, 4/7/2025 (b) (c) | | |
| | |
| | |
(SOFR + 1.67%), 1.68%, 5/15/2024 (b) | | |
(ICE LIBOR USD 3 Month + 1.02%), 4.04%, 6/1/2024 (b) | | |
(SOFR + 0.69%), 0.78%, 10/30/2024 (b) | | |
Citizens Bank NA (SOFR + 1.02%), 5.28%, 1/26/2026 (b) | | |
Commonwealth Bank of Australia (Australia) (ICE LIBOR USD 3 Month + 0.70%), 5.44%, 3/16/2023 (a) (b) (c) | | |
Cooperatieve Rabobank UA (Netherlands) | | |
| | |
| | |
(SOFRINDX + 0.30%), 4.88%, 1/12/2024 (b) | | |
Credit Agricole SA (France) 5.57%, 2/28/2025 (a) | | |
Federation des Caisses Desjardins du Quebec (Canada) | | |
| | |
(SOFR + 0.43%), 4.98%, 5/21/2024 (a) (b) | | |
(SOFRINDX + 1.09%), 5.28%, 1/23/2026 (a) (b) | | |
| | |
| | |
| | |
| | |
| | |
|
|
HSBC Holdings plc (United Kingdom) | | |
| | |
(SOFR + 0.53%), 0.73%, 8/17/2024 (b) | | |
(SOFR + 0.71%), 0.98%, 5/24/2025 (b) | | |
ING Groep NV (Netherlands) 4.10%, 10/2/2023 | | |
| | |
| | |
(SOFRINDX + 0.34%), 4.92%, 1/3/2024 (b) | | |
(SOFRINDX + 0.32%), 0.43%, 6/14/2024 (b) | | |
| | |
Lloyds Banking Group plc (United Kingdom) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.70%, 5/11/2024 (b) | | |
M&T Bank Corp. (ICE LIBOR USD 3 Month + 0.68%), 5.50%, 7/26/2023 (b) | | |
Manufacturers & Traders Trust Co. 4.65%, 1/27/2026 | | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | | |
| | |
| | |
(ICE LIBOR USD 3 Month + 0.86%), 5.68%, 7/26/2023 (b) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 0.85%, 9/15/2024 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 0.96%, 10/11/2025 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 5.72%, 2/20/2026 (b) | | |
Mizuho Financial Group, Inc. (Japan) | | |
| | |
(ICE LIBOR USD 3 Month + 0.79%), 5.56%, 3/5/2023 (b) | | |
(ICE LIBOR USD 3 Month + 0.63%), 5.59%, 5/25/2024 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
(SOFR + 1.25%), 1.24%, 7/10/2024 (b) | | |
(SOFR + 0.87%), 0.85%, 9/8/2024 (b) | | |
(ICE LIBOR USD 3 Month + 1.00%), 3.92%, 9/11/2024 (b) | | |
MUFG Bank Ltd. (Japan) 4.10%, 9/9/2023 (a) | | |
National Australia Bank Ltd. (Australia) 2.88%, 4/12/2023 | | |
National Bank of Canada (Canada) | | |
| | |
(SOFR + 1.01%), 3.75%, 6/9/2025 (b) | | |
NatWest Group plc (United Kingdom) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.15%), 2.36%, 5/22/2024 (b) | | |
(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 5.85%, 3/2/2027 (b) | | |
NatWest Markets plc (United Kingdom) | | |
| | |
(SOFR + 0.53%), 5.09%, 8/12/2024 (a) (b) | | |
Nordea Bank Abp (Finland) | | |
| | |
| | |
PNC Bank NA 3.50%, 6/8/2023 | | |
PNC Financial Services Group, Inc. (The) | | |
| | |
(SOFR + 1.09%), 4.76%, 1/26/2027 (b) (c) | | |
Royal Bank of Canada (Canada) | | |
| | |
(SOFRINDX + 0.45%), 5.02%, 10/26/2023 (b) | | |
Skandinaviska Enskilda Banken AB (Sweden) 0.55%, 9/1/2023 (a) | | |
Societe Generale SA (France) | | |
| | |
| | |
| | |
| | |
|
|
Standard Chartered plc (United Kingdom) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 0.99%, 1/12/2025 (a) (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.88%), 1.21%, 3/23/2025 (a) (b) | | |
(SOFR + 1.74%), 6.32%, 3/30/2026 (a) (b) (c) | | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | | |
| | |
| | |
| | |
Sumitomo Mitsui Trust Bank Ltd. (Japan) | | |
| | |
| | |
(SOFR + 0.44%), 5.03%, 9/16/2024 (a) (b) (c) | | |
Toronto-Dominion Bank (The) (Canada) | | |
| | |
(SOFR + 0.22%), 4.82%, 6/2/2023 (b) | | |
| | |
| | |
Truist Bank (SOFR + 0.20%), 4.77%, 1/17/2024 (b) | | |
| | |
| | |
(SOFR + 1.46%), 4.26%, 7/28/2026 (b) | | |
(SOFR + 1.63%), 5.90%, 10/28/2026 (b) | | |
US Bancorp (SOFR + 1.43%), 5.73%, 10/21/2026 (b) | | |
| | |
| | |
(SOFR + 1.60%), 1.67%, 6/2/2024 (b) | | |
(SOFR + 0.51%), 0.80%, 5/19/2025 (b) (c) | | |
(SOFR + 1.32%), 3.91%, 4/25/2026 (b) | | |
(SOFR + 2.00%), 2.19%, 4/30/2026 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
(SOFR + 1.56%), 4.54%, 8/15/2026 (b) | | |
Westpac New Zealand Ltd. (New Zealand) 4.90%, 2/15/2028 (a) | | |
| | |
|
Coca-Cola Europacific Partners plc (United Kingdom) 0.50%, 5/5/2023 (a) | | |
Constellation Brands, Inc. 3.60%, 5/9/2024 | | |
Heineken NV (Netherlands) 2.75%, 4/1/2023 (a) | | |
Keurig Dr Pepper, Inc. 3.13%, 12/15/2023 | | |
| | |
|
Amgen, Inc. 5.25%, 3/2/2025 (d) | | |
Building Products — 0.0% ^ |
Carlisle Cos., Inc. 0.55%, 9/1/2023 | | |
|
Bank of New York Mellon Corp. (The) | | |
| | |
(SOFR + 1.35%), 4.41%, 7/24/2026 (b) | | |
Charles Schwab Corp. (The) (SOFRINDX + 0.50%), 5.09%, 3/18/2024 (b) | | |
Credit Suisse AG (Switzerland) | | |
| | |
Series FXD, 0.52%, 8/9/2023 | | |
(SOFRINDX + 0.39%), 4.95%, 2/2/2024 (b) | | |
Goldman Sachs Group, Inc. (The) | | |
| | |
(SOFR + 0.57%), 0.68%, 3/8/2024 (b) | | |
(SOFR + 0.49%), 0.92%, 10/21/2024 (b) | | |
(SOFR + 0.61%), 0.86%, 2/12/2026 (b) | | |
| | |
Series VAR, (SOFR + 0.79%), 1.09%, 12/9/2026 (b) | | |
| | |
| | |
|
Capital Markets — continued |
Macquarie Bank Ltd. (Australia) (SOFR + 0.30%), 4.88%, 4/6/2023 (a) (b) | | |
| | |
(SOFR + 0.47%), 5.03%, 11/10/2023 (b) | | |
(SOFR + 0.46%), 5.02%, 1/25/2024 (b) | | |
(SOFR + 0.62%), 0.73%, 4/5/2024 (b) | | |
(SOFR + 1.16%), 3.62%, 4/17/2025 (b) | | |
(SOFR + 0.53%), 0.79%, 5/30/2025 (b) | | |
(SOFR + 1.30%), 5.05%, 1/28/2027 (b) | | |
State Street Corp. 3.70%, 11/20/2023 | | |
| | |
| | |
(SOFR + 0.36%), 4.92%, 2/9/2024 (a) (b) | | |
(SOFR + 0.45%), 5.01%, 8/9/2024 (a) (b) | | |
UBS Group AG (Switzerland) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 1.01%, 7/30/2024 (a) (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 4.49%, 8/5/2025 (a) (b) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 4.49%, 5/12/2026 (a) (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.71%, 1/12/2027 (a) (b) | | |
| | |
|
Air Liquide Finance SA (France) 2.25%, 9/27/2023 (a) | | |
Chevron Phillips Chemical Co. LLC 3.30%, 5/1/2023 (a) | | |
Nutrien Ltd. (Canada) 1.90%, 5/13/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
Sherwin-Williams Co. (The) 4.05%, 8/8/2024 | | |
Westlake Corp. 0.88%, 8/15/2024 | | |
| | |
Construction Materials — 0.1% |
Martin Marietta Materials, Inc. 0.65%, 7/15/2023 | | |
|
AerCap Ireland Capital DAC (Ireland) 1.15%, 10/29/2023 | | |
| | |
| | |
| | |
| | |
| | |
| | |
American Honda Finance Corp. | | |
| | |
| | |
| | |
Capital One Financial Corp. | | |
| | |
(SOFR + 0.69%), 1.34%, 12/6/2024 (b) | | |
(SOFR + 0.69%), 5.29%, 12/6/2024 (b) | | |
(SOFR + 1.29%), 2.64%, 3/3/2026 (b) | | |
(SOFR + 2.16%), 4.98%, 7/24/2026 (b) | | |
(SOFR + 0.86%), 1.88%, 11/2/2027 (b) | | |
Caterpillar Financial Services Corp. | | |
| | |
| | |
| | |
General Motors Financial Co., Inc. | | |
(SOFR + 1.20%), 5.76%, 11/17/2023 (b) | | |
| | |
Hyundai Capital Services, Inc. (South Korea) 0.75%, 9/15/2023 (a) | | |
John Deere Capital Corp. (SOFR + 0.12%), 4.70%, 7/10/2023 (b) | | |
| | |
|
Consumer Finance — continued |
Toyota Motor Credit Corp. | | |
| | |
(SOFR + 0.75%), 5.30%, 7/25/2023 (b) | | |
| | |
(SOFRINDX + 0.33%), 4.91%, 1/11/2024 (b) | | |
(SOFR + 0.38%), 4.93%, 2/22/2024 (b) | | |
| | |
| | |
Diversified Financial Services — 1.0% |
Citigroup Global Markets Holdings, Inc. 0.75%, 6/7/2024 | | |
Element Fleet Management Corp. (Canada) 1.60%, 4/6/2024 (a) | | |
Jackson Financial, Inc. 1.13%, 11/22/2023 | | |
National Rural Utilities Cooperative Finance Corp. | | |
(SOFR + 0.40%), 4.96%, 8/7/2023 (b) (c) | | |
| | |
| | |
NTT Finance Corp. (Japan) | | |
| | |
| | |
Siemens Financieringsmaatschappij NV (Germany) | | |
| | |
(SOFR + 0.43%), 5.02%, 3/11/2024 (a) (b) | | |
| | |
Diversified Telecommunication Services — 0.2% |
AT&T, Inc. (SOFRINDX + 0.64%), 5.23%, 3/25/2024 (b) | | |
British Telecommunications plc (United Kingdom) 4.50%, 12/4/2023 | | |
Deutsche Telekom International Finance BV (Germany) 2.49%, 9/19/2023 (a) | | |
| | |
Electric Utilities — 0.8% |
American Electric Power Co., Inc. Series M, 0.75%, 11/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
Emera US Finance LP (Canada) 0.83%, 6/15/2024 | | |
Entergy Louisiana LLC 0.62%, 11/17/2023 | | |
| | |
| | |
Series T, (SOFRINDX + 0.25%), 4.81%, 8/15/2023 (b) | | |
Series N, 3.80%, 12/1/2023 | | |
Florida Power & Light Co. (SOFRINDX + 0.38%), 4.96%, 1/12/2024 (b) | | |
NextEra Energy Capital Holdings, Inc. | | |
| | |
(SOFRINDX + 0.54%), 5.14%, 3/1/2023 (b) | | |
(SOFRINDX + 0.40%), 4.96%, 11/3/2023 (b) | | |
| | |
Virginia Electric and Power Co. Series C, 2.75%, 3/15/2023 | | |
| | |
Electronic Equipment, Instruments & Components — 0.3% |
TD SYNNEX Corp. 1.25%, 8/9/2024 | | |
Teledyne Technologies, Inc. 0.65%, 4/1/2023 | | |
| | |
Energy Equipment & Services — 0.0% ^ |
Schlumberger Holdings Corp. 4.00%, 12/21/2025 (a) | | |
|
Take-Two Interactive Software, Inc. 3.30%, 3/28/2024 | | |
Equity Real Estate Investment Trusts (REITs) — 0.0% ^ |
Simon Property Group LP 2.75%, 6/1/2023 | | |
Food & Staples Retailing — 0.1% |
7-Eleven, Inc. 0.80%, 2/10/2024 (a) | | |
Kroger Co. (The) 3.85%, 8/1/2023 | | |
| | |
| | |
|
|
Conagra Brands, Inc. 0.50%, 8/11/2023 | | |
Danone SA (France) 2.59%, 11/2/2023 (a) | | |
| | |
|
| | |
| | |
(ICE LIBOR USD 3 Month + 0.38%), 5.10%, 3/9/2023 (b) (c) | | |
CenterPoint Energy Resources Corp. | | |
| | |
(ICE LIBOR USD 3 Month + 0.50%), 5.28%, 3/2/2023 (b) | | |
| | |
Health Care Providers & Services — 0.2% |
Aetna, Inc. 2.80%, 6/15/2023 | | |
AmerisourceBergen Corp. 0.74%, 3/15/2023 | | |
Cigna Group (The) (ICE LIBOR USD 3 Month + 0.89%), 5.68%, 7/15/2023 (b) | | |
Humana, Inc. 0.65%, 8/3/2023 | | |
Laboratory Corp. of America Holdings 4.00%, 11/1/2023 | | |
| | |
Hotels, Restaurants & Leisure — 0.0% ^ |
Booking Holdings, Inc. 2.75%, 3/15/2023 | | |
Industrial Conglomerates — 0.0% ^ |
| | |
|
Allstate Corp. (The) 3.15%, 6/15/2023 | | |
| | |
1.20%, 10/13/2023 (a) (c) | | |
| | |
| | |
(SOFRINDX + 0.70%), 5.25%, 5/24/2024 (a) (b) | | |
Brighthouse Financial Global Funding | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
Corebridge Global Funding | | |
| | |
| | |
(SOFR + 0.38%), 4.97%, 12/15/2023 (a) (b) | | |
| | |
Equitable Financial Life Global Funding | | |
| | |
(SOFR + 0.39%), 4.97%, 4/6/2023 (a) (b) | | |
Guardian Life Global Funding 3.40%, 4/25/2023 (a) | | |
Jackson National Life Global Funding 3.25%, 1/30/2024 (a) | | |
MassMutual Global Funding II 0.85%, 6/9/2023 (a) | | |
Metropolitan Life Global Funding I 0.90%, 6/8/2023 (a) (c) | | |
New York Life Global Funding | | |
| | |
| | |
Principal Financial Group, Inc. 3.13%, 5/15/2023 (c) | | |
Principal Life Global Funding II | | |
| | |
| | |
Protective Life Global Funding 1.08%, 6/9/2023 (a) | | |
Reliance Standard Life Global Funding II | | |
| | |
| | |
| | |
| | |
|
Fidelity National Information Services, Inc. 0.60%, 3/1/2024 | | |
Life Sciences Tools & Services — 0.6% |
Thermo Fisher Scientific, Inc. (SOFRINDX + 0.35%), 4.92%, 4/18/2023 (b) | | |
|
Daimler Truck Finance North America LLC (Germany) | | |
| | |
| | |
|
|
(SOFR + 1.00%), 5.58%, 4/5/2024 (a) (b) (c) | | |
| | |
| | |
|
Fox Corp. 4.03%, 1/25/2024 | | |
|
Glencore Funding LLC (Australia) 4.13%, 5/30/2023 (a) | | |
|
Berkshire Hathaway Energy Co. 3.75%, 11/15/2023 | | |
CenterPoint Energy, Inc. (SOFRINDX + 0.65%), 5.21%, 5/13/2024 (b) | | |
Centrica plc (United Kingdom) 4.00%, 10/16/2023 (a) | | |
Consolidated Edison, Inc. Series A, 0.65%, 12/1/2023 | | |
Consumers Energy Co. 3.38%, 8/15/2023 | | |
Dominion Energy, Inc. Series D, (ICE LIBOR USD 3 Month + 0.53%), 5.30%, 9/15/2023 (b) | | |
WEC Energy Group, Inc. 0.55%, 9/15/2023 | | |
| | |
Oil, Gas & Consumable Fuels — 0.7% |
Enterprise Products Operating LLC 3.35%, 3/15/2023 | | |
EOG Resources, Inc. 2.63%, 3/15/2023 (c) | | |
Exxon Mobil Corp. 1.57%, 4/15/2023 | | |
Saudi Arabian Oil Co. (Saudi Arabia) 1.25%, 11/24/2023 (a) | | |
TransCanada PipeLines Ltd. (Canada) 3.75%, 10/16/2023 | | |
| | |
|
AstraZeneca plc (United Kingdom) 0.30%, 5/26/2023 | | |
Shire Acquisitions Investments Ireland DAC 2.88%, 9/23/2023 | | |
Takeda Pharmaceutical Co. Ltd. (Japan) 4.40%, 11/26/2023 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Burlington Northern Santa Fe LLC 3.00%, 3/15/2023 | | |
Penske Truck Leasing Co. LP | | |
| | |
| | |
Ryder System, Inc. 3.40%, 3/1/2023 | | |
Triton Container International Ltd. (Bermuda) 0.80%, 8/1/2023 (a) | | |
| | |
| | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 0.2% |
NVIDIA Corp. 0.31%, 6/15/2023 (c) | | |
|
Oracle Corp. 2.40%, 9/15/2023 | | |
VMware, Inc. 0.60%, 8/15/2023 | | |
| | |
Thrifts & Mortgage Finance — 0.5% |
| | |
| | |
| | |
| | |
|
Altria Group, Inc. 2.95%, 5/2/2023 | | |
BAT Capital Corp. (United Kingdom) 2.79%, 9/6/2024 | | |
Philip Morris International, Inc. 2.63%, 3/6/2023 (c) | | |
Reynolds American, Inc. (United Kingdom) 4.85%, 9/15/2023 | | |
| | |
Transportation Infrastructure — 0.0% ^ |
Sydney Airport Finance Co. Pty. Ltd. (Australia) 3.90%, 3/22/2023 (a) | | |
Total Corporate Bonds
(Cost $9,752,085,695) | | |
Asset-Backed Securities — 6.8% |
522 Funding CLO Ltd. (Cayman Islands) Series 2019-4A, Class AR, 5.89%, 4/20/2030 (a) (e) | | |
| | |
|
ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class A, 5.42%, 12/18/2037 (a) (e) | | |
Aimco CLO Ltd. (Cayman Islands) | | |
Series 2020-12A, Class XR, 5.51%, 1/17/2032 (a) (e) | | |
Series 2020-12A, Class AR, 5.83%, 1/17/2032 (a) (e) | | |
Series 2019-10A, Class AR, 5.88%, 7/22/2032 (a) (e) | | |
Anchorage Capital CLO Ltd. (Cayman Islands) Series 2016-9A, Class XR, 5.74%, 7/15/2032 (a) (e) | | |
Apidos CLO (Cayman Islands) | | |
Series 2016-24A, Class A1AL, 5.76%, 10/20/2030 (a) (e) | | |
Series 2019-31A, Class A1R, 5.89%, 4/15/2031 (a) (e) | | |
Ares CLO Ltd. (Cayman Islands) | | |
Series 2016-40A, Class A1RR, 5.66%, 1/15/2029 (a) (e) | | |
Series 2013-2A, Class XR2, 5.75%, 10/28/2034 (a) (e) | | |
Atlas Senior Loan Fund (Cayman Islands) Series 2019-13A, Class A1NR, 5.90%, 4/22/2031 (a) (e) | | |
Atlas Senior Loan Fund Ltd. (Cayman Islands) Series 2021-18A, Class X, 5.64%, 1/18/2035 (a) (e) | | |
Bain Capital Credit CLO (Cayman Islands) Series 2019-1A, Class X, 5.63%, 4/19/2034 (a) (e) | | |
Ballyrock CLO Ltd. (Cayman Islands) | | |
Series 2020-2A, Class A1R, 5.82%, 10/20/2031 (a) (e) | | |
Series 2019-1A, Class A1R, 5.82%, 7/15/2032 (a) (e) | | |
Barings CLO Ltd. (Cayman Islands) Series 2013-IA, Class AR, 5.61%, 1/20/2028 (a) (e) | | |
Benefit Street Partners CLO Ltd. (Cayman Islands) | | |
Series 2013-IIA, Class A1R2, 5.66%, 7/15/2029 (a) (e) | | |
Series 2013-IIIA, Class A1R2, 5.81%, 7/20/2029 (a) (e) | | |
Series 2015-6BR, Class X, 5.51%, 7/20/2034 (a) (e) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Asset-Backed Securities — continued |
Buckhorn Park CLO Ltd. (Cayman Islands) Series 2019-1A, Class XR, 5.44%, 7/18/2034 (a) (e) | | |
BXMT Ltd. (Cayman Islands) Series 2020-FL3, Class A, 5.93%, 11/15/2037 (a) (e) | | |
Capital One Prime Auto Receivables Trust Series 2020-1, Class A3, 1.60%, 11/15/2024 | | |
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands) | | |
Series 2015-1A, Class AR3, 5.79%, 7/20/2031 (a) (e) | | |
Series 2015-5A, Class A1RR, 5.89%, 1/20/2032 (a) (e) | | |
| | |
Series 2021-4, Class A2A, 0.24%, 11/15/2024 | | |
Series 2022-2, Class A2A, 2.81%, 5/15/2025 | | |
Carvana Auto Receivables Trust | | |
Series 2021-P3, Class A2, 0.38%, 1/10/2025 | | |
Series 2021-P4, Class A2, 0.82%, 4/10/2025 | | |
Series 2022-P1, Class A2, 2.57%, 5/12/2025 | | |
CBAM Ltd. (Cayman Islands) Series 2017-2A, Class XR, 5.49%, 7/17/2034 (a) (e) | | |
CIFC Funding Ltd. (Cayman Islands) | | |
Series 2017-1A, Class AR, 5.83%, 4/23/2029 (a) (e) | | |
Series 2017-5A, Class A1, 5.97%, 11/16/2030 (a) (e) | | |
Dell Equipment Finance Trust Series 2021-2, Class A2, 0.33%, 12/22/2026 (a) | | |
Dryden Senior Loan Fund (Cayman Islands) | | |
Series 2017-47A, Class A1R, 5.77%, 4/15/2028 (a) (e) | | |
Series 2014-36A, Class AR3, 5.81%, 4/15/2029 (a) (e) | | |
Elmwood CLO Ltd. (Cayman Islands) Series 2021-3A, Class A, 5.85%, 10/20/2034 (a) (e) | | |
Enterprise Fleet Funding LLC Series 2021-1, Class A2, 0.44%, 12/21/2026 (a) | | |
| | |
|
Ford Credit Auto Lease Trust Series 2023-A, Class A2A, 5.19%, 6/15/2025 | | |
Ford Credit Auto Owner Trust Series 2019-1, Class A, 3.52%, 7/15/2030 (a) | | |
Galaxy CLO Ltd. (Cayman Islands) | | |
Series 2013-15A, Class ARR, 5.76%, 10/15/2030 (a) (e) | | |
Series 2016-22A, Class XRR, 5.69%, 4/16/2034 (a) (e) | | |
GM Financial Automobile Leasing Trust Series 2022-2, Class A2, 2.93%, 10/21/2024 | | |
GM Financial Consumer Automobile Receivables Trust Series 2022-1, Class A2, 0.76%, 2/18/2025 | | |
Goldentree Loan Management US CLO Ltd. (Cayman Islands) | | |
Series 2020-7A, Class XR, 5.31%, 4/20/2034 (a) (e) | | |
Series 2022-12A, Class X, 5.64%, 4/20/2034 (a) (e) | | |
Series 2022-14A, Class X, 5.84%, 7/20/2035 (a) (e) | | |
Harriman Park CLO Ltd. (Cayman Islands) Series 2020-1A, Class XR, 5.41%, 4/20/2034 (a) (e) | | |
Honda Auto Receivables Owner Trust Series 2023-1, Class A2, 5.22%, 10/21/2025 | | |
Hyundai Auto Lease Securitization Trust Series 2022-C, Class A2A, 4.34%, 1/15/2025 (a) | | |
Hyundai Auto Receivables Trust Series 2021-A, Class A3, 0.38%, 9/15/2025 | | |
ICG US CLO Ltd. (Cayman Islands) Series 2016-1A, Class XRR, 5.70%, 4/29/2034 (a) (e) | | |
KKR CLO Ltd. (Cayman Islands) | | |
Series 13, Class A1R, 5.59%, 1/16/2028 (a) (e) | | |
Series 28A, Class A, 5.91%, 3/15/2031 (a) (e) | | |
Series 32A, Class A1, 6.11%, 1/15/2032 (a) (e) | | |
Series 24, Class A1R, 5.89%, 4/20/2032 (a) (e) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
Series 16, Class X, 5.56%, 10/20/2034 (a) (e) | | |
| | |
Series 20A, Class AR, 5.85%, 10/20/2027 (a) (e) | | |
Series 14A, Class AR, 5.85%, 7/20/2031 (a) (e) | | |
LCM Ltd. (Cayman Islands) | | |
Series 24A, Class AR, 5.79%, 3/20/2030 (a) (e) | | |
Series 25A, Class AR, 5.74%, 7/20/2030 (a) (e) | | |
Series 29A, Class AR, 5.86%, 4/15/2031 (a) (e) | | |
LMREC LLC Series 2021-CRE4, Class A, 5.67%, 4/22/2037 ‡ (a) (e) | | |
Longfellow Place CLO Ltd. (Cayman Islands) Series 2013-1A, Class AR3, 5.79%, 4/15/2029 (a) (e) | | |
Madison Park Funding Ltd. (Cayman Islands) Series 2019-36A, Class X, 5.71%, 4/15/2035 (a) (e) | | |
Magnetite Ltd. (Cayman Islands) | | |
Series 2012-7A, Class A1R2, 5.59%, 1/15/2028 (a) (e) | | |
Series 2015-16A, Class AR, 5.59%, 1/18/2028 (a) (e) | | |
Series 2016-18A, Class AR2, 5.74%, 11/15/2028 (a) (e) | | |
Series 2014-8A, Class AR2, 5.77%, 4/15/2031 (a) (e) | | |
Series 2016-17A, Class AR, 5.91%, 7/20/2031 (a) (e) | | |
Series 2020-25A, Class A, 6.02%, 1/25/2032 (a) (e) | | |
Series 2017-19A, Class X, 5.49%, 4/17/2034 (a) (e) | | |
Marathon CLO Ltd. (Cayman Islands) Series 2019-1A, Class AANR, 6.11%, 4/15/2032 (a) (e) | | |
Marlette Funding Trust Series 2022-1A, Class A, 1.36%, 4/15/2032 (a) | | |
Mercedes-Benz Auto Receivables Trust Series 2023-1, Class A2, 5.09%, 1/15/2026 | | |
Neuberger Berman CLO (Cayman Islands) Series 2013-15A, Class A1R2, 5.71%, 10/15/2029 (a) (e) | | |
| | |
|
Neuberger Berman CLO Ltd. (Cayman Islands) | | |
Series 2013-14A, Class AR2, 5.83%, 1/28/2030 (a) (e) | | |
Series 2017-16SA, Class XR, 5.59%, 4/15/2034 (a) (e) | | |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) | | |
Series 2017-26A, Class AR, 5.71%, 10/18/2030 (a) (e) | | |
Series 2020-37A, Class AR, 5.78%, 7/20/2031 (a) (e) | | |
Newark BSL CLO 2 Ltd. (Cayman Islands) Series 2017-1A, Class A1R, 5.79%, 7/25/2030 (a) (e) | | |
Newark BSL CLO Ltd. (Cayman Islands) Series 2016-1A, Class A1R, 6.03%, 12/21/2029 (a) (e) | | |
OCP CLO Ltd. (Cayman Islands) | | |
Series 2020-8RA, Class A1, 6.01%, 1/17/2032 (a) (e) | | |
Series 2019-17A, Class A1R, 5.85%, 7/20/2032 (a) (e) | | |
Series 2015-9A, Class X, 5.38%, 1/15/2033 (a) (e) | | |
Series 2020-19A, Class XR, 5.51%, 10/20/2034 (a) (e) | | |
Octagon Investment Partners 30 Ltd. (Cayman Islands) Series 2017-1A, Class A1R, 5.81%, 3/17/2030 (a) (e) | | |
OHA Credit Funding 7 Ltd. (Cayman Islands) Series 2020-7A, Class XR, 5.33%, 2/24/2037 (a) (e) | | |
OHA Credit Partners Ltd. (Cayman Islands) Series 2016-13A, Class XR, 5.67%, 10/25/2034 (a) (e) | | |
Palmer Square Loan Funding Ltd. (Cayman Islands) | | |
Series 2020-1A, Class A1, 5.48%, 2/20/2028 (a) (e) | | |
Series 2020-4A, Class A1, 5.96%, 11/25/2028 (a) (e) | | |
Series 2021-2A, Class A1, 5.72%, 5/20/2029 (a) (e) | | |
Series 2021-4A, Class A1, 5.59%, 10/15/2029 (a) (e) | | |
Series 2022-1A, Class A1, 5.68%, 4/15/2030 (a) (e) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Asset-Backed Securities — continued |
Santander Drive Auto Receivables Trust | | |
Series 2022-6, Class A2, 4.37%, 5/15/2025 | | |
Series 2023-1, Class A2, 5.36%, 5/15/2026 | | |
Sculptor CLO Ltd. (Cayman Islands) Series 27A, Class X, 5.86%, 7/20/2034 (a) (e) | | |
Sound Point CLO II Ltd. (Cayman Islands) Series 2013-1A, Class A1R, 5.89%, 1/26/2031 (a) (e) | | |
Sound Point CLO Ltd. (Cayman Islands) Series 2019-1A, Class AR, 5.89%, 1/20/2032 (a) (e) | | |
Symphony CLO Ltd. (Cayman Islands) | | |
Series 2018-20A, Class X, 5.79%, 1/16/2032 (a) (e) | | |
Series 2020-24A, Class A, 6.02%, 1/23/2032 (a) (e) | | |
Symphony Static CLO Ltd. (Cayman Islands) Series 2021-1A, Class A, 5.65%, 10/25/2029 (a) (e) | | |
TCI-Symphony CLO Ltd. (Cayman Islands) Series 2017-1A, Class AR, 5.72%, 7/15/2030 (a) (e) | | |
Venture CLO Ltd. (Cayman Islands) | | |
Series 2018-33A, Class A1LR, 5.85%, 7/15/2031 (a) (e) | | |
Series 2019-36A, Class XR, 5.51%, 4/20/2032 (a) (e) | | |
Series 2021-43A, Class X, 5.84%, 4/15/2034 (a) (e) | | |
Voya CLO Ltd. (Cayman Islands) Series 2015-1A, Class A1R, 5.69%, 1/18/2029 (a) (e) | | |
Westlake Automobile Receivables Trust | | |
Series 2021-3A, Class A2, 0.57%, 9/16/2024 (a) | | |
Series 2021-3A, Class A3, 0.95%, 6/16/2025 (a) | | |
Total Asset-Backed Securities
(Cost $1,728,325,746) | | |
U.S. Treasury Obligations — 2.0% |
U.S. Treasury Notes
0.38%, 7/15/2024 (Cost $498,869,957) | | |
| | |
Commercial Mortgage-Backed Securities — 0.9% |
Benchmark Mortgage Trust Series 2018-B3, Class A2, 3.85%, 4/10/2051 | | |
BX Commercial Mortgage Trust | | |
Series 2021-VOLT, Class A, 5.29%, 9/15/2036 (a) (e) | | |
Series 2020-VKNG, Class A, 5.61%, 10/15/2037 (a) (e) | | |
Series 2021-SOAR, Class A, 5.26%, 6/15/2038 (a) (e) | | |
Series 2022-LP2, Class A, 5.58%, 2/15/2039 (a) (e) | | |
BX Trust Series 2022-IND, Class A, 6.05%, 4/15/2037 (a) (e) | | |
Citigroup Commercial Mortgage Trust | | |
Series 2013-GC11, Class AS, 3.42%, 4/10/2046 | | |
Series 2014-GC25, Class B, 4.34%, 10/10/2047 (e) | | |
Series 2018-B2, Class A2, 3.79%, 3/10/2051 | | |
Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class A, 5.57%, 5/15/2036 (a) (e) | | |
DBGS Mortgage Trust Series 2018-BIOD, Class A, 5.39%, 5/15/2035 (a) (e) | | |
Independence Plaza Trust Series 2018-INDP, Class A, 3.76%, 7/10/2035 (a) | | |
KNDL Mortgage Trust Series 2019-KNSQ, Class A, 5.39%, 5/15/2036 (a) (e) | | |
Morgan Stanley Capital I Trust Series 2018-H3, Class A2, 4.00%, 7/15/2051 | | |
SREIT Trust Series 2021-MFP, Class A, 5.32%, 11/15/2038 (a) (e) | | |
UBS Commercial Mortgage Trust Series 2018-C11, Class A2, 3.99%, 6/15/2051 | | |
Wells Fargo Commercial Mortgage Trust Series 2018-C46, Class A2, 4.06%, 8/15/2051 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Commercial Mortgage-Backed Securities — continued |
WFRBS Commercial Mortgage Trust | | |
Series 2013-UBS1, Class AS, 4.31%, 3/15/2046 (e) | | |
Series 2014-C22, Class AS, 4.07%, 9/15/2057 (e) | | |
Total Commercial Mortgage-Backed Securities
(Cost $221,878,472) | | |
U.S. Government Agency Securities — 0.5% |
FFCB Funding Corp.
4.88%, 9/25/2023 | | |
| | |
Total U.S. Government Agency Securities
(Cost $126,842,847) | | |
Foreign Government Securities — 0.1% |
Svensk Exportkredit AB (SOFRINDX + 1.00%), 5.55%, 5/25/2023 (b)
(Cost $28,470,238) | | |
Short-Term Investments — 50.7% |
Certificates of Deposits — 17.2% |
Bank of Montreal (Canada) | | |
| | |
| | |
Bank of Nova Scotia (The) (Canada) | | |
(SOFR + 0.58%), 5.13%, 3/24/2023 (b) | | |
(SOFR + 0.75%), 5.30%, 8/1/2023 (b) | | |
(SOFR + 0.74%), 5.29%, 8/7/2023 (b) | | |
Barclays Bank plc (United Kingdom) | | |
| | |
| | |
BNP Paribas SA (France) , 5.32%, 2/6/2024 | | |
Canadian Imperial Bank of Commerce (Canada) , 3.72%, 3/13/2023 | | |
| | |
| | |
| | |
Cooperatieve Rabobank UA (Netherlands) | | |
| | |
| | |
| | |
| | |
|
Certificates of Deposits — continued |
Credit Agricole Corporate and Investment Bank (France) , 5.30%, 1/11/2024 | | |
HSBC Bank USA NA , 4.01%, 8/10/2023 | | |
Kookmin Bank (South Korea) | | |
(SOFR + 0.75%), 5.30%, 3/1/2023 (b) | | |
(SOFR + 0.73%), 5.28%, 1/22/2024 (b) | | |
(SOFR + 0.73%), 5.28%, 1/26/2024 (b) | | |
Lloyds Bank Corporate Markets plc (United Kingdom) | | |
| | |
(SOFR + 0.67%), 5.22%, 3/22/2023 (b) | | |
| | |
| | |
Lloyds Bank Trustee Services Ltd. (United Kingdom) , 3.89%, 6/16/2023 | | |
Mitsubishi UFJ Trust & Banking Corp. (Japan) (SOFR + 0.49%), 5.04%, 3/3/2023 (b) | | |
Mizuho Bank Ltd. (Japan) , 5.40%, 12/14/2023 | | |
MUFG Bank Ltd. (Japan) , 5.16%, 5/15/2023 | | |
Natixis SA (France) , 4.29%, 9/8/2023 | | |
Nordea Bank Abp (Finland) | | |
| | |
| | |
| | |
| | |
Norinchukin Bank (The) (Japan) , 3.95%, 8/15/2023 | | |
Oversea-Chinese Banking Corp. Ltd. (Singapore) , 5.28%, 7/5/2023 | | |
Royal Bank of Canada (Canada) | | |
| | |
| | |
Skandinaviska Enskilda Banken AB (Sweden) , 2.85%, 6/1/2023 | | |
Standard Chartered Bank (United Kingdom) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Short-Term Investments — continued |
Certificates of Deposits — continued |
| | |
| | |
Sumitomo Mitsui Banking Corp. (Japan) | | |
| | |
| | |
| | |
(SOFR + 0.89%), 5.44%, 7/31/2023 (b) | | |
| | |
Svenska Handelsbanken (Sweden) , 2.01%, 3/22/2023 | | |
Svenska Handelsbanken AB (Sweden) , 3.46%, 6/13/2023 | | |
Toronto-Dominion Bank (The) (Canada) | | |
| | |
| | |
| | |
| | |
| | |
Westpac Banking Corp. (Australia) | | |
| | |
| | |
Woori Bank (South Korea) (SOFR + 0.80%), 5.35%, 8/18/2023 (b) | | |
Total Certificates of Deposit
(Cost $4,324,088,573) | | |
|
| | |
| | |
American Electric Power Co., Inc. | | |
| | |
ASB Bank Ltd. (New Zealand) | | |
| | |
| | |
| | |
Australia & New Zealand Banking Group Ltd. (Australia) | | |
| | |
| | |
| | |
| | |
Banco Santander Chile (Chile) | | |
| | |
| | |
| | |
| | |
|
Commercial Paper — continued |
| | |
Banco Santander SA (Spain) | | |
| | |
Bank of Montreal (Canada) | | |
| | |
| | |
BAT International Finance plc (United Kingdom) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Canadian Imperial Bank of Commerce (Canada) | | |
| | |
| | |
Citigroup Global Markets, Inc. | | |
| | |
| | |
| | |
| | |
CNH Industrial Capital LLC | | |
| | |
Constellation Energy Generation LLC | | |
| | |
Cooperatieve Rabobank UA (Netherlands) | | |
| | |
Credit Agricole Corporate and Investment Bank (France) | | |
| | |
DBS Bank Ltd. (Singapore) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Short-Term Investments — continued |
Commercial Paper — continued |
| | |
| | |
| | |
| | |
| | |
Enel Finance America LLC (Italy) | | |
| | |
| | |
Fidelity National Information Services, Inc. | | |
| | |
| | |
| | |
General Motors Financial Co., Inc. | | |
| | |
| | |
| | |
| | |
ING US Funding LLC (Netherlands) | | |
| | |
Kookmin Bank (South Korea) | | |
| | |
Korea Development Bank (The) (South Korea) | | |
| | |
Macquarie Bank Ltd. (Australia) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
NatWest Markets plc (United Kingdom) | | |
| | |
| | |
Oesterreichische Kontrollbank AG (Austria) | | |
| | |
Philip Morris International, Inc. | | |
| | |
Procter & Gamble Co. (The) | | |
| | |
| | |
| | |
|
Commercial Paper — continued |
| | |
Raytheon Technologies Corp. | | |
| | |
Royal Bank of Canada (Canada) | | |
| | |
| | |
| | |
Skandinaviska Enskilda Banken AB (Sweden) | | |
| | |
Societe Generale SA (France) | | |
| | |
Standard Chartered Bank (United Kingdom) | | |
| | |
| | |
Sumitomo Mitsui Banking Corp. (Japan) | | |
| | |
Svenska Handelsbanken AB (Sweden) | | |
| | |
| | |
| | |
United Overseas Bank Ltd. (Singapore) | | |
| | |
Walgreens Boots Alliance, Inc. | | |
| | |
Westpac Banking Corp. (Australia) | | |
| | |
| | |
Westpac Securities NZ Ltd. (New Zealand) | | |
| | |
Total Commercial Paper
(Cost $5,465,868,639) | | |
| | |
Investment Companies — 10.9% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (g) (h)
(Cost $2,751,326,315) | | |
Investment of Cash Collateral from Securities Loaned — 0.1% |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.78% (g) (h) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Investment of Cash Collateral from Securities Loaned — continued |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (g) (h) | | |
Total Investment of Cash Collateral from Securities Loaned
(Cost $16,116,034) | | |
| | |
Repurchase Agreements — 0.8% |
Wells Fargo Securities LLC, 5.00%, dated 2/28/2023, due 3/23/2023, repurchase price $200,638,889, collateralized by Asset-Backed Securities, 0.00% - 12.32%, due 6/17/2024 - 11/25/2059, with the value of $222,994,445.
(Cost $200,000,000) | | |
Total Short-Term Investments
(Cost $12,757,399,561) | | |
Total Investments — 99.3%
(Cost $25,113,872,516) | | |
Other Assets Less Liabilities — 0.7% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Commercial Industrial Finance Corp. |
| Collateralized Loan Obligations |
| |
| |
| Intercontinental Exchange |
| London Interbank Offered Rate |
| Secured Overnight Financing Rate |
| Compounding index of the Secured Overnight Financing Rate |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
| The security or a portion of this security is on loan at February 28, 2023. The total value of securities on loan at February 28, 2023 is $15,697,856. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| 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 February 28, 2023. | |
| The rate shown is the effective yield as of February 28, 2023. | |
| 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. | |
| The rate shown is the current yield as of February 28, 2023. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023
| | |
Municipal Bonds — 94.2% (a) |
|
Alabama Drinking Water Finance Authority, Revolving Fund Loan Series 2013-A, Rev., 3.00%, 8/15/2023 | | |
Alabama Federal Aid Highway Finance Authority | | |
Series A, Rev., 5.00%, 9/1/2023 (b) | | |
Series B, Rev., 5.00%, 9/1/2023 (b) | | |
Alabama Public School and College Authority, Capital Improvement | | |
Series 2012B, Rev., 3.00%, 3/1/2023 | | |
Series 2013-C, Rev., 5.00%, 9/1/2023 | | |
Series 2013A, Rev., 3.25%, 6/1/2024 | | |
Series 2014-B, Rev., 5.00%, 1/1/2025 | | |
Alabama Special Care Facilities Financing Authority-Birmingham, Children's Hospital Health Care Facility Rev., 5.00%, 6/1/2023 | | |
Auburn University, General Fee Series 2020A, Rev., 5.00%, 6/1/2023 | | |
Autauga County Board of Education Rev., 5.00%, 4/1/2024 | | |
Black Belt Energy Gas District, Gas Prepay Project No. 4 Series 2019A-1, Rev., 4.00%, 12/1/2025 (c) | | |
Black Belt Energy Gas District, Gas Project Series E, Rev., 5.00%, 6/1/2028 (c) | | |
Black Belt Energy Gas District, Gas Project No. 6 Series 2021B, Rev., 4.00%, 12/1/2026 (c) | | |
Black Belt Energy Gas District, Gas Supply Subseries 2022D-2, Rev., LIQ : Royal Bank of Canada, (SOFR + 1.40%), 4.45%, 3/4/2023 (d) | | |
City of Birmingham Series 2013A, GO, 5.00%, 3/1/2023 (b) | | |
City of Graysville Rev., AGM, 5.38%, 6/1/2023 (b) | | |
City of Hoover, Warrants GO, 2.00%, 3/1/2025 | | |
City of Huntsville, Warrants | | |
Series 2020B, GO, 5.00%, 9/1/2023 | | |
Series 2013-C, GO, 5.00%, 11/1/2023 (b) | | |
City of Madison, Warrants GO, 4.00%, 4/1/2023 (b) | | |
City of Oxford Series 2012B, GO, 5.00%, 5/1/2023 | | |
| | |
|
|
City of Trussville, Warrants Series 2014A, GO, 5.00%, 10/1/2023 (b) | | |
County of Mobile, Warrants | | |
Series 2020B, GO, 4.00%, 8/1/2023 | | |
| | |
County of Montgomery, Warrants GO, 5.00%, 3/1/2023 | | |
Industrial Development Board of The City of Mobile, Alabama Power Control, Barry Plant Project Series 2007A, Rev., 1.00%, 6/26/2025 (c) | | |
Leeds Public Educational Building Authority Rev., 5.00%, 4/1/2023 | | |
Limestone County Water and Sewer Authority Series 2014B, Rev., 4.00%, 12/1/2023 (b) | | |
Madison County Board of Education, Tax Anticipation Warrants Rev., 5.00%, 9/1/2023 | | |
Mobile County Board of School Commissioners Series 2016A, 5.00%, 3/1/2023 | | |
Montgomery County Public Education Cooperative District, Public Schools Project Rev., 5.00%, 4/1/2023 | | |
Southeast Energy Authority A Cooperative District, Project No. 4 | | |
Series B-1, Rev., 5.00%, 8/1/2023 | | |
Series B-1, Rev., 5.00%, 8/1/2024 | | |
| | |
| | |
Series 2019A, Rev., 5.00%, 7/1/2023 | | |
University of Alabama (The) | | |
Series 2019B, Rev., 4.00%, 7/1/2023 | | |
Series 2012-A, Rev., 5.00%, 7/1/2023 | | |
Series 2014B, Rev., 5.00%, 7/1/2023 | | |
Series 2012-A, Rev., 5.00%, 7/1/2024 | | |
Series 2014B, Rev., 5.00%, 7/1/2024 (b) | | |
Series 2017A, Rev., 5.00%, 7/1/2024 | | |
| | |
|
Alaska Housing Finance Corp., General Mortgage Series 2019A, Rev., 1.50%, 6/1/2024 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Alaska Housing Finance Corp., State Capital Project Series 2014A, Rev., 5.00%, 6/1/2023 | | |
Alaska Municipal Bond Bank Authority Series 2012-2, Rev., 5.00%, 9/1/2024 | | |
Borough of Matanuska-Susitna Series C, GO, 5.00%, 3/1/2023 | | |
Borough of Matanuska-Susitna, Goose Creek Correctional Center Project | | |
| | |
| | |
| | |
Series 2021B, GO, 5.00%, 6/30/2023 | | |
Series B, GO, 5.00%, 10/30/2023 | | |
Series 2020A, GO, 5.00%, 6/30/2025 | | |
Borough of North Slope, General Purpose Series 2019A, GO, 5.00%, 6/30/2023 | | |
Municipality of Anchorage | | |
Series 2018D, GO, 4.00%, 9/1/2023 | | |
Series D, GO, 5.00%, 9/1/2023 | | |
State of Alaska, Native Tribal Health Consortium Housing Facility Project Series 2014, COP, 5.00%, 6/1/2023 | | |
University of Alaska Series 2015T, Rev., 5.00%, 10/1/2023 | | |
| | |
|
Arizona Health Facilities Authority, Banner Health Series 2015B, Rev., (SIFMA Municipal Swap Index Yield + 0.25%), 3.05%, 3/9/2023 (d) | | |
Arizona Health Facilities Authority, Phoenix children's Hospitals Series 2013-B, Rev., 5.00%, 2/1/2026 | | |
Arizona Industrial Development Authority, Equitable School Revolving Fund LLC Series 2019A, Rev., 5.00%, 11/1/2024 | | |
Arizona School Facilities Board Series 2015A, COP, 5.00%, 9/1/2023 (b) | | |
Arizona State University Series 2016A, Rev., 5.00%, 7/1/2023 | | |
Arizona Transportation Board, Excise Tax, Maricopa County Regional Area Road Fund | | |
| | |
| | |
| | |
|
|
City of Buckeye, Excise Tax Rev., 5.00%, 7/1/2023 | | |
City of Casa Grande Series 2016B, GO, 4.00%, 8/1/2023 (b) | | |
City of Flagstaff, Road Repair, Street Improvement Project Rev., 4.00%, 7/1/2023 | | |
City of Goodyear GO, 5.00%, 7/1/2023 | | |
City of Mesa, Utility System Rev., 3.00%, 7/1/2023 | | |
| | |
| | |
| | |
City of Phoenix Civic Improvement Corp., Junior Lien | | |
| | |
| | |
City of Phoenix Civic Improvement Corp., Junior Lien, Airport System | | |
Series 2017D, Rev., 5.00%, 7/1/2023 | | |
Series 2017D, Rev., 5.00%, 7/1/2024 | | |
City of Scottsdale, Preserve Acquisition GO, 3.00%, 7/1/2023 | | |
County of Maricopa Series 2018A, COP, 5.00%, 7/1/2024 | | |
County of Navajo Rev., 4.00%, 7/1/2025 | | |
County of Pima, Sewer System Series 2020A, Rev., 5.00%, 7/1/2023 | | |
County of Pinal Rev., 5.00%, 8/1/2023 | | |
Florence Town, Inc., Industrial Development Authority (Legacy Traditional School Project) | | |
Rev., 5.75%, 7/1/2023 (b) (e) | | |
Rev., 6.00%, 7/1/2023 (b) (e) | | |
Gila County Unified School District No. 10-Payson GO, 5.00%, 7/1/2023 | | |
Glendale Industrial Development Authority, Midwestern University Rev., 5.00%, 5/15/2023 | | |
Glendale Union High School District No. 205, Project of 2020 Series 2021A, GO, AGM, 5.00%, 7/1/2023 | | |
Kyrene Elementary School District No. 28 GO, 4.00%, 7/1/2023 | | |
Madison Elementary School District No. 38, School Improvement, Project of 2014 Series 2019C, GO, 5.00%, 7/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Maricopa County Elementary School District No. 79, Litchfield Elementary, School Improvement GO, 3.00%, 7/1/2023 | | |
Maricopa County Industrial Development Authority, Banner Health Series C, Rev., 5.00%, 10/18/2024 (c) | | |
Maricopa County School District No. 3, Tempe Elementary, School Improvement GO, 4.00%, 7/1/2023 | | |
Maricopa County Special Health Care District, Integrated Health Services Series 2018C, GO, 5.00%, 7/1/2023 | | |
Maricopa County Unified School District No. 69 Paradise Valley, School Improvement, Project of 2015 Series 2018-C, GO, 5.00%, 7/1/2023 | | |
Maricopa County Unified School District No. 97-Deer Valley, School Improvement Series C, GO, 3.00%, 7/1/2023 | | |
Maricopa County Union High School District No. 210 Phoenix, School Improvement, Project of 2011 and 2017 GO, 5.00%, 7/1/2023 | | |
Maricopa County Union High School District No. 216 Agua Fria, School Improvement Series 2014B, GO, 3.00%, 7/1/2023 | | |
McAllister Academic Village LLC, Arizona State University Rev., 5.00%, 7/1/2023 | | |
Pima County Regional Transportation Authority, Excise Tax | | |
| | |
Series 2014, Rev., 5.00%, 6/1/2025 | | |
Pima County Unified School District No. 20 Vail, School Improvement GO, AGM, 3.00%, 7/1/2023 | | |
Pinal County Community College District GO, 5.00%, 7/1/2023 | | |
Pinal County School District No. 1 Florence GO, 5.00%, 7/1/2023 | | |
RBC Municipal Products, Inc. Trust, Floater Certificates Series E-147, Rev., VRDO, LOC : Royal Bank of Canada, 3.45%, 3/7/2023 (c) (e) | | |
Tempe Industrial Development Authority, Friendship Village of Tempe Project Series 2021C-2, Rev., 1.13%, 12/1/2026 | | |
Town of Marana, Excise Tax Series 2017B, Rev., 5.00%, 7/1/2023 | | |
| | |
|
|
Town of Queen Creek, Excise Tax Series 2018A, Rev., 5.00%, 8/1/2023 | | |
University Medical Center Corp., Hospital Rev., 5.63%, 7/1/2023 (b) | | |
| | |
|
Arkansas Development Finance Authority, Cancer Research Project Rev., AMBAC, Zero Coupon, 7/1/2023 | | |
City of Little Rock Rev., 4.00%, 11/1/2023 | | |
State of Arkansas GO, 4.25%, 6/1/2023 | | |
State of Arkansas, Federal Highway | | |
| | |
| | |
State of Arkansas, Waste Disposal and Pollution Abatement Facilities Series 2016A, GO, 5.00%, 7/1/2023 | | |
University of Arkansas, Various Facility Fayetteville Campus Series 2019A, Rev., 5.00%, 9/15/2023 | | |
| | |
|
Alameda County Joint Powers Authority, Multiple Capital Projects Series 2013A, Rev., 5.00%, 12/1/2023 | | |
Anaheim Public Financing Authority, Public Improvement Project Series 1997C-13, Rev., Zero Coupon, 9/1/2023 | | |
Antelope Valley Community College District GO, 5.00%, 2/15/2025 (b) | | |
Antelope Valley-East Kern Water Agency Rev., 5.00%, 6/1/2023 | | |
Bay Area Toll Authority, Toll Bridge | | |
Series 2017S-7, Rev., 5.00%, 4/1/2023 | | |
Series 2013S-4, Rev., 5.13%, 4/1/2023 (b) | | |
Bay Area Water Supply and Conservation Agency | | |
Series 2013A, Rev., 3.00%, 4/1/2023 | | |
Series 2013A, Rev., 4.00%, 4/1/2023 | | |
Series 2013A, Rev., 5.00%, 4/1/2023 | | |
Brentwood Infrastructure Financing Authority Series 2012A, AGM, 3.50%, 9/2/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Brentwood Infrastructure Financing Authority, Civic Center Project Rev., 5.00%, 10/1/2024 | | |
Burlingame School District, Election of 2012 Series 2013A, GO, 4.00%, 8/1/2023 (b) | | |
California Communities Local Measure R Sales Tax, Total Road Improvement Program Series 2013A, COP, AGM, 5.13%, 6/1/2023 (b) | | |
California County Tobacco Securitization Agency, Gold Country Settlement Funding Corp. Series 2020A, Rev., 5.00%, 6/1/2026 | | |
California Educational Facilities Authority, University of Southern California Series 2012A, Rev., 5.00%, 10/1/2023 (b) | | |
California Health Facilities Financing Authority, Adventist Health System | | |
Series 2011A, Rev., 3.00%, 3/1/2024 (c) | | |
Series 2013A, Rev., 5.00%, 3/1/2024 | | |
California Health Facilities Financing Authority, Cedars-Sinai Medical Center Rev., 5.00%, 11/15/2024 | | |
California Health Facilities Financing Authority, Providence St. Joseph Health Series 2016B-2, Rev., 4.00%, 10/1/2024 (c) | | |
California Health Facilities Financing Authority, St. Joseph Health System | | |
Series 2013A, Rev., 5.00%, 7/1/2023 (b) | | |
Rev., 5.00%, 10/1/2025 (c) | | |
Series 2013A, Rev., 5.00%, 7/1/2026 | | |
California Infrastructure and Economic Development Bank, Colburn School (The) Rev., (SIFMA Municipal Swap Index Yield + 0.90%), 3.70%, 3/9/2023 (d) | | |
California Infrastructure and Economic Development Bank, Infrastructure State Revolving Fund Series 2014A, Rev., 5.00%, 10/1/2023 (b) | | |
California Infrastructure and Economic Development Bank, The Broad Sustainability Bonds Series 2018C, Rev., (SIFMA Municipal Swap Index Yield + 0.35%), 3.15%, 3/9/2023 (d) | | |
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California Pollution Control Financing Authority, American Water Capital Corp. Project Rev., 0.60%, 9/1/2023 (c) | | |
California State Public Works Board | | |
Series 2019B, Rev., 5.00%, 5/1/2023 | | |
Series B, Rev., 5.00%, 10/1/2023 | | |
California State Public Works Board, Judicial Council of California | | |
Series A, Rev., 5.00%, 3/1/2025 | | |
Series A, Rev., 5.00%, 3/1/2026 | | |
California State Public Works Board, Judicial Council Project Series A, Rev., 5.00%, 3/1/2024 | | |
California State Public Works Board, Various Capital Project Series 2021B, Rev., 5.00%, 5/1/2023 | | |
California State Public Works Board, Various Capital Projects Series 2013-I, Rev., 5.00%, 11/1/2026 | | |
California State University, Systemwide Series 2016A, Rev., 5.00%, 11/1/2023 | | |
California Statewide Communities Development Authority, Southern California Edison Co. Series D, Rev., 2.63%, 12/1/2023 (c) | | |
Camarillo Community Development Commission Successor Agency, Camarillo Corridor Project Rev., AGM, 5.00%, 9/1/2023 | | |
Campbell Union High School District GO, 5.00%, 8/1/2023 (b) | | |
Castaic Lake Water Agency, Capital Appreciation, Water System Improvement Project Series 1999A, COP, AMBAC, Zero Coupon, 8/1/2023 | | |
Chabot-Las Positas Community College District GO, 5.00%, 8/1/2023 (b) | | |
Chaffey Joint Union High School District, Election of 2008 Series A, GO, 5.00%, 8/1/2023 (b) | | |
Chula Vista Elementary School District | | |
Rev., BAN, Zero Coupon, 8/1/2023 | | |
COP, AGM, 5.00%, 9/1/2023 | | |
Chula Vista Municipal Financing Authority | | |
Series 2015B, 5.00%, 9/1/2023 | | |
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City and County of San Francisco Series 2015A-1, COP, 5.00%, 4/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
City of Livermore Series 2020B, COP, 4.00%, 10/1/2023 | | |
City of Long Beach Harbor Series 2014B, Rev., 5.00%, 5/15/2023 | | |
City of Long Beach Harbor, Private Activity Series 2020A, Rev., 4.00%, 5/15/2024 | | |
City of Los Angeles Series 2013A, Rev., 5.00%, 6/1/2027 | | |
City of Los Angeles Department of Airports, International Airport Subordinate Series 2018E, Rev., 5.00%, 5/15/2024 | | |
City of Los Angeles, Wastewater System | | |
Series 2013-A, Rev., 5.00%, 6/1/2025 | | |
Series 2013A, Rev., 5.00%, 6/1/2026 | | |
City of Newark COP, 5.00%, 6/1/2023 | | |
City of Oakland, Sewer Series 2014A, Rev., 5.00%, 6/15/2023 | | |
City of Pico Rivera, Sales Tax Series 2018A, COP, AGM, 5.00%, 6/1/2023 | | |
City of Richmond, Wastewater, Capital Appreciation Rev., FGIC, Zero Coupon, 8/1/2023 (b) | | |
City of San Francisco, Public Utilities Commission Series 2017A, Rev., 5.00%, 11/1/2024 (b) | | |
City of Santa Cruz Rev., 5.00%, 3/1/2023 | | |
City of Sausalito, 2016 Financing Project COP, 4.00%, 5/1/2023 | | |
Clovis Unified School District, Election of 2012 Series B, GO, 5.00%, 8/1/2023 (b) | | |
Coast Community College District, Election of 2012 Series 2013A, GO, 4.00%, 8/1/2023 (b) | | |
Colton Joint Unified School District, Election of 2008 Series 2010B, GO, AGM, 5.80%, 8/21/2026 (b) | | |
Contra Costa Community College District, Election of 2006 GO, 5.00%, 8/1/2023 (b) | | |
Contra Costa Community College District, Election of 2014 Series C, GO, 4.00%, 8/1/2023 | | |
Contra Costa Transportation Authority Series 2012B, Rev., 5.00%, 3/1/2023 (b) | | |
Corona-Norco Unified School District Public Financing Authority, Senior Lien Series A, Rev., 5.00%, 9/1/2023 (b) | | |
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County of Los Angeles Rev., TRAN, 4.00%, 6/30/2023 | | |
Cupertino Union School District, 2013 Crossover Series 2013A, GO, 5.00%, 8/1/2023 (b) | | |
Desert Sands Unified School District GO, 5.00%, 8/1/2023 | | |
El Dorado Irrigation District Series 2016B, COP, 5.00%, 3/1/2023 | | |
El Monte City School District, Election of 2004 Series 2008C, GO, AGC, Zero Coupon, 8/1/2023 | | |
Folsom Cordova Unified School District School Facilities Improvement Dist No. 4, Election of 2012 Series A, GO, 5.00%, 10/1/2023 (b) | | |
Fontana Redevelopment Agency, Successor Agency, Tax Allocation Series 2017A, Rev., 5.00%, 10/1/2023 | | |
Fremont Public Financing Authority Series 2017B, Rev., 5.00%, 10/1/2023 | | |
Fresno County Financing Authority Rev., 5.00%, 4/1/2023 | | |
Garden Grove Agency Community Development Successor Agency, Tax Allocation Rev., 5.00%, 10/1/2023 | | |
Garden Grove Unified School District, Election of 2010 Series C, GO, 5.00%, 8/1/2023 | | |
Gateway Unified School District, Election of 2008 GO, AGM, 5.00%, 8/1/2023 (b) | | |
Grossmont Healthcare District Series C, GO, 5.00%, 7/15/2024 | | |
Grossmont Union High School District, Election of 2008 Series E, GO, 5.00%, 8/1/2023 (b) | | |
Grossmont-Cuyamaca Community College District GO, 5.00%, 8/1/2023 | | |
Hermosa Beach Public Financing Authority Rev., 4.00%, 11/1/2024 | | |
Huntington Beach Union High School District GO, 5.00%, 8/1/2023 (b) | | |
Inglewood Unified School District, Election of 2012 Series 2013A, GO, AGM, 5.13%, 8/1/2023 (b) | | |
Kern Community College District GO, BAN, Zero Coupon, 8/1/2023 | | |
La Mirada Public Financing Authority Rev., 5.00%, 5/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Lancaster School District, Election of 2012 Series A, GO, AGM, 4.00%, 8/1/2023 (b) | | |
Lodi Unified School District, Election of 2006 GO, 3.00%, 8/1/2023 | | |
Long Beach Community College District Series 2017G, GO, 5.00%, 8/1/2023 | | |
Los Angeles Community College District | | |
Series 2015A, GO, 5.00%, 8/1/2023 | | |
Series 2015C, GO, 5.00%, 8/1/2023 | | |
Los Angeles County Metropolitan Transportation Authority, Measure J Junior Subordinate Sales Tax Series 2020A, Rev., 5.00%, 6/1/2023 | | |
Los Angeles County Metropolitan Transportation Authority, Measure R Senior Sales Tax Series 2016A, Rev., 5.00%, 6/1/2023 | | |
Los Angeles County Public Works Financing Authority Series 2019E1, Rev., 4.00%, 12/1/2023 | | |
Los Angeles Department of Water and Power System Revenue | | |
Series 2013B, Rev., 5.00%, 7/1/2024 | | |
Series 2013B, Rev., 5.00%, 7/1/2025 | | |
Series 2013B, Rev., 5.00%, 7/1/2026 | | |
Los Angeles Unified School District | | |
Series 2015A, GO, 5.00%, 7/1/2023 | | |
Series D, GO, 5.00%, 7/1/2023 | | |
Madera County Board of Education COP, 4.00%, 10/1/2023 | | |
Manteca Unified School District Series 2020A, GO, 4.00%, 8/1/2023 | | |
Merced Union High School District GO, AGM, Zero Coupon, 2/18/2025 (b) | | |
Metropolitan Water District of Southern California, Waterworks Series 2017B, Rev., 5.00%, 8/1/2023 | | |
Middletown Unified School District, Election of 2018 Series 2019A, GO, 4.00%, 8/1/2023 | | |
Mount San Antonio Community College District, Election of 2008 Series A, GO, Zero Coupon, 8/1/2023 | | |
Municipal Improvement Corp. of Los Angeles, Real Property Series 2016B, Rev., 5.00%, 11/1/2023 | | |
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Norco Community Redevelopment Agency Successor Agency, Redevelopment Project Area #1 Series 2017A, Rev., 4.00%, 3/1/2023 | | |
Orange County Water District | | |
Series 2019A, COP, 2.00%, 8/15/2023 | | |
Series 2003B, COP, NATL - RE, 4.75%, 8/15/2023 (b) | | |
Series 2013A, Rev., 5.00%, 8/15/2023 (b) | | |
Series 2021A, COP, 4.00%, 2/15/2025 | | |
Orchard School District GO, 5.00%, 8/1/2023 | | |
Otay Water District Financing Authority Series 2018A, Rev., 5.00%, 9/1/2023 | | |
Oxnard Financing Authority Rev., 5.00%, 6/1/2023 | | |
Padre Dam Municipal Water District Series 2017A, COP, 5.00%, 10/1/2024 | | |
Palmdale Community Redevelopment Agency Successor Agency Series 2016A, Rev., 5.00%, 9/1/2023 | | |
Palomar Community College District GO, 5.00%, 5/1/2024 | | |
Paramount Unified School District, Election of 2006 | | |
GO, Zero Coupon, 8/1/2023 (b) | | |
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Perris Union High School District GO, 5.00%, 9/1/2023 | | |
Pismo Beach Public Financing Agency, Beach Municipal Pier Project Rev., 5.00%, 12/1/2023 | | |
Plumas Unified School District, Election of 2016 Series B, GO, 5.00%, 8/1/2023 | | |
Poway Unified School District Public Financing Authority, Special Tax Community Facilities District No. 2 Series 2015C, Rev., AGM, 5.00%, 9/1/2023 | | |
Puente Basin Water Agency, Walnut Valley Water District Project Series 2013A, Rev., 5.00%, 6/1/2023 (b) | | |
Regents of the University of California Medical Center Pooled | | |
Series 2013J, Rev., 5.00%, 5/15/2023 (b) | | |
Series 2013J, Rev., 5.25%, 5/15/2023 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Regents of the University of California Medical Center Pooled, Tax-Exempt Series 2016L, Rev., 5.00%, 5/15/2023 | | |
Riverside County Transportation Commission, Sales Tax Series 2017A, Rev., 5.00%, 6/1/2023 | | |
Riverside County Transportation Commission, Sales Tax, Limited Tax Series 2013A, Rev., 5.25%, 6/1/2023 (b) | | |
Sacramento County Sanitation Districts Financing Authority Series 2014A, Rev., 5.00%, 12/1/2023 | | |
Sacramento Municipal Utility District, Electric | | |
Series 2019A, Rev., 5.00%, 10/17/2023 (c) | | |
Series 2019B, Rev., 5.00%, 10/15/2025 (c) | | |
San Bernardino City Unified School District | | |
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Series 2013A, GO, AGM, 5.00%, 8/1/2023 (b) | | |
San Bernardino City Unified School District, Election of 2012 Series A, GO, AGM, 4.00%, 8/1/2023 (b) | | |
San Bernardino County Transportation Authority, Sales Tax Series 2014A, Rev., 5.00%, 3/1/2023 | | |
San Diego Community College District, Election of 2002 GO, 5.00%, 8/1/2023 (b) | | |
San Diego Community College District, Election of 2006 GO, Zero Coupon, 8/1/2023 | | |
San Diego County Water Authority Series 2013A, Rev., 5.00%, 5/1/2023 | | |
San Diego Public Facilities Financing Authority | | |
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Series 2016B, Rev., 5.00%, 8/1/2023 | | |
San Diego Redevelopment Agency Successor Agency Series 2017A, Rev., 5.00%, 9/1/2023 | | |
San Diego Unified School District, Election of 1998 Series D-1, GO, NATL - RE, 5.50%, 7/1/2023 | | |
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San Francisco Bay Area Rapid Transit District, Election of 2004 Series 2013C, GO, 5.00%, 8/1/2023 | | |
San Francisco Bay Area Rapid Transit District, Sales Tax Series 2016A, Rev., 5.00%, 7/1/2023 | | |
San Francisco City and County Airport Commission, San Francisco International Airport | | |
Series 2019D, Rev., 5.00%, 5/1/2024 | | |
Series 2016A, Rev., 4.00%, 5/1/2025 | | |
San Francisco City and County Public Utilities Commission Wastewater Series 2016B, Rev., 5.00%, 10/1/2023 | | |
San Joaquin County Transportation Authority, Measure K Sales Tax | | |
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San Joaquin Delta Community College District Series A, GO, 5.00%, 8/1/2023 | | |
San Joaquin Hills Transportation Corridor Agency, Toll Road, Senior Lien Rev., Zero Coupon, 1/1/2025 (b) | | |
San Jose Financing Authority, Civic Center Project Series 2013A, Rev., 5.00%, 6/1/2023 (b) | | |
San Jose Unified School District Series 2013-GO, GO, 5.00%, 8/1/2023 (b) | | |
San Juan Unified School District, Election of 2002 | | |
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San Juan Water District Rev., 5.00%, 2/1/2025 | | |
San Marcos Unified School, District No. 4, Community Facilities, Special Tax Rev., 4.00%, 9/1/2023 | | |
San Mateo Foster City Public Financing Authority, Street and Flood Control Project Series 2020A, Rev., 5.00%, 5/1/2023 | | |
Santa Clara County Financing Authority, Capital Facilities Series 2021A, Rev., 5.00%, 5/1/2023 | | |
Santa Clara County Financing Authority, Fire District Facilities Series 2020A, Rev., 5.00%, 5/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Santa Clara County Financing Authority, Multiple Facilities Project Series 2016Q, Rev., 5.00%, 5/15/2023 | | |
Santa Clara Valley Transportation Authority, Measure A Sales Tax Series 2015A, Rev., 5.00%, 4/1/2023 | | |
Santa Clara Valley Transportation Authority, Sales Tax Series 2017B, Rev., 5.00%, 6/1/2023 | | |
Santa Monica-Malibu Unified School District, Election of 2006 Series D, GO, 4.00%, 7/1/2023 (b) | | |
Sequoia Union High School District GO, 5.00%, 7/1/2024 (b) | | |
Sierra Joint Community College District No. 1, School Facilities Improvement Series A, GO, 5.00%, 8/1/2023 (b) | | |
Silicon Valley Clean Water, Wastewater Series 2019A, Rev., 3.00%, 3/1/2024 | | |
Solano County Community College District Series 2014A, GO, 5.00%, 8/1/2023 | | |
Sonoma County Community Redevelopment Agency Successor Agency Rev., 4.00%, 8/1/2023 | | |
Sonoma County Junior College District Series 2013A, GO, 5.00%, 8/1/2023 (b) | | |
South San Francisco Public Facilities Financing Authority, Police Station Project Series 2020A, Rev., 5.00%, 6/1/2023 | | |
Southern California Public Power Authority, Windy Point/Windy Flats Project Rev., 5.00%, 4/1/2024 | | |
State of California Department of Water Resources, Central Valley Project, Water System | | |
Series AP, Rev., 4.00%, 6/1/2023 (b) | | |
Series AQ, Rev., 4.00%, 6/1/2023 (b) | | |
Series AM, Rev., 5.00%, 6/1/2023 (b) | | |
Series AW, Rev., 5.00%, 12/1/2023 | | |
State of California, Various Purpose | | |
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Suisun City Redevelopment Agency, Redevelopment Project Series B, Rev., 5.00%, 10/1/2023 | | |
Sulphur Springs Union School District, Community Facilities District No. 2002-1, Special Tax Series 2014A, Rev., 3.00%, 9/1/2023 (b) | | |
Tahoe-Truckee Sanitation Agency, Wastewater Rev., 5.00%, 7/1/2024 | | |
Tahoe-Truckee Unified School District, Election of 2014, School Facilities Improvement District No. 1 Series C, GO, 3.00%, 8/1/2023 | | |
Tender Option Bond Trust Receipts/ Certificates Series 2017-XX1045, Rev., VRDO, LIQ : Barclays Bank plc, 3.45%, 3/7/2023 (c) (e) | | |
Tobacco Securitization Authority of Southern California Series 2019A, Class 1, Rev., 5.00%, 6/1/2025 | | |
Tobacco Securitization Authority of Southern California, San Diego County Tobacco Asset Securitization Corp. Series 2019A, Class 1, Rev., 5.00%, 6/1/2023 | | |
Torrance Unified School District, Election of 2008 GO, 5.00%, 8/1/2023 (b) | | |
Tustin Unified School District, School Facilities Improvement Districts No. 2002-1 and 2008-1 GO, 5.00%, 8/1/2025 | | |
Twin Rivers Unified School District Series 2014A, GO, Zero Coupon, 2/1/2024 (b) | | |
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Series 2013AF, Rev., 5.00%, 5/15/2023 (b) | | |
Series 2013AF, Rev., 5.00%, 5/15/2023 | | |
Series 2013AI, Rev., 5.00%, 5/15/2023 | | |
Series 2013AK, Rev., 5.00%, 5/15/2023 (c) | | |
Series 2015AO, Rev., 5.00%, 5/15/2023 | | |
Series 2017AV, Rev., 5.00%, 5/15/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Series 2020BE, Rev., 5.00%, 5/15/2023 | | |
Ventura County Public Financing Authority | | |
Series 2013B, Rev., 5.00%, 11/1/2023 | | |
Series 2016A, Rev., 5.00%, 11/1/2024 | | |
West Hollywood Public Financing Authority, Hollywood Park Phase II Rev., 5.00%, 4/1/2024 | | |
Westminster School District, Refinancing of 2015 Energy Conservation Projects COP, 4.00%, 5/1/2023 | | |
William S Hart Union High School District, Election of 2008 | | |
Series 2013C, GO, 4.00%, 8/1/2023 (b) | | |
Series 2013C, GO, 5.00%, 8/1/2023 (b) | | |
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Adams 12 Five Star Schools, The City and County of Broomfield | | |
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Apex Park and Recreation District GO, 3.00%, 12/1/2024 | | |
Aspen Fire Protection District COP, 4.00%, 12/1/2023 | | |
Board of Governors of Colorado State University System | | |
Series A, Rev., 3.00%, 3/1/2023 (b) | | |
Series 2019A, Rev., 4.00%, 3/1/2023 (b) | | |
Series 2015A, Rev., 5.00%, 3/1/2025 (b) | | |
Boulder Larimer and Weld Counties St. Vrain Valley School District Re1J Series 2014A, GO, 5.00%, 12/15/2023 | | |
City and County of Broomfield, Sales and Use Tax Series A, Rev., 5.00%, 12/1/2024 | | |
City and County of Denver Series 2018A, COP, 5.00%, 6/1/2023 | | |
City and County of Denver, Airport System | | |
Series B, Rev., 5.00%, 11/15/2024 | | |
Series B, Rev., 5.25%, 11/15/2026 | | |
City of Colorado Springs Series B-2, Rev., 5.00%, 11/15/2025 | | |
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City of Colorado Springs, Utilities System Improvement | | |
Series 2015A, Rev., 5.00%, 11/15/2023 | | |
Series 2018A-1, Rev., 5.00%, 11/15/2023 | | |
Series A-1, Rev., 5.00%, 11/15/2023 | | |
Series A-2, Rev., 5.00%, 11/15/2023 | | |
City of Longmont, Wastewater Rev., 5.00%, 11/1/2023 | | |
Colorado Educational and Cultural Facilities Authority, Johnson and Wales University Project Series B, Rev., 5.00%, 4/1/2023 (b) | | |
Colorado Educational and Cultural Facilities Authority, Stargate Charter School Project Rev., 7.25%, 6/1/2023 (b) | | |
Colorado Health Facilities Authority | | |
Series 2019A, Rev., 5.00%, 11/1/2023 | | |
Rev., 5.00%, 11/15/2023 (b) (c) | | |
Rev., 5.00%, 11/15/2023 (c) | | |
Series 2019A, Rev., 5.00%, 8/1/2026 | | |
Series 2019-B, Rev., 5.00%, 11/19/2026 (b) (c) | | |
Series 2019-B, Rev., 5.00%, 11/19/2026 (c) | | |
Colorado Health Facilities Authority, Adventist Health System/Sunbelt Obligated Group Series 2018B, Rev., 5.00%, 11/20/2025 (c) | | |
Colorado Health Facilities Authority, Children's Hospital Colorado Project Series C, Rev., 5.00%, 12/1/2024 | | |
Colorado Health Facilities Authority, CommonSpirit Health | | |
Series B-2, Rev., 5.00%, 8/1/2026 (c) | | |
Series 2019A-2, Rev., 5.00%, 8/1/2027 | | |
Colorado Health Facilities Authority, CommonSpirit Health Obligated Group | | |
Series 2022A, Rev., 5.00%, 11/1/2024 | | |
Series 2022A, Rev., 5.00%, 11/1/2028 | | |
Colorado Health Facilities Authority, NCMC, Inc., Project Rev., 4.00%, 5/15/2026 (b) | | |
Colorado Health Facilities Authority, School Health System Series 2019A, Rev., 5.00%, 1/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Colorado Housing and Finance Authority, Multi-Family Project Series 2020A-2, Class I, Rev., 1.55%, 4/1/2023 | | |
Colorado Mesa University Series 2009A, Rev., 5.00%, 5/15/2023 | | |
Colorado State Board for Community Colleges and Occupational Educational System Series 2017A, Rev., 3.00%, 11/1/2023 | | |
Colorado State Education Loan Program, Denver City and County School District No. 1 Series 2022A, Rev., TRAN, 5.00%, 6/29/2023 | | |
County of Adams COP, 5.00%, 12/1/2023 | | |
County of Jefferson COP, 5.00%, 12/1/2023 | | |
Denver Convention Center Hotel Authority Rev., 5.00%, 12/1/2023 | | |
Eagle County School District No. Re50J GO, 3.00%, 12/1/2023 (b) | | |
El Paso County School District No. 20 Academy Series 2017, GO, 5.00%, 12/15/2023 | | |
El Paso County School District No. 49 Falcon Series 2017B, COP, 5.00%, 12/15/2023 | | |
Jefferson County School District R-1 GO, 5.00%, 12/15/2023 | | |
Larimer Weld and Boulder County School District, R-2J Thompson GO, 4.00%, 12/15/2023 | | |
Mesa County Valley School District No. 51 Grand Junction GO, 5.00%, 12/1/2023 | | |
Regional Transportation District | | |
Series 2014A, COP, 4.50%, 6/1/2023 (b) | | |
Series 2014A, COP, 5.00%, 6/1/2023 (b) | | |
Regional Transportation District, Denver Transit Partners | | |
Series A, Rev., 5.00%, 1/15/2024 | | |
Series A, Rev., 5.00%, 7/15/2025 | | |
Serenity Ridge Metropolitan District No. 2, Limited Tax Series 2018-B, GO, 7.25%, 12/15/2023 (b) | | |
State of Colorado, Tax-Exempt | | |
Series 2018N, COP, 5.00%, 3/15/2023 | | |
Series 2020A, COP, 5.00%, 9/1/2023 | | |
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State of Colorado, UCDHSC Fitzsimons Academic Series 2013A, COP, 5.00%, 11/1/2023 (b) | | |
Town of Castle Rock Rev., 5.00%, 6/1/2023 (b) | | |
Town of Castle Rock, Sales and Use Tax Rev., 5.00%, 6/1/2025 | | |
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Series B-1, Rev., 4.00%, 6/1/2024 (b) | | |
Series A, Rev., 5.00%, 6/1/2024 (b) | | |
University of Colorado Hospital Authority, University of Colorado Health Series 2017B-2, Rev., VRDO, 2.75%, 3/9/2023 (c) | | |
University of Colorado, Enterprise System | | |
Series A, Rev., 5.00%, 6/1/2023 | | |
Series A, Rev., 5.00%, 6/1/2023 (b) | | |
Series 2021C-3B, Rev., 2.00%, 10/15/2026 (c) | | |
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City of Meriden Series 2016B, GO, 5.00%, 5/15/2023 | | |
City of New Britain Series 2016A, GO, 5.00%, 3/1/2023 (b) | | |
City of New Haven Series 2013B, GO, AGM, 3.75%, 9/1/2023 (b) | | |
City of Stamford GO, 5.00%, 6/1/2023 | | |
City of Waterbury GO, 5.00%, 8/1/2023 | | |
Connecticut State Health and Educational Facilities Authority, Connecticut State University System Series L, Rev., 4.00%, 11/1/2023 | | |
Connecticut State Health and Educational Facilities Authority, Middlesex Hospital Series O, Rev., 5.00%, 7/1/2023 | | |
Connecticut State Health and Educational Facilities Authority, Quinnipiac University Series L, Rev., 5.00%, 7/1/2023 | | |
Connecticut State Health and Educational Facilities Authority, Trinity Health Credit Group Series 2016CT, Rev., 3.00%, 12/1/2023 | | |
Connecticut State Health and Educational Facilities Authority, University System Issue Series L, Rev., 3.00%, 11/1/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Connecticut State Health and Educational Facilities Authority, Yale New Haven Health Issue Series 2010A3, Rev., 0.25%, 2/9/2024 (c) | | |
Connecticut State Health and Educational Facilities Authority, Yale University Series X-2, Rev., 0.25%, 2/9/2024 (c) | | |
Mattabassett District Cromwell Rev., 5.00%, 8/1/2023 | | |
| | |
Series 2015A, GO, 5.00%, 3/15/2023 | | |
Series 2016B, GO, 5.00%, 5/15/2023 | | |
Series 2018C, GO, 5.00%, 6/15/2023 | | |
Series 2014E, GO, 5.00%, 9/1/2023 | | |
Series 2017A, GO, 5.00%, 4/15/2024 | | |
State of Connecticut Clean Water Fund, State Revolving Fund | | |
Series 2013A, Rev., 5.00%, 3/1/2023 | | |
Series 2015A, Rev., 5.00%, 3/1/2023 | | |
State of Connecticut, GAAP Conversion | | |
Series 2013A, GO, 5.00%, 10/15/2023 | | |
Series 2013A, GO, 5.00%, 10/15/2024 | | |
Series 2013A, GO, 5.00%, 10/15/2026 | | |
State of Connecticut, SIFMA Index Series 2013A, GO, (SIFMA Municipal Swap Index Yield + 0.99%), 3.79%, 3/9/2023 (d) | | |
State of Connecticut, Special Tax Transportation Infrastructure Purposes | | |
Series 2020A, Rev., 5.00%, 5/1/2023 | | |
Series B, Rev., 5.00%, 8/1/2023 | | |
Series B, Rev., 5.00%, 9/1/2023 | | |
Series 2018A, Rev., 5.00%, 1/1/2024 | | |
Series A, Rev., 5.00%, 10/1/2024 | | |
Town of Branford GO, 3.13%, 8/1/2023 (b) | | |
Town of East Lyme GO, 5.00%, 8/15/2023 | | |
Town of South Windsor Series 2017B, GO, 3.00%, 8/15/2023 | | |
University of Connecticut | | |
Series 2016-A, Rev., 5.00%, 3/15/2023 | | |
Series 2013A, Rev., 5.00%, 2/15/2024 | | |
Series 2015A, Rev., 5.00%, 2/15/2026 | | |
| | |
| | |
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County of New Castle GO, 5.00%, 4/1/2024 | | |
Delaware River and Bay Authority Series C, Rev., 5.00%, 1/1/2027 | | |
Delaware State Economic Development Authority, Delmarva Power and Light Co. Project Series 2020A, Rev., 1.05%, 7/1/2025 (c) | | |
State of Delaware Series 2016C, GO, 5.00%, 3/1/2023 | | |
University of Delaware Series 2013A, Rev., 5.00%, 5/1/2023 (b) | | |
| | |
District of Columbia — 1.0% |
| | |
Series D, GO, 5.00%, 6/1/2023 | | |
Series 2013A, GO, 5.00%, 6/1/2026 | | |
District of Columbia Housing Finance Agency, Multi-Family Development Program | | |
Series 2019B-2, Rev., FHA, 1.70%, 3/1/2023 | | |
Series 2019B-1, Rev., FHA, 1.75%, 9/1/2023 (c) | | |
District of Columbia Housing Finance Agency, Paxton Project Series 2022, Rev., 4.00%, 9/1/2025 (c) | | |
District of Columbia, Deed Tax Series 2012A, Rev., 5.00%, 6/1/2023 | | |
District of Columbia, Federal Highway Rev., 5.00%, 12/1/2024 | | |
District of Columbia, Gallery Place Project Rev., 5.00%, 6/1/2024 | | |
District of Columbia, Income Tax Series 2019A, Rev., 5.00%, 3/1/2023 | | |
District of Columbia, Water and Sewer Authority, Public Utility, Senior Lien Rev., AGM, 5.50%, 10/1/2023 | | |
District of Columbia, Water and Sewer Authority, Public Utility, Subordinate Lien Series 2014C, Rev., 5.00%, 10/1/2024 | | |
Metropolitan Washington Airports Authority Aviation Subseries C-2, Rev., VRDO, LOC : TD Bank NA, 2.78%, 3/9/2023 (c) | | |
Metropolitan Washington Airports Authority Dulles Toll Road Series 2009B, Rev., AGC, Zero Coupon, 10/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
District of Columbia — continued |
Washington Metropolitan Area Transit Authority Series 2017B, Rev., 5.00%, 7/1/2024 | | |
Washington Metropolitan Area Transit Authority Dedicated Series 2020A, Rev., 5.00%, 7/15/2023 | | |
Total District of Columbia | | |
|
Brevard County Health Facilities Authority, Health First, Inc., Project Rev., 5.00%, 4/1/2039 | | |
Capital Trust Agency, Inc., Sustainability Bonds -The Marie | | |
Rev., 4.00%, 6/15/2023 (e) | | |
Rev., 4.00%, 6/15/2024 (e) | | |
Rev., 4.00%, 6/15/2025 (e) | | |
Central Florida Expressway Authority, Senior Lien | | |
| | |
Series 2016B, Rev., 5.00%, 7/1/2025 | | |
City of Apopka, Utility System Rev., 5.00%, 10/1/2023 | | |
City of Clearwater, Water and Sewer Rev., 5.00%, 12/1/2023 | | |
City of Delray Beach Rev., 5.00%, 6/1/2023 | | |
City of Deltona, Utility System Rev., 5.00%, 10/1/2023 (b) | | |
City of Hallandale Beach Rev., 5.00%, 10/1/2023 | | |
City of Jacksonville Rev., 5.00%, 10/1/2023 | | |
City of Jacksonville, Florida Power and Light Co. Project Rev., VRDO, 2.65%, 3/1/2023 (c) | | |
City of Lakeland, Department of Electric Utilities | | |
| | |
| | |
City of Miami Rev., 5.00%, 3/1/2023 (b) (e) | | |
City of Orlando, Capital Improvement Series 2016B, Rev., 5.00%, 10/1/2024 | | |
City of Orlando, Florida Contract Tourist Development Tax Payments Series 2014A, Rev., 5.00%, 5/1/2024 (b) | | |
| | |
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|
City of Pompano Beach, John Knox Village Project Series 2021B-2, Rev., 1.45%, 1/1/2027 | | |
City of Sarasota, St. Armands Paid Parking Area Improvements Series 2017A, Rev., 4.00%, 10/1/2023 | | |
City of St. Petersburg, Public Utility Series 2014B, Rev., 5.00%, 10/1/2023 | | |
City of Tallahassee, Utility System Rev., 5.00%, 10/1/2023 | | |
County of Brevard, Water and Wastewater Utility Rev., 5.00%, 9/1/2023 | | |
County of Broward, Airport System | | |
Series P-2, Rev., 5.00%, 10/1/2023 | | |
Series Q-1, Rev., 5.00%, 10/1/2023 | | |
Series Q-1, Rev., 5.00%, 10/1/2024 | | |
Series Q-1, Rev., 5.00%, 10/1/2025 | | |
County of Broward, Half-Cent Sales Tax Rev., 5.00%, 10/1/2023 | | |
County of Hernando, Water and Sewer Series 2013A, Rev., 5.00%, 6/1/2023 (b) | | |
County of Hillsborough, Communications Services Tax Rev., 5.00%, 10/1/2024 | | |
County of Hillsborough, Community Investment Tax Rev., 5.00%, 11/1/2025 | | |
County of Lee, Tourist Development Tax Series 2019A, Rev., 5.00%, 10/1/2024 | | |
County of Lee, Transportation Facilities Rev., AGM, 5.00%, 10/1/2024 | | |
County of Lee, Water and Sewer | | |
Series A, Rev., 4.25%, 10/1/2023 (b) | | |
Series A, Rev., 5.00%, 10/1/2023 (b) | | |
Series B, Rev., 5.00%, 10/1/2023 | | |
County of Miami-Dade, Aviation System | | |
Series B, Rev., 4.00%, 10/1/2023 | | |
Series 2012B, Rev., 5.00%, 10/1/2024 | | |
County of Miami-Dade, Building Better Communities Program | | |
Series 2015-D, GO, 5.00%, 7/1/2023 | | |
Series 2016A, GO, 5.00%, 7/1/2023 | | |
Series 2016A, GO, 5.00%, 7/1/2024 | | |
County of Miami-Dade, Water and Sewer System | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Series 2013B, Rev., 5.00%, 10/1/2023 (b) | | |
Series B, Rev., 5.25%, 10/1/2023 (b) | | |
County of Okaloosa, Sales Tax Rev., 5.00%, 10/1/2023 | | |
County of Osceola Series 2019A-1, Rev., 5.00%, 10/1/2023 | | |
County of Palm Beach Rev., 5.00%, 11/1/2023 | | |
County of Pasco, Fire-Rescue Projects Series 2019B, GO, 5.00%, 10/1/2023 | | |
County of Polk, Utility System Rev., 5.00%, 10/1/2023 (b) | | |
County of Sarasota Rev., 5.00%, 10/1/2023 | | |
County of Sarasota, Utility System Rev., 5.00%, 10/1/2023 (b) | | |
County of St. Johns, Sales Tax Rev., AGM, 5.00%, 10/1/2023 | | |
County of St. Lucie, Power and Light Co. Project Rev., VRDO, 2.70%, 3/1/2023 (c) | | |
Escambia County Housing Finance Authority, Multi-County Program Series 2019B, Rev., GNMA COLL, 1.65%, 4/1/2023 | | |
Florida Department of Environmental Protection Series 2014A, Rev., 5.00%, 7/1/2024 | | |
Florida Department of Management Services | | |
Series 2015A, COP, 5.00%, 8/1/2024 | | |
Series 2017A, Rev., 5.00%, 9/1/2024 | | |
Series 2018A, COP, 5.00%, 11/1/2024 | | |
Series 2018A, COP, 5.00%, 11/1/2026 | | |
Florida Gulf Coast University Financing Corp., Housing Project Series A, Rev., VRDO, LOC : TD Bank NA, 2.79%, 3/9/2023 (c) | | |
Florida Higher Educational Facilities Financial Authority, Rollins College Project Series 2012B, Rev., 3.13%, 12/1/2025 | | |
FSU Financial Assistance, Inc. Series 2012C, Rev., 3.00%, 10/1/2025 | | |
Hillsborough County School Board Series 2017A, COP, 5.00%, 7/1/2023 | | |
| | |
|
|
Hillsborough County School Board, Master Lease Program Series 2015A, COP, 5.00%, 7/1/2023 | | |
Hollywood Community Redevelopment Agency Rev., 5.00%, 3/1/2023 | | |
Inland Protection Financing Corp. Series 2019A, Rev., 5.00%, 7/1/2023 | | |
Jacksonville Transportation Authority, Senior Lien Gas Tax Rev., 5.00%, 8/1/2024 | | |
JEA Electric System Series D, Rev., 5.00%, 4/1/2023 (b) | | |
JEA Water and Sewer System Series 2008A-1, Rev., VRDO, LIQ : US Bank NA, 2.62%, 3/1/2023 (c) | | |
Key West Utility Board, Electric System Rev., 5.00%, 10/1/2023 | | |
Lee County School Board (The) Series 2012B, COP, 5.00%, 8/1/2023 | | |
Lee Memorial Health System | | |
Series 2019A-1, Rev., 5.00%, 4/1/2023 | | |
Series 2019A-1, Rev., 5.00%, 4/1/2024 | | |
Marion County School Board Series 2015B, COP, 5.00%, 6/1/2023 | | |
Miami-Dade County Expressway Authority, Toll System Series 2014B, Rev., 5.00%, 7/1/2023 | | |
Miami-Dade County Health Facilities Authority, Miami Children's Hospital Rev., 5.00%, 8/1/2023 (b) | | |
Miami-Dade County Health Facilities Authority, Niklaus Children's Hospital | | |
| | |
Series 2021A, Rev., 5.00%, 8/1/2023 | | |
Miami-Dade County Housing Finance Authority, Multi-Family Housing, Platform 3750 II LLC Rev., 0.25%, 8/1/2023 (c) | | |
Orange County Health Facilities Authority, Orlando Health Obligated Group Series 2016A, Rev., 5.00%, 10/1/2023 | | |
Orange County School Board Series 2015D, COP, 5.00%, 8/1/2024 | | |
Orlando Utilities Commission, Utility System | | |
Series 2012A, Rev., 5.00%, 10/1/2023 | | |
Series 2016A, Rev., 5.00%, 10/1/2023 | | |
Series 2018A, Rev., 5.00%, 10/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Series 2013A, Rev., 5.00%, 10/1/2024 | | |
Orlando-Orange County Expressway Authority Series 2013B, Rev., 5.00%, 7/1/2023 | | |
Palm Beach County Health Facilities Authority, Baptist Health South Florida Obligated Group Rev., 5.00%, 8/15/2024 | | |
Palm Beach County School District | | |
Series 2017B, COP, 5.00%, 8/1/2023 | | |
Series 2018B, COP, 5.00%, 8/1/2023 | | |
Series 2017B, COP, 5.00%, 8/1/2025 | | |
Pasco County School Board Series 2015A, COP, 5.00%, 8/1/2023 | | |
Pasco County School Board, Sales Tax Rev., 5.00%, 10/1/2023 | | |
Polk County School District, Sales Tax | | |
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| | |
Reedy Creek Improvement District | | |
Series 2017A, GO, 5.00%, 6/1/2023 | | |
Series AW, GO, 5.25%, 6/1/2023 (b) | | |
Reedy Creek Improvement District Utility Series 2013-1, Rev., 5.00%, 10/1/2023 | | |
Reedy Creek Improvement District, Ad Valorem Tax Series A, GO, 5.00%, 6/1/2023 (b) | | |
Sarasota County Public Hospital District, Sarasota Memorial Hospital Series 1998B, Rev., NATL - RE, 5.25%, 7/1/2024 | | |
School Board of Miami-Dade County (The) | | |
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Series 2014D, COP, 5.00%, 11/1/2024 | | |
Series 2015D, COP, 5.00%, 2/1/2025 | | |
Series 2014D, COP, 5.00%, 11/1/2025 | | |
Series 2014D, COP, 5.00%, 11/1/2026 | | |
Series 2015A, COP, AGM, 5.00%, 5/1/2027 | | |
School District of Broward County | | |
Series 2015A, COP, 5.00%, 7/1/2024 | | |
Series 2015B, COP, 5.00%, 7/1/2024 | | |
Series 2015B, COP, 5.00%, 7/1/2025 | | |
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Seacoast Utility Authority, Water and Sewer Utility System Series B, Rev., 5.00%, 3/1/2023 | | |
South Broward Hospital District, Memorial Healthcare System Rev., 4.00%, 5/1/2026 | | |
St. Johns County Industrial Development Authority, Vicar's Landing Project | | |
Series 2021A, Rev., 4.00%, 12/15/2023 | | |
Series 2021A, Rev., 4.00%, 12/15/2024 | | |
St. Johns County School Board Series 2020A, COP, 5.00%, 7/1/2023 | | |
St. Johns County School Board, Sales Tax Rev., 5.00%, 10/1/2024 | | |
St. Lucie County School Board Series 2013A, COP, 5.00%, 7/1/2023 | | |
State of Florida Board of Education, Public Education Capital Outlay | | |
Series 2013C, GO, 5.00%, 6/1/2023 (b) | | |
Series 2014A, GO, 5.00%, 6/1/2023 | | |
Series 2019A, GO, 5.00%, 6/1/2023 | | |
Series 2015A, GO, 5.00%, 6/1/2026 | | |
State of Florida Department of Transportation Rev., 5.00%, 7/1/2024 | | |
State of Florida Department of Transportation Turnpike System | | |
Series 2013A, Rev., 5.00%, 7/1/2023 | | |
Series 2016A, Rev., 5.00%, 7/1/2023 | | |
Series 2016C, Rev., 5.00%, 7/1/2023 | | |
Series 2013A, Rev., 5.00%, 7/1/2025 | | |
Series 2016B, Rev., 2.50%, 7/1/2026 | | |
State of Florida, State Board of Education, Lottery Series 2014A, Rev., 3.00%, 7/1/2025 | | |
Sunshine State Governmental Financing Commission Series 2010A-1, Rev., 5.00%, 9/1/2023 (b) | | |
Sunshine State Governmental Financing Commission, Miami Dade County Program | | |
Series 2011B-1, Rev., 3.75%, 9/1/2023 (b) | | |
Series 2011B-1, Rev., 4.00%, 9/1/2023 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Series 2010A-1, Rev., 4.13%, 9/1/2023 (b) | | |
Series 2011B-1, Rev., 5.00%, 9/1/2023 (b) | | |
Series 2011B-1, Rev., 5.50%, 9/1/2023 (b) | | |
Series 2011C-1, Rev., 5.50%, 9/1/2023 (b) | | |
Tampa Bay Water, Water Supply Rev., NATL - RE, 5.50%, 10/1/2023 | | |
USF Financing Corp., Master Lease Program Series 2012A, COP, 5.00%, 7/1/2023 | | |
Waterset North Community Development District, Senior Lien Series A-1, 3.00%, 5/1/2023 | | |
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|
Atlanta and Fulton County Recreation Authority, Park Improvement Series A, Rev., 5.00%, 12/1/2023 | | |
Atlanta Urban Residential Finance Authority, London Townhomes Rev., VRDO, 0.44%, 3/1/2023 (c) | | |
Braselton Urban Redevelopment Agency, Municipal Facilities Project Rev., GTD, 4.00%, 7/1/2024 | | |
Bulloch County Board of Education, Sales Tax Series 2018, GO, 3.25%, 5/1/2023 | | |
Carroll City-County Hospital Authority, Tanner Medical Center Project Series 2016B, Rev., GTD, 5.00%, 7/1/2023 | | |
Carrollton Independent School System GO, 5.00%, 4/1/2023 | | |
Cherokee County Board of Education, School System Series B, GO, 5.00%, 8/1/2023 | | |
City of Atlanta Airport Passenger Facility Charge, Sub Lien | | |
Series 2014A, Rev., AMT, 5.00%, 1/1/2024 | | |
Series 2014A, Rev., AMT, 5.00%, 1/1/2025 | | |
Series 2014A, Rev., AMT, 5.00%, 1/1/2026 | | |
City of Atlanta, Public Improvement GO, 4.75%, 12/1/2024 (b) | | |
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City of Atlanta, Water and Wastewater | | |
Series 2013B, Rev., 5.25%, 11/1/2023 (b) | | |
| | |
City of Columbus, Water and Sewerage | | |
Series 2012A, Rev., 3.00%, 5/1/2023 | | |
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Series 2013A, Rev., 5.00%, 5/1/2023 (b) | | |
Cobb County Kennestone Hospital Authority Rev., 5.00%, 4/1/2024 | | |
Cobb-Marietta Coliseum and Exhibit Hall Authority, Performing Arts Center Project Rev., GTD, 4.00%, 1/1/2024 | | |
Columbus Medical Center Hospital Authority, Piedmont Healthcare Inc., Project Series 2019A, Rev., 5.00%, 7/1/2026 (c) | | |
County of Clayton, Water Authority Rev., 5.00%, 5/1/2023 | | |
County of DeKalb, Special Transportation, Parks and Greenspace and Libraries Tax GO, 5.00%, 12/1/2025 | | |
County of DeKalb, Water and Sewerage Rev., 5.00%, 10/1/2023 | | |
County of Henry, Sales Tax GO, 5.00%, 5/1/2023 | | |
DeKalb Newton and Gwinnett Counties Joint Development Authority, GPC Real Estate Student Support I, LLC Project Rev., 5.00%, 6/1/2023 | | |
Development Authority for Fulton County, Georgia Tech Facilities | | |
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Series 2014A, Rev., 5.00%, 5/1/2023 | | |
Gainesville and Hall County Development Authority, Hall County Facilities Project Rev., 5.00%, 5/1/2024 | | |
Gainesville and Hall County Hospital Authority (Northeast Georgia Health System, Inc.) Series 2020A, Rev., 5.00%, 2/15/2024 | | |
Main Street Natural Gas, Inc., Gas Supply | | |
Subseries 2018E, Rev., LIQ : Royal Bank of Canada, (SIFMA Municipal Swap Index Yield + 0.57%), 3.37%, 3/9/2023 (d) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Series 2018B, Rev., (ICE LIBOR USD 1 Month + 0.75%), 3.87%, 4/3/2023 (d) | | |
Series 2019B, Rev., 4.00%, 6/1/2023 | | |
Subseries C, Rev., LIQ : Royal Bank of Canada, 4.00%, 12/1/2023 | | |
Metropolitan Atlanta Rapid Transit Authority, Sales Tax Series 2007A, Rev., NATL - RE, 5.25%, 7/1/2023 | | |
Paulding County School District GO, 5.00%, 2/1/2025 (b) | | |
Private Colleges and Universities Authority, the Savannah College of Art and Design Project Rev., 5.00%, 4/1/2023 | | |
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Series 2018A, GO, 5.00%, 7/1/2023 | | |
Series 2013A, GO, 5.00%, 1/1/2025 | | |
Whitfield County School District GO, 5.00%, 4/1/2023 | | |
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|
City and County Honolulu, Wastewater System | | |
Series B, Rev., 5.00%, 7/1/2023 | | |
Series B, Rev., 5.00%, 7/1/2024 | | |
City and County of Honolulu | | |
Series C, GO, 4.00%, 10/1/2023 | | |
Series C, GO, 5.00%, 10/1/2023 | | |
Series C, GO, 5.00%, 10/1/2024 | | |
Series 2012C, GO, 3.00%, 11/1/2025 | | |
County of Hawaii Series 2013B, GO, 3.00%, 9/1/2023 | | |
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Series FK, GO, 4.00%, 5/1/2023 | | |
Series FK, GO, 5.00%, 5/1/2023 | | |
Series EL, GO, 3.00%, 8/1/2023 | | |
Series FG, GO, 4.00%, 10/1/2023 | | |
Series FE, GO, 5.00%, 10/1/2023 | | |
Series FG, GO, 5.00%, 10/1/2024 | | |
Series FH, GO, 5.00%, 10/1/2024 | | |
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|
Boise State University Series 2015A, Rev., 5.00%, 4/1/2023 | | |
Canyon County School District No. 134 Middleton GO, 5.00%, 9/15/2023 | | |
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|
Idaho Housing and Finance Association, Federal Highway Trust | | |
Series A, Rev., 5.00%, 7/15/2025 | | |
Series A, Rev., 5.00%, 7/15/2026 | | |
Idaho Housing and Finance Association, Single Family Mortgage Series 2009A, Class I, Rev., VRDO, 2.97%, 3/9/2023 (c) | | |
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|
Chicago Board of Education, Capital Appreciation School Reform Series 1999A, GO, NATL - RE, Zero Coupon, 12/1/2023 | | |
Chicago Board of Education, Unlimited Tax Series 2018A, GO, 5.00%, 12/1/2024 | | |
Chicago Midway International Airport, Second Lien | | |
Series 2013B, Rev., 5.00%, 1/1/2025 | | |
Series 2013B, Rev., 5.00%, 1/1/2026 | | |
Chicago O'Hare International Airport, General Airport, Senior Lien Series 2020B, Rev., 5.00%, 1/1/2026 | | |
Chicago O'Hare International Airport, Senior Lien Series E, Rev., 5.00%, 1/1/2026 | | |
Chicago Park District Series 2015A, GO, 5.00%, 1/1/2024 (b) | | |
Chicago Transit Authority Capital Grant Receipts Rev., 5.00%, 6/1/2023 | | |
City of Chicago, Second Lien Waterworks Project Series 2012, Rev., 4.00%, 11/1/2023 | | |
City of Chicago, Waterworks, Second Lien Rev., 5.00%, 11/1/2024 | | |
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City of Rochelle GO, AGM, 3.00%, 5/1/2023 | | |
Cook County High School District No. 205, Thornton Township, Limited Tax Series 2017C, GO, 5.00%, 12/1/2023 | | |
County of Cook Series 2021B, GO, 4.00%, 11/15/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
County of Cook, Sales Tax Series 2022A, Rev., 5.00%, 11/15/2023 | | |
Du Page and Will Counties Community School District No. 204 Indian Prairie GO, 4.00%, 12/30/2024 | | |
Illinois Finance Authority, Northshore University Health System Series 2020A, Rev., 5.00%, 8/15/2023 | | |
Illinois Finance Authority, Northwestern Memorial Healthcare Series 2021B, Rev., VRDO, LIQ : Royal Bank of Canada, 2.58%, 3/1/2023 (c) | | |
Illinois Finance Authority, OSF Healthcare System Series 2015A, Rev., 5.00%, 11/15/2024 | | |
Illinois Finance Authority, Presbyterian Homes Obligated Group Series 2021B, Rev., (SIFMA Municipal Swap Index Yield + 0.70%), 3.50%, 3/9/2023 (d) | | |
Illinois Finance Authority, Regency Park at Lincolnwood Series 1991A, Rev., Zero Coupon, 7/15/2023 (b) | | |
Illinois Finance Authority, Riverside Health System | | |
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Illinois Finance Authority, Rush University Medical Center Obligated Group Series 2015A, Rev., 5.00%, 11/15/2025 | | |
Illinois Finance Authority, Social Bonds-Learn Chapter School Project Rev., 4.00%, 11/1/2023 | | |
Illinois Finance Authority, Southern Illinois Healthcare Enterprises, Inc. | | |
Series 2017-C, Rev., 5.00%, 3/1/2023 | | |
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Illinois Finance Authority, Swedish Covenant Hospital Series 2016A, Rev., 5.00%, 8/15/2026 (b) | | |
Illinois Finance Authority, The University Medical Center Series 2015A, Rev., 5.00%, 11/15/2023 | | |
Illinois Finance Authority, The University of Chicago Series 2013A, Rev., 4.00%, 4/1/2023 (b) | | |
Illinois Finance Authority, The University of Chicago Medical Center Series 2016A, Rev., 5.00%, 8/15/2024 | | |
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|
Illinois Finance Authority, Unitypoint Health Series 2016D, Rev., 5.00%, 2/15/2024 | | |
Illinois Municipal Electric Agency, Power Supply System Series 2015A, Rev., 5.00%, 2/1/2024 | | |
Illinois Sports Facilities Authority (The), State Tax Rev., 5.00%, 6/15/2023 | | |
Illinois State Toll Highway Authority Series 2013A, Rev., 5.00%, 1/1/2027 | | |
Kankakee and Will Counties Community Unit School District No. 5, Capital Appreciation GO, AGM, Zero Coupon, 5/1/2023 | | |
Lake County Township High School District No. 121 Warren Series 2016A, GO, 3.00%, 1/1/2024 (b) | | |
McHenry County Conservation District GO, 5.00%, 2/1/2024 | | |
McLean and Woodford Counties Community Unit School District No. 5 Normal Series 2017A, GO, 4.00%, 12/1/2023 | | |
Railsplitter Tobacco Settlement Authority | | |
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| | |
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Regional Transportation Authority | | |
Series 2003B, Rev., NATL - RE, 5.50%, 6/1/2023 | | |
Series 2003A, Rev., NATL - RE, 5.50%, 7/1/2023 | | |
Series 2017A, Rev., 5.00%, 7/1/2024 | | |
Rock Island County Community Unit School District No. 40 Moline, Alternative Revenue Source GO, 3.00%, 2/1/2024 | | |
South Suburban College Community School District No. 510, Limited Tax GO, AGC, Zero Coupon, 12/1/2023 | | |
Southwestern Illinois Development Authority, Flood Prevention District Council Project Rev., 4.00%, 4/15/2023 | | |
Southwestern Illinois Development Authority, Memorial Group, Inc. Rev., 7.13%, 11/1/2023 (b) | | |
| | |
Series 2021-C, GO, 4.00%, 3/1/2023 | | |
Series 2021A, GO, 5.00%, 3/1/2023 | | |
Series 2021B, GO, 5.00%, 3/1/2023 | | |
Series 2022A, GO, 5.00%, 3/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Series 2022B, GO, 5.00%, 3/1/2023 | | |
Series 2013A, GO, 5.00%, 4/1/2023 | | |
| | |
| | |
Series 2018B, GO, 5.00%, 10/1/2023 | | |
Series D, GO, 5.00%, 11/1/2023 | | |
Series 2021C, GO, 4.00%, 3/1/2024 | | |
Series 2022A, GO, 5.00%, 3/1/2024 | | |
Series 2022B, GO, 5.00%, 3/1/2024 | | |
| | |
Series 2022B, GO, 5.00%, 3/1/2025 | | |
| | |
| | |
Series 2020B, GO, 5.00%, 10/1/2025 | | |
Series 2017D, GO, 5.00%, 11/1/2025 | | |
Series 2017A, GO, 5.00%, 12/1/2025 | | |
| | |
Series 2021A, GO, 5.00%, 3/1/2026 | | |
| | |
Series 2020-B, GO, 5.00%, 10/1/2026 | | |
Series B, GO, 5.00%, 10/1/2026 | | |
Series 2017D, GO, 5.00%, 11/1/2026 | | |
Series A, GO, 5.00%, 3/1/2027 | | |
Series 2020B, GO, 5.00%, 10/1/2028 | | |
Series 2017D, GO, 5.00%, 11/1/2028 | | |
State of Illinois, Sales Tax | | |
Series 2016D, Rev., 5.00%, 6/15/2023 | | |
| | |
Series 2002-4, Rev., NATL - RE, 6.00%, 6/15/2024 | | |
State of Illinois, Sales Tax, Tax Exempt Series 2016A, Rev., 5.00%, 6/15/2024 | | |
Tender Option Bond Trust Receipts/ Certificates Series 2017-XF2500, Rev., VRDO, LIQ : Citibank NA, 2.85%, 3/9/2023 (c) (e) | | |
Town of Normal Series 2017A, GO, 4.00%, 6/1/2023 | | |
University of Illinois Series C, COP, 5.00%, 3/15/2023 | | |
University of Illinois, Auxiliary Facilities System | | |
Series 2013A, Rev., 5.00%, 4/1/2024 | | |
Series 2013-A, Rev., 5.00%, 4/1/2026 | | |
Village of Bolingbrook Series 2013A, GO, Zero Coupon, 7/1/2023 (b) | | |
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|
|
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| | |
| | |
Village of Rantoul GO, 4.00%, 1/1/2025 | | |
Village of Streamwood GO, 5.00%, 12/1/2023 | | |
Will County Community Unit School District No. 201-U Crete-Monee GO, AGM, Zero Coupon, 11/1/2023 | | |
Will County School District No. 86 Joliet Series 2015C, GO, AGM - CR, 5.00%, 3/1/2024 | | |
Will Grundy Etc Counties Community College District No. 525 Series 2013B, GO, 5.25%, 12/1/2023 (b) | | |
| | |
|
Anderson School Building Corp., First Mortgage Rev., 5.00%, 7/20/2023 | | |
Avon Community School Building Corp., Ad Valorem Property Tax First Mortgage | | |
| | |
| | |
Ball State University, Housing and Dining System Rev., 5.00%, 7/1/2024 | | |
Brownsburg 1999 School Building Corp., Ad Valorem Property Tax First Mortgage Series 2015B, Rev., 5.00%, 7/15/2024 | | |
Carmel Local Public Improvement Bond Bank Series 2021A, Rev., 4.00%, 7/15/2025 | | |
Carmel Redevelopment Authority, Option Income Tax Lease Rental | | |
Series 2014B, Rev., 5.00%, 1/1/2024 | | |
Series 2014B, Rev., 5.00%, 7/1/2024 | | |
City of Indianapolis Department of Public Utilities Water System, First Lien Series 2018A, Rev., 5.00%, 10/1/2023 | | |
City of La Porte, Sewage Works Rev., 3.00%, 3/1/2023 | | |
Clark Pleasant Middle School Corp., Ad Valorem Property Tax First Mortgage Rev., 4.00%, 1/15/2025 | | |
Concord Community Schools Building Corp., First Mortgage Rev., 5.00%, 7/15/2023 | | |
County of Johnson, Local Income Tax Series 2020A, Rev., 4.00%, 7/15/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
East Allen Multi School Building Corp., Indiana Ad Valorem Property Tax, First Mortgage | | |
| | |
| | |
Fishers Industrial Redevelopment District, Income Tax | | |
| | |
| | |
Fort Wayne Redevelopment Authority, Lease Rental Series 2014A, Rev., 3.00%, 8/1/2024 | | |
GCS School Building Corp. One, Unlimited Ad Valorem Property Tax First Mortgage Rev., 5.00%, 1/15/2026 | | |
Greenfield Middle School Building Corp., Ad Valorem Property Tax First Mortgage Rev., 5.00%, 7/15/2023 | | |
Hamilton Southeastern Consolidated School Building Corp., Ad Valorem Property Tax First Mortgage Rev., 4.00%, 1/15/2024 | | |
Indiana Bond Bank, Special Program, Columbus Learning Center Project Series 2012C, Rev., 5.00%, 8/1/2023 | | |
Indiana Finance Authority Series 2016C, Rev., 5.00%, 12/1/2024 | | |
Indiana Finance Authority, Community Foundation of Northwest Indiana Obligated Group Rev., 5.00%, 3/1/2023 | | |
Indiana Finance Authority, Deaconess Health System Obligated Group | | |
Series 2013A, Rev., 5.00%, 3/1/2023 | | |
Series 2013A, Rev., 5.00%, 3/1/2023 (b) | | |
Indiana Finance Authority, First Lien Wastewater, CWA Authority Project Series 2021-1, Rev., 5.00%, 10/1/2023 | | |
Indiana Finance Authority, Franciscan Alliance, Inc., Obligated Group Series 2016B, Rev., 5.00%, 11/1/2024 | | |
Indiana Finance Authority, Goshen Health Series B, Rev., 2.10%, 11/1/2026 (c) | | |
Indiana Finance Authority, Indiana University Health Obligated Group | | |
| | |
Series B, Rev., 2.25%, 7/1/2025 (c) | | |
| | |
|
|
Indiana Finance Authority, State Revolving Fund Program Series 2012C, Rev., 5.00%, 2/1/2025 | | |
Indiana Health Facility Financing Authority, Ascension Health Credit Group Rev., 4.00%, 10/1/2025 | | |
Indiana University Series 2015A, Rev., 5.00%, 6/1/2023 | | |
Indiana University, Student Fee Series W-2, Rev., 5.00%, 8/1/2023 | | |
Indianapolis Local Public Improvement Bond Bank, Stormwater Project Series 2013D, Rev., 3.25%, 1/1/2025 | | |
Ivy Tech Community College of Indiana Series W, Rev., 5.00%, 7/1/2024 | | |
Ivy Tech Community College of Indiana, Student Fee | | |
Series R-1, Rev., 5.00%, 7/1/2023 | | |
Series W, Rev., 5.00%, 7/1/2025 | | |
Jackson County Building Corp. | | |
| | |
| | |
Merrillville Community School Corp. | | |
| | |
| | |
Merrillville Multi School Building Corp., Ad Valorem Property Tax, First Mortgage Rev., 5.00%, 7/15/2023 | | |
Michigan City School Building Corp., Ad Valorem Property Tax First Mortgage Series 2016B, Rev., 4.00%, 7/15/2023 | | |
Munster School Building Corp., Ad Valorem Tax First Mortgage Rev., 4.00%, 7/15/2023 | | |
New Prairie United School District Building Corp., First Mortgage Rev., 4.00%, 1/15/2025 | | |
North Adams Community Schools Renovation Building Corp., First Mortgage, Ad Valorem Property Tax Rev., 5.00%, 7/15/2023 | | |
| | |
Series 2022-B, GO, 4.00%, 7/15/2023 | | |
Series 2022-C, GO, 4.00%, 7/15/2023 | | |
Series 2022-A, GO, 4.00%, 1/15/2024 | | |
Series 2022-B, GO, 4.00%, 1/15/2024 | | |
Series 2022-C, GO, 4.00%, 1/15/2024 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Pike Township Multi-School Building Corp., First Mortgage Rev., 5.00%, 7/15/2024 | | |
Plainfield High School Building Corp., Ad Valorem Property Tax, First Mortgage Series 2019A, Rev., 5.00%, 7/15/2023 | | |
Purdue University, Student Fee | | |
Series 2016CC, Rev., 5.00%, 7/1/2023 | | |
Series EE, Rev., 5.00%, 7/1/2023 | | |
South Gibson School Building Corp., First Mortgage Rev., 4.00%, 1/10/2025 | | |
Southmont School Building Corp., Ad Valorem Property Tax, First Mortgage Rev., 5.00%, 1/15/2025 | | |
Twin Lakes Regional Sewer District Rev., AGM, 3.00%, 7/1/2023 (b) | | |
Twin Lakes School Building Corp., First Mortgage Rev., 4.00%, 7/15/2024 | | |
West Lafayette School Building Corp., Ad Valorem Property Tax, First Mortgage Rev., 5.00%, 7/15/2023 | | |
Whitestown Redevelopment Authority Rev., 3.00%, 1/15/2024 | | |
Winfield Building Corp., Indiana Lease Rental, Sewage Works Treatment Plant Project | | |
| | |
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Zionsville Community Schools Building Corp., First Mortgage, Capital Appreciation Series 2003Z, Rev., NATL - RE, Zero Coupon, 1/15/2025 | | |
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|
Ames Community School District GO, 5.00%, 6/1/2023 | | |
Ankeny Community School District Series 2015A, GO, 5.00%, 6/1/2023 | | |
City of Bettendorf Series 2013A, GO, 4.00%, 6/1/2023 | | |
City of Cedar Rapids Series 2018D, Rev., 5.00%, 6/1/2023 | | |
City of Des Moines Series 2016B, GO, 4.00%, 6/1/2023 | | |
| | |
|
|
County of Polk Series 2017C, GO, 5.00%, 6/1/2023 | | |
County of Scott, Solid Waste Disposal Series 2015A, GO, 4.00%, 6/1/2023 | | |
Des Moines Area Community College, Plant Fund Capital Loan 4.00%, 6/1/2023 | | |
GMG Community School District GO, 4.00%, 6/1/2023 | | |
Iowa Finance Authority, Health System Rev., (SIFMA Municipal Swap Index Yield + 0.50%), 3.38%, 3/9/2023 (d) (e) | | |
Janesville Consolidated School District GO, 3.00%, 6/1/2023 | | |
Linn-Mar Community School District GO, 5.00%, 5/1/2023 | | |
North Polk Community School District Series 2017A, GO, 3.00%, 6/1/2023 | | |
State of Iowa Board of Regents, University of Iowa, Hospitals and Clinics Series 2019SUI, Rev., 5.00%, 9/1/2025 | | |
State of Iowa, Special Obligation Rev., 5.00%, 6/15/2023 | | |
University of Iowa (The), Recreational Facilities Series 2017B, Rev., 4.00%, 7/1/2023 | | |
| | |
|
Blue Valley Recreation Commission Series B, COP, AGM, 5.00%, 10/1/2023 | | |
Butler County Unified School District No. 375 Circle, School Building Series 2013-1, GO, AGM, 3.38%, 9/1/2023 (b) | | |
City of Manhattan, Temporary Notes Series 2020-03, GO, 0.75%, 6/15/2024 | | |
County of Anderson Series 2013A, GO, AGM, 4.75%, 8/1/2023 (b) | | |
County of Shawnee COP, 3.00%, 9/1/2024 | | |
Johnson County Unified School District No. 233 Olathe Series 2016C, GO, 5.00%, 9/1/2023 | | |
Kansas Development Finance Authority Series 2015A, Rev., 5.00%, 5/1/2023 (b) | | |
Kansas Development Finance Authority, National Bio and Agro-Defense Facility Series 2015G, Rev., 5.00%, 4/1/2023 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Kansas Development Finance Authority, University Project Series 2014C, Rev., 5.00%, 5/1/2023 | | |
Neosho County Unified School District No. 413 GO, AGM, 4.00%, 9/1/2023 (b) | | |
Sedgwick County Unified School District No. 266 Maize Series 2015A, GO, 4.00%, 9/1/2023 (b) | | |
Seward County Unified School District No. 480 Liberal Series 2017-B, GO, 5.00%, 9/1/2023 | | |
State of Kansas Department of Transportation Series 2015A, Rev., 5.00%, 9/1/2023 | | |
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|
County of Daviess Series 2012A, GO, 2.00%, 9/1/2023 | | |
Eastern Kentucky University, General Receipts Series 2012A, Rev., 5.00%, 4/1/2023 | | |
Fayette County School District Finance Corp. Series 2013A, Rev., 5.00%, 10/1/2023 (b) | | |
Kenton County Public Properties Corp., Court Facilities Project Rev., 3.00%, 3/1/2024 | | |
Kentucky Asset Liability Commission, Federal Highway Trust Fund Series 2013A, Rev., 5.25%, 9/1/2025 | | |
Kentucky Economic Development Finance Authority Series 2011-B, Rev., (SIFMA Municipal Swap Index Yield + 1.40%), 4.20%, 3/9/2023 (d) | | |
Kentucky Infrastructure Authority, Wastewater and Drinking Water Revolving Fund Series 2018A, Rev., 3.00%, 2/1/2024 | | |
Kentucky Municipal Power Agency Series A, Rev., NATL - RE, 5.00%, 9/1/2024 | | |
Kentucky Municipal Power Agency, Prairie State Project Series 2015A, Rev., NATL - RE, 5.00%, 9/1/2023 | | |
Kentucky Public Energy Authority, Gas Supply | | |
Series A-1, Rev., 4.00%, 8/1/2023 | | |
Series A-1, Rev., 4.00%, 2/1/2024 | | |
Series 2018A, Rev., 4.00%, 4/1/2024 (c) | | |
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|
|
Series 2020A, Rev., 4.00%, 6/1/2026 (c) | | |
Kentucky Public Transportation Infrastructure Authority, First Tier Downtown Crossing Series 2013A, Rev., 5.75%, 7/1/2023 (b) | | |
Kentucky State Property and Building Commission, Project No. 106 Series 2013A, Rev., 5.00%, 10/1/2023 (b) | | |
Kentucky State Property and Building Commission, Project No. 115 Rev., 5.00%, 4/1/2023 | | |
Kentucky State Property and Building Commission, Project No. 119 Rev., 5.00%, 5/1/2023 | | |
Kentucky Turnpike Authority, Revitalization Projects | | |
Series B, Rev., 5.00%, 7/1/2023 | | |
Series 2014A, Rev., 5.00%, 7/1/2024 | | |
Series B, Rev., 5.00%, 7/1/2025 | | |
Lexington-Fayette Urban County Government, Various Purpose Series 2012B, GO, 3.00%, 7/1/2024 | | |
Louisville and Jefferson County Metropolitan Government, Norton Healthcare, Inc. | | |
Series 2016A, Rev., 5.00%, 10/1/2023 | | |
Series 2020B, Rev., 5.00%, 10/1/2023 (c) | | |
Louisville and Jefferson County Metropolitan Sewer District, Sewer and Drainage System | | |
Series 2013C, Rev., 3.25%, 5/15/2023 (b) | | |
Series 2016C, Rev., 5.00%, 5/15/2023 | | |
Louisville Water Co., Metro Government Waterworks Board Rev., 5.00%, 11/15/2023 | | |
Scott County School District Finance Corp. Rev., 5.00%, 6/1/2025 | | |
University of Kentucky, General Receipts | | |
Series 2015A, Rev., 5.00%, 4/1/2023 | | |
Series 2015B, Rev., 5.00%, 10/1/2024 | | |
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|
City of New Orleans, Sewerage Service Rev., 5.00%, 6/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Louisiana Energy and Power Authority, Power Project Series 2013A, Rev., AGM, 4.50%, 6/1/2023 (b) | | |
Louisiana Local Government Environmental Facilities and Community Development Authority, City of Lake Charles Public Improvement Project Rev., 5.00%, 5/1/2023 | | |
Louisiana Local Government Environmental Facilities and Community Development Authority, Jefferson Parish Projects Rev., 5.00%, 4/1/2023 | | |
Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project Rev., 5.00%, 5/15/2023 | | |
Louisiana Stadium and Exposition District | | |
Rev., BAN, 4.00%, 7/3/2023 | | |
Rev., BAN, 5.00%, 7/3/2023 | | |
Parish of St. John the Baptist, Marathon Oil Corp., Project Series 2017A-1, Rev., 2.00%, 4/1/2023 (c) | | |
St. Tammany Parish Sales Tax District No. 3, Sales Tax Rev., 5.00%, 6/1/2023 | | |
| | |
Series 2014-C, GO, 5.00%, 8/1/2023 | | |
| | |
State of Louisiana Gasoline and Fuels Tax, Second Lien | | |
Series 2022A, Rev., (SOFR + 0.50%), 3.68%, 3/4/2023 (d) | | |
Series 2017A, Rev., 0.60%, 4/3/2023 (c) | | |
Series 2017D, Rev., 0.60%, 5/1/2023 (c) | | |
| | |
|
City of Lewiston, Public Improvement GO, 4.00%, 4/15/2023 | | |
County of Cumberland GO, 2.00%, 4/1/2023 | | |
Maine Governmental Facilities Authority, Lease Rental Series 2015B, Rev., 2.00%, 10/1/2023 | | |
Maine Health and Higher Educational Facilities Authority | | |
Series 2014A, Rev., 5.00%, 7/1/2023 | | |
Series 2017B, Rev., 5.00%, 7/1/2023 | | |
Series 2019A, Rev., 5.00%, 7/1/2023 | | |
| | |
|
|
Series 2020A, Rev., 5.00%, 7/1/2023 (b) | | |
Series 2020A, Rev., 5.00%, 7/1/2023 | | |
Maine Municipal Bond Bank | | |
Series 2016C, Rev., 4.00%, 11/1/2023 | | |
Series 2018B, Rev., 5.00%, 11/1/2023 | | |
Series 2021A, Rev., 5.00%, 11/1/2023 | | |
Series 2014C, Rev., 5.00%, 11/1/2024 | | |
Maine School Administrative District No. 51 GO, 4.00%, 8/1/2025 | | |
Maine Turnpike Authority Rev., 5.00%, 7/1/2023 | | |
State of Maine Series 2017B, GO, 5.00%, 6/1/2023 | | |
Town of Cumberland GO, 5.00%, 5/1/2023 | | |
University of Maine System | | |
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|
City of Baltimore Series D, Rev., 5.00%, 7/1/2023 | | |
City of Baltimore, Wastewater Projects Series 2013C, Rev., 5.00%, 7/1/2023 | | |
County of Anne Arundel, Arundel Mills Project Rev., GTD, 5.00%, 7/1/2023 | | |
County of Anne Arundel, Consolidated General Improvement GO, 5.00%, 4/1/2023 | | |
County of Baltimore, Consolidated Public Improvement | | |
| | |
| | |
County of Charles, Consolidated Public Improvement GO, 5.00%, 7/15/2023 | | |
County of Montgomery, College Foundation, Inc. Series 2016A, COP, 5.00%, 11/1/2023 | | |
County of Montgomery, Consolidated Public Improvement Series 2015B, GO, 5.00%, 12/1/2023 | | |
County of Prince George's, Consolidated Public Improvement | | |
Series 2013A, GO, 3.00%, 3/1/2023 | | |
Series 2013B, GO, 3.00%, 3/1/2023 | | |
Series 2013A, GO, 3.00%, 3/1/2024 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
County of Washington, Consolidated Public Improvement GO, 4.00%, 7/1/2023 | | |
Maryland Community Development Administration, Housing and Community Development Series 2019A, Rev., 2.10%, 3/1/2024 | | |
Maryland Health & Higher Educational Facilities Authority | | |
Series 2013C, Rev., 5.00%, 5/15/2023 (b) | | |
Series 2020B-1, Rev., 5.00%, 7/1/2025 (c) | | |
Maryland Health and Higher Educational Facilities Authority, Lifebridge Health Issue Rev., 5.00%, 7/1/2025 | | |
State of Maryland Department of Transportation, Second Issue Rev., 5.00%, 6/1/2025 | | |
State of Maryland, Department of Transportation | | |
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State of Maryland, State and Local Facilities Loan of 2015 Series 2015A, GO, 4.00%, 3/1/2023 (b) | | |
University System of Maryland, Auxiliary Facility and Tuition Series 2017B, Rev., 5.00%, 4/1/2023 | | |
Washington Suburban Sanitary Commission Rev., 4.00%, 6/1/2023 (b) | | |
Washington Suburban Sanitary Commission, Consolidated Public Improvement Rev., GTD, 5.00%, 6/1/2023 (b) | | |
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Boston Water and Sewer Commission Series B, Rev., 5.00%, 11/1/2023 (b) | | |
Bristol-Plymouth Regional Vocational Technical School District GO, BAN, 4.50%, 2/28/2024 | | |
Brockton Area Transit Authority Rev., RAN, 3.75%, 7/28/2023 | | |
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Series 2013A, GO, 4.00%, 3/1/2023 (b) | | |
Series 2016A, GO, 5.00%, 3/1/2023 | | |
Series 2010B, GO, 3.00%, 4/1/2023 | | |
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|
Massachusetts — continued |
Series 2015A, GO, 5.00%, 4/1/2023 | | |
Series 2013B, GO, 4.00%, 1/1/2024 | | |
City of Northampton, Municipal Purpose Loan GO, 4.00%, 6/1/2023 | | |
City of Woburn, Municipal Purpose Loan GO, 2.63%, 11/15/2025 | | |
Commonwealth of Massachusetts | | |
Series 2016C, GO, 5.00%, 4/1/2023 | | |
Series 2019C, GO, 5.00%, 5/1/2023 | | |
Series C, GO, 5.00%, 10/1/2023 | | |
Series 2015A, GO, 5.00%, 5/1/2024 | | |
Commonwealth of Massachusetts Federal Highway | | |
Series 2014A, Rev., GAN, 5.00%, 6/15/2024 | | |
Series 2016A, Rev., GAN, 5.00%, 6/15/2024 | | |
Series 2017A, Rev., GAN, 5.00%, 6/15/2024 | | |
Commonwealth of Massachusetts Transportation Fund Series 2016A, Rev., 5.00%, 6/1/2023 | | |
Commonwealth of Massachusetts, Consolidated Loan of 2014 Series C, GO, 5.00%, 7/1/2023 | | |
Massachusetts Bay Transportation Authority, Sales Tax | | |
Series 2014A, Rev., 5.00%, 7/1/2023 | | |
Series 2003C, Rev., 5.25%, 7/1/2023 | | |
Massachusetts Development Finance Agency, Boston University Issue Series 2019DD-1, Rev., 5.00%, 4/1/2024 (c) | | |
Massachusetts Development Finance Agency, Caregroup Issue | | |
Series 2015H-1, Rev., 5.00%, 7/1/2023 | | |
Series 2015H-1, Rev., 5.00%, 7/1/2025 | | |
Massachusetts Development Finance Agency, North Hill Community Issue Series 2013A, Rev., 6.50%, 11/15/2023 (b) (e) | | |
Massachusetts Development Finance Agency, Partners Healthcare System Issue | | |
Series 2019T-1, Rev., (SIFMA Municipal Swap Index Yield + 0.60%), 3.40%, 3/9/2023 (d) (e) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
Massachusetts — continued |
Series 2017S-4, Rev., 5.00%, 1/25/2024 (c) | | |
Series 2016S-2, Rev., 5.00%, 1/30/2025 (c) | | |
Massachusetts Development Finance Agency, Salem Community Corp. | | |
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Massachusetts Development Finance Agency, Trustees of Boston University Series DD-2, Rev., 5.00%, 4/1/2024 (c) | | |
Massachusetts Development Finance Agency, Williams College Series 2013P, Rev., 5.00%, 7/1/2024 | | |
Massachusetts Housing Finance Agency | | |
Series 2020C-2, Rev., FHA, 0.50%, 6/1/2023 | | |
Series 2020A-3, Rev., FHA, 0.88%, 12/1/2023 | | |
Massachusetts Housing Finance Agency, Single Family Housing Series 220, Rev., GNMA / FNMA / FHLMC, 5.00%, 6/1/2023 | | |
Massachusetts School Building Authority, Dedicated Sales Tax | | |
Series 2013A, Rev., 3.00%, 5/15/2023 (b) | | |
Series 2013A, Rev., 5.00%, 5/15/2023 (b) | | |
Series 2018A, Rev., 5.00%, 2/15/2024 (b) | | |
Massachusetts State College Building Authority | | |
Series A, Rev., 4.00%, 5/1/2023 (b) | | |
Series A, Rev., 4.00%, 5/1/2023 | | |
Series 2011A, Rev., 5.00%, 5/1/2023 | | |
Series 2014A, Rev., 5.00%, 5/1/2023 (b) | | |
Massachusetts Water Resources Authority | | |
Series 2014-F, Rev., 5.00%, 8/1/2024 (b) | | |
Series 2014-F, Rev., 5.00%, 8/1/2024 | | |
Series F, Rev., 5.00%, 8/1/2024 (b) | | |
Pentucket Regional School District, Unlimited Tax GO, 5.00%, 6/1/2023 | | |
Pioneer Valley Transit Authority Rev., RAN, 4.00%, 7/14/2023 | | |
| | |
|
Massachusetts — continued |
Town of Brewster, Municipal Purpose Loan GO, 5.00%, 5/1/2023 | | |
Town of Brookline, Municipal Purpose Loan | | |
| | |
| | |
Town of Hamilton GO, BAN, 3.50%, 8/17/2023 | | |
Town of Hanover GO, 4.00%, 5/15/2023 | | |
Town of Marblehead GO, 4.00%, 8/15/2023 | | |
Town of Marshfield, Municipal Purpose Loan GO, 5.00%, 11/1/2024 | | |
Town of Medfield, Municipal Purpose Loan GO, 2.13%, 9/15/2023 | | |
Town of Middleton, Municipal Purpose Loan GO, 2.50%, 8/15/2025 | | |
Town of Millis GO, BAN, 3.50%, 5/24/2023 | | |
Town of Norwood GO, 5.00%, 6/15/2023 | | |
Town of Plainville GO, BAN, 3.50%, 6/28/2023 | | |
Town of Tewksbury, Municipal Purpose Loan GO, 4.00%, 1/15/2025 | | |
Town of West Newbury GO, BAN, 3.50%, 7/13/2023 | | |
Worcester Regional Transit Authority Rev., RAN, 3.25%, 6/23/2023 | | |
| | |
|
Adrian City School District, Unlimited Tax GO, Q-SBLF, 4.00%, 5/1/2023 | | |
Ann Arbor School District, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | | |
Birmingham City School District, Unlimited Tax GO, 4.00%, 5/1/2023 | | |
Bloomfield Hills School District, Unlimited Tax GO, 5.00%, 5/1/2023 | | |
Caledonia Community Schools, Unlimited Tax Series 2020I, GO, Q-SBLF, 4.00%, 5/1/2023 | | |
Charter Township of Canton, Limited Tax GO, 5.00%, 4/1/2023 | | |
Charter Township of Lyon Series 2006-A, GO, XLCA, 4.13%, 11/1/2023 | | |
| | |
GO, Q-SBLF, 3.50%, 5/1/2023 (b) | | |
GO, Q-SBLF, 3.63%, 5/1/2023 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
GO, Q-SBLF, 5.00%, 5/1/2023 (b) | | |
GO, Q-SBLF, 5.25%, 5/1/2023 (b) | | |
Chippewa Valley Schools, Unlimited Tax | | |
GO, Q-SBLF, 4.00%, 5/1/2023 | | |
Series 2016B, GO, Q-SBLF, 5.00%, 5/1/2023 | | |
City of Ann Arbor, Limited Tax GO, 3.00%, 10/1/2023 | | |
City of Auburn Hills, Limited tax GO, 3.00%, 6/1/2023 | | |
City of Battle Creek, Limited Tax GO, 5.00%, 5/1/2023 | | |
City of Grand Rapids, Capital Improvement, Limited Tax GO, 5.00%, 4/1/2024 | | |
City of Lathrup Village, Limited Tax GO, 5.00%, 10/1/2025 | | |
City of Marquette, Capital Improvement GO, 4.00%, 5/1/2023 | | |
City of Marquette, Transportation Fund, Limited Tax GO, 4.00%, 5/1/2023 | | |
City of South Haven, Limited Tax GO, 4.00%, 10/1/2023 | | |
City of Southfield, Water and Sewer Capital Improvement, Limited Tax GO, 3.00%, 5/1/2023 | | |
Clarkston Community Schools, Unlimited Tax Series 2016A, GO, Q-SBLF, 5.00%, 5/1/2023 | | |
Constantine Public Schools GO, Q-SBLF, 5.00%, 5/1/2023 | | |
County of Jackson, Transportation GO, 2.00%, 5/1/2024 | | |
County of Macomb, Limited Tax GO, 4.00%, 5/1/2023 | | |
Dansville Schools, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | | |
Dearborn School District, School Building and Site Series 2014A, GO, Q-SBLF, 4.00%, 11/1/2023 (b) | | |
East Lansing School District, Unlimited Tax Series 2020-II, GO, Q-SBLF, 4.00%, 5/1/2023 | | |
Farmington Public School District, School Building Site, Unlimited Tax GO, 4.00%, 5/1/2023 | | |
Forest Hills Public Schools, 2021 School Building and Site, Unlimited Tax GO, 4.00%, 5/1/2023 | | |
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|
|
Forest Hills Public Schools, Unlimited Tax GO, 5.00%, 5/1/2023 | | |
Fraser Public School District, School Building and Site, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | | |
Genesee Intermediate School District GO, 3.00%, 5/1/2023 | | |
Grand Valley State University | | |
Series 2014B, Rev., 5.00%, 12/1/2023 | | |
Series 2016A, Rev., 5.00%, 12/1/2024 | | |
Grandville Public Schools, School Building and Site Series 2013-I, GO, 4.75%, 5/1/2023 | | |
Great Lakes Water Authority, Water Supply System, Second Lien Series 2018A, Rev., 5.00%, 7/1/2023 | | |
Hanover Horton School District, Unlimited tax GO, AGM, 4.00%, 5/1/2023 | | |
Healthsource Saginaw, Inc., Unlimited Tax GO, 4.00%, 5/1/2023 | | |
Hudsonville Public Schools, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | | |
Ingham County Building Authority, Limited Tax Rev., 2.00%, 5/1/2023 | | |
Kalamazoo Hospital Finance Authority, Bronson Healthcare Group, Inc. Rev., 5.00%, 5/15/2024 (b) | | |
Kent Hospital Finance Authority, Mary Free Bed Rehabilitation Hospital | | |
Series 2021A, Rev., 5.00%, 4/1/2024 | | |
Series 2021A, Rev., 5.00%, 4/1/2025 | | |
Lake Michigan College District, Building and Site, Limited Tax | | |
| | |
| | |
Lake Orion Community School District GO, Q-SBLF, 5.00%, 5/1/2023 | | |
L'Anse Creuse Public Schools, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | | |
Lansing School District, Unlimited Tax GO, Q-SBLF, 4.00%, 5/1/2023 | | |
Linden Community School District, School Building and Site, Unlimited Tax Series 2021-I, GO, Q-SBLF, 4.00%, 5/1/2025 | | |
Livonia Municipal Building Authority, Limited Tax Rev., 4.00%, 5/1/2024 | | |
Livonia Public Schools GO, 5.00%, 5/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Macomb Interceptor Drain Drainage District, Limited Tax Series 2017A, GTD, 5.00%, 5/1/2023 | | |
Madison District Public Schools, School Building and Site | | |
GO, Q-SBLF, 4.00%, 5/1/2023 (b) | | |
GO, Q-SBLF, 4.25%, 5/1/2023 (b) | | |
Marquette Board of Light and Power Series 2016A, Rev., 5.00%, 7/1/2023 | | |
Michigan Finance Authority, Ascension Senior Credit Group Series 2016E-1, Rev., 4.00%, 8/15/2024 (c) | | |
Michigan Finance Authority, Beaumont Health Credit Group Series 2015A, Rev., 5.00%, 8/1/2024 (b) | | |
Michigan Finance Authority, Beaumont- Spectrum Consolidation Series 2022A, Rev., 5.00%, 4/15/2023 | | |
Michigan Finance Authority, Clean Water Revolving Fund | | |
Series 2016B, Rev., 5.00%, 10/1/2023 | | |
Series 2016B, Rev., 5.00%, 10/1/2024 | | |
Michigan Finance Authority, Henry Ford Health System Rev., 5.00%, 11/15/2023 | | |
Michigan Finance Authority, Trinity Health Credit Group | | |
Series 2019MI-1, Rev., 5.00%, 12/1/2023 | | |
Series 2017A, Rev., 5.00%, 12/1/2024 | | |
Series 2019MI-2, Rev., 5.00%, 2/1/2025 (c) | | |
Michigan State Building Authority, Facilities Program Series 2015I, Rev., 5.00%, 4/15/2023 | | |
Michigan State Building Authority, Multi Modal Program Rev., VRDO, 2.86%, 3/9/2023 (c) | | |
Michigan State Hospital Finance Authority, Ascension Health Credit Group Series F-5, Rev., 2.40%, 3/15/2023 (c) | | |
Michigan State Hospital Finance Authority, Trinity Health Credit Group Series 2008C, Rev., 5.00%, 12/1/2024 | | |
Michigan State Housing Development Authority, Single Family Mortgage Series 2020A, Rev., 0.80%, 6/1/2023 | | |
Michigan State University Series 2013A, Rev., 5.00%, 8/15/2023 | | |
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Montague Area Public Schools Series 2015B, GO, Q-SBLF, 4.00%, 5/1/2023 | | |
Mount Clemens Community School District, Unlimited Tax Series 2017A, GO, Q-SBLF, 5.00%, 5/1/2023 | | |
| | |
| | |
Series 2013-A, Rev., 5.00%, 3/1/2023 | | |
Plymouth-Canton Community School District, School Building and Site Series 2013A, GO, 4.00%, 5/1/2023 (b) | | |
Plymouth-Canton Community School District, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | | |
Port Huron Area School District, School Building and Site, Unlimited Tax GO, AGM, 4.00%, 5/1/2023 | | |
Richmond Community Schools, Unlimited Tax Series 2020I, GO, 4.00%, 5/1/2023 | | |
Rochester Community School District, School Building and Site, Unlimited Tax Series II, GO, 3.00%, 5/1/2023 | | |
Saginaw City School District, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2024 | | |
Saline Area Schools, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | | |
Schoolcraft Community College District, Limited Tax GO, 3.00%, 5/1/2024 | | |
Shepherd Public Schools, Unlimited Tax Series 2017A, GO, Q-SBLF, 3.00%, 5/1/2023 | | |
South Lake Schools, School Building and Site GO, Q-SBLF, 4.00%, 11/1/2024 | | |
Southfield Library Building Authority, Limited Tax Rev., 5.00%, 5/1/2023 | | |
Troy School District, School Building and Site GO, Q-SBLF, 5.00%, 5/1/2023 | | |
Troy School District, Unlimited Tax, School Building and Site GO, Q-SBLF, 5.00%, 11/1/2023 (b) | | |
Utica Community Schools, School Building and Site, Unlimited Tax GO, Q-SBLF, 4.00%, 5/1/2023 | | |
Vicksburg Community Schools, Unlimited Tax Series 2020-I, GO, Q-SBLF, 4.50%, 5/1/2023 | | |
Walled Lake Consolidated School District, School Building and Site GO, Q-SBLF, 5.00%, 11/1/2023 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Warren Woods Public Schools, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | | |
Waterford School District, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | | |
| | |
Series 2013A, Rev., 5.00%, 11/15/2024 | | |
Series 2019A, Rev., 5.00%, 11/15/2024 | | |
West Ottawa Public Schools, School Building and Site, Unlimited Tax GO, 4.00%, 5/1/2023 | | |
Western Michigan University Series 2015A, Rev., 5.00%, 11/15/2024 | | |
White Cloud Public Schools, Unlimited Tax GO, Q-SBLF, 4.00%, 5/1/2023 | | |
Ypsilanti Community Utilities Authority, Water Supply System No. 7, Charter Township Ypsilanti, Limited Tax Rev., 4.00%, 4/1/2023 | | |
Ypsilanti School District, Unlimited Tax Series 2016A, GO, Q-SBLF, 5.00%, 5/1/2023 | | |
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City of Minneapolis, Improvement and Various Purpose GO, 4.00%, 12/1/2023 | | |
City of New Hope, Hennepin County Series 2018A, GO, 4.00%, 2/1/2024 | | |
City of Rochester Series 2015B, GO, 5.00%, 12/1/2023 | | |
City of St. Cloud, Centracare Health System Series 2014B, Rev., 5.00%, 5/1/2023 | | |
City of St. Cloud, Infrastructure Management Fund Series 2013A, GO, 3.00%, 2/1/2025 | | |
City of St. Paul, Sales Tax Series 2019C, Rev., 3.00%, 11/1/2023 | | |
City of St. Paul, Street Improvement, Special Assessment Series 2018B, GO, 5.00%, 5/1/2023 | | |
City of West St. Paul Series 2017A, GO, 4.00%, 2/1/2025 | | |
County of Anoka, Capital Improvement Series 2020A, GO, 5.00%, 2/1/2024 | | |
County of Clay Series 2017A, GO, 5.00%, 2/1/2025 | | |
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County of Martin Series 2021A, GO, 3.00%, 12/15/2023 | | |
County of Mille Lacs, Drainage Series 2019B, GO, 3.00%, 2/1/2024 | | |
County of St. Louis, Capital Improvement | | |
Series 2015B, GO, 3.00%, 12/1/2023 | | |
Series 2016B, GO, 5.00%, 12/1/2023 | | |
Duluth Economic Development Authority, Benedictine Health System Series 2021A, Rev., 3.00%, 7/1/2023 | | |
Metropolitan Council, Minneapolis St. Paul Metropolitan Area Series 2017B, GO, 5.00%, 3/1/2023 | | |
Metropolitan Council, Minneapolis St. Paul Metropolitan Area, Wastewater Series 2016C, GO, 5.00%, 3/1/2023 | | |
Minneapolis-St. Paul Metropolitan Airports Commission Series 2014A, Rev., 5.00%, 1/1/2026 | | |
Minnesota Higher Education Facilities Authority, Carleton College Rev., 5.00%, 3/1/2023 | | |
Minnesota Municipal Gas Agency Series 2022B, Rev., LIQ : Royal Bank of Canada, (SOFR + 1.00%), 4.05%, 3/4/2023 (d) | | |
Minnesota Public Facilities Authority Series 2010A, Rev., 5.00%, 3/1/2023 | | |
Minnesota State Colleges and Universities Foundation Series 2019A, Rev., 5.00%, 10/1/2023 | | |
Minnetonka Independent School District No. 276 Series E, COP, 4.00%, 10/1/2023 | | |
Northern Municipal Power Agency Series 2013A, Rev., 5.00%, 1/1/2024 | | |
Rochester Independent School District No. 535 Series 2014A, COP, 3.00%, 2/1/2024 | | |
Rosemount-Apple Valley-Eagan Independent School District No. 196 Series 2016A, GO, 5.00%, 2/1/2025 | | |
Southern Minnesota Municipal Power Agency Series 1994A, Rev., NATL - RE, Zero Coupon, 1/1/2024 | | |
St. Cloud Independent School District No. 742 Series 2021A, COP, 3.00%, 2/1/2025 | | |
State of Minnesota, Tax-Exempt | | |
Series 2014A, Rev., 5.00%, 6/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Series A, Rev., 5.00%, 6/1/2026 | | |
State of Minnesota, Trunk Highway | | |
Series 2012B, GO, 2.00%, 8/1/2023 | | |
Series 2018B, GO, 5.00%, 8/1/2023 | | |
State of Minnesota, Various Purpose Series 2014A, GO, 5.00%, 8/1/2023 | | |
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|
City of Ridgeland GO, 4.00%, 8/1/2024 | | |
City of Starkville, Water and Sewer System Rev., 4.00%, 5/1/2023 | | |
County of DeSoto GO, 5.00%, 7/1/2023 | | |
County of Madison GO, 2.50%, 5/1/2023 | | |
Jackson State University Educational Building Corp. Series 2015A, Rev., 5.00%, 3/1/2023 | | |
Madison County School District GO, 5.00%, 3/1/2024 | | |
Mississippi Business Finance Corp., Gulf Opportunity Zone Industrial Development, Chevron USA, Inc., Project Series 2011G, Rev., VRDO, 2.55%, 3/1/2023 (c) | | |
Mississippi Business Finance Corp., Waste Management, Inc. Project Rev., 0.70%, 9/1/2026 (c) | | |
Mississippi Development Bank, Department of Corrections Walnut Grove Correctional Facility Refunding Bonds Project Rev., 5.00%, 8/1/2026 | | |
Mississippi Development Bank, Harrison County Series 2013A, Rev., 5.00%, 1/1/2026 | | |
Mississippi Development Bank, Hinds County Project Rev., 5.00%, 11/1/2023 | | |
Mississippi Development Bank, Hinds County School District Project Rev., 4.00%, 3/1/2023 | | |
Mississippi Development Bank, Jackson Public School District, Limited Tax Refunding Note Project Rev., 5.00%, 4/1/2023 | | |
Mississippi Development Bank, Madison County, Mississippi Highway Refunding Project Series 2013C, Rev., 5.00%, 1/1/2024 | | |
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Mississippi Development Bank, Rankin County School District Project | | |
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Rankin County School District, Limited Tax | | |
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State of Mississippi Series 2020B, GO, 5.00%, 9/1/2024 | | |
State of Mississippi, Tax-Exempt | | |
Series 2012H, GO, 4.00%, 12/1/2023 | | |
Series 2017A, GO, 5.00%, 10/1/2024 | | |
University of Mississippi Educational Building Corp., Campus Improvement Project Series 2015C, Rev., 5.00%, 11/1/2023 | | |
University of Mississippi Educational Building Corp., Facilities Refinancing Project Rev., 5.00%, 10/1/2024 | | |
University of Southern Mississippi (The), Educational Building Corp. Series 2015A, Rev., 5.00%, 3/1/2023 | | |
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Cape Girardeau School District No. 63 GO, 4.00%, 3/1/2025 | | |
City of Chesterfield COP, 5.00%, 12/1/2023 | | |
City of Excelsior Springs Series 2020B, COP, 4.00%, 3/1/2023 | | |
City of Kansas City Series 2019A, Rev., 5.00%, 12/1/2023 | | |
City of Kansas City, Special Obligation Series E, Rev., Zero Coupon, 2/1/2024 | | |
County of Clay Series 2018A, COP, 4.00%, 5/1/2024 (b) | | |
County of Dunklin Rev., 3.00%, 12/1/2026 | | |
County of Jackson, Special Obligation Rev., 4.00%, 12/1/2023 | | |
Hazelwood School District GO, 5.00%, 3/1/2023 | | |
Health and Educational Facilities Authority of the State of Missouri, BJC Health System | | |
Series C, Rev., VRDO, LIQ : BJC Health System, 3.40%, 3/7/2023 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Series 2021B, Rev., 4.00%, 5/1/2026 (c) | | |
Health and Educational Facilities Authority of the State of Missouri, Children's Mercy Hospital Obligated Group Rev., 5.00%, 5/15/2025 | | |
Health and Educational Facilities Authority of the State of Missouri, SSM Health Care Series 2014A, Rev., 5.00%, 6/1/2024 (b) | | |
Health and Educational Facilities Authority of the State of Missouri, SSM Health Care Obligated Group Series 2014A, Rev., 5.00%, 6/1/2023 | | |
Health and Educational Facilities Authority of the State of Missouri, SSM Healthcare Series F, Rev., VRDO, 2.60%, 3/1/2023 (c) | | |
Health and Educational Facilities Authority of the State of Missouri, St. Luke's Health System Obligated Group Rev., 5.00%, 11/15/2023 | | |
Hickman Mills C-1 School District Series 2020C-1, GO, 4.00%, 3/1/2023 | | |
Jackson County Reorganized School District No. 7, Lee's Summit R-7 | | |
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Joplin Schools, Missouri Direct Deposit Program GO, 4.00%, 3/1/2025 | | |
Ladue School District GO, 4.00%, 3/1/2023 | | |
Metropolitan St. Louis Sewer District, Wastewater System Series 2013B, Rev., 5.00%, 5/1/2023 (b) | | |
Missouri Development Finance Board, Office Building Project Series 2013A, Rev., 3.00%, 10/1/2023 | | |
Missouri Highway and Transportation Commission Series A, Rev., 5.00%, 5/1/2023 | | |
Missouri Housing Development Commission, Single Family Mortgage, First Place Homeownership Loan Program Series 2021C, Rev., GNMA / FNMA / FHLMC, 0.35%, 11/1/2023 | | |
Missouri State Board of Public Buildings | | |
Series 2015B, Rev., 5.00%, 4/1/2023 | | |
Series 2014A, Rev., 4.00%, 10/1/2023 | | |
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|
Series 2020B, Rev., 5.00%, 10/1/2023 | | |
Missouri State Environmental Improvement and Energy Resources Authority, Water Pollution Control and Drinking Water | | |
Series 2015B, Rev., 5.00%, 7/1/2023 | | |
Series 2013A, Rev., 5.00%, 7/1/2024 | | |
Park Hill School District of Platte County, Missouri Direct Deposit Program GO, 5.00%, 3/1/2023 | | |
Plaza at Noah's Ark Community Improvement District Rev., 3.00%, 5/1/2023 | | |
Springfield School District No. R-12, Missouri Direct Deposit Program Series 2014B, GO, 5.00%, 3/1/2023 | | |
St. Charles County Public Water Supply District No. 2 | | |
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Series 2016B, COP, 5.00%, 12/1/2023 | | |
St. Joseph Industrial Development Authority, Sewer System Improvements Project Series 2015B, Rev., 5.00%, 4/1/2023 | | |
St. Louis County Library District COP, 4.00%, 4/1/2027 | | |
Tender Option Bond Trust Receipts/ Certificates Series 2018-XG0176, Rev., VRDO, LIQ : Royal Bank of Canada, 2.93%, 3/9/2023 (c) (e) | | |
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City of Billings Series 2012A, GO, 3.00%, 7/1/2023 | | |
|
City of Lincoln, Electric System Rev., 2.70%, 9/1/2023 | | |
City of Lincoln, Stormwater Drainage and Flood Management System GO, 3.00%, 12/15/2023 | | |
City of Omaha, Sanitary Sewerage System Series 2020A, Rev., 4.00%, 4/1/2025 | | |
County of Douglas, Creighton University Projects Rev., (SIFMA Municipal Swap Index Yield + 0.53%), 3.33%, 3/9/2023 (d) | | |
Douglas County Hospital Authority No. 2, Children's Obligated Group Series 2020B, Rev., 5.00%, 11/15/2025 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Municipal Energy Agency of Nebraska, Power Supply System | | |
Series 2016A, Rev., 5.00%, 4/1/2023 | | |
Series 2022A, Rev., 5.00%, 4/1/2023 | | |
Nebraska Public Power District | | |
Series 2020A, Rev., 0.60%, 7/1/2023 (c) | | |
Series 2012B, Rev., 5.00%, 1/1/2025 | | |
Series A-1, Rev., 5.00%, 1/1/2025 | | |
Omaha Public Facilities Corp., Omaha Baseball Stadium Project Series 2016A, Rev., 5.00%, 6/1/2023 | | |
Papillion-La Vista School District No. 27 Series 2020B, GO, 4.00%, 12/1/2023 | | |
Public Power Generation Agency, Whelan Energy Center Unit 2 Series 2015A, Rev., 5.00%, 1/1/2026 | | |
State of Nebraska Series 2020A, COP, 3.00%, 9/1/2023 | | |
University of Nebraska, OMAHA Student Housing Project Rev., 3.25%, 5/15/2024 (b) | | |
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Carson City School District, Limited Tax Series 2019A, GO, 5.00%, 6/1/2023 | | |
City of Henderson Series 2012A, GO, 5.00%, 6/1/2023 | | |
Clark County School District | | |
Series 2016A, GO, 5.00%, 6/15/2023 | | |
Series 2018A, GO, 5.00%, 6/15/2023 | | |
Clark County School District, Limited Tax Series 2016D, GO, 5.00%, 6/15/2023 | | |
Clark County School District, Limited Tax, Various Purpose Series 2016F, GO, 3.00%, 6/15/2026 | | |
County of Clark, Department of Aviation, Nevada Airport System, Subordinate Lien | | |
Series 2019D, Rev., 5.00%, 7/1/2024 | | |
Series 2019D, Rev., 5.00%, 7/1/2025 | | |
County of Clark, Department of Aviation, Nevada Airport System, Subordinate Lien, McCarran International Airport Series 2019A, Rev., 5.00%, 7/1/2023 | | |
County of Clark, Las Vegas Convention and Visitors Authority, Limited Tax GO, 5.00%, 7/1/2023 | | |
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County of Clark, Limited Tax | | |
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Series 2016B, GO, 5.00%, 11/1/2023 | | |
Series 2016B, GO, 5.00%, 11/1/2024 | | |
County of Clark, Nevada Power Co. Rev., 1.65%, 3/31/2023 (c) | | |
County of Clark, Park Improvement, Limited Tax GO, 5.00%, 12/1/2024 | | |
County of Clark, Passenger Facility Charge, Las Vegas-McCarran International Airport Passenger Facility Series 2019E, Rev., 5.00%, 7/1/2023 | | |
County of Clark, Sales and Excise Tax Rev., 5.00%, 7/1/2023 | | |
County of Clark, Transportation Improvement, Limited Tax | | |
Series 2018B, GO, 5.00%, 12/1/2023 | | |
Series 2018B, GO, 5.00%, 12/1/2025 | | |
Las Vegas Valley Water District, Limited Tax Series 2016B, GO, 5.00%, 6/1/2023 | | |
Las Vegas Valley Water District, Water Improvement, Limited Tax Series 2016A, GO, 5.00%, 6/1/2023 | | |
Nevada System of Higher Education Rev., 5.00%, 7/1/2023 | | |
State of Nevada Highway Improvement, Motor Vehicle Fuel Tax Rev., 5.00%, 12/1/2023 | | |
State of Nevada, Capital Improvement and Cultural Affairs | | |
Series 2015B, GO, 5.00%, 11/1/2024 | | |
Series 2015B, GO, 5.00%, 11/1/2025 | | |
State of Nevada, Limited Tax Series 2012-A, GO, 4.00%, 11/1/2024 | | |
Washoe County School District, Limited Tax | | |
Series 2017D, GO, 5.00%, 6/1/2023 | | |
Series A, GO, PSF-GTD, 5.00%, 6/1/2023 | | |
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City of Dover GO, 5.00%, 6/15/2023 | | |
City of Keene GO, NATL - RE, 5.00%, 3/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
New Hampshire — continued |
County of Rockingham, Municipal Purpose Loan GO, 3.00%, 5/15/2023 | | |
Windham School District Series 2014A, GO, 5.00%, 7/15/2024 | | |
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Atlantic County Improvement Authority (The), Atlantic City Campus Phase II Project Series 2016A, Rev., AGM, 5.00%, 7/1/2023 | | |
Barrington Board of Education GO, 4.00%, 4/1/2023 | | |
Borough of Essex Fells GO, BAN, 4.50%, 9/8/2023 | | |
Borough of Glen Ridge GO, BAN, 4.00%, 7/13/2023 | | |
Borough of High Bridge GO, BAN, 3.25%, 6/15/2023 | | |
Borough of Hopatcong GO, BAN, 3.75%, 7/21/2023 | | |
Borough of Kenilworth GO, BAN, 4.50%, 3/1/2024 (f) | | |
Borough of Lebanon GO, BAN, 3.75%, 9/11/2023 | | |
Borough of Morris Plains GO, BAN, 4.50%, 8/14/2023 | | |
Borough of Pitman GO, BAN, 4.50%, 9/8/2023 | | |
Borough of Ramsey GO, BAN, 3.50%, 6/2/2023 | | |
Borough of Riverdale GO, BAN, 3.75%, 9/7/2023 | | |
Borough of Woodcliff Lake GO, BAN, 4.50%, 9/21/2023 | | |
Brick Township Board of Education GO, 4.00%, 1/1/2025 | | |
Burlington County Bridge Commission, Governmental Leasing Program | | |
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Burlington County Bridge Commission, Governmental Loan Program Series 2013A, Rev., GTD, 5.00%, 12/1/2023 | | |
Camden County Improvement Authority (The) | | |
Series 2012A, Rev., GTD, 2.25%, 6/1/2023 | | |
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Series 2017B, Rev., GTD, 4.00%, 1/15/2024 | | |
Series 2015A, Rev., GTD, 5.00%, 9/1/2024 | | |
Camden County Improvement Authority (The), City Hall Project Rev., GTD, 5.00%, 12/1/2025 | | |
Camden County Improvement Authority (The), Open Space Preservation Trust Fund Rev., GTD, 5.00%, 6/1/2023 | | |
City of Clifton GO, 3.00%, 10/15/2023 | | |
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City of Long Branch Series 2020A, GO, 5.00%, 9/15/2025 | | |
City of New Brunswick GO, 4.00%, 3/15/2023 | | |
City of Newark Series 2020A, GO, AGM, 5.00%, 10/1/2023 | | |
City of Ocean City, General Improvement | | |
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City of Sea Isle City GO, 3.00%, 9/1/2023 | | |
City of Vineland GO, BAN, 5.00%, 11/8/2023 | | |
County of Atlantic GO, 0.50%, 6/1/2024 | | |
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Series AC, GO, 5.00%, 3/1/2023 | | |
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Series A, GO, 4.00%, 9/1/2023 | | |
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Series B, GO, 4.00%, 7/1/2025 | | |
County of Mercer, County College GO, 3.00%, 6/1/2023 | | |
County of Middlesex, Civic Square II Redevelopment Associates LLC COP, 4.00%, 6/15/2023 | | |
County of Monmouth GO, 5.00%, 7/15/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
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Municipal Bonds — continued |
|
County of Passaic, Consisting of General Improvement and College GO, 5.00%, 4/1/2023 | | |
County of Union Series B, GO, 3.00%, 3/1/2023 | | |
County of Union, Vocational Technical School GO, 5.00%, 3/1/2023 | | |
Delaware Township Board of Education GO, 4.50%, 7/18/2023 | | |
Freehold Township Board of Education GO, 5.00%, 7/15/2023 | | |
Gloucester County Improvement Authority (The) | | |
Series 2011A, Rev., GTD, 5.00%, 7/15/2023 | | |
Series 2013A, Rev., GTD, 5.00%, 9/1/2023 | | |
Series 2013A, Rev., GTD, 5.00%, 9/1/2024 | | |
Gloucester County Improvement Authority (The), GCSSSD/GCVTSD Project Rev., 4.00%, 5/15/2023 | | |
Hainesport Township School District GO, 5.00%, 1/15/2024 | | |
Holmdel Township School District GO, 4.00%, 3/15/2023 | | |
Hopewell Valley Regional School District GO, 3.25%, 1/15/2025 | | |
Hudson County Improvement Authority, County Secured, Vocational-Technical Schools Project Rev., 5.00%, 5/1/2023 | | |
Hudson County Improvement Authority, Courthouse Project Rev., 4.00%, 10/1/2025 | | |
Jersey City Municipal Utilities Authority, Sewer Project Series 2022A, Rev., 3.75%, 5/5/2023 | | |
Lenape Regional High School District GO, 5.00%, 3/15/2023 | | |
Middlesex County Improvement Authority, Open Space Trust Fund Series 2011, Rev., GTD, 3.00%, 9/15/2023 | | |
Middletown Township Board of Education GO, 2.25%, 8/1/2024 | | |
Mount Olive Township Board of Education GO, 4.00%, 7/15/2023 | | |
New Jersey Economic Development Authority, Motor Vehicle Surcharges Series 2017A, Rev., 5.00%, 7/1/2023 | | |
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New Jersey Economic Development Authority, School Facilities Construction | | |
Series 2013NN, Rev., 5.00%, 3/1/2023 (b) | | |
Series 2013-NN, Rev., 5.00%, 3/1/2023 | | |
Series 2013I, Rev., (SIFMA Municipal Swap Index Yield + 1.60%), 4.40%, 3/9/2023 (d) | | |
Series XX, Rev., 5.00%, 6/15/2023 | | |
Series 2005N1, Rev., NATL - RE, 5.50%, 9/1/2023 | | |
Series 2012-II, Rev., 3.00%, 3/1/2024 | | |
Series NN, Rev., 5.00%, 3/1/2024 | | |
Series XX, Rev., 5.00%, 6/15/2024 | | |
Series 2012-II, Rev., 5.00%, 3/1/2025 | | |
Series NN, Rev., 5.00%, 3/1/2025 | | |
Series 2014PP, Rev., AGM - CR, 5.00%, 6/15/2025 | | |
Series 2005N1, Rev., AGM, 5.50%, 9/1/2025 | | |
Series NN, Rev., 5.00%, 3/1/2026 | | |
Series 2013NN, Rev., 4.00%, 3/1/2027 | | |
New Jersey Educational Facilities Authority, Higher Education Facilities Trust Rev., 5.00%, 6/15/2023 | | |
New Jersey Educational Facilities Authority, Princeton University | | |
Series 2021C, Rev., 5.00%, 3/1/2023 | | |
Series 2017B, Rev., 5.00%, 7/1/2023 | | |
New Jersey Educational Facilities Authority, Ramapo College Series 2015B, Rev., AGM, 4.00%, 7/1/2023 (b) | | |
New Jersey Health Care Facilities Financing Authority, Barnabas Health Obligated Group Series 2019B-2, Rev., 5.00%, 7/1/2025 (c) | | |
New Jersey Health Care Facilities Financing Authority, Hackensack Meridian Health Obligated Group Rev., 5.00%, 7/1/2023 | | |
New Jersey Health Care Facilities Financing Authority, Valley Health System Obligated Rev., 5.00%, 7/1/2026 | | |
New Jersey Health Care Facilities Financing Authority, Virtual Health, Inc. | | |
Rev., 5.00%, 1/1/2024 (b) | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
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New Jersey Higher Education Student Assistance Authority, Senior Student Loan Series 2019A, Rev., 5.00%, 12/1/2024 | | |
New Jersey Housing and Mortgage Finance Agency, Multi-Family Series 2019B, Rev., 1.50%, 5/1/2023 | | |
New Jersey Housing and Mortgage Finance Agency, NBA-New Brunswick LLC Series C2, Rev., 3.13%, 8/1/2024 (c) | | |
New Jersey Infrastructure Bank, Environmental Infrastructure | | |
Series 2020A-R1, Rev., 3.00%, 9/1/2023 | | |
Series 2007A, Rev., GTD, 5.00%, 9/1/2023 | | |
Rev., GTD, 5.00%, 9/1/2024 | | |
New Jersey Sports and Exposition Authority Series 2018A, Rev., 5.00%, 9/1/2024 | | |
New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement | | |
Series 2016A-1, Rev., 5.00%, 6/15/2023 | | |
Series 2018A, Rev., 5.00%, 6/15/2023 | | |
New Jersey Transportation Trust Fund Authority, Transportation Program | | |
Series 2014AA, Rev., 5.00%, 6/15/2023 | | |
Series 2013AA, Rev., 5.00%, 6/15/2027 | | |
New Jersey Transportation Trust Fund Authority, Transportation System | | |
Series 2004A, Rev., NATL - RE, 5.75%, 6/15/2023 | | |
Series 2008A, Rev., Zero Coupon, 12/15/2023 | | |
Series 2010D, Rev., 5.00%, 12/15/2023 | | |
Series 2006A, Rev., 5.50%, 12/15/2023 | | |
Series 2013A, Rev., 5.00%, 6/15/2024 | | |
Series 2006C, Rev., AMBAC, Zero Coupon, 12/15/2024 | | |
New Jersey Turnpike Authority Series 2014A, Rev., 5.00%, 1/1/2027 | | |
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Passaic County Improvement Authority (The), City of Paterson Project Rev., 5.00%, 6/15/2023 | | |
Passaic County Improvement Authority (The), Preakness Healthcare Center Expansion Project Rev., GTD, 2.63%, 5/1/2023 | | |
Passaic County Utilities Authority, Solid Waste Disposal Rev., GTD, 4.50%, 3/1/2024 | | |
Pequannock Township Board of Education GO, 4.00%, 1/15/2025 | | |
Readington Township Board of Education GO, 5.00%, 7/15/2023 | | |
Rutgers the State University of New Jersey, Tax-Exempt | | |
Series 2018N, Rev., 4.00%, 5/1/2023 | | |
Series 2013J, Rev., 5.00%, 5/1/2023 (b) | | |
Series 2013J, Rev., 5.00%, 5/1/2023 | | |
Series 2016M, Rev., 5.00%, 5/1/2024 | | |
South Brunswick Township Board of Education GO, 5.00%, 8/1/2024 | | |
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Series 2016T, GO, 5.00%, 6/1/2023 | | |
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State of New Jersey, COVID-19 Emergency Bonds GO, 4.00%, 6/1/2023 | | |
State of New Jersey, Various Purpose | | |
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Tobacco Settlement Financing Corp. Series 2018A, Rev., 5.00%, 6/1/2028 | | |
Town of Boonton GO, BAN, 4.50%, 6/23/2023 | | |
Town of Hammonton GO, 4.00%, 3/1/2023 | | |
Town of Morristown GO, 5.00%, 3/1/2023 | | |
Township of Bloomfield Series 2022A, GO, BAN, 2.50%, 3/23/2023 | | |
Township of Bloomfield, General Improvement and Water Utility GO, 5.00%, 2/1/2024 | | |
Township of Bridgewater GO, 4.00%, 9/1/2023 | | |
Township of Colts Neck GO, 4.00%, 11/15/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Township of Dennis GO, BAN, 3.25%, 6/16/2023 | | |
Township of East Brunswick GO, 3.00%, 3/15/2023 | | |
Township of Evesham, General Improvement and Golf Utility GO, 4.00%, 5/1/2023 | | |
Township of Ewing, General Improvement GO, 2.00%, 3/1/2023 | | |
Township of Harrison GO, 4.00%, 8/1/2025 | | |
Township of Howell Series 2022A, GO, BAN, 2.50%, 3/23/2023 | | |
Township of Little Falls, General Improvement | | |
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Township of Lopatcong GO, 4.00%, 9/1/2023 | | |
Township of Millburn GO, BAN, 5.00%, 1/26/2024 | | |
Township of Nutley GO, 2.25%, 4/15/2023 | | |
Township of Parsippany-Troy Hills GO, 5.00%, 7/15/2023 | | |
Township of Parsippany-Troy Hills, Golf Recreation Utility GO, 3.00%, 6/1/2023 | | |
Township of Pequannock GO, BAN, 4.00%, 7/12/2023 | | |
Township of Readington, General Improvement GO, 5.00%, 1/15/2025 | | |
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GO, BAN, 4.00%, 7/14/2023 | | |
Township of South Orange Village GO, BAN, 4.00%, 7/5/2023 | | |
Township of Toms River, General Improvement, Golf Utility Improvement Series 2011A, GO, 3.00%, 12/15/2023 | | |
Township of Upper Freehold GO, BAN, 2.50%, 3/23/2023 | | |
Township of Verona GO, BAN, 4.50%, 10/26/2023 (f) | | |
Township of Washington GO, 4.00%, 3/1/2025 | | |
Township of West Deptford GO, 3.00%, 9/1/2026 | | |
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Wall Township School District GO, 5.00%, 7/15/2023 | | |
Washington Township Fire District No.1, Gloucester GO, 1.00%, 5/1/2023 | | |
Watchung Hills Regional High School District GO, 4.50%, 7/14/2023 | | |
Woodland Park School District GO, 5.00%, 4/15/2023 | | |
Wyckoff Township School District GO, 3.00%, 4/1/2023 (b) | | |
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City of Albuquerque, Lodgers Tax and Improvement | | |
Series 2014A, Rev., 3.50%, 7/1/2023 (b) | | |
Series 2014A, Rev., 4.00%, 7/1/2023 (b) | | |
City of Roswell, Joint Water and Sewer Improvement Series B, Rev., 5.00%, 6/1/2023 | | |
County of Los Alamos, Gross Receipts Tax Rev., 5.00%, 6/1/2023 | | |
New Mexico Finance Authority, Senior Lien Public Project Revolving Fund | | |
Series 2016A, Rev., 5.00%, 6/1/2023 | | |
Series 2019B, Rev., 5.00%, 6/1/2023 | | |
Series 2020B, Rev., 5.00%, 6/1/2023 | | |
Series 2016C, Rev., 5.00%, 6/1/2024 | | |
New Mexico Finance Authority, Subordinate Lien Public Project Revolving Fund, Tax-Exempt | | |
Series 2017D, Rev., 5.00%, 6/15/2023 | | |
Series 2019C-1, Rev., 5.00%, 6/15/2023 | | |
Series 2017B, Rev., 3.50%, 6/15/2024 | | |
Series 2018C-1, Rev., 4.00%, 6/15/2024 | | |
New Mexico Hospital Equipment Loan Council, Presbyterian Healthcare Services Series 2019B, Rev., 5.00%, 8/1/2025 (c) | | |
State of New Mexico Severance Tax Permanent Fund Series B, Rev., 4.00%, 7/1/2024 | | |
State of New Mexico, Capital Projects GO, 5.00%, 3/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
University of New Mexico (The), Subordinate Lien System | | |
Series 2016A, Rev., 5.00%, 6/1/2023 | | |
Series 2014C, Rev., 5.00%, 6/1/2024 | | |
Village of Los Lunas Rev., 3.00%, 4/1/2023 | | |
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Albany City School District Series 2022A, GO, BAN, 2.50%, 3/24/2023 | | |
Arlington Central School District GO, 5.00%, 5/15/2023 | | |
Bedford Central School District, Boces Project GO, 3.00%, 11/15/2023 | | |
Berlin Central School District GO, BAN, 4.00%, 6/28/2023 | | |
Bethlehem Central School District GO, 5.00%, 6/15/2023 | | |
Broome County Local Development Corp., Good Shepherd Village at Endwell, Inc. | | |
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Series 2021-8, Rev., 3.50%, 7/1/2025 | | |
Brunswick Central School District GO, BAN, 4.00%, 6/29/2023 | | |
Buffalo Municipal Water Finance Authority Series 2021A, Rev., AGM, 4.00%, 7/1/2023 | | |
Central Square Central School District GO, 4.00%, 6/15/2023 | | |
City of Beacon, Public Improvement Series 2018A, GO, 3.00%, 5/15/2023 | | |
City of Buffalo, General Improvement GO, 5.00%, 4/1/2023 | | |
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Series 2004A-6, GO, 5.00%, 4/13/2023 | | |
Series C, GO, 5.00%, 4/13/2023 | | |
Series D, GO, 5.00%, 4/13/2023 | | |
Series E, GO, 5.00%, 4/13/2023 | | |
Series I, GO, 5.00%, 4/13/2023 | | |
Series 2019E, GO, 5.00%, 8/1/2023 | | |
Series B, GO, 5.00%, 8/1/2023 | | |
Series C, GO, 5.00%, 8/1/2023 | | |
Series D, GO, 5.00%, 8/1/2023 | | |
Series E, GO, 5.00%, 8/1/2023 | | |
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Series 2013-I, GO, 5.00%, 8/1/2024 | | |
Series 2013J, GO, 5.00%, 8/1/2024 | | |
Series B, GO, 5.00%, 8/1/2024 | | |
Series G, GO, 5.00%, 8/1/2024 | | |
Subseries F-1, GO, 5.00%, 3/1/2025 | | |
Series 2013J, GO, 5.00%, 8/1/2025 | | |
Series B, GO, 5.00%, 8/1/2025 | | |
Series J, GO, 5.00%, 8/1/2025 | | |
Series F, Subseries F-1, GO, 5.00%, 3/1/2026 | | |
City of New York, Fiscal Year 2012 Series 2012-I, GO, 5.00%, 8/1/2023 | | |
City of New York, Fiscal Year 2012, Tax-Exempt Series I, GO, 5.00%, 4/13/2023 | | |
City of New York, Fiscal Year 2013 Series 2013E, GO, 4.50%, 8/1/2023 | | |
City of New York, Fiscal Year 2013, Tax-Exempt Series F, Subseries F-1, GO, 5.00%, 4/13/2023 | | |
City of New York, Fiscal Year 2014 | | |
Series I, Subseries 2014I-1, GO, 5.00%, 3/1/2023 (b) | | |
Series 2014I-1, GO, 5.00%, 3/1/2024 | | |
Series 2014E, GO, 5.00%, 8/1/2024 | | |
City of New York, Fiscal Year 2015 | | |
Series 1, GO, 5.00%, 8/1/2023 | | |
Series 2015A, GO, 5.00%, 8/1/2026 | | |
City of New York, Fiscal Year 2016 Series E, GO, 5.00%, 8/1/2024 | | |
City of New York, Fiscal Year 2017 Series C, GO, 5.00%, 8/1/2025 | | |
City of New York, Fiscal Year 2018 | | |
Series B, Subseries B-4, GO, VRDO, LIQ : Barclays Bank plc, 2.60%, 3/1/2023 (c) | | |
Series 2018F-1, GO, 4.00%, 4/1/2025 | | |
City of New York, Tax-Exempt | | |
Series A, Subseries A-1, GO, 5.00%, 8/1/2024 | | |
Subseries A-1, GO, 5.00%, 10/1/2024 | | |
Series 2015C, GO, 5.00%, 8/1/2025 | | |
Series A, Subseries A-1, GO, 5.25%, 8/1/2025 | | |
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Series 2022III, GO, BAN, 4.00%, 8/2/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Series 2023I, GO, BAN, 4.50%, 2/28/2024 | | |
City of Syracuse, Public Improvement Series 2019A, GO, 4.00%, 5/15/2023 | | |
Cooperstown Central School District GO, BAN, 4.00%, 6/28/2023 | | |
Corning City School District Series 2022A, GO, BAN, 4.00%, 6/26/2023 | | |
County of Livingston, Public Improvement GO, 4.00%, 2/1/2024 | | |
County of Nassau Series 2013B, GO, 5.00%, 4/1/2023 (b) | | |
County of Nassau, General Improvement Series 2016A, GO, 5.00%, 1/1/2025 | | |
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County of Orange Series 2015A, GO, AGM, 5.00%, 3/1/2023 | | |
County of Saratoga GO, BAN, 4.00%, 9/22/2023 | | |
County of Westchester Series 2012B, GO, 2.00%, 7/1/2023 | | |
Dunkirk City School District GO, BAN, 4.00%, 6/28/2023 | | |
East Aurora Union Free School District GO, AGM, 5.00%, 6/15/2023 | | |
Erie County Industrial Development Agency (The), City School District of the City of Buffalo Project | | |
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Series 2015A, Rev., 5.00%, 5/1/2023 | | |
Series 2013A, Rev., 5.00%, 5/1/2026 | | |
Series 2013A, Rev., 5.00%, 5/1/2027 | | |
Fairport Central School District GO, 4.00%, 6/15/2023 | | |
Greene Central School District Series B, GO, BAN, 4.00%, 6/29/2023 | | |
Greenport Union Free School District GO, BAN, 3.50%, 6/23/2023 | | |
Hudson Yards Infrastructure Corp., Second Indenture Series 2017A, Rev., 5.00%, 2/15/2025 | | |
Iroquois Central School District GO, 5.00%, 6/15/2025 | | |
Island Trees Union Free School District GO, 4.00%, 8/1/2023 | | |
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Long Island Power Authority, Electric System | | |
Series 2020B, Rev., 0.85%, 9/1/2025 (c) | | |
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Longwood Central School District Suffolk County GO, 5.00%, 6/1/2023 | | |
Metropolitan Transportation Authority | | |
Series 2013A, Rev., 5.00%, 5/15/2023 (b) | | |
Series 2013A, Rev., AGM - CR, 5.00%, 5/15/2023 (b) | | |
Series 2014C, Rev., 5.00%, 11/15/2023 | | |
Series 2017B, Rev., 5.00%, 11/15/2023 | | |
Series A-1, Rev., 5.00%, 11/15/2023 | | |
Series A2, Rev., 5.00%, 11/15/2023 | | |
Subseries B-3, Rev., 5.00%, 11/15/2023 | | |
Series 2017B, Rev., 5.00%, 11/15/2024 | | |
Metropolitan Transportation Authority, Dedicated Tax Fund | | |
Series 2016A, Rev., 5.00%, 11/15/2023 | | |
Series 2017A, Rev., 5.00%, 11/15/2023 | | |
Series 2013B-1, Rev., 5.00%, 11/15/2024 | | |
Minisink Valley Central School District GO, 4.00%, 4/15/2023 | | |
Monroe County Industrial Development Corp., The Rochester General Hospital Project Series 2013-B, Rev., 4.00%, 12/1/2023 | | |
Monroe County Industrial Development Corp., University of Rochester Project Series 2013A, Rev., 5.00%, 7/1/2023 (b) | | |
Moravia Central School District GO, AGM, 2.50%, 6/15/2023 | | |
Moriah Central School District GO, BAN, 3.75%, 7/13/2023 | | |
Mount Vernon City School District GO, 5.00%, 9/15/2023 | | |
Nassau Health Care Corp. Rev., 5.00%, 8/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
New York City Health and Hospitals Corp., Health System Series 2008C, Rev., VRDO, LOC : TD Bank NA, 3.42%, 3/7/2023 (c) | | |
New York City Industrial Development Agency, Queens Baseball Stadium Project Series 2021A, Rev., AGM, 5.00%, 1/1/2028 | | |
New York City Industrial Development Agency, Yankee Stadium Project Series 2009A, Rev., AGC, Zero Coupon, 3/1/2023 (b) | | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal year 2021 Subseries SUBEE2, Rev., VRDO, LIQ : State Street Bank & Trust Co., 2.60%, 3/1/2023 (c) | | |
New York City Transitional Finance Authority Future Tax Secured | | |
Subseries F-1, Rev., 5.00%, 3/30/2023 | | |
Series 2013I, Rev., 5.00%, 5/1/2023 | | |
Series 2021A, Rev., 5.00%, 11/1/2023 | | |
Series B, Subseries B-1, Rev., 5.00%, 8/1/2024 | | |
New York City Transitional Finance Authority, Building Aid, Fiscal Year 2016 Series 2016S-1, Rev., 5.00%, 7/15/2023 (b) | | |
New York City Transitional Finance Authority, Future Tax Secured | | |
Subseries F-1, Rev., 5.00%, 3/30/2023 | | |
Series 2013 I, Rev., 5.00%, 5/1/2023 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2011 Subseries A-4, Rev., VRDO, LIQ : Barclays Bank plc, 2.60%, 3/1/2023 (c) | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2013 | | |
Series I, Rev., 3.00%, 5/1/2023 | | |
Series H, Rev., 5.00%, 5/1/2023 | | |
Series I, Rev., 5.00%, 5/1/2023 | | |
Series D, Rev., 2.00%, 11/1/2024 | | |
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New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2014 | | |
Series 2014B-1, Rev., 5.00%, 11/1/2024 | | |
Subseries C, Rev., 5.00%, 11/1/2026 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2015 Series B, Subseries B-1, Rev., 3.00%, 8/1/2023 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2016 Series 2016A-1, Rev., 4.00%, 8/1/2023 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2017 Series 2017F-1, Rev., 5.00%, 5/1/2024 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2018 | | |
Series 2018-A-1, Rev., 5.00%, 8/1/2023 | | |
Series B, Subseries B-1, Rev., 5.00%, 8/1/2024 (b) | | |
Series B, Subseries B-1, Rev., 5.00%, 8/1/2024 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2020 Series 2020A, Rev., 5.00%, 5/1/2023 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2021 | | |
Series 2021C, Subseries C-1, Rev., 5.00%, 5/1/2024 | | |
Series 2021-1, Rev., 5.00%, 11/1/2025 | | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2022 Series 2022B, Rev., 5.00%, 8/1/2024 | | |
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt Subseries F-1, Rev., 5.00%, 3/30/2023 | | |
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2013 Series 2013H, Rev., 5.00%, 5/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2016 Subseries E-1, Rev., 5.00%, 2/1/2025 | | |
New York City Water and Sewer System, Second General Resolution, Fiscal Year 2019 Series 2019DD-2, Rev., 5.00%, 6/15/2025 | | |
New York City Water and Sewer System, Second General Resolution, Fiscal Year 2020 Series CC, Rev., 4.00%, 6/15/2023 (b) | | |
New York State Dormitory Authority, Barnard College Series 2020A, Rev., 4.00%, 7/1/2023 | | |
New York State Dormitory Authority, Court Facilities Series 2005A, Rev., 5.50%, 5/15/2023 | | |
New York State Dormitory Authority, Great Neck Library Series 2014, Rev., 3.00%, 5/1/2023 | | |
New York State Dormitory Authority, Icahn School of Medicine at Mount Sinai Series 2015A, Rev., 5.00%, 7/1/2025 | | |
New York State Dormitory Authority, Interagency Council Series 2019A, Rev., 4.00%, 7/1/2023 | | |
New York State Dormitory Authority, Memorial Sloan- Kettering Cancer Center Series 2017-1, Rev., 5.00%, 7/1/2023 | | |
New York State Dormitory Authority, New York University Series 2019A, Rev., 5.00%, 7/1/2023 | | |
New York State Dormitory Authority, Northwell Health Obligated Group Series 2019B2, Rev., 5.00%, 5/1/2024 (c) | | |
New York State Dormitory Authority, Onondaga-Cortland-Madison Board of Cooperative Educational Services Rev., 5.00%, 8/15/2023 | | |
New York State Dormitory Authority, School Districts Financing Program | | |
Series A, Rev., AGM, 5.00%, 4/1/2023 | | |
Series 2017G, Rev., 4.00%, 10/1/2023 | | |
Series 2012D, Rev., AGM, 5.00%, 10/1/2023 | | |
Series 2015D, Rev., 5.00%, 10/1/2023 | | |
Series 2016G, Rev., 5.00%, 10/1/2023 | | |
Series 2017F, Rev., 5.00%, 10/1/2023 | | |
| | |
|
|
Series H, Rev., 5.00%, 10/1/2023 | | |
Series 2017G, Rev., 5.00%, 10/1/2024 | | |
Series 2018A, Rev., 5.00%, 10/1/2024 | | |
Series C, Rev., 5.00%, 10/1/2024 | | |
Series H, Rev., 5.00%, 10/1/2025 | | |
New York State Dormitory Authority, State Personal Income Tax | | |
Series 2021E, Rev., 5.00%, 3/15/2023 | | |
Series 2015B, Rev., 5.00%, 2/15/2024 (b) | | |
New York State Dormitory Authority, State Personal Income Tax, General Purpose | | |
Series A, Rev., 5.00%, 3/15/2023 (b) | | |
Series 2014A, Rev., 4.00%, 2/15/2024 (b) | | |
Series 2014A, Rev., 5.00%, 2/15/2024 (b) | | |
Series 2019D, Rev., 5.00%, 2/15/2024 | | |
New York State Dormitory Authority, State Sales Tax | | |
Series 2013A, Rev., 5.00%, 3/15/2023 (b) | | |
Series 2015A, Rev., 5.00%, 3/15/2023 | | |
Series 2015B, Rev., 5.00%, 3/15/2023 | | |
Series 2017A, Rev., 5.00%, 3/15/2023 | | |
Series 2018-A, Rev., 5.00%, 3/15/2023 (b) | | |
Series 2018-A, Rev., 5.00%, 3/15/2023 | | |
Series 2018C, Rev., 5.00%, 3/15/2023 | | |
Series 2016A, Rev., 5.00%, 3/15/2024 (b) | | |
Series 2015A, Rev., 5.00%, 3/15/2025 (b) | | |
New York State Dormitory Authority, Third General Resolution, State University Educational Facilities Series 2005A, Rev., NATL - RE, 5.50%, 5/15/2023 | | |
New York State Energy Research and Development Authority, Electric and Gas Corp. Project Series 2004C, Rev., 2.63%, 7/3/2023 (c) | | |
New York State Environmental Facilities Corp., State Clean Water and Drinking Water Revolving Funds, Municipal Water Finance Authority Projects - Second Resolution | | |
Series 2015A, Rev., 5.00%, 6/15/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Series 2013A, Rev., 5.00%, 6/15/2025 | | |
New York State Environmental Facilities Corp., State Revolving Funds, Master Financing Program Series 2012E, Rev., 5.00%, 5/15/2024 | | |
New York State Housing Finance Agency, Historic Front Street Series 2003A, Rev., VRDO, LOC : Landesbank Hessen-Thuringen Girozentrale, 3.46%, 3/7/2023 (c) | | |
New York State Thruway Authority | | |
Series K, Rev., 5.00%, 1/1/2024 | | |
Series L, Rev., 5.00%, 1/1/2024 | | |
New York State Thruway Authority, State Personal Income Tax, Transportation | | |
Series 2013A, Rev., 5.00%, 3/15/2024 | | |
Series 2013A, Rev., 5.00%, 3/15/2025 | | |
New York State Urban Development Corp., Personal Income Tax | | |
Series 2013C, Rev., 5.00%, 3/15/2023 (b) | | |
Series 2013D, Rev., 5.00%, 3/15/2023 (b) | | |
Series 2016-A, Rev., 5.00%, 3/15/2025 | | |
New York State Urban Development Corp., State Personal Income Tax, General Purpose | | |
Series 2013C, Rev., 5.00%, 3/15/2023 | | |
Series 2013C, Rev., 5.00%, 3/15/2023 (b) | | |
Series 2013D, Rev., 5.00%, 3/15/2023 | | |
Series 2013E-A, Rev., 5.00%, 3/15/2023 | | |
Series 2013E-B, Rev., 5.00%, 3/15/2023 (b) | | |
Series 2015A, Rev., 5.00%, 3/15/2023 | | |
Series 2020C, Rev., 5.00%, 3/15/2023 | | |
Series A-1, Rev., 5.00%, 3/15/2023 (b) | | |
Series 2014A, Rev., 5.00%, 3/15/2024 (b) | | |
New York State Urban Development Corp., State Personal Income Tax, State Facilities and Equipment Series A-2, Rev., NATL - RE, 5.50%, 3/15/2023 | | |
New York State Urban Development Corp., State Sales Tax Series 2021A, Rev., 5.00%, 3/15/2023 | | |
| | |
|
|
Niskayuna Central School District GO, 4.00%, 4/15/2023 | | |
Norwood-Norfolk Central School District GO, BAN, 3.75%, 6/29/2023 | | |
Odessa-Montour Central School District GO, BAN, 4.00%, 6/30/2023 | | |
Onondaga County Water Authority Series 2015A, Rev., 2.25%, 9/15/2023 | | |
Otselic Valley Central School District GO, BAN, 4.00%, 6/29/2023 | | |
Pearl River Union Free School District GO, 2.00%, 6/1/2023 | | |
Pembroke Central School District GO, BAN, 4.00%, 6/30/2023 | | |
Pleasantville Union Free School District GO, 5.00%, 5/1/2023 | | |
Port Authority of New York and New Jersey, Consolidated | | |
Series 209, Rev., 5.00%, 7/15/2023 | | |
Series 189, Rev., 5.00%, 5/1/2025 | | |
Series 175, Rev., 5.00%, 12/1/2025 | | |
Series 179, Rev., 5.00%, 12/1/2025 | | |
Series 175, Rev., 4.00%, 12/1/2026 | | |
Putnam Valley Central School District GO, BAN, 3.75%, 7/14/2023 | | |
Queensbury Union Free School District Series A, GO, BAN, 3.50%, 6/28/2023 | | |
Sales Tax Asset Receivable Corp., Fiscal Year 2015 | | |
Series 2015A, Rev., 5.00%, 10/15/2023 (b) | | |
Series 2015A, Rev., 5.00%, 10/15/2024 (b) | | |
Sandy Creek Central School District GO, BAN, 3.25%, 6/23/2023 | | |
Saratoga Springs City School District GO, BAN, 3.50%, 6/29/2023 | | |
Sayville Union Free School District GO, 3.00%, 6/15/2023 | | |
Shenendehowa Central School District GO, 3.00%, 6/15/2023 | | |
South Country Central School District at Brookhaven GO, 5.00%, 10/15/2023 | | |
Southwestern Central School District GO, BAN, 3.75%, 7/19/2023 | | |
Spencer Van Etten Central School, Tompkins and Schuyler, New York District Refunding GO, 4.00%, 6/15/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
| | |
Series 2013A, GO, 3.00%, 3/1/2023 (b) | | |
Series 2013A, GO, 5.00%, 3/1/2023 (b) | | |
Series 2015A, GO, 5.00%, 3/15/2023 | | |
Suffolk County Water Authority, Water System Series 2014A, Rev., 5.00%, 6/1/2023 (b) | | |
Sweet Home Central School District GO, BAN, 3.75%, 6/28/2023 | | |
Three Village Central School District Brookhaven & Smithtown GO, 5.00%, 5/15/2025 | | |
Town of Colonie, Public Improvement GO, AGM, 2.00%, 3/1/2023 | | |
Town of Cornwall, Public Improvement GO, 3.50%, 3/1/2023 | | |
| | |
| | |
Series 2018A, GO, 5.00%, 6/15/2023 | | |
Town of Oyster Bay GO, 3.00%, 3/9/2023 | | |
Town of Oyster Bay, Public Improvement GO, 4.00%, 11/1/2023 | | |
Triborough Bridge & Tunnel Authority | | |
Series 2012A, Rev., 4.00%, 3/16/2023 | | |
Series 2013A, Rev., 5.00%, 5/15/2023 | | |
Series 2022A, Rev., BAN, 5.00%, 8/15/2024 | | |
Series 2013A, Rev., 5.00%, 11/15/2024 | | |
Triborough Bridge and Tunnel Authority | | |
Series 2012B, Rev., 5.00%, 3/16/2023 | | |
Series 2013A, Rev., 5.00%, 5/15/2023 | | |
Series 2013C, Rev., 5.00%, 5/15/2023 (b) | | |
Series 2008B-1, Rev., 5.00%, 11/15/2023 (b) | | |
Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels | | |
Series 2012B, Rev., 4.00%, 3/16/2023 | | |
Series 2012B, Rev., 5.00%, 3/16/2023 | | |
Series 2013A, Rev., 5.00%, 5/15/2023 | | |
Series 2016A, Rev., 5.00%, 11/15/2023 | | |
Tully Central School District GO, BAN, 4.00%, 6/28/2023 | | |
| | |
|
|
Utility Debt Securitization Authority | | |
Series 2016A, Rev., 5.00%, 6/15/2025 | | |
Series 2016B, Rev., 5.00%, 6/15/2025 | | |
Series 2016A, Rev., 5.00%, 12/15/2025 | | |
Utility Debt Securitization Authority, Restructuring Rev., 5.00%, 6/15/2025 | | |
Vestal Central School District GO, BAN, 4.00%, 9/29/2023 | | |
Victor Central School District Series B, GO, BAN, 3.75%, 9/15/2023 | | |
Village of Frankfort, Public Improvement GO, AGM, 3.00%, 11/15/2023 | | |
Washingtonville Central School District GO, 5.00%, 6/15/2023 | | |
Waverly Central School District GO, BAN, 3.75%, 7/27/2023 | | |
Wayland-Cohocton Central School District GO, BAN, 3.25%, 6/23/2023 | | |
Westchester County Local Development Corp., Purchase Senior Learning Community, Inc. Project Series 2021D, Rev., 2.88%, 7/1/2026 (e) | | |
| | |
|
Charlotte-Mecklenburg Hospital Authority (The), Atrium Health Variable Rate, Health Care | | |
Series 2021E, Rev., VRDO, LOC : Royal Bank of Canada, 2.30%, 3/1/2023 (c) | | |
Series 2021B, Rev., 5.00%, 12/2/2024 (c) | | |
Charlotte-Mecklenburg Hospital Authority (The), Healthcare System, Atrium Health Series 2018C, Rev., 3.45%, 10/31/2025 (c) | | |
| | |
Series 2013C, COP, 5.00%, 6/1/2023 | | |
Series 2019B, COP, 5.00%, 6/1/2023 | | |
Series 2013B, GO, 5.00%, 7/1/2023 | | |
City of Charlotte, Airport Special Facilities, Charlotte Douglas International Airport Series 2017A, Rev., 5.00%, 7/1/2024 | | |
City of Charlotte, Convention Facility Project Series 2019A, COP, 5.00%, 6/1/2024 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
North Carolina — continued |
City of Charlotte, Equipment Acquisition and Public Facilities Series 2016A, COP, 5.00%, 12/1/2023 | | |
City of Durham GO, 5.00%, 9/1/2023 | | |
City of Raleigh Series 2020A, Rev., 5.00%, 6/1/2023 | | |
City of Raleigh, Combined Enterprise System Series 2013A, Rev., 5.00%, 3/1/2023 (b) | | |
City of Raleigh, Limited Obligation Rev., 5.00%, 2/1/2024 | | |
County of Brunswick, Enterprise Systems Rev., 5.00%, 4/1/2023 | | |
County of Buncombe Series A, Rev., 5.00%, 6/1/2023 | | |
County of Cabarrus GO, 5.00%, 3/1/2023 | | |
| | |
| | |
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County of Forsyth, Public Improvement GO, 4.00%, 5/1/2023 | | |
County of Johnson, Limited Obligation Series 2020A, Rev., 5.00%, 4/1/2023 | | |
County of New Hanover, Community College Series 2013A, GO, 3.00%, 6/1/2023 (b) | | |
County of Onslow Series 2012A, Rev., 4.00%, 6/1/2023 | | |
County of Onslow, Limited Obligation Rev., 5.00%, 6/1/2023 | | |
County of Wake, Hospital System Rev., NATL - RE, 5.13%, 10/1/2026 (b) | | |
County of Wake, Public Improvement Series 2018A, GO, 5.00%, 3/1/2023 | | |
Durham Capital Financing Corp., Limited Obligation Rev., 5.00%, 6/1/2023 (b) | | |
Greenville Utilities Commission Rev., 5.00%, 4/1/2023 | | |
Jacksonville Public Facilities Corp. Rev., 5.00%, 4/1/2023 | | |
North Carolina Capital Facilities Finance Agency, Duke University Project Series 2015B, Rev., 5.00%, 10/1/2025 (b) | | |
North Carolina Housing Finance Agency, Homeownership | | |
Series 45, Rev., GNMA / FNMA / FHLMC COLL, 0.40%, 7/1/2023 | | |
Series 44, Rev., 1.50%, 7/1/2024 | | |
| | |
|
North Carolina — continued |
North Carolina Medical Care Commission, Caromont Health Series 2021B, Rev., 5.00%, 2/1/2026 (c) | | |
North Carolina Medical Care Commission, Novant Health Series 2013A, Rev., 5.00%, 11/1/2024 | | |
North Carolina Medical Care Commission, Wake Forest Baptist Obligated Group Series 2012B, Rev., 5.00%, 12/1/2023 | | |
North Carolina Municipal Power Agency No. 1, Catawba Electric Series A, Rev., 5.00%, 1/1/2024 | | |
North Carolina State University at Raleigh Series 2013A, Rev., 5.00%, 10/1/2023 (b) | | |
North Carolina Turnpike Authority, Triangle Expressway System Rev., AGM, 5.00%, 1/1/2024 | | |
Orange County Public Facilities Co., Limited Obligation Rev., 5.00%, 10/1/2023 | | |
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Series 2015A, GO, 5.00%, 6/1/2023 | | |
| | |
State of North Carolina, Limited Obligation | | |
Series 2013A, Rev., 5.00%, 5/1/2023 | | |
Series 2013A, Rev., 2.25%, 5/1/2026 | | |
Town of Oak Island, Enterprise System Rev., AGM, 5.00%, 6/1/2023 | | |
University of North Carolina at Greensboro Rev., 5.00%, 4/1/2023 | | |
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|
City of Fargo Series 2019A, GO, 5.00%, 5/1/2023 | | |
City of Grand Forks, Altru Health System Rev., 5.00%, 12/1/2024 | | |
City of West Fargo Series 2017A, GO, 5.00%, 5/1/2023 | | |
County of Stutsman Series 2014A, GO, 4.00%, 10/1/2023 | | |
Minot Public School District No. 1 GO, 4.00%, 8/1/2025 | | |
North Dakota Housing Finance Agency, Home Mortgage Finance Program Series 2020B, Rev., 1.05%, 7/1/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
North Dakota Public Finance Authority, Capital Financing Program Series 2019A, Rev., 1.75%, 11/1/2023 | | |
North Dakota Public Finance Authority, State Revolving Fund Program Series 2012A, Rev., 5.00%, 10/1/2023 | | |
North Dakota State University of Housing and Auxiliary Facilities Series 2015A, Rev., 5.00%, 4/1/2023 | | |
West Fargo Public School District No. 6, School Building GO, 4.00%, 8/1/2024 | | |
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|
Akron Bath Copley Joint Township Hospital District, Children's Hospital Medical Center of Akron | | |
Series 2022A, Rev., 5.00%, 11/15/2026 | | |
Series 2022A, Rev., 5.00%, 11/15/2027 | | |
American Municipal Power, Inc., Prairie State Energy Campus Project | | |
Series 2019B, Rev., 5.00%, 2/15/2024 | | |
Series 2015A, Rev., 5.00%, 2/15/2026 | | |
Bowling Green State University, General Receipts Series 2020A, Rev., 5.00%, 6/1/2023 | | |
Central Ohio Solid Waste Authority, Solid Waste Facilities, Limited Tax GO, 5.00%, 12/1/2023 | | |
City of Akron, Income Tax Rev., 5.00%, 12/1/2023 | | |
City of Akron, Various Purpose GO, 4.00%, 12/1/2023 | | |
City of Athens, Swimming Pool Facilities GO, 3.00%, 12/1/2023 | | |
| | |
Series 2015A, GO, 5.00%, 12/1/2023 (b) | | |
Series 2015A, GO, 5.00%, 12/1/2023 | | |
City of Delaware GO, BAN, 4.38%, 1/18/2024 | | |
City of Westerville, Special Obligation Rev., 5.00%, 12/1/2023 | | |
Cleveland Heights and University Heights City School District, School Improvement GO, 5.00%, 6/1/2023 (b) | | |
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|
|
Columbus Metropolitan Library, Ohio Library Facilities, Special Obligation Series 2020, Rev., 4.00%, 12/1/2024 | | |
County of Allen, Hospital Facilities, Mercy Health Series 2017A, Rev., 5.00%, 8/1/2024 | | |
County of Franklin, Hospital Facilities Rev., 5.00%, 5/15/2023 | | |
County of Franklin, Limited Tax GO, 5.00%, 6/1/2023 | | |
County of Franklin, Ohio Health Corp. Series 2018D, Rev., VRDO, 2.78%, 3/9/2023 (c) | | |
County of Greene, Sewer System Series 2007A, Rev., AMBAC, 5.00%, 12/1/2023 | | |
County of Hamilton, Parking Facilities, Limited Tax Series 2021A, GO, 5.00%, 12/1/2023 | | |
County of Hamilton, Sales Tax Series 2016A, Rev., 5.00%, 12/1/2024 | | |
County of Montgomery, Catholic Health Initiatives Series 2008D-2, Rev., 5.45%, 11/13/2023 (b) | | |
Cuyahoga Community College District, Facilities Construction Improvement, Unlimited Tax GO, 3.00%, 12/1/2023 | | |
Cuyahoga Metropolitan Housing Authority Rev., FHA, 4.75%, 12/1/2025 (c) | | |
Cuyahoga Metropolitan Housing Authority, Carver Park Phase III Project Rev., FHA, 4.00%, 6/1/2025 (c) | | |
Dayton Metro Library, Unlimited Tax GO, 4.00%, 12/1/2024 | | |
Dublin City School District, School Facilities Construction and Improvement GO, 4.00%, 12/1/2024 | | |
Eastwood Local School District COP, 3.00%, 6/1/2023 | | |
Franklin County Convention Facilities Authority, Tax Lease | | |
Rev., 5.00%, 12/1/2023 (b) | | |
Rev., 5.00%, 12/1/2024 (b) | | |
Highland Local School District, School Improvement Series 2018A, GO, 5.00%, 6/1/2023 (b) | | |
Hocking Technical College District Rev., 5.00%, 7/1/2023 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Lakewood City School District Series 2014B, GO, 5.00%, 11/1/2023 | | |
Licking County Career and Technology Education Centers GO, 3.13%, 12/1/2023 | | |
Lucas-Plaza Housing Development Corp. Rev., FHA, Zero Coupon, 6/1/2024 (b) | | |
Northeast Ohio Regional Sewer District, Wastewater Improvement Rev., 5.00%, 5/15/2023 (b) | | |
Northwest Local School District, School Improvement, Unlimited Tax GO, 5.00%, 12/1/2023 (b) | | |
Oak Hills Local School District, School Improvement GO, 5.00%, 12/1/2023 | | |
Ohio Higher Educational Facility Commission, Case Western University Project | | |
Series 2021B, Rev., (SIFMA Municipal Swap Index Yield + 0.23%), 3.03%, 3/9/2023 (d) | | |
Rev., 5.00%, 12/1/2023 (b) | | |
| | |
Ohio Housing Finance Agency, Marianna Terrace Apartments Series 2022A, Rev., 1.30%, 3/1/2024 (c) | | |
Ohio Housing Finance Agency, RAD Post Oak LLC Series 2022, Rev., 3.35%, 7/1/2024 (c) | | |
Ohio State University (The), General Receipts | | |
Series 2012A, Rev., 5.00%, 6/1/2023 | | |
Series 2010D, Rev., 5.00%, 12/1/2023 | | |
Ohio State University (The), General Receipts, Special Purpose | | |
Series 2013A, Rev., 5.00%, 6/1/2024 | | |
Series 2013A, Rev., 5.00%, 6/1/2025 | | |
Ohio Water Development Authority Series 2013A, Rev., 5.00%, 6/1/2023 | | |
Orange City School District, Unlimited Tax GO, 5.00%, 12/1/2023 | | |
Perrysburg Exempted Village School District, Unlimited Tax GO, 5.00%, 12/1/2023 | | |
| | |
Series 2018A, Rev., 5.00%, 4/1/2023 | | |
Series 2016A, GO, 5.00%, 12/15/2023 | | |
Series 2016A, Rev., 5.00%, 2/1/2025 | | |
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|
|
State of Ohio, Adult Correctional Building Fund Projects Series 2013A, Rev., 5.00%, 10/1/2024 | | |
State of Ohio, Capital Facilities Lease Appropriation | | |
Series 2017A, Rev., 5.00%, 12/1/2023 | | |
Series 2017A, Rev., 5.00%, 12/1/2024 | | |
State of Ohio, Capital Facilities Lease Appropriation Cultural and Sports Facilities Building Fund Projects Series 2016A, Rev., 5.00%, 10/1/2023 | | |
State of Ohio, Cleveland Clinic Health System Series 2019D-2, Rev., VRDO, 2.78%, 3/9/2023 (c) | | |
State of Ohio, Higher Education | | |
Series 2014A, GO, 4.00%, 5/1/2023 | | |
Series 2011A, GO, 5.00%, 8/1/2023 | | |
Series 2014A, GO, 4.00%, 5/1/2024 | | |
State of Ohio, Highway Improvement Series T, GO, 5.00%, 11/1/2023 | | |
State of Ohio, Infrastructure Improvement | | |
Series 2015B, GO, 5.00%, 3/1/2023 (b) | | |
Series 2012C, GO, 5.00%, 9/1/2023 | | |
Series 2015A, GO, 5.00%, 9/1/2023 | | |
Series 2015B, GO, 5.00%, 9/1/2023 | | |
Series 2016A, GO, 5.00%, 9/1/2023 | | |
Series 2017B, GO, 5.00%, 9/1/2025 | | |
State of Ohio, Juvenile Correctional Building Fund Projects Rev., 5.00%, 10/1/2023 | | |
State of Ohio, Major New Infrastructure Project | | |
Series 2016-1, Rev., 5.00%, 12/15/2023 | | |
Series 2018-1, Rev., 5.00%, 12/15/2023 | | |
Series 2019-1, Rev., 5.00%, 12/15/2023 | | |
Series 2018-1, Rev., 5.00%, 12/15/2024 | | |
State of Ohio, State Infrastructure Series 2019A, GO, 5.00%, 3/1/2023 | | |
State of Ohio, University Hospitals Health System, Inc. | | |
Series 2021B, Rev., VRDO, 3.00%, 3/3/2023 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Series B, Rev., VRDO, 3.02%, 3/9/2023 (c) | | |
Series 2020B, Rev., 5.00%, 1/15/2025 (c) | | |
Tender Option Bond Trust Receipts/ Certificates | | |
Series C, Rev., VRDO, LIQ : Citibank NA, 2.87%, 3/9/2023 (c) (e) | | |
Series 2018-XF2703, GO, VRDO, LIQ : Barclays Bank plc, 2.90%, 3/9/2023 (c) (e) | | |
Toledo City School District, School Facilities Improvement GO, 5.00%, 12/1/2023 (b) | | |
University of Toledo Series 2018A, Rev., 5.00%, 6/1/2023 | | |
Westerville City School District, School Facilities Project COP, 5.00%, 12/1/2023 | | |
Wright State University Series 2021A, Rev., 4.00%, 5/1/2024 | | |
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|
Canadian County Independent School District No. 69 Mustang GO, 2.00%, 6/1/2023 | | |
City of Norman GO, 4.00%, 6/1/2023 | | |
City of Oklahoma City GO, 5.00%, 3/1/2023 | | |
Cleveland County Independent School District No. 2 Moore, Combined Purpose Series 2019-01, GO, 3.50%, 3/1/2023 | | |
Cleveland County Independent School District No. 29 Norman, Combined Purpose | | |
| | |
Series 2019B, GO, 3.00%, 5/1/2023 | | |
Grady County School Finance Authority, Educational Facilities Lease, Tuttle Public Schools Project Rev., 5.00%, 9/1/2023 | | |
Oklahoma Capitol Improvement Authority, Office of Juvenile Affairs Project Series 2019B, Rev., 5.00%, 7/1/2023 | | |
Oklahoma County Finance Authority, Educational Facilities, Lease Midwest City-Del City Public Schools Project | | |
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|
|
Oklahoma County Finance Authority, Western Heights Public Schools Project Series 2018A, Rev., 5.00%, 9/1/2023 | | |
Oklahoma County Independent School District No. 89 Oklahoma City, Combined Purpose Series 2019A, GO, 3.00%, 7/1/2023 | | |
Oklahoma Development Finance Authority, Health System, Integris Obligated Group Series 2020C, Rev., VRDO, 3.10%, 3/9/2023 (c) | | |
Oklahoma Turnpike Authority, Second Senior Series 2020A, Rev., 5.00%, 1/1/2025 | | |
Oklahoma Water Resources Board, Master Trust Series 2013A, Rev., 5.00%, 4/1/2023 (b) | | |
Tulsa County Independent School District No. 1, Combined Purpose Series 2018B, GO, 3.00%, 8/1/2023 | | |
Tulsa County Industrial Authority Educational Facilities Lease, Broken Arrow Public Schools Project Rev., 5.00%, 9/1/2025 | | |
Tulsa Metropolitan Utility Authority Series 2019A, Rev., 5.00%, 4/1/2023 | | |
Tulsa Public Facilities Authority, Capital Improvement Rev., 3.00%, 6/1/2023 | | |
| | |
|
City of Beaverton Series 2020A, Rev., 5.00%, 6/1/2023 | | |
City of Eugene, Electric Utility System Rev., 4.00%, 8/1/2024 | | |
City of Hermiston GO, 3.00%, 3/1/2023 | | |
City of Portland, Water System Series 2014A, Rev., 5.00%, 5/1/2023 | | |
City of Portland, Water System, Second Lien Rev., 5.00%, 10/1/2023 | | |
City of Salem GO, 5.00%, 6/1/2023 | | |
City of Salem, Water and Sewer Rev., 5.00%, 6/1/2023 | | |
City of St. Helens GO, 3.00%, 6/1/2023 | | |
Clackamas Community College District Series B, GO, Zero Coupon, 6/15/2023 | | |
Columbia Multnomah and Washington Counties School District No. 1J GO, 5.00%, 6/15/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
County of Clatsop GO, 4.00%, 6/15/2023 | | |
Crook County School District GO, 5.00%, 6/15/2023 (b) | | |
Deschutes and Jefferson Counties School District No. 2J Redmond Series 2008B, GO, Zero Coupon, 6/15/2023 | | |
Hillsboro School District No. 1J GO, 5.00%, 6/15/2023 | | |
Hospital Facilities Authority of Multnomah County Oregon, Adventist Health System Rev., 5.00%, 3/1/2025 (c) | | |
Klamath Falls City Schools Series 2015A, GO, 5.00%, 6/15/2023 | | |
Lane County School District No. 52 Bethel GO, 4.00%, 6/15/2023 (b) | | |
Lebanon Rural Fire Protection District GO, 5.00%, 6/15/2023 | | |
Metro Series 2012A, GO, 5.00%, 6/1/2023 | | |
Metro, Oregon Convention Center Hotel Project Rev., 5.00%, 6/15/2025 | | |
Multnomah County School District No. 1 Portland Series 2020B, GO, 5.00%, 6/15/2023 | | |
Oregon State Facilities Authority, Peacehealth Series 2018B, Rev., VRDO, LOC : TD Bank NA, 2.50%, 3/1/2023 (c) | | |
| | |
Series A, Rev., 4.00%, 4/1/2023 | | |
Series 2013A, Rev., 5.00%, 4/1/2023 (b) | | |
Portland Community College District | | |
| | |
| | |
Salem Hospital Facility Authority, Salem Health Project Series 2019A, Rev., 5.00%, 5/15/2023 | | |
State of Oregon Series F, GO, 5.00%, 5/1/2023 | | |
State of Oregon, Article XI-F(1) University Projects Series I, GO, 5.00%, 8/1/2023 | | |
State of Oregon, Article XI-Q State Projects Series 2019A, GO, 5.00%, 5/1/2023 | | |
State of Oregon, Housing and Community Services Department, Single-Family Mortgage Program | | |
Series 2020A, Rev., 0.88%, 1/1/2024 | | |
Series 2014A, Rev., 3.00%, 1/1/2024 | | |
| | |
|
|
Series 2020A, Rev., 0.90%, 7/1/2024 | | |
State of Oregon, University System Series 2013A, GO, 3.25%, 8/1/2023 (b) | | |
Tri-County Metropolitan Transportation District of Oregon Series 2017A, Rev., 5.00%, 10/1/2023 | | |
Washington County Clean Water Services, Senior Lien Rev., 5.00%, 10/1/2023 | | |
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|
Abington School District Series 2021AA, GO, 5.00%, 3/15/2023 | | |
Allegheny County Higher Education Building Authority, Duquesne University Series 2014A, Rev., 5.00%, 3/1/2023 | | |
Allegheny County Hospital Development Authority, Allegheny Health Network Obligated Group Series 2018-A, Rev., 5.00%, 4/1/2023 | | |
Allegheny County Hospital Development Authority, Pittsburgh Medical Center Series 2019A, Rev., 5.00%, 7/15/2023 | | |
Bethel Park School District GO, 5.00%, 8/1/2025 | | |
Bristol Township School District GO, 5.00%, 6/1/2023 | | |
Canon McMillan School District Series 2014C, GO, 5.00%, 12/15/2023 (b) | | |
Carlisle Area School District, Limited Tax GO, 3.00%, 9/1/2024 | | |
Centennial School District Bucks County | | |
Series 2017C, GO, 5.00%, 12/15/2023 | | |
Series 2017A, GO, 5.00%, 12/15/2024 | | |
Cheltenham Township School District | | |
| | |
Series 2019A, GO, 4.00%, 2/15/2025 | | |
City of Philadelphia, Water and Wastewater System Rev., 5.00%, 10/1/2023 | | |
Commonwealth Financing Authority Series B, Rev., 5.00%, 6/1/2023 | | |
Commonwealth Financing Authority, Tobacco Master Settlement Payment | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Commonwealth of Pennsylvania | | |
Series 1, GO, 4.00%, 7/1/2023 | | |
Series 2, GO, 5.00%, 1/15/2024 | | |
Series 2014-1, GO, 5.00%, 6/15/2024 | | |
| | |
| | |
Council Rock School District | | |
| | |
Series 2019A, GO, 4.00%, 11/15/2025 | | |
County of Adams Series 2017B, GO, 5.00%, 11/15/2023 | | |
County of Allegheny Series C-69, GO, 5.00%, 12/1/2023 | | |
| | |
Series 2016C, GO, 4.00%, 10/1/2023 | | |
| | |
County of Lancaster GO, 5.00%, 5/1/2023 | | |
County of Montgomery Series 2009C, GO, 5.00%, 12/15/2023 | | |
| | |
| | |
Series 2016A, GO, 3.00%, 12/1/2023 | | |
Delaware County Authority, Villanova University Rev., 5.00%, 8/1/2024 | | |
Delaware County Industrial Development Authority, United Parcel Service Project Rev., VRDO, 2.80%, 3/1/2023 (c) | | |
Delaware River Port Authority Series 2018B, Rev., 5.00%, 1/1/2024 | | |
Delaware Valley Regional Finance Authority, Local Government Series 2020D, Rev., VRDO, LOC : TD Bank NA, 3.45%, 3/7/2023 (c) | | |
Derry Township Industrial and Commercial Development Authority, Derry Township Municipal Center Project Rev., 1.00%, 11/15/2023 | | |
East Penn School District GO, 4.00%, 11/15/2023 | | |
Elizabeth Forward School District | | |
Series 2021B, GO, AGM, 2.00%, 12/1/2023 | | |
Series 2021C, GO, AGM, 2.00%, 12/1/2023 | | |
Garnet Valley School District GO, 4.00%, 4/1/2023 | | |
| | |
|
|
Geisinger Authority, Health System Series 2020B, Rev., 5.00%, 2/15/2027 (c) | | |
Gettysburg Area School District GO, 5.00%, 1/15/2024 | | |
Governor Mifflin School District Series 2012B, GO, 4.00%, 4/1/2023 (b) | | |
Hamburg Area School District GO, 5.00%, 4/1/2023 | | |
Hanover Public School District GO, 4.50%, 3/1/2023 | | |
Hatboro-Horsham School District Series B, GO, 5.00%, 3/15/2023 (b) | | |
Lancaster Industrial Development Authority, Garden Spot Village Project Rev., 5.38%, 5/1/2023 (b) | | |
Marple Newtown School District GO, 5.00%, 6/1/2023 | | |
Methacton School District | | |
| | |
| | |
Monroeville Finance Authority, University of Pittsburg Medical Center | | |
Series 2013B, Rev., 3.50%, 7/1/2023 | | |
| | |
Montgomery County Industrial Development Authority, Waverly Heights Ltd. Project Rev., 4.00%, 12/1/2023 | | |
North Allegheny School District, Unlimited Tax Series 2019A, GO, 4.00%, 5/1/2024 | | |
North Penn School District Series 2019A, GO, 3.00%, 1/15/2025 | | |
North Penn Water Authority Rev., (SIFMA Municipal Swap Index Yield + 0.56%), 3.36%, 3/9/2023 (d) | | |
Northampton County General Purpose Authority, Lafayette College Rev., 5.00%, 11/1/2023 | | |
Northampton County General Purpose Authority, St. Luke's University Health Network Project Series 2016A, Rev., 5.00%, 8/15/2023 | | |
Owen J Roberts School District GO, 5.00%, 5/15/2023 (b) | | |
Oxford Area School District Series 2019A, GO, 4.00%, 9/1/2023 | | |
Pennsylvania Economic Development Financing Authority Rev., 5.00%, 3/15/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Pennsylvania Economic Development Financing Authority, PPL Electric Utilities Corporation Project Rev., 0.40%, 10/1/2023 | | |
Pennsylvania Economic Development Financing Authority, University of Pittsburgh Medical Center | | |
Series 2017C, Subseries C1, Rev., (SIFMA Municipal Swap Index Yield + 0.37%), 3.17%, 3/9/2023 (d) | | |
Series 2017A, Rev., 5.00%, 11/15/2023 | | |
Series 2014A, Rev., 5.00%, 2/1/2025 | | |
Series 2017A, Rev., 5.00%, 11/15/2026 | | |
Pennsylvania Higher Educational Facilities Authority Series AW, Rev., 5.00%, 6/15/2024 | | |
Pennsylvania Higher Educational Facilities Authority, BRYN MAWR College | | |
| | |
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Pennsylvania Higher Educational Facilities Authority, Drexel University Rev., 5.00%, 5/1/2023 | | |
Pennsylvania Higher Educational Facilities Authority, Philadelphia University Rev., 5.00%, 6/1/2023 (b) | | |
Pennsylvania Higher Educational Facilities Authority, State System of Higher Education Series AN, Rev., 5.00%, 6/15/2023 | | |
Pennsylvania Higher Educational Facilities Authority, Trustees of the University | | |
Series 2016A, Rev., 5.00%, 8/15/2023 | | |
Series 2015A, Rev., 5.00%, 10/1/2023 | | |
Pennsylvania Housing Finance Agency, Single Family Mortgage Series 2019-130A, Rev., 1.40%, 4/1/2024 | | |
Pennsylvania Turnpike Commission | | |
Rev., VRDO, LOC : TD Bank NA, 3.40%, 3/7/2023 (c) | | |
Series 2019-2, Rev., VRDO, LOC : TD Bank NA, 3.40%, 3/7/2023 (c) | | |
Series 2020A, Rev., VRDO, LOC : Barclays Bank plc, 2.72%, 3/9/2023 (c) | | |
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|
|
Series 2018A-1, Rev., (SIFMA Municipal Swap Index Yield + 0.60%), 3.40%, 3/9/2023 (d) | | |
Series 2016B, Rev., 5.00%, 6/1/2023 | | |
Series 2011A, Rev., 5.00%, 12/1/2023 | | |
Series A-1, Rev., 5.00%, 12/1/2023 | | |
Pennsylvania Turnpike Commission, Senior Lien Series 2012A, Rev., 5.00%, 12/1/2023 | | |
Perkiomen Valley School District | | |
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Peters Township School District Washington County GO, 5.00%, 1/15/2026 | | |
Philadelphia Authority for Industrial Development | | |
Series B-2, Rev., VRDO, LOC : TD Bank NA, 2.78%, 3/9/2023 (c) | | |
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Pittsburgh School District GO, AGM, 5.00%, 9/1/2023 | | |
Reading Area Water Authority Rev., AGM, 4.00%, 12/1/2023 | | |
School District of Philadelphia Series F, GO, 5.00%, 9/1/2024 | | |
Southeastern Pennsylvania Transportation Authority Rev., 5.00%, 3/1/2025 | | |
Southeastern Pennsylvania Transportation Authority, Capital Grant Receipts Rev., 5.00%, 6/1/2024 | | |
Southern Lehigh School District Series A, GO, 5.00%, 9/1/2023 | | |
State College Area School District GO, 4.00%, 3/1/2023 | | |
State Public School Building Authority, The School District of the City of Harrisburg Project Series 2016A, Rev., AGM, 4.00%, 12/1/2026 (b) | | |
State Public School Building Authority, Westmoreland County Community College Series 2016A, Rev., AGM, 5.00%, 10/15/2023 | | |
Susquehanna Township School District GO, 4.00%, 5/15/2023 | | |
Township of Cranberry GO, 4.00%, 3/1/2023 | | |
Township of Hempfield GO, 5.00%, 10/15/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Township of Lower Paxton GO, 4.00%, 4/1/2024 | | |
Township of Palmer Series 2020A, GO, 5.00%, 11/15/2023 | | |
Township of Radnor GO, 4.00%, 4/1/2023 | | |
Troy Area School District Bradford County GO, 4.00%, 3/1/2023 | | |
West Jefferson Hills School District | | |
Series 2017A, GO, 5.00%, 8/1/2023 | | |
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|
Rhode Island Commerce Corp. Series 2016A, Rev., 5.00%, 6/15/2023 | | |
Rhode Island Health and Educational Building Corp., Higher Education Facilities, Brown University Rev., 5.00%, 9/1/2023 | | |
Rhode Island Health and Educational Building Corp., Lifespan Obligated Group Rev., 5.00%, 5/15/2023 | | |
Rhode Island Health and Educational Building Corp., Providence College Series 2012B, Rev., 5.00%, 11/1/2023 | | |
Rhode Island Health and Educational Building Corp., Town of Lincoln Series 2020B, Rev., 4.00%, 5/15/2023 | | |
State of Rhode Island and Providence Plantations Lease Participation Certificates, School for The Deaf Project Series 2017D, COP, 5.00%, 4/1/2024 | | |
State of Rhode Island and Providence Plantations, Courthouse Project Series 2013A, COP, 5.00%, 10/1/2023 | | |
State of Rhode Island, Providence Plantations, Consolidated Capital Development Loan Series 2019A, GO, 5.00%, 5/1/2023 | | |
Town of Westerly Series 2014A, GO, 5.00%, 7/1/2023 | | |
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Beaufort County School District Series 2015B, GO, 5.00%, 3/1/2024 | | |
Berkeley County School District, Securing Assets for Education Series 2015A, Rev., 5.00%, 12/1/2025 | | |
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|
South Carolina — continued |
Charleston Educational Excellence Finance Corp. | | |
Series 2013B, Rev., 5.00%, 12/1/2024 | | |
Series 2013B, Rev., 5.00%, 12/1/2025 | | |
City of Camden, Combined Public Utility System Rev., AGM, 2.00%, 3/1/2023 | | |
Clemson University, Higher Education Bonds | | |
| | |
Series 2015B, Rev., 5.00%, 5/1/2023 | | |
County of Richland Series 2013B, GO, 5.00%, 3/1/2023 | | |
Dorchester County School District No. 2, Growth Installment Purchase Series 2013B, Rev., 4.00%, 12/1/2024 | | |
Fort Mill School District No. 4 Series 2017B, GO, SCSDE, 5.00%, 3/1/2023 | | |
Horry County School District GO, SCSDE, 5.00%, 3/1/2023 | | |
Joint Municipal Water and Sewer Commission, System Improvement Rev., 4.75%, 6/1/2023 (b) | | |
Patriots Energy Group Financing Agency Series 2018A, Rev., LIQ : Royal Bank of Canada, 4.00%, 2/1/2024 (c) | | |
Piedmont Municipal Power Agency | | |
Series 2017A, Rev., 5.00%, 1/1/2024 | | |
Series 2017B, Rev., 5.00%, 1/1/2024 | | |
Rev., NATL - RE, 5.38%, 1/1/2025 | | |
Richland County School District No. 1 Series 2014C, GO, SCSDE, 5.00%, 3/1/2023 | | |
South Carolina Jobs-Economic Development Authority, Anmed Health Project Rev., 5.00%, 2/1/2024 | | |
South Carolina Jobs-Economic Development Authority, Bon Secours Mercy Health, Inc. Rev., 5.00%, 10/1/2025 (c) | | |
South Carolina Jobs-Economic Development Authority, Tax-Exempt, York Preparation Academy Project Series 2014A, Rev., 7.25%, 11/1/2024 (b) (e) | | |
South Carolina Jobs-Economic Development Authority, Wofford College Rev., 5.00%, 4/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
South Carolina — continued |
South Carolina Public Service Authority, Santee Cooper | | |
Series 2013A, Rev., 5.75%, 12/1/2023 (b) | | |
Series A, Rev., 5.00%, 12/1/2026 | | |
South Carolina Public Service Authority, Tax-Exempt Series 2014C, Rev., 5.00%, 12/1/2024 | | |
South Carolina Transportation Infrastructure Bank Series 2015A, Rev., 5.00%, 10/1/2024 | | |
Spartanburg Regional Health Services District, Forward Delivery Rev., 5.00%, 4/15/2023 | | |
Spartanburg Sanitary Sewer District, Sewer System Series B, Rev., 5.00%, 3/1/2023 (b) | | |
University of South Carolina, Higher Education Facilities | | |
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York County School District No. 3 Rock Hill Series 2017B, GO, SCSDE, 5.00%, 3/1/2023 | | |
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County of Pennington, Limited Tax | | |
Series 2017A, COP, 3.00%, 6/1/2023 | | |
Series 2017A, COP, 3.00%, 12/1/2023 | | |
South Dakota State Building Authority | | |
Series 2020C, Rev., 3.00%, 6/1/2023 | | |
Series B, Rev., 5.00%, 6/1/2023 (b) | | |
Series 2019A, Rev., 4.00%, 6/1/2024 | | |
Series 2014D, Rev., 5.00%, 9/1/2024 | | |
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City of Chattanooga GO, 3.13%, 10/1/2025 | | |
City of Clarksville GO, 3.00%, 6/1/2023 | | |
City of La Vergne, Sewage Works GO, 3.30%, 3/1/2023 (b) | | |
City of Memphis, General Improvement GO, 5.00%, 5/1/2023 | | |
County of Hamilton Series 2015B, GO, 5.00%, 3/1/2023 | | |
County of Hawkins GO, 5.00%, 6/1/2023 | | |
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County of Maury GO, 5.00%, 4/1/2024 | | |
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Series 2012A, GO, 4.00%, 3/1/2023 | | |
Series 2019B, GO, 5.00%, 4/1/2023 | | |
County of Williamson, Public Improvement and School GO, 5.00%, 4/1/2023 | | |
County of Wilson GO, 4.00%, 4/1/2025 | | |
Greeneville Health and Educational Facilities Board, Ballad Health Obligated Group Series 2018A, Rev., 5.00%, 7/1/2024 | | |
Hallsdale-Powell Utility District, Water and Sewer Rev., 5.00%, 4/1/2023 | | |
Knox County Health Educational and Housing Facility Board, Covenant Health | | |
Series 2012A, Rev., 5.00%, 1/1/2024 | | |
Series 2012A, Rev., 5.00%, 1/1/2026 | | |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Trevecca Nazarene University Project | | |
Series 2021B, Rev., 4.00%, 10/1/2023 | | |
Series 2021B, Rev., 4.00%, 10/1/2024 | | |
Metropolitan Government Nashville and Davidson County Sports Authority, Public Improvement Series A, Rev., 5.00%, 7/1/2023 | | |
Metropolitan Government of Nashville and Davidson County GO, 5.00%, 7/1/2023 (b) | | |
Metropolitan Government of Nashville and Davidson County, Electric System Series 2014A, Rev., 5.00%, 5/15/2023 | | |
Metropolitan Government of Nashville and Davidson County, Water and Sewer | | |
Series 2017B, Rev., 5.00%, 7/1/2023 | | |
Series 2020B, Rev., 5.00%, 7/1/2023 | | |
Tennessee Energy Acquisition Corp., Commodity Project | | |
Series 2021A, Rev., 5.00%, 11/1/2025 | | |
Series 2021A, Rev., 5.00%, 11/1/2026 | | |
Tennessee Energy Acquisition Corp., Gas Project Series 2017A, Rev., 4.00%, 5/1/2023 (c) | | |
Tennessee State School Bond Authority, Higher Educational Facilities Second Program Series B, Rev., 5.00%, 11/1/2024 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Town of Smyrna GO, 5.00%, 4/1/2024 | | |
West Wilson Utility District of Wilson County Tennessee Rev., 5.00%, 6/1/2023 | | |
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|
Arlington Higher Education Finance Corp. Series 2021A, Rev., 5.00%, 8/15/2023 | | |
Austin Community College District Public Facility Corp., Highland Campus - Building 3000 Project Series 2018A, Rev., 5.00%, 8/1/2023 | | |
Austin Community College District, Limited Tax GO, 5.00%, 8/1/2023 | | |
Bay City Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2025 | | |
Bexar County Hospital District, Limited Tax GO, 5.00%, 2/15/2025 | | |
Board of Regents of the University of Texas System, Financing System | | |
Series 2012A, Rev., 5.00%, 8/15/2023 | | |
Series 2016C, Rev., 5.00%, 8/15/2023 | | |
Buna Independent School District, School Building, Unlimited Tax Series 2014, GO, PSF-GTD, 2.25%, 8/15/2023 | | |
City of Abilene GO, 5.00%, 2/15/2024 | | |
City of Amarillo, Waterworks and Sewer System Rev., 5.00%, 4/1/2023 | | |
City of Austin GO, 5.00%, 9/1/2023 | | |
City of Austin, Electric Utility System | | |
Series 2012A, Rev., 5.00%, 11/15/2024 | | |
Series A, Rev., 5.00%, 11/15/2025 | | |
City of Austin, Public Improvement GO, 5.00%, 9/1/2023 | | |
City of Austin, Water and Wastewater System | | |
Series 2013A, Rev., 5.00%, 5/15/2023 | | |
Series 2013A, Rev., 5.00%, 5/15/2023 (b) | | |
Series 2013A, Rev., 5.00%, 11/15/2023 | | |
Series 2013A, Rev., 5.00%, 11/15/2024 | | |
City of Beaumont GO, 5.00%, 3/1/2023 | | |
City of Boerne GO, 5.00%, 3/1/2023 | | |
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City of Brownsville, Utilities System Series 2013A, Rev., 5.00%, 9/1/2024 | | |
City of Bryan, Electric System Rev., 5.00%, 7/1/2023 | | |
City of Bryan, Rural Electric System Rev., 5.00%, 7/1/2023 | | |
City of Buda GO, 5.00%, 8/15/2024 | | |
City of Cedar Hill, Refunding and Improvement GO, 5.00%, 2/15/2025 | | |
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Series 2018B, GO, 5.00%, 11/15/2024 | | |
Series 2019A, GO, 5.00%, 3/1/2025 | | |
City of Copperas Cove GO, 4.00%, 8/15/2025 | | |
City of Corpus Christi, General Improvement | | |
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Series 2020A, GO, 5.00%, 3/1/2023 | | |
City of Dallas Series 2013A, GO, 5.00%, 2/15/2025 | | |
City of Dallas, Waterworks and Sewer System Series 2012A, Rev., 5.00%, 10/1/2023 | | |
City of Deer Park GO, 3.00%, 3/15/2024 | | |
City of Denton, Utility System Rev., 5.00%, 12/1/2023 | | |
City of Eagle Pass GO, AGM, 5.00%, 3/1/2023 | | |
City of El Paso, Water and Sewer System Rev., 5.00%, 3/1/2023 | | |
City of Farmers Branch GO, 4.00%, 2/15/2025 | | |
City of Frisco GO, 5.00%, 2/15/2025 | | |
City of Garland, Electric Utility System | | |
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Series 2016A, Rev., 5.00%, 3/1/2023 | | |
Series 2016B, Rev., 5.00%, 3/1/2023 | | |
Series 2021A, Rev., 5.00%, 3/1/2023 | | |
Series 2016B, Rev., 5.00%, 3/1/2025 | | |
City of Georgetown GO, 5.00%, 8/15/2023 | | |
City of Granbury Series 2016A, GO, 4.00%, 8/15/2025 | | |
City of Heath, Combination Tax and Surplus GO, 5.00%, 2/15/2025 | | |
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Series 2019A, GO, 5.00%, 3/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Series 2016A, GO, 5.00%, 3/1/2024 | | |
City of Houston, Airport System, Subordinate Lien | | |
Series 2018D, Rev., 5.00%, 7/1/2026 | | |
Series 2020B, Rev., 5.00%, 7/1/2026 | | |
City of Houston, Combined Utility System, First Lien | | |
Series 2013B, Rev., 4.00%, 11/15/2023 | | |
Series 2002C, Rev., 5.00%, 11/15/2023 | | |
City of Houston, Combined Utility System, Junior Lien Series A, Rev., AGM, Zero Coupon, 12/1/2024 | | |
City of Houston, Demolition Program Series 2013A, GO, 5.00%, 3/1/2023 | | |
City of Houston, Public Improvement Series 2013A, GO, 5.00%, 3/1/2023 | | |
City of Hutto Series 2019A, GO, 5.00%, 8/1/2025 | | |
City of Kenedy, Combination Tax GO, 4.00%, 5/1/2025 | | |
City of Lakeway GO, 4.00%, 2/1/2024 | | |
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City of Laredo, Combination Tax GO, 5.00%, 2/15/2025 | | |
City of Lubbock GO, 5.00%, 2/15/2027 | | |
City of Lubbock, Electric Light and Power System | | |
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City of Mansfield, Combination Tax GO, 2.00%, 2/15/2024 | | |
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| | |
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City of McKinney, Waterworks and Sewer System Rev., 5.00%, 3/15/2023 | | |
City of Mesquite, Waterworks and Sewer System Rev., 3.00%, 3/1/2023 | | |
| | |
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Series 2018A, GO, 5.00%, 3/1/2025 | | |
City of Midland, Certificates of Obligation GO, 5.00%, 3/1/2025 | | |
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|
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City of Midlothian, Combination Tax, Navarro College District GO, 3.00%, 8/15/2024 | | |
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| | |
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City of Missouri City, Combination Tax, Certificates of Obligation Series 2018B, GO, 4.00%, 6/15/2025 | | |
City of New Braunfels, Combination Tax, Certificates of Obligation GO, 5.00%, 2/1/2025 | | |
City of New Braunfels, Utility System Rev., 5.00%, 7/1/2023 | | |
City of Odessa GO, 5.00%, 3/1/2023 | | |
City of Pasadena Series 2012A, GO, 5.00%, 2/15/2024 | | |
City of Pearland, Permanent Improvement | | |
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Series 2016A, GO, 5.00%, 3/1/2023 (b) | | |
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Series 2016B, GO, 5.00%, 3/1/2024 | | |
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| | |
| | |
City of Port Aransas, Combination Tax, Certificates of Obligation GO, 4.00%, 2/1/2025 | | |
City of Portland, Combination Tax, Certificates of Obligation GO, 4.00%, 8/15/2023 | | |
City of Sachse, Combination Tax and Limited Surplus Series 2017A, GO, 4.00%, 2/15/2025 | | |
City of San Antonio, Drainage Utility System | | |
| | |
| | |
City of San Antonio, Electric and Gas Systems Rev., 5.25%, 2/1/2024 | | |
City of San Marcos, Combination Tax, Certificates of Obligation GO, 5.00%, 8/15/2024 | | |
City of Sherman, Combination Tax, Certificates of Obligation GO, 5.00%, 8/15/2024 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
City of Waco, Combination Tax, Certificates of Obligation | | |
| | |
| | |
City of Waxahachie GO, 4.00%, 8/1/2023 | | |
City of Waxahachie, Combination Tax, Certificates of Obligation GO, 4.00%, 8/1/2024 | | |
City of Weatherford GO, 4.00%, 3/1/2025 | | |
City of Weslaco, Certificates of Obligation GO, 5.00%, 2/15/2024 | | |
City of Woodway GO, 5.00%, 8/15/2023 | | |
Clear Lake City Water Authority GO, 4.00%, 3/1/2023 | | |
Clifton Higher Education Finance Corp., Idea Public Schools Rev., PSF-GTD, 5.00%, 8/15/2023 | | |
Columbia-Brazoria Independent School District, Unlimited Tax GO, PSF-GTD, 3.00%, 2/1/2025 | | |
Comal Independent School District, Unlimited Tax | | |
GO, PSF-GTD, 5.00%, 2/1/2025 | | |
Series B, GO, PSF-GTD, 5.00%, 2/1/2025 | | |
Coppell Independent School District, Unlimited Tax Series 2019A, GO, 5.00%, 8/15/2023 | | |
Coppell Recreational Development Corp. Rev., 5.00%, 8/1/2023 | | |
County of Bexar Series 2013A, GO, 4.00%, 6/15/2023 (b) | | |
County of Bexar, Flood Control Tax GO, 5.00%, 6/15/2024 | | |
County of Comal, Limited Tax GO, 4.00%, 2/1/2025 | | |
County of El Paso Series 2015, GO, 5.00%, 2/15/2024 | | |
County of Fort Bend, Unlimited Tax | | |
| | |
Series B, GO, 5.00%, 3/1/2023 | | |
County of Galveston, Limited Tax GO, 5.00%, 2/1/2025 | | |
County of Harris Series 2022A, GO, 5.00%, 10/1/2024 | | |
County of Harris, Permanent Improvement Series 2017A, GO, 5.00%, 10/1/2023 | | |
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|
County of Harris, Toll Road, Senior Lien Series 2015B, Rev., 5.00%, 8/15/2023 | | |
County of Harris, Unlimited Tax Series 2022A, GO, 5.00%, 10/1/2024 | | |
County of Hays, Limited Tax GO, 5.00%, 2/15/2025 | | |
County of Hidalgo GO, 5.00%, 8/15/2023 | | |
County of Hidalgo, Limited Tax Series 2019B, GO, 5.00%, 8/15/2023 | | |
County of Kendall, Limited Tax GO, 4.00%, 3/1/2023 | | |
County of Montgomery, Unlimited Tax | | |
| | |
Series 2016A, GO, 5.00%, 3/1/2023 | | |
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County of Taylor, Limited Tax GO, 5.00%, 2/15/2025 | | |
County of Tom Green, Combination Tax and Limited Surplus GO, 5.00%, 2/1/2025 | | |
Crowley Independent School District, Unlimited Tax Series 1, GO, PSF-GTD, 4.75%, 8/1/2023 (b) | | |
Dallas Area Rapid Transit, Sales Tax, Senior Lien | | |
| | |
Series 2014A, Rev., 5.00%, 12/1/2024 | | |
Dallas County Park Cities Municipal Utility District Rev., 4.00%, 8/1/2025 | | |
Dallas Fort Worth International Airport | | |
Series F, Rev., 5.00%, 11/1/2024 | | |
Series 2020B, Rev., 5.00%, 11/1/2025 | | |
Series 2013F, Rev., 5.13%, 11/1/2025 | | |
Dallas Independent School District, Unlimited Tax | | |
Series 2016A, GO, PSF-GTD, 4.00%, 2/15/2025 (b) | | |
GO, PSF-GTD, 5.00%, 2/15/2025 | | |
Del Mar College District, Limited Tax GO, 4.00%, 8/15/2023 | | |
Del Valle Independent School District, Unlimited Tax Series 2014A, GO, PSF-GTD, 5.00%, 6/15/2023 | | |
Denton County Housing Finance Corp., THF Pathway on Woodrow LP Series 2022, Rev., 5.00%, 2/1/2025 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Denton Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2023 | | |
Dilley Independent School District, Unlimited Tax, School Building GO, PSF-GTD, 5.00%, 8/15/2023 (b) | | |
El Paso County Hospital District GO, 5.00%, 8/15/2023 | | |
El Paso Housing Finance Corp., Columbia Housing Partners LP Rev., 4.50%, 3/1/2025 (c) | | |
El Paso Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2023 | | |
Ferris Independent School District, Unlimited Tax GO, PSF-GTD, 3.00%, 8/15/2023 | | |
Floresville Independent School District, Unlimited Tax GO, PSF-GTD, 3.00%, 2/1/2025 | | |
Fort Bend County Municipal Utility District No. 58, Unlimited Tax GO, 3.00%, 4/1/2023 | | |
Fort Bend Grand Parkway Toll Road Authority, Subordinate Lien Series A, Rev., GTD, 5.00%, 3/1/2023 | | |
Galveston Public Facility Corp., The Oleanders at Broadway Rev., 0.47%, 8/1/2024 (c) | | |
Garland Independent School District, Unlimited Tax, School Building Series A, GO, 5.00%, 2/15/2025 | | |
Harris County Cultural Education Facilities Finance Corp., Memorial Hermann Health System | | |
Series 2019C-2, Rev., (SIFMA Municipal Swap Index Yield + 0.57%), 3.37%, 3/9/2023 (d) | | |
Series 2019A, Rev., 5.00%, 12/1/2023 | | |
Series 2019A, Rev., 5.00%, 12/1/2024 | | |
Series 2020C-2, Rev., 5.00%, 12/1/2024 (c) | | |
Series 2020C-3, Rev., 5.00%, 12/1/2026 (c) | | |
Series A, Rev., 5.00%, 12/1/2027 | | |
Harris County Cultural Education Facilities Finance Corp., Texas Children's Hospital Rev., 5.00%, 10/1/2023 | | |
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|
Harris County Cultural Education Facilities Finance Corp., Texas Medical Center Obligated Group Series 2019A, Rev., 5.00%, 5/15/2023 | | |
Harris County Flood Control District Series 2021A, GO, 5.00%, 10/1/2023 | | |
Harris County Health Facilities Development Corp., Sisters of Charity of the Incarnate Word Series B, Rev., 5.75%, 7/1/2027 (b) | | |
Housing Options, Inc., Brooks Manor - The Oaks Project Rev., 0.50%, 3/1/2025 (c) | | |
Houston Independent School District, Limited Tax Schoolhouse | | |
Series 2014A-1B, GO, PSF-GTD, 4.00%, 6/1/2023 (c) | | |
GO, PSF-GTD, 5.00%, 2/15/2025 | | |
Houston Independent School District, Maintenance Tax Notes GO, 5.00%, 7/15/2023 | | |
Humble Independent School District, Unlimited Tax School Building Series 2020A, GO, PSF-GTD, 5.00%, 2/15/2025 | | |
Klein Independent School District, Unlimited Tax | | |
Series 2015A, GO, PSF-GTD, 5.00%, 8/1/2024 | | |
GO, PSF-GTD, 5.00%, 2/1/2025 | | |
Leander Independent School District, Unlimited Tax | | |
Series 2013A, GO, PSF-GTD, Zero Coupon, 8/15/2023 (b) | | |
Series 2013A, GO, PSF-GTD, 5.00%, 8/15/2023 (b) | | |
Lewisville Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2023 | | |
Lone Star College System, Limited Tax GO, 5.00%, 2/15/2024 | | |
Lower Colorado River Authority | | |
| | |
Series 2021 A, Rev., 5.00%, 5/15/2023 | | |
Series B, Rev., 5.00%, 5/15/2023 | | |
| | |
Lower Colorado River Authority, LCRA Transmission Services Corp. Project | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
| | |
Lower Neches Valley Authority Industrial Development Corp., ExxonMobil Project Series 2019, Rev., VRDO, 2.48%, 3/1/2023 (c) | | |
Manor Independent School District, Unlimited Tax, School Building Series 2017A, GO, PSF-GTD, 5.00%, 8/1/2023 | | |
Mesquite Independent School District, Unlimited Tax Series 2016C, GO, PSF-GTD, 5.00%, 8/15/2023 | | |
Metropolitan Transit Authority of Harris County, Sales and Use Tax Series 2016D, Rev., 5.00%, 11/1/2023 | | |
Metropolitan Transit Authority of Harris County, Sales and Use Tax, Contractual Obligations | | |
| | |
Series 2015B, Rev., 5.00%, 11/1/2023 | | |
Montgomery County Health Facilities Development Co., Heritage Manor-Woodlands Project | | |
Rev., Zero Coupon, 7/15/2023 (b) | | |
Rev., AGM - CR, Zero Coupon, 7/15/2023 (b) | | |
New Hope Cultural Education Facilities Finance Corp., Jubilee Academic Center Rev., 4.00%, 8/15/2024 (e) | | |
North Texas Municipal Water District Water System | | |
Series 2019A, Rev., 3.00%, 9/1/2024 | | |
| | |
North Texas Municipal Water District, Upper East Fork Wastewater Interceptor System Rev., 5.00%, 6/1/2023 | | |
North Texas Tollway Authority, First Tier | | |
Series 2016A, Rev., 5.00%, 1/1/2024 | | |
Series 2019A, Rev., 5.00%, 1/1/2024 | | |
Series A, Rev., 5.00%, 1/1/2024 | | |
Series A, Rev., 5.00%, 1/1/2025 | | |
Series A, Rev., 5.00%, 1/1/2026 | | |
North Texas Tollway Authority, Second Tier | | |
Series B, Rev., 5.00%, 1/1/2024 | | |
Series B, Rev., 5.00%, 1/1/2025 | | |
Series B, Rev., 5.00%, 1/1/2026 | | |
Permanent University Fund - Texas A&M University System Series 2012A, Rev., 5.00%, 7/1/2023 | | |
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|
|
Permanent University Fund - University of Texas System Series 2015B, Rev., 5.00%, 7/1/2023 | | |
Port Beaumont Navigation District GO, 5.00%, 3/1/2023 | | |
RBC Municipal Products, Inc. Trust Series 2023-G-124, Rev., VRDO, LOC : Royal Bank of Canada, 3.00%, 3/9/2023 (c) (e) | | |
Red River Education Finance Corp., Christian University Project | | |
Rev., 5.00%, 3/15/2023 (b) | | |
| | |
Richardson Independent School District, Unlimited Tax Series 2015B, GO, 5.00%, 2/15/2025 | | |
Rockwall Independent School District, Unlimited Tax GO, PSF-GTD, Zero Coupon, 2/15/2025 | | |
San Antonio Education Facilities Corp., Trinity University Project Rev., 5.00%, 6/1/2023 (b) | | |
San Antonio Independent School District GO, PSF-GTD, 5.00%, 8/15/2024 | | |
San Antonio Municipal Facilities Corp., Public Safety Answering Point Project Rev., 4.00%, 8/15/2023 | | |
San Antonio Water System, Junior Lien | | |
Series 2015B, Rev., 5.00%, 5/15/2023 | | |
Series 2019C, Rev., 5.00%, 5/15/2023 | | |
Series 2020A, Rev., 5.00%, 5/15/2023 | | |
Series 2013E, Rev., 5.00%, 5/15/2024 | | |
Series 2016A, Rev., 5.00%, 5/15/2024 | | |
Series 2014A, Rev., 5.00%, 5/15/2025 | | |
San Jacinto Community College District, Limited Tax GO, 5.00%, 2/15/2025 | | |
San Marcos Consolidated Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/1/2023 (b) | | |
South Texas College, Limited Tax GO, 5.00%, 8/15/2023 | | |
Southwest Higher Education Authority, Inc., Southern Methodist University Project Series 2016A, Rev., 5.00%, 10/1/2024 | | |
State of Texas, Transport Commission GO, 5.00%, 4/1/2024 (b) | | |
State of Texas, Transportation Commission Series A, GO, 5.00%, 10/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
State of Texas, Transportation Commission Mobility Fund GO, 5.00%, 10/1/2024 | | |
| | |
Series 2015 A, GO, VRDO, LIQ : State Street Bank & Trust Co., 3.50%, 3/7/2023 (c) | | |
Series 2013A, GO, VRDO, LIQ : State Street Bank & Trust Co., 2.90%, 3/9/2023 (c) | | |
Tarrant County Cultural Education Facilities Finance Corp., Cook Children's Medical Center Rev., 5.00%, 12/1/2028 | | |
Tarrant County Cultural Education Facilities Finance Corp., Texas Health Resources System Series 2016A, Rev., 5.00%, 2/15/2024 | | |
Tarrant County Hospital District, Senior Lien Rev., 5.00%, 8/15/2023 | | |
Tender Option Bond Trust Receipts/ Certificates Series 2015-XF0228, Rev., VRDO, LIQ : TD Bank NA, 2.95%, 3/9/2023 (c) (e) | | |
Texas A&M University, Financing System Series 2013B, Rev., 5.00%, 5/15/2023 | | |
Texas Department of Housing & Community Affairs, Socorro Village 34 LLC Series 2022, Rev., 4.00%, 8/1/2024 (c) | | |
Texas Department of Housing and Community Affairs, Fishpond at Corpus Christi Apartments Rev., 0.50%, 6/1/2023 (c) | | |
Texas Department of Housing and Community Affairs, Multi-Family Housing, Scott Street Lofts Rev., (MMD + 0.42%), 0.70%, 8/1/2023 (d) | | |
Texas Public Finance Authority Rev., 5.00%, 2/1/2025 | | |
Texas State University System | | |
| | |
Series 2021A, Rev., 5.00%, 3/15/2023 | | |
Series 2017A, Rev., 5.00%, 3/15/2025 | | |
Texas State University, Financing System | | |
Rev., 3.00%, 3/15/2023 (b) | | |
Series 2019A, Rev., 5.00%, 3/15/2025 | | |
Texas Transportation Commission State Highway Fund, First Tier | | |
Series 2014-A, Rev., 5.00%, 4/1/2023 | | |
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Series 2016B, Rev., 0.56%, 4/1/2026 | | |
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|
Texas Water Development Board, Water Implementation Fund | | |
Series 2019A, Rev., 5.00%, 4/15/2023 | | |
Series 2018A, Rev., 5.00%, 10/15/2024 | | |
Texas Water Development Board, Water Implementation, Master Trust Series 2018B, Rev., 5.00%, 4/15/2023 | | |
Texas Woman's University, Financing System Rev., 4.00%, 7/1/2023 | | |
Tomball Independent School District, Unlimited Tax School Building GO, PSF-GTD, 5.00%, 2/15/2025 | | |
Trinity River Authority, Central Regional Wastewater System Rev., 5.00%, 8/1/2023 | | |
Trinity River Authority, Denton Creek Wastewater Treatment System Rev., 5.00%, 2/1/2024 | | |
Trinity River Authority, Water Project | | |
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Troy Independent School District, Unlimited Tax GO, PSF-GTD, 3.00%, 8/1/2023 | | |
University of Houston Series 2017A, Rev., 5.00%, 2/15/2025 | | |
University of North Texas System, Financing System Series 2017A, Rev., 5.00%, 4/15/2025 | | |
University of North Texas, Financing System Series 2020A, Rev., 5.00%, 4/15/2025 | | |
Weatherford Independent School District, Unlimited Tax GO, PSF-GTD, Zero Coupon, 2/15/2025 | | |
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|
Alpine School District, School Building, Guaranty Program | | |
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Series 2017B, GO, 5.00%, 3/15/2023 | | |
City of Salt Lake City, Sales and Excise Tax Series 2016A, Rev., 4.00%, 10/1/2023 | | |
City of Sandy City, Sales Tax Rev., 5.00%, 3/1/2024 | | |
City of St. George, Excise Tax GO, 4.00%, 8/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
City of St. George, Franchise Tax Rev., 5.00%, 12/1/2023 | | |
County of Utah, IHC Health Services, Inc. | | |
Series 2016D, Rev., VRDO, LIQ : US Bank NA, 2.85%, 3/9/2023 (c) | | |
Series 2020B-1, Rev., 5.00%, 8/1/2024 (c) | | |
Series 2020B-2, Rev., 5.00%, 8/1/2026 (c) | | |
Davis School District, School District Bond Guaranty Program Series 2019B, GO, 5.00%, 6/1/2023 | | |
Magna Water District GO, 5.00%, 6/1/2023 | | |
Midvale Redevelopment Agency, Sales Tax Rev., 4.00%, 5/1/2023 | | |
Nebo School District Series 2017C, GO, 4.00%, 7/1/2023 | | |
State of Utah GO, 5.00%, 7/1/2024 | | |
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Series 2013A, Rev., 5.00%, 8/1/2023 | | |
Series 2017A, Rev., 5.00%, 8/1/2023 | | |
Series A-1, Rev., 5.00%, 8/1/2023 | | |
Series 2017A, Rev., 5.00%, 8/1/2024 | | |
Utah Associated Municipal Power Systems, Horse Butte Wind Series 2017A, Rev., 5.00%, 9/1/2026 | | |
Utah Charter School Finance Authority, Summit Academy Incorporated Series A, Rev., 5.00%, 4/15/2023 | | |
Utah State Building Ownership Authority, Facilities Master Lease Program Rev., 5.00%, 5/15/2023 | | |
Utah State Building Ownership Authority, Master Lease Program Series 2012A, Rev., 3.00%, 5/15/2025 | | |
Utah Transit Authority, Sales Tax Series 2015A, Rev., 5.00%, 6/15/2023 | | |
Utah Water Finance Agency, Loan Financing Program | | |
Series 2017C, Rev., 4.00%, 3/1/2023 | | |
Series 2019B, Rev., 5.00%, 3/1/2023 | | |
Washington County School District Board of Education, School Bond Guaranty Program Series 2016B, GO, 5.00%, 3/1/2023 | | |
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Vermont Municipal Bond Bank Series 3, Rev., 5.00%, 12/1/2023 | | |
|
Matching Fund Special Purpose Securitization Corp. Series 2022A, Rev., 5.00%, 10/1/2025 | | |
|
Chesapeake Bay Bridge and Tunnel District General Resolution Series 2019, Rev., BAN, 5.00%, 11/1/2023 | | |
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Series A, Rev., 5.00%, 7/15/2023 | | |
Series A, Rev., AGM - CR, 4.00%, 7/15/2024 | | |
City of Hampton Series 2015-B, GO, 5.00%, 9/1/2024 (b) | | |
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Series A, GO, 5.00%, 10/1/2023 | | |
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City of Winchester, Public Improvement GO, 5.00%, 3/1/2023 | | |
Commonwealth of Virginia Series 2013B, GO, 4.00%, 6/1/2025 | | |
County of Chesterfield COP, 4.00%, 11/1/2023 | | |
County of Culpeper GO, 5.00%, 1/15/2024 | | |
County of Fairfax, Public Improvement Series 2012B, GO, 5.00%, 4/1/2023 | | |
County of Henrico, Water and Sewer Rev., 3.13%, 5/1/2023 (b) | | |
County of Pulaski GO, 5.00%, 2/1/2024 | | |
Culpeper County Economic Development Authority, Capital Projects Rev., 5.00%, 6/1/2024 | | |
Fairfax County Industrial Development Authority, Virginia Health Care, Inova Health System Project Series 2018B, Rev., 5.00%, 5/15/2023 (c) | | |
Hampton Roads Sanitation District, Wastewater | | |
Series 2014A, Rev., 5.00%, 7/1/2023 | | |
Series 2016A, Rev., 5.00%, 8/1/2023 | | |
Henry County Industrial Development Authority Rev., GAN, 2.00%, 11/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Louisa Industrial Development Authority, Electric and Power Co. Project Series 2008B, Rev., 0.75%, 9/2/2025 (c) | | |
Virginia Commonwealth Transportation Board, Capital Projects | | |
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Series 2017A, Rev., 5.00%, 5/15/2025 | | |
Virginia Commonwealth Transportation Board, Federal Transportation | | |
Series 2013A, Rev., GAN, 5.00%, 3/15/2023 (b) | | |
Rev., GAN, 5.00%, 3/15/2025 | | |
Virginia Commonwealth University Series 2014A, Rev., 4.50%, 5/1/2023 | | |
Virginia Commonwealth University Health System Authority Rev., 5.00%, 7/1/2025 | | |
Virginia Housing Development Authority Series 2020B, Rev., 0.99%, 3/1/2024 | | |
Virginia Public Building Authority, Public Facilities | | |
Series 2012A, Rev., 4.00%, 8/1/2023 | | |
Series 2018A, Rev., 5.00%, 8/1/2023 | | |
Series 2020B, Rev., 5.00%, 8/1/2023 | | |
Series A, Rev., 5.00%, 8/1/2023 | | |
Series C, Rev., 4.00%, 8/1/2026 | | |
Virginia Public School Authority, School Financing 1997 Resolution | | |
Series 2013A, Rev., 5.00%, 8/1/2023 | | |
Series 2013A, Rev., 5.00%, 8/1/2023 (b) | | |
Series 2014C, Rev., 5.00%, 8/1/2023 | | |
Series 2015A, Rev., 5.00%, 8/1/2024 | | |
Virginia Public School Authority, School Technology and Security Notes Series VI, Rev., 5.00%, 4/15/2023 | | |
Virginia Resources Authority, Infrastructure Moral Obligation Series 2012B, Rev., 4.00%, 11/1/2024 | | |
Wise County Industrial Development Authority, Electric and Power Co. Project Series 2010A, Rev., 1.20%, 5/31/2024 (c) | | |
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Auburn School District No. 408 of King and Pierce Counties, Unlimited Tax GO, 5.00%, 12/1/2024 | | |
Benton County School District No. 17 Kennewick, Unlimited Tax GO, 5.00%, 12/1/2023 | | |
Benton County School District No. 400 Richland, Unlimited Tax GO, 5.00%, 12/1/2023 | | |
Central Washington University Rev., 4.00%, 5/1/2026 | | |
City of Auburn, Utility System Rev., 5.00%, 12/1/2023 | | |
City of Bothell, Limited Tax GO, 5.00%, 3/1/2023 | | |
City of Edmonds, Water and Sewer Rev., 5.00%, 12/1/2023 | | |
City of Everett, Water and Sewer | | |
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City of Lynnwood, Utility System Rev., 4.00%, 12/1/2023 | | |
City of Olympia, Limited Tax GO, 5.00%, 12/1/2024 | | |
City of Richland, Waterworks Utility Rev., 4.00%, 11/1/2023 | | |
City of Seattle, Limited Tax | | |
Series 2016A, GO, 5.00%, 4/1/2023 | | |
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Series 2013A, GO, 4.00%, 10/1/2023 | | |
City of Seattle, Municipal Light and Power Improvement | | |
Series 2019A, Rev., 5.00%, 4/1/2023 | | |
Series 2020A, Rev., 5.00%, 7/1/2023 | | |
Series 2016C, Rev., 5.00%, 10/1/2023 | | |
City of Spokane, Water and Wastewater System Rev., 5.00%, 12/1/2023 | | |
City of University Place, Limited Tax GO, 4.00%, 12/1/2023 | | |
City of Walla Walla, Unlimited Tax GO, 3.00%, 12/1/2023 | | |
City of Yakima, Limited Tax Series 2014A, GO, 5.00%, 6/1/2023 | | |
Clark County Public Utility District No. 1 Rev., 5.00%, 1/1/2024 | | |
Clark County School District No. 37 Vancouver, Unlimited Tax GO, 5.00%, 12/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Clark County, Vancouver School District No. 37 GO, 3.00%, 12/1/2023 | | |
County of Benton, Limited Tax GO, 3.00%, 12/1/2023 | | |
County of King, Junior Lien, Sewer Series 2020A, Rev., 0.62%, 1/1/2024 (c) | | |
County of King, Sewer, Junior Lien Series B, Rev., 0.88%, 1/1/2026 (c) | | |
County of Skagit, Limited Tax GO, 5.00%, 12/1/2024 | | |
East Wenatchee Water District Rev., 4.00%, 8/1/2023 | | |
Eastern Washington University, Services and Activities Fee Rev., 5.00%, 10/1/2023 | | |
Energy Northwest, Columbia Generating Station Series 2017-A, Rev., 5.00%, 7/1/2023 | | |
Energy Northwest, Project 3 Electric | | |
Series 2018C, Rev., 4.00%, 7/1/2023 | | |
Series C, Rev., 5.00%, 7/1/2023 | | |
Series 2018C, Rev., 5.00%, 7/1/2025 | | |
FYI Properties, State of Washington District Project Rev., 5.00%, 6/1/2023 | | |
Grays Harbor County, Public Utility District No. 1 Rev., 5.00%, 7/1/2023 (b) | | |
King and Snohomish Counties School District No. 417 Northshore, Unlimited Tax GO, 5.00%, 12/1/2024 | | |
King County Fire Protection District No. 39, Unlimited Tax Series 2015A, GO, 5.00%, 12/1/2024 | | |
King County School District No. 403 Renton, Unlimited Tax GO, 4.00%, 12/1/2024 | | |
King County School District No. 405 Bellevue, Unlimited Tax | | |
| | |
| | |
King County School District No. 415 Kent, Unlimited Tax GO, 5.00%, 12/1/2023 | | |
Lewis County Public Utility District No. 1, Cowlitz Falls Hydro Electric Project Rev., 5.00%, 10/1/2023 | | |
Port of Seattle, Intermediate Lien Series B, Rev., 5.00%, 3/1/2023 | | |
RBC Municipal Products, Inc. Trust Series G-123, Rev., VRDO, LIQ : Royal Bank of Canada, 3.00%, 3/9/2023 (c) (e) | | |
| | |
|
|
Spokane County School District No. 356 Central Valley, Unlimited Tax GO, 5.00%, 12/1/2023 | | |
Spokane Public Facilities District, Hotel and Sales Tax Series 2013A, Rev., 5.00%, 6/1/2023 (b) | | |
State of Washington Series R-2022C, GO, 4.00%, 7/1/2027 | | |
State of Washington, Motor Vehicle Fuel Tax | | |
Series 2003C, GO, NATL - RE, Zero Coupon, 6/1/2023 | | |
Series R-2013D, GO, 5.00%, 7/1/2023 | | |
Series 2013E, GO, 5.00%, 2/1/2024 | | |
Series 2013E, GO, 5.00%, 2/1/2025 | | |
State of Washington, Senior 520 Corridor Program, Federal Highway Series 2014C, Rev., 5.00%, 9/1/2024 | | |
State of Washington, State and Local Agency Personal Property Series 2014B, COP, 5.00%, 7/1/2024 | | |
State of Washington, State and Local Agency Real and Personal Property | | |
Series 2015C, COP, 5.00%, 7/1/2023 | | |
Series 2016A, COP, 5.00%, 7/1/2023 | | |
Series 2019D, COP, 5.00%, 7/1/2023 | | |
Series 2018C, COP, 5.00%, 7/1/2024 | | |
State of Washington, Various Purpose | | |
Series R-2015C, GO, 5.00%, 7/1/2023 | | |
Series R-C, GO, 5.00%, 7/1/2023 | | |
Series 2015E, GO, 5.00%, 7/1/2024 | | |
Series 2018A, GO, 5.00%, 8/1/2024 | | |
Series R-2013C, GO, 5.00%, 7/1/2025 | | |
Series 2014A, GO, 5.00%, 8/1/2025 | | |
Series R-2013C, GO, 4.00%, 7/1/2026 | | |
Series 2014A, GO, 5.00%, 8/1/2026 | | |
Series 2013R-C, GO, 4.00%, 7/1/2028 | | |
Washington Economic Development Finance Authority, Washington Biomedical Research Properties II Rev., 5.00%, 6/1/2023 | | |
Washington Health Care Facilities Authority, Overlake Hospital Medical Center Rev., 5.00%, 7/1/2023 | | |
Washington Health Care Facilities Authority, Providence Health and Services | | |
Series 2012A, Rev., 5.00%, 10/1/2023 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Series 2012A, Rev., 5.00%, 10/1/2024 | | |
Series 2012A, Rev., 5.00%, 10/1/2026 | | |
Washington Health Care Facilities Authority, Seattle Cancer Care Alliance Rev., 5.00%, 3/1/2026 | | |
Washington State Housing Finance Commission Series A, Rev., 7.00%, 7/1/2025 (b) (e) | | |
Western Washington University, Housing and Dining System Rev., AGM, 5.00%, 4/1/2023 | | |
| | |
|
West Virginia Economic Development Authority, Appalachian Power Co. Series 2015A, Rev., 2.55%, 4/1/2024 (c) | | |
West Virginia Economic Development Authority, Correctional Juvenile and Public Safety Facilities | | |
Series 2012A, Rev., 5.00%, 6/1/2024 | | |
| | |
West Virginia Economic Development Authority, Solid Waste Disposal Facilities, Appalachian Power Co. Amos Project Rev., 0.62%, 12/15/2025 (c) | | |
West Virginia Higher Education Policy Commission Rev., 5.00%, 4/1/2023 | | |
West Virginia State School Building Authority, Lottery Series 2015A, Rev., 5.00%, 7/1/2023 | | |
West Virginia State School Building Authority, Lottery Capital Improvement Series 2012A, Rev., 5.00%, 7/1/2023 | | |
| | |
|
City of Madison, Water Utility Rev., BAN, 1.50%, 11/1/2024 | | |
City of Milwaukee Series 2016N2, GO, 5.00%, 5/15/2023 | | |
City of Milwaukee, Promissory Notes | | |
Series 2016N2, GO, 4.00%, 3/1/2023 | | |
Series 2020N4, GO, 5.00%, 4/1/2023 | | |
City of Milwaukee, Sewerage System Series 2016S7, Rev., 5.00%, 6/1/2023 | | |
City of Oak Creek Series 2021B, Rev., 2.00%, 4/1/2024 | | |
| | |
|
|
City of Oshkosh, Street Improvement Series 2019A, GO, 2.00%, 12/1/2023 | | |
City of Oshkosh, Wisconsin Sewer System Series D, Rev., 5.00%, 5/1/2023 | | |
County of Dane, Promissory Notes Series 2019A, GO, 2.00%, 6/1/2023 | | |
County of Milwaukee, Corporate Purpose Series 2018D, GO, 3.00%, 8/1/2024 | | |
County of St. Croix Series 2022A, GO, 4.00%, 3/1/2023 | | |
County of Washington GO, 3.00%, 3/1/2023 | | |
County of Waushara Series 2023A, Rev., 4.75%, 12/1/2023 (f) | | |
East Troy Community School District GO, 3.00%, 3/1/2023 | | |
Eau Claire Area School District Rev., BAN, 4.00%, 3/21/2023 | | |
Fond Du Lac School District, Promissory Notes Series 2019A, GO, 3.00%, 4/1/2023 | | |
Franklin Public School District GO, 4.00%, 4/1/2023 | | |
Grafton School District, School Building and Improvement GO, 5.00%, 4/1/2023 (b) | | |
Kohler School District GO, 5.00%, 3/1/2023 | | |
Milton School District GO, 5.00%, 3/1/2023 | | |
Milwaukee Area Technical College District, Promissory Notes Series B, GO, 4.00%, 6/1/2023 | | |
Milwaukee Redevelopment Authority, Public Schools | | |
| | |
Series 2016A, Rev., 5.00%, 11/15/2023 | | |
Onalaska School District Rev., BAN, 4.00%, 4/26/2023 | | |
Public Finance Authority, Coral Academy of Science Series 2021A, Rev., 4.00%, 7/1/2025 | | |
Public Finance Authority, Entrance Fee Principal Redemption, Searstone CCRC Project Series 2021B2, Rev., 2.25%, 6/1/2027 (e) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
Public Finance Authority, KU Campus Development Corp. - Central District Development Project Rev., 5.00%, 3/1/2023 | | |
River Falls School District, Corporate Purpose Series 2018A, GO, 5.00%, 4/1/2023 | | |
River Falls School District, School Building and Improvement Series 2019A, GO, 3.00%, 4/1/2023 | | |
School District of Maple Series 2015A, GO, 5.00%, 4/1/2023 | | |
| | |
Series 2013-1, GO, 5.00%, 5/1/2023 | | |
Series 2015A, GO, 5.00%, 5/1/2023 (b) | | |
Series 2017A, GO, 5.00%, 5/1/2023 | | |
Series 2018A, GO, 5.00%, 5/1/2023 | | |
Series 2018B, GO, 5.00%, 5/1/2023 (b) | | |
Series 2021A, GO, 5.00%, 5/1/2023 | | |
Series 1, GO, 5.00%, 5/1/2024 | | |
Series 2, GO, 5.00%, 11/1/2024 | | |
Series 4, GO, 5.00%, 5/1/2025 | | |
State of Wisconsin Clean Water Fund Leveraged Loan Portfolio | | |
Series 2013-1, Rev., 4.00%, 6/1/2023 (b) | | |
Series 2013-1, Rev., 5.00%, 6/1/2023 (b) | | |
State of Wisconsin, Environmental Improvement Fund Series 2017A, Rev., 5.00%, 6/1/2023 | | |
State of Wisconsin, Master Lease Series 2021A, COP, 4.00%, 3/1/2023 | | |
University of Wisconsin Hospitals & Clinics Series 2021B, Rev., 5.00%, 4/1/2023 | | |
University of Wisconsin Hospitals and Clinics | | |
Series 2013A, Rev., 3.60%, 4/1/2023 (b) | | |
Series 2013-A, Rev., 5.00%, 4/1/2023 (b) | | |
Village of Fox Crossing, Corporate Purpose GO, 3.00%, 4/1/2024 | | |
Village of Menomonee Falls, Corporate Purpose Series B, GO, 3.50%, 2/1/2024 | | |
| | |
|
|
Walworth County Joint School District No. 2 Genoa - Bloomfield, School Improvement GO, 4.00%, 4/1/2023 | | |
Waterford Graded Joint School District No. 1, Promissory Notes GO, 3.00%, 4/1/2023 | | |
Wisconsin Department of Transportation | | |
Series 2013-1, Rev., 5.00%, 7/1/2023 (b) | | |
Series 2017-1, Rev., 5.00%, 7/1/2023 | | |
Wisconsin Health & Educational Facilities Authority | | |
| | |
Series 2013A, Rev., 5.13%, 4/15/2023 (b) | | |
Series 2016A, Rev., 5.00%, 11/15/2024 | | |
Series 2013B-5, Rev., 5.00%, 12/3/2024 (c) | | |
Wisconsin Health and Educational Facilities Authority, Advocate Aurora Health Credit Rev., 5.00%, 1/29/2025 (c) | | |
Wisconsin Health and Educational Facilities Authority, Advocate Aurora Health Credit Group Series 2018C1, Rev., 5.00%, 7/29/2026 (c) | | |
Wisconsin Health and Educational Facilities Authority, Ascension Health Credit Series 2013A, Rev., 5.00%, 11/15/2023 (b) | | |
Wisconsin Health and Educational Facilities Authority, Ascension Senior Credit Group Series 2019A, Rev., 5.00%, 11/15/2024 | | |
Wisconsin Health and Educational Facilities Authority, Aspirus, Inc., Obligated Group Rev., 5.00%, 8/15/2023 | | |
Wisconsin Health and Educational Facilities Authority, Mercy Alliance, Inc. Rev., 5.00%, 6/1/2026 | | |
Wisconsin Health and Educational Facilities Authority, Oakwood Lutheran Senior Ministries | | |
| | |
| | |
Wisconsin Health and Educational Facilities Authority, The Monroe Clinic, Inc. | | |
Rev., 3.00%, 8/15/2025 (b) | | |
Rev., 4.00%, 8/15/2025 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Municipal Bonds — continued |
|
Wisconsin Health and Educational Facilities Authority, Unity Point Health | | |
Series 2014A, Rev., 5.00%, 12/1/2024 | | |
Series 2014A, Rev., 5.00%, 12/1/2025 | | |
| | |
|
Albany County School District No. 1 GO, 4.00%, 6/1/2023 | | |
County of Laramie, Cheyenne Regional Medical Center Rev., 4.00%, 5/1/2023 | | |
Wyoming State Loan and Investment Board, Capital Facilities Series 2012A, Rev., 5.00%, 10/1/2023 | | |
| | |
Total Municipal Bonds
(Cost $2,387,038,408) | | |
| | |
Short-Term Investments — 5.7% |
Investment Companies — 5.7% |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 2.93% (g) (h)
(Cost $143,872,568) | | |
Total Investments — 99.9%
(Cost $2,530,910,976) | | |
Other Assets Less Liabilities — 0.1% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Insured by Assured Guaranty Corp. |
| Insured by Assured Guaranty Municipal Corp. |
| Insured by American Municipal Bond Assurance Corp. |
| |
| |
| Congregate Care Retirement Center |
| |
| Certificate of Participation |
| |
| Insured by Financial Guaranty Insurance Co. |
| Federal Housing Administration |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| |
| Government National Mortgage Association |
| |
| |
| Intercontinental Exchange |
| London Interbank Offered Rate |
| |
| |
| |
| Metropolitan Transportation Authority |
| Insured by National Public Finance Guarantee Corp. |
| Permanent School Fund Guaranteed |
| Qualified School Bond Loan Fund |
| Revenue Anticipation Note |
| |
| |
| South Carolina School District Enhancement |
| The Securities Industry and Financial Markets Association |
| Secured Overnight Financing Rate |
| Tax & Revenue Anticipation Note |
| |
| Variable Rate Demand Obligation |
| Insured by XL Capital Assurance |
| Amount rounds to less than 0.1% of net assets. |
| The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
| Security is prerefunded or escrowed to maturity. | |
| 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 February 28, 2023. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| 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. | |
| The rate shown is the current yield as of February 28, 2023. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
Futures contracts outstanding as of February 28, 2023:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF February 28, 2023
| JPMorgan
Core Plus
Bond ETF | | JPMorgan
International
Bond
Opportunities ETF | |
| | | | |
Investments in non-affiliates, at value | | | | |
Investments in affiliates, at value | | | | |
| | | | |
Foreign currency, at value | | | | |
Deposits at broker for futures contracts | | | | |
Deposits at broker for centrally cleared swaps | | | | |
| | | | |
| | | | |
Investment securities sold | | | | |
Investment securities sold — delayed delivery securities | | | | |
| | | | |
Interest from non-affiliates | | | | |
Dividends from affiliates | | | | |
| | | | |
Variation margin on futures contracts | | | | |
Variation margin on centrally cleared swaps | | | | |
Unrealized appreciation on forward foreign currency exchange contracts | | | | |
| | | | |
| | | | |
| | | | |
TBA short commitments, at value | | | | |
Investment securities purchased | | | | |
Investment securities purchased — delayed delivery securities | | | | |
Variation margin on futures contracts | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | | | |
Variation margin on centrally cleared swaps | | | | |
| | | | |
Management fees (See Note 3.A.) | | | | |
| | | | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF February 28, 2023 (continued)
| JPMorgan Core Plus Bond ETF | | JPMorgan International Bond Opportunities ETF | |
| | | | |
| | | | |
Total distributable earnings (loss) | | | | |
| | | | |
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001) | | | | |
Net asset value, per share | | | | |
Cost of investments in non-affiliates | | | | |
Cost of investments in affiliates | | | | |
| | | | |
| | | | |
Net upfront payments/(receipts) on centrally cleared swaps | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan Short
Duration Core
Plus ETF | JPMorgan
Ultra-Short
Income ETF | JPMorgan
Ultra-Short
Municipal
Income ETF |
| | | |
Investments in non-affiliates, at value | | | |
Investments in affiliates, at value | | | |
Investments of cash collateral received from securities loaned, at value
(See Note 2.E.) | | | |
Repurchase agreements, at value | | | |
| | | |
Foreign currency, at value | | | |
Deposits at broker for futures contracts | | | |
| | | |
| | | |
Investment securities sold | | | |
| | | |
Interest from non-affiliates | | | |
Dividends from affiliates | | | |
Securities lending income (See Note 2.E.) | | | |
| | | |
| | | |
| | | |
Investment securities purchased | | | |
Investment securities purchased — delayed delivery securities | | | |
Collateral received on securities loaned (See Note 2.E.) | | | |
| | | |
Variation margin on futures contracts | | | |
Variation margin on centrally cleared swaps | | | |
| | | |
Management fees (See Note 3.A.) | | | |
| | | |
| | | |
| | | |
| | | |
Total distributable earnings (loss) | | | |
| | | |
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001) | | | |
Net asset value, per share | | | |
Cost of investments in non-affiliates | | | |
Cost of investments in affiliates | | | |
Cost of repurchase agreements | | | |
| | | |
Investment securities on loan, at value (See Note 2.E.) | | | |
Cost of investment of cash collateral (See Note 2.E.) | | | |
Net upfront payments/(receipts) on centrally cleared swaps | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED February 28, 2023
| JPMorgan
Core Plus
Bond ETF | | JPMorgan
International
Bond
Opportunities ETF | |
| | | | |
Interest income from non-affiliates | | | | |
Interest income from affiliates | | | | |
Dividend income from non-affiliates | | | | |
Dividend income from affiliates | | | | |
Foreign taxes withheld (net) | | | | |
| | | | |
| | | | |
Management fees (See Note 3.A.) | | | | |
Interest expense to non-affiliates | | | | |
Interest expense to affiliates | | | | |
| | | | |
| | | | |
Net investment income (loss) | | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on transactions from: | | | | |
Investments in non-affiliates | | | | |
Investments in affiliates | | | | |
| | | | |
| | | | |
Foreign currency transactions | | | | |
Forward foreign currency exchange contracts | | | | |
| | | | |
| | | | |
Distribution of capital gains received from investment company affiliates | | | | |
Change in net unrealized appreciation/depreciation on: | | | | |
Investments in non-affiliates | | | | |
Investments in affiliates | | | | |
| | | | |
Foreign currency translations | | | | |
Forward foreign currency exchange contracts | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Net realized/unrealized gains (losses) | | | | |
Change in net assets resulting from operations | | | | |
(a)
Net of change in foreign capital gains tax of $1,663.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan Short
Duration Core
Plus ETF | JPMorgan
Ultra-Short
Income ETF | JPMorgan
Ultra-Short
Municipal
Income ETF |
| | | |
Interest income from non-affiliates | | | |
Interest income from affiliates | | | |
Dividend income from affiliates | | | |
Income from securities lending (net) (See Note 2.E.) | | | |
| | | |
| | | |
Management fees (See Note 3.A.) | | | |
Interest expense to non-affiliates | | | |
Interest expense to affiliates | | | |
| | | |
| | | |
Net investment income (loss) | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | |
Net realized gain (loss) on transactions from: | | | |
Investments in non-affiliates | | | |
Investments in affiliates | | | |
| | | |
| | | |
| | | |
Distribution of capital gains received from investment company affiliates | | | |
Change in net unrealized appreciation/depreciation on: | | | |
Investments in non-affiliates | | | |
Investments in affiliates | | | |
| | | |
Foreign currency translations | | | |
| | | |
Change in net unrealized appreciation/depreciation | | | |
Net realized/unrealized gains (losses) | | | |
Change in net assets resulting from operations | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
| JPMorgan Core
Plus Bond ETF | |
| Year Ended
February 28, 2023 | Year Ended
February 28, 2022 | Year Ended
February 28, 2023 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
Net increase (decrease) in shares from share transactions | | | | |
(a)
Commencement of operations was October 28, 2021.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan International Bond
Opportunities ETF | |
| Year Ended
February 28, 2023 | Year Ended
February 28, 2022 | Year Ended
February 28, 2023 | Year Ended
February 28, 2022 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Distributions of capital gains received from investment company affiliates | | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
Net increase (decrease) in shares from share transactions | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
| JPMorgan Short
Duration Core Plus ETF | JPMorgan Ultra-Short
Income ETF |
| Year Ended
February 28, 2023 | Period Ended
February 28, 2022 (a) | Year Ended
February 28, 2023 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
Net increase (decrease) in shares from share transactions | | | | |
(a)
Commencement of operations was March 1, 2021.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan Ultra-Short Municipal
Income ETF |
| Year Ended
February 28, 2023 | Year Ended
February 28, 2022 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | |
Net investment income (loss) | | |
| | |
Distributions of capital gains received from investment company affiliates | | |
Change in net unrealized appreciation/depreciation | | |
Change in net assets resulting from operations | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | |
Total distributions to shareholders | | |
| | |
Change in net assets resulting from capital transactions | | |
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Proceeds from shares issued | | |
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Total change in net assets resulting from capital transactions | | |
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Net increase (decrease) in shares from share transactions | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED February 28, 2023
| |
INCREASE (DECREASE) IN CASH | |
Cash flows provided (used) by operating activities: | |
Net decrease in net assets resulting from operations | |
Adjustments to reconcile net increase/decrease in net assets resulting
from operations to net cash provided (used) by operating activities: | |
Purchases of investment securities | |
Proceeds from disposition of investment securities | |
Purchases of short-term investments — affiliates, net | |
Change in unrealized (appreciation)/depreciation on investments in non-affiliates | |
Change in unrealized (appreciation)/depreciation on investments in affiliates | |
Net realized (gain)/loss on investments in non-affiliates | |
Net realized (gain)/loss on investments in affiliates | |
Net realized (gain)/loss on options purchased | |
Net amortization (accretion) of income | |
Increase in interest receivable from non-affiliates | |
Increase in dividends receivable from affiliates | |
Increase in tax reclaims receivable | |
Increase in variation margin receivable | |
Decrease in unrealized appreciation on forward foreign currency exchange contracts | |
Increase in due from custodian | |
Increase in outstanding swap contracts, at value, net | |
Increase in unrealized depreciation on forward foreign currency exchange contracts | |
Decrease in variation margin payable | |
Increase in management fees payable | |
Net cash provided (used) by operating activities | |
Cash flows provided (used) by financing activities: | |
Proceeds from shares issued | |
Cash distributions paid to shareholders (net of reinvestments $0) | |
Net cash provided (used) by financing activities | |
| |
Net increase (decrease) in unrestricted and restricted cash, foreign currency and deposits at broker | |
Restricted and unrestricted cash and foreign currency at beginning of period | |
Restricted and unrestricted cash and foreign currency at end of period | |
Supplemental disclosure of cash flow information:For the period ended February 28, 2023 the Fund paid $1,683 in interest expense.
For purposes of reporting the Statement of Cash Flows, the Fund considers all cash accounts that are not subject to withdrawal restrictions or penalties to be cash equivalents.
Reconciliation of restricted and unrestricted cash and foreign currency at the end of period to the Statement of Assets and Liabilities:
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Foreign currency, at value | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
THIS PAGE IS INTENTIONALLY LEFT BLANK
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net investment
income
(loss) (b) | Net realized
and unrealized
gains
(losses)
on investments | Total from
investment
operations | | | |
JPMorgan Core Plus Bond ETF | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
January 28, 2019 (h) through February 28, 2019 | | | | | | | |
| | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
October 28, 2021 (h) through February 28, 2022 | | | | | | | |
JPMorgan International Bond Opportunities ETF | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
Year Ended February 28, 2019 | | | | | | | |
| | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
October 29, 2018 (h) through February 28, 2019 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the midpoint of the bid/ask spread at the close of business on the listing exchange of the Fund. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ask spread at the close of business on the exchange. |
| Calculation of the net realized and unrealized gains (losses) per share does not correlate with the Fund’s net realized and unrealized gains (losses) presented in the Statement of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
| Prior to November 1, 2019, the Fund may have waived fees if expenses exceeded the expense cap. On November 1, 2019, the Fund adopted a unitary fee structure where a management fee is accrued by the Fund based on prior day net assets and other expenses are paid by the Advisor. |
| Commencement of operations. |
| Since the Shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from the inception to the first day of secondary market trading, the net asset value is used as a proxy for the secondary market trading price to calculate the market returns. |
| Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| Amount rounds to less than 0.5%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| | | | | Ratios to average net assets (a) | |
Net asset
value,
end of
period | | | Market
price
total
return (c)(e) | | | Net
investment
income
(loss) | Expenses
without waivers
and reimbursements | Portfolio
turnover
rate (c) |
| | | | | | | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net investment
income
(loss) (b) | Net realized
and unrealized
gains
(losses)
on investments | Total from
investment
operations | | | |
JPMorgan Short Duration Core Plus ETF | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
March 1, 2021 (f) through February 28, 2022 | | | | | | | |
JPMorgan Ultra-Short Income ETF | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
Year Ended February 28, 2019 | | | | | | | |
JPMorgan Ultra-Short Municipal Income ETF | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
October 16, 2018 (f) through February 28, 2019 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the midpoint of the bid/ask spread at the close of business on the listing exchange of the Fund. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ask spread at the close of business on the exchange. |
| Commencement of operations. |
| Since the Shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from the inception to the first day of secondary market trading, the net asset value is used as a proxy for the secondary market trading price to calculate the market returns. |
| Amount rounds to less than $0.005. |
| Prior to November 1, 2019, the Fund may have waived fees if expenses exceeded the expense cap. On November 1, 2019, the Fund adopted a unitary fee structure where a management fee is accrued by the Fund based on prior day net assets and other expenses are paid by the Advisor. |
| Calculation of the net realized and unrealized gains (losses) per share does not correlate with the Fund’s net realized and unrealized gains (losses) presented in the Statement of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
| Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| | | | | Ratios to average net assets (a) | |
Net asset
value,
end of
period | | | Market
price
total
return (c)(e) | | | Net
investment
income
(loss) | Expenses
without waivers
and reimbursements | Portfolio
turnover
rate (c) |
| | | | | | | | |
| | | | | | | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023
1. Organization
J.P. Morgan Exchange-Traded Fund Trust (the “Trust”) was formed on February 25, 2010, and is governed by a Declaration of Trust as amended and restated February 19, 2014, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 7 separate funds of the Trust (each, a "Fund" and collectively, the "Funds") covered by this report:
| Diversification Classification |
JPMorgan Core Plus Bond ETF | |
| |
JPMorgan International Bond Opportunities ETF | |
| |
JPMorgan Short Duration Core Plus ETF | |
JPMorgan Ultra-Short Income ETF | |
JPMorgan Ultra-Short Municipal Income ETF | |
The investment objective of JPMorgan Core Plus Bond ETF (“Core Plus Bond ETF”) is to seek a high level of current income by investing primarily in a diversified portfolio of high-, medium- and low-grade debt securities.
The investment objective of JPMorgan Income ETF (“Income ETF”) is to seek to provide income with a secondary objective of capital appreciation.
The investment objective of JPMorgan International Bond Opportunities ETF (“International Bond Opportunities ETF”) is to seek to provide total return.
The investment objective of JPMorgan Municipal ETF (“Municipal ETF”) is to seek to provide monthly dividends, which are excluded from gross income, and to protect the value of your investment by investing primarily in municipal obligations. For purposes of the Fund’s investment objective, “gross income” means gross income for federal income tax purposes.
The investment objective of JPMorgan Short Duration Core Plus ETF (“Short Duration Core Plus ETF”) is to seek total return, consistent with preservation of capital.
The investment objective of JPMorgan Ultra-Short Income ETF (“Ultra-Short Income ETF”) is to seek to provide current income while seeking to maintain a low volatility of principal.
The investment objective of JPMorgan Ultra-Short Municipal Income ETF (“Ultra-Short Municipal Income ETF”) is to seek to provide as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as adviser (the “Adviser”) and administrator (the “Administrator”) to the Funds.
Shares of each Fund are listed and traded at market price on an exchange as follows:
| |
| |
| |
International Bond Opportunities ETF | |
| |
Short Duration Core Plus ETF | |
| |
Ultra-Short Municipal Income ETF | |
|
| Effective September 15, 2022, the Ultra-Short Income ETF changed its listing exchange from Cboe BZX Exchange, Inc. to NYSE Arca. |
Market prices for the Funds’ shares may be different from their net asset value (“NAV”).
The Funds issue and redeem their shares on a continuous basis, through JPMorgan Distribution Services, Inc. (the “Distributor” or “JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, at NAV in large blocks of shares, referred to as “Creation Units”. Creation Units are issued and redeemed principally in-kind for a basket of securities. A cash amount may be substituted if a Fund has sizable exposure to market or sponsor restricted securities. Shares are generally traded in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Only individuals or institutions that have entered into an authorized participant agreement with the Distributor may do business directly with the Funds (each, an “Authorized Participant”).
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds' 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 1940 Act, 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 Funds 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 Funds. 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 Funds' investments. Investments for which market quotations are not readily available are fair valued using prices supplied by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the NAVs of the Funds are calculated on a valuation date. Certain foreign equity instruments are valued by applying international fair value factors provided by approved Pricing Services. The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts and options are generally valued on the basis of available market quotations.
See the tables 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 Core Plus Bond ETF, Income ETF, International Bond Opportunities ETF and Short Duration Core Plus ETF at February 28, 2023.
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 Funds' investments are summarized into the three broad levels listed below.
•
Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
•
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 Funds' 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.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments ("SOIs"):
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
Oil, Gas & Consumable Fuels | | | | |
| | | | |
Wireless Telecommunication Services | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Commercial Services & Supplies | | | | |
| | | | |
Construction & Engineering | | | | |
| | | | |
| | | | |
| | | | |
Diversified Consumer Services | | | | |
Diversified Financial Services | | | | |
Diversified Telecommunication Services | | | | |
| | | | |
| | | | |
Electronic Equipment, Instruments & Components | | | | |
Energy Equipment & Services | | | | |
| | | | |
Equity Real Estate Investment Trusts (REITs) | | | | |
| | | | |
| | | | |
| | | | |
Health Care Equipment & Supplies | | | | |
Core Plus Bond ETF (continued) | | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
Health Care Providers & Services | | | | |
| | | | |
Hotels, Restaurants & Leisure | | | | |
| | | | |
| | | | |
Independent Power and Renewable Electricity Producers | | | | |
| | | | |
Interactive Media & Services | | | | |
Internet & Direct Marketing Retail | | | | |
| | | | |
| | | | |
Life Sciences Tools & Services | | | | |
| | | | |
| | | | |
| | | | |
Mortgage Real Estate Investment Trusts (REITs) | | | | |
| | | | |
| | | | |
Oil, Gas & Consumable Fuels | | | | |
| | | | |
| | | | |
Real Estate Management & Development | | | | |
| | | | |
Semiconductors & Semiconductor Equipment | | | | |
| | | | |
| | | | |
Technology Hardware, Storage & Peripherals | | | | |
Textiles, Apparel & Luxury Goods | | | | |
Thrifts & Mortgage Finance | | | | |
| | | | |
Trading Companies & Distributors | | | | |
Transportation Infrastructure | | | | |
Wireless Telecommunication Services | | | | |
| | | | |
Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
| | | | |
U.S. Government Agency Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
| | | | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
Core Plus Bond ETF (continued) | | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
Depreciation in Other Financial Instruments | | | | |
Forward Foreign Currency Exchange Contracts | | | | |
| | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | | | | |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
Foreign Government Securities | | | | |
Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
| | | | |
| | | | |
Total Liabilities in Securities Sold Short | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
Forward Foreign Currency Exchange Contracts | | | | |
| | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | | | | |
International Bond Opportunities ETF | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
| | | | |
| | | | |
Total Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
International Bond Opportunities ETF (continued) | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
Foreign Government Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
Forward Foreign Currency Exchange Contracts | | | | |
| | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
Forward Foreign Currency Exchange Contracts | | | | |
| | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other Financial Instruments | | | | |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | | | | |
Short Duration Core Plus ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
Foreign Government Securities | | | | |
Mortgage-Backed Securities | | | | |
| | | | |
U.S. Treasury Obligations | | | | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
Short Duration Core Plus ETF (continued) | | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
Investment of Cash Collateral from Securities Loaned | | | | |
U.S. Treasury Obligations | | | | |
Total Short-Term Investments | | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | | | | |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
Foreign Government Securities | | | | |
U.S. Government Agency Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Investment of Cash Collateral from Securities Loaned | | | | |
| | | | |
Total Short-Term Investments | | | | |
Total Investments in Securities | | | | |
There were no significant transfers into or out of level 3 for the year ended February 28, 2023.
Ultra-Short Municipal Income ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Ultra-Short Municipal Income ETF (continued) | | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
| Balance as of
February 28,
2022 | | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | | | | | | Balance as of
February 28,
2023 |
Investments in Securities: | | | | | | | | | | |
| | | | | | | | | | |
Collateralized Mortgage Obligations | | | | | | | | | | |
Commercial Mortgage-Backed Securities | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
|
| Purchases include all purchases of securities and securities received in corporate actions. |
| Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
| Certain Level 3 investments were re-classified between Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage-Backed Securities. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at February 28, 2023, which were valued using significant unobservable inputs (level 3) amounted to $(271,155). This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
For the year ended February 28, 2023, transfers in and out of level 3 were the result of decreased or increased transparency of market activity (e.g., trades of the Fund’s investments, similar securities of the issuer and/or comparable securities) and observability of certain inputs used by Pricing Services or the Valuation Designee, as applicable, in determining fair value. This change in observability and resulting changes in levels does not impact liquidity or fair value of the Fund's investments or reflect any change in the investment strategy of the Fund.
| Balance as of
February 28,
2022 | | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | | | | | Balance as of
February 28,
2023 |
Investments in Securities: | | | | | | | | | |
| | | | | | | | | |
Collateralized Mortgage Obligations | | | | | | | | | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
| Balance as of February 28, 2022 | | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | | | | | Balance as of February 28, 2023 |
Commercial Mortgage-Backed Securities | | | | | | | | | |
| | | | | | | | | |
|
| Purchases include all purchases of securities and securities received in corporate actions. |
| 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 February 28, 2023, which were valued using significant unobservable inputs (level 3) amounted to $(30,320). This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
For the year ended February 28, 2023, transfers in and out of level 3 were the result of decreased or increased transparency of market activity (e.g., trades of the Fund’s investments, similar securities of the issuer and/or comparable securities) and observability of certain inputs used by Pricing Services or the Valuation Designee, as applicable, in determining fair value. This change in observability and resulting changes in levels does not impact liquidity or fair value of the Fund's investments or reflect any change in the investment strategy of the Fund.
International Bond Opportunities ETF | Balance as of
February 28,
2022 | | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | | | | | Balance as of
February 28,
2023 |
Investments in Securities: | | | | | | | | | |
| | | | | | | | | |
Collateralized Mortgage Obligations | | | | | | | | | |
Commercial Mortgage-Backed Securities | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
|
| Purchases include all purchases of securities and securities received in corporate actions. |
| 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 February 28, 2023, which were valued using significant unobservable inputs (level 3) amounted to $(91,865). This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
For the year ended February 28, 2023, transfers in and out of level 3 were the result of decreased or increased transparency of market activity (e.g., trades of the Fund’s investments, similar securities of the issuer and/or comparable securities) and observability of certain inputs used by Pricing Services or the Valuation Designee, as applicable, in determining fair value. This change in observability and resulting changes in levels does not impact liquidity or fair value of the Fund's investments or reflect any change in the investment strategy of the Fund.
Short Duration Core Plus ETF | Balance as of
February 28,
2022 | | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | | | | | | Balance as of
February 28,
2023 |
Investments in Securities: | | | | | | | | | | |
Short Duration Core Plus ETF | Balance as of February 28, 2022 | | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | | | | | | Balance as of February 28, 2023 |
| | | | | | | | | | |
Collateralized Mortgage Obligations | | | | | | | | | | |
Commercial Mortgage-Backed Securities | | | | | | | | | | |
| | | | | | | | | | |
|
| Purchases include all purchases of securities and securities received in corporate actions. |
| Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
| Certain Level 3 investments were re-classified between Asset-Backed Securities and Commercial Mortgage-Backed Securities. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at February 28, 2023, which were valued using significant unobservable inputs (level 3) amounted to $(35,382). This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
For the year ended February 28, 2023, transfers in and out of level 3 were the result of decreased or increased transparency of market activity (e.g., trades of the Fund’s investments, similar securities of the issuer and/or comparable securities) and observability of certain inputs used by Pricing Services or the Valuation Designee, as applicable, in determining fair value. This change in observability and resulting changes in levels does not impact liquidity or fair value of the Fund's investments or reflect any change in the investment strategy of the Fund.
The significant unobservable inputs used in the fair value measurement of the Funds' investments are listed below. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default rate may decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
Core Plus
Bond ETF
Quantitative Information about Level 3 Fair Value Measurements #
| Fair Value at
February 28, 2023 | | | Range (Weighted
Average) (a) |
| | | | |
| | | | |
| | | Yield (Discount Rate of Cash Flows) | |
| | | | |
| | | | |
| | | | |
| | | Yield (Discount Rate of Cash Flows) | |
| | | | |
Collateralized Mortgage Obligations | | | | |
| | | | |
| The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At February 28, 2023, the value of these investments was $3,523,722. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
| Unobservable inputs were weighted by the relative fair value of the instruments. |
Income ETF
Quantitative Information about Level 3 Fair Value Measurements #
| Fair Value
at February 28, 2023 | | | |
| | | | |
| | | | |
| | | Yield (Discount Rate of Cash Flows) | |
| | | | |
| | | | |
| | | | |
| | | Yield (Discount Rate of Cash Flows) | |
| | | | |
Collateralized Mortgage Obligations | | | | |
| | | | |
| The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At February 28, 2023, the value of these investments was $1,839,646. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
| Unobservable inputs were weighted by the relative fair value of the instruments. |
International
Bond
Opportunities
ETF
Quantitative Information about Level 3 Fair Value Measurements #
| Fair Value
at February 28, 2023 | | | |
| | | Yield (Discount Rate of Cash Flows) | |
| | | | |
Collateralized Mortgage Obligations | | | | |
| | | | |
| The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At February 28, 2023, the value of these investments was $394,971. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
| Unobservable inputs were weighted by the relative fair value of the instruments. |
Short
Duration
Core Plus
ETF
Quantitative Information about Level 3 Fair Value Measurements #
| Fair Value
at February 28, 2023 | | | |
| | | | |
| | | Yield (Discount Rate of Cash Flows) | |
| | | | |
| | | | |
| The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At February 28, 2023, the value of these investments was $869,069. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
| Unobservable inputs were weighted by the relative fair value of the instruments. |
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of February 28, 2023, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
C. Repurchase Agreements — Ultra-Short Income ETF may enter into repurchase agreement transactions that meet the credit guidelines of JPMIM. Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price. The Fund requires that the collateral received in a repurchase agreement transaction be transferred to a custodian in a manner sufficient to enable the Fund to obtain collateral in the event of a counterparty default. If the counterparty defaults and the fair value of the collateral declines, realization of the collateral by the Fund may be delayed or limited. Repurchase agreement collateral may be held in segregated accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan.
The Fund's repurchase agreements are not subject to master netting arrangements.
D. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — The Funds purchased when-issued securities, including To Be Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.
International Bond Opportunities ETF may be required to post or receive collateral for delayed delivery securities in the form of cash or securities under a Master Securities Forward Transaction Agreement with the counterparties (each, an “MSFTA”). The collateral requirements are generally calculated by netting the mark-to-market amount for a Fund's transactions under the MSFTA and comparing that amount to the value of the collateral pledged by a fund and the counterparty. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by a Fund is held in a segregated account at the Fund's custodian bank and is included on the Statements of Assets and Liabilities as Restricted cash. Collateral received by the Fund is held in a separate segregated account maintained by JPMCB. These amounts are not reflected on the Fund's Statements of Assets and Liabilities.
The Funds had when-issued securities, delayed delivery securities or forward commitments outstanding as of February 28, 2023, which are shown as a Receivable for Investment securities sold — delayed delivery securities and a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statements of Assets and Liabilities. The values of these securities held at February 28, 2023 are detailed on the SOIs, if any.
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
E. Securities Lending — The Funds, except International Bond Opportunities ETF, are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of February 28, 2023.
| Investment Securities
on Loan, at value,
Presented on the
Statements of Assets
and Liabilities | Cash Collateral
Posted by Borrower* | Net Amount Due
to Counterparty
(not less than zero) |
Short Duration Core Plus ETF | | | |
| | | |
|
| Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived management fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.13% to 0.06%. For the year ended February 28, 2023, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
Short Duration Core Plus ETF | |
| |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).
Core Plus Bond ETF, Income ETF, International Bond Opportunities ETF, Municipal ETF and Ultra-Short Municipal Income ETF did not lend out any securities during the year ended February 28, 2023.
F. Investment Transactions with Affiliates — The Funds invested in Underlying Funds, which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. The Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
|
For the year ended February 28, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | Shares at
February 28,
2023 | | Capital Gain
Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of February 28, 2023. |
|
For the year ended February 28, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | Shares at
February 28,
2023 | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 4.72% (a) (b) | | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of February 28, 2023. |
International Bond Opportunities ETF |
For the year ended February 28, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | Shares at
February 28,
2023 | | Capital Gain
Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of February 28, 2023. |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
|
For the year ended February 28, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | Shares at
February 28,
2023 | | Capital Gain
Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 2.93% (a) (b) | | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of February 28, 2023. |
Short Duration Core Plus ETF |
For the year ended February 28, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | Shares at
February 28,
2023 | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 4.72% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | | | | | | | | | |
| | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of February 28, 2023. |
| Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
|
For the year ended February 28, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | Shares at
February 28,
2023 | | Capital Gain
Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.78% (a) (b) | | | | | | | | | |
Ultra-Short Income ETF (continued) |
For the year ended February 28, 2023 |
| | | | | Change in Unrealized Appreciation/ (Depreciation) | | Shares at February 28, 2023 | | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | | | | | | | | | |
| | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of February 28, 2023. |
| Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
Ultra-Short Municipal Income ETF |
For the year ended February 28, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | Shares at
February 28,
2023 | | Capital Gain
Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 2.93% (a) (b) | | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of February 28, 2023. |
G. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund's books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
and liabilities denominated in foreign currencies, which are held at year end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
H. Derivatives —The Funds used derivative instruments including futures contracts, forward foreign currency exchange contracts and swaps, in connection with their respective investment strategy. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Funds may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing the Funds to close out their position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds' risk of loss associated with these instruments may exceed their value, as recorded on the Statements of Assets and Liabilities.
The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds' ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds' net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Funds often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Funds. The ISDA agreements give the Funds and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable against collateral posted to a segregated account by one party for the benefit of the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark-to-market gains to the Funds.
Notes H(1) — H(4) below describe the various derivatives used by the Funds.
(1) Options — Income ETF purchased and/or sold ("wrote") put and call options on various instruments including futures, securities and interest rate swaps (“swaptions”) to manage and hedge interest rate risks within their portfolios and also to gain long or short exposure to the underlying instrument, index, currency or rate. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller. Swaptions and Eurodollar options are settled for cash.
Options Purchased — Premiums paid by the Funds for options purchased are included on the Statement of Assets and Liabilities as Options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation on options purchased on the Statement of Operations. If the option is allowed to expire, the Funds will lose the entire premium it paid and records a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or will offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
(2) Futures Contracts — The Funds used treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments. The Funds also purchased futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Funds to interest rate risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds' credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Funds' futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(3) Forward Foreign Currency Exchange Contracts — Core Plus Bond ETF, Income ETF and International Bond Opportunities ETF are exposed to foreign currency risks associated with some or all of their portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Funds also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of the foreign currency.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Funds also record a realized gain or loss, upon settlement, when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty.
The Funds' forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions).
The Funds may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(4) Swaps — Core Plus Bond ETF, Income ETF, International Bond Opportunities ETF, Municipal ETF and Short Duration Core Plus ETF engaged in various swap transactions, to manage credit and interest rate (e.g., duration, yield curve) risks within their respective portfolios. The Funds also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over-the-counter (“OTC swaps”) between a fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.
Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, on the Statements of Assets and Liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statements of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the Schedule of Portfolio Investments, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statements of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on swaps on the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
The central clearinghouse acts as the counterparty to each centrally cleared swap transaction; therefore credit risk is limited to the failure of the clearinghouse.
The Funds’ OTC swap contracts are subject to master netting arrangements.
Credit Default Swaps
Core Plus Bond ETF, Income ETF, Municipal ETF and Short Duration Core Plus ETF entered into credit default swaps to simulate long and/or short bond positions or to take an active long and/or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the Funds, as protection sellers, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to the Fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract and is not reflected on the Statements of Assets and Liabilities. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
Interest Rate Swaps
International Bond Opportunities ETF entered into interest rate swap contracts to manage fund exposure to interest rates or to either preserve or generate a return on a particular investment or portion of its portfolio. These are agreements between counterparties to exchange periodic interest payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate, while the other is typically based on a fixed interest rate.
(5) Summary of Derivatives Information —The following tables present the value of derivatives held as of February 28, 2023, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
| | | International
Bond
Opportunities
ETF | | Short
Duration
Core Plus
ETF | Ultra-Short
Municipal
Income ETF |
Foreign Exchange Rate Risk Exposure: | | | | | | |
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | | |
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | | |
Interest Rate Risk Exposure: | | | | | | |
Unrealized Appreciation on Futures Contracts * | | | | | | |
Swaps at Value (Assets) ** | | | | | | |
Unrealized Depreciation on Futures Contracts * | | | | | | |
Swaps at Value (Liabilities) ** | | | | | | |
| | | | | | |
Swaps at Value (Assets) ** | | | | | | |
Swaps at Value (Liabilities) ** | | | | | | |
Net Fair Value of Derivative Contracts: | | | | | | |
Unrealized Appreciation (Depreciation) on Futures Contracts * | | | | | | |
| | | | | | |
Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts | | | | | | |
|
| Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported on the SOIs. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
| Includes the fair value of centrally cleared swap contracts as reported on the SOIs. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following table presents the Fund's gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of February 28, 2023:
International Bond Opportunities ETF
| Gross Amount of Derivative Assets
Subject to Netting Arrangements
Presented on the Statement of Assets
and Liabilities(a) | Derivatives
Available
for Offset | | Net Amount Due
From Counterparty
(Not less than zero) |
| | | | |
| | | | |
| | | | |
Goldman Sachs International | | | | |
| | | | |
Merrill Lynch International | | | | |
| | | | |
| | | | |
| Gross Amount of Derivative Assets Subject to Netting Arrangements Presented on the Statement of Assets and Liabilities(a) | Derivatives Available for Offset | | Net Amount Due From Counterparty (Not less than zero) |
| | | | |
| | | | |
| | | | |
| Gross Amount of Derivative Liabilities Subject to Netting Arrangements Presented on the Statement of Assets and Liabilities(a) | Derivative Available for Offset | | Net Amount Due to Counterparty (Not less than zero) |
| | | | |
| | | | |
Goldman Sachs International | | | | |
| | | | |
Merrill Lynch International | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
|
| For financial reporting purposes the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statement of Assets and Liabilities. |
The following tables present the effect of derivatives on the Statements of Operations for the year ended February 28, 2023, by primary underlying risk exposure:
| | | International
Bond
Opportunities
ETF | | Short
Duration
Core Plus
ETF | | Ultra-Short
Municipal
Income ETF |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: |
Foreign Exchange Rate Risk Exposure: |
Forward Foreign Currency Exchange Contracts | | | | | | | |
| | | | | | | |
Interest Rate Risk Exposure: |
| | | | | | | |
| | | | | | | |
|
| | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: |
Foreign Exchange Rate Risk Exposure: |
Forward Foreign Currency Exchange Contracts | | | | | | | |
Interest Rate Risk Exposure: |
| | | | | | | |
| | | | | | | |
|
| | | | | | | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
Derivatives Volume
The table below discloses the volume of the Funds' options, futures contracts, forward foreign currency exchange contracts and swaps activity during the year ended February 28, 2023. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity:
| | | International
Bond
Opportunities
ETF | |
| | | | |
Average Notional Balance Long | | | | |
Average Notional Balance Short | | | | |
Ending Notional Balance Long | | | | |
Ending Notional Balance Short | | | | |
Forward Foreign Currency Exchange Contracts: | | | | |
Average Settlement Value Purchased | | | | |
Average Settlement Value Sold | | | | |
Ending Settlement Value Purchased | | | | |
Ending Settlement Value Sold | | | | |
Interest Rate-Related Swaps : | | | | |
Average Notional Balance - Pays Fixed Rate | | | | |
Average Notional Balance - Receives Fixed Rate | | | | |
Ending Notional Balance - Pays Fixed Rate | | | | |
Ending Notional Balance - Receives Fixed Rate | | | | |
| | | | |
Average Number of Contracts Purchased | | | | |
| | | | |
Average Notional Balance - Buy Protection | | | | |
Average Notional Balance -Sell Protection | | | | |
Ending Notional Balance - Buy Protection | | | | |
Ending Notional Balance - Sell Protection | | | | |
| Short
Duration
Core Plus
ETF | | Ultra-Short
Municipal
Income ETF |
| | | |
Average Notional Balance Long | | | |
Average Notional Balance Short | | | |
Ending Notional Balance Long | | | |
Ending Notional Balance Short | | | |
| | | |
Average Notional Balance - Buy Protection | | | |
Average Notional Balance -Sell Protection | | | |
Ending Notional Balance - Buy Protection | | | |
The Funds may be required to post or receive collateral based on the net value of the Funds’ outstanding non-deliverable forward foreign currency exchange contracts and/or OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Funds is held in a segregated account at the Funds’ custodian bank. For certain counterparties cash collateral posted by the Funds is invested in an affiliated money market fund (See Note 3.E), otherwise the cash collateral is included on the Statements of Assets and Liabilities as Restricted cash for OTC derivatives. Collateral received by the Funds is held in a separate segregated account maintained by JPMCB, an affiliate of the Funds.
International Bond Opportunities ETF’s derivative contracts collateral requirements and collateral posted or received by counterparty as of February 28, 2023 are as follows:
| | | | |
International Bond Opportunities ETF | | Goldman Sachs International | | |
The Funds' derivatives contracts held at February 28, 2023 are not accounted for as hedging instruments under GAAP.
I. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts.
Dividend income, net of foreign taxes withheld, if any, and distributions of net investment income and realized capital gains from the Underlying Funds, if any, are recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
J. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds' tax positions for all open tax years and has determined that as of February 28, 2023, no liability for Federal income tax is required in the Funds' financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund's Federal tax returns for the prior three fiscal years, or since inception if shorter, remain subject to examination by the Internal Revenue Service.
K. Foreign Taxes —The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. When a capital gains tax is determined to apply, the Funds record an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
L. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least monthly and are declared separately for each class. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
The following amounts were reclassified within the capital accounts:
| | Accumulated
undistributed
(distributions in
excess of)
net investment
income | Accumulated
net realized
gains (losses) |
| | | |
| | | |
International Bond Opportunities ETF | | | |
| | | |
Short Duration Core Plus ETF | | | |
| | | |
Ultra-Short Municipal Income ETF | | | |
The reclassifications for the Funds relate primarily to tax adjustments on certain derivatives and investments and foreign currency gains or losses.
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
3. Fees and Other Transactions with Affiliates
A. Management Fee— JPMIM manages the investments of each Fund pursuant to a Management Agreement. For such services, JPMIM is paid a fee which is accrued daily and paid no more frequently than monthly based on each Fund's respective average daily net assets at the following rate:
| |
| |
| |
International Bond Opportunities ETF | |
| |
Short Duration Core Plus ETF | |
| |
Ultra-Short Municipal Income ETF | |
Under each Management Agreement, JPMIM is responsible for substantially all expenses of each Fund, (including expenses of the Trust relating to each Fund), except for the management fees, payments under the Funds' 12b-1 plan (if any), interest expenses, dividend and interest expenses related to short sales, taxes, acquired fund fees and expenses (other than fees for funds advised by the Adviser and/or its affiliates), costs of holding shareholder meetings, and litigation and potential litigation and other extraordinary expenses not incurred in the ordinary course of each Fund’s business. Additionally, each Fund is responsible for its non-operating expenses, including brokerage commissions and fees and expenses associated with each Fund’s securities lending program, if applicable. For the avoidance of doubt, the Adviser’s payment of such expenses may be accomplished through a Fund’s payment of such expenses and a corresponding reduction in the fee payable to the Adviser, provided, however, that if the amount of expenses paid by a Fund exceeds the fee payable to the Adviser, the Adviser will reimburse that Fund for such amount.
B. Administration Fee — JPMIM provides administration services to the Funds. Pursuant to each Management Agreement, JPMIM is compensated as described in Note 3.A.
JPMCB serves as the Funds' sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the management fees payable to JPMIM.
C. Custodian, Accounting and Transfer Agent Fees— JPMCB provides custody, accounting and transfer agency services to the Funds. For performing these services, JPMIM pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses.
Additionally, Authorized Participants generally pay transaction fees associated with the creation and redemption of Fund shares. These fees are paid to JPMIM to offset certain custodian charges that are covered by each Management Agreement.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
D. Distribution Services — The Distributor or its agent distributes Creation Units for each Fund on an agency basis. The Distributor does not maintain a secondary market in shares of each Fund. JPMDS receives no fees for their distribution services under the distribution agreement with the Trust (the “Distribution Agreement”). Although the Trust does not pay any fees under the Distribution Agreement, JPMIM pays JPMDS for certain distribution related services.
E. Waivers and Reimbursements — The Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The fees for the affiliated money market funds, except for investments of securities lending cash collateral, are covered under each Management Agreement as described in Note 3.A.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers receive no compensation from the Funds for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. The fees associated with the office of the Chief Compliance Officer are paid for by JPMIM as described in Note 3.A.
During the year ended February 28, 2023, the Funds, excluding Ultra-Short Municipal Income ETF, purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended February 28, 2023, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) | Purchases
of U.S.
Government | |
| | | | |
| | | | |
International Bond Opportunities ETF | | | | |
| | | | |
Short Duration Core Plus ETF | | | | |
| | | | |
Ultra-Short Municipal Income ETF | | | | |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at February 28, 2023 were as follows:
| | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
| | | | |
| | | | |
International Bond Opportunities ETF | | | | |
| | | | |
Short Duration Core Plus ETF | | | | |
| | | | |
Ultra-Short Municipal Income ETF | | | | |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to tax adjustments on certain derivatives and investments and foreign currency currency gain/loss.
The tax character of distributions paid during the year ended February 28, 2023 was as follows:
| | Net
Long-Term
Capital Gains | | |
| | | | |
| | | | |
International Bond Opportunities ETF | | | | |
| | | | |
Short Duration Core Plus ETF | | | | |
| | | | |
Ultra-Short Municipal Income ETF | | | | |
|
| Short-term gain distributions are treated as ordinary income for income tax purposes. |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
The tax character of distributions paid during the year ended February 28, 2022 was as follows:
| | Net
Long-Term
Capital Gains | | |
| | | | |
| | | | |
International Bond Opportunities ETF | | | | |
| | | | |
Short Duration Core Plus ETF | | | | |
| | | | |
Ultra-Short Municipal Income ETF | | | | |
|
| Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of February 28, 2023, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
| Current
Distributable
Ordinary
Income | Current
Distributable
Long-Term
Capital Gain
(Tax Basis Capital
Loss Carryover) | | Unrealized
Appreciation
(Depreciation) |
| | | | |
| | | | |
International Bond Opportunities ETF | | | | |
| | | | |
Short Duration Core Plus ETF | | | | |
| | | | |
Ultra-Short Municipal Income ETF | | | | |
The cumulative timing differences primarily consist of tax adjustments on certain derivatives and investments, post-October capital loss deferrals, foreign currency gain/loss and wash sale loss deferrals.
At February 28, 2023, the following Funds had net capital loss carryforwards which are available to offset future realized gains:
| Capital Loss Carryforward Character |
| | |
| | |
| | |
International Bond Opportunities ETF | | |
| | |
Short Duration Core Plus ETF | | |
Ultra-Short Municipal Income ETF | | |
Specified ordinary losses and net capital losses (gains) incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Fund's next taxable year. For the year ended February 28, 2023, the Funds deferred to March 1, 2023 the following specified ordinary losses and net capital losses (gains):
| Net Capital Losses (Gains) | |
| | |
| | | |
| | | |
International Bond Opportunities ETF | | | |
| | | |
Short Duration Core Plus ETF | | | |
| | | |
Ultra-Short Municipal Income ETF | | | |
During the year ended February 28, 2023, the following Funds utilized capital loss carryforwards as follows:
| |
| | |
International Bond Opportunities ETF | | |
6. Capital Share Transactions
The Trust issues and redeems shares of the Funds only in Creation Units through the Distributor at NAV. Capital shares transactions detail can be found in the Statements of Changes in Net Assets.
Shares of the Funds may only be purchased or redeemed by Authorized Participants. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Funds' shares outstanding and act as executing or clearing broker for investment transactions on behalf of the Funds. An Authorized Participant is either (1) a “Participating Party” or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation (“NSCC”); or (2) a DTC Participant; which, in either case, must have executed an agreement with the Distributor.
Creation Units of a Fund may be created in advance of receipt by the Trust of all or a portion of the applicable basket of fixed income securities and other instruments (“Deposit Instruments”) and cash as described in the Funds’ registration statement. In these instances, the initial Deposit Instruments and cash must be deposited in an amount equal to the sum of the cash amount, plus at least 105%, for the Funds, of the market value of undelivered Deposit Instruments. A transaction fee may be imposed to offset transfer and other transaction costs associated with the purchase or redemption of Creation Units.
Authorized Participants transacting in Creation Units for cash may also pay a variable fee to compensate the relevant fund for market impact expenses relating to investing in portfolio securities. Such variable fees, if any, are included in “Proceeds from shares issued” in the Statements of Changes in Net Assets.
7. Borrowings
Effective November 1, 2022, the Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund, or loans outstanding to another fund, during the year ended February 28, 2023.
8. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
The Funds are subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations, mortgage pass-through securities and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, pre-payments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
International Bond Opportunities ETF’s investments in sovereign and corporate debt obligations within emerging market countries may be subject to potentially higher risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic instability in these markets may have disruptive effects on the market prices of the Funds’ investments and the income they generate, as well as the Funds’ ability to repatriate such amounts.
The Funds are subject to interest rate risk. Investments in bonds and other debt securities will change in value based on changes in interest rates. If rates increase, the value of these investments generally declines. Securities with greater interest rate sensitivity and longer maturities generally are subject to greater fluctuations in value. The Funds may face a heightened level of interest rate risk due to certain changes in monetary policy. It is difficult to predict the pace at which central banks or monetary authorities may increase interest rates or the timing, frequency, or magnitude of such increases. Any such changes could be sudden and could expose debt markets to significant volatility and reduced liquidity for Fund investments.
The Funds are subject to credit risk. The Funds' investments are subject to the risk that an issuer and/or a counterparty will fail to make payments when due or default completely. Prices of the Funds' investments may be adversely affected if any of the issuers or counterparties it is invested in are subject to an actual or perceived deterioration in their credit quality. Credit spreads may increase, which may reduce the market values of the Funds' securities. Credit spread risk is the risk that economic and market conditions or any actual or perceived credit deterioration may lead to an increase in the credit spreads (i.e. the difference in yield between two securities of similar maturity but different credit quality) and a decline in price of the issuer’s securities.
Core Plus Bond ETF, Income ETF, International Bond Opportunities ETF and Short Duration Core Plus ETF invest in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. The market price of these securities can change suddenly and unexpectedly. As a result, the Funds are intended for investors who are able and willing to assume a high degree of risk.
International Bond Opportunities ETF may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of foreign countries or regions, which may vary throughout the period. Such concentrations may subject each of these Funds to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds.
Disruptions to creations and redemptions, the existence of significant market volatility or potential lack of an active trading market for the Shares (including through a trading halt), as well as other factors, may result in Shares trading significantly above (at a premium) or below (at a discount) to the NAV or to the intraday value of the Funds’ holdings. During such periods, investors may incur significant losses if shares are sold.
The Funds may not track the return of their underlying index for a number of reasons and therefore may not achieve their investment objective. For example, the Funds incur a number of operating expenses not applicable to their underlying index, and incur costs in buying and selling securities, especially when rebalancing the Funds’ securities holdings to reflect changes in the composition of the underlying index. In addition, each Fund’s return may differ from the return of its underlying index as a result of, among other things, pricing differences and the inability to purchase certain securities included in the underlying index due to regulatory or other restrictions. To the extent of the previously outlined items, each Fund’s return may differ from the return of the underlying index.
London Interbank Offered Rate ("LIBOR") is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority ("FCA") publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month,
3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA's consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. In addition, certain regulated entities ceased entering into most new LIBOR contracts in connection with regulatory guidance or prohibitions. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance, unavailability or replacement, all of which may affect the value, volatility, liquidity or return on certain of a Fund's loans, notes, derivatives and other instruments or investments comprising some or all of a Fund's investments and result in costs incurred in connection with changing reference rates used for positions, closing out positions and entering into new trades. Certain of a Fund's investments may transition from LIBOR prior to the dates announced by the FCA. The transition from LIBOR to alternative reference rates may result in operational issues for a Fund or its investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on a Fund and its investments.
The Funds, excluding Municipal ETF and Ultra-Short Municipal Income ETF, invest in foreign issuers and foreign securities (including depositary receipts) that are subject to additional risks, including political and economic risks, civil conflicts and war, greater volatility, expropriation and nationalization risks, sanctions or other measures by the United States or other governments, currency fluctuations, higher transaction costs, delayed settlement, possible foreign controls on investment, liquidity risks and less stringent investor protection and disclosure standards of foreign markets. In certain markets where securities and other instruments are not traded “delivery versus payment,” a Fund may not receive timely payment for securities or other instruments it has delivered or receive delivery of securities paid for and may be subject to increased risk that the counterparty will fail to make payments or delivery when due or default completely.
Events and evolving conditions in certain economies or markets may alter the risks associated with investments tied to countries or regions that historically were perceived as comparatively stable becoming riskier and more volatile.
The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19 has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including among other things, reduced consumer demand and economic output, supply chain disruptions and increased government spending may continue to have a significant negative impact on the performance of a Fund's investments, increase a Fund's volatility, negatively impact a Fund’s arbitrage and pricing mechanisms, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The duration and extent of COVID-19 and associated economic and market conditions and uncertainty over the long-term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which the associated conditions impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds.
Disruptions to creations and redemptions, the existence of significant market volatility or potential lack of an active trading market for the Shares (including through a trading halt), as well as other factors, may result in Shares trading significantly above (at a premium) or below (at a discount) to the NAV or to the intraday value of the Funds’ holdings. During such periods, investors may incur significant losses if shares are sold.
The Funds invest in foreign issuers and foreign securities (including depositary receipts) that are subject to additional risks, including political and economic risks, civil conflicts and war, greater volatility, expropriation and nationalization risks, sanctions or other measures by the United States or other governments, currency fluctuations, higher transaction costs, delayed settlement, possible foreign controls on investment, liquidity risks and less stringent investor protection and disclosure standards of foreign markets. In certain markets where securities and other instruments are not traded “delivery versus payment,” a Fund may not receive timely payment for securities or other instruments it has delivered or receive delivery of securities paid for and may be subject to increased risk that the counterparty will fail to make payments or delivery when due or default completely.
Events and evolving conditions in certain economies or markets may alter the risks associated with investments tied to countries or regions that historically were perceived as comparatively stable becoming riskier and more volatile.
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
As of February 28, 2023, the following Funds had non-U.S. country allocations representing greater than 10% of total investments (excluding investment of cash collateral from securities loaned) as follows:
| International
Bond
Opportunities
ETF | |
| | |
| | |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of J.P. Morgan Exchange-Traded Fund Trust and Shareholders of the seven funds listed in the table below
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of each of the funds listed in the table below (seven of the funds constituting J.P. Morgan Exchange-Traded Fund Trust, hereafter collectively referred to as the "Funds") as of February 28, 2023, the related statements of operations and of cash flows (for JPMorgan Income ETF) for the year ended February 28, 2023 and the statements of changes in net assets for each the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2023, the results of each of their operations and their cash flows (for JPMorgan Income ETF) for the year then ended, the changes in each of their net assets for each of the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
JPMorgan Core Plus Bond ETF (1) | JPMorgan Short Duration Core Plus ETF (3) |
| JPMorgan Ultra-Short Income ETF (1) |
JPMorgan International Bond Opportunities ETF (1) | JPMorgan Ultra-Short Municipal Income ETF (1) |
JPMorgan Municipal ETF (1) | |
(1) Statements of changes in net assets for the years ended February 28, 2023 and February 28, 2022 |
(2) Statements of changes in net assets for the year ended February 28, 2023 and the period October 28, 2021 (commencement of operations) through February 28, 2022 |
(3) Statements of changes in net assets for the year ended February 28, 2023 and the period March 1, 2021 (commencement of operations) through February 28, 2022 |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
April 26, 2023
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-844-457-6383 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth);
Positions With
the Funds (1) | Principal Occupation
During Past 5 Years | Number of
Funds in Fund
Complex Overseen
by Trustee (2) | Other Directorships Held
During the Past 5 Years |
| | | |
John F. Finn (1947); Chair
since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959);
Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951);
Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958);
Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957);
Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | | |
Frankie D. Hughes (1952);
Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | | |
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Raymond Kanner (1953);
Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954);
Trustee since 2014. | | | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950);
Trustee since 2014. | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice
Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | | |
Marilyn McCoy (1948);
Trustee since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | | |
Dr. Robert A. Oden, Jr. (1946); Trustee
since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021); Trustee, Dartmouth- Hitchcock Medical Center (2011-2020). |
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Marian U. Pardo* (1946);
Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951);
Trustee since 2014. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
| | | |
Robert F. Deutsch** (1957);
Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957);
Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
|
| The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. |
| A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (178 J.P. Morgan Funds). |
| In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
| Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. |
| The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. |
Name (Year of Birth),
Positions Held with
the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964),
President and Principal Executive
Officer (2021) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975),
Treasurer and Principal Financial
Officer (2020) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980),
Secretary (2022) (formerly Assistant
Secretary 2014-2022) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953),
Chief Compliance Officer (2014) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973),
Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988),
Assistant Secretary (2021)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964),
Assistant Secretary (2022)
(formerly Secretary 2018-2022)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962),
Assistant Secretary (2014)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971),
Assistant Secretary (2019) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
Carmine Lekstutis (1980),
Assistant Secretary (2014) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990),
Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch
(1986),
Assistant Secretary (2017) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Vonnegut-Gabovitch has been with JPMorgan Chase & Co. since September 2016. |
Frederick J. Cavaliere (1978),
Assistant Treasurer (2015)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Cavaliere has been with JPMorgan Chase & Co. since May 2006. |
Michael M. D’Ambrosio (1969),
Assistant Treasurer (2014) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972),
Assistant Treasurer (2023) | Executive Director, J.P. Morgan Investment Management Inc. Mr. Fleytekh has been with J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977),
Assistant Treasurer (2019)* | Executive Director, J.P. Morgan Investment Management Inc. Mr. Gaines has been with J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972),
Assistant Treasurer (2023)* | Vice President, J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985),
Assistant Treasurer (2023) | Vice President, J.P. Morgan Investment Management Inc. since 2014. |
| J.P. Morgan Exchange-Traded Funds | |
OFFICERS
(Unaudited) (continued)
Nektarios E. Manolakakis (1972),
Assistant Treasurer (2020) | Executive Director, J.P. Morgan Investment Management Inc. since February 2021, formerly Vice President, J.P. Morgan Investment Management Inc. since 2014; Vice President, J.P. Morgan Corporate & Investment Bank 2010-2014. |
Todd McEwen (1981),
Assistant Treasurer (2020)* | Vice President, J.P. Morgan Investment Management Inc. Mr. McEwen has been with J.P. Morgan Investment Management Inc. since 2010. |
Joseph Parascondola (1963),
Assistant Treasurer (2023)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
Gillian I. Sands (1969),
Assistant Treasurer (2023) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. |
|
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. |
| The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
| The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including brokerage commissions on your purchase and sales of Fund shares and (2) ongoing costs, primarily management fees. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other funds. The examples assume that you had a $1,000 investment at the beginning of the reporting period, September 1, 2022, and continued to hold your shares at the end of the reporting period, February 28, 2023.
Actual Expenses
For each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each
Fund under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Fund in the table below provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The examples also assume all dividends and distributions have been reinvested. The examples do not take into account brokerage commissions that you pay when purchasing or selling shares of a Fund.
| Beginning Account Value September 1, 2022 | Ending Account Value February 28, 2023 | | |
JPMorgan Core Plus Bond ETF | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
JPMorgan International Bond Opportunities ETF | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
JPMorgan Short Duration Core Plus ETF | | | | |
| | | | |
| | | | |
JPMorgan Ultra-Short Income ETF | | | | |
| | | | |
| | | | |
JPMorgan Ultra-Short Municipal Income ETF | | | | |
| | | | |
| | | | |
|
| Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| J.P. Morgan Exchange-Traded Funds | |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds covered in this report has adopted the J.P. Morgan Funds and J.P. Morgan Exchange-Traded Funds Amended and Restated Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Pursuant to an exemptive order (the “Exemptive Order”) from the Securities and Exchange Commission, the Program permits the Funds use liquidity definitions and classification methodologies that differ from the requirements under the Liquidity Rule in some respects. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”), where applicable, and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 7, 2023, the Board reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2022 through December 31, 2022 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. There were no material changes to the Program during the Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the effectiveness of the Program with respect to the identification of each Fund that qualifies as an “In-Kind ETF” (as defined in the Liquidity Rule); (2) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (3) the methodology and inputs for classifying the investments of a Fund (other than an In-Kind ETF) into one of the required liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions (and, for In-Kind ETFs, the methodology and inputs for determining whether any investments should be classified as “Illiquid Investments” (as defined or modified under the Program)); (4) whether a Fund (other than an In-Kind ETF) invested primarily in “Highly Liquid Investments” (as defined or modified under the Program), as well as whether an HLIM should be established for a Fund (other than an In-Kind ETF) and the procedures for monitoring any HLIM; (5) whether a Fund invested more than 15% of its assets in “Illiquid Investments” and the procedures for monitoring for this limit; and (6) specific liquidity events arising during the Program Reporting Period. The Report further summarized the conditions of the Exemptive Order and whether all applicable Funds were in compliance with the terms of the Exemptive Order.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
| J.P. Morgan Exchange-Traded Funds | |
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable year ended February 28, 2023. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2023. The information necessary to complete your income tax returns for the calendar year ending December 31, 2023 will be provided under separate cover.
Long Term Capital Gain
Each Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended February 28, 2023:
| Long-Term
Capital Gain
Distribution |
| |
JPMorgan Ultra-Short Income ETF | |
Qualified Interest Income (QII) and Short-Term Capital Gain
Each Fund listed below paid the following amount, or maximum allowable amount, of ordinary distributions treated as qualified interest income and short-term capital gains for the fiscal year ended February 28, 2023:
| | |
JPMorgan Core Plus Bond ETF | | |
| | |
JPMorgan International Bond Opportunities ETF | | |
JPMorgan Short Duration Core Plus ETF | | |
JPMorgan Ultra-Short Income ETF | | |
Tax Exempt Income
Each Fund listed below had the following amount, or maximum allowable amount, of dividends paid from investment income that are exempt from federal income tax for the fiscal year ended February 28, 2023:
| |
| |
JPMorgan Ultra-Short Municipal Income ETF | |
Treasury Income
Each Fund listed below had the following percentage, or maximum allowable percentage, of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 28, 2023:
| Income from
U.S. Treasury
Obligations |
JPMorgan Core Plus Bond ETF | |
JPMorgan International Bond Opportunities ETF | |
JPMorgan Short Duration Core Plus ETF | |
| J.P. Morgan Exchange-Traded Funds | |
THIS PAGE IS INTENTIONALLY LEFT BLANK
J.P. Morgan Exchange-Traded Funds are distributed by JPMorgan Distribution Services, Inc., an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 (844-4JPM ETF) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risks as well as charges and expenses of the fund before investing. The prospectus contains this and other information about the fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Each Fund's quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund's policies and procedures with respect to the disclosure of each Fund's holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-844-457-6383 and on the Funds' website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds' voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds' website at www.jpmorganfunds.com no later than August 31 of each year. The Funds' proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2023. All rights reserved. February 2023.
AN-FIETF-223
Annual Report
J.P. Morgan Exchange-Traded Funds
February 28, 2023
| | |
JPMorgan BetaBuilders MSCI US REIT ETF | | |
CONTENTS
Investments in the Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Fund or the securities markets.
Prospective investors should refer to the Fund's prospectus for a discussion of the Fund's investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at (844) 457-6383 for a prospectus containing more complete information about the Fund, including management fees and other expenses. Please read it carefully before investing.
Shares are bought and sold throughout the day on an exchange at market price (not at net asset value) through a brokerage account, and are not individually subscribed and redeemed from the Fund. Shares may only be subscribed and redeemed directly from the Fund by Authorized Participants, in large creation/redemption units. Brokerage commissions will reduce returns.
President's Letter
April 11, 2023 (Unaudited)
Dear Shareholder,
Financial markets have shown some resiliency in recent months after sharply rising interest rates and the outbreak of war in Ukraine in 2022 fueled dislocations in both equity and bond markets. While asset prices have yet to fully rebound from last year, overall financial market volatility has receded and asset valuations may have grown more attractive to investors.
|
“As investors assess the potential risks to financial market returns, we believe it is important to recognize both the potential benefits of portfolio diversification and the potential investment opportunities uncovered by changes in relative asset valuations.” — Brian S. Shlissel
|
Certainly, the factors that weighed on markets in 2022 largely remain in place in early 2023. Additionally, the failures of two U.S. regional banks and the takeover of troubled Credit Suisse Group AG by UBS Group AG have rattled the financial services sector, though regulators moved quickly to attempt to contain the risk of contagion and overall US. bank capitalization rates remain healthy and much improved since the 2008 financial crisis.
The International Monetary Fund (the “IMF”) recently trimmed its forecast for global economic growth in 2023 and warned that any further turmoil in the financial system could further impede economic activity. The IMF also indicated that infla
tionary pressures had yet to peak in many countries, despite moderation in prices for energy and food. Notably, the IMF slightly raised its growth forecast for the U.S., while lowering its forecast for Germany and Japan.
Above average wage inflation, contracting profit margins and slower economic activity may put pressure on U.S. equities in the months ahead, though companies positioned to weather a secular slowdown may stand out. Lower valuations compared with the U.S. and a weakening dollar could provide support for international equities. Core fixed income assets may also prove attractive to investors if interest rates decline in the year ahead.
As investors assess the potential risks to financial market returns, we believe it is important to recognize both the potential benefits of portfolio diversification and the investment potential opportunities uncovered by changes in relative asset valuations. Our lineup of investment solutions seeks to provide investors with ability to build durable portfolios that can meet their financial goals.
Sincerely,
Brian S. Shlissel
President, J.P. Morgan Exchange-Traded Funds
J.P. Morgan Asset Management
1-844-4JPM-ETF or jpmorgan.com/etfs for more information
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders MSCI US REIT ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
| |
| |
| |
MSCI US REIT Custom Capped Index | |
| |
Net Assets as of 2/28/2023 | |
| |
INVESTMENT OBJECTIVE***
The JPMorgan BetaBuilders MSCI US REIT ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the MSCI US REIT Custom Capped Index (the “Underlying Index”).
INVESTMENT APPROACH
The Underlying Index is a free-float adjusted market-cap weighted index designed to measure the performance of U.S. equity real estate investment trust (REIT) securities. Using a passive investment approach, the Fund attempts to replicate the constituent securities of the Underlying Index as closely as possible and invests at least 80% of its assets in securities included in the Underlying Index. The Underlying Index includes a capping methodology, which is designed to prevent the weight of any single issuer, and the aggregate weight of issuers representing over 5% of the Underlying Index, from exceeding a maximum of 25% of the Underlying Index.
HOW DID THE MARKET PERFORM?
While overall returns on U.S. equity were negative for the period, the U.S. real estate sector was among the worst performing sectors amid rising interest rates and a spike in inflation to the highest levels in four decades. Rising mortgage rates weighed on the homebuilding sector and the office sector was hurt by low office utilization rates amid the work-from-home trend. The retail sector also underperformed amid consumers’ preference for online shopping, though there were indications late in the period of growing demand for in-person shopping. Meanwhile, the hotels sector benefited from historically high U.S. household savings and pent-up consumer demand for travel. The self-storage sector also outperformed the broader real estate sector.
HOW DID THE FUND PERFORM?
For the twelve months ended February 28, 2023, the Fund performed in line with both the Underlying Index and the MSCI US REIT Index, before considering the effects of operating expenses, fees and tax management of the Fund’s portfolio.
The Fund’s and the Underlying Index’s exposures to the office and residential REIT sectors were leading detractors from
absolute performance. The Fund’s and the Underlying Index’s exposure to the diversified REIT sector was the sole contributor to absolute performance.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the apartments and diversified REIT sectors and the smallest allocations were
to the hotels and regional malls REIT sectors.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| | |
| | |
| Simon Property Group, Inc. | |
| | |
| | |
| Digital Realty Trust, Inc. | |
| AvalonBay Communities, Inc. | |
| Alexandria Real Estate Equities, Inc. | |
PORTFOLIO COMPOSITION BY SECTOR
AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| J.P. Morgan Exchange-Traded Funds | |
*
The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $85.96 as of February 28, 2023.
**
Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of February 28, 2023, the closing price was $85.99.
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders MSCI US REIT ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF February 28, 2023 (Unaudited)
| | | |
JPMorgan BetaBuilders MSCI US REIT ETF | | | |
| | | |
| | | |
LIFE OF FUND PERFORMANCE (6/15/18 TO 2/28/23)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-844-457-6383.
Fund commenced operations on June 15, 2018.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan BetaBuilders MSCI US REIT ETF and the MSCI US REIT Custom Capped Index from June 15, 2018 to February 28, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the MSCI US REIT Custom Capped Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the respective Index, if applicable.
The MSCI US REIT Custom Capped Index is designed to measure the performance of the US equity REIT market across all market capitalizations. It
starts with the universe and weightings of stocks in the MSCI US REIT Index and applies certain investment limits designed to prevent the weight of any single issuer, and the aggregate weight of issuers representing over 5% of the MSCI US REIT Custom Capped Index, from exceeding a maximum of 25% of the MSCI US REIT Custom Capped Index.
For periods presented prior to the adoption of a unitary fee structure, Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders MSCI US REIT ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023
| | |
|
|
American Homes 4 Rent, Class A, REIT | | |
Apartment Income REIT Corp., REIT | | |
Apartment Investment and Management Co., Class A, REIT | | |
AvalonBay Communities, Inc., REIT | | |
Camden Property Trust, REIT | | |
| | |
Equity LifeStyle Properties, Inc., REIT | | |
| | |
Essex Property Trust, Inc., REIT | | |
Independence Realty Trust, Inc., REIT | | |
Invitation Homes, Inc., REIT | | |
Mid-America Apartment Communities, Inc., REIT | | |
NexPoint Residential Trust, Inc., REIT | | |
Sun Communities, Inc., REIT | | |
| | |
| | |
|
Alexander & Baldwin, Inc., REIT | | |
American Assets Trust, Inc., REIT | | |
Armada Hoffler Properties, Inc., REIT | | |
Broadstone Net Lease, Inc., REIT | | |
Digital Realty Trust, Inc., REIT | | |
| | |
| | |
| | |
Farmland Partners, Inc., REIT | | |
Gaming and Leisure Properties, Inc., REIT | | |
Gladstone Commercial Corp., REIT | | |
Gladstone Land Corp., REIT | | |
Global Net Lease, Inc., REIT | | |
InvenTrust Properties Corp., REIT | | |
| | |
LXP Industrial Trust, REIT | | |
Necessity Retail REIT, Inc. (The), REIT | | |
One Liberty Properties, Inc., REIT | | |
| | |
UMH Properties, Inc., REIT | | |
VICI Properties, Inc., REIT | | |
| | |
| | |
|
CareTrust REIT, Inc., REIT | | |
Community Healthcare Trust, Inc., REIT | | |
| | |
|
|
Global Medical REIT, Inc., REIT | | |
Healthcare Realty Trust, Inc., REIT | | |
Healthpeak Properties, Inc., REIT | | |
LTC Properties, Inc., REIT | | |
Medical Properties Trust, Inc., REIT (a) | | |
National Health Investors, Inc., REIT | | |
Omega Healthcare Investors, Inc., REIT | | |
Physicians Realty Trust, REIT | | |
Sabra Health Care REIT, Inc., REIT | | |
Universal Health Realty Income Trust, REIT | | |
| | |
| | |
| | |
|
Apple Hospitality REIT, Inc., REIT | | |
Chatham Lodging Trust, REIT | | |
DiamondRock Hospitality Co., REIT | | |
Host Hotels & Resorts, Inc., REIT | | |
Park Hotels & Resorts, Inc., REIT | | |
Pebblebrook Hotel Trust, REIT | | |
| | |
Ryman Hospitality Properties, Inc., REIT | | |
Service Properties Trust, REIT | | |
Summit Hotel Properties, Inc., REIT | | |
Sunstone Hotel Investors, Inc., REIT | | |
Xenia Hotels & Resorts, Inc., REIT | | |
| | |
|
Americold Realty Trust, Inc., REIT | | |
EastGroup Properties, Inc., REIT | | |
First Industrial Realty Trust, Inc., REIT | | |
Indus Realty Trust, Inc., REIT | | |
Innovative Industrial Properties, Inc., REIT | | |
Plymouth Industrial REIT, Inc., REIT | | |
| | |
Rexford Industrial Realty, Inc., REIT | | |
STAG Industrial, Inc., REIT | | |
Terreno Realty Corp., REIT | | |
| | |
|
Alexandria Real Estate Equities, Inc., REIT | | |
Boston Properties, Inc., REIT | | |
Brandywine Realty Trust, REIT | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders MSCI US REIT ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Common Stocks — continued |
|
City Office REIT, Inc., REIT | | |
Corporate Office Properties Trust, REIT | | |
Cousins Properties, Inc., REIT | | |
Douglas Emmett, Inc., REIT | | |
Easterly Government Properties, Inc., REIT | | |
Empire State Realty Trust, Inc., Class A, REIT | | |
Equity Commonwealth, REIT | | |
Highwoods Properties, Inc., REIT | | |
Hudson Pacific Properties, Inc., REIT | | |
JBG SMITH Properties, REIT | | |
Kilroy Realty Corp., REIT | | |
Office Properties Income Trust, REIT | | |
Orion Office REIT, Inc., REIT | | |
Paramount Group, Inc., REIT | | |
Piedmont Office Realty Trust, Inc., Class A, REIT | | |
SL Green Realty Corp., REIT | | |
Veris Residential, Inc., REIT * | | |
Vornado Realty Trust, REIT | | |
| | |
|
CBL & Associates Properties, Inc., REIT | | |
| | |
Simon Property Group, Inc., REIT | | |
Tanger Factory Outlet Centers, Inc., REIT | | |
| | |
|
Acadia Realty Trust, REIT | | |
| | |
Brixmor Property Group, Inc., REIT | | |
Federal Realty Investment Trust, REIT | | |
| | |
Kite Realty Group Trust, REIT | | |
| | |
Phillips Edison & Co., Inc., REIT | | |
Regency Centers Corp., REIT | | |
Retail Opportunity Investments Corp., REIT | | |
| | |
| | |
| | |
Urban Edge Properties, REIT | | |
Urstadt Biddle Properties, Inc., Class A, REIT | | |
| | |
| | |
| | |
|
|
| | |
Essential Properties Realty Trust, Inc., REIT | | |
Four Corners Property Trust, Inc., REIT | | |
| | |
National Retail Properties, Inc., REIT | | |
Realty Income Corp., REIT | | |
Spirit Realty Capital, Inc., REIT | | |
| | |
|
| | |
Extra Space Storage, Inc., REIT | | |
Iron Mountain, Inc., REIT | | |
| | |
National Storage Affiliates Trust, REIT | | |
| | |
| | |
Total Common Stocks
(Cost $879,062,443) | | |
Short-Term Investments — 0.8% |
Investment Companies — 0.4% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (b) (c)
(Cost $2,659,750) | | |
Investment of Cash Collateral from Securities Loaned — 0.4% |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.78% (b) (c) | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (b) (c) | | |
Total Investment of Cash Collateral from Securities Loaned
(Cost $3,129,408) | | |
Total Short-Term Investments
(Cost $5,789,158) | | |
Total Investments — 100.3%
(Cost $884,851,601) | | |
Liabilities in Excess of Other Assets — (0.3)% | | |
| | |
Percentages indicated are based on net assets. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| Real Estate Investment Trust |
| Non-income producing security. |
| The security or a portion of this security is on loan at February 28, 2023. The total value of securities on loan at February 28, 2023 is $2,930,638. |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| The rate shown is the current yield as of February 28, 2023. |
Futures contracts outstanding as of February 28, 2023:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENT OF ASSETS AND LIABILITIES
AS OF February 28, 2023
| JPMorgan
BetaBuilders MSCI
US REIT ETF |
| |
Investments in non-affiliates, at value | |
Investments in affiliates, at value | |
Investments of cash collateral received from securities loaned, at value
(See Note 2.B.) | |
| |
Deposits at broker for futures contracts | |
| |
Investment securities sold | |
| |
Dividends from non-affiliates | |
Dividends from affiliates | |
Securities lending income (See Note 2.B.) | |
| |
| |
| |
Investment securities purchased | |
Collateral received on securities loaned (See Note 2.B.) | |
| |
Variation margin on futures contracts | |
| |
Management fees (See Note 3.A.) | |
| |
| |
| |
| |
Total distributable earnings (loss) | |
| |
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001) | |
Net asset value, per share | |
Cost of investments in non-affiliates | |
Cost of investments in affiliates | |
Investment securities on loan, at value (See Note 2.B.) | |
Cost of investment of cash collateral (See Note 2.B.) | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED February 28, 2023
| JPMorgan
BetaBuilders MSCI
US REIT ETF |
| |
Interest income from non-affiliates | |
Interest income from affiliates | |
Dividend income from non-affiliates | |
Dividend income from affiliates | |
Income from securities lending (net) (See Note 2.B.) | |
| |
| |
Management fees (See Note 3.A.) | |
Interest expense to non-affiliates | |
| |
| |
Net investment income (loss) | |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | |
In-kind redemptions of investments in non-affiliates (See Note 4) | |
| |
| |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | |
Investments in affiliates | |
| |
Change in net unrealized appreciation/depreciation | |
Net realized/unrealized gains (losses) | |
Change in net assets resulting from operations | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
| JPMorgan BetaBuilders
MSCI US REIT ETF |
| Year Ended
February 28, 2023 | Year Ended
February 28, 2022 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | |
Net investment income (loss) | | |
| | |
Change in net unrealized appreciation/depreciation | | |
Change in net assets resulting from operations | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | |
Total distributions to shareholders | | |
| | |
Change in net assets resulting from capital transactions | | |
| | |
| | |
| | |
| | |
| | |
Proceeds from shares issued | | |
| | |
Total change in net assets resulting from capital transactions | | |
| | |
| | |
| | |
Net increase (decrease) in shares from share transactions | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
THIS PAGE IS INTENTIONALLY LEFT BLANK
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net investment
income
(loss) (b) | Net realized
and unrealized
gains
(losses)
on investments | Total from
investment
operations | | | |
JPMorgan BetaBuilders MSCI US REIT ETF | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
June 15, 2018 (h) through February 28, 2019 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the midpoint of the bid/ask spread at the close of business on the listing exchange of the Fund. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ask spread at the close of business on the exchange. |
| Calculation of the net realized and unrealized gains (losses) per share does not correlate with the Fund’s net realized and unrealized gains (losses) presented in the Statement of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
| Prior to November 1, 2019, the Fund may have waived fees if expenses exceeded the expense cap. On November 1, 2019, the Fund adopted a unitary fee structure where a management fee is accrued by the Fund based on prior day net assets and other expenses are paid by the Advisor. |
| Commencement of operations. |
| Since the Shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from the inception to the first day of secondary market trading, the net asset value is used as a proxy for the secondary market trading price to calculate the market returns. |
| Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| | | | | Ratios to average net assets (a) | |
Net asset
value,
end of
period | | | Market
price
total
return (c)(e) | | | Net
investment
income
(loss) | Expenses
without waivers
and reimbursements | Portfolio
turnover
rate (c) |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023
1. Organization
J.P. Morgan Exchange-Traded Fund Trust (the “Trust”) was formed on February 25, 2010, and is governed by a Declaration of Trust as amended and restated February 19, 2014, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. JPMorgan BetaBuilders MSCI US REIT ETF (the “Fund”) is a separate diversified series of the Trust covered in this report.
The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the MSCI US REIT Custom Capped Index.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as adviser (the “Adviser”) and administrator (the “Administrator”) to the Fund.
Shares of the Fund are listed and traded at market price on the Cboe BZX Exchange, Inc. Market prices for the Fund’s shares may be different from its net asset value (“NAV”). The Fund issues and redeems its shares on a continuous basis, through JPMorgan Distribution Services, Inc. (the “Distributor” or “JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, at NAV in large blocks of shares, referred to as “Creation Units". Creation Units are issued and redeemed principally in-kind for a basket of securities. A cash amount may be substituted if the Fund has sizable exposure to market or sponsor restricted securities. Shares are generally traded in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Only individuals or institutions that have entered into an authorized participant agreement with the Distributor may do business directly with the Fund (each, an “Authorized Participant”).
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with 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 1940 Act, 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.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the NAV of the Fund is calculated on a valuation date.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations.
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).
| J.P. Morgan Exchange-Traded Funds | |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments ("SOI"):
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
B. Securities Lending — The Fund is authorized to engage in securities lending in order to generate additional income. The Fund is able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Fund, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Fund retains the interest earned on cash collateral investments but is required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Fund). Upon termination of a loan, the Fund is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Fund or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statement of Operations as Income from securities lending (net). The Fund also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statement of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statement of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statement of Assets and Liabilities and details of collateral investments are disclosed on the SOI.
The Fund bears the risk of loss associated with the collateral investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
The following table presents the Fund's value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Fund as of February 28, 2023.
| Investment Securities
on Loan, at value,
Presented on the
Statement of Assets
and Liabilities | Cash Collateral
Posted by Borrower* | Net Amount Due
to Counterparty
(not less than zero) |
| | | |
|
| Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Fund from losses resulting from a borrower’s failure to return a loaned security.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
JPMIM voluntarily waived management fees charged to the Fund to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.13% to 0.06%. For the year ended February 28, 2023, JPMIM waived fees associated with the Fund's investment in the JPMorgan U.S. Government Money Market Fund as follows:
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statement of Operations as Income from securities lending (net).
C. Investment Transactions with Affiliates — The Fund invested in Underlying Funds, which are advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. For the purposes of the financial statements, the Fund assumes the issuers listed in the table below to be affiliated issuers. The Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the table below.
|
For the year ended February 28, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | Shares at
February 28,
2023 | | Capital Gain
Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.78% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | | | | | | | | | |
| | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of February 28, 2023. |
| Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
D. Futures Contracts— The Fund used index futures contracts to gain or reduce exposure to the stock market, or maintain liquidity or minimize transaction costs. The Fund also purchased futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statement of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statement of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI, while cash deposited, which is considered restricted, is recorded on the Statement of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statement of Assets and Liabilities.
The use of futures contracts exposes the Fund to equity price risk. The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
| J.P. Morgan Exchange-Traded Funds | |
The Fund's futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
The table below discloses the volume of the Fund's futures contracts activity during the year ended February 28, 2023:
| |
| |
Average Notional Balance Long | |
Ending Notional Balance Long | |
E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Dividend income is recorded on the ex-dividend date or when the Fund first learns of the dividend.
To the extent such information is publicly available, the Fund records distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Fund adjusts the estimated amounts of the components of distributions (and consequently its net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
F. Federal Income Taxes — The Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Fund's tax positions for all open tax years and has determined that as of February 28, 2023, no liability for Federal income tax is required in the Fund's financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Fund's Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
G. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least quarterly. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
The following amounts were reclassified within the capital accounts:
| | Accumulated
undistributed
(distributions in
excess of)
net investment
income | Accumulated
net realized
gains (losses) |
| | | |
The reclassifications for the Fund relate primarily to redemptions in-kind.
3. Fees and Other Transactions with Affiliates
A. Management Fee — JPMIM manages the investments of the Fund pursuant to the Management Agreement. For such services, JPMIM is paid a fee, which is accrued daily and paid no more frequently than monthly at an annual rate of 0.11% of the Fund's average daily net assets.
Under the Management Agreement, JPMIM is responsible for substantially all expenses of the Fund, (including expenses of the Trust relating to the Fund), except for the management fee, payments under the Fund's 12b-1 plan (if any), interest expenses, dividend and interest expenses related to short sales, taxes, acquired fund fees and expenses (other than fees for funds advised by the Adviser and/or its affiliates), costs of holding shareholder meetings, and litigation and potential litigation and other extraordinary expenses not incurred in the ordinary course of the Fund’s business. Additionally, the Fund is responsible for its non-operating expenses, including brokerage commissions and fees and expenses associated with the Fund’s securities lending program, if applicable. For the avoidance of doubt, the Adviser’s payment of such expenses may be accomplished through the Fund’s payment of such expenses and a corresponding reduction in the fee payable to the Adviser, provided, however, that if the amount of expenses paid by the Fund exceeds the fee payable to the Adviser, the Adviser will reimburse the Fund for such amount.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
B. Administration Fee — JPMIM provides administration services to the Fund. Pursuant to the Management Agreement for the Fund, JPMIM is compensated as described in Note 3.A.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Fund's sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the management fees payable to JPMIM.
C. Custodian, Accounting and Transfer Agent Fees— JPMCB provides custody, accounting and transfer agency services to the Fund. For performing these services, JPMIM pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses.
Additionally, Authorized Participants generally pay transaction fees associated with the creation and redemption of Fund shares. These fees are paid to JPMIM to offset certain custodian charges that are covered by the Management Agreement.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.
D. Distribution Services — The Distributor or its agent distributes Creation Units for the Fund on an agency basis. The Distributor does not maintain a secondary market in shares of the Fund. JPMDS receives no fees for their distribution services under the distribution agreement with the Trust (the “Distribution Agreement”). Although the Trust does not pay any fees under the Distribution Agreement, JPMIM pays JPMDS for certain distribution related services.
E. Waivers and Reimbursements — The Fund may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The fees for the affiliated money market funds, except for investments of securities lending cash collateral, are covered under the Management Agreement as described in Note 3.A.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers receive no compensation from the Fund for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Fund pursuant to Rule 38a-1 under the 1940 Act. The fees associated with the office of the Chief Compliance Officer are paid for by JPMIM as described in Note 3.A.
The Securities and Exchange Commission ("SEC") has granted an exemptive order permitting the Fund to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended February 28, 2023, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) |
| | |
During the year ended February 28, 2023, there were no purchases or sales of U.S. Government securities.
For the year ended February 28, 2023, in-kind transactions associated with creations and redemptions were as follows:
During the year ended February 28, 2023, the Fund delivered portfolio securities for the redemption of Fund Shares (in-kind redemptions). Cash and portfolio securities were transferred for redemptions at fair value. For financial reporting purposes, the Fund recorded net realized gains and losses in connection with each in-kind redemption transaction.
| J.P. Morgan Exchange-Traded Funds | |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at February 28, 2023 were as follows:
| | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
| | | | |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to post-October capital loss deferrals and wash sale loss deferrals.
The tax character of distributions paid during the year ended February 28, 2023 was as follows:
|
| Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended February 28, 2022 was as follows:
|
| Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of February 28, 2023, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
| Current
Distributable
Ordinary
Income | Current
Distributable
Long-Term
Capital Gain
(Tax Basis Capital
Loss Carryover) | Unrealized
Appreciation
(Depreciation) |
| | | |
The cumulative timing differences primarily consist of post-October capital loss deferrals and wash sale loss deferrals.
At February 28, 2023, the Fund had net capital loss carryforwards which are available to offset future realized gains as follows:
| Capital Loss Carryforward Character |
| | |
| | |
Net capital losses (gains) incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Fund's next taxable year. For the year ended February 28, 2023, the Fund deferred to March 1, 2023 the following net capital losses (gains) of:
| Net Capital Losses (Gains) |
| | |
| | |
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
6. Capital Share Transactions
The Trust issues and redeems shares of the Fund only in Creation Units through the Distributor at NAV. Capital shares transactions detail can be found in the Statement of Changes in Net Assets.
Shares of the Fund may only be purchased or redeemed by Authorized Participants. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Fund's shares outstanding and act as executing or clearing broker for investment transactions on behalf of the Fund. An Authorized Participant is either (1) a “Participating Party” or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation (“NSCC”); or (2) a DTC Participant; which, in either case, must have executed an agreement with the Distributor.
7. Borrowings
Effective November 1, 2022, the Fund relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Fund to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund's borrowing restrictions. The interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Fund because the Fund and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Fund had no borrowings outstanding from another fund, or loans outstanding to another fund, during the year ended February 28, 2023.
8. Risks, Concentrations and Indemnifications
In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
As of February 28, 2023, JPMorgan SmartRetirement Funds and JPMorgan SmartRetirement Blend Funds, which are affiliated funds of funds, each owned in the aggregate, shares representing more than 10% of the net assets of the Fund as follows:
| JPMorgan
SmartRetirement
Funds | JPMorgan
SmartRetirement
Blend Funds |
| | |
Significant shareholder transactions by these shareholders may impact the Fund's performance and liquidity.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Fund’s original investment. Many derivatives create leverage thereby causing the Fund to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Fund to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund to sell or otherwise close a derivatives position could expose the Fund to losses.
Disruptions to creations and redemptions, the existence of significant market volatility or potential lack of an active trading market for the Shares (including through a trading halt), as well as other factors, may result in Shares trading significantly above (at a premium) or below (at a discount) to the NAV or to the intraday value of the Fund’s holdings. During such periods, investors may incur significant losses if shares are sold.
The Fund may not track the return of its underlying index for a number of reasons and therefore may not achieve its investment objective. For example, the Fund incurs a number of operating expenses not applicable to its underlying index, and incurs costs in buying and selling securities, especially when rebalancing the Fund’s securities holdings to reflect changes in the composition of the underlying index. In addition, the Fund’s return may differ from the return of its underlying index as a result of, among other things, pricing differences and the inability to purchase certain securities included in the underlying index due to regulatory or other restrictions. To the extent of the previously outlined items, the Fund’s return may differ from the return of the underlying index.
Because the Fund invests in Real Estate Investment Trusts (“REITs”), the Fund may be subject to certain risks similar to those associated with direct investments in real estate. REITs may be affected by changes in the value of their underlying properties and by defaults by tenants. REITs depend generally on their ability to generate cash flow to make distributions to shareholders, and certain REITs have self-liquidation provisions by which mortgages held may be paid in full and distributions of capital returns may be made at any time.
| J.P. Morgan Exchange-Traded Funds | |
The Fund is subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19 has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including among other things, reduced consumer demand and economic output, supply chain disruptions and increased government spending may continue to have a significant negative impact on the performance of the Fund's investments, increase the Fund's volatility,negatively impact the Fund’s arbitrage and pricing mechanisms, exacerbate other pre-existing political, social and economic risks to the Fund and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to the pandemic that affect the instruments in which the Fund invests, or the issuers of such instruments, in ways that could also have a significant negative impact on the Fund’s investment performance. The duration and extent of COVID-19 and associated economic and market conditions and uncertainty over the long-term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which the associated conditions impact the Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
| J.P. Morgan Exchange-Traded Funds | |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of J.P. Morgan Exchange-Traded Fund Trust and Shareholders of JPMorgan BetaBuilders MSCI US REIT ETF
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan BetaBuilders MSCI US REIT ETF (one of the funds constituting J.P. Morgan Exchange-Traded Fund Trust, referred to hereafter as the "Fund") as of February 28, 2023, the related statement of operations for the year ended February 28, 2023, the statements of changes in net assets for each of the two years in the period ended February 28, 2023, including the related notes, and the financial highlights for each of the four years in the period ended February 28, 2023 and for the period June 15, 2018 (commencement of operations) through February 28, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2023 and the financial highlights for each of the four years in the period ended February 28, 2023 and for the period June 15, 2018 (commencement of operations) through February 28, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
April 26, 2023
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
| J.P. Morgan Exchange-Traded Funds | |
The Fund's Statement of Additional Information includes additional information about the Fund's Trustees and is available, without charge, upon request by calling 1-844-457-6383 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth);
Positions With
the Funds (1) | Principal Occupation
During Past 5 Years | Number of
Funds in Fund
Complex Overseen
by Trustee (2) | Other Directorships Held
During the Past 5 Years |
| | | |
John F. Finn (1947); Chair
since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959);
Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951);
Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958);
Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957);
Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | | |
| J.P. Morgan Exchange-Traded Funds | |
TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Frankie D. Hughes (1952);
Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | | |
Raymond Kanner (1953);
Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954);
Trustee since 2014. | | | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950);
Trustee since 2014. | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice
Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | | |
Marilyn McCoy (1948);
Trustee since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | | |
| J.P. Morgan Exchange-Traded Funds | |
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Dr. Robert A. Oden, Jr. (1946); Trustee
since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021); Trustee, Dartmouth- Hitchcock Medical Center (2011-2020). |
Marian U. Pardo* (1946);
Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951);
Trustee since 2014. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
| | | |
Robert F. Deutsch** (1957);
Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957);
Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
|
| The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. |
| A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (178 J.P. Morgan Funds). |
| In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
| Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. |
| J.P. Morgan Exchange-Traded Funds | |
TRUSTEES
(Unaudited) (continued)
| The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. |
| J.P. Morgan Exchange-Traded Funds | |
Name (Year of Birth),
Positions Held with
the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964),
President and Principal Executive
Officer (2021) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975),
Treasurer and Principal Financial
Officer (2020) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980),
Secretary (2022) (formerly Assistant
Secretary 2014-2022) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953),
Chief Compliance Officer (2014) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973),
Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988),
Assistant Secretary (2021)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964),
Assistant Secretary (2022)
(formerly Secretary 2018-2022)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962),
Assistant Secretary (2014)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971),
Assistant Secretary (2019) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
Carmine Lekstutis (1980),
Assistant Secretary (2014) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990),
Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch
(1986),
Assistant Secretary (2017) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Vonnegut-Gabovitch has been with JPMorgan Chase & Co. since September 2016. |
Frederick J. Cavaliere (1978),
Assistant Treasurer (2015)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Cavaliere has been with JPMorgan Chase & Co. since May 2006. |
Michael M. D’Ambrosio (1969),
Assistant Treasurer (2014) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972),
Assistant Treasurer (2023) | Executive Director, J.P. Morgan Investment Management Inc. Mr. Fleytekh has been with J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977),
Assistant Treasurer (2019)* | Executive Director, J.P. Morgan Investment Management Inc. Mr. Gaines has been with J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972),
Assistant Treasurer (2023)* | Vice President, J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985),
Assistant Treasurer (2023) | Vice President, J.P. Morgan Investment Management Inc. since 2014. |
| J.P. Morgan Exchange-Traded Funds | |
OFFICERS
(Unaudited) (continued)
Nektarios E. Manolakakis (1972),
Assistant Treasurer (2020) | Executive Director, J.P. Morgan Investment Management Inc. since February 2021, formerly Vice President, J.P. Morgan Investment Management Inc. since 2014; Vice President, J.P. Morgan Corporate & Investment Bank 2010-2014. |
Todd McEwen (1981),
Assistant Treasurer (2020)* | Vice President, J.P. Morgan Investment Management Inc. Mr. McEwen has been with J.P. Morgan Investment Management Inc. since 2010. |
Joseph Parascondola (1963),
Assistant Treasurer (2023)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
Gillian I. Sands (1969),
Assistant Treasurer (2023) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. |
|
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. |
| The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
| The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions on your purchase and sales of Fund shares and (2) ongoing costs, primarily management fees. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these ongoing costs with the ongoing costs of investing in other funds. The examples assume that you had a $1,000 investment at the beginning of the reporting period, September 1, 2022, and continued to hold your shares at the end of the reporting period, February 28, 2023.
Actual Expenses
For the Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of the
Fund under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the Fund in the table below provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The examples also assume all dividends and distributions have been reinvested. The examples do not take into account brokerage commissions that you pay when purchasing or selling shares of the Fund.
| Beginning Account Value September 1, 2022 | Ending Account Value February 28, 2023 | | |
JPMorgan BetaBuilders MSCI US REIT ETF | | | | |
| | | | |
| | | | |
|
| Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| J.P. Morgan Exchange-Traded Funds | |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
JPMorgan BetaBuilders MSCI US REIT ETF (the “Fund”) has adopted the J.P. Morgan Funds and J.P. Morgan Exchange-Traded Funds Amended and Restated Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). The Program seeks to assess, manage and review each of the applicable J.P. Morgan Exchange-Traded Funds (each a “Fund”; and collectively, the “Funds”) Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Pursuant to an exemptive order (the “Exemptive Order”) from the Securities and Exchange Commission, the Program permits the Funds use liquidity definitions and classification methodologies that differ from the requirements under the Liquidity Rule in some respects. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”), where applicable, and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 7, 2023, the Board reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2022 through December 31, 2022 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. There were no material changes to the Program during the Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the effectiveness of the Program with respect to the identification of each Fund that qualifies as an “In-Kind ETF” (as defined in the Liquidity Rule); (2) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (3) the methodology and inputs for classifying the investments of a Fund (other than an In-Kind ETF) into one of the required liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions (and, for In-Kind ETFs, the methodology and inputs for determining whether any investments should be classified as “Illiquid Investments” (as defined or modified under the Program)); (4) whether a Fund (other than an In-Kind ETF) invested primarily in “Highly Liquid Investments” (as defined or modified under the Program), as well as whether an HLIM should be established for a Fund (other than an In-Kind ETF) and the procedures for monitoring any HLIM; (5) whether a Fund invested more than 15% of its assets in “Illiquid Investments” and the procedures for monitoring for this limit; and (6) specific liquidity events arising during the Program Reporting Period. The Report further summarized the conditions of the Exemptive Order and whether all applicable Funds were in compliance with the terms of the Exemptive Order.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage the Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to the Fund during the Program Reporting Period.
| J.P. Morgan Exchange-Traded Funds | |
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Fund's income and distributions for the taxable year ended February 28, 2023. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2023. The information necessary to complete your income tax returns for the calendar year ending December 31, 2023 will be provided under separate cover.
Section 199A Income
The Fund had the following amount, or maximum allowable amount, of ordinary income distributions treated as section 199A dividends for the fiscal year ended February 28, 2023.
| |
JPMorgan BetaBuilders MSCI US REIT ETF | |
| J.P. Morgan Exchange-Traded Funds | |
THIS PAGE IS INTENTIONALLY LEFT BLANK
J.P. Morgan Exchange-Traded Funds are distributed by JPMorgan Distribution Services, Inc., an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 (844-4JPM ETF) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risks as well as charges and expenses of the fund before investing. The prospectus contains this and other information about the fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
The Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Fund's Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. The Fund's quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Fund's policies and procedures with respect to the disclosure of the Fund's holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-844-457-6383 and on the Fund's website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Fund to the Adviser. A copy of the Fund's voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Fund's website at www.jpmorganfunds.com no later than August 31 of each year. The Fund's proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2023. All rights reserved. February 2023.
AN-RETF-223
Annual Report
J.P. Morgan Exchange-Traded Funds
February 28, 2023
| | |
JPMorgan Inflation Managed Bond ETF | | |
JPMorgan Realty Income ETF | | |
CONTENTS
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Shares are bought and sold throughout the day on an exchange at market price (not at net asset value) through a brokerage account, and are not individually subscribed and redeemed from a Fund. Shares may only be subscribed and redeemed directly from a Fund by Authorized Participants, in very large creation/redemption units. Brokerage commissions will reduce returns.
President's Letter
April 11, 2023 (Unaudited)
Dear Shareholder,
Financial markets have shown some resiliency in recent months after sharply rising interest rates and the outbreak of war in Ukraine in 2022 fueled dislocations in both equity and bond markets. While asset prices have yet to fully rebound from last year, overall financial market volatility has receded and asset valuations may have grown more attractive to investors.
|
“As investors assess the potential risks to financial market returns, we believe it is important to recognize both the potential benefits of portfolio diversification and the potential investment opportunities uncovered by changes in relative asset valuations.” — Brian S. Shlissel
|
Certainly, the factors that weighed on markets in 2022 largely remain in place in early 2023. Additionally, the failures of two U.S. regional banks and the takeover of troubled Credit Suisse Group AG by UBS Group AG have rattled the financial services sector, though regulators moved quickly to attempt to contain the risk of contagion and overall US. bank capitalization rates remain healthy and much improved since the 2008 financial crisis.
The International Monetary Fund (the “IMF”) recently trimmed its forecast for global economic growth in 2023 and warned that any further turmoil in the financial system could further impede economic activity. The IMF also indicated that infla
tionary pressures had yet to peak in many countries, despite moderation in prices for energy and food. Notably, the IMF slightly raised its growth forecast for the U.S., while lowering its forecast for Germany and Japan.
Above average wage inflation, contracting profit margins and slower economic activity may put pressure on U.S. equities in the months ahead, though companies positioned to weather a secular slowdown may stand out. Lower valuations compared with the U.S. and a weakening dollar could provide support for international equities. Core fixed income assets may also prove attractive to investors if interest rates decline in the year ahead.
As investors assess the potential risks to financial market returns, we believe it is important to recognize both the potential benefits of portfolio diversification and the investment potential opportunities uncovered by changes in relative asset valuations. Our lineup of investment solutions seeks to provide investors with ability to build durable portfolios that can meet their financial goals.
Sincerely,
Brian S. Shlissel
President, J.P. Morgan Exchange-Traded Funds
J.P. Morgan Asset Management
1-844-4JPM-ETF or jpmorgan.com/etfs for more information
| J.P. Morgan Exchange-Traded Funds | |
J.P. Morgan Exchange-Traded Funds
MARKET OVERVIEW
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
Global financial markets declined through most of the period amid inflationary pressures, rapidly rising interest rates, war across Ukraine and weaker economic conditions in China. However, developed markets stabilized somewhat in the second half of the period as domestic economic data improved.
While both equities and bonds were down for the period, fixed income assets experienced a historically poor performance. For the twelve month period, the Bloomberg 1-10 Year TIPS Index returned -6.98% and the MSCI US REIT Index (the “Benchmark”) returned -11.74%.
Within U.S. equity, the real estate sector was among the worst performing sectors amid rising interest rates and a spike in inflation to the highest levels in four decades. Rising mortgage rates weighed on the homebuilding sector, while the hotels sector benefited from historically high U.S. household savings and pent-up consumer demand for travel. The self-storage sector also outperformed other parts of the real estate sector. However, the office sector was among the worst performers as office utilization rates remained low and the work-from-home trend continued. The retail sector continued to slump amid consumers’ preference for online shopping, though there were indications late in the period of growing demand for in-person shopping.
Through the second quarter of 2022, investor demand for bonds was crushed by the highest inflation level in four decades and the subsequent policy response by leading central banks. Russia’s invasion of Ukraine at the end of February 2022, followed by the U.S. Federal Reserve’s (the “Fed”) decision to initiate its current monetary tightening cycle in mid-March 2022 drove global financial markets sharply lower. Stocks and bonds fell in tandem and volatility spiked higher. By the end of February 2023, the Fed had raised interest rates eight times to a range of 4.50% to 4.75%, the highest level since the 2007-08 financial crisis.
In the second half of the period, financial markets appeared to stabilize and even rebounded somewhat The U.S. economy proved to be resilient and data showed price inflation receding, while Europe largely avoided a prolonged energy crisis through coordinated efforts to obtain alternatives to Russian supplies of petroleum and natural gas. Additionally, China dropped many of the strict anti-pandemic measures that had severely constrained spending and demand in the first half of the period.
While both bond and equity markets had negative returns for the twelve month period, U.S. high yield bonds (also known as junk bonds) and emerging markets debt posted a moderate positive performance for the final six months of the period.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
| |
| |
| |
Bloomberg 1-10 Year U.S. TIPS Index | |
Bloomberg U.S. Intermediate Aggregate Index | |
Net Assets as of 2/28/2023 | |
| |
| |
INVESTMENT OBJECTIVE***
The JPMorgan Inflation Managed Bond ETF1 (the “Fund”) seeks to maximize inflation protected total return.
INVESTMENT APPROACH
The Fund invests in a core portfolio of bonds in combination with actively managed inflation swaps and tactical trades to offer positive return potential in a rising interest rate and inflationary environment.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the twelve months ended February 28, 2023, the Fund outperformed the Bloomberg 1-10 Year TIPS (Treasury Inflation Protected Securities) Index (the “Index”) and outperformed the Bloomberg U.S. Intermediate Aggregate Index.
Relative to the Index, the Fund’s allocations to investment grade credit, commercial mortgage-backed securities and asset-backed securities were leading contributors to performance. The Fund’s shorter duration and flatter yield curve positioning also contributed to relative performance. Bonds of shorter duration generally experience a smaller decline in price compared with longer duration bonds when interest rates rise. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.
The Fund generally reduced its allocation to investment grade credit allocation during the period and the rebound in credit spreads beginning in October 2023, turned what had been a persistent detractor into a contributor.
The Fund’s allocation to agency mortgage-backed securities was a modest detractor from performance relative to the Index during the period.
Relative to the Bloomberg U.S. Intermediate Aggregate Index, the Fund’s underweight position in mortgage-backed securities was the leading contributor to performance.
HOW WAS THE FUND POSITIONED?
Among the Fund’s fixed income holdings, the Fund’s portfolio managers continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities.
The Fund’s portfolio managers sought to protect the portfolio from inflation risk across maturities. Therefore, the yield curve positioning of the underlying core bonds was used as the general basis for the Fund’s inflation swap positioning.
The Fund’s portfolio managers manage the duration of the inflation protection versus the duration of the underlying bonds to protect the portfolio from actual, realized inflation, as well as from the loss of value that results from an increase in inflation expectations. The inflation protection was actively managed using U.S. Consumer Price Index for All Urban Consumers (the “CPI-U”) swaps and TIPS. Generally, the swaps were structured so that a counterparty agrees to pay the cumulative percentage change in the CPI-U over the duration of the swap. In turn, the Fund pays a compounded fixed rate. TIPS adjust the principal of the underlying bond so that it increases with inflation as measured by the CPI-U and decreases with deflation. At maturity, a TIPS investor is paid either the adjusted or the original principal, whichever is greater.
1 On April 8, 2022, the Fund acquired the assets and liabilities, and assumed the performance, financial and other historical information, of the JPMorgan Inflation Managed Bond Fund (the “Predecessor Fund”), an open-end mutual fund that had operated since March 31, 2010. The Fund’s performance prior to April 8, 2022 is linked to the Predecessor Fund’s Class R6 Shares.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
*
The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $46.29 as of February 28, 2023.
**
Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. Prior to the Fund's listing on April 11, 2022, the NAV performance of the Fund and the Class R6 Shares of the Predecessor Fund are used as proxy market price returns. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of February 28, 2023, the closing price was $46.36.
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
PORTFOLIO COMPOSITION
AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
U.S. Treasury Obligations | |
| |
| |
Commercial Mortgage-Backed Securities | |
Mortgage-Backed Securities | |
Collateralized Mortgage Obligations | |
U.S. Government Agency Securities | |
Others (each less than 1.0%) | |
| |
| J.P. Morgan Exchange-Traded Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF February 28, 2023 (Unaudited)
| | | | |
JPMorgan Inflation Managed Bond ETF | | | | |
| | | | |
| | | | |
|
| Inception date for Class R6 Shares of the Predecessor Fund (as defined below). |
TEN YEAR FUND PERFORMANCE (2/28/13 TO 2/28/23)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-844-457-6383.
JPMorgan Inflation Managed Bond ETF (the “Fund”) acquired the assets and liabilities of the JPMorgan Inflation Managed Bond Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on April 8, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by the Fund and will be used going forward. As a result, the performance for the Fund prior to April 8, 2022 is the performance of the Predecessor Fund’s Class R6 Shares. Inception date for the Predecessor Fund’s Class R6 Shares is November 30, 2010.
Performance for the Fund’s shares has not been adjusted to reflect the Fund’s shares’ lower expenses than those of the Predecessor Fund’s Class R6 Shares. Had the Predecessor Fund been structured as an exchange-traded fund (“ETF”), its performance may have differed. Performance for the Predecessor Fund is based on the net asset value ("NAV") per share of the Predecessor Fund Shares rather than on market-determined prices. Prior to the Fund’s listing on April 11, 2022, the NAV performance of the Fund and the Class R6 Shares of the Predecessor Fund are used as proxy market price returns.
The graph illustrates comparative performance for $10,000 invested in shares of the Fund and the Bloomberg 1-10 Year U.S. TIPS Index and the
Bloomberg U.S. Intermediate Aggregate Index from August 31, 2012 to August 31, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg 1-10 Year U.S. TIPS Index and the Bloomberg U.S. Intermediate Aggregate Index does not reflect the deduction of expenses associated with an ETF and approximates the minimum possible dividend reinvestment of the securities included in the Index, if applicable. The Bloomberg 1–10 Year U.S. TIPS Index represents the performance of intermediate (1–10 year) U.S. Treasury Inflation Protection Securities. The Bloomberg U.S. Intermediate Aggregate Index is an unmanaged index comprised of U.S. government, mortgage, corporate and asset-backed securities with maturities of one to 10 years. Investors cannot invest directly in an index.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.
The returns shown are based on NAVs calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the NAVs in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Realty Income ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
| |
| |
| |
| |
Net Assets as of 2/28/2023 | |
| |
INVESTMENT OBJECTIVE ***
The JPMorgan Realty Income ETF1 (the “Fund”) seeks to provide high total investment return through a combination of capital appreciation and current income.
INVESTMENT APPROACH
The Fund invests primarily in stocks of real estate investment trusts ("REITs") across the market capitalization spectrum and uses an in-depth analysis of each REIT to evaluate whether each company’s current price fully reflects its long-term value.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the twelve months ended February 28, 2023, the Fund underperformed the Benchmark. The Fund’s security selection in the “other” subsector, which included SBA Communications Corp., and its underweight position in the net lease subsector were leading detractors from performance relative to the Benchmark. The Fund’s security selection and underweight position in the office sector and its security selection in the hotels sector were leading contributors to relative performance.
Leading individual detractors from the Fund’s relative performance included its out-of-Benchmark position in SBA Communications Corp., and its overweight positions in Healthcare Realty Trust Inc. and Rexford Industrial Realty Inc. Shares of SBA Communications, a wireless communications infrastructure REIT, fell along with the broader real estate sector and after the company reported lower-than-expected results for the fourth quarter of 2022. Shares of Health Care Realty Trust, an outpatient facilities REIT, fell after the company reported lower-than-expected results for the third quarter of 2022. Shares of Rexford Industrial Realty, an industrial property REIT, fell along the broader real estate sector during the period.
Leading individual contributors to the Fund’s relative performance included its overweight positions in Alexandria Real Estate Equities Inc. and Equinix Inc., and its underweight position in Digital Realty Trust Inc. Shares of Alexandria Real Estate Equities, a commercial real estate operator, rose after reporting consecutive quarters of better-than-expected earnings and revenue. Shares of Equinix, a commercial and data center properties operator, rose after the company raised its earnings forecast for 2022 and issued a positive outlook for 2023. Shares of Digital Realty Trust, a data center and work co-location REIT, fell after the company reported lower-than-expected results for the fourth quarter of 2022.
HOW WAS THE FUND POSITIONED?
The Fund’s adviser used bottom-up fundamental research to construct, in its view, a portfolio of attractively valued real estate securities. The adviser projected long-term cash flow for each portfolio holding and valued the holdings using a proprietary dividend discount model.
During the period, the Fund’s adviser sold securities in the retail subsector and the office and hotels sectors to fund investments in the net lease, health care and industrial sectors. The Fund’s adviser sought shares of companies that it believed were undervalued and would benefit from low supply growth.
1On May 20, 2022, the Fund acquired the assets and liabilities, and assumed the performance, financial and other historical information, of the JPMorgan Realty Income Fund (the “Predecessor Fund”), an open-end mutual fund that had operated since January 1, 1998. The Fund’s performance prior to May 20, 2022 is linked to the Predecessor Fund’s
Class R6 Shares.
| J.P. Morgan Exchange-Traded Funds | |
*
The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $43.19 as of February 28, 2023.
**
Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. Prior to the Fund's listing on May 23, 2022, the NAV performance of the Fund and the Class R6 Shares of the Predecessor Fund are used as proxy market price returns. The price used to calculate the market price return was the closing price on the NYSE Arca. As of February 28, 2023, the closing price was $43.25.
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
TOP TEN HOLDINGS OF THE
PORTFOLIO AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Alexandria Real Estate Equities, Inc. | |
PORTFOLIO COMPOSITION BY SECTOR
AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
| |
| |
| |
| |
| |
| |
| |
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| |
Real Estate Management & Development | |
| |
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Realty Income ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF February 28, 2023 (Unaudited)
| | | | |
JPMorgan Realty Income ETF | | | | |
| | | | |
| | | | |
|
| Inception date for Class R5 Shares of the predecessor Fund (as defined below). |
TEN YEAR FUND PERFORMANCE (2/28/13 TO 2/28/23)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-844-457-6383.
JPMorgan Realty Income ETF (the “Fund”) acquired the assets and liabilities of the JPMorgan Realty Income Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on May 20, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by the Fund and will be used going forward. As a result, the performance for the Fund prior to May 20, 2022 is the performance of the Predecessor Fund’s Class R6 Shares. Inception date for the Predecessor Fund’s Class R6 Shares is November 2, 2015. Returns for the Predecessor Fund’s Class R6 Shares prior to their inception date are based on the performance of the Predecessors Fund’s Class R5 Shares. The actual returns of the Predecessor Fund’s Class R6 Shares would have been different than those shown because the Predecessor Fund’s Class R6 Shares had different expenses than the Predecessor Fund’s Class R5 Shares. Inception date for the Predecessor Fund’s Class R5 Shares is May 15, 2006.
Performance for the Fund’s shares has not been adjusted to reflect the Fund’s shares’ lower expenses than those of the Predecessor Fund’s Class R6 Shares and Class R5 Shares. Had the Predecessor Fund been structured as an exchange-traded fund (“ETF”), its performance may have differed. Performance for the Predecessor Fund is based on the net asset value ("NAV") per share of
the Predecessor Fund Shares rather than on market-determined prices. Prior to the Fund’s listing on May 23, 2022, the NAV performance of the Fund and the Class R6 Shares of the Predecessor Fund are used as proxy market price returns.
The graph illustrates comparative performance for $10,000 invested in shares of the Fund and the MSCI US REIT Index from February 28, 2013 to February 28, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the MSCI US REIT Index does not reflect the deduction of expenses associated with an ETF and approximates the minimum possible dividend reinvestment of the securities included in the Index, if applicable. The MSCI US REIT Index is a free float-adjusted market capitalization weighted index comprised of equity REITs that are included in the MSCI US Investable Market 2500 Index, except specialty equity REITs that do not generate a majority of their revenue and income from real estate rental and leasing operations. Investors cannot invest directly in an index.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.
The returns shown are based on NAVs calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the NAVs in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023
| | |
U.S. Treasury Obligations — 34.0% |
U.S. Treasury Inflation Indexed Notes | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
U.S. Treasury Inflation Linked Notes
1.63%, 10/15/2027 | | |
U.S. Treasury Notes
0.25%, 8/31/2025 | | |
Total U.S. Treasury Obligations
(Cost $315,266,167) | | |
|
Aerospace & Defense — 0.8% |
BAE Systems plc (United Kingdom) 3.40%, 4/15/2030 (b) | | |
| | |
| | |
| | |
| | |
L3Harris Technologies, Inc. | | |
| | |
| | |
Leidos, Inc. 2.30%, 2/15/2031 | | |
Northrop Grumman Corp. 2.93%, 1/15/2025 | | |
Raytheon Technologies Corp. 3.15%, 12/15/2024 | | |
Textron, Inc. 3.00%, 6/1/2030 | | |
| | |
|
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | | |
|
Lear Corp. 2.60%, 1/15/2032 | | |
|
General Motors Co. 6.13%, 10/1/2025 | | |
Honda Motor Co. Ltd. (Japan) 2.53%, 3/10/2027 | | |
| | |
| | |
| | |
| | |
| | |
Mercedes-Benz Finance North America LLC (Germany) 2.13%, 3/10/2025 (b) | | |
| | |
|
|
Nissan Motor Co. Ltd. (Japan) | | |
| | |
| | |
Stellantis Finance US, Inc. 2.69%, 9/15/2031 (b) | | |
Volkswagen Group of America Finance LLC (Germany) 1.63%, 11/24/2027 (b) | | |
| | |
|
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (b) (c) | | |
Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (b) (d) | | |
Banco Santander SA (Spain) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c) | | |
| | |
| | |
| | |
(SOFR + 1.15%), 1.32%, 6/19/2026 (c) | | |
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (c) | | |
(SOFR + 0.96%), 1.73%, 7/22/2027 (c) | | |
(ICE LIBOR USD 3 Month + 1.58%), 3.82%, 1/20/2028 (c) | | |
(SOFR + 1.53%), 1.90%, 7/23/2031 (c) | | |
Bank of Ireland Group plc (Ireland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (b) (c) | | |
Bank of Montreal (Canada) | | |
| | |
(USD Swap Semi 5 Year + 1.28%), 4.34%, 10/5/2028 (c) (d) | | |
Bank of New Zealand (New Zealand) 3.50%, 2/20/2024 (b) | | |
Barclays plc (United Kingdom) (ICE LIBOR USD 3 Month + 1.61%), 3.93%, 5/7/2025 (c) | | |
| | |
(ICE LIBOR USD 3 Month + 2.24%), 4.70%, 1/10/2025 (b) (c) | | |
(SOFR + 2.07%), 2.22%, 6/9/2026 (b) (c) | | |
| | |
(SOFR + 0.77%), 1.12%, 1/28/2027 (c) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
(ICE LIBOR USD 3 Month + 1.56%), 3.89%, 1/10/2028 (c) | | |
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (c) | | |
Citizens Financial Group, Inc. 2.64%, 9/30/2032 | | |
Commonwealth Bank of Australia (Australia) 2.30%, 3/14/2025 (b) | | |
Cooperatieve Rabobank UA (Netherlands) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.98%, 12/15/2027 (b) (c) | | |
Credit Agricole SA (France) | | |
(SOFR + 1.68%), 1.91%, 6/16/2026 (b) (c) | | |
(SOFR + 0.89%), 1.25%, 1/26/2027 (b) (c) | | |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (b) (c) | | |
| | |
| | |
| | |
DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.60%, 3/30/2028 (b) (c) | | |
Fifth Third Bank NA 2.25%, 2/1/2027 | | |
HSBC Holdings plc (United Kingdom) | | |
(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (c) | | |
(ICE LIBOR USD 3 Month + 1.35%), 4.29%, 9/12/2026 (c) | | |
(SOFR + 1.73%), 2.01%, 9/22/2028 (c) | | |
(ICE LIBOR USD 3 Month + 1.61%), 3.97%, 5/22/2030 (c) | | |
(SOFR + 2.39%), 2.85%, 6/4/2031 (c) | | |
Huntington Bancshares, Inc. (SOFR + 2.05%), 5.02%, 5/17/2033 (c) | | |
ING Groep NV (Netherlands) | | |
(SOFR + 1.01%), 1.73%, 4/1/2027 (c) | | |
| | |
KeyBank NA 3.30%, 6/1/2025 | | |
KeyCorp (SOFR + 1.25%), 3.88%, 5/23/2025 (c) | | |
Lloyds Banking Group plc (United Kingdom) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.44%, 2/5/2026 (c) | | |
| | |
| | |
|
|
Mitsubishi UFJ Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (c) | | |
Mizuho Financial Group Cayman 3 Ltd. (Japan) 4.60%, 3/27/2024 (b) (d) | | |
National Australia Bank Ltd. (Australia) 2.33%, 8/21/2030 (b) (d) | | |
NatWest Group plc (United Kingdom) | | |
(ICE LIBOR USD 3 Month + 1.55%), 4.52%, 6/25/2024 (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.64%, 6/14/2027 (c) | | |
(ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (c) | | |
NatWest Markets plc (United Kingdom) 0.80%, 8/12/2024 (b) | | |
PNC Financial Services Group, Inc. (The) (SOFR + 1.09%), 4.76%, 1/26/2027 (c) | | |
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 (c) | | |
(SOFR + 2.60%), 6.53%, 1/10/2029 (c) | | |
Societe Generale SA (France) | | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) (c) | | |
Sumitomo Mitsui Financial Group, Inc. (Japan) 2.70%, 7/16/2024 | | |
Toronto-Dominion Bank (The) (Canada) 1.15%, 6/12/2025 | | |
Truist Bank 3.30%, 5/15/2026 | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (c) | | |
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (b) (c) | | |
Wachovia Corp. 7.57%, 8/1/2026 (e) | | |
| | |
(SOFR + 1.09%), 2.41%, 10/30/2025 (c) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
(3-MONTH CME TERM SOFR + 1.43%), 2.88%, 10/30/2030 (c) | | |
Westpac Banking Corp. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (c) (d) | | |
| | |
|
Anheuser-Busch Cos. LLC (Belgium) 3.65%, 2/1/2026 | | |
Constellation Brands, Inc. | | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Amgen, Inc. 5.25%, 3/2/2030 (f) | | |
Gilead Sciences, Inc. 3.50%, 2/1/2025 | | |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | | |
| | |
|
Blackstone Secured Lending Fund 3.65%, 7/14/2023 | | |
Brookfield Finance, Inc. (Canada) 4.25%, 6/2/2026 | | |
Credit Suisse AG (Switzerland) 3.63%, 9/9/2024 | | |
Credit Suisse Group AG (Switzerland) | | |
| | |
(SOFR + 2.04%), 2.19%, 6/5/2026 (b) (c) | | |
(SOFR + 1.73%), 3.09%, 5/14/2032 (b) (c) | | |
Deutsche Bank AG (Germany) | | |
(SOFR + 2.16%), 2.22%, 9/18/2024 (c) | | |
(SOFR + 1.32%), 2.55%, 1/7/2028 (c) | | |
(SOFR + 1.72%), 3.04%, 5/28/2032 (c) | | |
Goldman Sachs Group, Inc. (The) | | |
(SOFR + 0.57%), 0.68%, 3/8/2024 (c) | | |
| | |
| | |
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c) | | |
(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (c) | | |
(SOFR + 1.09%), 1.99%, 1/27/2032 (c) | | |
| | |
|
Capital Markets — continued |
Invesco Finance plc 3.75%, 1/15/2026 | | |
Macquarie Group Ltd. (Australia) (ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (b) (c) | | |
| | |
(SOFR + 1.99%), 2.19%, 4/28/2026 (c) | | |
| | |
(SOFR + 1.02%), 1.93%, 4/28/2032 (c) | | |
Nomura Holdings, Inc. (Japan) | | |
| | |
| | |
S&P Global, Inc. 4.25%, 5/1/2029 (b) | | |
UBS Group AG (Switzerland) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (b) (c) | | |
(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (b) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (c) | | |
| | |
|
Albemarle Corp. 5.05%, 6/1/2032 | | |
International Flavors & Fragrances, Inc. 1.83%, 10/15/2027 (b) | | |
Nutrien Ltd. (Canada) 2.95%, 5/13/2030 | | |
RPM International, Inc. 2.95%, 1/15/2032 | | |
Westlake Corp. 3.60%, 8/15/2026 | | |
| | |
Construction & Engineering — 0.1% |
| | |
| | |
| | |
| | |
Construction Materials — 0.0% ^ |
Martin Marietta Materials, Inc. Series CB, 2.50%, 3/15/2030 | | |
|
AerCap Ireland Capital DAC (Ireland) | | |
| | |
| | |
| | |
| | |
| | |
American Express Co. 2.50%, 7/30/2024 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Consumer Finance — continued |
Avolon Holdings Funding Ltd. (Ireland) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Capital One Financial Corp. | | |
(SOFR + 1.37%), 4.17%, 5/9/2025 (c) | | |
(SOFR + 1.27%), 2.62%, 11/2/2032 (c) | | |
General Motors Financial Co., Inc. | | |
| | |
| | |
Park Aerospace Holdings Ltd. (Ireland) 5.50%, 2/15/2024 (b) | | |
| | |
Containers & Packaging — 0.1% |
Graphic Packaging International LLC 1.51%, 4/15/2026 (b) | | |
Packaging Corp. of America 3.00%, 12/15/2029 | | |
WRKCo, Inc. 4.90%, 3/15/2029 | | |
| | |
Diversified Financial Services — 0.3% |
LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (b) | | |
Mitsubishi HC Capital, Inc. (Japan) 3.96%, 9/19/2023 (b) | | |
| | |
Diversified Telecommunication Services — 0.5% |
AT&T, Inc. 1.65%, 2/1/2028 | | |
NBN Co. Ltd. (Australia) 2.63%, 5/5/2031 (b) | | |
Verizon Communications, Inc. | | |
| | |
| | |
| | |
Electric Utilities — 1.7% |
American Electric Power Co., Inc. 2.03%, 3/15/2024 | | |
Arizona Public Service Co. 3.35%, 6/15/2024 | | |
Atlantic City Electric Co. 4.00%, 10/15/2028 | | |
CenterPoint Energy Houston Electric LLC Series AA, 3.00%, 2/1/2027 | | |
Cleveland Electric Illuminating Co. (The) | | |
| | |
| | |
| | |
|
Electric Utilities — continued |
| | |
Connecticut Light and Power Co. (The) Series A, 3.20%, 3/15/2027 | | |
Duke Energy Carolinas LLC 6.45%, 10/15/2032 | | |
Duquesne Light Holdings, Inc. | | |
| | |
| | |
Edison International 3.55%, 11/15/2024 | | |
| | |
| | |
| | |
Entergy Mississippi LLC 2.85%, 6/1/2028 | | |
Evergy, Inc. 2.90%, 9/15/2029 | | |
Fells Point Funding Trust 3.05%, 1/31/2027 (b) | | |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | | |
Indiana Michigan Power Co. Series J, 3.20%, 3/15/2023 | | |
Interstate Power and Light Co. 4.10%, 9/26/2028 | | |
ITC Holdings Corp. 2.95%, 5/14/2030 (b) | | |
Jersey Central Power & Light Co. 2.75%, 3/1/2032 (b) | | |
Kentucky Utilities Co. 3.30%, 10/1/2025 | | |
NextEra Energy Capital Holdings, Inc. 2.25%, 6/1/2030 | | |
Niagara Mohawk Power Corp. 3.51%, 10/1/2024 (b) | | |
NRG Energy, Inc. 2.45%, 12/2/2027 (b) | | |
OGE Energy Corp. 0.70%, 5/26/2023 | | |
Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029 | | |
Pacific Gas and Electric Co. | | |
| | |
| | |
Pennsylvania Electric Co. 3.25%, 3/15/2028 (b) | | |
PG&E Recovery Funding LLC Series A-1, 5.05%, 7/15/2032 | | |
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036 | | |
SCE Recovery Funding LLC Series A-2, 1.94%, 5/15/2038 | | |
Southern Co. (The) Series 21-B, 1.75%, 3/15/2028 | | |
Southwestern Electric Power Co. Series M, 4.10%, 9/15/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
Virginia Electric and Power Co. Series A, 3.50%, 3/15/2027 | | |
Vistra Operations Co. LLC 4.88%, 5/13/2024 (b) | | |
| | |
Electrical Equipment — 0.0% ^ |
Eaton Corp. 3.10%, 9/15/2027 | | |
Electronic Equipment, Instruments & Components — 0.1% |
Arrow Electronics, Inc. 3.88%, 1/12/2028 | | |
Energy Equipment & Services — 0.0% ^ |
Halliburton Co. 2.92%, 3/1/2030 | | |
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (b) | | |
| | |
|
Walt Disney Co. (The) 7.43%, 10/1/2026 | | |
Equity Real Estate Investment Trusts (REITs) — 2.3% |
Alexandria Real Estate Equities, Inc. | | |
| | |
| | |
| | |
| | |
| | |
AvalonBay Communities, Inc. 3.35%, 5/15/2027 | | |
Brixmor Operating Partnership LP | | |
| | |
| | |
| | |
Corporate Office Properties LP 2.00%, 1/15/2029 | | |
Crown Castle, Inc. 4.45%, 2/15/2026 | | |
Equinix, Inc. 2.90%, 11/18/2026 | | |
Essex Portfolio LP 1.65%, 1/15/2031 | | |
Extra Space Storage LP 2.35%, 3/15/2032 | | |
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (b) | | |
Healthcare Realty Holdings LP | | |
| | |
| | |
Healthpeak Properties Interim, Inc. 2.13%, 12/1/2028 | | |
Kilroy Realty LP 2.65%, 11/15/2033 | | |
| | |
| | |
| | |
| | |
|
Equity Real Estate Investment Trusts (REITs) — continued |
Mid-America Apartments LP 1.70%, 2/15/2031 | | |
National Retail Properties, Inc. | | |
| | |
| | |
Office Properties Income Trust | | |
| | |
| | |
| | |
Physicians Realty LP 2.63%, 11/1/2031 | | |
Public Storage 2.25%, 11/9/2031 | | |
| | |
| | |
| | |
Sabra Health Care LP 3.20%, 12/1/2031 | | |
Safehold Operating Partnership LP 2.80%, 6/15/2031 | | |
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b) | | |
SITE Centers Corp. 3.63%, 2/1/2025 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Food & Staples Retailing — 0.1% |
7-Eleven, Inc. 1.80%, 2/10/2031 (b) | | |
|
Cargill, Inc. 2.13%, 4/23/2030 (b) | | |
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 | | |
Smithfield Foods, Inc. 5.20%, 4/1/2029 (b) | | |
Tyson Foods, Inc. 3.90%, 9/28/2023 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
Eastern Energy Gas Holdings LLC Series A, 2.50%, 11/15/2024 | | |
ONE Gas, Inc. 2.00%, 5/15/2030 | | |
| | |
Health Care Equipment & Supplies — 0.0% ^ |
Abbott Laboratories 3.88%, 9/15/2025 | | |
Becton Dickinson and Co. 3.36%, 6/6/2024 | | |
| | |
Health Care Providers & Services — 0.5% |
| | |
| | |
| | |
CVS Health Corp. 1.88%, 2/28/2031 | | |
| | |
| | |
| | |
Humana, Inc. 3.95%, 3/15/2027 | | |
| | |
| | |
| | |
UnitedHealth Group, Inc. 3.38%, 4/15/2027 | | |
| | |
Hotels, Restaurants & Leisure — 0.1% |
Expedia Group, Inc. 3.25%, 2/15/2030 | | |
Household Products — 0.0% ^ |
Kimberly-Clark Corp. 2.40%, 6/1/2023 | | |
|
AIA Group Ltd. (Hong Kong) | | |
| | |
| | |
American International Group, Inc. 3.90%, 4/1/2026 | | |
Assurant, Inc. 4.20%, 9/27/2023 | | |
| | |
| | |
| | |
Brighthouse Financial Global Funding 1.00%, 4/12/2024 (b) | | |
CNA Financial Corp. 3.95%, 5/15/2024 | | |
| | |
| | |
| | |
F&G Global Funding 2.30%, 4/11/2027 (b) | | |
Guardian Life Global Funding | | |
| | |
| | |
| | |
|
|
Jackson National Life Global Funding 3.05%, 4/29/2026 (b) | | |
Liberty Mutual Group, Inc. | | |
| | |
| | |
Manulife Financial Corp. (Canada) 4.15%, 3/4/2026 | | |
Marsh & McLennan Cos., Inc. 3.88%, 3/15/2024 | | |
Principal Financial Group, Inc. | | |
| | |
| | |
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b) | | |
| | |
Internet & Direct Marketing Retail — 0.0% ^ |
eBay, Inc. 2.60%, 5/10/2031 | | |
|
| | |
| | |
| | |
| | |
|
Hasbro, Inc. 3.90%, 11/19/2029 | | |
|
Charter Communications Operating LLC 4.91%, 7/23/2025 | | |
| | |
| | |
| | |
Discovery Communications LLC 3.95%, 3/20/2028 | | |
Grupo Televisa SAB (Mexico) 4.63%, 1/30/2026 | | |
Paramount Global 2.90%, 1/15/2027 | | |
Time Warner Cable Enterprises LLC 8.38%, 7/15/2033 | | |
| | |
|
Glencore Funding LLC (Australia) | | |
| | |
| | |
Steel Dynamics, Inc. 1.65%, 10/15/2027 | | |
| | |
|
CenterPoint Energy, Inc. 1.45%, 6/1/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Multi-Utilities — continued |
CMS Energy Corp. 2.95%, 2/15/2027 | | |
Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028 | | |
PG&E Energy Recovery Funding LLC Series A-2, 2.28%, 1/15/2036 | | |
Public Service Enterprise Group, Inc. 1.60%, 8/15/2030 | | |
Puget Energy, Inc. 2.38%, 6/15/2028 | | |
WEC Energy Group, Inc. 1.38%, 10/15/2027 | | |
| | |
Oil, Gas & Consumable Fuels — 1.7% |
Aker BP ASA (Norway) 2.00%, 7/15/2026 (b) | | |
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (b) | | |
BP Capital Markets America, Inc. 4.23%, 11/6/2028 | | |
Cameron LNG LLC 2.90%, 7/15/2031 (b) | | |
Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025 | | |
Coterra Energy, Inc. 3.90%, 5/15/2027 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Eni SpA (Italy) Series X-R, 4.00%, 9/12/2023 (b) | | |
Enterprise Products Operating LLC 3.95%, 2/15/2027 | | |
Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (b) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
NGPL PipeCo LLC 3.25%, 7/15/2031 (b) | | |
Ovintiv Exploration, Inc. 5.38%, 1/1/2026 | | |
Phillips 66 2.15%, 12/15/2030 | | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
Pioneer Natural Resources Co. | | |
| | |
| | |
Plains All American Pipeline LP | | |
| | |
| | |
Sabine Pass Liquefaction LLC 4.50%, 5/15/2030 | | |
Suncor Energy, Inc. (Canada) 5.95%, 12/1/2034 | | |
Targa Resources Partners LP 4.00%, 1/15/2032 | | |
| | |
|
Bristol-Myers Squibb Co. 3.40%, 7/26/2029 | | |
Mylan, Inc. 4.55%, 4/15/2028 | | |
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | | |
Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030 | | |
| | |
Real Estate Management & Development — 0.1% |
Mitsui Fudosan Co. Ltd. (Japan) 3.65%, 7/20/2027 (b) | | |
Ontario Teachers' Cadillac Fairview Properties Trust (Canada) 3.88%, 3/20/2027 (b) | | |
| | |
|
ERAC USA Finance LLC 3.85%, 11/15/2024 (b) | | |
Penske Truck Leasing Co. LP | | |
| | |
| | |
Triton Container International Ltd. (Bermuda) | | |
| | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 0.7% |
Broadcom, Inc. 4.11%, 9/15/2028 | | |
Intel Corp. 4.88%, 2/10/2028 | | |
Marvell Technology, Inc. 2.95%, 4/15/2031 | | |
Microchip Technology, Inc. | | |
| | |
| | |
NXP BV (China) 2.50%, 5/11/2031 | | |
Xilinx, Inc. 2.38%, 6/1/2030 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
| | |
| | |
| | |
| | |
| | |
Roper Technologies, Inc. 3.80%, 12/15/2026 | | |
Workday, Inc. 3.50%, 4/1/2027 | | |
| | |
|
Advance Auto Parts, Inc. 3.50%, 3/15/2032 | | |
AutoZone, Inc. 1.65%, 1/15/2031 | | |
Home Depot, Inc. (The) 2.95%, 6/15/2029 | | |
Lowe's Cos., Inc. 3.75%, 4/1/2032 | | |
O'Reilly Automotive, Inc. 3.60%, 9/1/2027 | | |
| | |
Technology Hardware, Storage & Peripherals — 0.1% |
Apple, Inc. 3.20%, 5/13/2025 | | |
| | |
| | |
| | |
| | |
Thrifts & Mortgage Finance — 0.2% |
| | |
(SOFR + 1.09%), 2.05%, 10/19/2027 (b) (c) | | |
(SOFR + 1.31%), 2.28%, 1/20/2032 (b) (c) | | |
| | |
|
Altria Group, Inc. 2.45%, 2/4/2032 | | |
BAT Capital Corp. (United Kingdom) | | |
| | |
| | |
| | |
Trading Companies & Distributors — 0.6% |
| | |
| | |
| | |
| | |
| | |
Aircastle Ltd. 4.40%, 9/25/2023 | | |
Aviation Capital Group LLC 5.50%, 12/15/2024 (b) | | |
BOC Aviation Ltd. (China) 3.50%, 10/10/2024 (b) | | |
| | |
| | |
|
|
American Water Capital Corp. 3.85%, 3/1/2024 | | |
Wireless Telecommunication Services — 0.3% |
Rogers Communications, Inc. (Canada) 3.80%, 3/15/2032 (b) | | |
| | |
| | |
| | |
| | |
| | |
Total Corporate Bonds
(Cost $253,822,121) | | |
Asset-Backed Securities — 11.5% |
ACM Auto Trust Series 2023-1A, Class A, 6.61%, 1/22/2030 (b) | | |
Air Canada Pass-Through Trust (Canada) | | |
Series 2013-1, Class A, 4.13%, 5/15/2025 (b) | | |
Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) | | |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (b) | | |
American Airlines Pass-Through Trust | | |
Series 2016-3, Class AA, 3.00%, 10/15/2028 | | |
Series 2021-1, Class B, 3.95%, 7/11/2030 | | |
American Credit Acceptance Receivables Trust | | |
Series 2022-1, Class A, 0.99%, 12/15/2025 (b) | | |
Series 2022-2, Class A, 2.66%, 2/13/2026 (b) | | |
Series 2023-1, Class C, 5.59%, 4/12/2029 (b) | | |
American Tower Trust #1, 3.07%, 3/15/2023 (b) | | |
AmeriCredit Automobile Receivables Trust | | |
Series 2020-2, Class A3, 0.66%, 12/18/2024 | | |
Series 2021-1, Class A3, 0.37%, 8/18/2025 | | |
Series 2020-3, Class B, 0.76%, 12/18/2025 | | |
Series 2021-2, Class B, 0.69%, 1/19/2027 | | |
Series 2022-2, Class A3, 4.38%, 4/18/2028 | | |
| | |
Series 2020-SFR4, Class A, 1.36%, 11/17/2037 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
Series 2020-SFR5, Class A, 1.38%, 11/17/2037 (b) | | |
Amur Equipment Finance Receivables X LLC Series 2022-1A, Class A2, 1.64%, 10/20/2027 (b) | | |
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026 (b) | | |
BA Credit Card Trust Series 2020-A1, Class A1, 0.34%, 5/15/2026 | | |
BMW Vehicle Lease Trust Series 2023-1, Class A3, 5.16%, 11/25/2025 | | |
Business Jet Securities LLC | | |
Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (b) | | |
Series 2022-1A, Class A, 4.46%, 6/15/2037 ‡ (b) | | |
| | |
Series 2020-1, Class A3, 1.89%, 12/16/2024 | | |
Series 2020-3, Class A3, 0.62%, 3/17/2025 | | |
Series 2021-1, Class A3, 0.34%, 12/15/2025 | | |
Series 2022-2, Class A3, 3.49%, 2/16/2027 | | |
Carvana Auto Receivables Trust | | |
Series 2021-P3, Class A3, 0.70%, 11/10/2026 | | |
Series 2022-P3, Class A3, 4.61%, 11/10/2027 | | |
Series 2021-P4, Class A4, 1.64%, 12/10/2027 | | |
CIG Auto Receivables Trust Series 2021-1A, Class A, 0.69%, 4/14/2025 (b) | | |
CoreVest American Finance Trust | | |
Series 2019-3, Class A, 2.71%, 10/15/2052 (b) | | |
Series 2022-1, Class A, 4.74%, 6/17/2055 (b) (g) | | |
CPS Auto Receivables Trust | | |
Series 2021-B, Class B, 0.81%, 12/15/2025 (b) | | |
Series 2023-A, Class C, 5.54%, 4/16/2029 (b) | | |
Series 2022-C, Class B, 4.88%, 4/15/2030 (b) | | |
Credit Acceptance Auto Loan Trust | | |
Series 2020-2A, Class A, 1.37%, 7/16/2029 (b) | | |
Series 2020-3A, Class A, 1.24%, 10/15/2029 (b) | | |
| | |
|
Series 2021-2A, Class A, 0.96%, 2/15/2030 (b) | | |
Series 2021-3A, Class A, 1.00%, 5/15/2030 (b) | | |
Drive Auto Receivables Trust Series 2021-3, Class B, 1.11%, 5/15/2026 | | |
| | |
Series 2021-1A, Class B, 0.62%, 9/15/2025 (b) | | |
Series 2022-1A, Class A, 1.58%, 4/15/2026 (b) | | |
Series 2022-2A, Class A, 2.88%, 6/15/2026 (b) | | |
Series 2021-3A, Class C, 0.87%, 5/17/2027 (b) | | |
Series 2021-4A, Class D, 1.99%, 9/15/2027 (b) | | |
Series 2023-1A, Class C, 5.55%, 10/16/2028 (b) | | |
Exeter Automobile Receivables Trust | | |
Series 2021-2A, Class B, 0.57%, 9/15/2025 | | |
Series 2021-3A, Class B, 0.69%, 1/15/2026 | | |
Series 2022-3A, Class A3, 4.21%, 1/15/2026 | | |
Series 2021-4A, Class B, 1.05%, 5/15/2026 | | |
Series 2022-5A, Class B, 5.97%, 3/15/2027 | | |
Series 2022-4A, Class C, 4.92%, 12/15/2028 | | |
Series 2023-1A, Class D, 6.69%, 6/15/2029 | | |
First Investors Auto Owner Trust Series 2021-1A, Class A, 0.45%, 3/16/2026 (b) | | |
| | |
Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (b) | | |
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (b) | | |
Series 2021-SFR2, Class D, 2.06%, 9/17/2038 (b) | | |
Flagship Credit Auto Trust | | |
Series 2019-4, Class C, 2.77%, 12/15/2025 (b) | | |
Series 2021-4, Class A, 0.81%, 7/17/2026 (b) | | |
Series 2022-1, Class A, 1.79%, 10/15/2026 (b) | | |
Series 2023-1, Class A2, 5.38%, 12/15/2026 (b) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Asset-Backed Securities — continued |
Series 2021-3, Class A, 0.36%, 7/15/2027 (b) | | |
Series 2023-1, Class C, 5.43%, 5/15/2029 (b) | | |
FRTKL Series 2021-SFR1, Class A, 1.57%, 9/17/2038 (b) | | |
GLS Auto Receivables Issuer Trust | | |
Series 2021-4A, Class A, 0.84%, 7/15/2025 (b) | | |
Series 2021-2A, Class B, 0.77%, 9/15/2025 (b) | | |
Series 2021-3A, Class C, 1.11%, 9/15/2026 (b) | | |
GM Financial Automobile Leasing Trust | | |
Series 2021-3, Class A3, 0.39%, 10/21/2024 | | |
Series 2021-1, Class A4, 0.33%, 2/20/2025 | | |
Series 2022-2, Class A3, 3.42%, 6/20/2025 | | |
Series 2023-1, Class A3, 5.16%, 4/20/2026 | | |
GM Financial Consumer Automobile Receivables Trust | | |
Series 2020-1, Class A3, 1.84%, 9/16/2024 | | |
Series 2021-1, Class A3, 0.35%, 10/16/2025 | | |
Series 2021-1, Class A4, 0.54%, 5/17/2027 | | |
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (b) | | |
Hertz Vehicle Financing III LLC Series 2022-1A, Class A, 1.99%, 6/25/2026 (b) | | |
Home Partners of America Trust Series 2022-1, Class D, 4.73%, 4/17/2039 (b) | | |
Honda Auto Receivables Owner Trust | | |
Series 2019-4, Class A3, 1.83%, 1/18/2024 | | |
Series 2023-1, Class A3, 5.04%, 4/21/2027 | | |
Hyundai Auto Lease Securitization Trust Series 2021-A, Class A3, 0.33%, 1/16/2024 (b) | | |
Lendmark Funding Trust Series 2022-1A, Class A, 5.12%, 7/20/2032 (b) | | |
Mercedes-Benz Auto Lease Trust Series 2021-A, Class A3, 0.25%, 1/16/2024 | | |
Mercedes-Benz Auto Receivables Trust Series 2023-1, Class A3, 4.51%, 11/15/2027 | | |
| | |
|
| | |
Series 2021-2A, Class A, 1.43%, 5/20/2039 (b) | | |
Series 2021-1WA, Class A, 1.14%, 1/22/2041 (b) | | |
Nissan Auto Lease Trust Series 2023-A, Class A3, 4.91%, 1/15/2026 | | |
Octane Receivables Trust Series 2020-1A, Class A, 1.71%, 2/20/2025 (b) | | |
OneMain Direct Auto Receivables Trust Series 2023-1A, Class A, 5.41%, 11/14/2029 (b) | | |
PRET LLC Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (b) (e) | | |
Progress Residential Trust | | |
Series 2020-SFR3, Class B, 1.50%, 10/17/2027 (b) | | |
Series 2021-SFR2, Class E1, 2.55%, 4/19/2038 (b) | | |
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (b) | | |
Series 2021-SFR11, Class A, 2.28%, 1/17/2039 (b) | | |
Series 2023-SFR1, Class A, 4.30%, 3/17/2040 (b) | | |
Series 2021-SFR9, Class E1, 2.81%, 11/17/2040 (b) | | |
Santander Consumer Auto Receivables Trust Series 2021-AA, Class A3, 0.33%, 10/15/2025 (b) | | |
Santander Drive Auto Receivables Trust | | |
Series 2022-1, Class A2, 1.36%, 12/16/2024 | | |
Series 2021-3, Class B, 0.60%, 12/15/2025 | | |
Series 2020-4, Class C, 1.01%, 1/15/2026 | | |
Series 2021-2, Class C, 0.90%, 6/15/2026 | | |
Series 2022-3, Class A3, 3.40%, 12/15/2026 | | |
Series 2022-4, Class A3, 4.14%, 2/16/2027 | | |
Series 2022-5, Class B, 4.43%, 3/15/2027 | | |
Series 2023-1, Class B, 4.98%, 2/15/2028 | | |
Santander Retail Auto Lease Trust Series 2022-A, Class A3, 1.34%, 7/21/2025 (b) | | |
SCF Equipment Leasing LLC Series 2022-2A, Class A3, 6.50%, 10/21/2030 (b) | | |
Sierra Timeshare Receivables Funding LLC Series 2022-2A, Class A, 4.73%, 6/20/2040 (b) | | |
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Asset-Backed Securities — continued |
SpringCastle America Funding LLC Series 2020-AA, Class A, 1.97%, 9/25/2037 (b) | | |
Tesla Auto Lease Trust Series 2021-B, Class A4, 0.63%, 9/22/2025 (b) | | |
Theorem Funding Trust Series 2021-1A, Class A, 1.21%, 12/15/2027 (b) | | |
Toyota Auto Receivables Owner Trust | | |
Series 2020-A, Class A3, 1.66%, 5/15/2024 | | |
Series 2021-A, Class A3, 0.26%, 5/15/2025 | | |
Series 2020-C, Class A4, 0.57%, 10/15/2025 | | |
United Airlines Pass-Through Trust | | |
Series 2016-1, Class AA, 3.10%, 7/7/2028 | | |
Series 2016-2, Class AA, 2.88%, 10/7/2028 | | |
Series 2018-1, Class AA, 3.50%, 3/1/2030 | | |
Series 2018-1, Class A, 3.70%, 3/1/2030 | | |
United Auto Credit Securitization Trust Series 2021-1, Class C, 0.84%, 6/10/2026 (b) | | |
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 (b) | | |
Volkswagen Auto Lease Trust Series 2020-A, Class A3, 0.39%, 1/22/2024 | | |
VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (b) (e) | | |
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (b) (e) | | |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (b) (e) | | |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (b) (e) | | |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (b) (e) | | |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (e) | | |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (b) (e) | | |
Westgate Resorts LLC Series 2022-1A, Class A, 1.79%, 8/20/2036 (b) | | |
Westlake Automobile Receivables Trust | | |
Series 2021-3A, Class A3, 0.95%, 6/16/2025 (b) | | |
Series 2020-3A, Class B, 0.78%, 11/17/2025 (b) | | |
Series 2022-3A, Class A3, 5.49%, 7/15/2026 (b) | | |
Series 2021-3A, Class D, 2.12%, 1/15/2027 (b) | | |
Series 2023-1A, Class A3, 5.21%, 1/18/2028 (b) | | |
| | |
|
Series 2023-1A, Class C, 5.74%, 8/15/2028 (b) | | |
World Omni Auto Receivables Trust | | |
Series 2021-A, Class A3, 0.30%, 1/15/2026 | | |
Series 2021-C, Class A3, 0.44%, 8/17/2026 | | |
Series 2022-B, Class A3, 3.25%, 7/15/2027 | | |
Series 2023-A, Class A3, 4.83%, 5/15/2028 | | |
World Omni Automobile Lease Securitization Trust | | |
Series 2021-A, Class A3, 0.42%, 8/15/2024 | | |
Series 2020-B, Class A4, 0.52%, 2/17/2026 | | |
World Omni Select Auto Trust Series 2020-A, Class A3, 0.55%, 7/15/2025 | | |
Total Asset-Backed Securities
(Cost $109,710,025) | | |
Commercial Mortgage-Backed Securities — 11.4% |
20 Times Square Trust Series 2018-20TS, Class A, 3.10%, 5/15/2035 (b) (g) | | |
BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (b) | | |
BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (b) | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series K034, Class A2, 3.53%, 7/25/2023 (g) | | |
Series K036, Class A2, 3.53%, 10/25/2023 (g) | | |
Series K038, Class A2, 3.39%, 3/25/2024 | | |
Series K039, Class A2, 3.30%, 7/25/2024 | | |
Series J22F, Class A2, 4.09%, 9/25/2024 | | |
Series K729, Class A2, 3.14%, 10/25/2024 | | |
Series K041, Class A2, 3.17%, 10/25/2024 | | |
Series K046, Class A2, 3.21%, 3/25/2025 | | |
Series KL3L, Class ALNZ, 3.46%, 4/25/2025 (g) | | |
Series K048, Class A2, 3.28%, 6/25/2025 (g) | | |
Series K049, Class A2, 3.01%, 7/25/2025 | | |
Series KLU2, Class A7, 2.23%, 9/25/2025 (g) | | |
Series K056, Class A2, 2.53%, 5/25/2026 | | |
Series K058, Class A1, 2.34%, 7/25/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
Series K737, Class AM, 2.10%, 10/25/2026 | | |
Series K060, Class A2, 3.30%, 10/25/2026 | | |
Series K066, Class A2, 3.12%, 6/25/2027 | | |
Series K067, Class A2, 3.19%, 7/25/2027 | | |
Series K069, Class A2, 3.19%, 9/25/2027 (g) | | |
Series K070, Class A2, 3.30%, 11/25/2027 (g) | | |
Series K072, Class A2, 3.44%, 12/25/2027 | | |
Series K081, Class A1, 3.88%, 2/25/2028 | | |
Series K078, Class A2, 3.85%, 6/25/2028 | | |
Series K079, Class A2, 3.93%, 6/25/2028 | | |
Series K083, Class A2, 4.05%, 9/25/2028 (g) | | |
Series K-150, Class A2, 3.71%, 9/25/2032 (g) | | |
Series K-151, Class A2, 3.80%, 10/25/2032 (g) | | |
Series K145, Class AM, 2.58%, 6/25/2055 | | |
| | |
Series 2013-M13, Class A2, 2.59%, 4/25/2023 (g) | | |
Series 2014-M1, Class A2, 3.13%, 7/25/2023 (g) | | |
Series 2014-M2, Class A2, 3.51%, 12/25/2023 (g) | | |
Series 2014-M3, Class A2, 3.50%, 1/25/2024 (g) | | |
Series 2014-M8, Class A2, 3.06%, 6/25/2024 (g) | | |
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (g) | | |
Series 2016-M6, Class A2, 2.49%, 5/25/2026 | | |
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (g) | | |
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (g) | | |
Series 2017-M12, Class A2, 3.06%, 6/25/2027 (g) | | |
Series 2017-M13, Class A2, 2.93%, 9/25/2027 (g) | | |
Series 2018-M2, Class A2, 2.91%, 1/25/2028 (g) | | |
Series 2018-M4, Class A2, 3.06%, 3/25/2028 (g) | | |
Series 2018-M9, Class APT2, 3.11%, 4/25/2028 (g) | | |
| | |
|
Series 2018-M14, Class A2, 3.58%, 8/25/2028 (g) | | |
Series 2017-M5, Class A2, 3.10%, 4/25/2029 (g) | | |
Series 2018-M3, Class A2, 3.07%, 2/25/2030 (g) | | |
Series 2020-M50, Class A1, 0.67%, 10/25/2030 | | |
Series 2020-M50, Class A2, 1.20%, 10/25/2030 | | |
Series 2020-M50, Class X1, IO, 1.89%, 10/25/2030 (g) | | |
Series 2021-M11, Class A2, 1.46%, 3/25/2031 (g) | | |
Series 2022-M1G, Class A2, 1.53%, 9/25/2031 (g) | | |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | | |
Series 2021-M3, Class X1, IO, 1.94%, 11/25/2033 (g) | | |
| | |
Series 2015-K44, Class B, 3.72%, 1/25/2048 (b) (g) | | |
Series 2016-K722, Class B, 3.93%, 7/25/2049 (b) (g) | | |
Morgan Stanley Capital I Trust Series 2021-PLZA, Class A, 2.57%, 11/9/2043 ‡ (b) | | |
MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b) | | |
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) | | |
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b) | | |
UBS-Barclays Commercial Mortgage Trust Series 2013-C6, Class A4, 3.24%, 4/10/2046 | | |
Total Commercial Mortgage-Backed Securities
(Cost $108,983,730) | | |
Mortgage-Backed Securities — 8.9% |
FHLMC Gold Pools, 15 Year Pool # G13603, 5.50%, 2/1/2024 | | |
FHLMC Gold Pools, 20 Year | | |
Pool # C91030, 5.50%, 5/1/2027 | | |
Pool # C91802, 3.50%, 1/1/2035 | | |
FHLMC Gold Pools, 30 Year | | |
Pool # A15232, 5.00%, 10/1/2033 | | |
Pool # A57681, 6.00%, 12/1/2036 | | |
Pool # G06493, 4.50%, 5/1/2041 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Mortgage-Backed Securities — continued |
| | |
Pool # WN1157, 1.80%, 11/1/2028 | | |
Pool # U90690, 3.50%, 6/1/2042 | | |
| | |
Pool # ZM6956, 4.50%, 6/1/2048 | | |
Pool # RA6702, 3.00%, 2/1/2052 | | |
Pool # RA7937, 5.00%, 9/1/2052 (f) | | |
FNMA UMBS, 15 Year Pool # 995381, 6.00%, 1/1/2024 | | |
| | |
Pool # MA1138, 3.50%, 8/1/2032 | | |
Pool # AP9584, 3.00%, 10/1/2032 | | |
| | |
Pool # AL0045, 6.00%, 12/1/2032 | | |
Pool # 735503, 6.00%, 4/1/2035 | | |
Pool # 888460, 6.50%, 10/1/2036 | | |
Pool # 888890, 6.50%, 10/1/2037 | | |
Pool # 949320, 7.00%, 10/1/2037 | | |
Pool # 995149, 6.50%, 10/1/2038 | | |
Pool # 994410, 7.00%, 11/1/2038 | | |
Pool # AD9151, 5.00%, 8/1/2040 | | |
Pool # AE0681, 4.50%, 12/1/2040 | | |
Pool # BM3500, 4.00%, 9/1/2047 | | |
Pool # BM3499, 4.00%, 12/1/2047 | | |
Pool # BE8354, 4.00%, 3/1/2048 | | |
Pool # CB2637, 2.50%, 1/1/2052 | | |
Pool # CB2670, 3.00%, 1/1/2052 | | |
Pool # FS0882, 2.50%, 3/1/2052 | | |
Pool # CB3629, 4.00%, 5/1/2052 (f) | | |
| | |
Pool # AL3594, 2.69%, 4/1/2023 (g) | | |
Pool # AM3301, 2.35%, 5/1/2023 | | |
Pool # AM4716, 3.38%, 12/1/2023 | | |
Pool # AM8674, 2.81%, 4/1/2025 | | |
Pool # AM8846, 2.68%, 5/1/2025 | | |
Pool # AN1413, 2.49%, 5/1/2026 | | |
Pool # AN1497, 2.61%, 6/1/2026 | | |
Pool # AN1243, 2.64%, 6/1/2026 | | |
Pool # AN1247, 2.64%, 6/1/2026 | | |
Pool # AN6732, 2.83%, 5/1/2027 | | |
Pool # AN7338, 3.06%, 11/1/2027 | | |
Pool # AN7943, 3.10%, 1/1/2028 | | |
Pool # AN1161, 3.05%, 4/1/2028 | | |
Pool # AN9486, 3.57%, 6/1/2028 | | |
Pool # AN2069, 2.35%, 8/1/2028 | | |
Pool # BL0907, 3.88%, 12/1/2028 | | |
Pool # BM4162, 3.12%, 10/1/2029 (g) | | |
Pool # BL4333, 2.52%, 11/1/2029 | | |
Pool # BM7037, 1.75%, 3/1/2032 (g) | | |
Pool # BS5117, 2.58%, 3/1/2032 | | |
| | |
|
Pool # MA1125, 4.00%, 7/1/2042 | | |
Pool # MA1437, 3.50%, 5/1/2043 | | |
Pool # MA1463, 3.50%, 6/1/2043 | | |
Pool # BF0669, 4.00%, 6/1/2052 (f) | | |
Pool # BF0230, 5.50%, 1/1/2058 | | |
Pool # BM6734, 4.00%, 8/1/2059 | | |
Pool # BF0497, 3.00%, 7/1/2060 | | |
Pool # BF0546, 2.50%, 7/1/2061 | | |
Pool # BF0617, 2.50%, 3/1/2062 | | |
| | |
Pool # 4245, 6.00%, 9/20/2038 | | |
Pool # BA7567, 4.50%, 5/20/2048 | | |
Pool # BI0416, 4.50%, 11/20/2048 | | |
Pool # BM9692, 4.50%, 7/20/2049 | | |
Pool # MA7534, 2.50%, 8/20/2051 | | |
Pool # MA7649, 2.50%, 10/20/2051 | | |
Total Mortgage-Backed Securities
(Cost $87,779,414) | | |
Collateralized Mortgage Obligations — 6.0% |
CHL Mortgage Pass-Through Trust Series 2004-8, Class 2A1, 4.50%, 6/25/2019 ‡ | | |
Citigroup Mortgage Loan Trust Series 2004-HYB4, Class WA, 4.25%, 12/25/2034 (g) | | |
Citigroup Mortgage Loan Trust, Inc. Series 2003-1, Class 3A4, 5.25%, 9/25/2033 | | |
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27, Class 5A4, 5.25%, 11/25/2033 | | |
CSMC Trust Series 2022-JR1, Class A1, 4.27%, 10/25/2066 ‡ (b) (e) | | |
| | |
Series 1578, Class K, 6.90%, 9/15/2023 | | |
Series 2685, Class DT, 5.00%, 10/15/2023 | | |
Series 2687, Class JH, 5.00%, 10/15/2023 | | |
Series 2701, Class AC, 5.00%, 11/15/2023 | | |
Series 3521, Class B, 4.00%, 4/15/2024 | | |
Series 3544, Class BC, 4.00%, 6/15/2024 | | |
Series 3546, Class NB, 4.00%, 6/15/2024 | | |
Series 3562, Class JC, 4.00%, 8/15/2024 | | |
Series 3563, Class BD, 4.00%, 8/15/2024 | | |
Series 3571, Class MY, 4.00%, 9/15/2024 | | |
Series 3575, Class EB, 4.00%, 9/15/2024 | | |
Series 3577, Class B, 4.00%, 9/15/2024 | | |
Series 3578, Class KB, 4.00%, 9/15/2024 | | |
Series 2989, Class TG, 5.00%, 6/15/2025 | | |
Series 2988, Class TY, 5.50%, 6/15/2025 | | |
Series 3816, Class HA, 3.50%, 11/15/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Collateralized Mortgage Obligations — continued |
Series 3087, Class KX, 5.50%, 12/15/2025 | | |
Series 3787, Class AY, 3.50%, 1/15/2026 | | |
Series 3794, Class LB, 3.50%, 1/15/2026 | | |
Series 3102, Class CE, 5.50%, 1/15/2026 | | |
Series 3123, Class HT, 5.00%, 3/15/2026 | | |
Series 3121, Class JD, 5.50%, 3/15/2026 | | |
Series 3150, Class EQ, 5.00%, 5/15/2026 | | |
Series 3898, Class KH, 3.50%, 6/15/2026 | | |
Series 3885, Class AC, 4.00%, 6/15/2026 | | |
Series 3911, Class B, 3.50%, 8/15/2026 | | |
Series 3959, Class PB, 3.00%, 11/15/2026 | | |
Series 4337, Class VJ, 3.50%, 6/15/2027 | | |
Series 3337, Class MD, 5.50%, 6/15/2027 | | |
Series 2110, Class PG, 6.00%, 1/15/2029 | | |
Series 3563, Class LB, 4.00%, 8/15/2029 | | |
Series 3653, Class B, 4.50%, 4/15/2030 | | |
Series 3824, Class EY, 3.50%, 3/15/2031 | | |
Series 2525, Class AM, 4.50%, 4/15/2032 | | |
Series 2441, Class GF, 6.50%, 4/15/2032 | | |
Series 2436, Class MC, 7.00%, 4/15/2032 | | |
Series 2760, Class KT, 4.50%, 9/15/2032 | | |
Series 2505, Class D, 5.50%, 9/15/2032 | | |
Series 2544, Class KE, 5.50%, 12/15/2032 | | |
Series 2557, Class HL, 5.30%, 1/15/2033 | | |
Series 2575, Class PE, 5.50%, 2/15/2033 | | |
Series 2586, Class WG, 4.00%, 3/15/2033 | | |
Series 2596, Class QD, 4.00%, 3/15/2033 | | |
Series 2621, Class QH, 5.00%, 5/15/2033 | | |
Series 2624, Class QH, 5.00%, 6/15/2033 | | |
Series 2648, Class BK, 5.00%, 7/15/2033 | | |
Series 4238, Class UY, 3.00%, 8/15/2033 | | |
Series 2673, Class PE, 5.50%, 9/15/2033 | | |
Series 2696, Class DG, 5.50%, 10/15/2033 | | |
Series 2725, Class TA, 4.50%, 12/15/2033 | | |
Series 2733, Class ME, 5.00%, 1/15/2034 | | |
Series 2768, Class PK, 5.00%, 3/15/2034 | | |
Series 2934, Class KG, 5.00%, 2/15/2035 | | |
Series 3077, Class TO, PO, 4/15/2035 | | |
Series 2960, Class JH, 5.50%, 4/15/2035 | | |
Series 3082, Class PW, 5.50%, 12/15/2035 | | |
Series 3084, Class BH, 5.50%, 12/15/2035 | | |
Series 3098, Class KG, 5.50%, 1/15/2036 | | |
Series 3136, Class CO, PO, 4/15/2036 | | |
| | |
|
Series 3145, Class AJ, 5.50%, 4/15/2036 | | |
Series 3819, Class ZQ, 6.00%, 4/15/2036 | | |
Series 3200, PO, 8/15/2036 | | |
Series 3270, Class AT, 5.50%, 1/15/2037 | | |
Series 3272, Class PA, 6.00%, 2/15/2037 | | |
Series 3348, Class HT, 6.00%, 7/15/2037 | | |
Series 3501, Class A, 4.50%, 1/15/2039 | | |
Series 3508, Class PK, 4.00%, 2/15/2039 | | |
Series 3513, Class A, 4.50%, 2/15/2039 | | |
Series 3653, Class HJ, 5.00%, 4/15/2040 | | |
Series 3677, Class KB, 4.50%, 5/15/2040 | | |
Series 3677, Class PB, 4.50%, 5/15/2040 | | |
Series 3715, Class PC, 4.50%, 8/15/2040 | | |
Series 3955, Class HB, 3.00%, 12/15/2040 | | |
Series 3828, Class PU, 4.50%, 3/15/2041 | | |
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (g) | | |
Series 3956, Class EB, 3.25%, 11/15/2041 | | |
Series 3963, Class JB, 4.50%, 11/15/2041 | | |
Series 4026, Class MQ, 4.00%, 4/15/2042 | | |
Series 4616, Class HP, 3.00%, 9/15/2046 | | |
Series 3688, Class GT, 7.54%, 11/15/2046 (g) | | |
FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042 | | |
| | |
Series 2003-48, Class TC, 5.00%, 6/25/2023 | | |
Series 2003-55, Class HY, 5.00%, 6/25/2023 | | |
Series 2006-22, Class CE, 4.50%, 8/25/2023 | | |
Series 2004-44, Class KT, 6.00%, 6/25/2024 | | |
Series 2004-53, Class NC, 5.50%, 7/25/2024 | | |
Series 2009-71, Class MB, 4.50%, 9/25/2024 | | |
Series 2004-70, Class EB, 5.00%, 10/25/2024 | | |
Series 2010-49, Class KB, 4.00%, 5/25/2025 | | |
Series 2010-41, Class DC, 4.50%, 5/25/2025 | | |
Series 1997-57, Class PN, 5.00%, 9/18/2027 | | |
Series 2009-39, Class LB, 4.50%, 6/25/2029 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Collateralized Mortgage Obligations — continued |
Series 2009-96, Class DB, 4.00%, 11/25/2029 | | |
Series 2010-28, Class DE, 5.00%, 4/25/2030 | | |
Series 2001-63, Class TC, 6.00%, 12/25/2031 | | |
Series 2001-81, Class HE, 6.50%, 1/25/2032 | | |
Series 2002-75, Class GB, 5.50%, 11/25/2032 | | |
Series 2011-39, Class ZA, 6.00%, 11/25/2032 | | |
Series 2002-85, Class PE, 5.50%, 12/25/2032 | | |
Series 2003-21, Class OU, 5.50%, 3/25/2033 | | |
Series 2003-26, Class EB, 3.50%, 4/25/2033 | | |
Series 2003-23, Class CH, 5.00%, 4/25/2033 | | |
Series 2003-63, Class YB, 5.00%, 7/25/2033 | | |
Series 2003-69, Class N, 5.00%, 7/25/2033 | | |
Series 2003-80, Class QG, 5.00%, 8/25/2033 | | |
Series 2003-85, Class QD, 5.50%, 9/25/2033 | | |
Series 2003-94, Class CE, 5.00%, 10/25/2033 | | |
Series 2005-5, Class CK, 5.00%, 1/25/2035 | | |
Series 2005-29, Class WC, 4.75%, 4/25/2035 | | |
Series 2005-48, Class TD, 5.50%, 6/25/2035 | | |
Series 2005-53, Class MJ, 5.50%, 6/25/2035 | | |
Series 2005-58, Class EP, 5.50%, 7/25/2035 | | |
Series 2005-68, Class BE, 5.25%, 8/25/2035 | | |
Series 2005-68, Class PG, 5.50%, 8/25/2035 | | |
Series 2005-102, Class PG, 5.00%, 11/25/2035 | | |
Series 2005-110, Class GL, 5.50%, 12/25/2035 | | |
Series 2006-49, Class PA, 6.00%, 6/25/2036 | | |
Series 2009-19, Class PW, 4.50%, 10/25/2036 | | |
| | |
|
Series 2006-114, Class HE, 5.50%, 12/25/2036 | | |
Series 2007-33, Class HE, 5.50%, 4/25/2037 | | |
Series 2007-65, Class KI, IF, IO, 2.00%, 7/25/2037 (g) | | |
Series 2007-71, Class KP, 5.50%, 7/25/2037 | | |
Series 2007-71, Class GB, 6.00%, 7/25/2037 | | |
Series 2009-86, Class OT, PO, 10/25/2037 | | |
Series 2008-72, Class BX, 5.50%, 8/25/2038 | | |
Series 2008-74, Class B, 5.50%, 9/25/2038 | | |
Series 2009-62, Class HJ, 6.00%, 5/25/2039 | | |
Series 2009-37, Class KI, IF, IO, 1.38%, 6/25/2039 (g) | | |
Series 2009-86, Class IP, IO, 5.50%, 10/25/2039 | | |
Series 2009-92, Class AD, 6.00%, 11/25/2039 | | |
Series 2009-112, Class ST, IF, IO, 1.63%, 1/25/2040 (g) | | |
Series 2010-22, Class PE, 5.00%, 3/25/2040 | | |
Series 2010-35, Class SB, IF, IO, 1.80%, 4/25/2040 (g) | | |
Series 2010-37, Class CY, 5.00%, 4/25/2040 | | |
Series 2010-54, Class EA, 4.50%, 6/25/2040 | | |
Series 2010-64, Class DM, 5.00%, 6/25/2040 | | |
Series 2010-71, Class HJ, 5.50%, 7/25/2040 | | |
Series 2010-123, Class BP, 4.50%, 11/25/2040 | | |
Series 2011-5, Class CP, 4.50%, 11/25/2040 | | |
Series 2011-41, Class KL, 4.00%, 5/25/2041 | | |
Series 2011-50, Class LP, 4.00%, 6/25/2041 | | |
Series 2012-137, Class CF, 4.92%, 8/25/2041 (g) | | |
Series 2012-103, Class DA, 3.50%, 10/25/2041 | | |
Series 2012-14, Class DE, 3.50%, 3/25/2042 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Collateralized Mortgage Obligations — continued |
Series 2012-139, Class JA, 3.50%, 12/25/2042 | | |
Series 2013-104, Class CY, 5.00%, 10/25/2043 | | |
Series 2019-65, Class PA, 2.50%, 5/25/2048 | | |
Series 2009-96, Class CB, 4.00%, 11/25/2049 | | |
Series 2019-7, Class CA, 3.50%, 11/25/2057 | | |
| | |
Series 293, Class 1, PO, 12/25/2024 | | |
Series 314, Class 1, PO, 7/25/2031 | | |
| | |
Series 2003-10, Class KJ, 5.50%, 2/20/2033 | | |
Series 2003-29, Class PD, 5.50%, 4/16/2033 | | |
Series 2003-65, Class AP, 5.50%, 8/20/2033 | | |
Series 2003-77, Class TK, 5.00%, 9/16/2033 | | |
Series 2004-16, Class GC, 5.50%, 2/20/2034 | | |
Series 2004-54, Class BG, 5.50%, 7/20/2034 | | |
Series 2004-93, Class PD, 5.00%, 11/16/2034 | | |
Series 2004-101, Class BE, 5.00%, 11/20/2034 | | |
Series 2005-11, Class PL, 5.00%, 2/20/2035 | | |
Series 2005-26, Class XY, 5.50%, 3/20/2035 | | |
Series 2005-33, Class AY, 5.50%, 4/16/2035 | | |
Series 2005-49, Class B, 5.50%, 6/20/2035 | | |
Series 2005-51, Class DC, 5.00%, 7/20/2035 | | |
Series 2005-56, Class BD, 5.00%, 7/20/2035 | | |
Series 2006-7, Class ND, 5.50%, 8/20/2035 | | |
Series 2007-37, Class LB, 5.50%, 6/16/2037 | | |
Series 2007-79, Class BL, 5.75%, 8/20/2037 | | |
Series 2009-106, Class ST, IF, IO, 1.40%, 2/20/2038 (g) | | |
Series 2008-7, Class PQ, 5.00%, 2/20/2038 | | |
| | |
|
Series 2008-9, Class PW, 5.25%, 2/20/2038 | | |
Series 2008-23, Class YA, 5.25%, 3/20/2038 | | |
Series 2008-35, Class NF, 5.00%, 4/20/2038 | | |
Series 2008-34, Class PG, 5.25%, 4/20/2038 | | |
Series 2008-33, Class PB, 5.50%, 4/20/2038 | | |
Series 2008-38, Class BG, 5.00%, 5/16/2038 | | |
Series 2008-43, Class NB, 5.50%, 5/20/2038 | | |
Series 2008-56, Class PX, 5.50%, 6/20/2038 | | |
Series 2008-58, Class PE, 5.50%, 7/16/2038 | | |
Series 2008-62, Class SA, IF, IO, 1.55%, 7/20/2038 (g) | | |
Series 2008-76, Class US, IF, IO, 1.30%, 9/20/2038 (g) | | |
Series 2011-97, Class WA, 6.11%, 11/20/2038 (g) | | |
Series 2008-95, Class DS, IF, IO, 2.70%, 12/20/2038 (g) | | |
Series 2009-14, Class AG, 4.50%, 3/20/2039 | | |
Series 2009-72, Class SM, IF, IO, 1.66%, 8/16/2039 (g) | | |
Series 2009-61, Class AP, 4.00%, 8/20/2039 | | |
Series 2010-130, Class BD, 4.00%, 12/20/2039 | | |
Series 2010-157, Class OP, PO, 12/20/2040 | | |
Series 2014-H11, Class VA, 4.89%, 6/20/2064 (g) | | |
Series 2015-H20, Class FA, 4.86%, 8/20/2065 (g) | | |
Series 2015-H26, Class FG, 4.91%, 10/20/2065 (g) | | |
GSR Mortgage Loan Trust Series 2004-6F, Class 2A4, 5.50%, 5/25/2034 | | |
| | |
Series 2006-A2, Class 5A3, 4.18%, 11/25/2033 (g) | | |
Series 2007-A1, Class 5A5, 4.00%, 7/25/2035 (g) | | |
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 4.06%, 4/21/2034 (g) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Collateralized Mortgage Obligations — continued |
MASTR Asset Securitization Trust Series 2003-11, Class 8A1, 5.50%, 12/25/2033 | | |
Merrill Lynch Mortgage Investors Trust | | |
Series 2003-F, Class A1, 5.26%, 10/25/2028 (g) | | |
Series 2004-B, Class A1, 5.12%, 5/25/2029 (g) | | |
Morgan Stanley Mortgage Loan Trust Series 2004-3, Class 4A, 5.65%, 4/25/2034 (g) | | |
PHH Mortgage Trust Series 2008-CIM2, Class 5A1, 6.00%, 7/25/2038 | | |
PRPM LLC Series 2021-10, Class A1, 2.49%, 10/25/2026 (b) (e) | | |
Seasoned Credit Risk Transfer Trust | | |
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | | |
Series 2017-4, Class M60C, 3.50%, 6/25/2057 | | |
Series 2017-4, Class MT, 3.50%, 6/25/2057 | | |
Series 2018-2, Class M55D, 4.00%, 11/25/2057 | | |
Series 2019-3, Class M55D, 4.00%, 10/25/2058 | | |
Series 2020-1, Class M55G, 3.00%, 8/25/2059 | | |
Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028 | | |
Sequoia Mortgage Trust Series 2004-11, Class A1, 5.20%, 12/20/2034 (g) | | |
Structured Asset Mortgage Investments II Trust Series 2003-AR4, Class A1, 5.30%, 1/19/2034 (g) | | |
Thornburg Mortgage Securities Trust Series 2004-4, Class 3A, 3.72%, 12/25/2044 (g) | | |
Vendee Mortgage Trust Series 2003-2, Class Z, 5.00%, 5/15/2033 | | |
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (b) (e) | | |
WaMu Mortgage Pass-Through Certificates Trust Series 2003-AR11, Class A6, 4.23%, 10/25/2033 (g) | | |
Total Collateralized Mortgage Obligations
(Cost $58,071,702) | | |
U.S. Government Agency Securities — 1.5% |
FNMA
0.50%, 6/17/2025 (Cost $14,740,554) | | |
Foreign Government Securities — 0.3% |
Republic of Colombia 7.38%, 9/18/2037 | | |
Republic of Panama 3.16%, 1/23/2030 | | |
| | |
|
| | |
| | |
| | |
Total Foreign Government Securities
(Cost $2,902,344) | | |
| | |
Short-Term Investments — 1.8% |
Investment Companies — 1.8% |
JPMorgan Prime Money Market Fund Class IM Shares, 4.72% (h) (i)
(Cost $16,174,550) | | |
Total Investments — 100.5%
(Cost $967,450,607) | | |
Liabilities in Excess of Other Assets — (0.5)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Alternative Credit Enhancement Securities |
| Chicago Mercantile Exchange |
| Credit Suisse Mortgage Trust |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| Intercontinental Exchange |
| Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of February 28, 2023. The rate may be subject to a cap and floor. |
| 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. |
| London Interbank Offered Rate |
| 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. |
| Real Estate Mortgage Investment Conduit |
| Secured Overnight Financing Rate |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
| Value determined using significant unobservable inputs. | |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts or centrally cleared swaps. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
| Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at February 28, 2023 is $3,411,841 or 0.38% of the Fund’s net assets as of February 28, 2023 . | |
| Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 28, 2023. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2023. | |
| Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| The rate shown is the current yield as of February 28, 2023. | |
Futures contracts outstanding as of February 28, 2023:
| | | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) |
| | | | | |
U.S. Treasury 10 Year Note | | | | | |
U.S. Treasury 10 Year Ultra Note | | | | | |
U.S. Treasury 5 Year Note | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
U.S. Treasury 2 Year Note | | | | | |
| | | | | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
Centrally Cleared Inflation-linked swap contracts outstanding as of February 28, 2023 :
| | | | | UPFRONT
PAYMENTS
(RECEIPTS)
$ | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| |
| Consumer Price Index for All Urban Consumers |
| |
(a) Value of floating rate index at February 28, 2023 was as follows: |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of February 28, 2023:
REFERENCE
OBLIGATION/INDEX | FINANCING
RATE PAID
BY THE FUND
(%) | | | | | UPFRONT
PAYMENTS
(RECEIPTS)
| UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
| 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. |
| 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. |
| 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). |
| |
| Credit Default Swap Index |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan Realty Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023
| | |
|
|
American Homes 4 Rent, Class A, REIT | | |
Apartment Income REIT Corp., REIT | | |
Camden Property Trust, REIT | | |
Equity LifeStyle Properties, Inc., REIT | | |
| | |
Independence Realty Trust, Inc., REIT | | |
Sun Communities, Inc., REIT | | |
| | |
| | |
|
American Tower Corp., REIT | | |
| | |
SBA Communications Corp., REIT | | |
| | |
| | |
| | |
|
Healthcare Realty Trust, Inc., REIT | | |
Medical Properties Trust, Inc., REIT | | |
| | |
| | |
| | |
|
DiamondRock Hospitality Co., REIT | | |
Host Hotels & Resorts, Inc., REIT | | |
Sunstone Hotel Investors, Inc., REIT | | |
| | |
|
First Industrial Realty Trust, Inc., REIT | | |
| | |
Rexford Industrial Realty, Inc., REIT | | |
| | |
|
Alexandria Real Estate Equities, Inc., REIT | | |
Kilroy Realty Corp., REIT | | |
| | |
Real Estate Management & Development — 0.2% |
Cushman & Wakefield plc * | | |
| | |
|
|
Simon Property Group, Inc., REIT | | |
|
Federal Realty Investment Trust, REIT | | |
| | |
Kite Realty Group Trust, REIT | | |
| | |
|
Realty Income Corp., REIT | | |
|
| | |
| | |
| | |
Total Common Stocks
(Cost $453,048,413) | | |
Short-Term Investments — 4.2% |
Investment Companies — 4.2% |
JPMorgan Prime Money Market Fund Class IM Shares, 4.72% (a) (b)
(Cost $21,218,676) | | |
Total Investments — 100.0%
(Cost $474,267,089) | | |
Other Assets Less Liabilities — 0.0% ^ | | |
| | |
Percentages indicated are based on net assets. |
| |
| Real Estate Investment Trust |
| Amount rounds to less than 0.1% of net assets. |
| Non-income producing security. | |
| 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. | |
| The rate shown is the current yield as of February 28, 2023. | |
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENTS OF ASSETS AND LIABILITIES
AS OF February 28, 2023
| JPMorgan
Inflation
Managed
Bond ETF | |
| | |
Investments in non-affiliates, at value | | |
Investments in affiliates, at value | | |
| | |
Deposits at broker for centrally cleared swaps | | |
Segregated cash balance with Authorized Participant for deposit securities | | |
| | |
Investment securities sold | | |
Investment securities sold — delayed delivery securities | | |
Interest from non-affiliates | | |
Dividends from non-affiliates | | |
Dividends from affiliates | | |
Securities lending income (See Note 2.C.) | | |
Variation margin on futures contracts | | |
Variation margin on centrally cleared swaps | | |
| | |
| | |
| | |
Investment securities purchased | | |
Investment securities purchased — delayed delivery securities | | |
| | |
Collateral upon return of deposit securities | | |
| | |
| | |
| | |
Printing and mailing costs | | |
Custodian and accounting fees | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan Inflation Managed Bond ETF | |
| | |
| | |
Total distributable earnings (loss) | | |
| | |
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001) (a) (b) | | |
Net asset value, per share | | |
Cost of investments in non-affiliates | | |
Cost of investments in affiliates | | |
Net upfront receipts on centrally cleared swaps | | |
(a)
JPMorgan Inflation Managed Bond ETF acquired all of the assets and liabilities of the JPMorgan Inflation Managed Bond Fund ("Predecessor Fund") in a reorganization that occurred as of the close of business on April 8, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by JPMorgan Inflation Managed Bond ETF and will be used going forward. As a result, the information prior to close of business on April 8, 2022, reflects that of the Predecessor Fund's Class R6 Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 1).
(b)
JPMorgan Realty Income ETF acquired all of the assets and liabilities of the JPMorgan Realty Income Fund ("Predecessor Fund") in a reorganization that occurred as of the close of business on May 20, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by JPMorgan Realty Income ETF and will be used going forward. As a result, the information prior to close of business on May 20, 2022, reflects that of the Predecessor Fund's Class R6 Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 1).
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED February 28, 2023
| JPMorgan
Inflation
Managed
Bond ETF (a) | |
| | |
Interest income from non-affiliates | | |
Interest income from affiliates | | |
Dividend income from non-affiliates | | |
Dividend income from affiliates | | |
Income from securities lending (net) (See Note 2.C.) | | |
| | |
| | |
| | |
| | |
Distribution fees (See Note 3.C.) | | |
Service fees (See Note 3.D.) | | |
Custodian and accounting fees | | |
Interest expense to affiliates | | |
| | |
Trustees’ and Chief Compliance Officer’s fees | | |
Printing and mailing costs | | |
Registration and filing fees | | |
Transfer agency fees (See Note 2.G.) | | |
| | |
| | |
| | |
Less expense reimbursements | | |
| | |
Net investment income (loss) | | |
(a)
JPMorgan Inflation Managed Bond ETF acquired all of the assets and liabilities of the JPMorgan Inflation Managed Bond Fund ("Predecessor Fund") in a reorganization that occurred as of the close of business on April 8, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by JPMorgan Inflation Managed Bond ETF and will be used going forward. As a result, the information prior to close of business on April 8, 2022, reflects that of the Predecessor Fund's Class R6 Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 1).
(b)
JPMorgan Realty Income ETF acquired all of the assets and liabilities of the JPMorgan Realty Income Fund ("Predecessor Fund") in a reorganization that occurred as of the close of business on May 20, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by JPMorgan Realty Income ETF and will be used going forward. As a result, the information prior to close of business on May 20, 2022, reflects that of the Predecessor Fund's Class R6 Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 1).
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan Inflation Managed Bond ETF (a) | |
REALIZED/UNREALIZED GAINS (LOSSES): | | |
Net realized gain (loss) on transactions from: | | |
Investments in non-affiliates | | |
Investments in affiliates | | |
In-kind redemptions of investments in non-affiliates (See Note 4) | | |
| | |
| | |
| | |
Change in net unrealized appreciation/depreciation on: | | |
Investments in non-affiliates | | |
Investments in affiliates | | |
| | |
| | |
Change in net unrealized appreciation/depreciation | | |
Net realized/unrealized gains (losses) | | |
Change in net assets resulting from operations | | |
(a)
JPMorgan Inflation Managed Bond ETF acquired all of the assets and liabilities of the JPMorgan Inflation Managed Bond Fund ("Predecessor Fund") in a reorganization that occurred as of the close of business on April 8, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by JPMorgan Inflation Managed Bond ETF and will be used going forward. As a result, the information prior to close of business on April 8, 2022, reflects that of the Predecessor Fund's Class R6 Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 1).
(b)
JPMorgan Realty Income ETF acquired all of the assets and liabilities of the JPMorgan Realty Income Fund ("Predecessor Fund") in a reorganization that occurred as of the close of business on May 20, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by JPMorgan Realty Income ETF and will be used going forward. As a result, the information prior to close of business on May 20, 2022, reflects that of the Predecessor Fund's Class R6 Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 1).
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
| JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF |
| Year Ended
February 28, 2023 (a) | Year Ended
February 28, 2022 (a) | Year Ended
February 28, 2023 (b) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/ depreciation | | | | |
Change in net assets resulting from operations | | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
(a)
JPMorgan Inflation Managed Bond ETF acquired all of the assets and liabilities of the JPMorgan Inflation Managed Bond Fund ("Predecessor Fund") in a reorganization that occurred as of the close of business on April 8, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by JPMorgan Inflation Managed Bond ETF and will be used going forward. As a result, the information prior to close of business on April 8, 2022, reflects that of the Predecessor Fund's Class R6 Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 1).
(b)
JPMorgan Realty Income ETF acquired all of the assets and liabilities of the JPMorgan Realty Income Fund ("Predecessor Fund") in a reorganization that occurred as of the close of business on May 20, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by JPMorgan Realty Income ETF and will be used going forward. As a result, the information prior to close of business on May 20, 2022, reflects that of the Predecessor Fund's Class R6 Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 1).
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF |
| Year Ended February 28, 2023(a) | Year Ended February 28, 2022(a) | Year Ended February 28, 2023(b) | |
CAPITAL TRANSACTIONS: (c) (d) | | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class A capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class C capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class I capital transactions | | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
| | | | |
Change in net assets resulting from Class L capital transactions | | | | |
(a)
JPMorgan Inflation Managed Bond ETF acquired all of the assets and liabilities of the JPMorgan Inflation Managed Bond Fund ("Predecessor Fund") in a reorganization that occurred as of the close of business on April 8, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by JPMorgan Inflation Managed Bond ETF and will be used going forward. As a result, the information prior to close of business on April 8, 2022, reflects that of the Predecessor Fund's Class R6 Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 1).
(b)
JPMorgan Realty Income ETF acquired all of the assets and liabilities of the JPMorgan Realty Income Fund ("Predecessor Fund") in a reorganization that occurred as of the close of business on May 20, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by JPMorgan Realty Income ETF and will be used going forward. As a result, the information prior to close of business on May 20, 2022, reflects that of the Predecessor Fund's Class R6 Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 1).
(c)
Reflects reorganization from JPMorgan Inflation Managed Bond Fund on April 8, 2022. See Note 1.
(d)
Reflects reorganization from JPMorgan Realty Income Fund on May 20, 2022. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
| JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF |
| Year Ended February 28, 2023(a) | Year Ended February 28, 2022(a) | Year Ended February 28, 2023(b) | |
CAPITAL TRANSACTIONS: (c) (d) (continued) | | | | |
| | | | |
Proceeds from shares issued | | | | |
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Change in net assets resulting from Class R5 capital transactions | | | | |
Total change in net assets resulting from capital transactions | | | | |
(a)
JPMorgan Inflation Managed Bond ETF acquired all of the assets and liabilities of the JPMorgan Inflation Managed Bond Fund ("Predecessor Fund") in a reorganization that occurred as of the close of business on April 8, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by JPMorgan Inflation Managed Bond ETF and will be used going forward. As a result, the information prior to close of business on April 8, 2022, reflects that of the Predecessor Fund's Class R6 Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 1).
(b)
JPMorgan Realty Income ETF acquired all of the assets and liabilities of the JPMorgan Realty Income Fund ("Predecessor Fund") in a reorganization that occurred as of the close of business on May 20, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by JPMorgan Realty Income ETF and will be used going forward. As a result, the information prior to close of business on May 20, 2022, reflects that of the Predecessor Fund's Class R6 Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 1).
(c)
Reflects reorganization from JPMorgan Inflation Managed Bond Fund on April 8, 2022. See Note 1.
(d)
Reflects reorganization from JPMorgan Realty Income Fund on May 20, 2022. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF |
| Year Ended February 28, 2023(a) | Year Ended February 28, 2022(a) | Year Ended February 28, 2023(b) | |
SHARES TRANSACTIONS: (c) (d) | | | | |
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(a)
JPMorgan Inflation Managed Bond ETF acquired all of the assets and liabilities of the JPMorgan Inflation Managed Bond Fund ("Predecessor Fund") in a reorganization that occurred as of the close of business on April 8, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by JPMorgan Inflation Managed Bond ETF and will be used going forward. As a result, the information prior to close of business on April 8, 2022, reflects that of the Predecessor Fund's Class R6 Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 1).
(b)
JPMorgan Realty Income ETF acquired all of the assets and liabilities of the JPMorgan Realty Income Fund ("Predecessor Fund") in a reorganization that occurred as of the close of business on May 20, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by JPMorgan Realty Income ETF and will be used going forward. As a result, the information prior to close of business on May 20, 2022, reflects that of the Predecessor Fund's Class R6 Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 1).
(c)
Reflects reorganization from JPMorgan Inflation Managed Bond Fund on April 8, 2022. See Note 1.
(d)
Reflects reorganization from JPMorgan Realty Income Fund on May 20, 2022. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
| JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF |
| Year Ended February 28, 2023(a) | Year Ended February 28, 2022(a) | Year Ended February 28, 2023(b) | |
SHARES TRANSACTIONS: (c) (d) (continued) | | | | |
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Change in Class R5 Shares | | | | |
(a)
JPMorgan Inflation Managed Bond ETF acquired all of the assets and liabilities of the JPMorgan Inflation Managed Bond Fund ("Predecessor Fund") in a reorganization that occurred as of the close of business on April 8, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by JPMorgan Inflation Managed Bond ETF and will be used going forward. As a result, the information prior to close of business on April 8, 2022, reflects that of the Predecessor Fund's Class R6 Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 1).
(b)
JPMorgan Realty Income ETF acquired all of the assets and liabilities of the JPMorgan Realty Income Fund ("Predecessor Fund") in a reorganization that occurred as of the close of business on May 20, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by JPMorgan Realty Income ETF and will be used going forward. As a result, the information prior to close of business on May 20, 2022, reflects that of the Predecessor Fund's Class R6 Shares. The Predecessor Fund ceased operations as of the date of the reorganization. (See Note 1).
(c)
Reflects reorganization from JPMorgan Inflation Managed Bond Fund on April 8, 2022. See Note 1.
(d)
Reflects reorganization from JPMorgan Realty Income Fund on May 20, 2022. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
THIS PAGE IS INTENTIONALLY LEFT BLANK
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance (a) |
| | | | |
| Net
asset
value
beginning of
period | Net
investment
income
(loss) (c) | Net
realized
and unrealized
gains (losses)
on investments | Total
from
investment
operations | | |
JPMorgan Inflation Managed Bond ETF (h) | | | | | | |
Year Ended February 28, 2023 | | | | | | |
Year Ended February 28, 2022 | | | | | | |
Year Ended February 28, 2021 | | | | | | |
Year Ended February 29, 2020 | | | | | | |
Year Ended February 28, 2019 | | | | | | |
JPMorgan Realty Income ETF (i) | | | | | | |
Year Ended February 28, 2023 | | | | | | |
Year Ended February 28, 2022 | | | | | | |
Year Ended February 28, 2021 | | | | | | |
Year Ended February 29, 2020 | | | | | | |
September 1, 2018 (k) through February 28, 2019 | | | | | | |
Year Ended August 31, 2018 | | | | | | |
|
| Per share amounts reflect the conversion of the JPMorgan Inflation Managed Bond Fund into the JPMorgan Inflation Managed Bond ETF as of the close of business on April 8, 2022 and the conversion of the JPMorgan Realty Income Fund into the JPMorgan Realty Income ETF as of the close of business on May 20, 2022. See Note 1. |
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| JPMorgan Inflation Managed Bond ETF acquired all of the assets and liabilities of the JPMorgan Inflation Managed Bond Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on April 8, 2022. Market price returns are calculated using the official closing price of the JPMorgan Inflation Managed Bond ETF on the listing exchange as of the time that the JPMorgan Inflation Managed Bond ETF's NAV is calculated. Prior to the JPMorgan Inflation Managed Bond ETF's listing on April 11, 2022, the NAV performance of the Class R6 Shares of the Predecessor Fund are used as proxy market price returns. |
| JPMorgan Realty Income ETF acquired all of the assets and liabilities of the JPMorgan Realty Income Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on May 20, 2022. Market price returns are calculated using the official closing price of the JPMorgan Realty Income ETF on the listing exchange as of the time that the JPMorgan Realty Income ETF's NAV is calculated. Prior to the JPMorgan Realty Income ETF's listing on May 23, 2022, the NAV performance of the Class R6 Shares of the Predecessor Fund are used as proxy market price returns. |
| Not annualized for periods less than one year. |
| JPMorgan Inflation Managed Bond ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan Inflation Managed Bond Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on April 8, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by the Fund and will be used going forward. As a result, the financial highlight information reflects that of the Predecessor Fund’s Class R6 Shares for the period March 1, 2017 up through the reorganization. |
| JPMorgan Realty Income ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan Realty Income Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on May 20, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by the Fund and will be used going forward. As a result, the financial highlight information reflects that of the Predecessor Fund’s Class R6 Shares for the period September 1, 2017 up through the reorganization. |
| Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.81 and the net investment income (loss) ratio would have been 1.59%. |
| The Fund changed its fiscal year end from August 31st to the last day of February. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | | |
| | | | | | Ratios to average net assets (b) |
| Net asset
value,
end of
period | | | Market
price
total
return(e) (f) | | | Net
investment
income (loss) | Expenses
without waivers
and
reimbursements | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023
1. Organization
J.P. Morgan Exchange-Traded Fund Trust (the “Trust”) was formed on February 25, 2010, and is governed by a Declaration of Trust as amended and restated February 19, 2014, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The following are 2 separate funds of the Trust (each, a "Fund" and collectively, the "Funds") covered by this report:
| Diversification Classification |
JPMorgan Inflation Managed Bond ETF | |
JPMorgan Realty Income ETF | |
Pursuant to an Agreement and Plan of Reorganization and Liquidation previously approved by the Board of Trustees of the applicable mutual fund trust, the following mutual funds (each, an “Acquired Fund” and collectively the “Acquired Funds”) were each reorganized into a newly created exchange-traded fund (each, a “Reorganization”) as of the close of business on the dates noted below (each, a “Closing Date”):
| | |
JPMorgan Inflation Managed Bond Fund | JPMorgan Inflation Managed Bond ETF | |
JPMorgan Realty Income Fund | JPMorgan Realty Income ETF | |
Following its Reorganization, each Acquired Fund’s performance (Class R6 Shares) and financial history were adopted by the new Fund. In connection with each Reorganization, each shareholder of an Acquired Fund (except as noted below) received shares of the surviving Fund equal in value to the number of shares of the Acquired Fund they owned on the Closing Date, including a cash payment in lieu of fractional shares of the Fund, which cash payment might have been taxable. Shareholders of an Acquired Fund who did not hold their shares through a brokerage account that could accept shares of the Fund on the Closing Date had their Acquired Funds shares liquidated, and such shareholders received cash equal in value to their Acquired Funds shares, which cash payment might have been taxable. Shareholders of an Acquired Fund who held their shares through a fund direct individual retirement account and did not take action prior to the applicable Reorganization had their Acquired Fund shares exchanged for Morgan Shares of JPMorgan U.S. Government Money Market Fund equal in value to their Acquired Fund shares. Each Fund has the same investment adviser, investment objective and fundamental investment policies and substantially similar investment strategies as its Acquired Fund. Effective as of the close of business on its Closing Date, each Acquired Fund ceased operations in connection with the consummation of its Reorganization.
Costs incurred by the Funds and the Acquired Funds associated with each Reorganization (including the legal costs associated with each Reorganization) were borne by the Adviser by waiving fees or reimbursing expenses to offset the costs incurred by each Fund or Acquired Fund associated with each Reorganization, including any brokerage fees and expenses incurred by the Fund or Acquired Fund related to the disposition and acquisition of assets as part of each Reorganization. Brokerage fees and expenses related to the disposition and acquisition of assets (including any disposition to raise cash to pay redemption proceeds) that were incurred in the ordinary course of business were borne by the Funds and the Acquired Funds. The management fee of each Fund is the same as the management fee of the corresponding Acquired Fund. The total annual fund operating expenses of each Fund are expected to be lower than the net expenses of each share class of the Acquired Fund after taking into consideration the expense limitation agreement the Adviser has entered into with each Funds for a term ending on June 30, 2025. Each Reorganization did not result in the material change to either Acquired Fund’s portfolio holdings. There are no material differences in accounting policies of the Acquired Funds as compared to those of the Funds.
Each Fund did not purchase or sell securities following its Reorganization for purposes of realigning its investment portfolio. Accordingly, each Reorganization of an Acquired Fund did not affect the corresponding Fund’s portfolio turnover ratios for the year ended February 28, 2023.
The investment objective of JPMorgan Inflation Managed Bond ETF ("Inflation Managed Bond ETF") is to seek to maximize inflation protected total return.
The investment objective of JPMorgan Realty Income ETF ("Realty Income ETF") is to seek to provide high total investment return through a combination of capital appreciation and current income.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as adviser (the “Adviser”) and administrator (the “Administrator”) to the Funds.
Shares of each Fund are listed and traded at market price on an exchange as follows:
| |
Inflation Managed Bond ETF | |
| |
Market prices for the Funds’ shares may be different from their net asset value (“NAV”).
The Funds issue and redeem their shares on a continuous basis, through JPMorgan Distribution Services, Inc. (the “Distributor” or “JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, at NAV in large blocks of shares, referred to as “Creation Units”. Creation Units are issued and
| J.P. Morgan Exchange-Traded Funds | |
redeemed principally in-kind for a basket of securities. A cash amount may be substituted if a Fund has sizable exposure to market or sponsor restricted securities. Shares are generally traded in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Only individuals or institutions that have entered into an authorized participant agreement with the Distributor may do business directly with the Funds (each, an “Authorized Participant”).
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds' 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 1940 Act, 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 Funds 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 Funds. 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 Funds' 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 Boards. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the NAVs of the Funds are calculated on a valuation date.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations. Swaps are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds' investments are summarized into the three broad levels listed below.
•
Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
•
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 Funds' 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.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments ("SOIs"):
Inflation Managed Bond ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Collateralized Mortgage Obligations | | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
Foreign Government Securities | | | | |
Mortgage-Backed Securities | | | | |
U.S. Government Agency Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
Appreciation in Other Financial Instruments | | | | |
| | | | |
| | | | |
Depreciation in Other Financial Instruments | | | | |
| | | | |
| | | | |
Total Net Appreciation/ Depreciation in Other
Financial Instruments | | | | |
| | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Total Investments in Securities (a) | | | | |
|
| Please refer to the SOI for specifics of portfolio holdings. |
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
| J.P. Morgan Exchange-Traded Funds | |
Inflation Managed Bond ETF | Balance as of
February 28,
2022 | | Change in net
unrealized
appreciation
(depreciation) | Net
accretion
(amortization) | | | | | Balance as of
February 28,
2023 |
Investments in Securities: | | | | | | | | | |
| | | | | | | | | |
Collateralized Mortgage Obligations | | | | | | | | | |
Commercial Mortgage-Backed Securities | | | | | | | | | |
| | | | | | | | | |
|
| Purchases include all purchases of securities and securities received in corporate actions. |
| 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 February 28, 2023, which were valued using significant unobservable inputs (level 3) amounted to $(484,060). This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
For the year ended February 28, 2023, transfers in and out of level 3 were the result of decreased or increased transparency of market activity (e.g., trades of the Fund’s investments, similar securities of the issuer and/or comparable securities) and observability of certain inputs used by Pricing Services or the Valuation Designee, as applicable, in determining fair value. This change in observability and resulting changes in levels does not impact liquidity or fair value of the Fund's investments or reflect any change in the investment strategy of the Fund.
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of February 28, 2023, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
C. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in Class IM Shares of the JPMorgan U.S. Government Money Market Fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived management fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.13% to 0.06%. For the year ended February 28, 2023, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).
Inflation Managed Bond ETF did not lend out any securities during the year ended February 28, 2023. Realty Income ETF did not have any securities out on loan at February 28, 2023.
D. Investment Transactions with Affiliates — The Funds invested in Underlying Funds, which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. The Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
Inflation Managed Bond ETF |
For the year ended February 28, 2023* |
| Value at
February 28,
2022 | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | Shares at
February 28,
2023 | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 4.72% (a) (b) | | | | | | | | | |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.66% (a) (b) | | | | | | | | | |
| | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of February 28, 2023. |
| As of the close of business on April 8, 2022, JPMorgan Inflation Managed Bond Fund (the "Acquired Fund"), a series of Trust I Funds, reorganized ("the Reorganization") into a newly created exchange-traded fund, JPMorgan Inflation Managed Bond ETF (the "Fund"). Following the Reorganization, the Acquired Fund's performance and financial history were adopted by the Fund. The tables include transactions from the Acquired Fund for the period March 1, 2022 through April 8, 2022. |
| J.P. Morgan Exchange-Traded Funds | |
|
For the year ended February 28, 2023** |
| Value at
February 28,
2022 | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | Shares at
February 28,
2023 | | Capital Gain
Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 4.72% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | | | | | | | | | |
| | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of February 28, 2023. |
| Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| As of the close of business on May 20, 2022, JPMorgan Realty Income Fund (the "Acquired Fund"), a series of Undiscovered Managers Funds, reorganized ("the Reorganization") into a newly created exchange-traded fund, JPMorgan Realty Income ETF (the "Fund"). Following the Reorganization, the Acquired Fund's performance and financial history were adopted by the Fund. The tables include transactions from the Acquired Fund for the period March 1, 2022 through May 20, 2022. |
E. Derivatives — Inflation Managed Bond ETF used derivative instruments including futures contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing the Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund's risk of loss associated with these instruments may exceed their value, as recorded on the Statement of Assets and Liabilities.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund's ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund's net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable against collateral posted to a segregated account by one party for the benefit of the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Fund.
Notes D(1) - D(2) below describe the various derivatives used by the Fund.
(1) Futures Contracts —Inflation Managed Bond ETF used index futures contracts to gain or reduce exposure to the stock market, or maintain liquidity or minimize transaction costs. The Fund also purchased futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI, while cash deposited, which is considered restricted, is recorded on the
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Fund to interest rate risk. The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Fund's futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(2) Swaps — Inflation Managed Bond ETF engaged in various swap transactions, including total return basket swaps, to manage total return risks within its portfolio. The Funds also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over-the-counter (“OTC swaps”) between a fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.
Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, on the Statements of Assets and Liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statements of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the Schedule of Portfolio Investments, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statements of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on swaps on the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
The central clearinghouse acts as the counterparty to each centrally cleared swap transaction; therefore credit risk is limited to the failure of the clearinghouse.
Inflation-Linked Swaps
Inflation Managed Bond ETF used inflation-linked swaps to provide inflation protection within its portfolio. These are agreements between counterparties to exchange interest payments based on interest rates over the life of the swap. One cash flow stream will typically be a floating rate payment based upon the Consumer Price Index upon while the other is a pre-determined fixed interest rate. The use of swaps exposes the Fund to interest rate risk.
(3) Summary of Derivatives Information —The following table presents the value of derivatives held as of February 28, 2023, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
| |
Interest Rate Risk Exposure: | |
Unrealized Appreciation on Futures Contracts * | |
Swaps at Value (Assets) ** | |
Unrealized Depreciation on Futures Contracts * | |
Swaps at Value (Liabilities) ** | |
| |
Swaps at Value (Liabilities) ** | |
Net Fair Value of Derivative Contracts: | |
Unrealized Appreciation (Depreciation) on Futures Contracts * | |
| |
|
| Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported on the SOIs. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
| J.P. Morgan Exchange-Traded Funds | |
| Includes the fair value of centrally cleared swap contracts as reported on the SOIs. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following tables present the effect of derivatives on the Statements of Operations for the year ended February 28, 2023, by primary underlying risk exposure:
| |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: |
Interest Rate Risk Exposure: |
| |
| |
|
| |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: |
Interest Rate Risk Exposure: |
| |
| |
|
| |
Derivatives Volume
The table below discloses the volume of the Funds' activity during the year ended February 28, 2023. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity:
| |
| |
Average Notional Balance Long | |
Average Notional Balance Short | |
Ending Notional Balance Long | |
Ending Notional Balance Short | |
Interest Rate-Related Swaps (Inflation-Linked Swaps): | |
Average Notional Balance - Pays Fixed Rate | |
Ending Notional Balance - Pays Fixed Rate | |
| |
Average Notional Balance - Buy Protection | |
Ending Notional Balance - Buy Protection | |
F. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts. Dividend income and distributions of net investment income and realized capital gains from the Underlying Funds, if any, are recorded on the ex-dividend date or when a Fund first learns of the dividend.
Inflation Managed Bond ETF invests in treasury inflation protected securities (TIPS). The principal amount of TIPS is adjusted periodically and is increased for inflation or decreased for deflation based on a monthly published index. These adjustments are recorded as increases or decreases to interest income on the Statements of Operations. Coupon payments are based on the adjusted principal at the time the interest is paid.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
G. Allocation of Income and Expenses — Expenses directly attributable to the Funds are charged directly to the Funds, while the expenses attributable to more than one fund of the Trust are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses (which are only applicable to the fees and expenses of the Acquired Fund for the period prior to the Reorganization), are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees charged to the Acquired Funds were class-specific expenses. The amount of the transfer agency fees charged to each share class of the Acquired Funds for the period March 1, 2022 through Closing Date were as follows:
| | | | | | | |
Inflation Managed Bond ETF | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
H. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds' tax positions for all open tax years and has determined that as of February 28, 2023, no liability for Federal income tax is required in the Funds' financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund's Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
I. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least monthly for Inflation Managed Bond ETF and at least quarterly for Realty Income ETF. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
The following amounts were reclassified within the capital accounts:
| | Accumulated
undistributed
(distributions in
excess of)
net investment
income | Accumulated
net realized
gains (losses) |
Inflation Managed Bond ETF | | | |
| | | |
The reclassifications for the Fund relate primarily to redemptions in-kind and tax equalization.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
| |
Inflation Managed Bond ETF | |
| |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.G.
| J.P. Morgan Exchange-Traded Funds | |
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund's respective average daily net assets, plus 0.050% of each Fund's respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund's respective average daily net assets between $20 billion and $25 billion, plus 0.010% of each Fund's respective average daily net assets in excess of $25 billion. For the year ended February 28, 2023, the effective rate was 0.075% of each Fund's average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.G.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds' sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the management fees payable to JPMIM.
C. Distribution Fees — Up through the Closing Date, pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, served as the Acquired fund's principal underwriter and promoted and arranged for the sale of the Acquired fund's shares.
Up through the Closing Date, each Acquired fund's Board of Trustees had adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Acquired Funds, as applicable, pursuant to Rule 12b-1 under the 1940 Act. Class I, Class L, Class R5 and Class R6 Shares of the Acquired Funds did not charge a distribution fee. The Distribution Plan provided that the Acquired Funds shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
| | |
Inflation Managed Bond ETF | | |
| | |
For the period March 1, 2022 through the Closing Date, JPMDS waived its distribution fee.
In addition, up through the Closing Date, JPMDS was entitled to receive the front-end sales charges from purchases of Class A Shares and the contingent deferred sales charge ("CDSC") from redemptions of Class C Shares and certain Class A Shares of the Acquired Funds for which front-end sales charges have been waived. For the period March 1, 2022 through the Closing Date, JPMDS did not retain any front-end sales charges or CDSCs.
D. Service Fees —Up through the Closing Date, JPMorgan Trust I and Undiscovered Managers Funds, on behalf of JPMorgan Inflation Managed Bond Fund and JPMorgan Realty Income Fund, respectively, had entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provided certain support services to fund shareholders. For performing these services, JPMDS received a fee with respect to all share classes of the Acquired Funds, except Class R6 Shares which did not charge a service fee, that was accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
| | | | | |
Inflation Managed Bond ETF | | | | | |
| | | | | |
Prior to the Closing Date, JPMDS had entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invested in the Acquired Funds. Pursuant to such contracts, JPMDS paid all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service fees as outlined in Note 3.G.
E. Custodian, Accounting and Transfer Agent Fees — JPMCB provides portfolio custody, accounting and transfer agency (effective as of the Closing Date) services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. The amounts paid directly to JPMCB by the Funds for transfer agency services are included in Transfer agency fees on the Statements of Operations.
Additionally, Authorized Participants generally pay transaction fees associated with the creation and redemption of Fund shares. These fees are used to offset certain custodian charges incurred by the Fund for these transactions.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
F. Distribution Services — The Distributor or its agent distributes Creation Units for each Fund on an agency basis. The Distributor does not maintain a secondary market in shares of each Fund. JPMDS receives no fees for their distribution services under the distribution agreement with the Trust (the “Distribution Agreement”). Although the Trust does not pay any fees under the Distribution Agreement, JPMIM pays JPMDS for certain distribution related services.
G. Waivers and Reimbursements—The Adviser, Administrator and/or JPMDS had contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed 0.25% of Inflation Managed Bond ETF's average daily net assets and 0.50% of Realty Income ETF's average daily net assets.
Prior to the closing date, the Adviser, Administrator and/or JPMDS had contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| | | | | | |
Inflation Managed Bond ETF | | | | | | |
| | | | | | |
For the year ended February 28, 2023, the Funds' service providers waived fees and/or reimbursed expenses for the Funds as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
| | | |
| | | | | Contractual
Reimbursements | |
Inflation Managed Bond ETF | | | | | | |
| | | | | | |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral. None of these parties expect the Funds to repay any such waived fees and/ or reimbursed expenses in future years.
The amounts of these waivers resulting from investments in these money market funds for the year ended February 28, 2023 were as follows:
| |
Inflation Managed Bond ETF | |
| |
Effective January 1, 2022, JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the year ended February 28, 2023 the amount of these reimbursements were as follows:
| |
Inflation Managed Bond ETF | |
| |
H. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. The Funds, along with certain other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended February 28, 2023, Inflation Managed Bond ETF purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
| J.P. Morgan Exchange-Traded Funds | |
The Securities and Exchange Commission ("SEC") has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended February 28, 2023, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) | Purchases
of U.S.
Government | |
Inflation Managed Bond ETF | | | | |
| | | | |
| | |
Inflation Managed Bond ETF | | |
| | |
During the year ended February 28, 2023, the Fund delivered portfolio securities for the redemption of Fund Shares (in-kind redemptions). Cash and portfolio securities were transferred for redemptions at fair value. For financial reporting purposes, the Fund recorded net realized gains and losses in connection with each in-kind redemption transaction.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at February 28, 2023 were as follows:
| | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
Inflation Managed Bond ETF | | | | |
| | | | |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to tax adjustments on certain investments, post-October capital loss deferrals and wash sale loss deferrals.
The tax character of distributions paid during the year ended February 28, 2023 was as follows:
| | Net
Long-Term
Capital Gains | |
Inflation Managed Bond ETF | | | |
| | | |
|
| Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended February 28, 2022 was as follows:
| | Net
Long-Term
Capital Gains | |
Inflation Managed Bond ETF | | | |
| | | |
|
| Short-term gain distributions are treated as ordinary income for income tax purposes. |
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
As of February 28, 2023, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
| Current
Distributable
Ordinary
Income | Current
Distributable
Long-Term
Capital Gain
(Tax Basis Capital
Loss Carryover) | Unrealized
Appreciation
(Depreciation) |
Inflation Managed Bond ETF | | | |
| | | |
The cumulative timing differences primarily consist of tax adjustments on certain investments, post-October capital loss deferrals and wash sale loss deferrals.
At February 28, 2023, the following Fund had net capital loss carryforwards which are available to offset future realized gains:
| Capital Loss Carryforward Character |
| | |
Inflation Managed Bond ETF | | |
Net capital losses (gains) incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds' next taxable year. For the year ended February 28, 2023, the Funds deferred to March 1, 2023 the following net capital losses (gains) and specified ordinary losses of:
| Net Capital Losses (Gains) |
| | |
Inflation Managed Bond ETF | | |
| | |
6. Capital Share Transactions
The Trust issues and redeems shares of the Funds only in Creation Units through the Distributor at NAV. Capital shares transactions detail can be found in the Statements of Changes in Net Assets.
Shares of the Funds may only be purchased or redeemed by Authorized Participants. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Funds' shares outstanding and act as executing or clearing broker for investment transactions on behalf of the Funds. An Authorized Participant is either (1) a “Participating Party” or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation (“NSCC”); or (2) a DTC Participant; which, in either case, must have executed an agreement with the Distributor.
Creation Units of a Fund may be created in advance of receipt by the Trust of all or a portion of the applicable basket of equity securities and other instruments (“Deposit Instruments”) and cash as described in the Funds’ registration statement. In these instances, the initial Deposit Instruments and cash must be deposited in an amount equal to the sum of the cash amount, plus at least 105%, for the Funds, of the market value of undelivered Deposit Instruments. A transaction fee may be imposed to offset transfer and other transaction costs associated with the purchase or redemption of Creation Units.
Authorized Participants transacting in Creation Units for cash may also pay a variable fee to compensate the relevant fund for market impact expenses relating to investing in portfolio securities. Such variable fees, if any, are included in “Proceeds from shares issued” in the Statements of Changes in Net Assets.
7. Borrowings
Effective November 1, 2022, the Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
| J.P. Morgan Exchange-Traded Funds | |
The Funds had no borrowings outstanding from another fund, or loans outstanding to another fund, during the year ended February 28, 2023.
8. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of February 28, 2023, J.P. Morgan Investor Funds, J.P. Morgan SmartRetirement Funds and J.P. Morgan SmartRetirement Blend Funds, which are affiliated fund of funds, each owned in the aggregate, shares representing more than 10% of the net assets of the Funds as follows:
| | JPMorgan
SmartRetirement
Funds | JPMorgan
SmartRetirement
Blend Funds |
Inflation Managed Bond ETF | | | |
| | | |
Significant shareholder transactions by these shareholders may impact the Funds' performance and liquidity.
Disruptions to creations and redemptions, the existence of significant market volatility or potential lack of an active trading market for the Shares (including through a trading halt), as well as other factors, may result in Shares trading significantly above (at a premium) or below (at a discount) to the NAV or to the intraday value of the Funds’ holdings. During such periods, investors may incur significant losses if shares are sold.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses and could make derivatives more difficult for the Fund to value accurately.
Inflation Managed Bond ETF invests in Inflation-linked debt securities which are subject to the effects of changes in market interest rates caused by factors other than inflation (real interest rates). In general, the price of an inflation-linked security tends to decline when real interest rates increase. Unlike conventional bonds, the principal and interest payments of inflation protected securities such as TIPS are adjusted periodically to a specified rate of inflation (e.g., CPI-U). There can be no assurance that the inflation index used will accurately measure the actual rate of inflation. These securities may lose value in the event that the actual rate of inflation is different than the rate of the inflation index.
Inflation Managed Bond ETF is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Fund could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Fund invest in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. The Fund may face a heightened level of interest rate risk due to certain changes in monetary policy. During periods when interest rates are low or there are negative interest rates, the Fund’s yield (and total return) also may be low or the Fund may be unable to maintain positive returns. The ability of the issuers of debt to meet their obligations may be affected by economic and political developments in a specific industry or region. The value of a Fund’s investments may be adversely affected if any of the issuers or counterparties it is invested in are subject to an actual or perceived deterioration in their credit quality.
Because Realty Income ETF invests in Real Estate Investment Trusts (“REITs”), the Fund may be subject to certain risks similar to those associated with direct investments in real estate. REITs may be affected by changes in the value of their underlying properties and by defaults by tenants. REITs depend generally on their ability to generate cash flow to make distributions to shareholders, and certain REITs have self-liquidation provisions by which mortgages held may be paid in full and distributions of capital returns may be made at any time.
Realty Income ETF invests in companies with relatively small market capitalizations. Investments in companies with relatively small market capitalizations may involve greater risk than is usually associated with stocks of larger companies. These securities may have limited marketability and may be subject to more abrupt or erratic movements in price than securities of companies with larger capitalizations.
Since Realty Income ETF is non-diversified, it may invest a greater percentage of its assets in a particular issuer or group of issuers than a diversified fund would. This increased investment in fewer issuers may result in the Fund’s shares being more sensitive to economic results of those issuing the securities.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority ("FCA") publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA's consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. In addition, certain regulated entities ceased entering into most new LIBOR contracts in connection with regulatory guidance or prohibitions. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance, unavailability or replacement, all of which may affect the value, volatility, liquidity or return on certain of a Fund's loans, notes, derivatives and other instruments or investments comprising some or all of a Fund's investments and result in costs incurred in connection with changing reference rates used for positions, closing out positions and entering into new trades. Certain of a Fund's investments may transition from LIBOR prior to the dates announced by the FCA. The transition from LIBOR to alternative reference rates may result in operational issues for a Fund or its investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on a Fund and its investments.
The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19 has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including among other things, reduced consumer demand and economic output, supply chain disruptions and increased government spending may continue to have a significant negative impact on the performance of a Fund's investments, increase a Fund's volatility, negatively impact a Fund’s arbitrage and pricing mechanisms, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The duration and extent of COVID-19 and associated economic and market conditions and uncertainty over the long-term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which the associated conditions impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
9. Redemptions in-kind
On March 21, 2022, certain shareholders sold Class R6 Shares of the Realty Income Fund. The portfolio securities were delivered primarily by means of a redemption in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as detailed below:
|
| This amount includes cash of $4,856,743 associated with the redemption in-kind. |
10. Subsequent Event
Subsequent to February 28, 2023, Inflation Managed Bond ETF had net redemptions of $205,817,611 which represented 23% of the Fund’s net assets as of February 28, 2023.
| J.P. Morgan Exchange-Traded Funds | |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of J.P. Morgan Exchange-Traded Fund Trust and Shareholders of JPMorgan Inflation Managed Bond ETF and JPMorgan Realty Income ETF
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Inflation Managed Bond ETF and JPMorgan Realty Income ETF (two of the funds constituting J.P. Morgan Exchange-Traded Fund Trust, hereafter collectively referred to as the "Funds") as of February 28, 2023, the related statements of operations for the year ended February 28, 2023, the statements of changes in net assets for each of the two years in the period ended February 28, 2023, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended February 28, 2023 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
April 26, 2023
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
| J.P. Morgan Exchange-Traded Funds | |
The Funds' Statement of Additional Information includes additional information about the Funds' Trustees and is available, without charge, upon request by calling 1-844-457-6383 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth);
Positions With
the Funds (1) | Principal Occupation
During Past 5 Years | Number of
Funds in Fund
Complex Overseen
by Trustee (2) | Other Directorships Held
During the Past 5 Years |
| | | |
John F. Finn (1947); Chair
since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959);
Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951);
Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958);
Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957);
Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | | |
Frankie D. Hughes (1952);
Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | | |
| J.P. Morgan Exchange-Traded Funds | |
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Raymond Kanner (1953);
Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954);
Trustee since 2014. | | | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950);
Trustee since 2014. | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice
Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | | |
Marilyn McCoy (1948);
Trustee since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | | |
Dr. Robert A. Oden, Jr. (1946); Trustee
since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021); Trustee, Dartmouth- Hitchcock Medical Center (2011-2020). |
| J.P. Morgan Exchange-Traded Funds | |
TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Marian U. Pardo* (1946);
Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951);
Trustee since 2014. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
| | | |
Robert F. Deutsch** (1957);
Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957);
Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
|
| The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. |
| A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (178 J.P. Morgan Funds). |
| In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
| Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. |
| The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. |
| J.P. Morgan Exchange-Traded Funds | |
Name (Year of Birth),
Positions Held with
the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964),
President and Principal Executive
Officer (2021) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975),
Treasurer and Principal Financial
Officer (2020) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980),
Secretary (2022) (formerly Assistant
Secretary 2014-2022) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953),
Chief Compliance Officer (2014) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973),
Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988),
Assistant Secretary (2021)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964),
Assistant Secretary (2022)
(formerly Secretary 2018-2022)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962),
Assistant Secretary (2014)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971),
Assistant Secretary (2019) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
Carmine Lekstutis (1980),
Assistant Secretary (2014) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990),
Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch
(1986),
Assistant Secretary (2017) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Vonnegut-Gabovitch has been with JPMorgan Chase & Co. since September 2016. |
Frederick J. Cavaliere (1978),
Assistant Treasurer (2015)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Cavaliere has been with JPMorgan Chase & Co. since May 2006. |
Michael M. D’Ambrosio (1969),
Assistant Treasurer (2014) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972),
Assistant Treasurer (2023) | Executive Director, J.P. Morgan Investment Management Inc. Mr. Fleytekh has been with J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977),
Assistant Treasurer (2019)* | Executive Director, J.P. Morgan Investment Management Inc. Mr. Gaines has been with J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972),
Assistant Treasurer (2023)* | Vice President, J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985),
Assistant Treasurer (2023) | Vice President, J.P. Morgan Investment Management Inc. since 2014. |
| J.P. Morgan Exchange-Traded Funds | |
OFFICERS
(Unaudited) (continued)
Nektarios E. Manolakakis (1972),
Assistant Treasurer (2020) | Executive Director, J.P. Morgan Investment Management Inc. since February 2021, formerly Vice President, J.P. Morgan Investment Management Inc. since 2014; Vice President, J.P. Morgan Corporate & Investment Bank 2010-2014. |
Todd McEwen (1981),
Assistant Treasurer (2020)* | Vice President, J.P. Morgan Investment Management Inc. Mr. McEwen has been with J.P. Morgan Investment Management Inc. since 2010. |
Joseph Parascondola (1963),
Assistant Treasurer (2023)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
Gillian I. Sands (1969),
Assistant Treasurer (2023) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. |
|
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. |
| The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
| The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
| J.P. Morgan Exchange-Traded Funds | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including brokerage commissions on your purchase and sales of Fund shares and (2) ongoing costs, including investment advisory fees, administration fees, and other fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other funds. The examples assume that you had a $1,000 investment at the beginning of the reporting period, September 1, 2022, and continued to hold your shares at the end of the reporting period, February 28, 2023.
Actual Expenses
For each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each
Fund under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Fund in the table below provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The examples also assume all dividends and distributions have been reinvested. The examples do not take into account brokerage commissions that you pay when purchasing or selling shares of a Fund.
| Beginning Account Value September 1, 2022 | Ending Account Value February 28, 2023 | | |
JPMorgan Inflation Managed Bond ETF | | | | |
| | | | |
| | | | |
JPMorgan Realty Income ETF | | | | |
| | | | |
| | | | |
|
| Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| J.P. Morgan Exchange-Traded Funds | |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds covered in this report has adopted the J.P. Morgan Funds and J.P. Morgan Exchange-Traded Funds Amended and Restated Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Pursuant to an exemptive order (the “Exemptive Order”) from the Securities and Exchange Commission, the Program permits the Funds use liquidity definitions and classification methodologies that differ from the requirements under the Liquidity Rule in some respects. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”), where applicable, and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 7, 2023, the Board reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2022 through December 31, 2022 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. There were no material changes to the Program during the Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the effectiveness of the Program with respect to the identification of each Fund that qualifies as an “In-Kind ETF” (as defined in the Liquidity Rule); (2) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (3) the methodology and inputs for classifying the investments of a Fund (other than an In-Kind ETF) into one of the required liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions (and, for In-Kind ETFs, the methodology and inputs for determining whether any investments should be classified as “Illiquid Investments” (as defined or modified under the Program)); (4) whether a Fund (other than an In-Kind ETF) invested primarily in “Highly Liquid Investments” (as defined or modified under the Program), as well as whether an HLIM should be established for a Fund (other than an In-Kind ETF) and the procedures for monitoring any HLIM; (5) whether a Fund invested more than 15% of its assets in “Illiquid Investments” and the procedures for monitoring for this limit; and (6) specific liquidity events arising during the Program Reporting Period. The Report further summarized the conditions of the Exemptive Order and whether all applicable Funds were in compliance with the terms of the Exemptive Order.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
| J.P. Morgan Exchange-Traded Funds | |
TAX LETTER
(Unaudited)
(Dollar values in thousands)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable year ended February 28, 2023. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2023. The information necessary to complete your income tax returns for the calendar year ending December 31, 2023 will be provided under separate cover.
Long Term Capital Gain
The Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended February 28, 2023:
| Long-Term
Capital Gain
Distribution |
JPMorgan Realty Income ETF | |
|
| Included in this amount is unrecaptured Section 1250 gains of $1,178,500. |
Qualified Interest Income (QII) and Short-Term Capital Gain
The Fund listed below paid the following amount, or maximum allowable amount, of ordinary distributions treated as qualified interest income and short-term capital gains for the fiscal year ended February 28, 2023:
| | |
JPMorgan Inflation Managed Bond ETF | | |
Section 199A Income
The Fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as 199A dividends for the fiscal year ended February 28, 2023.
| |
JPMorgan Realty Income ETF | |
Treasury Income
The Fund listed below had the following percentage, or maximum allowable percentage, of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 28, 2023:
| Income from
U.S. Treasury
Obligations |
JPMorgan Inflation Managed Bond ETF | |
| J.P. Morgan Exchange-Traded Funds | |
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J.P. Morgan Exchange-Traded Funds are distributed by JPMorgan Distribution Services, Inc., an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 (844-4JPM ETF) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risks as well as charges and expenses of the fund before investing. The prospectus contains this and other information about the fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Each Fund's quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund's policies and procedures with respect to the disclosure of each Fund's holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-844-457-6383 and on the Funds' website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds' voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds' website at www.jpmorganfunds.com no later than August 31 of each year. The Funds' proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2023. All rights reserved. February 2023.
AN-CONV-ETF-223
Annual Report
J.P. Morgan Exchange-Traded Funds
February 28, 2023
| | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly known as JPMorgan U.S. Aggregate Bond ETF) | | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (formerly known as JPMorgan High Yield Research Enhanced ETF) | | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF) | | |
JPMorgan USD Emerging Markets Sovereign Bond ETF | | |
CONTENTS
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Shares are bought and sold throughout the day on an exchange at market price (not at net asset value) through a brokerage account, and are not individually subscribed and redeemed from a Fund. Shares may only be subscribed and redeemed directly from a Fund by Authorized Participants, in very large creation/redemption units. Brokerage commissions will reduce returns.
President's Letter
April 11, 2023 (Unaudited)
Dear Shareholder,
Financial markets have shown some resiliency in recent months after sharply rising interest rates and the outbreak of war in Ukraine in 2022 fueled dislocations in both equity and bond markets. While asset prices have yet to fully rebound from last year, overall financial market volatility has receded and asset valuations may have grown more attractive to investors.
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“As investors assess the potential risks to financial market returns, we believe it is important to recognize both the potential benefits of portfolio diversification and the potential investment opportunities uncovered by changes in relative asset valuations.” — Brian S. Shlissel
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Certainly, the factors that weighed on markets in 2022 largely remain in place in early 2023. Additionally, the failures of two U.S. regional banks and the takeover of troubled Credit Suisse Group AG by UBS Group AG have rattled the financial services sector, though regulators moved quickly to attempt to contain the risk of contagion and overall US. bank capitalization rates remain healthy and much improved since the 2008 financial crisis.
The International Monetary Fund (the “IMF”) recently trimmed its forecast for global economic growth in 2023 and warned that any further turmoil in the financial system could further impede economic activity. The IMF also indicated that infla
tionary pressures had yet to peak in many countries, despite moderation in prices for energy and food. Notably, the IMF slightly raised its growth forecast for the U.S., while lowering its forecast for Germany and Japan.
Above average wage inflation, contracting profit margins and slower economic activity may put pressure on U.S. equities in the months ahead, though companies positioned to weather a secular slowdown may stand out. Lower valuations compared with the U.S. and a weakening dollar could provide support for international equities. Core fixed income assets may also prove attractive to investors if interest rates decline in the year ahead.
As investors assess the potential risks to financial market returns, we believe it is important to recognize both the potential benefits of portfolio diversification and the investment potential opportunities uncovered by changes in relative asset valuations. Our lineup of investment solutions seeks to provide investors with ability to build durable portfolios that can meet their financial goals.
Sincerely,
Brian S. Shlissel
President, J.P. Morgan Exchange-Traded Funds
J.P. Morgan Asset Management
1-844-4JPM-ETF or jpmorgan.com/etfs for more information
| J.P. Morgan Exchange-Traded Funds | |
J.P. Morgan Exchange-Traded Funds
MARKET OVERVIEW
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
Global financial markets declined through most of the period amid inflationary pressures, rapidly rising interest rates, war across Ukraine and weaker economic conditions in China. However, developed markets stabilized somewhat in the second half of the period as domestic economic data improved.
While both equities and bonds were down for the period, fixed income assets experienced a historically poor performance. For the twelve month period, the Bloomberg U.S. Aggregate Index returned -9.72%, the Bloomberg U.S. High Yield Index returned -5.46% and the Bloomberg Emerging Markets Index returned -8.01%.
Through the second quarter of 2022, investor demand for bonds was crushed by the highest inflation levels in four decades and the subsequent policy response by leading central banks. Russia’s invasion of Ukraine at the end of February 2022, followed by the U.S. Federal Reserve’s (the “Fed”) decision to initiate its current monetary tightening cycle in mid-March 2022, drove global financial markets sharply lower. Stocks and bonds fell in tandem and volatility spiked higher. By the end of February 2023, the Fed had raised interest rates eight times to a range of 4.50% to 4.75%, the highest level since the 2007-08 financial crisis.
The Bank of England and the European Central Bank also aggressively tightened their monetary policies in response to accelerating price pressures, though the former started raising interest rates in December 2021 and the latter waited until September 2022 to begin raising rates.
In the second half of the period, financial markets appeared to stabilize and even rebounded somewhat. The U.S. economy proved to be resilient and data showed price inflation receding, while Europe largely avoided a prolonged energy crisis through coordinated efforts to obtain alternatives to Russian supplies of petroleum and natural gas. Additionally, China dropped many of the strict anti-pandemic measures that had severely constrained spending and demand in the first half of the period.
While both bond and equity markets had negative returns for the twelve-month period, U.S. high yield bonds (also known as junk bonds) and emerging markets debt posted a moderate positive performance for the final half of the period.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
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| |
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Bloomberg Short-Term U.S. Aggregate Bond Index | |
Net Assets as of 2/28/2023 | |
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INVESTMENT OBJECTIVE***
The JPMorgan BetaBuilders 1-5 Year US Aggregate Bond ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the Bloomberg Short-Term U.S. Aggregate Bond Index (the “Underlying Index”).
INVESTMENT APPROACH
The Underlying Index, which includes U.S. dollar denominated investment grade taxable bonds with remaining effective maturities between one and five years, is a subset of the Bloomberg U.S. Aggregate Bond Index. Using a “passive” investment approach, the Fund attempts to closely correspond to the performance of the Underlying Index and invests at least 80% of its assets in securities included in the Underlying Index.
HOW DID THE FUND PERFORM?
For the twelve months ended February 28, 2023, the Fund performed in line with the Underlying Index, before considering the effects of operating expenses, fees and tax management of the Fund’s portfolio.
The Fund’s and the Underlying Index’s allocations to U.S. Treasury bonds and agency mortgage-backed securities were leading detractors from performance amid rising interest rates during the period.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the U.S. Treasury and corporate bond sectors and the smallest allocations were to the securitized debt and agency bond sectors.
PORTFOLIO COMPOSITION
AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
U.S. Treasury Obligations | |
| |
Mortgage-Backed Securities | |
| |
Commercial Mortgage-Backed Securities | |
U.S. Government Agency Securities | |
Foreign Government Securities | |
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Others (each less than 1.0%) | |
| |
*
The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $46.96 as of February 28, 2023.
**
Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of February 28, 2023, the closing price was $47.00.
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF February 28, 2023 (Unaudited)
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JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | |
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LIFE OF FUND PERFORMANCE (3/12/19 TO 2/28/23)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-844-457-6383.
Fund commenced operations on March 12, 2019.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF and the Bloomberg Short-Term U.S. Aggregate Bond Index from March 12, 2019 to February 28, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg Short-Term U.S. Aggregate Bond Index does not reflect the deduction of expenses
associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Bloomberg Short-Term U.S. Aggregate Bond Index is an unmanaged index that represents securities that are taxable and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Investors cannot invest directly in an index.
Fund performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
| |
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Bloomberg U.S. Aggregate Index | |
Net Assets as of 2/28/2023 | |
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INVESTMENT OBJECTIVE***
The JPMorgan BetaBuilders U.S. Aggregate Bond ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the Bloomberg U.S. Aggregate Index (the “Underlying Index”). Prior to February 1, 2023, the Fund sought to provide long-term total return.
INVESTMENT APPROACH
The Fund uses a “passive” investment approach and attempts to closely correspond to the performance of the Underlying Index, which covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities. Prior to February 1, 2023, the Fund invested in a diversified portfolio of fixed income securities, including corporate bonds, U.S. Treasury obligations and other U.S. government and agency securities, and asset-backed, mortgage-related and mortgage-backed securities. With respect to corporate sub-sectors, the adviser applied a systematic multi-factor screening process that seeks exposure to those debt issuers with attractive value, quality and momentum characteristics.
HOW DID THE FUND PERFORM?
For the twelve months ended February 28, 2023, the Fund performed in line with the Underlying Index, before considering the effects of operating expenses, fees and tax management of the Fund’s portfolio.
The Fund’s and the Underlying Index’s allocations to U.S. government bonds and agency mortgage-backed securities were leading detractors from performance amid rising interest rates during the period.
HOW WAS THE FUND POSITIONED?
At the end of the period, the Fund’s and the Underlying Index’s largest allocations were to the U.S. Treasury and corporate bond sectors and their smallest allocations were to the securitized debt and agency mortgage-backed securities sectors.
PORTFOLIO COMPOSITION
AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
U.S. Treasury Obligations | |
Mortgage-Backed Securities | |
| |
Commercial Mortgage-Backed Securities | |
Foreign Government Securities | |
U.S. Government Agency Securities | |
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Others (each less than 1.0%) | |
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*
The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $45.92 as of February 28, 2023.
**
Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of February 28, 2023, the closing price was $45.92.
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF February 28, 2023 (Unaudited)
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JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly known as JPMorgan U.S. Aggregate Bond ETF) | | | |
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LIFE OF FUND PERFORMANCE (12/12/18 TO 2/28/23)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-844-457-6383.
Fund commenced operations on December 12, 2018.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan BetaBuilders U.S. Aggregate Bond ETF and the Bloomberg U.S. Aggregate Index from December 12, 2018 to February 28, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg U.S. Aggregate Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.
The Bloomberg U.S. Aggregate Index is an unmanaged index that represents securities that are taxable and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for
government and corporate securities, mortgage pass-through securities, and asset-backed securities. Investors cannot invest directly in an index.
Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.
Effective February 1, 2023, the Fund’s investment strategy and approach were changed to a passively managed portfolio from an actively managed portfolio. Although past performance is not necessarily an indication of how the Fund will perform in the future, in view of these changes, the Fund’s performance record prior to this date may be less relevant for investors considering whether to purchase shares of the Fund.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
(formerly known as JPMorgan High Yield Research Enhanced ETF)
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
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Bloomberg U.S. Corporate High Yield – 2% Issuer Capped Index | |
ICE BofA U.S. High Yield Total Return Index | |
Net Assets as of 2/28/2023 | |
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| |
INVESTMENT OBJECTIVE***
The JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the ICE BofA U.S. High Yield Total Return Index (the “Underlying Index”). Prior to February 1, 2023, the Fund sought to provide a high level of income, with capital appreciation as a secondary objective.
INVESTMENT APPROACH
The Fund uses a "passive" investment approach and attempts to closely correspond to the performance of the Underlying Index, which is designed to measure the performance of U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. Prior to February 1, 2023, the Fund invested primarily in U.S. dollar denominated high-yield, high-risk debt securities (also known as “junk bonds”) from domestic or foreign issuers.
HOW DID THE FUND PERFORM?
For the period February 1, 2023 to February 28, 2023, the Fund performed in line with the Underlying Index before considering the effects of operating expenses, fees and tax management of the Fund’s portfolio.
For the twelve months ended February 28, 2023, the Fund outperformed its previous benchmark, the Bloomberg U.S. Corporate High Yield – 2% Issuer Capped Index, largely due to the Fund’s security selections in the cable/satellite TV, retailers and technology sectors.
Relative to the Underlying Index, the Fund’s security selections in the cable/satellite TV, retailers and technology sectors were leading contributors to relative performance. The Fund’s security selections in the oil field services, refining and wireless sectors were leading detractors from relative performance.
HOW WAS THE FUND POSITIONED?
At the end of the period, the Fund’s and Underlying Index’s largest allocations were to the technology, cable/satellite TV and midstream sectors and the smallest allocations were to the life insurance, office real estate investment trusts and tobacco sectors.
PORTFOLIO COMPOSITION BY INDUSTRY
AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
Oil, Gas & Consumable Fuels | |
Hotels, Restaurants & Leisure | |
| |
Diversified Telecommunication Services | |
| |
Health Care Providers & Services | |
| |
Commercial Services & Supplies | |
| |
| |
Equity Real Estate Investment Trusts (REITs) | |
| |
| |
| |
| |
| |
| |
| |
Trading Companies & Distributors | |
| |
Energy Equipment & Services | |
Wireless Telecommunication Services | |
Thrifts & Mortgage Finance | |
| |
| |
| |
| |
| |
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Health Care Equipment & Supplies | |
Others (each less than 1.0%) | |
| |
*
The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
(formerly known as JPMorgan High Yield Research Enhanced ETF)
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $44.41 as of February 28, 2023.
**
Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of February 28, 2023, the closing price was $44.44.
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Exchange-Traded Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF February 28, 2023 (Unaudited)
| | | | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (formerly known as JPMorgan High Yield Research Enhanced ETF) | | | | |
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LIFE OF FUND PERFORMANCE (9/14/16 TO 2/28/23)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-844-457-6383.
Fund commenced operations on September 14, 2016.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan BetaBuilders USD High Yield Corporate Bond ETF, the Bloomberg U.S. Corporate High Yield — 2% Issuer Capped Index and the ICE BofA U.S. High Yield Total Return Index from September 14, 2016 to February 28, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg U.S. Corporate High Yield — 2% Issuer Capped Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.
The Bloomberg U.S. Corporate High Yield — 2% Issuer Capped Index is an unmanaged index comprised of fixed rate, non-investment grade debt securities that are dollar denominated and non-convertible. The index limits the maximum exposure to any one issuer to 2%. The ICE BofA U.S. High Yield Total
Return Index tracks the performance of US dollar denominated below investment grade corporate debt publicly issued in the US domestic market. Investors cannot invest directly in an index.
Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.
Effective February 1, 2023, the Fund’s investment strategy and approach were changed to a passively managed portfolio from an actively managed portfolio. Although past performance is not necessarily an indication of how the Fund will perform in the future, in view of these changes, the Fund’s performance record prior to this date may be less relevant for investors considering whether to purchase shares of the Fund. Also on February 1, 2023, the Fund changed its benchmark from the U.S. Corporate High Yield – 2% Issuer Capped Index to the ICE BofA US High Yield Total Return Index.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF)
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
| |
| |
| |
Bloomberg U.S. Corporate Index | |
Net Assets as of 2/28/2023 | |
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INVESTMENT OBJECTIVE***
The JPMorgan USD Investment Grade Corporate Bond ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the Bloomberg U.S. Corporate Bond Index (the “Underlying Index”). Prior to February 1, 2023, the Fund sought to provide total return.
INVESTMENT APPROACH
The Fund seeks investment results that closely correspond, before fees and expenses, to the Underlying Index, which measures the investment grade, fixed-rate, taxable corporate bond market and includes U.S. dollar denominated securities publicly issued by U.S. and non-U.S. industrial, utility and financial issuers. Prior to February 1, 2023, the Fund invested primarily in investment grade bonds and used fundamental credit research for security selection and sector allocation. The Fund sought to outperform the Bloomberg U.S. Corporate Bond Index over time while maintaining similar risk characteristics.
HOW DID THE FUND PERFORM?
For the month of February 28, 2023, the Fund returned -3.19% and performed in line with the Underlying Index, before considering the effects of operating expenses, fees and tax management of the Fund’s portfolio.
The Fund’s operating history prior to February 1, 2023, used a more active approach to issuer selection, and the transition segregates the linkage between the two strategies. Had the Fund maintained its prior investment approach, its performance may have been different.
Generally, prices for investment grade corporate bonds declined in February as investors sought higher yielding securities, which led to negative absolute performance for the
Fund and the Underlying Index. The Fund’s and the Underlying Index’s exposures to the financials sector made a positive contribution to absolute performance, while their exposures to issues rated single-A outperformed issues rated BBB. AAA and AA.
HOW WAS THE FUND POSITIONED?
At February 28, 2023, the Fund’s and the Underlying Index’s largest allocations were to the financials and consumer noncyclical sectors and their smallest allocations were to the other industrial and transportation sectors.
PORTFOLIO COMPOSITION
AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
| |
Others (each less than 1.0%) | |
| |
*
The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $44.72 as of February 28, 2023.
**
Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of February 28, 2023, the closing price was $44.74.
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Exchange-Traded Funds | |
AVERAGE ANNUAL TOTAL RETURNS AS OF February 28, 2023 (Unaudited)
| | | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF) | | | |
| | | |
| | | |
LIFE OF FUND PERFORMANCE (12/12/18 TO 2/28/23)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-844-457-6383.
Fund commenced operations on December 12, 2018.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Corporate Bond Research Enhanced ETF and the Bloomberg U.S. Corporate Index from December 12, 2018 to February 28, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg U.S. Corporate Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.
The Bloomberg U.S. Corporate Index broadly measures the investment grade, fixed-rate, taxable, corporate bond market. It includes USD denominated securities publicly issued by U.S. and non-U.S. industrial, utility, and financial
issuers that meet specified maturity, liquidity, and quality requirements. Securities in the index roll up to the U.S. Credit and U.S. Aggregate Indices. Investors cannot invest directly in an index.
Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.
Effective February 1, 2023, the Fund’s investment strategy and approach were changed to a passively managed portfolio from an actively managed portfolio. Although past performance is not necessarily an indication of how the Fund will perform in the future, in view of these changes, the Fund’s performance record prior to this date may be less relevant for investors considering whether to purchase shares of the Fund.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan USD Emerging Markets Sovereign Bond ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
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JPMorgan Emerging Markets Risk-Aware Bond Index | |
Net Assets as of 2/28/2023 | |
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INVESTMENT OBJECTIVE***
The JPMorgan USD Emerging Markets Sovereign Bond ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JPMorgan Emerging Markets Risk-Aware Bond Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which is comprised of liquid, U.S. dollar-denominated sovereign and quasi-sovereign fixed and floating rate debt securities from emerging markets. The Underlying Index utilizes a rules-based, proprietary methodology that filters for liquidity and country risk and allocates risk based on credit rating. The Underlying Index methodology includes rebalancing monthly within each country and semi-annually across countries. The Fund also employs stratified sampling and optimization techniques that seek to minimize tracking error to the Underlying Index.
HOW DID THE FUND PERFORM?
For the twelve months ended February 28, 2023, the Fund performed in line with the Underlying Index. The majority of the Fund’s deviation from the Underlying Index was due to operating expenses, fees and tax management of the Fund’s portfolio.
During the period, the performance of the Fund and the Underlying Index was hurt by elevated market volatility. Russia’s invasion of Ukraine in late February 2022, combined with the impact of China’s “zero covid” policy reduced investor demand for emerging markets debt. Both the Fund and the Underlying Index benefitted from more defensive characteristics, including less exposure to lower-rated bonds, when compared with the broader market for emerging markets sovereign debt. This effect was especially visible in June, when emerging markets debt prices fell sharply. Conversely, the portfolio saw smaller, more mixed contributions from its liquidity and credit stabilization components.
HOW WAS THE FUND POSITIONED?
The Fund invested at least 80% of its assets in securities included in the Underlying Index. Among the largest positions in the Fund and the Underlying Index were Turkey, Oman and Brazil, while their smallest positions were in Bolivia, Gabon and Tunisia.
PORTFOLIO COMPOSITION BY COUNTRY
AS OF February 28, 2023 | PERCENT OF
TOTAL
INVESTMENTS |
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Others (each less than 1.0%) | |
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*
The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $38.58 as of February 28, 2023.
**
Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last
| J.P. Morgan Exchange-Traded Funds | |
day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of February 28, 2023, the closing price was $38.83.
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan USD Emerging Markets Sovereign Bond ETF
FUND COMMENTARY
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF February 28, 2023 (Unaudited)
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JPMorgan USD Emerging Markets Sovereign Bond ETF | | | | |
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LIFE OF FUND PERFORMANCE (1/29/18 TO 2/28/23)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-844-457-6383.
Fund commenced operations on January 29, 2018.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan USD Emerging Markets Sovereign Bond ETF and the JPMorgan Emerging Markets Risk-Aware Bond Index from January 29, 2018 to February 28, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the JPMorgan Emerging Markets Risk-Aware Bond Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The JPMorgan Emerging Markets Risk-Aware Bond Index (the “Index”) is comprised of liquid, U.S. dollar-denominated sovereign and quasi-sovereign fixed and floating rate debt securities from emerging markets selected using a rules-based methodology and is owned by J.P. Morgan Investment Inc., the Fund’s adviser (the “Adviser”). The Index is maintained and calculated by J.P. Morgan Securities LLC (“JPMS” or the “Index Provider”), which selects securities in accordance with the methodology from among the components of the J.P. Morgan Emerging Market Bond Index Global Diversified, which was developed and is maintained by the Index Provider. The Index Provider and the Adviser are both wholly-owned subsidiaries of JPMorgan Chase & Co., a publicly-held financial services holding company. The Index starts with the J.P. Morgan
Emerging Market Bond Index Global Diversified and applies a proprietary methodology that filters for liquidity and for country risk and allocates risk based on credit rating. Historically, the J.P. Morgan Emerging Markets Bond Index Global Diversified has included bonds issued by the countries of Angola, Argentina, Armenia, Azerbaijan, Belize, Bolivia, Brazil, Cameroon, Chile, China, Colombia, Costa Rica, Cote D’Ivoire, Croatia, Dominican Republic, Ecuador, Egypt, El Salvador, Ethiopia, Gabon, Georgia, Ghana, Guatemala, Honduras, Hungary, India, Indonesia, Iraq, Jamaica, Jordan, Kazakhstan, Kenya, Latvia, Lebanon, Lithuania, Malaysia, Mexico, Mongolia, Morocco, Mozambique, Namibia, Nigeria, Oman, Pakistan, Panama, Paraguay, Peru, Philippines, Poland, Romania, Russian Federation, Senegal, Serbia, Slovakia, South Africa, Sri Lanka, Suriname, Trinidad and Tobago, Tunisia, Turkey, Ukraine, Uruguay, Venezuela, Vietnam, Zambia; however, this universe of countries may change in accordance with the Index Provider’s determination of eligible emerging market countries and there is no assurance that a particular country will be represented in the Underlying Index at any given time. Investors cannot invest directly in an index.
Fund performance reflects waiver of a portion of the Fund’s fees and reimbursement of expenses for certain periods from the Fund’s inception date and prior to implementation of a unitary fee structure on November 19, 2019. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023
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U.S. Treasury Obligations — 57.2% |
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Total U.S. Treasury Obligations
(Cost $21,354,829) | | |
|
Aerospace & Defense — 0.3% |
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Huntington Ingalls Industries, Inc. 3.84%, 5/1/2025 | | |
Leidos, Inc. 3.63%, 5/15/2025 | | |
Lockheed Martin Corp. 3.55%, 1/15/2026 | | |
Northrop Grumman Corp. 3.25%, 1/15/2028 | | |
Precision Castparts Corp. 3.25%, 6/15/2025 | | |
Raytheon Technologies Corp. | | |
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Air Freight & Logistics — 0.0% ^ |
FedEx Corp. 3.25%, 4/1/2026 | | |
GXO Logistics, Inc. 1.65%, 7/15/2026 | | |
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Southwest Airlines Co. 5.25%, 5/4/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
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Corporate Bonds — continued |
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BorgWarner, Inc. 2.65%, 7/1/2027 | | |
Lear Corp. 3.80%, 9/15/2027 | | |
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Harley-Davidson, Inc. 3.50%, 7/28/2025 | | |
Honda Motor Co. Ltd. (Japan) 2.53%, 3/10/2027 | | |
Toyota Motor Corp. (Japan) 1.34%, 3/25/2026 | | |
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Bangko Sentral ng Pilipinas International Bond (Philippines) 8.60%, 6/15/2027 | | |
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(ICE LIBOR USD 3 Month + 0.64%), 2.01%, 2/13/2026 (a) | | |
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(SOFR + 1.15%), 1.32%, 6/19/2026 (a) | | |
(SOFR + 0.96%), 1.73%, 7/22/2027 (a) | | |
(SOFR + 1.58%), 4.38%, 4/27/2028 (a) | | |
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (a) | | |
Bank of Montreal (Canada) | | |
(SOFR + 0.60%), 0.95%, 1/22/2027 (a) | | |
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Bank of Nova Scotia (The) (Canada) 2.95%, 3/11/2027 | | |
Barclays plc (United Kingdom) 3.65%, 3/16/2025 | | |
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(SOFR + 0.77%), 1.12%, 1/28/2027 (a) | | |
(SOFR + 0.77%), 1.46%, 6/9/2027 (a) | | |
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(SOFR + 0.69%), 1.71%, 11/1/2027 (a) | | |
First Citizens BancShares, Inc. (3-MONTH CME TERM SOFR + 2.47%), 3.38%, 3/15/2030 (a) | | |
HSBC Holdings plc (United Kingdom) (SOFR + 1.40%), 2.63%, 11/7/2025 (a) | | |
Huntington Bancshares, Inc. 4.00%, 5/15/2025 | | |
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Korea Development Bank (The) (South Korea) 0.40%, 6/19/2024 | | |
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Kreditanstalt fuer Wiederaufbau (Germany) | | |
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Landwirtschaftliche Rentenbank (Germany) | | |
Series 40, 0.50%, 5/27/2025 | | |
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Mitsubishi UFJ Financial Group, Inc. (Japan) | | |
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NatWest Group plc (United Kingdom) 5.13%, 5/28/2024 | | |
Oesterreichische Kontrollbank AG (Austria) | | |
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PNC Financial Services Group, Inc. (The) | | |
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Royal Bank of Canada (Canada) 1.40%, 11/2/2026 | | |
Santander Holdings USA, Inc. (SOFR + 1.25%), 2.49%, 1/6/2028 (a) | | |
Santander UK plc (United Kingdom) 4.00%, 3/13/2024 | | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | | |
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SVB Financial Group 1.80%, 10/28/2026 | | |
Toronto-Dominion Bank (The) (Canada) | | |
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(USD Swap Semi 5 Year + 2.21%), 3.62%, 9/15/2031 (a) (b) | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
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Corporate Bonds — continued |
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(SOFR + 1.37%), 4.12%, 6/6/2028 (a) | | |
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Series V, 2.38%, 7/22/2026 | | |
(SOFR + 0.73%), 2.22%, 1/27/2028 (a) | | |
Valley National Bancorp (3-MONTH CME TERM SOFR + 2.36%), 3.00%, 6/15/2031 (a) | | |
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(SOFR + 0.51%), 0.80%, 5/19/2025 (a) | | |
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(ICE LIBOR USD 3 Month + 0.75%), 2.16%, 2/11/2026 (a) | | |
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(SOFR + 2.00%), 2.19%, 4/30/2026 (a) | | |
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(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 6/17/2027 (a) | | |
Western Alliance Bancorp (3-MONTH CME TERM SOFR + 2.25%), 3.00%, 6/15/2031 (a) | | |
Westpac Banking Corp. (Australia) | | |
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(USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (a) (b) | | |
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Anheuser-Busch Cos. LLC (Belgium) 3.65%, 2/1/2026 | | |
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Constellation Brands, Inc. 4.35%, 5/9/2027 | | |
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Biotechnology — continued |
Amgen, Inc. 1.90%, 2/21/2025 | | |
Baxalta, Inc. 4.00%, 6/23/2025 | | |
Gilead Sciences, Inc. 3.65%, 3/1/2026 | | |
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Building Products — 0.0% ^ |
Lennox International, Inc. 1.35%, 8/1/2025 | | |
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Ameriprise Financial, Inc. | | |
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Bain Capital Specialty Finance, Inc. 2.55%, 10/13/2026 | | |
Bank of New York Mellon Corp. (The) | | |
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BlackRock, Inc. 3.50%, 3/18/2024 | | |
Blackstone Private Credit Fund 2.63%, 12/15/2026 | | |
Blackstone Secured Lending Fund 2.75%, 9/16/2026 | | |
Brookfield Finance, Inc. (Canada) 3.90%, 1/25/2028 | | |
Charles Schwab Corp. (The) | | |
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CME Group, Inc. 3.00%, 3/15/2025 | | |
Deutsche Bank AG (Germany) 4.10%, 1/13/2026 | | |
Franklin Resources, Inc. 2.85%, 3/30/2025 | | |
FS KKR Capital Corp. 3.40%, 1/15/2026 | | |
Goldman Sachs Group, Inc. (The) | | |
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(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025 (a) | | |
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(SOFR + 0.82%), 1.54%, 9/10/2027 (a) | | |
(SOFR + 0.91%), 1.95%, 10/21/2027 (a) | | |
(SOFR + 1.11%), 2.64%, 2/24/2028 (a) | | |
Golub Capital BDC, Inc. 2.05%, 2/15/2027 | | |
Intercontinental Exchange, Inc. 3.75%, 12/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
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Corporate Bonds — continued |
Capital Markets — continued |
Janus Henderson US Holdings, Inc. 4.88%, 8/1/2025 | | |
Jefferies Financial Group, Inc. 4.85%, 1/15/2027 | | |
Moody's Corp. 4.88%, 2/15/2024 | | |
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Series I, (SOFR + 0.75%), 0.86%, 10/21/2025 (a) | | |
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(SOFR + 0.88%), 1.59%, 5/4/2027 (a) | | |
(SOFR + 0.86%), 1.51%, 7/20/2027 (a) | | |
Northern Trust Corp. (ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (a) | | |
Owl Rock Capital Corp. 2.63%, 1/15/2027 | | |
S&P Global, Inc. 2.45%, 3/1/2027 (c) | | |
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(ICE LIBOR USD 3 Month + 0.77%), 3.78%, 12/3/2024 (a) | | |
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(SOFR + 0.94%), 2.35%, 11/1/2025 (a) | | |
(SOFR + 0.56%), 1.68%, 11/18/2027 (a) | | |
(SOFR + 0.73%), 2.20%, 2/7/2028 (a) | | |
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Air Products and Chemicals, Inc. | | |
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DuPont de Nemours, Inc. 4.49%, 11/15/2025 | | |
Ecolab, Inc. 1.65%, 2/1/2027 | | |
LYB International Finance II BV 3.50%, 3/2/2027 | | |
Nutrien Ltd. (Canada) 3.00%, 4/1/2025 | | |
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AerCap Ireland Capital DAC (Ireland) 3.15%, 2/15/2024 | | |
Ally Financial, Inc. 3.88%, 5/21/2024 | | |
American Express Co. 1.65%, 11/4/2026 | | |
American Honda Finance Corp. | | |
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Consumer Finance — continued |
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Capital One Financial Corp. | | |
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(SOFR + 1.29%), 2.64%, 3/3/2026 (a) | | |
(SOFR + 0.86%), 1.88%, 11/2/2027 (a) | | |
(SOFR + 2.06%), 4.93%, 5/10/2028 (a) | | |
Caterpillar Financial Services Corp. | | |
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General Motors Financial Co., Inc. | | |
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Toyota Motor Credit Corp. | | |
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Containers & Packaging — 0.0% ^ |
Berry Global, Inc. 1.57%, 1/15/2026 | | |
WRKCo, Inc. 4.65%, 3/15/2026 | | |
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Diversified Consumer Services — 0.0% ^ |
Leland Stanford Junior University (The) 1.29%, 6/1/2027 | | |
Yale University Series 2020, 0.87%, 4/15/2025 | | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Diversified Financial Services — 0.2% |
Berkshire Hathaway, Inc. 3.13%, 3/15/2026 | | |
Corebridge Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.87%, 12/15/2052 (a) (c) | | |
National Rural Utilities Cooperative Finance Corp. | | |
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(ICE LIBOR USD 3 Month + 3.63%), 5.25%, 4/20/2046 (a) | | |
ORIX Corp. (Japan) 5.00%, 9/13/2027 | | |
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Diversified Telecommunication Services — 0.3% |
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TELUS Corp. (Canada) 3.70%, 9/15/2027 | | |
Verizon Communications, Inc. | | |
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Electric Utilities — 0.8% |
American Electric Power Co., Inc. Series N, 1.00%, 11/1/2025 | | |
Avangrid, Inc. 3.20%, 4/15/2025 | | |
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.32%), 3.25%, 1/15/2082 (a) | | |
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Series Q, 0.80%, 8/15/2025 | | |
Series U, 1.40%, 8/15/2026 | | |
Florida Power & Light Co. 3.13%, 12/1/2025 | | |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | | |
ITC Holdings Corp. 3.25%, 6/30/2026 | | |
NextEra Energy Capital Holdings, Inc. (ICE LIBOR USD 3 Month + 2.41%), 4.80%, 12/1/2077 (a) | | |
Oncor Electric Delivery Co. LLC 0.55%, 10/1/2025 | | |
Pacific Gas and Electric Co. | | |
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Public Service Electric and Gas Co. 0.95%, 3/15/2026 | | |
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|
Electric Utilities — continued |
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Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.73%), 4.00%, 1/15/2051 (a) | | |
Series 21-A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.92%), 3.75%, 9/15/2051 (a) | | |
Union Electric Co. 2.95%, 6/15/2027 | | |
Xcel Energy, Inc. 1.75%, 3/15/2027 | | |
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Electrical Equipment — 0.0% ^ |
Emerson Electric Co. 0.88%, 10/15/2026 | | |
Electronic Equipment, Instruments & Components — 0.7% |
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Jabil, Inc. 3.95%, 1/12/2028 | | |
TD SYNNEX Corp. 1.25%, 8/9/2024 | | |
Vontier Corp. 1.80%, 4/1/2026 | | |
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Energy Equipment & Services — 0.1% |
Schlumberger Investment SA 3.65%, 12/1/2023 | | |
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TWDC Enterprises 18 Corp. | | |
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Walt Disney Co. (The) 3.70%, 3/23/2027 | | |
Warnermedia Holdings, Inc. 3.76%, 3/15/2027 (c) | | |
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Equity Real Estate Investment Trusts (REITs) — 0.8% |
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AvalonBay Communities, Inc. | | |
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Brixmor Operating Partnership LP 3.65%, 6/15/2024 | | |
Corporate Office Properties LP 2.25%, 3/15/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Equity Real Estate Investment Trusts (REITs) — continued |
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EPR Properties 4.50%, 6/1/2027 | | |
Equinix, Inc. 1.80%, 7/15/2027 | | |
ERP Operating LP 2.85%, 11/1/2026 | | |
Essex Portfolio LP 3.50%, 4/1/2025 | | |
Healthpeak Properties Interim, Inc. 1.35%, 2/1/2027 | | |
Mid-America Apartments LP 1.10%, 9/15/2026 | | |
Office Properties Income Trust 4.50%, 2/1/2025 | | |
Prologis LP 2.13%, 4/15/2027 | | |
Realty Income Corp. 3.88%, 4/15/2025 | | |
Simon Property Group LP 3.50%, 9/1/2025 | | |
SITE Centers Corp. 4.70%, 6/1/2027 | | |
Ventas Realty LP 3.25%, 10/15/2026 | | |
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Food & Staples Retailing — 0.5% |
Costco Wholesale Corp. 1.38%, 6/20/2027 | | |
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Sysco Corp. 3.25%, 7/15/2027 | | |
Walgreens Boots Alliance, Inc. 3.45%, 6/1/2026 | | |
Walmart, Inc. 1.05%, 9/17/2026 | | |
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Bunge Ltd. Finance Corp. 1.63%, 8/17/2025 | | |
Conagra Brands, Inc. 1.38%, 11/1/2027 | | |
J M Smucker Co. (The) 3.38%, 12/15/2027 | | |
JBS USA LUX SA 2.50%, 1/15/2027 (c) | | |
Kellogg Co. 3.25%, 4/1/2026 | | |
McCormick & Co., Inc. 3.40%, 8/15/2027 | | |
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 | | |
Tyson Foods, Inc. 3.55%, 6/2/2027 | | |
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Atmos Energy Corp. 3.00%, 6/15/2027 | | |
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|
Gas Utilities — continued |
National Fuel Gas Co. 5.50%, 1/15/2026 | | |
Southern California Gas Co. Series TT, 2.60%, 6/15/2026 | | |
| | |
Health Care Equipment & Supplies — 0.1% |
Baxter International, Inc. 1.92%, 2/1/2027 | | |
Stryker Corp. 0.60%, 12/1/2023 | | |
Zimmer Biomet Holdings, Inc. 3.05%, 1/15/2026 | | |
| | |
Health Care Providers & Services — 1.0% |
| | |
| | |
| | |
CommonSpirit Health 2.76%, 10/1/2024 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Humana, Inc. 1.35%, 2/3/2027 | | |
UnitedHealth Group, Inc. 1.15%, 5/15/2026 | | |
| | |
Hotels, Restaurants & Leisure — 0.1% |
Expedia Group, Inc. 5.00%, 2/15/2026 | | |
Hyatt Hotels Corp. 4.85%, 3/15/2026 | | |
Marriott International, Inc. 5.00%, 10/15/2027 | | |
Starbucks Corp. 2.00%, 3/12/2027 | | |
| | |
Household Durables — 0.1% |
| | |
| | |
| | |
| | |
Lennar Corp. 5.00%, 6/15/2027 | | |
PulteGroup, Inc. 5.00%, 1/15/2027 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Household Products — 0.3% |
Kimberly-Clark Corp. 3.05%, 8/15/2025 | | |
Procter & Gamble Co. (The) | | |
| | |
| | |
| | |
Industrial Conglomerates — 0.2% |
Honeywell International, Inc. 1.10%, 3/1/2027 | | |
|
Aflac, Inc. 1.13%, 3/15/2026 | | |
Allied World Assurance Co. Holdings Ltd. 4.35%, 10/29/2025 | | |
Kemper Corp. 4.35%, 2/15/2025 | | |
Manulife Financial Corp. (Canada) 2.48%, 5/19/2027 | | |
Old Republic International Corp. 3.88%, 8/26/2026 | | |
Prudential Financial, Inc. | | |
| | |
(ICE LIBOR USD 3 Month + 3.03%), 5.38%, 5/15/2045 (a) | | |
RenaissanceRe Finance, Inc. (Bermuda) 3.70%, 4/1/2025 | | |
| | |
Interactive Media & Services — 0.0% ^ |
Alphabet, Inc. 0.80%, 8/15/2027 | | |
Internet & Direct Marketing Retail — 0.1% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Fidelity National Information Services, Inc. 4.70%, 7/15/2027 | | |
Global Payments, Inc. 4.95%, 8/15/2027 | | |
Kyndryl Holdings, Inc. 2.05%, 10/15/2026 | | |
Mastercard, Inc. 3.38%, 4/1/2024 | | |
PayPal Holdings, Inc. 2.40%, 10/1/2024 | | |
| | |
| | |
| | |
|
|
| | |
Western Union Co. (The) 1.35%, 3/15/2026 | | |
| | |
Leisure Products — 0.0% ^ |
| | |
| | |
| | |
| | |
|
CNH Industrial Capital LLC 1.45%, 7/15/2026 | | |
CNH Industrial NV (United Kingdom) 3.85%, 11/15/2027 | | |
Cummins, Inc. 0.75%, 9/1/2025 | | |
Stanley Black & Decker, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.66%), 4.00%, 3/15/2060 (a) | | |
| | |
|
Charter Communications Operating LLC 4.91%, 7/23/2025 | | |
| | |
| | |
| | |
| | |
Paramount Global 4.00%, 1/15/2026 | | |
TCI Communications, Inc. 7.88%, 2/15/2026 | | |
WPP Finance 2010 (United Kingdom) 3.75%, 9/19/2024 | | |
| | |
|
ArcelorMittal SA (Luxembourg) 4.55%, 3/11/2026 | | |
BHP Billiton Finance USA Ltd. (Australia) 6.42%, 3/1/2026 | | |
| | |
|
Dollar General Corp. 3.88%, 4/15/2027 | | |
Target Corp. 2.25%, 4/15/2025 | | |
| | |
|
Ameren Corp. 3.65%, 2/15/2026 | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Multi-Utilities — continued |
(ICE LIBOR USD 3 Month + 3.06%), 5.75%, 10/1/2054 (a) | | |
DTE Energy Co. 2.85%, 10/1/2026 | | |
NiSource, Inc. 0.95%, 8/15/2025 | | |
Sempra Energy (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.87%), 4.12%, 4/1/2052 (a) | | |
| | |
Oil, Gas & Consumable Fuels — 1.4% |
BP Capital Markets America, Inc. 3.41%, 2/11/2026 | | |
BP Capital Markets plc (United Kingdom) 3.28%, 9/19/2027 | | |
Canadian Natural Resources Ltd. (Canada) | | |
| | |
| | |
Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025 | | |
Chevron Corp. 2.00%, 5/11/2027 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Enterprise Products Operating LLC 3.75%, 2/15/2025 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Kinder Morgan Energy Partners LP 4.15%, 2/1/2024 | | |
Kinder Morgan, Inc. 1.75%, 11/15/2026 | | |
Marathon Petroleum Corp. 4.70%, 5/1/2025 | | |
| | |
ONEOK, Inc. 2.20%, 9/15/2025 | | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
Ovintiv Exploration, Inc. 5.38%, 1/1/2026 | | |
Petroleos Mexicanos (Mexico) 6.84%, 1/23/2030 (e) | | |
Pioneer Natural Resources Co. 1.13%, 1/15/2026 | | |
Sabine Pass Liquefaction LLC 5.63%, 3/1/2025 | | |
Spectra Energy Partners LP 4.75%, 3/15/2024 | | |
TransCanada PipeLines Ltd. (Canada) 3.75%, 10/16/2023 | | |
Williams Cos., Inc. (The) | | |
| | |
| | |
| | |
Paper & Forest Products — 0.1% |
Fibria Overseas Finance Ltd. (Brazil) | | |
| | |
| | |
Georgia-Pacific LLC 8.00%, 1/15/2024 | | |
| | |
Personal Products — 0.0% ^ |
Estee Lauder Cos., Inc. (The) 2.00%, 12/1/2024 | | |
|
AstraZeneca plc (United Kingdom) 3.13%, 6/12/2027 | | |
Eli Lilly & Co. 2.75%, 6/1/2025 | | |
GlaxoSmithKline Capital, Inc. (United Kingdom) 3.63%, 5/15/2025 | | |
| | |
| | |
| | |
| | |
| | |
| | |
Novartis Capital Corp. (Switzerland) 1.75%, 2/14/2025 | | |
| | |
Professional Services — 0.0% ^ |
Equifax, Inc. 5.10%, 12/15/2027 | | |
|
BNSF Funding Trust I (ICE LIBOR USD 3 Month + 2.35%), 6.61%, 12/15/2055 (a) | | |
Burlington Northern Santa Fe LLC | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
| | |
| | |
| | |
Canadian Pacific Railway Co. (Canada) 1.75%, 12/2/2026 | | |
JB Hunt Transport Services, Inc. 3.88%, 3/1/2026 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 0.5% |
Broadcom Corp. 3.50%, 1/15/2028 | | |
Broadcom, Inc. 3.63%, 10/15/2024 | | |
Intel Corp. 3.40%, 3/25/2025 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Adobe, Inc. 1.90%, 2/1/2025 | | |
Intuit, Inc. 1.35%, 7/15/2027 | | |
| | |
| | |
| | |
| | |
| | |
| | |
VMware, Inc. 3.90%, 8/21/2027 | | |
| | |
|
AutoNation, Inc. 4.50%, 10/1/2025 | | |
AutoZone, Inc. 3.13%, 4/21/2026 | | |
| | |
| | |
| | |
| | |
|
Specialty Retail — continued |
| | |
| | |
| | |
| | |
O'Reilly Automotive, Inc. 3.60%, 9/1/2027 | | |
| | |
Technology Hardware, Storage & Peripherals — 0.4% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Hewlett Packard Enterprise Co. 1.45%, 4/1/2024 | | |
| | |
| | |
| | |
Western Digital Corp. 4.75%, 2/15/2026 | | |
| | |
Textiles, Apparel & Luxury Goods — 0.1% |
NIKE, Inc. 2.40%, 3/27/2025 | | |
PVH Corp. 4.63%, 7/10/2025 | | |
VF Corp. 2.80%, 4/23/2027 | | |
| | |
Thrifts & Mortgage Finance — 0.0% ^ |
Radian Group, Inc. 4.88%, 3/15/2027 | | |
|
BAT Capital Corp. (United Kingdom) | | |
| | |
| | |
| | |
Philip Morris International, Inc. 1.50%, 5/1/2025 | | |
Reynolds American, Inc. (United Kingdom) 4.45%, 6/12/2025 | | |
| | |
|
American Water Capital Corp. 3.40%, 3/1/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Wireless Telecommunication Services — 0.1% |
Rogers Communications, Inc. (Canada) | | |
| | |
| | |
T-Mobile USA, Inc. 1.50%, 2/15/2026 | | |
Vodafone Group plc (United Kingdom) 4.13%, 5/30/2025 | | |
| | |
Total Corporate Bonds
(Cost $9,607,542) | | |
Mortgage-Backed Securities — 7.4% |
FHLMC Gold Pools, 15 Year | | |
Pool # J14776, 3.00%, 3/1/2026 | | |
Pool # G18452, 2.50%, 12/1/2027 | | |
Pool # G18511, 2.50%, 5/1/2029 | | |
Pool # G18549, 2.50%, 4/1/2030 | | |
Pool # G15520, 3.00%, 7/1/2030 | | |
Pool # G18568, 2.50%, 9/1/2030 | | |
Pool # J33012, 3.00%, 10/1/2030 | | |
Pool # G18600, 2.50%, 5/1/2031 | | |
Pool # G16028, 3.00%, 8/1/2031 | | |
Pool # J35495, 2.50%, 10/1/2031 | | |
Pool # G18626, 2.50%, 1/1/2032 | | |
Pool # G18632, 3.00%, 2/1/2032 | | |
Pool # J37147, 3.00%, 6/1/2032 | | |
Pool # G18715, 3.00%, 12/1/2033 | | |
| | |
Pool # ZS8617, 2.50%, 8/1/2031 | | |
Pool # ZS7938, 2.50%, 1/1/2033 | | |
Pool # ZS7988, 3.50%, 2/1/2033 | | |
Pool # ZK9341, 3.00%, 3/1/2033 | | |
Pool # ZT0716, 3.00%, 10/1/2033 | | |
Pool # SB0194, 2.50%, 12/1/2033 | | |
Pool # SB0109, 2.50%, 11/1/2034 | | |
Pool # SB0264, 2.50%, 2/1/2035 | | |
Pool # QN2057, 3.00%, 5/1/2035 | | |
Pool # SB0345, 2.00%, 6/1/2035 | | |
Pool # SB0401, 2.00%, 7/1/2035 | | |
Pool # SB0394, 2.50%, 7/1/2035 | | |
Pool # SB8501, 2.00%, 8/1/2035 | | |
Pool # SB0406, 2.50%, 8/1/2035 | | |
Pool # SB8058, 2.50%, 8/1/2035 | | |
Pool # RC1591, 1.50%, 10/1/2035 | | |
Pool # QN4391, 1.50%, 11/1/2035 | | |
Pool # QN4278, 2.00%, 11/1/2035 | | |
| | |
|
Pool # QN4490, 1.50%, 12/1/2035 | | |
Pool # SB0450, 2.00%, 12/1/2035 | | |
Pool # QN4861, 1.50%, 1/1/2036 | | |
Pool # SB8088, 1.50%, 2/1/2036 | | |
Pool # SB8102, 1.50%, 5/1/2036 | | |
Pool # RC2089, 2.00%, 7/1/2036 | | |
Pool # SB8118, 1.50%, 9/1/2036 | | |
Pool # SB8127, 1.50%, 11/1/2036 | | |
| | |
Pool # AK3264, 3.00%, 2/1/2027 | | |
Pool # AV4793, 3.50%, 5/1/2029 | | |
Pool # AW3641, 3.00%, 6/1/2029 | | |
Pool # AS4489, 2.50%, 3/1/2030 | | |
Pool # AL6583, 3.00%, 3/1/2030 | | |
Pool # AS4860, 2.50%, 5/1/2030 | | |
Pool # AL9852, 3.00%, 9/1/2030 | | |
Pool # AS7467, 2.50%, 7/1/2031 | | |
Pool # AS7606, 2.50%, 7/1/2031 | | |
Pool # AS7620, 2.50%, 7/1/2031 | | |
Pool # AS7657, 2.50%, 8/1/2031 | | |
Pool # FM6169, 3.50%, 5/1/2032 | | |
Pool # 890822, 3.00%, 12/1/2032 | | |
Pool # BM3276, 3.50%, 12/1/2032 | | |
Pool # CA1089, 3.00%, 2/1/2033 | | |
Pool # FM3937, 3.00%, 4/1/2033 | | |
Pool # FM4036, 2.50%, 12/1/2033 | | |
Pool # BN3975, 3.00%, 1/1/2034 | | |
Pool # MA3631, 3.00%, 4/1/2034 | | |
Pool # MA3709, 2.50%, 6/1/2034 | | |
Pool # BJ5549, 3.00%, 8/1/2034 | | |
Pool # FM2403, 3.50%, 9/1/2034 | | |
Pool # FM5400, 2.50%, 10/1/2034 | | |
Pool # BO4944, 2.50%, 11/1/2034 | | |
Pool # MA3828, 3.00%, 11/1/2034 | | |
Pool # FM4671, 3.50%, 1/1/2035 | | |
Pool # BP5762, 2.50%, 6/1/2035 | | |
Pool # FM3654, 3.00%, 6/1/2035 | | |
Pool # FM3936, 2.50%, 8/1/2035 | | |
Pool # MA4154, 1.50%, 10/1/2035 | | |
Pool # CA7497, 2.50%, 10/1/2035 | | |
Pool # FM4850, 2.00%, 11/1/2035 | | |
Pool # FM5396, 2.00%, 12/1/2035 | | |
Pool # CA8788, 2.00%, 1/1/2036 | | |
Pool # FM6510, 2.00%, 3/1/2036 | | |
Pool # FM6512, 2.00%, 3/1/2036 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Mortgage-Backed Securities — continued |
Pool # MA4298, 2.50%, 3/1/2036 | | |
Pool # CB0302, 1.50%, 5/1/2036 | | |
Pool # FM7113, 2.00%, 5/1/2036 | | |
Pool # MA4329, 2.00%, 5/1/2036 | | |
Pool # BP3507, 2.00%, 6/1/2036 | | |
Pool # CB0747, 2.50%, 6/1/2036 | | |
Pool # MA4361, 2.50%, 6/1/2036 | | |
Pool # MA4383, 2.00%, 7/1/2036 | | |
Pool # MA4384, 2.50%, 7/1/2036 | | |
Pool # FM9020, 2.00%, 9/1/2036 | | |
Pool # FM9367, 1.50%, 11/1/2036 | | |
Pool # MA4470, 2.00%, 11/1/2036 | | |
Pool # MA4497, 2.00%, 12/1/2036 | | |
FNMA/FHLMC UMBS, Single Family, 15 Year | | |
TBA, 1.50%, 3/25/2038 (f) | | |
TBA, 2.00%, 3/25/2038 (f) | | |
TBA, 3.00%, 3/25/2038 (f) | | |
TBA, 3.50%, 3/25/2038 (f) | | |
TBA, 2.50%, 3/25/2053 (f) | | |
| | |
Pool # MA4559, 3.00%, 7/20/2032 | | |
Pool # MA7107, 2.50%, 1/20/2036 | | |
Total Mortgage-Backed Securities
(Cost $2,881,074) | | |
|
African Development Bank (Supranational) | | |
| | |
| | |
Asian Development Bank (Supranational) | | |
| | |
| | |
| | |
| | |
| | |
Asian Infrastructure Investment Bank (The) (Supranational) | | |
| | |
| | |
European Bank for Reconstruction & Development (Supranational) | | |
| | |
| | |
European Investment Bank (Supranational) | | |
| | |
| | |
| | |
|
| | |
Inter-American Development Bank (Supranational) | | |
| | |
| | |
| | |
International Bank for Reconstruction & Development (Supranational) | | |
| | |
| | |
| | |
| | |
International Finance Corp. (Supranational) | | |
| | |
| | |
Total Supranational
(Cost $941,160) | | |
Commercial Mortgage-Backed Securities — 2.2% |
| | |
Series 2018-B3, Class A3, 3.75%, 4/10/2051 | | |
Series 2019-B12, Class A2, 3.00%, 8/15/2052 | | |
CGMS Commercial Mortgage Trust Series 2017-B1, Class AAB, 3.24%, 8/15/2050 | | |
Citigroup Commercial Mortgage Trust | | |
Series 2013-GC17, Class A4, 4.13%, 11/10/2046 | | |
Series 2016-C1, Class AAB, 3.00%, 5/10/2049 | | |
Series 2020-GC46, Class A2, 2.71%, 2/15/2053 | | |
Commercial Mortgage Trust | | |
Series 2013-CR12, Class A4, 4.05%, 10/10/2046 | | |
Series 2014-CR16, Class A3, 3.78%, 4/10/2047 | | |
Series 2014-LC15, Class A4, 4.01%, 4/10/2047 | | |
CSAIL Commercial Mortgage Trust Series 2015-C3, Class A4, 3.72%, 8/15/2048 | | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series K046, Class A2, 3.21%, 3/25/2025 | | |
Series K047, Class A2, 3.33%, 5/25/2025 (g) | | |
Series K733, Class A2, 3.75%, 8/25/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
Series K063, Class A2, 3.43%, 1/25/2027 (g) | | |
| | |
Series 2017-M10, Class AV2, 2.54%, 7/25/2024 (g) | | |
Series 2017-M1, Class A2, 2.41%, 10/25/2026 (g) | | |
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (g) | | |
GS Mortgage Securities Trust | | |
Series 2014-GC18, Class A4, 4.07%, 1/10/2047 | | |
Series 2014-GC18, Class AS, 4.38%, 1/10/2047 | | |
JPMBB Commercial Mortgage Securities Trust | | |
Series 2013-C17, Class ASB, 3.71%, 1/15/2047 | | |
Series 2014-C19, Class C, 4.65%, 4/15/2047 (g) | | |
Series 2014-C23, Class C, 4.48%, 9/15/2047 (g) | | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-JP1, Class D, 4.23%, 1/15/2049 (g) | | |
Morgan Stanley Bank of America Merrill Lynch Trust | | |
Series 2014-C19, Class A3, 3.25%, 12/15/2047 | | |
Series 2015-C25, Class ASB, 3.38%, 10/15/2048 | | |
Series 2016-C31, Class A5, 3.10%, 11/15/2049 | | |
UBS Commercial Mortgage Trust Series 2018-C13, Class A2, 4.21%, 10/15/2051 | | |
UBS-Barclays Commercial Mortgage Trust Series 2013-C6, Class A4, 3.24%, 4/10/2046 | | |
Wells Fargo Commercial Mortgage Trust | | |
Series 2013-LC12, Class A4, 4.22%, 7/15/2046 (g) | | |
Series 2014-LC18, Class A5, 3.41%, 12/15/2047 | | |
Series 2015-C31, Class A4, 3.70%, 11/15/2048 | | |
Series 2019-C54, Class A2, 3.01%, 12/15/2052 | | |
| | |
|
WFRBS Commercial Mortgage Trust | | |
Series 2012-C10, Class B, 3.74%, 12/15/2045 | | |
Series 2014-C20, Class A5, 4.00%, 5/15/2047 | | |
Total Commercial Mortgage-Backed Securities
(Cost $828,521) | | |
U.S. Government Agency Securities — 1.8% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Total U.S. Government Agency Securities
(Cost $648,411) | | |
Foreign Government Securities — 1.2% |
Canada Government Bond 0.75%, 5/19/2026 | | |
Export Development Canada | | |
| | |
| | |
| | |
Hungary Government Bond 5.75%, 11/22/2023 | | |
Italian Republic Government Bond 6.88%, 9/27/2023 | | |
Province of Alberta 1.00%, 5/20/2025 | | |
Province of British Columbia | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Foreign Government Securities — continued |
| | |
| | |
| | |
Province of Quebec 1.50%, 2/11/2025 | | |
Republic of Panama 8.88%, 9/30/2027 | | |
Republic of Peru 2.39%, 1/23/2026 | | |
Republic of Philippines 10.63%, 3/16/2025 | | |
| | |
| | |
| | |
Total Foreign Government Securities
(Cost $462,363) | | |
Asset-Backed Securities — 1.1% |
AmeriCredit Automobile Receivables Trust Series 2020-3, Class B, 0.76%, 12/18/2025 | | |
Capital One Multi-Asset Execution Trust Series 2022-A2, Class A, 3.49%, 5/15/2027 | | |
CarMax Auto Owner Trust Series 2021-1, Class A3, 0.34%, 12/15/2025 | | |
Citibank Credit Card Issuance Trust Series 2018-A3, Class A3, 3.29%, 5/23/2025 | | |
Discover Card Execution Note Trust Series 2022-A1, Class A1, 1.96%, 2/15/2027 | | |
Drive Auto Receivables Trust Series 2021-2, Class B, 0.58%, 12/15/2025 | | |
Exeter Automobile Receivables Trust Series 2021-3A, Class C, 0.96%, 10/15/2026 | | |
Ford Credit Floorplan Master Owner Trust A | | |
Series 2018-2, Class A, 3.17%, 3/15/2025 | | |
Series 2019-2, Class A, 3.06%, 4/15/2026 | | |
GM Financial Consumer Automobile Receivables Trust Series 2020-2, Class A4, 1.74%, 8/18/2025 | | |
United Airlines Pass-Through Trust Series 2014-1, Class A, 4.00%, 4/11/2026 | | |
Verizon Owner Trust Series 2020-A, Class A1A, 1.85%, 7/22/2024 | | |
World Omni Auto Receivables Trust Series 2021-C, Class A3, 0.44%, 8/17/2026 | | |
Total Asset-Backed Securities
(Cost $379,353) | | |
Municipal Bonds — 0.1% (h) |
|
University of California, Taxable Series 2020BG, Rev., 0.88%, 5/15/2025 | | |
| | |
|
|
State Board of Administration Finance Corp. Series 2020A, Rev., 1.71%, 7/1/2027 | | |
Total Municipal Bonds
(Cost $47,775) | | |
| | |
Short-Term Investments — 2.1% |
Investment Companies — 2.1% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (i) (j)
(Cost $758,888) | | |
Total Investments — 101.5%
(Cost $37,909,916) | | |
Liabilities in Excess of Other Assets — (1.5)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Alternative Credit Enhancement Securities |
| Chicago Mercantile Exchange |
| |
| |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| Intercontinental Exchange |
| London Interbank Offered Rate |
| |
| Secured Overnight Financing Rate |
| To Be Announced; Security is subject to delayed delivery. |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
| Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at February 28, 2023 is $126,209 or 0.36% of the Fund’s net assets as of February 28, 2023 . | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| 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 February 28, 2023. | |
| 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. | |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| 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 February 28, 2023. | |
| The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
| 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. | |
| The rate shown is the current yield as of February 28, 2023. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023
| | |
U.S. Treasury Obligations — 40.5% |
| | |
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| | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
U.S. Treasury Obligations — continued |
| | |
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SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
U.S. Treasury Obligations — continued |
| | |
| | |
| | |
| | |
| | |
Total U.S. Treasury Obligations
(Cost $590,071,366) | | |
Mortgage-Backed Securities — 27.6% |
FHLMC Gold Pools, 15 Year | | |
Pool # J10548, 4.00%, 8/1/2024 | | |
Pool # J15449, 4.00%, 5/1/2026 | | |
Pool # G14781, 3.50%, 3/1/2027 | | |
Pool # G15201, 4.00%, 5/1/2027 | | |
Pool # J20129, 2.50%, 8/1/2027 | | |
Pool # G15438, 4.00%, 9/1/2027 | | |
Pool # G15602, 2.50%, 11/1/2027 | | |
Pool # E09028, 2.00%, 3/1/2028 | | |
Pool # J23362, 2.00%, 4/1/2028 | | |
Pool # G18466, 2.00%, 5/1/2028 | | |
Pool # G18465, 2.50%, 5/1/2028 | | |
Pool # G15601, 2.50%, 1/1/2029 | | |
Pool # G14957, 3.50%, 1/1/2029 | | |
Pool # G16570, 4.00%, 7/1/2029 | | |
Pool # G18540, 2.50%, 2/1/2030 | | |
Pool # G18556, 2.50%, 6/1/2030 | | |
Pool # V60840, 3.00%, 6/1/2030 | | |
Pool # G16622, 3.00%, 11/1/2030 | | |
Pool # G16019, 3.50%, 12/1/2030 | | |
Pool # G16044, 2.50%, 1/1/2032 | | |
Pool # J36524, 3.00%, 3/1/2032 | | |
Pool # J36660, 3.00%, 3/1/2032 | | |
Pool # J38270, 2.50%, 1/1/2033 | | |
Pool # G16568, 2.50%, 4/1/2033 | | |
FHLMC Gold Pools, 30 Year | | |
Pool # V81680, 4.50%, 12/1/2034 | | |
Pool # A30892, 5.00%, 1/1/2035 | | |
Pool # A39210, 5.50%, 10/1/2035 | | |
Pool # V83754, 5.50%, 1/1/2036 | | |
Pool # A82255, 5.50%, 9/1/2036 | | |
Pool # G03381, 5.50%, 9/1/2037 | | |
Pool # A89760, 4.50%, 12/1/2039 | | |
Pool # A92197, 5.00%, 5/1/2040 | | |
Pool # G06856, 6.00%, 5/1/2040 | | |
Pool # A93359, 4.00%, 8/1/2040 | | |
Pool # G06222, 4.00%, 1/1/2041 | | |
| | |
|
Pool # G07794, 5.50%, 6/1/2041 | | |
Pool # Q03516, 4.50%, 9/1/2041 | | |
Pool # Q04088, 3.50%, 10/1/2041 | | |
Pool # Q04688, 4.00%, 11/1/2041 | | |
Pool # G08477, 3.50%, 2/1/2042 | | |
Pool # Q06771, 3.00%, 3/1/2042 | | |
Pool # C03858, 3.50%, 4/1/2042 | | |
Pool # Q08646, 3.50%, 6/1/2042 | | |
Pool # G60737, 4.50%, 8/1/2042 | | |
Pool # Q11220, 3.50%, 9/1/2042 | | |
Pool # Q13477, 3.00%, 12/1/2042 | | |
Pool # Q14321, 3.00%, 12/1/2042 | | |
Pool # C04420, 3.00%, 1/1/2043 | | |
Pool # Q14694, 3.00%, 1/1/2043 | | |
Pool # G61723, 3.50%, 1/1/2043 | | |
Pool # C09031, 2.50%, 2/1/2043 | | |
Pool # V80026, 3.00%, 4/1/2043 | | |
Pool # Q17374, 4.00%, 4/1/2043 | | |
Pool # G62033, 4.00%, 11/1/2043 | | |
Pool # Z40090, 4.50%, 9/1/2044 | | |
Pool # G61769, 4.50%, 12/1/2044 | | |
Pool # G61617, 4.50%, 1/1/2045 | | |
Pool # G08651, 4.00%, 6/1/2045 | | |
Pool # G08653, 3.00%, 7/1/2045 | | |
Pool # Q35223, 4.00%, 8/1/2045 | | |
Pool # G60238, 3.50%, 10/1/2045 | | |
Pool # G60506, 3.50%, 4/1/2046 | | |
Pool # G08710, 3.00%, 6/1/2046 | | |
Pool # Q41024, 3.00%, 6/1/2046 | | |
Pool # G08724, 2.50%, 9/1/2046 | | |
Pool # G61070, 3.00%, 9/1/2046 | | |
Pool # G61730, 3.00%, 9/1/2046 | | |
Pool # G61235, 4.50%, 9/1/2046 | | |
Pool # G08736, 2.50%, 12/1/2046 | | |
Pool # Q45872, 3.00%, 1/1/2047 | | |
Pool # G08747, 3.00%, 2/1/2047 | | |
Pool # G61623, 3.00%, 4/1/2047 | | |
Pool # G60985, 3.00%, 5/1/2047 | | |
Pool # G60996, 3.50%, 5/1/2047 | | |
Pool # Q47884, 4.00%, 5/1/2047 | | |
Pool # V83233, 4.00%, 6/1/2047 | | |
Pool # G08775, 4.00%, 8/1/2047 | | |
Pool # Q50152, 4.00%, 8/1/2047 | | |
Pool # Q51268, 3.50%, 10/1/2047 | | |
Pool # G08787, 3.00%, 11/1/2047 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Mortgage-Backed Securities — continued |
Pool # G61681, 3.00%, 12/1/2047 | | |
Pool # Q52866, 3.00%, 12/1/2047 | | |
Pool # G08793, 4.00%, 12/1/2047 | | |
Pool # Q53751, 3.50%, 1/1/2048 | | |
Pool # G08812, 3.00%, 4/1/2048 | | |
Pool # G61866, 4.00%, 6/1/2048 | | |
Pool # G61607, 4.50%, 9/1/2048 | | |
Pool # G08842, 4.00%, 10/1/2048 | | |
Pool # G61885, 4.50%, 11/1/2048 | | |
Pool # G08862, 4.00%, 2/1/2049 | | |
Pool # Q61487, 4.00%, 2/1/2049 | | |
Pool # G08876, 3.50%, 5/1/2049 | | |
| | |
Pool # ZS5890, 4.00%, 7/1/2024 | | |
Pool # ZK2080, 4.00%, 1/1/2025 | | |
Pool # ZA2587, 4.00%, 9/1/2025 | | |
Pool # ZK2723, 3.50%, 11/1/2025 | | |
Pool # ZK3540, 3.00%, 9/1/2026 | | |
Pool # ZS8460, 3.00%, 4/1/2027 | | |
Pool # SB0031, 3.50%, 10/1/2027 | | |
Pool # ZS6674, 2.50%, 4/1/2028 | | |
Pool # ZS7140, 2.00%, 1/1/2029 | | |
Pool # ZS7751, 3.00%, 1/1/2029 | | |
Pool # SB0071, 2.50%, 5/1/2030 | | |
Pool # ZS7331, 3.00%, 12/1/2030 | | |
Pool # ZS7888, 2.50%, 10/1/2032 | | |
Pool # ZK9070, 3.00%, 11/1/2032 | | |
Pool # ZS7938, 2.50%, 1/1/2033 | | |
Pool # SB0256, 4.00%, 11/1/2033 | | |
Pool # SB0077, 3.50%, 10/1/2034 | | |
Pool # QN1148, 2.50%, 12/1/2034 | | |
Pool # SB8031, 2.50%, 2/1/2035 | | |
Pool # SB0302, 3.00%, 4/1/2035 | | |
Pool # QN2407, 2.00%, 6/1/2035 | | |
Pool # SB8500, 2.50%, 7/1/2035 | | |
Pool # SB0424, 2.00%, 10/1/2035 | | |
Pool # RC1712, 1.50%, 12/1/2035 | | |
Pool # SB8090, 2.50%, 2/1/2036 | | |
Pool # QN6095, 2.00%, 5/1/2036 | | |
Pool # QN6718, 2.00%, 6/1/2036 | | |
Pool # QN7057, 2.00%, 7/1/2036 | | |
Pool # SB8111, 2.00%, 7/1/2036 | | |
Pool # QN8347, 1.50%, 10/1/2036 | | |
Pool # SB8127, 1.50%, 11/1/2036 | | |
Pool # SB0570, 2.00%, 11/1/2036 | | |
| | |
|
Pool # SB8131, 1.50%, 12/1/2036 | | |
Pool # SB8136, 1.50%, 1/1/2037 | | |
Pool # SB8140, 1.50%, 2/1/2037 | | |
Pool # SB8147, 1.50%, 4/1/2037 | | |
| | |
Pool # ZA2277, 3.00%, 9/1/2032 | | |
Pool # ZJ9491, 3.50%, 12/1/2032 | | |
Pool # ZS9164, 3.00%, 9/1/2033 | | |
Pool # SC0107, 3.50%, 11/1/2034 | | |
Pool # ZA2463, 3.50%, 6/1/2037 | | |
Pool # RB5026, 2.50%, 11/1/2039 | | |
Pool # QK0157, 2.50%, 1/1/2040 | | |
Pool # RB5032, 2.50%, 2/1/2040 | | |
Pool # RB5037, 2.50%, 3/1/2040 | | |
Pool # RB5043, 2.50%, 4/1/2040 | | |
Pool # RB5048, 2.50%, 5/1/2040 | | |
Pool # SC0131, 1.50%, 3/1/2041 | | |
Pool # SC0134, 1.50%, 3/1/2041 | | |
Pool # RB5142, 2.50%, 1/1/2042 | | |
Pool # RB5145, 2.00%, 2/1/2042 | | |
FHLMC UMBS, 30 year Pool # RA8112, 4.50%, 10/1/2052 | | |
| | |
Pool # ZI3765, 5.50%, 11/1/2035 | | |
Pool # ZS2546, 5.00%, 2/1/2039 | | |
Pool # ZJ0449, 4.00%, 9/1/2040 | | |
Pool # ZL3548, 3.50%, 8/1/2042 | | |
Pool # ZA4209, 3.00%, 4/1/2043 | | |
Pool # ZS3712, 3.50%, 4/1/2043 | | |
Pool # ZS4077, 3.50%, 1/1/2044 | | |
Pool # ZS4592, 4.00%, 11/1/2044 | | |
Pool # ZS4609, 3.00%, 4/1/2045 | | |
Pool # ZS9618, 3.50%, 3/1/2046 | | |
Pool # SD0146, 3.00%, 11/1/2046 | | |
Pool # ZM2209, 3.50%, 12/1/2046 | | |
Pool # SD0388, 3.50%, 6/1/2047 | | |
Pool # ZS4729, 3.00%, 8/1/2047 | | |
Pool # ZM4635, 4.00%, 11/1/2047 | | |
Pool # SD0225, 3.00%, 12/1/2047 | | |
Pool # ZT0534, 3.50%, 12/1/2047 | | |
Pool # ZS4750, 3.00%, 1/1/2048 | | |
Pool # SD0343, 3.00%, 3/1/2048 | | |
Pool # SI2002, 4.00%, 3/1/2048 | | |
Pool # ZM6887, 3.00%, 5/1/2048 | | |
Pool # ZM7669, 3.50%, 8/1/2048 | | |
Pool # ZN4476, 3.50%, 12/1/2048 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Mortgage-Backed Securities — continued |
Pool # ZA6286, 4.00%, 2/1/2049 | | |
Pool # ZT1776, 3.50%, 3/1/2049 | | |
Pool # ZN5087, 4.00%, 4/1/2049 | | |
Pool # ZT1864, 4.00%, 4/1/2049 | | |
Pool # ZT1951, 3.50%, 5/1/2049 | | |
Pool # ZT1952, 4.00%, 5/1/2049 | | |
Pool # QA4907, 3.00%, 6/1/2049 | | |
Pool # ZT2086, 3.50%, 6/1/2049 | | |
Pool # SD7502, 3.50%, 7/1/2049 | | |
Pool # SD8001, 3.50%, 7/1/2049 | | |
Pool # SD7501, 4.00%, 7/1/2049 | | |
Pool # QA1997, 3.00%, 8/1/2049 | | |
Pool # RA1202, 3.50%, 8/1/2049 | | |
Pool # SD8005, 3.50%, 8/1/2049 | | |
Pool # SD8006, 4.00%, 8/1/2049 | | |
Pool # SD8023, 2.50%, 11/1/2049 | | |
Pool # QA4509, 3.00%, 11/1/2049 | | |
Pool # SD8025, 3.50%, 11/1/2049 | | |
Pool # SD8029, 2.50%, 12/1/2049 | | |
Pool # RA1878, 3.50%, 12/1/2049 | | |
Pool # SD8037, 2.50%, 1/1/2050 | | |
Pool # QA7416, 3.00%, 2/1/2050 | | |
Pool # QA7554, 3.00%, 2/1/2050 | | |
Pool # RA2116, 3.00%, 2/1/2050 | | |
Pool # SD0303, 2.50%, 4/1/2050 | | |
Pool # QA9653, 3.50%, 5/1/2050 | | |
Pool # SD8080, 2.00%, 6/1/2050 | | |
Pool # QB1691, 2.00%, 7/1/2050 | | |
Pool # SD8089, 2.50%, 7/1/2050 | | |
Pool # SD8083, 2.50%, 8/1/2050 | | |
Pool # RA3727, 2.00%, 10/1/2050 | | |
Pool # SD8104, 1.50%, 11/1/2050 | | |
Pool # RA4197, 2.50%, 12/1/2050 | | |
Pool # RA4349, 2.50%, 1/1/2051 | | |
Pool # QB8583, 1.50%, 2/1/2051 | | |
Pool # RA4530, 2.50%, 2/1/2051 | | |
Pool # SD8129, 2.50%, 2/1/2051 | | |
Pool # SD8140, 2.00%, 4/1/2051 | | |
Pool # SD8142, 3.00%, 4/1/2051 | | |
Pool # SD8145, 1.50%, 5/1/2051 | | |
Pool # QC2565, 2.00%, 6/1/2051 | | |
Pool # QC3259, 2.00%, 6/1/2051 | | |
Pool # SD8158, 3.50%, 6/1/2051 | | |
Pool # SD8155, 2.00%, 7/1/2051 | | |
Pool # SD8156, 2.50%, 7/1/2051 | | |
| | |
|
Pool # QC5125, 2.00%, 8/1/2051 | | |
Pool # QC6057, 2.50%, 8/1/2051 | | |
Pool # SD8163, 3.50%, 8/1/2051 | | |
Pool # RA5832, 2.50%, 9/1/2051 | | |
Pool # SD8168, 3.00%, 9/1/2051 | | |
Pool # SD8172, 2.00%, 10/1/2051 | | |
Pool # SD8173, 2.50%, 10/1/2051 | | |
Pool # RA6507, 2.00%, 12/1/2051 | | |
Pool # QD3500, 2.50%, 12/1/2051 | | |
Pool # RA6694, 2.00%, 1/1/2052 | | |
Pool # SD0963, 3.50%, 1/1/2052 | | |
Pool # SD0897, 2.00%, 2/1/2052 | | |
Pool # SD8199, 2.00%, 3/1/2052 | | |
Pool # SD8204, 2.00%, 4/1/2052 | | |
Pool # QD9578, 2.50%, 4/1/2052 | | |
Pool # QD9765, 2.50%, 4/1/2052 | | |
Pool # SD0945, 3.50%, 4/1/2052 | | |
Pool # SD8214, 3.50%, 5/1/2052 | | |
Pool # RA7502, 5.00%, 6/1/2052 | | |
| | |
Pool # AC8711, 4.00%, 12/1/2024 | | |
Pool # AC7007, 4.50%, 1/1/2025 | | |
Pool # AL9580, 4.00%, 3/1/2025 | | |
Pool # 932724, 4.00%, 4/1/2025 | | |
Pool # AE0971, 4.00%, 5/1/2025 | | |
Pool # AE0939, 3.50%, 2/1/2026 | | |
Pool # FM2968, 4.00%, 5/1/2026 | | |
Pool # AJ6632, 3.00%, 11/1/2026 | | |
Pool # AJ9357, 3.50%, 1/1/2027 | | |
Pool # AK4047, 3.00%, 2/1/2027 | | |
Pool # AL4586, 4.00%, 2/1/2027 | | |
Pool # AO0527, 3.00%, 5/1/2027 | | |
Pool # AO4400, 2.50%, 7/1/2027 | | |
Pool # AB5823, 3.50%, 8/1/2027 | | |
Pool # AL8138, 4.00%, 9/1/2027 | | |
Pool # AB6811, 2.50%, 10/1/2027 | | |
Pool # AQ9442, 2.00%, 12/1/2027 | | |
Pool # AB8447, 2.50%, 2/1/2028 | | |
Pool # AR4180, 2.50%, 2/1/2028 | | |
Pool # AL3802, 3.00%, 2/1/2028 | | |
Pool # AB8787, 2.00%, 3/1/2028 | | |
Pool # AP6059, 2.00%, 6/1/2028 | | |
Pool # BM5381, 3.00%, 6/1/2028 | | |
Pool # BM1892, 2.50%, 9/1/2028 | | |
Pool # AS0761, 3.00%, 10/1/2028 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Mortgage-Backed Securities — continued |
Pool # AU6961, 3.00%, 10/1/2028 | | |
Pool # AL6132, 4.50%, 3/1/2029 | | |
Pool # FM1105, 2.50%, 6/1/2029 | | |
Pool # AS3345, 2.00%, 7/1/2029 | | |
Pool # MA2061, 3.00%, 10/1/2029 | | |
Pool # FM1465, 3.00%, 5/1/2030 | | |
Pool # 890666, 2.00%, 6/1/2030 | | |
Pool # MA2684, 3.00%, 7/1/2031 | | |
Pool # AL9418, 3.50%, 8/1/2031 | | |
Pool # BD5647, 2.00%, 11/1/2031 | | |
Pool # 890776, 3.50%, 11/1/2031 | | |
Pool # BM5490, 3.50%, 11/1/2031 | | |
Pool # AS8708, 2.50%, 2/1/2032 | | |
Pool # BM4993, 3.50%, 3/1/2032 | | |
Pool # BM4741, 3.00%, 4/1/2032 | | |
Pool # FM1645, 3.00%, 4/1/2032 | | |
Pool # MA3124, 2.50%, 9/1/2032 | | |
Pool # FM3099, 3.50%, 9/1/2032 | | |
Pool # CA0775, 2.50%, 11/1/2032 | | |
Pool # MA3188, 3.00%, 11/1/2032 | | |
Pool # BH7081, 2.50%, 12/1/2032 | | |
Pool # BH8720, 3.50%, 12/1/2032 | | |
Pool # FM1161, 2.50%, 1/1/2033 | | |
Pool # FM1691, 2.50%, 1/1/2033 | | |
Pool # FM2549, 2.50%, 1/1/2033 | | |
Pool # CA9078, 3.00%, 9/1/2033 | | |
Pool # FM1123, 4.00%, 9/1/2033 | | |
Pool # FM2153, 4.00%, 11/1/2033 | | |
Pool # BD9105, 4.00%, 1/1/2034 | | |
Pool # BM5306, 4.00%, 1/1/2034 | | |
Pool # FM1733, 3.50%, 5/1/2034 | | |
Pool # FM1842, 3.50%, 6/1/2034 | | |
Pool # FM6946, 3.00%, 7/1/2034 | | |
Pool # BO1822, 3.50%, 7/1/2034 | | |
Pool # MA3764, 2.50%, 9/1/2034 | | |
Pool # MA3910, 2.00%, 1/1/2035 | | |
Pool # FM3569, 3.00%, 1/1/2035 | | |
Pool # FM7941, 2.50%, 2/1/2035 | | |
Pool # FM8550, 3.00%, 2/1/2035 | | |
Pool # FM2708, 3.00%, 3/1/2035 | | |
Pool # MA4075, 2.50%, 7/1/2035 | | |
Pool # FM4035, 2.50%, 8/1/2035 | | |
Pool # CA7497, 2.50%, 10/1/2035 | | |
Pool # FM5396, 2.00%, 12/1/2035 | | |
Pool # BR3349, 1.50%, 1/1/2036 | | |
| | |
|
Pool # BR1309, 2.00%, 1/1/2036 | | |
Pool # FM5537, 2.00%, 1/1/2036 | | |
Pool # FM5797, 2.00%, 1/1/2036 | | |
Pool # FM5367, 1.50%, 2/1/2036 | | |
Pool # MA4261, 2.00%, 2/1/2036 | | |
Pool # CB0305, 1.50%, 5/1/2036 | | |
Pool # FM7843, 1.50%, 6/1/2036 | | |
Pool # BP3507, 2.00%, 6/1/2036 | | |
Pool # FM8292, 2.00%, 7/1/2036 | | |
Pool # MA4430, 1.00%, 8/1/2036 | | |
Pool # BT0273, 1.50%, 9/1/2036 | | |
Pool # MA4417, 1.50%, 9/1/2036 | | |
Pool # MA4418, 2.00%, 9/1/2036 | | |
Pool # MA4441, 1.50%, 10/1/2036 | | |
Pool # BT9452, 1.50%, 11/1/2036 | | |
Pool # FM9247, 2.00%, 11/1/2036 | | |
Pool # MA4497, 2.00%, 12/1/2036 | | |
Pool # MA4516, 2.00%, 1/1/2037 | | |
Pool # BV7189, 2.00%, 3/1/2037 | | |
Pool # MA4581, 1.50%, 4/1/2037 | | |
| | |
Pool # AE6799, 4.50%, 11/1/2030 | | |
Pool # MA0885, 3.50%, 10/1/2031 | | |
Pool # AB4853, 3.00%, 4/1/2032 | | |
Pool # MA1058, 3.00%, 5/1/2032 | | |
Pool # MA1165, 3.00%, 9/1/2032 | | |
Pool # MA2079, 4.00%, 11/1/2034 | | |
Pool # AL7654, 3.00%, 9/1/2035 | | |
Pool # MA2472, 3.00%, 12/1/2035 | | |
Pool # FM1133, 4.00%, 6/1/2036 | | |
Pool # MA3099, 4.00%, 8/1/2037 | | |
Pool # BM5330, 2.50%, 12/1/2037 | | |
Pool # FM3204, 4.00%, 10/1/2038 | | |
Pool # MA4072, 2.50%, 7/1/2040 | | |
Pool # MA4128, 2.00%, 9/1/2040 | | |
Pool # MA4204, 2.00%, 12/1/2040 | | |
Pool # CA9019, 2.00%, 2/1/2041 | | |
Pool # MA4310, 1.50%, 4/1/2041 | | |
Pool # MA4422, 2.00%, 9/1/2041 | | |
Pool # MA4446, 2.00%, 10/1/2041 | | |
Pool # FS0316, 1.50%, 11/1/2041 | | |
Pool # MA4521, 2.50%, 1/1/2042 | | |
Pool # BV7697, 2.50%, 4/1/2042 | | |
Pool # MA4587, 2.50%, 4/1/2042 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Mortgage-Backed Securities — continued |
| | |
Pool # 254447, 6.00%, 9/1/2032 | | |
Pool # 711215, 5.50%, 6/1/2033 | | |
Pool # AA1005, 5.00%, 12/1/2033 | | |
Pool # 725232, 5.00%, 3/1/2034 | | |
Pool # 725228, 6.00%, 3/1/2034 | | |
Pool # 790003, 6.00%, 8/1/2034 | | |
Pool # 735503, 6.00%, 4/1/2035 | | |
Pool # 190360, 5.00%, 8/1/2035 | | |
Pool # 904601, 6.00%, 11/1/2036 | | |
Pool # 888538, 5.50%, 1/1/2037 | | |
Pool # AB0284, 6.00%, 2/1/2037 | | |
Pool # AL2627, 5.00%, 7/1/2037 | | |
Pool # 956965, 6.50%, 12/1/2037 | | |
Pool # BH7907, 6.50%, 12/1/2037 | | |
Pool # 961793, 5.00%, 3/1/2038 | | |
Pool # 985661, 5.50%, 6/1/2038 | | |
Pool # AU7519, 3.50%, 9/1/2038 | | |
Pool # AA7402, 4.50%, 6/1/2039 | | |
Pool # AC2638, 5.00%, 10/1/2039 | | |
Pool # AL0100, 6.00%, 10/1/2039 | | |
Pool # AC4886, 5.00%, 11/1/2039 | | |
Pool # 190399, 5.50%, 11/1/2039 | | |
Pool # AB1143, 4.50%, 6/1/2040 | | |
Pool # AD6938, 4.50%, 6/1/2040 | | |
Pool # AD5479, 5.00%, 6/1/2040 | | |
Pool # AB1259, 5.00%, 7/1/2040 | | |
Pool # AB1292, 5.00%, 8/1/2040 | | |
Pool # AL5437, 5.00%, 8/1/2040 | | |
Pool # AB1421, 5.00%, 9/1/2040 | | |
Pool # AE4142, 5.00%, 9/1/2040 | | |
Pool # AE3857, 5.00%, 10/1/2040 | | |
Pool # AE8289, 4.00%, 12/1/2040 | | |
Pool # MA0622, 3.50%, 1/1/2041 | | |
Pool # AH2312, 5.00%, 1/1/2041 | | |
Pool # AE0828, 3.50%, 2/1/2041 | | |
Pool # AH3804, 4.00%, 2/1/2041 | | |
Pool # MA0639, 4.00%, 2/1/2041 | | |
Pool # AB2676, 3.50%, 4/1/2041 | | |
Pool # AL0241, 4.00%, 4/1/2041 | | |
Pool # AI1887, 4.50%, 5/1/2041 | | |
Pool # BM3118, 6.00%, 7/1/2041 | | |
Pool # AJ2293, 4.00%, 9/1/2041 | | |
Pool # AL0933, 5.00%, 10/1/2041 | | |
Pool # AW8154, 3.50%, 1/1/2042 | | |
| | |
|
Pool # AX5318, 4.50%, 1/1/2042 | | |
Pool # BD4480, 4.50%, 1/1/2042 | | |
Pool # AL1998, 4.00%, 3/1/2042 | | |
Pool # AO4134, 3.50%, 6/1/2042 | | |
Pool # AO8694, 4.50%, 7/1/2042 | | |
Pool # AP4258, 3.00%, 8/1/2042 | | |
Pool # AB6632, 3.50%, 10/1/2042 | | |
Pool # AB6633, 3.50%, 10/1/2042 | | |
Pool # AL3344, 4.50%, 10/1/2042 | | |
Pool # AB6828, 3.50%, 11/1/2042 | | |
Pool # AL3182, 3.50%, 12/1/2042 | | |
Pool # AQ9316, 2.50%, 1/1/2043 | | |
Pool # AB7580, 3.00%, 1/1/2043 | | |
Pool # AQ1104, 3.00%, 1/1/2043 | | |
Pool # AR0168, 3.00%, 2/1/2043 | | |
Pool # AB7964, 3.50%, 2/1/2043 | | |
Pool # AR2271, 3.50%, 2/1/2043 | | |
Pool # BM4751, 3.50%, 3/1/2043 | | |
Pool # AB8742, 4.00%, 3/1/2043 | | |
Pool # AR6770, 4.00%, 3/1/2043 | | |
Pool # AT2015, 3.00%, 4/1/2043 | | |
Pool # AT2016, 3.00%, 4/1/2043 | | |
Pool # AB9194, 3.50%, 5/1/2043 | | |
Pool # FM4462, 3.50%, 5/1/2043 | | |
Pool # AU1629, 3.00%, 7/1/2043 | | |
Pool # BM3785, 3.50%, 7/1/2043 | | |
Pool # AS0241, 4.00%, 8/1/2043 | | |
Pool # BM3704, 3.00%, 9/1/2043 | | |
Pool # AT2612, 3.50%, 9/1/2043 | | |
Pool # AU4256, 3.50%, 9/1/2043 | | |
Pool # AU4283, 3.50%, 9/1/2043 | | |
Pool # AL4062, 4.00%, 9/1/2043 | | |
Pool # BM4635, 2.50%, 10/1/2043 | | |
Pool # AS1121, 4.00%, 11/1/2043 | | |
Pool # AV0022, 4.00%, 11/1/2043 | | |
Pool # AL7696, 3.00%, 12/1/2043 | | |
Pool # AV6103, 4.00%, 1/1/2044 | | |
Pool # BC1737, 4.00%, 1/1/2044 | | |
Pool # BM5365, 4.00%, 3/1/2044 | | |
Pool # FM1744, 3.50%, 5/1/2044 | | |
Pool # AS2700, 4.00%, 6/1/2044 | | |
Pool # AW6233, 4.50%, 6/1/2044 | | |
Pool # AS2947, 4.00%, 7/1/2044 | | |
Pool # AL9072, 5.00%, 7/1/2044 | | |
Pool # AL9569, 5.00%, 8/1/2044 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Mortgage-Backed Securities — continued |
Pool # AX0152, 4.50%, 9/1/2044 | | |
Pool # BM4620, 3.00%, 10/1/2044 | | |
Pool # AS3867, 4.00%, 11/1/2044 | | |
Pool # FM1746, 3.50%, 1/1/2045 | | |
Pool # FM0015, 4.00%, 2/1/2045 | | |
Pool # MA2193, 4.50%, 2/1/2045 | | |
Pool # FM3414, 4.00%, 3/1/2045 | | |
Pool # BM3398, 3.50%, 4/1/2045 | | |
Pool # CA2709, 4.00%, 9/1/2045 | | |
Pool # AS5851, 4.50%, 9/1/2045 | | |
Pool # AS6184, 3.50%, 11/1/2045 | | |
Pool # BA0315, 3.50%, 11/1/2045 | | |
Pool # FM1869, 4.00%, 11/1/2045 | | |
Pool # BM4833, 3.00%, 12/1/2045 | | |
Pool # FM1708, 3.00%, 12/1/2045 | | |
Pool # BC0066, 3.50%, 12/1/2045 | | |
Pool # FM3413, 4.00%, 1/1/2046 | | |
Pool # FM2323, 4.00%, 2/1/2046 | | |
Pool # AL9128, 4.50%, 2/1/2046 | | |
Pool # AS6811, 3.00%, 3/1/2046 | | |
Pool # BM4834, 3.00%, 3/1/2046 | | |
Pool # FM1782, 4.00%, 3/1/2046 | | |
Pool # FM2195, 4.00%, 3/1/2046 | | |
Pool # AS7003, 3.00%, 4/1/2046 | | |
Pool # AS7198, 4.50%, 5/1/2046 | | |
Pool # BD0166, 2.50%, 6/1/2046 | | |
Pool # BM5168, 2.50%, 6/1/2046 | | |
Pool # BC6105, 3.50%, 6/1/2046 | | |
Pool # FM1780, 4.00%, 7/1/2046 | | |
Pool # AS7660, 2.50%, 8/1/2046 | | |
Pool # MA2730, 2.50%, 8/1/2046 | | |
Pool # FM3810, 3.00%, 10/1/2046 | | |
Pool # AL9385, 3.00%, 11/1/2046 | | |
Pool # MA2806, 3.00%, 11/1/2046 | | |
Pool # BM3288, 3.50%, 12/1/2046 | | |
Pool # BM4990, 2.50%, 1/1/2047 | | |
Pool # FM2807, 3.00%, 1/1/2047 | | |
Pool # 890856, 3.50%, 1/1/2047 | | |
Pool # FM3374, 3.50%, 1/1/2047 | | |
Pool # FM0041, 3.00%, 2/1/2047 | | |
Pool # BM5955, 4.00%, 2/1/2047 | | |
Pool # BM5270, 4.50%, 2/1/2047 | | |
Pool # BM4350, 3.00%, 3/1/2047 | | |
Pool # MA2920, 3.00%, 3/1/2047 | | |
Pool # FM3107, 3.50%, 3/1/2047 | | |
| | |
|
Pool # AS9313, 4.00%, 3/1/2047 | | |
Pool # FM4735, 3.00%, 4/1/2047 | | |
Pool # FM6073, 4.00%, 4/1/2047 | | |
Pool # AS9480, 4.50%, 4/1/2047 | | |
Pool # FM1772, 4.50%, 5/1/2047 | | |
Pool # BD0667, 4.50%, 6/1/2047 | | |
Pool # AS9937, 3.00%, 7/1/2047 | | |
Pool # AS9946, 3.50%, 7/1/2047 | | |
Pool # BM1568, 3.50%, 7/1/2047 | | |
Pool # BH7375, 3.50%, 8/1/2047 | | |
Pool # CA0148, 4.50%, 8/1/2047 | | |
Pool # CA0850, 3.00%, 9/1/2047 | | |
Pool # MA3147, 3.00%, 10/1/2047 | | |
Pool # BM2003, 4.00%, 10/1/2047 | | |
Pool # BH9392, 3.50%, 11/1/2047 | | |
Pool # CA0681, 3.50%, 11/1/2047 | | |
Pool # FM0028, 3.00%, 12/1/2047 | | |
Pool # MA3209, 3.00%, 12/1/2047 | | |
Pool # FM1420, 3.50%, 12/1/2047 | | |
Pool # CA4015, 3.00%, 1/1/2048 | | |
Pool # BJ6154, 3.50%, 1/1/2048 | | |
Pool # MA3238, 3.50%, 1/1/2048 | | |
Pool # BJ5910, 3.50%, 2/1/2048 | | |
Pool # MA3305, 3.50%, 3/1/2048 | | |
Pool # FM3494, 2.50%, 4/1/2048 | | |
Pool # CA2687, 3.00%, 5/1/2048 | | |
Pool # BM4054, 4.00%, 5/1/2048 | | |
Pool # MA3425, 3.00%, 6/1/2048 | | |
Pool # BM4757, 3.50%, 7/1/2048 | | |
Pool # FM3438, 3.00%, 8/1/2048 | | |
Pool # BM2007, 4.00%, 9/1/2048 | | |
Pool # CA2368, 4.00%, 9/1/2048 | | |
Pool # MA3472, 5.00%, 9/1/2048 | | |
Pool # CA4655, 3.50%, 10/1/2048 | | |
Pool # MA3495, 4.00%, 10/1/2048 | | |
Pool # CA2432, 4.50%, 10/1/2048 | | |
Pool # FM7895, 3.50%, 11/1/2048 | | |
Pool # FM1248, 4.50%, 11/1/2048 | | |
Pool # CA2797, 4.50%, 12/1/2048 | | |
Pool # FM0030, 3.00%, 2/1/2049 | | |
Pool # FM6237, 3.50%, 4/1/2049 | | |
Pool # MA3637, 3.50%, 4/1/2049 | | |
Pool # MA3638, 4.00%, 4/1/2049 | | |
Pool # BN5418, 4.50%, 4/1/2049 | | |
Pool # MA3664, 4.00%, 5/1/2049 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Mortgage-Backed Securities — continued |
Pool # FM4074, 4.50%, 5/1/2049 | | |
Pool # CA4358, 3.50%, 7/1/2049 | | |
Pool # FM1672, 4.50%, 7/1/2049 | | |
Pool # MA3745, 3.50%, 8/1/2049 | | |
Pool # MA3746, 4.00%, 8/1/2049 | | |
Pool # FM1385, 5.00%, 8/1/2049 | | |
Pool # BO4012, 3.00%, 9/1/2049 | | |
Pool # FM1449, 3.50%, 9/1/2049 | | |
Pool # FM4430, 3.50%, 9/1/2049 | | |
Pool # FM3572, 4.50%, 9/1/2049 | | |
Pool # MA3803, 3.50%, 10/1/2049 | | |
Pool # MA3833, 2.50%, 11/1/2049 | | |
Pool # BK0350, 3.00%, 11/1/2049 | | |
Pool # MA3870, 2.50%, 12/1/2049 | | |
Pool # FM2363, 3.00%, 1/1/2050 | | |
Pool # MA3905, 3.00%, 1/1/2050 | | |
Pool # CA5021, 3.50%, 1/1/2050 | | |
Pool # FM5922, 3.50%, 1/1/2050 | | |
Pool # MA3906, 3.50%, 1/1/2050 | | |
Pool # CA5135, 2.50%, 2/1/2050 | | |
Pool # MA3936, 2.50%, 2/1/2050 | | |
Pool # FM2733, 2.50%, 3/1/2050 | | |
Pool # FM4883, 2.50%, 3/1/2050 | | |
Pool # FM4372, 3.50%, 3/1/2050 | | |
Pool # BP2403, 3.50%, 4/1/2050 | | |
Pool # BP5001, 2.50%, 5/1/2050 | | |
Pool # FM3257, 3.00%, 5/1/2050 | | |
Pool # BK2753, 2.50%, 7/1/2050 | | |
Pool # MA4078, 2.50%, 7/1/2050 | | |
Pool # BP6626, 2.00%, 8/1/2050 | | |
Pool # MA4100, 2.00%, 8/1/2050 | | |
Pool # BP9500, 2.50%, 8/1/2050 | | |
Pool # BQ0723, 3.50%, 8/1/2050 | | |
Pool # FM5750, 4.00%, 8/1/2050 | | |
Pool # MA4119, 2.00%, 9/1/2050 | | |
Pool # BK3044, 2.50%, 9/1/2050 | | |
Pool # BP6702, 2.50%, 9/1/2050 | | |
Pool # FM8260, 4.00%, 9/1/2050 | | |
Pool # MA4158, 2.00%, 10/1/2050 | | |
Pool # MA4159, 2.50%, 10/1/2050 | | |
Pool # MA4182, 2.00%, 11/1/2050 | | |
Pool # CA7603, 2.50%, 11/1/2050 | | |
Pool # MA4183, 2.50%, 11/1/2050 | | |
Pool # CA8222, 1.50%, 12/1/2050 | | |
Pool # MA4209, 1.50%, 12/1/2050 | | |
| | |
|
Pool # BQ5160, 2.00%, 12/1/2050 | | |
Pool # FM5849, 2.00%, 12/1/2050 | | |
Pool # MA4208, 2.00%, 12/1/2050 | | |
Pool # BR2807, 2.50%, 12/1/2050 | | |
Pool # MA4210, 2.50%, 12/1/2050 | | |
Pool # FM5597, 2.00%, 1/1/2051 | | |
Pool # FM6241, 2.00%, 1/1/2051 | | |
Pool # FM5854, 2.50%, 1/1/2051 | | |
Pool # MA4254, 1.50%, 2/1/2051 | | |
Pool # CA9190, 2.00%, 2/1/2051 | | |
Pool # FM6037, 2.00%, 2/1/2051 | | |
Pool # FM6126, 2.00%, 2/1/2051 | | |
Pool # MA4255, 2.00%, 2/1/2051 | | |
Pool # BR3515, 2.50%, 2/1/2051 | | |
Pool # FM6244, 2.00%, 3/1/2051 | | |
Pool # MA4281, 2.00%, 3/1/2051 | | |
Pool # FM6523, 2.50%, 3/1/2051 | | |
Pool # FM6764, 2.50%, 3/1/2051 | | |
Pool # FM6537, 2.00%, 4/1/2051 | | |
Pool # MA4306, 2.50%, 4/1/2051 | | |
Pool # FM7099, 3.00%, 4/1/2051 | | |
Pool # MA4325, 2.00%, 5/1/2051 | | |
Pool # FM7066, 2.50%, 5/1/2051 | | |
Pool # MA4354, 1.50%, 6/1/2051 | | |
Pool # MA4355, 2.00%, 6/1/2051 | | |
Pool # CB0727, 2.50%, 6/1/2051 | | |
Pool # FM7418, 2.50%, 6/1/2051 | | |
Pool # MA4356, 2.50%, 6/1/2051 | | |
Pool # MA4377, 1.50%, 7/1/2051 | | |
Pool # FM8194, 2.00%, 7/1/2051 | | |
Pool # MA4378, 2.00%, 7/1/2051 | | |
Pool # CB1027, 2.50%, 7/1/2051 | | |
Pool # MA4379, 2.50%, 7/1/2051 | | |
Pool # MA4380, 3.00%, 7/1/2051 | | |
Pool # FM8278, 3.50%, 7/1/2051 | | |
Pool # BT9030, 2.00%, 8/1/2051 | | |
Pool # MA4398, 2.00%, 8/1/2051 | | |
Pool # BR2236, 2.50%, 8/1/2051 | | |
Pool # BR2237, 2.50%, 8/1/2051 | | |
Pool # BR2258, 2.50%, 8/1/2051 | | |
Pool # CB1276, 2.50%, 8/1/2051 | | |
Pool # MA4399, 2.50%, 8/1/2051 | | |
Pool # MA4401, 3.50%, 8/1/2051 | | |
Pool # BT0240, 2.00%, 9/1/2051 | | |
Pool # MA4413, 2.00%, 9/1/2051 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Mortgage-Backed Securities — continued |
Pool # MA4414, 2.50%, 9/1/2051 | | |
Pool # MA4437, 2.00%, 10/1/2051 | | |
Pool # MA4438, 2.50%, 10/1/2051 | | |
Pool # CB1917, 3.00%, 10/1/2051 | | |
Pool # MA4464, 1.50%, 11/1/2051 | | |
Pool # MA4465, 2.00%, 11/1/2051 | | |
Pool # MA4492, 2.00%, 12/1/2051 | | |
Pool # FM9868, 2.50%, 12/1/2051 | | |
Pool # FM9870, 2.50%, 12/1/2051 | | |
Pool # MA4493, 2.50%, 12/1/2051 | | |
Pool # MA4511, 2.00%, 1/1/2052 | | |
Pool # MA4512, 2.50%, 1/1/2052 | | |
Pool # MA4513, 3.00%, 1/1/2052 | | |
Pool # MA4547, 2.00%, 2/1/2052 | | |
Pool # MA4548, 2.50%, 2/1/2052 | | |
Pool # MA4562, 2.00%, 3/1/2052 | | |
Pool # MA4577, 2.00%, 4/1/2052 | | |
Pool # MA4578, 2.50%, 4/1/2052 | | |
Pool # MA4579, 3.00%, 4/1/2052 | | |
Pool # MA4598, 2.50%, 5/1/2052 | | |
Pool # MA4600, 3.50%, 5/1/2052 | | |
Pool # MA4743, 2.50%, 8/1/2052 | | |
Pool # MA4699, 3.50%, 8/1/2052 | | |
Pool # MA4700, 4.00%, 8/1/2052 | | |
Pool # MA4733, 4.50%, 9/1/2052 | | |
Pool # MA4784, 4.50%, 10/1/2052 | | |
Pool # MA4805, 4.50%, 11/1/2052 | | |
Pool # MA4868, 5.00%, 1/1/2053 | | |
Pool # MA4869, 5.50%, 1/1/2053 | | |
Pool # MA4933, 3.50%, 2/1/2053 | | |
Pool # MA4918, 5.00%, 2/1/2053 | | |
Pool # MA4919, 5.50%, 2/1/2053 | | |
Pool # MA4920, 6.00%, 2/1/2053 | | |
Pool # MA4962, 4.00%, 3/1/2053 | | |
Pool # MA4943, 6.50%, 3/1/2053 | | |
FNMA/FHLMC UMBS, Single Family, 15 Year | | |
TBA, 1.50%, 3/25/2038 (a) | | |
TBA, 3.00%, 3/25/2038 (a) | | |
TBA, 3.50%, 3/25/2038 (a) | | |
FNMA/FHLMC UMBS, Single Family, 30 Year | | |
TBA, 2.00%, 3/25/2053 (a) | | |
TBA, 2.50%, 3/25/2053 (a) | | |
TBA, 3.00%, 3/25/2053 (a) | | |
TBA, 3.50%, 3/25/2053 (a) | | |
TBA, 4.00%, 3/25/2053 (a) | | |
| | |
|
TBA, 4.50%, 3/25/2053 (a) | | |
TBA, 5.00%, 3/25/2053 (a) | | |
TBA, 5.50%, 3/25/2053 (a) | | |
| | |
Pool # 704155, 5.50%, 1/15/2039 | | |
Pool # 726769, 5.00%, 9/15/2039 | | |
Pool # 721340, 5.00%, 12/15/2039 | | |
Pool # 754439, 3.50%, 12/15/2041 | | |
Pool # 711674, 3.00%, 9/15/2042 | | |
Pool # 783748, 3.50%, 4/15/2043 | | |
Pool # 784660, 4.00%, 4/15/2043 | | |
Pool # AC2224, 3.50%, 6/15/2043 | | |
Pool # 785088, 3.50%, 7/15/2043 | | |
Pool # AJ4151, 4.00%, 9/15/2044 | | |
Pool # AL9314, 3.00%, 3/15/2045 | | |
Pool # 784664, 4.00%, 4/15/2045 | | |
Pool # AO0544, 3.00%, 8/15/2045 | | |
Pool # 627030, 3.00%, 12/15/2045 | | |
Pool # 784429, 3.00%, 8/15/2046 | | |
Pool # 784652, 4.00%, 11/15/2047 | | |
Pool # 784766, 3.50%, 3/15/2048 | | |
| | |
Pool # MA0513, 2.50%, 11/20/2027 | | |
Pool # MA4625, 3.50%, 8/20/2032 | | |
Pool # MA6906, 2.50%, 10/20/2035 | | |
| | |
Pool # 711773, 3.50%, 6/20/2033 | | |
Pool # 3459, 5.50%, 10/20/2033 | | |
Pool # AQ5932, 3.50%, 1/20/2036 | | |
Pool # 4222, 6.00%, 8/20/2038 | | |
Pool # 709148, 4.50%, 2/20/2039 | | |
Pool # 4446, 4.50%, 5/20/2039 | | |
Pool # 4467, 4.00%, 6/20/2039 | | |
Pool # 4468, 4.50%, 6/20/2039 | | |
Pool # 4494, 4.00%, 7/20/2039 | | |
Pool # 4495, 4.50%, 7/20/2039 | | |
Pool # 4519, 4.50%, 8/20/2039 | | |
Pool # 4558, 4.50%, 10/20/2039 | | |
Pool # 4576, 4.00%, 11/20/2039 | | |
Pool # 4598, 4.50%, 12/20/2039 | | |
Pool # 4617, 4.50%, 1/20/2040 | | |
Pool # 4636, 4.50%, 2/20/2040 | | |
Pool # 4656, 4.00%, 3/20/2040 | | |
Pool # 4677, 4.00%, 4/20/2040 | | |
Pool # 4678, 4.50%, 4/20/2040 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Mortgage-Backed Securities — continued |
Pool # 4695, 4.00%, 5/20/2040 | | |
Pool # 4696, 4.50%, 5/20/2040 | | |
Pool # 4712, 4.00%, 6/20/2040 | | |
Pool # 4800, 4.00%, 9/20/2040 | | |
Pool # 737727, 4.00%, 12/20/2040 | | |
Pool # 4945, 4.00%, 2/20/2041 | | |
Pool # 759342, 4.50%, 2/20/2041 | | |
Pool # 4950, 5.50%, 2/20/2041 | | |
Pool # 4976, 3.50%, 3/20/2041 | | |
Pool # 4977, 4.00%, 3/20/2041 | | |
Pool # 5016, 4.00%, 4/20/2041 | | |
Pool # 5054, 4.00%, 5/20/2041 | | |
Pool # 5114, 4.00%, 7/20/2041 | | |
Pool # 779497, 3.50%, 10/20/2041 | | |
Pool # 5233, 4.00%, 11/20/2041 | | |
Pool # 5258, 3.50%, 12/20/2041 | | |
Pool # 5259, 4.00%, 12/20/2041 | | |
Pool # 5279, 3.50%, 1/20/2042 | | |
Pool # 5330, 3.00%, 3/20/2042 | | |
Pool # 754406, 3.50%, 5/20/2042 | | |
Pool # MA0220, 3.50%, 7/20/2042 | | |
Pool # MA0318, 3.50%, 8/20/2042 | | |
Pool # 796468, 4.00%, 9/20/2042 | | |
Pool # AA6040, 3.00%, 1/20/2043 | | |
Pool # AD1584, 3.00%, 1/20/2043 | | |
Pool # AD2125, 3.50%, 1/20/2043 | | |
Pool # AA6054, 3.00%, 2/20/2043 | | |
Pool # AD1744, 3.00%, 2/20/2043 | | |
Pool # 783755, 3.00%, 4/20/2043 | | |
Pool # 783976, 3.50%, 4/20/2043 | | |
Pool # MA1012, 3.50%, 5/20/2043 | | |
Pool # MA1157, 3.50%, 7/20/2043 | | |
Pool # MA1284, 3.00%, 9/20/2043 | | |
Pool # 785065, 3.50%, 10/20/2043 | | |
Pool # MA1376, 4.00%, 10/20/2043 | | |
Pool # AI7106, 4.00%, 6/20/2044 | | |
Pool # 784026, 3.50%, 12/20/2044 | | |
Pool # MA2678, 3.50%, 3/20/2045 | | |
Pool # MA2679, 4.00%, 3/20/2045 | | |
Pool # MA2753, 3.00%, 4/20/2045 | | |
Pool # 626942, 3.00%, 5/20/2045 | | |
Pool # MA2825, 3.00%, 5/20/2045 | | |
Pool # MA2829, 5.00%, 5/20/2045 | | |
Pool # 784800, 3.00%, 6/20/2045 | | |
Pool # AM9881, 3.00%, 6/20/2045 | | |
| | |
|
Pool # MA3247, 5.00%, 11/20/2045 | | |
Pool # AO9442, 3.50%, 12/20/2045 | | |
Pool # 784119, 3.00%, 2/20/2046 | | |
Pool # MA3458, 5.50%, 2/20/2046 | | |
Pool # MA3520, 3.00%, 3/20/2046 | | |
Pool # MA3735, 3.00%, 6/20/2046 | | |
Pool # AT7138, 3.50%, 6/20/2046 | | |
Pool # MA3935, 2.50%, 9/20/2046 | | |
Pool # 784768, 3.00%, 9/20/2046 | | |
Pool # AT8215, 3.00%, 9/20/2046 | | |
Pool # MA4002, 2.50%, 10/20/2046 | | |
Pool # AW0199, 3.00%, 10/20/2046 | | |
Pool # MA4068, 3.00%, 11/20/2046 | | |
Pool # MA4072, 5.00%, 11/20/2046 | | |
Pool # MA4125, 2.50%, 12/20/2046 | | |
Pool # MA4126, 3.00%, 12/20/2046 | | |
Pool # MA4260, 2.50%, 2/20/2047 | | |
Pool # AZ3119, 3.50%, 3/20/2047 | | |
Pool # AZ7084, 3.50%, 4/20/2047 | | |
Pool # MA4511, 4.00%, 6/20/2047 | | |
Pool # BA5041, 5.00%, 6/20/2047 | | |
Pool # MA4584, 2.50%, 7/20/2047 | | |
Pool # MA4718, 3.00%, 9/20/2047 | | |
Pool # MA4721, 4.50%, 9/20/2047 | | |
Pool # MA4836, 3.00%, 11/20/2047 | | |
Pool # BC2742, 3.50%, 11/20/2047 | | |
Pool # BD6940, 3.50%, 12/20/2047 | | |
Pool # MA4900, 3.50%, 12/20/2047 | | |
Pool # MA5019, 3.50%, 2/20/2048 | | |
Pool # MA5077, 3.50%, 3/20/2048 | | |
Pool # MA5138, 4.50%, 4/20/2048 | | |
Pool # 785033, 3.50%, 5/20/2048 | | |
Pool # MA5194, 5.00%, 5/20/2048 | | |
Pool # MA5329, 3.50%, 7/20/2048 | | |
Pool # MA5468, 5.00%, 9/20/2048 | | |
Pool # MA5527, 3.50%, 10/20/2048 | | |
Pool # MA5595, 4.00%, 11/20/2048 | | |
Pool # BJ6759, 4.50%, 11/20/2048 | | |
Pool # MA5650, 3.50%, 12/20/2048 | | |
Pool # MA5651, 4.00%, 12/20/2048 | | |
Pool # MA5709, 3.50%, 1/20/2049 | | |
Pool # BI6473, 4.00%, 1/20/2049 | | |
Pool # BJ9901, 3.00%, 2/20/2049 | | |
Pool # MA5930, 3.50%, 5/20/2049 | | |
Pool # MA5983, 2.50%, 6/20/2049 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Mortgage-Backed Securities — continued |
Pool # MA5985, 3.50%, 6/20/2049 | | |
Pool # MA5987, 4.50%, 6/20/2049 | | |
Pool # MA5988, 5.00%, 6/20/2049 | | |
Pool # MA6039, 3.50%, 7/20/2049 | | |
Pool # BM5450, 4.50%, 7/20/2049 | | |
Pool # MA6220, 4.00%, 10/20/2049 | | |
Pool # BR4627, 3.00%, 11/20/2049 | | |
Pool # 785067, 3.50%, 12/20/2049 | | |
Pool # MA6478, 5.00%, 2/20/2050 | | |
Pool # MA6542, 3.50%, 3/20/2050 | | |
Pool # MA6545, 5.00%, 3/20/2050 | | |
Pool # BV1348, 2.50%, 6/20/2050 | | |
Pool # MA6709, 2.50%, 6/20/2050 | | |
Pool # MA6818, 2.00%, 8/20/2050 | | |
Pool # BY8818, 2.00%, 10/20/2050 | | |
Pool # 785401, 2.50%, 10/20/2050 | | |
Pool # MA6994, 2.00%, 11/20/2050 | | |
Pool # BY8832, 2.50%, 11/20/2050 | | |
Pool # MA7051, 2.00%, 12/20/2050 | | |
Pool # CA4485, 2.50%, 12/20/2050 | | |
Pool # MA7052, 2.50%, 12/20/2050 | | |
Pool # MA7055, 4.00%, 12/20/2050 | | |
Pool # MA7135, 2.00%, 1/20/2051 | | |
Pool # MA7254, 2.00%, 3/20/2051 | | |
Pool # MA7311, 2.00%, 4/20/2051 | | |
Pool # 785449, 3.00%, 4/20/2051 | | |
Pool # MA7367, 2.50%, 5/20/2051 | | |
Pool # MA7368, 3.00%, 5/20/2051 | | |
Pool # MA7417, 2.00%, 6/20/2051 | | |
Pool # MA7418, 2.50%, 6/20/2051 | | |
Pool # MA7420, 3.50%, 6/20/2051 | | |
Pool # MA7471, 2.00%, 7/20/2051 | | |
Pool # MA7472, 2.50%, 7/20/2051 | | |
Pool # MA7473, 3.00%, 7/20/2051 | | |
Pool # MA7533, 2.00%, 8/20/2051 | | |
Pool # MA7588, 2.00%, 9/20/2051 | | |
Pool # MA7589, 2.50%, 9/20/2051 | | |
Pool # MA7766, 2.00%, 12/20/2051 | | |
Pool # MA7826, 2.00%, 1/20/2052 | | |
Pool # 785881, 2.50%, 1/20/2052 | | |
Pool # 785945, 3.00%, 2/20/2052 | | |
Pool # 786017, 3.00%, 3/20/2052 | | |
Pool # MA7937, 3.00%, 3/20/2052 | | |
Pool # MA7986, 2.00%, 4/20/2052 | | |
Pool # MA7987, 2.50%, 4/20/2052 | | |
| | |
|
Pool # MA7988, 3.00%, 4/20/2052 | | |
Pool # MA8043, 3.00%, 5/20/2052 | | |
Pool # MA8267, 4.00%, 9/20/2052 | | |
Pool # MA8269, 5.00%, 9/20/2052 | | |
Pool # MA8270, 5.50%, 9/20/2052 | | |
GNMA II, Single Family, 30 Year | | |
TBA, 2.50%, 3/15/2052 (a) | | |
TBA, 4.00%, 3/15/2052 (a) | | |
TBA, 2.00%, 3/15/2053 (a) | | |
TBA, 3.00%, 3/15/2053 (a) | | |
TBA, 3.50%, 3/15/2053 (a) | | |
TBA, 4.50%, 3/15/2053 (a) | | |
TBA, 5.00%, 3/15/2053 (a) | | |
Total Mortgage-Backed Securities
(Cost $406,461,648) | | |
|
Aerospace & Defense — 0.5% |
| | |
| | |
| | |
Hexcel Corp. 4.95%, 8/15/2025 (b) | | |
Huntington Ingalls Industries, Inc. 2.04%, 8/16/2028 | | |
L3Harris Technologies, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
Northrop Grumman Corp. 5.25%, 5/1/2050 | | |
Precision Castparts Corp. 4.38%, 6/15/2045 | | |
Raytheon Technologies Corp. 3.03%, 3/15/2052 | | |
| | |
Air Freight & Logistics — 0.1% |
CH Robinson Worldwide, Inc. 4.20%, 4/15/2028 | | |
FedEx Corp. 3.88%, 8/1/2042 | | |
GXO Logistics, Inc. 1.65%, 7/15/2026 | | |
United Parcel Service, Inc. | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Air Freight & Logistics — continued |
| | |
| | |
| | |
|
Aptiv plc 3.10%, 12/1/2051 | | |
BorgWarner, Inc. 4.38%, 3/15/2045 | | |
Lear Corp. 5.25%, 5/15/2049 | | |
Magna International, Inc. (Canada) 4.15%, 10/1/2025 | | |
| | |
|
General Motors Co. 5.00%, 4/1/2035 | | |
Harley-Davidson, Inc. 4.63%, 7/28/2045 | | |
Mercedes-Benz Finance North America LLC (Germany) 8.50%, 1/18/2031 | | |
Toyota Motor Corp. (Japan) 0.68%, 3/25/2024 | | |
| | |
|
Banco Santander SA (Spain) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.22%, 11/22/2032 (c) | | |
| | |
| | |
(SOFR + 0.91%), 0.98%, 9/25/2025 (c) | | |
(ICE LIBOR USD 3 Month + 0.87%), 2.46%, 10/22/2025 (c) | | |
(ICE LIBOR USD 3 Month + 0.64%), 2.01%, 2/13/2026 (c) | | |
| | |
(SOFR + 1.15%), 1.32%, 6/19/2026 (c) | | |
(ICE LIBOR USD 3 Month + 1.21%), 3.97%, 2/7/2030 (c) | | |
(SOFR + 1.37%), 1.92%, 10/24/2031 (c) | | |
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (c) | | |
| | |
Bank of Montreal (Canada) | | |
| | |
| | |
| | |
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.40%), 3.09%, 1/10/2037 (c) (d) | | |
Barclays plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.00%), 5.75%, 8/9/2033 (c) | | |
Canadian Imperial Bank of Commerce (Canada) | | |
| | |
| | |
Capital One NA (SOFR + 0.91%), 2.28%, 1/28/2026 (c) | | |
| | |
| | |
(SOFR + 2.84%), 3.11%, 4/8/2026 (c) | | |
(SOFR + 1.42%), 2.98%, 11/5/2030 (c) | | |
| | |
(SOFR + 1.18%), 2.52%, 11/3/2032 (c) | | |
(SOFR + 2.09%), 4.91%, 5/24/2033 (c) | | |
(SOFR + 2.34%), 6.27%, 11/17/2033 (c) | | |
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (c) | | |
Citizens Financial Group, Inc. 3.25%, 4/30/2030 | | |
Comerica Bank 4.00%, 7/27/2025 | | |
Cooperatieve Rabobank UA (Netherlands) 3.75%, 7/21/2026 | | |
Discover Bank 4.25%, 3/13/2026 | | |
| | |
| | |
(SOFR + 1.66%), 4.34%, 4/25/2033 (c) | | |
First Horizon Corp. 4.00%, 5/26/2025 | | |
First-Citizens Bank & Trust Co. (3-MONTH CME TERM SOFR + 1.72%), 2.97%, 9/27/2025 (c) | | |
Goldman Sachs Capital I 6.35%, 2/15/2034 | | |
HSBC Holdings plc (United Kingdom) | | |
(SOFR + 1.54%), 1.64%, 4/18/2026 (c) | | |
(SOFR + 2.39%), 2.85%, 6/4/2031 (c) | | |
| | |
Huntington National Bank (The) (SOFRINDX + 1.65%), 4.55%, 5/17/2028 (c) | | |
ING Groep NV (Netherlands) 3.95%, 3/29/2027 | | |
Intesa Sanpaolo SpA (Italy) 5.25%, 1/12/2024 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
| | |
Korea Development Bank (The) (South Korea) | | |
| | |
| | |
Kreditanstalt fuer Wiederaufbau (Germany) | | |
| | |
| | |
| | |
| | |
| | |
Landwirtschaftliche Rentenbank (Germany) | | |
| | |
| | |
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.50%), 3.37%, 12/14/2046 (c) | | |
Mizuho Financial Group, Inc. (Japan) (SOFR + 1.77%), 2.20%, 7/10/2031 (c) | | |
National Australia Bank Ltd. (Australia) 2.50%, 7/12/2026 | | |
National Bank of Canada (Canada) Series FXD, 0.75%, 8/6/2024 | | |
NatWest Group plc (United Kingdom) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.15%), 2.36%, 5/22/2024 (c) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 3.07%, 5/22/2028 (c) | | |
Oesterreichische Kontrollbank AG (Austria) | | |
| | |
| | |
| | |
| | |
PNC Bank NA 3.10%, 10/25/2027 | | |
Regions Financial Corp. 2.25%, 5/18/2025 | | |
Royal Bank of Canada (Canada) | | |
| | |
| | |
Series FXD, 2.05%, 1/21/2027 (e) | | |
| | |
Santander Holdings USA, Inc. 3.45%, 6/2/2025 | | |
| | |
|
|
Santander UK Group Holdings plc (United Kingdom) (SOFR + 2.75%), 6.83%, 11/21/2026 (c) | | |
Santander UK plc (United Kingdom) 2.88%, 6/18/2024 | | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Synovus Financial Corp. 5.20%, 8/11/2025 | | |
Toronto-Dominion Bank (The) (Canada) | | |
| | |
| | |
Truist Bank 2.15%, 12/6/2024 | | |
| | |
(SOFR + 0.86%), 1.89%, 6/7/2029 (c) | | |
| | |
| | |
| | |
(SOFR + 1.02%), 2.68%, 1/27/2033 (c) (e) | | |
Valley National Bancorp (3-MONTH CME TERM SOFR + 2.36%), 3.00%, 6/15/2031 (c) | | |
Webster Financial Corp. 4.10%, 3/25/2029 | | |
| | |
(SOFR + 1.09%), 2.41%, 10/30/2025 (c) | | |
(ICE LIBOR USD 3 Month + 0.75%), 2.16%, 2/11/2026 (c) | | |
(3-MONTH CME TERM SOFR + 1.43%), 2.88%, 10/30/2030 (c) (e) | | |
(SOFR + 2.53%), 3.07%, 4/30/2041 (c) | | |
| | |
| | |
Western Alliance Bancorp (3-MONTH CME TERM SOFR + 2.25%), 3.00%, 6/15/2031 (c) | | |
Westpac Banking Corp. (Australia) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (c) (d) | | |
| | |
Wintrust Financial Corp. 4.85%, 6/6/2029 | | |
| | |
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | | |
| | |
| | |
| | |
Brown-Forman Corp. 3.50%, 4/15/2025 | | |
| | |
| | |
| | |
| | |
| | |
Constellation Brands, Inc. 3.60%, 2/15/2028 | | |
Diageo Capital plc (United Kingdom) 1.38%, 9/29/2025 | | |
Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050 | | |
Keurig Dr. Pepper, Inc. 3.95%, 4/15/2029 | | |
Molson Coors Beverage Co. 5.00%, 5/1/2042 | | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Biogen, Inc. 2.25%, 5/1/2030 | | |
| | |
| | |
| | |
|
Biotechnology — continued |
| | |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | | |
| | |
|
Carrier Global Corp. 3.58%, 4/5/2050 | | |
Fortune Brands Innovations, Inc. | | |
| | |
| | |
Johnson Controls International plc 4.50%, 2/15/2047 | | |
Masco Corp. 2.00%, 2/15/2031 | | |
Owens Corning 4.30%, 7/15/2047 | | |
| | |
|
Ameriprise Financial, Inc. 3.00%, 4/2/2025 | | |
| | |
| | |
| | |
| | |
Bank of New York Mellon Corp. (The) | | |
| | |
| | |
Barings BDC, Inc. 3.30%, 11/23/2026 | | |
BGC Partners, Inc. 3.75%, 10/1/2024 | | |
BlackRock TCP Capital Corp. 2.85%, 2/9/2026 | | |
BlackRock, Inc. 2.40%, 4/30/2030 | | |
Blackstone Secured Lending Fund | | |
| | |
| | |
Cboe Global Markets, Inc. 1.63%, 12/15/2030 | | |
Charles Schwab Corp. (The) | | |
| | |
| | |
CI Financial Corp. (Canada) 3.20%, 12/17/2030 | | |
| | |
| | |
| | |
Credit Suisse USA, Inc. (Switzerland) 7.13%, 7/15/2032 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Capital Markets — continued |
Deutsche Bank AG (Germany) | | |
(SOFR + 2.16%), 2.22%, 9/18/2024 (c) | | |
| | |
(SOFR + 1.22%), 2.31%, 11/16/2027 (c) | | |
FactSet Research Systems, Inc. 2.90%, 3/1/2027 | | |
| | |
| | |
| | |
Goldman Sachs BDC, Inc. 3.75%, 2/10/2025 (e) | | |
Goldman Sachs Group, Inc. (The) | | |
| | |
| | |
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025 (c) | | |
(SOFR + 1.11%), 2.64%, 2/24/2028 (c) | | |
(ICE LIBOR USD 3 Month + 1.16%), 3.81%, 4/23/2029 (c) | | |
(SOFR + 1.25%), 2.38%, 7/21/2032 (c) | | |
(ICE LIBOR USD 3 Month + 1.43%), 4.41%, 4/23/2039 (c) | | |
(SOFR + 1.51%), 3.21%, 4/22/2042 (c) | | |
Intercontinental Exchange, Inc. | | |
| | |
| | |
Janus Henderson US Holdings, Inc. 4.88%, 8/1/2025 | | |
Lazard Group LLC 3.75%, 2/13/2025 | | |
Moody's Corp. 3.10%, 11/29/2061 | | |
| | |
(SOFR + 0.46%), 5.02%, 1/25/2024 (c) | | |
(SOFR + 1.99%), 2.19%, 4/28/2026 (c) | | |
(SOFR + 1.14%), 2.70%, 1/22/2031 (c) | | |
(SOFR + 3.12%), 3.62%, 4/1/2031 (c) | | |
(SOFR + 1.03%), 1.79%, 2/13/2032 (c) | | |
(SOFR + 1.02%), 1.93%, 4/28/2032 (c) | | |
(SOFR + 1.36%), 2.48%, 9/16/2036 (c) | | |
| | |
(SOFR + 4.84%), 5.60%, 3/24/2051 (c) | | |
(SOFR + 1.43%), 2.80%, 1/25/2052 (c) | | |
Morgan Stanley Direct Lending Fund 4.50%, 2/11/2027 | | |
| | |
| | |
| | |
|
Capital Markets — continued |
| | |
Nomura Holdings, Inc. (Japan) 2.61%, 7/14/2031 | | |
Owl Rock Capital Corp. 2.63%, 1/15/2027 | | |
Owl Rock Capital Corp. III 3.13%, 4/13/2027 | | |
OWL Rock Core Income Corp. 3.13%, 9/23/2026 | | |
Owl Rock Technology Finance Corp. 2.50%, 1/15/2027 | | |
Prospect Capital Corp. 3.36%, 11/15/2026 | | |
Raymond James Financial, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
(SOFR + 0.94%), 2.35%, 11/1/2025 (c) | | |
(SOFR + 1.57%), 4.82%, 1/26/2034 (c) | | |
(SOFR + 1.49%), 3.03%, 11/1/2034 (c) | | |
| | |
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|
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| | |
Cabot Corp. 4.00%, 7/1/2029 | | |
CF Industries, Inc. 5.38%, 3/15/2044 | | |
| | |
| | |
| | |
Ecolab, Inc. 2.13%, 8/15/2050 | | |
EI du Pont de Nemours and Co. 1.70%, 7/15/2025 | | |
FMC Corp. 3.45%, 10/1/2029 | | |
Huntsman International LLC 4.50%, 5/1/2029 | | |
International Flavors & Fragrances, Inc. 4.38%, 6/1/2047 | | |
LYB International Finance III LLC | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
NewMarket Corp. 2.70%, 3/18/2031 | | |
| | |
| | |
| | |
Sherwin-Williams Co. (The) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Commercial Services & Supplies — 0.1% |
California Endowment (The) Series 2021, 2.50%, 4/1/2051 | | |
Ford Foundation (The) Series 2020, 2.82%, 6/1/2070 | | |
Rockefeller Foundation (The) Series 2020, 2.49%, 10/1/2050 | | |
Waste Connections, Inc. 4.20%, 1/15/2033 (d) | | |
| | |
| | |
| | |
| | |
| | |
Communications Equipment — 0.2% |
| | |
| | |
| | |
| | |
| | |
Construction & Engineering — 0.0% ^ |
Quanta Services, Inc. 2.35%, 1/15/2032 | | |
Valmont Industries, Inc. 5.25%, 10/1/2054 | | |
| | |
Construction Materials — 0.0% ^ |
Eagle Materials, Inc. 2.50%, 7/1/2031 | | |
Vulcan Materials Co. 4.70%, 3/1/2048 | | |
| | |
|
AerCap Ireland Capital DAC (Ireland) | | |
| | |
| | |
| | |
|
Consumer Finance — continued |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
American Honda Finance Corp. 1.80%, 1/13/2031 | | |
Capital One Financial Corp. 3.75%, 7/28/2026 | | |
Caterpillar Financial Services Corp. 0.80%, 11/13/2025 | | |
Discover Financial Services | | |
| | |
| | |
John Deere Capital Corp. 4.75%, 1/20/2028 | | |
PACCAR Financial Corp. 3.55%, 8/11/2025 | | |
Synchrony Financial 4.50%, 7/23/2025 | | |
Toyota Motor Credit Corp. | | |
| | |
| | |
| | |
Containers & Packaging — 0.1% |
AptarGroup, Inc. 3.60%, 3/15/2032 | | |
Avery Dennison Corp. 4.88%, 12/6/2028 | | |
International Paper Co. 5.15%, 5/15/2046 | | |
Packaging Corp. of America 3.00%, 12/15/2029 | | |
Sonoco Products Co. 3.13%, 5/1/2030 | | |
WestRock MWV LLC 7.95%, 2/15/2031 | | |
| | |
Diversified Consumer Services — 0.2% |
American University (The) Series 2019, 3.67%, 4/1/2049 | | |
Brown University Series A, 2.92%, 9/1/2050 | | |
California Institute of Technology 4.70%, 11/1/2111 | | |
Case Western Reserve University Series 22-C, 5.41%, 6/1/2122 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Diversified Consumer Services — continued |
Claremont Mckenna College 3.78%, 1/1/2122 | | |
Duke University Series 2020, 2.68%, 10/1/2044 | | |
Emory University Series 2020, 2.14%, 9/1/2030 | | |
George Washington University (The) Series 2018, 4.13%, 9/15/2048 | | |
Georgetown University (The) | | |
Series B, 4.32%, 4/1/2049 | | |
Series 20A, 2.94%, 4/1/2050 | | |
Howard University Series 22A, 5.21%, 10/1/2052 | | |
Johns Hopkins University Series 2013, 4.08%, 7/1/2053 | | |
Massachusetts Institute of Technology Series F, 2.99%, 7/1/2050 | | |
Northeastern University Series 2020, 2.89%, 10/1/2050 | | |
Northwestern University 4.64%, 12/1/2044 | | |
President and Fellows of Harvard College 3.15%, 7/15/2046 | | |
Thomas Jefferson University 3.85%, 11/1/2057 | | |
Trustees of Boston College 3.13%, 7/1/2052 | | |
Trustees of Boston University Series CC, 4.06%, 10/1/2048 | | |
Trustees of Princeton University (The) Series 2020, 2.52%, 7/1/2050 | | |
Trustees of the University of Pennsylvania (The) 3.61%, 2/15/2119 | | |
University of Chicago (The) | | |
Series 20B, 2.76%, 4/1/2045 | | |
Series C, 2.55%, 4/1/2050 | | |
University of Miami Series 2022, 4.06%, 4/1/2052 | | |
University of Notre Dame du Lac Series 2015, 3.44%, 2/15/2045 | | |
University of Southern California 5.25%, 10/1/2111 | | |
Washington University (The) Series 2022, 3.52%, 4/15/2054 | | |
| | |
|
Diversified Consumer Services — continued |
William Marsh Rice University 3.77%, 5/15/2055 | | |
Yale University Series 2020, 2.40%, 4/15/2050 | | |
| | |
Diversified Financial Services — 0.2% |
Berkshire Hathaway, Inc. 4.50%, 2/11/2043 | | |
Block Financial LLC 3.88%, 8/15/2030 | | |
Corebridge Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.87%, 12/15/2052 (c) (f) | | |
Equitable Holdings, Inc. 4.35%, 4/20/2028 | | |
Jackson Financial, Inc. 4.00%, 11/23/2051 | | |
National Rural Utilities Cooperative Finance Corp. | | |
Series D, 1.00%, 10/18/2024 | | |
| | |
Shell International Finance BV (Netherlands) 6.38%, 12/15/2038 | | |
Voya Financial, Inc. 5.70%, 7/15/2043 | | |
| | |
Diversified Telecommunication Services — 0.7% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Bell Canada (The) (Canada) Series US-5, 2.15%, 2/15/2032 | | |
British Telecommunications plc (United Kingdom) 9.62%, 12/15/2030 (b) | | |
Deutsche Telekom International Finance BV (Germany) 9.25%, 6/1/2032 | | |
Koninklijke KPN NV (Netherlands) 8.38%, 10/1/2030 | | |
Orange SA (France) 5.38%, 1/13/2042 | | |
Telefonica Emisiones SA (Spain) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Diversified Telecommunication Services — continued |
| | |
TELUS Corp. (Canada) 3.40%, 5/13/2032 | | |
Verizon Communications, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
Electric Utilities — 1.4% |
Alabama Power Co. 3.75%, 3/1/2045 | | |
Arizona Public Service Co. 3.50%, 12/1/2049 | | |
CenterPoint Energy Houston Electric LLC Series AG, 3.00%, 3/1/2032 | | |
Cleco Corporate Holdings LLC 3.74%, 5/1/2026 (b) | | |
Cleveland Electric Illuminating Co. (The) 5.95%, 12/15/2036 | | |
Connecticut Light and Power Co. (The) 5.25%, 1/15/2053 | | |
Dayton Power & Light Co. (The) 3.95%, 6/15/2049 | | |
Duke Energy Carolinas LLC 3.75%, 6/1/2045 | | |
Duke Energy Corp. 2.45%, 6/1/2030 | | |
Duke Energy Florida LLC 6.40%, 6/15/2038 | | |
Emera US Finance LP (Canada) 2.64%, 6/15/2031 | | |
Enel Americas SA (Chile) 4.00%, 10/25/2026 (e) | | |
Enel Chile SA (Chile) 4.88%, 6/12/2028 | | |
Entergy Mississippi LLC 3.50%, 6/1/2051 | | |
Evergy, Inc. 2.90%, 9/15/2029 | | |
| | |
| | |
| | |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | | |
Georgia Power Co. Series A, 2.20%, 9/15/2024 | | |
Hydro-Quebec (Canada) 8.50%, 12/1/2029 | | |
Iberdrola International BV (Spain) 5.81%, 3/15/2025 | | |
Idaho Power Co. Series K, 4.20%, 3/1/2048 | | |
| | |
|
Electric Utilities — continued |
Interstate Power and Light Co. 3.50%, 9/30/2049 | | |
John Sevier Combined Cycle Generation LLC 4.63%, 1/15/2042 | | |
National Grid USA 5.80%, 4/1/2035 | | |
Nevada Power Co. Series EE, 3.13%, 8/1/2050 | | |
NextEra Energy Capital Holdings, Inc. | | |
| | |
| | |
Oklahoma Gas and Electric Co. | | |
| | |
| | |
Oncor Electric Delivery Co. LLC | | |
| | |
| | |
Pacific Gas and Electric Co. | | |
| | |
| | |
| | |
PacifiCorp 3.30%, 3/15/2051 | | |
PG&E Wildfire Recovery Funding LLC Series A-4, 4.45%, 12/1/2047 | | |
PPL Electric Utilities Corp. 4.15%, 10/1/2045 | | |
Public Service Co. of Colorado Series 36, 2.70%, 1/15/2051 | | |
Public Service Electric and Gas Co. | | |
| | |
| | |
Southern California Edison Co. Series B, 4.88%, 3/1/2049 | | |
Southern Co. (The) Series A, 3.70%, 4/30/2030 | | |
Southwestern Electric Power Co. Series J, 3.90%, 4/1/2045 | | |
Tampa Electric Co. 4.35%, 5/15/2044 | | |
Tucson Electric Power Co. | | |
| | |
| | |
Union Electric Co. 3.90%, 9/15/2042 | | |
Virginia Electric and Power Co. Series B, 3.80%, 9/15/2047 | | |
Wisconsin Electric Power Co. 4.30%, 10/15/2048 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Electrical Equipment — 0.1% |
Acuity Brands Lighting, Inc. 2.15%, 12/15/2030 | | |
Eaton Corp. 4.15%, 3/15/2033 | | |
Hubbell, Inc. 3.15%, 8/15/2027 | | |
Regal Rexnord Corp. 6.40%, 4/15/2033 (f) | | |
Rockwell Automation, Inc. 4.20%, 3/1/2049 | | |
| | |
Electronic Equipment, Instruments & Components — 0.2% |
Allegion US Holding Co., Inc. 3.55%, 10/1/2027 | | |
| | |
| | |
| | |
Arrow Electronics, Inc. 2.95%, 2/15/2032 | | |
Avnet, Inc. 4.63%, 4/15/2026 | | |
| | |
Corning, Inc. 4.38%, 11/15/2057 | | |
TD SYNNEX Corp. 2.38%, 8/9/2028 | | |
Teledyne Technologies, Inc. 2.75%, 4/1/2031 | | |
Tyco Electronics Group SA | | |
| | |
| | |
Vontier Corp. 1.80%, 4/1/2026 | | |
| | |
Energy Equipment & Services — 0.1% |
Halliburton Co. 4.85%, 11/15/2035 | | |
Helmerich & Payne, Inc. 2.90%, 9/29/2031 | | |
NOV, Inc. 3.60%, 12/1/2029 | | |
| | |
|
Activision Blizzard, Inc. | | |
| | |
| | |
| | |
| | |
| | |
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027 | | |
TWDC Enterprises 18 Corp. 3.00%, 7/30/2046 | | |
| | |
|
Entertainment — continued |
| | |
| | |
| | |
| | |
Equity Real Estate Investment Trusts (REITs) — 0.9% |
Agree LP 4.80%, 10/1/2032 | | |
Alexandria Real Estate Equities, Inc. 4.00%, 2/1/2050 | | |
American Assets Trust LP 3.38%, 2/1/2031 | | |
American Homes 4 Rent LP 4.90%, 2/15/2029 | | |
| | |
| | |
| | |
AvalonBay Communities, Inc. 2.30%, 3/1/2030 | | |
Brandywine Operating Partnership LP 7.55%, 3/15/2028 (e) | | |
Brixmor Operating Partnership LP 4.13%, 5/15/2029 | | |
Broadstone Net Lease LLC 2.60%, 9/15/2031 | | |
Camden Property Trust 4.10%, 10/15/2028 | | |
Crown Castle, Inc. 3.10%, 11/15/2029 | | |
CubeSmart LP 2.00%, 2/15/2031 | | |
EPR Properties 4.95%, 4/15/2028 | | |
| | |
| | |
| | |
| | |
| | |
| | |
ERP Operating LP 4.15%, 12/1/2028 | | |
Essex Portfolio LP 4.50%, 3/15/2048 | | |
Extra Space Storage LP 3.90%, 4/1/2029 | | |
Federal Realty Investment Trust 3.20%, 6/15/2029 | | |
GLP Capital LP 5.75%, 6/1/2028 | | |
Healthpeak Properties Interim, Inc. | | |
| | |
| | |
Highwoods Realty LP 4.13%, 3/15/2028 | | |
Host Hotels & Resorts LP Series J, 2.90%, 12/15/2031 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Equity Real Estate Investment Trusts (REITs) — continued |
Hudson Pacific Properties LP 3.25%, 1/15/2030 | | |
Invitation Homes Operating Partnership LP��2.00%, 8/15/2031 | | |
Kilroy Realty LP 2.65%, 11/15/2033 | | |
Kimco Realty OP LLC 4.60%, 2/1/2033 | | |
Kite Realty Group LP 4.00%, 10/1/2026 | | |
Life Storage LP 2.20%, 10/15/2030 | | |
National Health Investors, Inc. 3.00%, 2/1/2031 | | |
National Retail Properties, Inc. 3.50%, 4/15/2051 | | |
Omega Healthcare Investors, Inc. | | |
| | |
| | |
Phillips Edison Grocery Center Operating Partnership I LP 2.63%, 11/15/2031 | | |
Physicians Realty LP 4.30%, 3/15/2027 | | |
Prologis LP 3.05%, 3/1/2050 | | |
Rayonier LP 2.75%, 5/17/2031 | | |
Regency Centers LP 2.95%, 9/15/2029 | | |
Sabra Health Care LP 5.13%, 8/15/2026 | | |
| | |
| | |
| | |
SITE Centers Corp. 4.25%, 2/1/2026 | | |
Spirit Realty LP 3.20%, 1/15/2027 | | |
STORE Capital Corp. 4.50%, 3/15/2028 | | |
Sun Communities Operating LP 4.20%, 4/15/2032 | | |
Tanger Properties LP 3.13%, 9/1/2026 | | |
UDR, Inc. 3.00%, 8/15/2031 | | |
Ventas Realty LP 5.70%, 9/30/2043 | | |
VICI Properties LP 5.13%, 5/15/2032 | | |
Vornado Realty LP 2.15%, 6/1/2026 | | |
| | |
| | |
| | |
Weyerhaeuser Co. 3.38%, 3/9/2033 | | |
| | |
Food & Staples Retailing — 0.2% |
| | |
| | |
| | |
| | |
| | |
|
Food & Staples Retailing — continued |
| | |
Kroger Co. (The) 5.40%, 7/15/2040 | | |
Sysco Corp. 3.15%, 12/14/2051 | | |
Walgreens Boots Alliance, Inc. 3.20%, 4/15/2030 (e) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Archer-Daniels-Midland Co. 4.54%, 3/26/2042 | | |
Bunge Ltd. Finance Corp. 3.75%, 9/25/2027 | | |
Campbell Soup Co. 4.80%, 3/15/2048 | | |
Conagra Brands, Inc. 5.30%, 11/1/2038 | | |
Flowers Foods, Inc. 2.40%, 3/15/2031 | | |
Hormel Foods Corp. 1.70%, 6/3/2028 | | |
Ingredion, Inc. 2.90%, 6/1/2030 | | |
J M Smucker Co. (The) 2.38%, 3/15/2030 | | |
JBS USA LUX SA 5.75%, 4/1/2033 (f) | | |
Kellogg Co. 4.30%, 5/15/2028 | | |
Kraft Heinz Foods Co. 6.50%, 2/9/2040 | | |
McCormick & Co., Inc. 2.50%, 4/15/2030 | | |
Mead Johnson Nutrition Co. (United Kingdom) 5.90%, 11/1/2039 | | |
Tyson Foods, Inc. 5.15%, 8/15/2044 | | |
Unilever Capital Corp. (United Kingdom) 2.90%, 5/5/2027 | | |
| | |
|
Atmos Energy Corp. 1.50%, 1/15/2031 | | |
CenterPoint Energy Resources Corp. 5.85%, 1/15/2041 | | |
National Fuel Gas Co. 5.20%, 7/15/2025 | | |
Southern California Gas Co. Series VV, 4.30%, 1/15/2049 | | |
Southwest Gas Corp. 3.18%, 8/15/2051 | | |
Spire Missouri, Inc. 3.30%, 6/1/2051 | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Health Care Equipment & Supplies — 0.2% |
| | |
| | |
| | |
| | |
Baxter International, Inc. | | |
| | |
| | |
DENTSPLY SIRONA, Inc. 3.25%, 6/1/2030 | | |
Edwards Lifesciences Corp. 4.30%, 6/15/2028 | | |
Koninklijke Philips NV (Netherlands) 6.88%, 3/11/2038 | | |
Medtronic, Inc. 4.00%, 4/1/2043 (e) | | |
Smith & Nephew plc (United Kingdom) 2.03%, 10/14/2030 | | |
STERIS Irish FinCo. UnLtd. Co. 2.70%, 3/15/2031 | | |
Zimmer Biomet Holdings, Inc. 5.75%, 11/30/2039 | | |
| | |
Health Care Providers & Services — 1.3% |
AdventHealth Obligated Group Series E, 2.80%, 11/15/2051 | | |
Adventist Health System 2.95%, 3/1/2029 | | |
Advocate Health & Hospitals Corp. Series 2020, 2.21%, 6/15/2030 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Baptist Health South Florida Obligated Group Series 2021, 3.12%, 11/15/2071 | | |
Baptist Healthcare System Obligated Group Series 20B, 3.54%, 8/15/2050 | | |
BayCare Health System, Inc. Series 2020, 3.83%, 11/15/2050 | | |
Baylor Scott & White Holdings 3.97%, 11/15/2046 | | |
Beth Israel Lahey Health, Inc. Series L, 3.08%, 7/1/2051 | | |
BHSH System Obligated Group Series 19A, 3.49%, 7/15/2049 | | |
| | |
|
Health Care Providers & Services — continued |
Bon Secours Mercy Health, Inc. Series 20-2, 3.21%, 6/1/2050 | | |
| | |
| | |
| | |
Catholic Health Services of Long Island Obligated Group Series 2020, 3.37%, 7/1/2050 | | |
Cedars-Sinai Health System Series 2021, 2.29%, 8/15/2031 | | |
Centene Corp. 3.38%, 2/15/2030 | | |
Children's Health System of Texas 2.51%, 8/15/2050 | | |
Children's Hospital Series 2020, 2.93%, 7/15/2050 | | |
Children's Hospital Corp. (The) Series 2020, 2.59%, 2/1/2050 | | |
Children's Hospital Medical Center 4.27%, 5/15/2044 | | |
Children's Hospital of Philadelphia (The) Series 2020, 2.70%, 7/1/2050 | | |
CHRISTUS Health Series C, 4.34%, 7/1/2028 | | |
Cigna Group (The) 3.40%, 3/15/2051 | | |
Cleveland Clinic Foundation (The) 4.86%, 1/1/2114 | | |
CommonSpirit Health 2.78%, 10/1/2030 | | |
Community Health Network, Inc. Series 20-A, 3.10%, 5/1/2050 | | |
Cottage Health Obligated Group Series 2020, 3.30%, 11/1/2049 | | |
| | |
| | |
| | |
| | |
| | |
Dartmouth-Hitchcock Health Series B, 4.18%, 8/1/2048 | | |
Duke University Health System, Inc. Series 2017, 3.92%, 6/1/2047 | | |
| | |
| | |
| | |
| | |
| | |
Franciscan Missionaries of Our Lady Health System, Inc. Series B, 3.91%, 7/1/2049 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Health Care Providers & Services — continued |
Fred Hutchinson Cancer Center Series 2022, 4.97%, 1/1/2052 | | |
Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041 | | |
Hartford HealthCare Corp. 3.45%, 7/1/2054 | | |
| | |
| | |
| | |
Hoag Memorial Hospital Presbyterian 3.80%, 7/15/2052 | | |
Humana, Inc. 4.80%, 3/15/2047 | | |
IHC Health Services, Inc. 4.13%, 5/15/2048 | | |
Inova Health System Foundation 4.07%, 5/15/2052 | | |
Integris Baptist Medical Center, Inc. Series A, 3.88%, 8/15/2050 | | |
Iowa Health System Series 2020, 3.67%, 2/15/2050 | | |
Johns Hopkins Health System Corp. (The) 3.84%, 5/15/2046 | | |
Kaiser Foundation Hospitals 4.15%, 5/1/2047 | | |
Laboratory Corp. of America Holdings | | |
| | |
| | |
Mass General Brigham, Inc. Series 2020, 3.19%, 7/1/2049 | | |
McLaren Health Care Corp. Series A, 4.39%, 5/15/2048 | | |
MedStar Health, Inc. Series 20A, 3.63%, 8/15/2049 | | |
Memorial Health Services 3.45%, 11/1/2049 | | |
Memorial Sloan-Kettering Cancer Center 5.00%, 7/1/2042 | | |
Methodist Hospital (The) Series 20A, 2.71%, 12/1/2050 | | |
Montefiore Obligated Group Series 18-C, 5.25%, 11/1/2048 | | |
Mount Nittany Medical Center Obligated Group Series 2022, 3.80%, 11/15/2052 | | |
MultiCare Health System 2.80%, 8/15/2050 | | |
MyMichigan Health Series 2020, 3.41%, 6/1/2050 | | |
| | |
|
Health Care Providers & Services — continued |
Nationwide Children's Hospital, Inc. 4.56%, 11/1/2052 | | |
New York and Presbyterian Hospital (The) | | |
| | |
| | |
Series 2019, 3.95%, 8/1/2119 | | |
Northwell Healthcare, Inc. 4.26%, 11/1/2047 | | |
Northwestern Memorial Healthcare Obligated Group Series 2021, 2.63%, 7/15/2051 (e) | | |
Novant Health, Inc. 2.64%, 11/1/2036 | | |
NY Society for Relief of Ruptured & Crippled Maintaining Hosp Special Surgery Series 2020, 2.67%, 10/1/2050 | | |
Ochsner LSU Health System of North Louisiana Series 2021, 2.51%, 5/15/2031 | | |
OhioHealth Corp. 2.83%, 11/15/2041 | | |
Piedmont Healthcare, Inc. Series 2032, 2.04%, 1/1/2032 | | |
Presbyterian Healthcare Services 4.88%, 8/1/2052 | | |
Queen's Health Systems (The) 4.81%, 7/1/2052 | | |
Rady Children's Hospital-San Diego Series 21A, 3.15%, 8/15/2051 | | |
Rush Obligated Group Series 2020, 3.92%, 11/15/2029 | | |
Seattle Children's Hospital Series 2021, 2.72%, 10/1/2050 | | |
Sentara Healthcare Series 2021, 2.93%, 11/1/2051 | | |
Sharp HealthCare Series 20B, 2.68%, 8/1/2050 | | |
SSM Health Care Corp. Series A, 3.82%, 6/1/2027 | | |
Stanford Health Care 3.03%, 8/15/2051 | | |
Summa Health 3.51%, 11/15/2051 | | |
Sutter Health Series 20A, 2.29%, 8/15/2030 | | |
Toledo Hospital (The) 5.75%, 11/15/2038 | | |
Trinity Health Corp. Series 2021, 2.63%, 12/1/2040 | | |
UMass Memorial Health Care Obligated Group 5.36%, 7/1/2052 | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Health Care Providers & Services — continued |
| | |
| | |
| | |
Universal Health Services, Inc. 2.65%, 10/15/2030 | | |
WakeMed Series A, 3.29%, 10/1/2052 | | |
West Virginia United Health System Obligated Group Series 2020, 3.13%, 6/1/2050 | | |
Yale-New Haven Health Services Corp. Series 2020, 2.50%, 7/1/2050 | | |
| | |
Hotels, Restaurants & Leisure — 0.2% |
Booking Holdings, Inc. 3.55%, 3/15/2028 | | |
Choice Hotels International, Inc. 3.70%, 1/15/2031 | | |
Expedia Group, Inc. 3.25%, 2/15/2030 | | |
Hyatt Hotels Corp. 6.00%, 4/23/2030 (b) | | |
| | |
| | |
| | |
Starbucks Corp. 3.00%, 2/14/2032 | | |
| | |
Household Durables — 0.1% |
Leggett & Platt, Inc. 4.40%, 3/15/2029 | | |
MDC Holdings, Inc. 3.85%, 1/15/2030 | | |
Mohawk Industries, Inc. 3.63%, 5/15/2030 | | |
NVR, Inc. 3.00%, 5/15/2030 | | |
PulteGroup, Inc. 7.88%, 6/15/2032 | | |
Toll Brothers Finance Corp. | | |
| | |
| | |
| | |
Household Products — 0.1% |
Church & Dwight Co., Inc. 3.95%, 8/1/2047 | | |
Clorox Co. (The) 4.40%, 5/1/2029 | | |
Colgate-Palmolive Co. 3.25%, 8/15/2032 (e) | | |
Kimberly-Clark Corp. 5.30%, 3/1/2041 | | |
Procter & Gamble Co. (The) | | |
| | |
| | |
| | |
| | |
|
Independent Power and Renewable Electricity Producers — 0.0% ^ |
Constellation Energy Generation LLC | | |
| | |
| | |
Enel Generacion Chile SA (Chile) 4.25%, 4/15/2024 | | |
Oglethorpe Power Corp. 3.75%, 8/1/2050 | | |
| | |
Industrial Conglomerates — 0.1% |
| | |
| | |
| | |
GE Capital Funding LLC 4.55%, 5/15/2032 | | |
Honeywell International, Inc. 5.00%, 2/15/2033 | | |
| | |
|
Alleghany Corp. 3.63%, 5/15/2030 | | |
| | |
| | |
| | |
American Equity Investment Life Holding Co. 5.00%, 6/15/2027 | | |
American International Group, Inc. 3.88%, 1/15/2035 | | |
Aon Global Ltd. 4.75%, 5/15/2045 | | |
Arch Capital Group Ltd. 3.64%, 6/30/2050 | | |
Arthur J Gallagher & Co. 2.40%, 11/9/2031 | | |
Assurant, Inc. 2.65%, 1/15/2032 | | |
Assured Guaranty US Holdings, Inc. 3.60%, 9/15/2051 | | |
Athene Holding Ltd. 3.50%, 1/15/2031 | | |
AXIS Specialty Finance LLC (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.19%), 4.90%, 1/15/2040 (c) (d) | | |
Berkshire Hathaway Finance Corp. 2.50%, 1/15/2051 | | |
Brighthouse Financial, Inc. 5.63%, 5/15/2030 | | |
Brown & Brown, Inc. 4.50%, 3/15/2029 | | |
| | |
| | |
| | |
CNA Financial Corp. 3.45%, 8/15/2027 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
CNO Financial Group, Inc. 5.25%, 5/30/2029 | | |
F&G Annuities & Life, Inc. 7.40%, 1/13/2028 (f) | | |
Fidelity National Financial, Inc. 3.40%, 6/15/2030 | | |
First American Financial Corp. 4.00%, 5/15/2030 | | |
Globe Life, Inc. 2.15%, 8/15/2030 | | |
Hartford Financial Services Group, Inc. (The) 2.80%, 8/19/2029 | | |
Kemper Corp. 3.80%, 2/23/2032 | | |
| | |
| | |
| | |
Loews Corp. 3.75%, 4/1/2026 | | |
Manulife Financial Corp. (Canada) | | |
(USD ICE Swap Rate 5 Year + 1.65%), 4.06%, 2/24/2032 (c) | | |
| | |
Markel Corp. 4.30%, 11/1/2047 | | |
Marsh & McLennan Cos., Inc. 2.25%, 11/15/2030 | | |
Mercury General Corp. 4.40%, 3/15/2027 | | |
| | |
| | |
| | |
Nationwide Financial Services, Inc. 6.75%, 5/15/2037 | | |
Primerica, Inc. 2.80%, 11/19/2031 | | |
Progressive Corp. (The) 3.20%, 3/26/2030 | | |
Prudential Financial, Inc. | | |
| | |
| | |
Selective Insurance Group, Inc. 5.38%, 3/1/2049 | | |
Stewart Information Services Corp. 3.60%, 11/15/2031 | | |
Travelers Cos., Inc. (The) 4.60%, 8/1/2043 | | |
W R Berkley Corp. 3.15%, 9/30/2061 | | |
Willis North America, Inc. 3.88%, 9/15/2049 | | |
| | |
Interactive Media & Services — 0.2% |
| | |
| | |
| | |
|
Interactive Media & Services — continued |
| | |
Meta Platforms, Inc. 4.45%, 8/15/2052 | | |
| | |
Internet & Direct Marketing Retail — 0.3% |
Alibaba Group Holding Ltd. (China) | | |
| | |
| | |
| | |
| | |
| | |
| | |
eBay, Inc. 4.00%, 7/15/2042 | | |
| | |
|
Amdocs Ltd. 2.54%, 6/15/2030 | | |
Broadridge Financial Solutions, Inc. 2.60%, 5/1/2031 | | |
Fidelity National Information Services, Inc. 4.50%, 8/15/2046 | | |
| | |
| | |
| | |
International Business Machines Corp. | | |
| | |
| | |
Kyndryl Holdings, Inc. 2.70%, 10/15/2028 | | |
| | |
| | |
| | |
| | |
| | |
VeriSign, Inc. 2.70%, 6/15/2031 | | |
| | |
Leisure Products — 0.0% ^ |
Brunswick Corp. 2.40%, 8/18/2031 | | |
Hasbro, Inc. 3.90%, 11/19/2029 | | |
| | |
Life Sciences Tools & Services — 0.0% ^ |
Agilent Technologies, Inc. 2.30%, 3/12/2031 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Life Sciences Tools & Services — continued |
PerkinElmer, Inc. 2.55%, 3/15/2031 | | |
Thermo Fisher Scientific, Inc. 4.10%, 8/15/2047 | | |
| | |
|
Crane Holdings Co. 4.20%, 3/15/2048 | | |
Deere & Co. 2.88%, 9/7/2049 | | |
Dover Corp. 3.15%, 11/15/2025 | | |
IDEX Corp. 3.00%, 5/1/2030 | | |
Illinois Tool Works, Inc. 4.88%, 9/15/2041 | | |
Kennametal, Inc. 2.80%, 3/1/2031 | | |
nVent Finance SARL (United Kingdom) 2.75%, 11/15/2031 | | |
Oshkosh Corp. 3.10%, 3/1/2030 | | |
Parker-Hannifin Corp. 6.25%, 5/15/2038 | | |
Snap-on, Inc. 3.10%, 5/1/2050 | | |
Stanley Black & Decker, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.66%), 4.00%, 3/15/2060 (c) | | |
Timken Co. (The) 4.50%, 12/15/2028 | | |
Xylem, Inc. 4.38%, 11/1/2046 | | |
| | |
|
Kirby Corp. 4.20%, 3/1/2028 | | |
|
Charter Communications Operating LLC | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Discovery Communications LLC | | |
| | |
| | |
Fox Corp. 4.71%, 1/25/2029 | | |
| | |
|
|
Interpublic Group of Cos., Inc. (The) | | |
| | |
| | |
Paramount Global 4.20%, 5/19/2032 (e) | | |
Time Warner Cable LLC 4.50%, 9/15/2042 | | |
WPP Finance 2010 (United Kingdom) 3.75%, 9/19/2024 | | |
| | |
|
Barrick Gold Corp. (Canada) 6.45%, 10/15/2035 | | |
Freeport-McMoRan, Inc. 4.38%, 8/1/2028 | | |
| | |
| | |
| | |
Nucor Corp. 2.70%, 6/1/2030 | | |
Rio Tinto Finance USA plc (Australia) 4.75%, 3/22/2042 | | |
Southern Copper Corp. (Mexico) 3.88%, 4/23/2025 | | |
Steel Dynamics, Inc. 3.45%, 4/15/2030 | | |
Teck Resources Ltd. (Canada) 5.40%, 2/1/2043 | | |
Vale Overseas Ltd. (Brazil) | | |
| | |
| | |
Yamana Gold, Inc. (Canada) 2.63%, 8/15/2031 | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Dollar Tree, Inc. 2.65%, 12/1/2031 | | |
| | |
| | |
| | |
| | |
|
Avista Corp. 4.00%, 4/1/2052 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Multi-Utilities — continued |
Berkshire Hathaway Energy Co. 4.50%, 2/1/2045 | | |
Black Hills Corp. 2.50%, 6/15/2030 | | |
Consolidated Edison Co. of New York, Inc. | | |
| | |
| | |
Series C, 3.00%, 12/1/2060 | | |
Consolidated Edison, Inc. Series A, 0.65%, 12/1/2023 | | |
| | |
| | |
| | |
Dominion Energy, Inc. Series C, 3.38%, 4/1/2030 | | |
DTE Energy Co. 2.95%, 3/1/2030 | | |
| | |
| | |
| | |
NorthWestern Corp. 4.18%, 11/15/2044 | | |
Puget Sound Energy, Inc. 3.25%, 9/15/2049 | | |
| | |
Oil, Gas & Consumable Fuels — 1.6% |
Boardwalk Pipelines LP 4.80%, 5/3/2029 | | |
BP Capital Markets America, Inc. 3.00%, 2/24/2050 | | |
Canadian Natural Resources Ltd. (Canada) 2.05%, 7/15/2025 | | |
Cenovus Energy, Inc. (Canada) 5.40%, 6/15/2047 | | |
Cheniere Energy Partners LP 4.00%, 3/1/2031 | | |
CNOOC Finance 2014 ULC (China) 4.25%, 4/30/2024 | | |
CNOOC Finance 2015 USA LLC (China) 3.50%, 5/5/2025 | | |
CNOOC Petroleum North America ULC (China) 5.88%, 3/10/2035 | | |
Continental Resources, Inc. 4.38%, 1/15/2028 | | |
DCP Midstream Operating LP 5.60%, 4/1/2044 | | |
Devon Energy Corp. 4.50%, 1/15/2030 | | |
Diamondback Energy, Inc. 6.25%, 3/15/2053 | | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
Eastern Gas Transmission & Storage, Inc. 4.60%, 12/15/2044 | | |
| | |
| | |
| | |
| | |
| | |
| | |
Eni USA, Inc. (Italy) 7.30%, 11/15/2027 | | |
Enterprise Products Operating LLC | | |
| | |
Series E, (ICE LIBOR USD 3 Month + 3.03%), 5.25%, 8/16/2077 (c) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Hess Corp. 7.30%, 8/15/2031 | | |
HF Sinclair Corp. 4.50%, 10/1/2030 | | |
Kinder Morgan Energy Partners LP | | |
| | |
| | |
| | |
| | |
| | |
Magellan Midstream Partners LP | | |
| | |
| | |
| | |
| | |
| | |
Marathon Petroleum Corp. 6.50%, 3/1/2041 | | |
| | |
ONEOK, Inc. 4.45%, 9/1/2049 | | |
Ovintiv, Inc. 6.50%, 8/15/2034 | | |
Phillips 66 2.15%, 12/15/2030 | | |
Phillips 66 Co. 3.75%, 3/1/2028 (f) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
Pioneer Natural Resources Co. 1.13%, 1/15/2026 | | |
Plains All American Pipeline LP 6.65%, 1/15/2037 | | |
Targa Resources Corp. 4.95%, 4/15/2052 | | |
Tosco Corp. 8.13%, 2/15/2030 | | |
TotalEnergies Capital International SA (France) 3.39%, 6/29/2060 | | |
TransCanada PipeLines Ltd. (Canada) 4.75%, 5/15/2038 | | |
Valero Energy Corp. 3.40%, 9/15/2026 | | |
Williams Cos., Inc. (The) | | |
| | |
| | |
| | |
Paper & Forest Products — 0.0% ^ |
Suzano Austria GmbH (Brazil) 6.00%, 1/15/2029 | | |
Personal Products — 0.0% ^ |
Estee Lauder Cos., Inc. (The) 4.38%, 6/15/2045 | | |
|
| | |
| | |
| | |
Eli Lilly & Co. 2.50%, 9/15/2060 | | |
GlaxoSmithKline Capital, Inc. (United Kingdom) 4.20%, 3/18/2043 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Royalty Pharma plc 2.15%, 9/2/2031 | | |
Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030 | | |
Utah Acquisition Sub, Inc. 5.25%, 6/15/2046 | | |
| | |
|
Pharmaceuticals — continued |
| | |
| | |
| | |
Wyeth LLC 5.95%, 4/1/2037 | | |
| | |
Professional Services — 0.1% |
Thomson Reuters Corp. (Canada) 3.35%, 5/15/2026 | | |
Real Estate Management & Development — 0.0% ^ |
CBRE Services, Inc. 2.50%, 4/1/2031 | | |
|
Burlington Northern Santa Fe LLC | | |
| | |
| | |
Canadian Pacific Railway Co. (Canada) 6.13%, 9/15/2115 | | |
| | |
| | |
| | |
| | |
Kansas City Southern 4.30%, 5/15/2043 | | |
| | |
| | |
| | |
Ryder System, Inc. 1.75%, 9/1/2026 | | |
Triton Container International Ltd. (Bermuda) 3.25%, 3/15/2032 | | |
Union Pacific Corp. 3.38%, 2/1/2035 | | |
| | |
Semiconductors & Semiconductor Equipment — 0.6% |
Analog Devices, Inc. 2.95%, 10/1/2051 | | |
Applied Materials, Inc. 2.75%, 6/1/2050 (e) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
KLA Corp. 3.30%, 3/1/2050 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Semiconductors & Semiconductor Equipment — continued |
| | |
| | |
| | |
NVIDIA Corp. 0.31%, 6/15/2023 | | |
| | |
| | |
| | |
Skyworks Solutions, Inc. 1.80%, 6/1/2026 (e) | | |
Texas Instruments, Inc. 2.90%, 11/3/2027 | | |
TSMC Arizona Corp. (Taiwan) 1.75%, 10/25/2026 | | |
Xilinx, Inc. 2.38%, 6/1/2030 | | |
| | |
|
Fortinet, Inc. 2.20%, 3/15/2031 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Salesforce, Inc. 2.90%, 7/15/2051 | | |
ServiceNow, Inc. 1.40%, 9/1/2030 | | |
VMware, Inc. 1.80%, 8/15/2028 | | |
Workday, Inc. 3.70%, 4/1/2029 | | |
| | |
|
Advance Auto Parts, Inc. 1.75%, 10/1/2027 | | |
AutoNation, Inc. 1.95%, 8/1/2028 | | |
AutoZone, Inc. 4.00%, 4/15/2030 | | |
| | |
| | |
| | |
Dick's Sporting Goods, Inc. 4.10%, 1/15/2052 | | |
| | |
| | |
| | |
| | |
| | |
|
Specialty Retail — continued |
| | |
| | |
| | |
O'Reilly Automotive, Inc. 3.90%, 6/1/2029 | | |
TJX Cos., Inc. (The) 3.88%, 4/15/2030 | | |
Tractor Supply Co. 1.75%, 11/1/2030 | | |
| | |
Technology Hardware, Storage & Peripherals — 0.4% |
| | |
| | |
| | |
| | |
Dell International LLC 3.38%, 12/15/2041 (f) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Textiles, Apparel & Luxury Goods — 0.1% |
| | |
| | |
| | |
PVH Corp. 4.63%, 7/10/2025 | | |
Ralph Lauren Corp. 3.75%, 9/15/2025 | | |
Tapestry, Inc. 4.13%, 7/15/2027 | | |
VF Corp. 2.80%, 4/23/2027 | | |
| | |
Thrifts & Mortgage Finance — 0.0% ^ |
Radian Group, Inc. 4.88%, 3/15/2027 | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
BAT Capital Corp. (United Kingdom) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
| | |
Philip Morris International, Inc. | | |
| | |
| | |
| | |
| | |
Trading Companies & Distributors — 0.1% |
| | |
| | |
| | |
GATX Corp. 3.50%, 6/1/2032 | | |
| | |
| | |
| | |
| | |
|
American Water Capital Corp. 6.59%, 10/15/2037 | | |
Essential Utilities, Inc. 4.28%, 5/1/2049 | | |
| | |
Wireless Telecommunication Services — 0.3% |
America Movil SAB de CV (Mexico) | | |
| | |
| | |
Rogers Communications, Inc. (Canada) | | |
| | |
| | |
| | |
| | |
| | |
Telefonica Europe BV (Spain) 8.25%, 9/15/2030 | | |
T-Mobile USA, Inc. 4.38%, 4/15/2040 | | |
Vodafone Group plc (United Kingdom) | | |
| | |
| | |
| | |
Total Corporate Bonds
(Cost $337,265,533) | | |
Commercial Mortgage-Backed Securities — 1.6% |
| | |
Series 2017-BNK4, Class ASB, 3.42%, 5/15/2050 | | |
| | |
|
Series 2019-BN16, Class A4, 4.01%, 2/15/2052 | | |
Series 2019-BN21, Class A5, 2.85%, 10/17/2052 | | |
Series 2019-BN23, Class A3, 2.92%, 12/15/2052 | | |
Series 2018-BN10, Class A5, 3.69%, 2/15/2061 | | |
Series 2018-BN10, Class AS, 3.90%, 2/15/2061 (g) | | |
Series 2019-BN19, Class A3, 3.18%, 8/15/2061 | | |
Series 2018-BN13, Class C, 4.58%, 8/15/2061 (g) | | |
Series 2019-BN22, Class A4, 2.98%, 11/15/2062 | | |
Bank of America Merrill Lynch Commercial Mortgage Trust Series 2017-BNK3, Class A4, 3.57%, 2/15/2050 | | |
BBCMS Mortgage Trust Series 2018-C2, Class A5, 4.31%, 12/15/2051 | | |
| | |
Series 2018-B1, Class A5, 3.67%, 1/15/2051 (g) | | |
Series 2018-B2, Class B, 4.27%, 2/15/2051 (g) | | |
Series 2018-B5, Class A4, 4.21%, 7/15/2051 | | |
Series 2018-B6, Class A2, 4.20%, 10/10/2051 | | |
Series 2018-B8, Class A5, 4.23%, 1/15/2052 | | |
Series 2019-B11, Class A2, 3.41%, 5/15/2052 | | |
Series 2020-B16, Class AM, 2.94%, 2/15/2053 (g) | | |
Series 2021-B31, Class A5, 2.67%, 12/15/2054 | | |
Series 2019-B13, Class A3, 2.70%, 8/15/2057 | | |
Cantor Commercial Real Estate Lending Series 2019-CF2, Class AS, 3.12%, 11/15/2052 | | |
| | |
Series 2017-CD6, Class ASB, 3.33%, 11/13/2050 | | |
Series 2017-CD6, Class AM, 3.71%, 11/13/2050 (g) | | |
Series 2018-CD7, Class A3, 4.01%, 8/15/2051 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Commercial Mortgage-Backed Securities — continued |
CFCRE Commercial Mortgage Trust | | |
Series 2017-C8, Class A4, 3.57%, 6/15/2050 | | |
Series 2016-C7, Class ASB, 3.64%, 12/10/2054 | | |
Citigroup Commercial Mortgage Trust | | |
Series 2014-GC21, Class AAB, 3.48%, 5/10/2047 | | |
Series 2014-GC23, Class B, 4.17%, 7/10/2047 (g) | | |
Series 2015-GC29, Class C, 4.14%, 4/10/2048 (g) | | |
Series 2016-C1, Class AAB, 3.00%, 5/10/2049 | | |
Series 2019-GC43, Class A4, 3.04%, 11/10/2052 | | |
Commercial Mortgage Trust | | |
Series 2013-CR7, Class A4, 3.21%, 3/10/2046 | | |
Series 2013-CR13, Class B, 4.88%, 11/10/2046 (g) | | |
Series 2014-UBS5, Class AM, 4.19%, 9/10/2047 (g) | | |
Series 2014-CR20, Class A3, 3.33%, 11/10/2047 | | |
Series 2014-UBS6, Class A4, 3.38%, 12/10/2047 | | |
Series 2015-LC19, Class A4, 3.18%, 2/10/2048 | | |
Series 2015-LC21, Class AM, 4.04%, 7/10/2048 (g) | | |
Series 2015-CR25, Class A4, 3.76%, 8/10/2048 | | |
Series 2015-PC1, Class A5, 3.90%, 7/10/2050 | | |
CSAIL Commercial Mortgage Trust | | |
Series 2015-C3, Class A4, 3.72%, 8/15/2048 | | |
Series 2016-C5, Class A5, 3.76%, 11/15/2048 | | |
Series 2019-C15, Class A4, 4.05%, 3/15/2052 | | |
DBGS Mortgage Trust Series 2018-C1, Class A4, 4.47%, 10/15/2051 | | |
DBJPM Mortgage Trust Series 2017-C6, Class A5, 3.33%, 6/10/2050 | | |
| | |
|
FHLMC, Multi-Family Structured Pass-Through Certificates | | |
Series K725, Class AM, 3.10%, 2/25/2024 (g) | | |
Series K728, Class A2, 3.06%, 8/25/2024 (g) | | |
Series K040, Class A2, 3.24%, 9/25/2024 | | |
Series K731, Class A2, 3.60%, 2/25/2025 (g) | | |
Series K733, Class A2, 3.75%, 8/25/2025 | | |
Series K051, Class A2, 3.31%, 9/25/2025 | | |
Series K734, Class A2, 3.21%, 2/25/2026 | | |
Series K735, Class A2, 2.86%, 5/25/2026 | | |
Series K057, Class A2, 2.57%, 7/25/2026 | | |
Series K063, Class A1, 3.05%, 8/25/2026 | | |
Series K072, Class A2, 3.44%, 12/25/2027 | | |
Series K084, Class A2, 3.78%, 10/25/2028 (g) | | |
Series K096, Class A2, 2.52%, 7/25/2029 | | |
Series K099, Class A2, 2.60%, 9/25/2029 | | |
Series K100, Class A2, 2.67%, 9/25/2029 | | |
Series K102, Class A2, 2.54%, 10/25/2029 | | |
Series K113, Class A2, 1.34%, 6/25/2030 | | |
Series K159, Class A2, 3.95%, 11/25/2030 (g) | | |
Series K123, Class A2, 1.62%, 12/25/2030 | | |
Series K125, Class A2, 1.85%, 1/25/2031 | | |
Series K127, Class A2, 2.11%, 1/25/2031 | | |
Series K-1512, Class A2, 2.99%, 5/25/2031 | | |
Series K156, Class A3, 3.70%, 6/25/2033 (g) | | |
Series K-1512, Class A3, 3.06%, 4/25/2034 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Commercial Mortgage-Backed Securities — continued |
Series K-1513, Class A3, 2.80%, 8/25/2034 | | |
Series K-1514, Class A2, 2.86%, 10/25/2034 | | |
Series K-1518, Class A2, 1.86%, 10/25/2035 | | |
| | |
Series 2014-M2, Class A2, 3.51%, 12/25/2023 (g) | | |
Series 2014-M3, Class A2, 3.50%, 1/25/2024 (g) | | |
Series 2017-M10, Class AV2, 2.54%, 7/25/2024 (g) | | |
Series 2017-M1, Class A2, 2.41%, 10/25/2026 (g) | | |
Series 2017-M2, Class A2, 2.81%, 2/25/2027 (g) | | |
Series 2017-M7, Class A2, 2.96%, 2/25/2027 (g) | | |
Series 2017-M12, Class A2, 3.06%, 6/25/2027 (g) | | |
Series 2018-M10, Class A2, 3.36%, 7/25/2028 (g) | | |
Series 2018-M14, Class A2, 3.58%, 8/25/2028 (g) | | |
Series 2019-M1, Class A2, 3.55%, 9/25/2028 (g) | | |
Series 2019-M22, Class A2, 2.52%, 8/25/2029 | | |
Series 2021-M2S, Class A2, 1.81%, 10/25/2031 (g) | | |
GS Mortgage Securities Trust | | |
Series 2014-GC24, Class AAB, 3.65%, 9/10/2047 | | |
Series 2014-GC24, Class AS, 4.16%, 9/10/2047 (g) | | |
Series 2015-GC28, Class A4, 3.14%, 2/10/2048 | | |
Series 2015-GC30, Class A4, 3.38%, 5/10/2050 | | |
Series 2018-GS9, Class A4, 3.99%, 3/10/2051 (g) | | |
Series 2019-GSA1, Class A4, 3.05%, 11/10/2052 | | |
JPMBB Commercial Mortgage Securities Trust | | |
Series 2013-C12, Class C, 4.11%, 7/15/2045 (g) | | |
| | |
|
Series 2015-C29, Class B, 4.12%, 5/15/2048 (g) | | |
Series 2015-C31, Class A3, 3.80%, 8/15/2048 | | |
JPMCC Commercial Mortgage Securities Trust Series 2017-JP5, Class A5, 3.72%, 3/15/2050 | | |
JPMDB Commercial Mortgage Securities Trust | | |
Series 2016-C2, Class B, 3.99%, 6/15/2049 (g) | | |
Series 2017-C5, Class B, 4.01%, 3/15/2050 (g) | | |
Morgan Stanley Bank of America Merrill Lynch Trust | | |
Series 2013-C9, Class A4, 3.10%, 5/15/2046 | | |
Series 2015-C22, Class AS, 3.56%, 4/15/2048 | | |
Series 2015-C25, Class ASB, 3.38%, 10/15/2048 | | |
Series 2015-C25, Class A5, 3.64%, 10/15/2048 | | |
Series 2016-C31, Class A5, 3.10%, 11/15/2049 | | |
Series 2016-C32, Class A4, 3.72%, 12/15/2049 | | |
Morgan Stanley Capital I Trust | | |
Series 2016-UB12, Class A3, 3.34%, 12/15/2049 | | |
Series 2017-H1, Class C, 4.28%, 6/15/2050 (g) | | |
Series 2019-L2, Class A4, 4.07%, 3/15/2052 | | |
Series 2019-L3, Class A4, 3.13%, 11/15/2052 | | |
UBS Commercial Mortgage Trust | | |
Series 2017-C2, Class A4, 3.49%, 8/15/2050 | | |
Series 2017-C4, Class ASB, 3.37%, 10/15/2050 | | |
Series 2017-C5, Class AS, 3.78%, 11/15/2050 (g) | | |
Series 2017-C7, Class AS, 4.06%, 12/15/2050 (g) | | |
Wells Fargo Commercial Mortgage Trust | | |
Series 2015-C27, Class A4, 3.19%, 2/15/2048 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Commercial Mortgage-Backed Securities — continued |
Series 2015-C28, Class A4, 3.54%, 5/15/2048 | | |
Series 2015-C29, Class A4, 3.64%, 6/15/2048 | | |
Series 2018-C45, Class A3, 3.92%, 6/15/2051 | | |
Series 2019-C51, Class A3, 3.06%, 6/15/2052 | | |
Series 2019-C53, Class A4, 3.04%, 10/15/2052 | | |
Series 2020-C55, Class A5, 2.73%, 2/15/2053 | | |
WFRBS Commercial Mortgage Trust | | |
Series 2014-C22, Class A4, 3.49%, 9/15/2057 | | |
Series 2014-C22, Class A5, 3.75%, 9/15/2057 | | |
Total Commercial Mortgage-Backed Securities
(Cost $23,529,626) | | |
Foreign Government Securities — 1.5% |
Export Development Canada 3.00%, 5/25/2027 (e) | | |
Export-Import Bank of Korea 0.75%, 9/21/2025 | | |
Hong Kong Government International Bond 1.75%, 11/24/2031 (h) | | |
Hungary Government Bond 7.63%, 3/29/2041 | | |
Italian Republic Government Bond | | |
| | |
| | |
| | |
Japan Bank for International Cooperation | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Japan International Cooperation Agency 1.00%, 7/22/2030 | | |
Oriental Republic of Uruguay | | |
| | |
| | |
| | |
|
| | |
| | |
| | |
Province of British Columbia | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
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| | |
| | |
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| | |
| | |
| | |
| | |
| | |
| | |
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| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Foreign Government Securities — continued |
Republic of Poland 5.75%, 11/16/2032 | | |
State of Israel Government Bond 2.75%, 7/3/2030 | | |
Svensk Exportkredit AB 1.75%, 12/12/2023 (e) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Total Foreign Government Securities
(Cost $21,649,172) | | |
U.S. Government Agency Securities — 1.3% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
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|
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| | |
| | |
| | |
Israel Government AID Bond (Israel)
5.50%, 9/18/2023 | | |
Tennessee Valley Authority | | |
| | |
| | |
| | |
| | |
Total U.S. Government Agency Securities
(Cost $17,688,359) | | |
|
African Development Bank (Supranational) | | |
| | |
| | |
| | |
| | |
Asian Development Bank (Supranational) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Supranational — continued |
| | |
| | |
| | |
| | |
| | |
Asian Infrastructure Investment Bank (The) (Supranational) | | |
| | |
| | |
Corp. Andina de Fomento (Supranational) | | |
| | |
| | |
Council of Europe Development Bank (Supranational)
1.38%, 2/27/2025 (e) | | |
European Investment Bank (Supranational) | | |
| | |
| | |
| | |
| | |
| | |
Inter-American Development Bank (Supranational) | | |
| | |
| | |
| | |
| | |
| | |
| | |
International Bank for Reconstruction & Development (Supranational) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Total Supranational
(Cost $17,282,021) | | |
Municipal Bonds — 0.4% (j) |
|
City of Tucson, Taxable Series 2021A, COP, AGM, 2.86%, 7/1/2047 | | |
| | |
|
|
Bay Area Toll Authority, Toll Bridge | | |
Series 2010S-1, Rev., 6.92%, 4/1/2040 | | |
Series 2009F-2, Rev., 6.26%, 4/1/2049 | | |
California State University, Systemwide Series 2021B, Rev., 2.72%, 11/1/2052 | | |
East Bay Municipal Utility District, Water System Series 2010B, Rev., 5.87%, 6/1/2040 | | |
Golden State Tobacco Securitization Corp., Enhanced Tobacco Settlement Series 2021B, Rev., 3.29%, 6/1/2042 | | |
Los Angeles Unified School District, Build America Bonds | | |
| | |
Series 2010RY, GO, 6.76%, 7/1/2034 | | |
Regents of the University of California Medical Center Pooled | | |
Series H, Rev., 6.55%, 5/15/2048 | | |
Series 2020N, Rev., 3.71%, 5/15/2120 | | |
Santa Clara Valley Transportation Authority, Measure A Sales Tax Series 2010A, Rev., 5.88%, 4/1/2032 | | |
State of California, Various Purpose | | |
| | |
| | |
| | |
|
State of Connecticut Series A, GO, 5.85%, 3/15/2032 | | |
|
Chicago O'Hare International Airport, General Airport, Senior Lien Series 2018C, Rev., 4.47%, 1/1/2049 | | |
Metropolitan Water Reclamation District of Greater Chicago GO, 5.72%, 12/1/2038 | | |
Sales Tax Securitization Corp. Series 2019A, Rev., 4.64%, 1/1/2040 | | |
State of Illinois GO, 5.10%, 6/1/2033 | | |
| | |
|
Health and Educational Facilities Authority of the State of Missouri, The Washington University Series 2017A, Rev., 3.65%, 8/15/2057 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Municipal Bonds — continued |
|
University of Nebraska Facilities Corp., Taxable Series 2019A, Rev., 3.04%, 10/1/2049 | | |
|
New Jersey Economic Development Authority, Pension Funding Series 1997A, Rev., NATL - RE, 7.43%, 2/15/2029 | | |
New Jersey Turnpike Authority Series F, Rev., 7.41%, 1/1/2040 | | |
| | |
|
Port Authority of New York and New Jersey, Consolidated | | |
Series 174, Rev., 4.46%, 10/1/2062 | | |
Series 192, Rev., 4.81%, 10/15/2065 | | |
| | |
|
American Municipal Power, Inc., Combined Hydroelectric Projects Series 2010B, Rev., 7.83%, 2/15/2041 | | |
|
Dallas Area Rapid Transit, Sales Tax, Senior Lien Series 2021-A, Rev., 2.61%, 12/1/2048 | | |
Grand Parkway Transportation Corp., System Toll Series 2020B, Rev., 3.24%, 10/1/2052 | | |
Permanent University Fund - Texas A&M University System Series B, Rev., 3.66%, 7/1/2047 | | |
State of Texas, Transportation Commission Highway Improvement Series 2010A, GO, 4.68%, 4/1/2040 | | |
State of Texas, Transportation Commission Mobility Fund Series 2009A, GO, 5.52%, 4/1/2039 | | |
Texas Private Activity Bond Surface Transportation Corp., North Tarrant Express Managed Lanes Project, Mobility Partners LLC Series 2019B, Rev., 3.92%, 12/31/2049 | | |
| | |
Total Municipal Bonds
(Cost $6,253,192) | | |
| | |
Asset-Backed Securities — 0.3% |
American Airlines Pass-Through Trust Series 2019-1, Class AA, 3.15%, 2/15/2032 | | |
American Express Credit Account Master Trust | | |
Series 2022-2, Class A, 3.39%, 5/15/2027 | | |
Series 2022-3, Class A, 3.75%, 8/15/2027 | | |
Capital One Multi-Asset Execution Trust Series 2019-A3, Class A3, 2.06%, 8/15/2028 | | |
CarMax Auto Owner Trust Series 2022-1, Class A4, 1.70%, 8/16/2027 | | |
Citibank Credit Card Issuance Trust Series 2018-A7, Class A7, 3.96%, 10/13/2030 | | |
Evergy Metro, Inc., 4.20%, 3/15/2048 | | |
Ford Credit Floorplan Master Owner Trust | | |
Series 2020-2, Class A, 1.06%, 9/15/2027 | | |
Series 2018-4, Class A, 4.06%, 11/15/2030 | | |
Synchrony Credit Card Master Note Trust Series 2018-2, Class A, 3.47%, 5/15/2026 | | |
Toyota Auto Receivables Owner Trust Series 2022-B, Class A3, 2.93%, 9/15/2026 | | |
World Omni Select Auto Trust Series 2019-A, Class D, 2.59%, 12/15/2025 | | |
Total Asset-Backed Securities
(Cost $4,134,969) | | |
| | |
Short-Term Investments — 8.2% |
Investment Companies — 7.0% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (k) (l)
(Cost $91,260,954) | | |
Investment of Cash Collateral from Securities Loaned — 1.2% |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.78% (k) (l) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Short-Term Investments — continued |
Investment of Cash Collateral from Securities Loaned — continued |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (k) (l) | | |
Total Investment of Cash Collateral from Securities Loaned
(Cost $15,781,868) | | |
Total Short-Term Investments
(Cost $107,042,822) | | |
Total Investments — 107.2%
(Cost $1,531,378,708) | | |
Liabilities in Excess of Other Assets — (7.2)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Alternative Credit Enhancement Securities |
| Insured by Assured Guaranty Municipal Corp. |
| Chicago Mercantile Exchange |
| Certificate of Participation |
| |
| |
| Federal Home Loan Mortgage Corp. |
| Federal National Mortgage Association |
| Government National Mortgage Association |
| |
| Intercontinental Exchange |
| London Interbank Offered Rate |
| Insured by National Public Finance Guarantee Corp. |
| |
| |
| Secured Overnight Financing Rate |
| Compounding index of the Secured Overnight Financing Rate |
| To Be Announced; Security is subject to delayed delivery. |
| Uniform Mortgage-Backed Securities |
| |
| Amount rounds to less than 0.1% of net assets. |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
| 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 February 28, 2023. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
| Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at February 28, 2023 is $601,964 or 0.05% of the Fund’s net assets as of February 28, 2023 . | |
| The security or a portion of this security is on loan at February 28, 2023. The total value of securities on loan at February 28, 2023 is $15,321,337. | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| 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 February 28, 2023. | |
| 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. | |
| The rate shown is the effective yield as of February 28, 2023. | |
| The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
| 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. | |
| The rate shown is the current yield as of February 28, 2023. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
(formerly known as JPMorgan High Yield Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023
| | |
|
Aerospace & Defense — 3.3% |
Bombardier, Inc. (Canada) | | |
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Maxar Technologies, Inc. 7.75%, 6/15/2027 (a) | | |
Moog, Inc. 4.25%, 12/15/2027 (a) | | |
Rolls-Royce plc (United Kingdom) 5.75%, 10/15/2027 (a) | | |
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Wesco Aircraft Holdings, Inc. | | |
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Air Freight & Logistics — 0.0% ^ |
Rand Parent LLC 8.50%, 2/15/2030 (a) | | |
|
Air Canada (Canada) 3.88%, 8/15/2026 (a) | | |
Allegiant Travel Co. 7.25%, 8/15/2027 (a) | | |
American Airlines Group, Inc. 3.75%, 3/1/2025 (a) | | |
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|
Hawaiian Brand Intellectual Property Ltd. 5.75%, 1/20/2026 (a) | | |
Spirit Loyalty Cayman Ltd. 8.00%, 9/20/2025 (a) | | |
United Airlines Holdings, Inc. 4.88%, 1/15/2025 | | |
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|
Adient Global Holdings Ltd. 4.88%, 8/15/2026 (a) | | |
Allison Transmission, Inc. 5.88%, 6/1/2029 (a) | | |
American Axle & Manufacturing, Inc. | | |
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Cooper-Standard Automotive, Inc. | | |
4.50% (PIK), 3/31/2027 (a) (b) | | |
10.63% (PIK), 5/15/2027 (a) (b) | | |
| | |
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Dealer Tire LLC 8.00%, 2/1/2028 (a) | | |
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (a) | | |
Goodyear Tire & Rubber Co. (The) | | |
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IHO Verwaltungs GmbH (Germany) 6.38% (Cash), 5/15/2029 (a) (b) | | |
ZF North America Capital, Inc. (Germany) 4.75%, 4/29/2025 (a) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
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Jaguar Land Rover Automotive plc (United Kingdom) 5.50%, 7/15/2029 (a) | | |
Mclaren Finance plc (United Kingdom) 7.50%, 8/1/2026 (a) | | |
PM General Purchaser LLC 9.50%, 10/1/2028 (a) | | |
Thor Industries, Inc. 4.00%, 10/15/2029 (a) | | |
| | |
|
Intesa Sanpaolo SpA (Italy) | | |
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(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.60%), 4.20%, 6/1/2032 (a) (c) | | |
| | |
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (a) (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 5.46%, 6/30/2035 (a) (c) | | |
| | |
|
Primo Water Holdings, Inc. (Canada) 4.38%, 4/30/2029 (a) | | |
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a) | | |
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|
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) | | |
Grifols Escrow Issuer SA (Spain) 4.75%, 10/15/2028 (a) | | |
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|
Advanced Drainage Systems, Inc. 6.38%, 6/15/2030 (a) | | |
Builders FirstSource, Inc. 5.00%, 3/1/2030 (a) | | |
| | |
|
Building Products — continued |
Camelot Return Merger Sub, Inc. 8.75%, 8/1/2028 (a) | | |
CP Atlas Buyer, Inc. 7.00%, 12/1/2028 (a) | | |
Griffon Corp. 5.75%, 3/1/2028 | | |
James Hardie International Finance DAC 5.00%, 1/15/2028 (a) | | |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | | |
Masonite International Corp. 5.38%, 2/1/2028 (a) | | |
MIWD Holdco II LLC 5.50%, 2/1/2030 (a) | | |
New Enterprise Stone & Lime Co., Inc. 5.25%, 7/15/2028 (a) | | |
Oscar AcquisitionCo LLC 9.50%, 4/15/2030 (a) | | |
PGT Innovations, Inc. 4.38%, 10/1/2029 (a) | | |
Standard Industries, Inc. | | |
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|
AG TTMT Escrow Issuer LLC 8.63%, 9/30/2027 (a) | | |
Aretec Escrow Issuer, Inc. 7.50%, 4/1/2029 (a) | | |
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Compass Group Diversified Holdings LLC 5.25%, 4/15/2029 (a) | | |
Dresdner Funding Trust I 8.15%, 6/30/2031 (a) | | |
Hightower Holding LLC 6.75%, 4/15/2029 (a) | | |
Jane Street Group 4.50%, 11/15/2029 (a) | | |
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Ashland LLC 3.38%, 9/1/2031 (a) | | |
ASP Unifrax Holdings, Inc. 7.50%, 9/30/2029 (a) | | |
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| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
(formerly known as JPMorgan High Yield Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
Axalta Coating Systems LLC 4.75%, 6/15/2027 (a) | | |
Cerdia Finanz GmbH (Germany) 10.50%, 2/15/2027 (a) | | |
Chemours Co. (The) 5.75%, 11/15/2028 (a) | | |
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | | |
FXI Holdings, Inc. 12.25%, 11/15/2026 (a) | | |
GPD Cos., Inc. 10.13%, 4/1/2026 (a) | | |
INEOS Quattro Finance 2 plc (United Kingdom) 3.38%, 1/15/2026 (a) | | |
Iris Holding, Inc. 10.00%, 12/15/2028 (a) | | |
Koppers, Inc. 6.00%, 2/15/2025 (a) | | |
LSB Industries, Inc. 6.25%, 10/15/2028 (a) | | |
Mativ Holdings, Inc. 6.88%, 10/1/2026 (a) | | |
Methanex Corp. (Canada) 5.25%, 12/15/2029 | | |
NOVA Chemicals Corp. (Canada) | | |
| | |
| | |
Nufarm Australia Ltd. (Australia) 5.00%, 1/27/2030 (a) | | |
| | |
| | |
| | |
Olympus Water US Holding Corp. 4.25%, 10/1/2028 (a) | | |
Rain CII Carbon LLC 7.25%, 4/1/2025 (a) | | |
Rayonier AM Products, Inc. 7.63%, 1/15/2026 (a) | | |
| | |
| | |
| | |
SCIL IV LLC 5.38%, 11/1/2026 (a) | | |
Scotts Miracle-Gro Co. (The) | | |
| | |
| | |
SK Invictus Intermediate II Sarl (Luxembourg) 5.00%, 10/30/2029 (a) | | |
SPCM SA (France) 3.13%, 3/15/2027 (a) | | |
Trinseo Materials Operating SCA | | |
| | |
| | |
Tronox, Inc. 4.63%, 3/15/2029 (a) | | |
| | |
| | |
| | |
| | |
|
|
Vibrantz Technologies, Inc. 9.00%, 2/15/2030 (a) | | |
WR Grace Holdings LLC 5.63%, 8/15/2029 (a) | | |
| | |
Commercial Services & Supplies — 3.1% |
| | |
| | |
| | |
Allied Universal Holdco LLC | | |
| | |
| | |
| | |
APi Group DE, Inc. 4.13%, 7/15/2029 (a) | | |
APX Group, Inc. 5.75%, 7/15/2029 (a) | | |
| | |
| | |
| | |
Brink's Co. (The) 4.63%, 10/15/2027 (a) | | |
| | |
| | |
| | |
CoreCivic, Inc. 8.25%, 4/15/2026 | | |
Covanta Holding Corp. 4.88%, 12/1/2029 (a) | | |
Garda World Security Corp. (Canada) | | |
| | |
| | |
GEO Group, Inc. (The) 10.50%, 6/30/2028 | | |
GFL Environmental, Inc. (Canada) | | |
| | |
| | |
Interface, Inc. 5.50%, 12/1/2028 (a) | | |
KAR Auction Services, Inc. 5.13%, 6/1/2025 (a) | | |
| | |
| | |
| | |
Neptune Bidco US, Inc. 9.29%, 4/15/2029 (a) | | |
| | |
| | |
| | |
Prime Security Services Borrower LLC | | |
| | |
| | |
Steelcase, Inc. 5.13%, 1/18/2029 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Commercial Services & Supplies — continued |
Stericycle, Inc. 3.88%, 1/15/2029 (a) | | |
Vericast Corp. 11.00%, 9/15/2026 (a) | | |
Waste Pro USA, Inc. 5.50%, 2/15/2026 (a) | | |
West Technology Group LLC 8.50%, 10/15/2025 (a) | | |
| | |
Communications Equipment — 0.6% |
| | |
| | |
| | |
| | |
| | |
| | |
Viavi Solutions, Inc. 3.75%, 10/1/2029 (a) | | |
| | |
Construction & Engineering — 0.9% |
| | |
Artera Services LLC 9.03%, 12/4/2025 (a) | | |
Brand Industrial Services, Inc. 8.50%, 7/15/2025 (a) | | |
Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026 (a) | | |
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | | |
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | | |
Pike Corp. 5.50%, 9/1/2028 (a) | | |
Promontoria Holding 264 BV (Netherlands) 7.88%, 3/1/2027 (a) | | |
Tutor Perini Corp. 6.88%, 5/1/2025 (a) | | |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | | |
| | |
|
Ally Financial, Inc. 5.75%, 11/20/2025 | | |
Cobra AcquisitionCo LLC 6.38%, 11/1/2029 (a) | | |
Credit Acceptance Corp. 6.63%, 3/15/2026 | | |
Curo Group Holdings Corp. 7.50%, 8/1/2028 (a) | | |
Enova International, Inc. | | |
| | |
| | |
FirstCash, Inc. 5.63%, 1/1/2030 (a) | | |
Ford Motor Credit Co. LLC | | |
| | |
| | |
|
Consumer Finance — continued |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Global Aircraft Leasing Co. Ltd. (Cayman Islands) 7.25% (PIK), 9/15/2024 (a) (b) | | |
goeasy Ltd. (Canada) 5.38%, 12/1/2024 (a) | | |
LFS Topco LLC 5.88%, 10/15/2026 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
PROG Holdings, Inc. 6.00%, 11/15/2029 (a) | | |
Synchrony Financial 7.25%, 2/2/2033 | | |
VistaJet Malta Finance plc (Switzerland) | | |
| | |
| | |
World Acceptance Corp. 7.00%, 11/1/2026 (a) | | |
| | |
Containers & Packaging — 2.5% |
ARD Finance SA (Luxembourg) 6.50% (Cash), 6/30/2027 (a) (b) | | |
Ardagh Metal Packaging Finance USA LLC | | |
| | |
| | |
Ardagh Packaging Finance plc | | |
| | |
| | |
| | |
| | |
| | |
Berry Global, Inc. 5.63%, 7/15/2027 (a) | | |
Clydesdale Acquisition Holdings, Inc. 8.75%, 4/15/2030 (a) | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
(formerly known as JPMorgan High Yield Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Containers & Packaging — continued |
| | |
Graphic Packaging International LLC | | |
| | |
| | |
| | |
| | |
| | |
Mauser Packaging Solutions Holding Co. | | |
| | |
| | |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | | |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | | |
| | |
| | |
| | |
Silgan Holdings, Inc. 4.13%, 2/1/2028 | | |
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (d) | | |
| | |
|
American Builders & Contractors Supply Co., Inc. 4.00%, 1/15/2028 (a) | | |
BCPE Empire Holdings, Inc. 7.63%, 5/1/2027 (a) | | |
Resideo Funding, Inc. 4.00%, 9/1/2029 (a) | | |
| | |
Diversified Consumer Services — 0.4% |
Carriage Services, Inc. 4.25%, 5/15/2029 (a) | | |
Metis Merger Sub LLC 6.50%, 5/15/2029 (a) | | |
Service Corp. International | | |
| | |
| | |
StoneMor, Inc. 8.50%, 5/15/2029 (a) | | |
WW International, Inc. 4.50%, 4/15/2029 (a) | | |
| | |
Diversified Financial Services — 0.6% |
CPI CG, Inc. 8.63%, 3/15/2026 (a) | | |
Midcap Financial Issuer Trust 5.63%, 1/15/2030 (a) | | |
MPH Acquisition Holdings LLC | | |
| | |
| | |
| | |
|
Diversified Financial Services — continued |
Paysafe Finance plc 4.00%, 6/15/2029 (a) | | |
| | |
| | |
| | |
| | |
Verscend Escrow Corp. 9.75%, 8/15/2026 (a) | | |
| | |
Diversified Telecommunication Services — 5.8% |
Altice France Holding SA (Luxembourg) 10.50%, 5/15/2027 (a) | | |
Altice France SA (France) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Consolidated Communications, Inc. 6.50%, 10/1/2028 (a) | | |
Embarq Corp. 8.00%, 6/1/2036 | | |
Frontier Communications Holdings LLC | | |
| | |
| | |
| | |
| | |
Iliad Holding SASU (France) 6.50%, 10/15/2026 (a) | | |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Series P, 7.60%, 9/15/2039 | | |
Qwest Corp. 7.25%, 9/15/2025 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Diversified Telecommunication Services — continued |
| | |
| | |
| | |
Telecom Italia Capital SA (Italy) | | |
| | |
| | |
| | |
Telesat Canada (Canada) 5.63%, 12/6/2026 (a) | | |
Virgin Media Finance plc (United Kingdom) 5.00%, 7/15/2030 (a) | | |
Virgin Media Secured Finance plc (United Kingdom) 5.50%, 5/15/2029 (a) | | |
Windstream Escrow LLC 7.75%, 8/15/2028 (a) | | |
Zayo Group Holdings, Inc. | | |
| | |
| | |
| | |
Electric Utilities — 1.7% |
Drax Finco plc (United Kingdom) 6.63%, 11/1/2025 (a) | | |
Emera, Inc. (Canada) Series 16-A, (ICE LIBOR USD 3 Month + 5.44%), 6.75%, 6/15/2076 (c) | | |
| | |
| | |
Series C, 7.38%, 11/15/2031 | | |
Series C, 5.10%, 7/15/2047 (d) | | |
Series C, 3.40%, 3/1/2050 | | |
NextEra Energy Operating Partners LP | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
PG&E Corp. 5.25%, 7/1/2030 | | |
Terraform Global Operating LP 6.13%, 3/1/2026 (a) | | |
| | |
|
Electric Utilities — continued |
Vistra Operations Co. LLC | | |
| | |
| | |
| | |
Electrical Equipment — 0.0% ^ |
Sensata Technologies BV 5.00%, 10/1/2025 (a) | | |
Vertiv Group Corp. 4.13%, 11/15/2028 (a) | | |
| | |
Electronic Equipment, Instruments & Components — 0.3% |
Coherent Corp. 5.00%, 12/15/2029 (a) | | |
Sensata Technologies, Inc. 4.38%, 2/15/2030 (a) | | |
| | |
Energy Equipment & Services — 1.4% |
| | |
| | |
| | |
Enerflex Ltd. (Canada) 9.00%, 10/15/2027 (a) | | |
Ensign Drilling, Inc. (Canada) 9.25%, 4/15/2024 (a) | | |
Global Marine, Inc. 7.00%, 6/1/2028 | | |
Nabors Industries Ltd. 7.25%, 1/15/2026 (a) | | |
Nabors Industries, Inc. 7.38%, 5/15/2027 (a) | | |
Oceaneering International, Inc. 6.00%, 2/1/2028 | | |
Patterson-UTI Energy, Inc. 3.95%, 2/1/2028 | | |
Petrofac Ltd. (United Kingdom) 9.75%, 11/15/2026 (a) | | |
Precision Drilling Corp. (Canada) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
USA Compression Partners LP 6.88%, 4/1/2026 | | |
Weatherford International Ltd. | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
(formerly known as JPMorgan High Yield Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Energy Equipment & Services — continued |
| | |
Welltec International ApS (Denmark) 8.25%, 10/15/2026 (a) | | |
| | |
|
Allen Media LLC 10.50%, 2/15/2028 (a) | | |
AMC Entertainment Holdings, Inc. | | |
10.00% (Cash), 6/15/2026 (a) (b) | | |
| | |
Banijay Entertainment SASU (France) 5.38%, 3/1/2025 (a) | | |
| | |
| | |
| | |
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (a) | | |
Live Nation Entertainment, Inc. | | |
| | |
| | |
| | |
ROBLOX Corp. 3.88%, 5/1/2030 (a) | | |
| | |
| | |
| | |
| | |
| | |
Equity Real Estate Investment Trusts (REITs) — 2.7% |
Brookfield Property REIT, Inc. 5.75%, 5/15/2026 (a) | | |
Diversified Healthcare Trust | | |
| | |
| | |
Global Net Lease, Inc. 3.75%, 12/15/2027 (a) | | |
| | |
| | |
| | |
Iron Mountain Information Management Services, Inc. 5.00%, 7/15/2032 (a) | | |
| | |
| | |
| | |
| | |
iStar, Inc. 4.75%, 10/1/2024 | | |
| | |
|
Equity Real Estate Investment Trusts (REITs) — continued |
MPT Operating Partnership LP | | |
| | |
| | |
Office Properties Income Trust | | |
| | |
| | |
Park Intermediate Holdings LLC 5.88%, 10/1/2028 (a) | | |
| | |
| | |
| | |
RLJ Lodging Trust LP 4.00%, 9/15/2029 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Food & Staples Retailing — 1.2% |
| | |
| | |
| | |
| | |
| | |
Performance Food Group, Inc. | | |
| | |
| | |
Rite Aid Corp. 8.00%, 11/15/2026 (a) | | |
Safeway, Inc. 7.25%, 2/1/2031 | | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Food Products — continued |
Chobani LLC 7.50%, 4/15/2025 (a) | | |
Darling Ingredients, Inc. 5.25%, 4/15/2027 (a) | | |
FAGE International SA (Luxembourg) 5.63%, 8/15/2026 (a) | | |
H-Food Holdings LLC 8.50%, 6/1/2026 (a) | | |
Lamb Weston Holdings, Inc. | | |
| | |
| | |
Pilgrim's Pride Corp. 3.50%, 3/1/2032 | | |
| | |
| | |
| | |
| | |
Simmons Foods, Inc. 4.63%, 3/1/2029 (a) | | |
| | |
|
AmeriGas Partners LP 5.88%, 8/20/2026 | | |
Ferrellgas LP 5.88%, 4/1/2029 (a) | | |
Suburban Propane Partners LP 5.00%, 6/1/2031 (a) | | |
| | |
Health Care Equipment & Supplies — 1.0% |
Avantor Funding, Inc. 4.63%, 7/15/2028 (a) | | |
Hologic, Inc. 3.25%, 2/15/2029 (a) | | |
| | |
| | |
| | |
Teleflex, Inc. 4.25%, 6/1/2028 (a) | | |
| | |
Health Care Providers & Services — 3.4% |
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (a) | | |
AdaptHealth LLC 6.13%, 8/1/2028 (a) | | |
Akumin Escrow, Inc. 7.50%, 8/1/2028 (a) | | |
Akumin, Inc. 7.00%, 11/1/2025 (a) | | |
Community Health Systems, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Health Care Providers & Services — continued |
| | |
| | |
| | |
| | |
| | |
| | |
Envision Healthcare Corp. 8.75%, 10/15/2026 (a) | | |
Global Medical Response, Inc. 6.50%, 10/1/2025 (a) | | |
HealthEquity, Inc. 4.50%, 10/1/2029 (a) | | |
Legacy LifePoint Health LLC 4.38%, 2/15/2027 (a) | | |
LifePoint Health, Inc. 5.38%, 1/15/2029 (a) | | |
| | |
| | |
| | |
Owens & Minor, Inc. 6.63%, 4/1/2030 (a) | | |
Pediatrix Medical Group, Inc. 5.38%, 2/15/2030 (a) | | |
Prime Healthcare Services, Inc. 7.25%, 11/1/2025 (a) | | |
Radiology Partners, Inc. 9.25%, 2/1/2028 (a) | | |
RegionalCare Hospital Partners Holdings, Inc. 9.75%, 12/1/2026 (a) | | |
RP Escrow Issuer LLC 5.25%, 12/15/2025 (a) | | |
Select Medical Corp. 6.25%, 8/15/2026 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
US Acute Care Solutions LLC 6.38%, 3/1/2026 (a) | | |
US Renal Care, Inc. 10.63%, 7/15/2027 (a) | | |
| | |
Health Care Technology — 0.2% |
IQVIA, Inc. 5.00%, 10/15/2026 (a) | | |
Hotels, Restaurants & Leisure — 8.3% |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
(formerly known as JPMorgan High Yield Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Hotels, Restaurants & Leisure — continued |
Affinity Interactive 6.88%, 12/15/2027 (a) | | |
Bloomin' Brands, Inc. 5.13%, 4/15/2029 (a) | | |
Boyd Gaming Corp. 4.75%, 12/1/2027 | | |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | | |
Caesars Entertainment, Inc. | | |
| | |
| | |
| | |
Caesars Resort Collection LLC 5.75%, 7/1/2025 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
CCM Merger, Inc. 6.38%, 5/1/2026 (a) | | |
CDI Escrow Issuer, Inc. 5.75%, 4/1/2030 (a) | | |
Cedar Fair LP 5.50%, 5/1/2025 (a) | | |
Churchill Downs, Inc. 5.50%, 4/1/2027 (a) | | |
Everi Holdings, Inc. 5.00%, 7/15/2029 (a) | | |
Fertitta Entertainment LLC | | |
| | |
| | |
Hilton Domestic Operating Co., Inc. | | |
| | |
| | |
| | |
| | |
Hilton Grand Vacations Borrower Escrow LLC | | |
| | |
| | |
Hilton Worldwide Finance LLC 4.88%, 4/1/2027 | | |
International Game Technology plc 6.50%, 2/15/2025 (a) | | |
IRB Holding Corp. 7.00%, 6/15/2025 (a) | | |
Jacobs Entertainment, Inc. 6.75%, 2/15/2029 (a) | | |
KFC Holding Co. 4.75%, 6/1/2027 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Hotels, Restaurants & Leisure — continued |
| | |
| | |
| | |
MajorDrive Holdings IV LLC 6.38%, 6/1/2029 (a) | | |
Marriott Ownership Resorts, Inc. 4.75%, 1/15/2028 | | |
MGM Resorts International | | |
| | |
| | |
Mohegan Tribal Gaming Authority 8.00%, 2/1/2026 (a) | | |
| | |
| | |
| | |
| | |
Penn Entertainment, Inc. 4.13%, 7/1/2029 (a) | | |
Premier Entertainment Sub LLC | | |
| | |
| | |
Resorts World Las Vegas LLC 4.63%, 4/16/2029 (a) | | |
Royal Caribbean Cruises Ltd. | | |
| | |
| | |
| | |
| | |
| | |
Scientific Games Holdings LP 6.63%, 3/1/2030 (a) | | |
Scientific Games International, Inc. | | |
| | |
| | |
Six Flags Entertainment Corp. 5.50%, 4/15/2027 (a) | | |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | | |
| | |
| | |
| | |
Sugarhouse HSP Gaming Prop Mezz LP 5.88%, 5/15/2025 (a) | | |
TKC Holdings, Inc. 10.50%, 5/15/2029 (a) | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Hotels, Restaurants & Leisure — continued |
| | |
Vail Resorts, Inc. 6.25%, 5/15/2025 (a) | | |
Viking Cruises Ltd. 5.88%, 9/15/2027 (a) | | |
VOC Escrow Ltd. 5.00%, 2/15/2028 (a) | | |
| | |
| | |
| | |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a) | | |
| | |
| | |
| | |
| | |
Household Durables — 1.6% |
American Greetings Corp. 8.75%, 4/15/2025 (a) | | |
| | |
| | |
| | |
Brookfield Residential Properties, Inc. (Canada) | | |
| | |
| | |
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | | |
Empire Communities Corp. (Canada) 7.00%, 12/15/2025 (a) | | |
KB Home 4.80%, 11/15/2029 | | |
LGI Homes, Inc. 4.00%, 7/15/2029 (a) | | |
M/I Homes, Inc. 4.95%, 2/1/2028 | | |
Mattamy Group Corp. (Canada) 5.25%, 12/15/2027 (a) | | |
Meritage Homes Corp. 5.13%, 6/6/2027 | | |
| | |
| | |
| | |
| | |
SWF Escrow Issuer Corp. 6.50%, 10/1/2029 (a) | | |
Taylor Morrison Communities, Inc. 5.88%, 6/15/2027 (a) | | |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | | |
Tri Pointe Homes, Inc. 5.70%, 6/15/2028 | | |
| | |
| | |
|
Household Products — 0.4% |
| | |
| | |
| | |
| | |
| | |
| | |
Kronos Acquisition Holdings, Inc. (Canada) 7.00%, 12/31/2027 (a) | | |
Spectrum Brands, Inc. 5.50%, 7/15/2030 (a) | | |
| | |
Independent Power and Renewable Electricity Producers — 0.7% |
| | |
| | |
| | |
| | |
| | |
| | |
Clearway Energy Operating LLC | | |
| | |
| | |
TransAlta Corp. (Canada) 6.50%, 3/15/2040 | | |
| | |
|
Acrisure LLC 6.00%, 8/1/2029 (a) | | |
Alliant Holdings Intermediate LLC | | |
| | |
| | |
AmWINS Group, Inc. 4.88%, 6/30/2029 (a) | | |
| | |
| | |
| | |
BroadStreet Partners, Inc. 5.88%, 4/15/2029 (a) | | |
Enstar Finance LLC (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.47%), 5.75%, 9/1/2040 (c) | | |
Genworth Holdings, Inc. 6.50%, 6/15/2034 | | |
| | |
| | |
| | |
Liberty Mutual Group, Inc. 4.30%, 2/1/2061 (a) | | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
(formerly known as JPMorgan High Yield Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
| | |
Ryan Specialty Group LLC 4.38%, 2/1/2030 (a) | | |
USI, Inc. 6.88%, 5/1/2025 (a) | | |
| | |
Interactive Media & Services — 0.3% |
Cars.com, Inc. 6.38%, 11/1/2028 (a) | | |
Rackspace Technology Global, Inc. 3.50%, 2/15/2028 (a) | | |
TripAdvisor, Inc. 7.00%, 7/15/2025 (a) | | |
Ziff Davis, Inc. 4.63%, 10/15/2030 (a) | | |
| | |
Internet & Direct Marketing Retail — 0.7% |
ANGI Group LLC 3.88%, 8/15/2028 (a) | | |
Go Daddy Operating Co. LLC | | |
| | |
| | |
Match Group Holdings II LLC | | |
| | |
| | |
Millennium Escrow Corp. 6.63%, 8/1/2026 (a) | | |
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a) | | |
| | |
| | |
| | |
Rakuten Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.96%), 6.25%, 4/22/2031 (a) (c) (e) (f) | | |
| | |
|
Ahead DB Holdings LLC 6.63%, 5/1/2028 (a) | | |
Arches Buyer, Inc. 6.13%, 12/1/2028 (a) | | |
| | |
| | |
| | |
Cablevision Lightpath LLC 3.88%, 9/15/2027 (a) | | |
Conduent Business Services LLC 6.00%, 11/1/2029 (a) | | |
Endurance International Group Holdings, Inc. 6.00%, 2/15/2029 (a) | | |
Exela Intermediate LLC 11.50%, 7/15/2026 (a) | | |
| | |
|
|
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| | |
ION Trading Technologies Sarl (Luxembourg) 5.75%, 5/15/2028 (a) | | |
| | |
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| | |
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| | |
Unisys Corp. 6.88%, 11/1/2027 (a) | | |
Virtusa Corp. 7.13%, 12/15/2028 (a) | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
Universal Entertainment Corp. (Japan) 8.50%, 12/11/2024 (a) | | |
| | |
Life Sciences Tools & Services — 0.2% |
Charles River Laboratories International, Inc. 3.75%, 3/15/2029 (a) | | |
PRA Health Sciences, Inc. 2.88%, 7/15/2026 (a) | | |
| | |
|
Chart Industries, Inc. 7.50%, 1/1/2030 (a) | | |
EnPro Industries, Inc. 5.75%, 10/15/2026 | | |
Hillenbrand, Inc. 3.75%, 3/1/2031 | | |
Husky III Holding Ltd. (Canada) 13.00% (Cash), 2/15/2025 (a) (b) | | |
Park-Ohio Industries, Inc. 6.63%, 4/15/2027 | | |
Roller Bearing Co. of America, Inc. 4.38%, 10/15/2029 (a) | | |
SPX FLOW, Inc. 8.75%, 4/1/2030 (a) | | |
Stevens Holding Co., Inc. 6.13%, 10/1/2026 (a) | | |
Terex Corp. 5.00%, 5/15/2029 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Titan International, Inc. 7.00%, 4/30/2028 | | |
TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027 (a) | | |
| | |
|
Advantage Sales & Marketing, Inc. 6.50%, 11/15/2028 (a) | | |
Altice Financing SA (Luxembourg) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Cable One, Inc. 4.00%, 11/15/2030 (a) | | |
Cengage Learning, Inc. 9.50%, 6/15/2024 (a) | | |
Clear Channel Outdoor Holdings, Inc. | | |
| | |
| | |
CMG Media Corp. 8.88%, 12/15/2027 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Diamond Sports Group LLC 5.38%, 8/15/2026 (a) (g) | | |
Directv Financing LLC 5.88%, 8/15/2027 (a) | | |
| | |
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| | |
DISH Network Corp. 11.75%, 11/15/2027 (a) | | |
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | | |
GCI LLC 4.75%, 10/15/2028 (a) | | |
| | |
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|
|
iHeartCommunications, Inc. | | |
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| | |
LCPR Senior Secured Financing DAC 6.75%, 10/15/2027 (a) | | |
Liberty Interactive LLC 8.25%, 2/1/2030 | | |
McGraw-Hill Education, Inc. | | |
| | |
| | |
National CineMedia LLC 5.88%, 4/15/2028 (a) | | |
News Corp. 3.88%, 5/15/2029 (a) | | |
| | |
| | |
| | |
Outfront Media Capital LLC | | |
| | |
| | |
Paramount Global (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.00%), 6.37%, 3/30/2062 (c) | | |
| | |
| | |
| | |
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a) | | |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | | |
Sinclair Television Group, Inc. | | |
| | |
| | |
| | |
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| | |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | | |
TEGNA, Inc. 5.00%, 9/15/2029 | | |
Townsquare Media, Inc. 6.88%, 2/1/2026 (a) | | |
Univision Communications, Inc. | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
(formerly known as JPMorgan High Yield Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
UPC Broadband Finco BV (Netherlands) 4.88%, 7/15/2031 (a) | | |
UPC Holding BV (Netherlands) 5.50%, 1/15/2028 (a) | | |
Urban One, Inc. 7.38%, 2/1/2028 (a) | | |
Videotron Ltd. (Canada) 5.38%, 6/15/2024 (a) | | |
Ziggo Bond Co. BV (Netherlands) 5.13%, 2/28/2030 (a) | | |
| | |
|
| | |
| | |
| | |
Baffinland Iron Mines Corp. (Canada) 8.75%, 7/15/2026 (a) | | |
Big River Steel LLC 6.63%, 1/31/2029 (a) | | |
Carpenter Technology Corp. 6.38%, 7/15/2028 | | |
| | |
| | |
| | |
Commercial Metals Co. 4.13%, 1/15/2030 | | |
Constellium SE 5.63%, 6/15/2028 (a) | | |
FMG Resources August 2006 Pty. Ltd. (Australia) | | |
| | |
| | |
| | |
| | |
Hudbay Minerals, Inc. (Canada) 4.50%, 4/1/2026 (a) | | |
IAMGOLD Corp. (Burkina Faso) 5.75%, 10/15/2028 (a) | | |
| | |
| | |
| | |
Mineral Resources Ltd. (Australia) 8.50%, 5/1/2030 (a) | | |
New Gold, Inc. (Canada) 7.50%, 7/15/2027 (a) | | |
| | |
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| | |
|
Metals & Mining — continued |
Taseko Mines Ltd. (Canada) 7.00%, 2/15/2026 (a) | | |
United States Steel Corp. 6.65%, 6/1/2037 | | |
| | |
Mortgage Real Estate Investment Trusts (REITs) — 0.2% |
Apollo Commercial Real Estate Finance, Inc. 4.63%, 6/15/2029 (a) | | |
Blackstone Mortgage Trust, Inc. 3.75%, 1/15/2027 (a) | | |
Starwood Property Trust, Inc. 3.63%, 7/15/2026 (a) | | |
| | |
|
Kohl's Corp. 3.62%, 5/1/2031 (d) | | |
Macy's Retail Holdings LLC | | |
| | |
| | |
| | |
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a) | | |
| | |
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| | |
| | |
|
Algonquin Power & Utilities Corp. (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.25%), 4.75%, 1/18/2082 (c) | | |
Oil, Gas & Consumable Fuels — 10.5% |
Aethon United BR LP 8.25%, 2/15/2026 (a) | | |
Alliance Resource Operating Partners LP 7.50%, 5/1/2025 (a) | | |
Antero Midstream Partners LP | | |
| | |
| | |
| | |
| | |
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| | |
Ascent Resources Utica Holdings LLC | | |
| | |
| | |
Baytex Energy Corp. (Canada) 8.75%, 4/1/2027 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
Berry Petroleum Co. LLC 7.00%, 2/15/2026 (a) | | |
Blue Racer Midstream LLC 7.63%, 12/15/2025 (a) | | |
| | |
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| | |
California Resources Corp. 7.13%, 2/1/2026 (a) | | |
| | |
| | |
| | |
Calumet Specialty Products Partners LP 8.13%, 1/15/2027 (a) | | |
Chesapeake Energy Corp. 5.50%, 2/1/2026 (a) | | |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | | |
CNX Midstream Partners LP 4.75%, 4/15/2030 (a) | | |
| | |
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CQP Holdco LP 5.50%, 6/15/2031 (a) | | |
Crestwood Midstream Partners LP | | |
| | |
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| | |
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| | |
Delek Logistics Partners LP 7.13%, 6/1/2028 (a) | | |
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| | |
Earthstone Energy Holdings LLC 8.00%, 4/15/2027 (a) | | |
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a) | | |
Endeavor Energy Resources LP 5.75%, 1/30/2028 (a) | | |
Energy Ventures Gom LLC 11.75%, 4/15/2026 (a) | | |
EnLink Midstream LLC 5.38%, 6/1/2029 | | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
EnLink Midstream Partners LP | | |
| | |
| | |
EQM Midstream Partners LP | | |
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Gran Tierra Energy International Holdings Ltd. (Colombia) 6.25%, 2/15/2025 (a) | | |
Gulfport Energy Corp. 8.00%, 5/17/2026 | | |
Hess Infrastructure Partners LP 5.63%, 2/15/2026 (a) | | |
Hess Midstream Operations LP | | |
| | |
| | |
| | |
Hilcorp Energy I LP 6.25%, 4/15/2032 (a) | | |
| | |
| | |
| | |
Ithaca Energy North Sea plc (United Kingdom) 9.00%, 7/15/2026 (a) | | |
ITT Holdings LLC 6.50%, 8/1/2029 (a) | | |
Kinetik Holdings LP 5.88%, 6/15/2030 (a) | | |
MEG Energy Corp. (Canada) | | |
| | |
| | |
Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026 (a) | | |
| | |
| | |
| | |
Neptune Energy Bondco plc (United Kingdom) 6.63%, 5/15/2025 (a) | | |
New Fortress Energy, Inc. 6.75%, 9/15/2025 (a) | | |
NGL Energy Operating LLC 7.50%, 2/1/2026 (a) | | |
NGL Energy Partners LP 7.50%, 4/15/2026 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
(formerly known as JPMorgan High Yield Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
| | |
| | |
| | |
Occidental Petroleum Corp. | | |
| | |
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| | |
PBF Holding Co. LLC 6.00%, 2/15/2028 | | |
PDC Energy, Inc. 5.75%, 5/15/2026 | | |
Permian Resources Operating LLC | | |
| | |
| | |
| | |
Range Resources Corp. 8.25%, 1/15/2029 | | |
ROCC Holdings LLC 9.25%, 8/15/2026 (a) | | |
Rockcliff Energy II LLC 5.50%, 10/15/2029 (a) | | |
Rockies Express Pipeline LLC | | |
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Summit Midstream Holdings LLC | | |
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| | |
Sunnova Energy Corp. 5.88%, 9/1/2026 (a) | | |
| | |
| | |
| | |
Tallgrass Energy Partners LP | | |
| | |
| | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
TerraForm Power Operating LLC 5.00%, 1/31/2028 (a) | | |
Venture Global Calcasieu Pass LLC | | |
| | |
| | |
Viper Energy Partners LP 5.38%, 11/1/2027 (a) | | |
Vital Energy, Inc. 10.13%, 1/15/2028 | | |
Western Midstream Operating LP | | |
| | |
| | |
| | |
| | |
| | |
Paper & Forest Products — 0.4% |
Domtar Corp. 6.75%, 10/1/2028 (a) | | |
Glatfelter Corp. 4.75%, 11/15/2029 (a) | | |
Louisiana-Pacific Corp. 3.63%, 3/15/2029 (a) | | |
Mercer International, Inc. (Germany) 5.13%, 2/1/2029 | | |
Resolute Forest Products, Inc. 4.88%, 3/1/2026 (a) | | |
Sylvamo Corp. 7.00%, 9/1/2029 (a) | | |
| | |
|
BellRing Brands, Inc. 7.00%, 3/15/2030 (a) | | |
| | |
| | |
| | |
Herbalife Nutrition Ltd. 7.88%, 9/1/2025 (a) | | |
| | |
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|
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| | |
| | |
| | |
Catalent Pharma Solutions, Inc. | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Pharmaceuticals — continued |
| | |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (d) | | |
Jazz Securities DAC 4.38%, 1/15/2029 (a) | | |
Mallinckrodt International Finance SA | | |
| | |
| | |
Organon & Co. 5.13%, 4/30/2031 (a) | | |
P&L Development LLC 7.75%, 11/15/2025 (a) | | |
Perrigo Finance Unlimited Co. | | |
| | |
| | |
| | |
Professional Services — 0.2% |
AMN Healthcare, Inc. 4.63%, 10/1/2027 (a) | | |
CoreLogic, Inc. 4.50%, 5/1/2028 (a) | | |
Dun & Bradstreet Corp. (The) 5.00%, 12/15/2029 (a) | | |
Science Applications International Corp. 4.88%, 4/1/2028 (a) | | |
| | |
Real Estate Management & Development — 0.7% |
Cushman & Wakefield US Borrower LLC 6.75%, 5/15/2028 (a) | | |
Five Point Operating Co. LP 7.88%, 11/15/2025 (a) | | |
Forestar Group, Inc. 5.00%, 3/1/2028 (a) | | |
Howard Hughes Corp. (The) | | |
| | |
| | |
Hunt Cos., Inc. 5.25%, 4/15/2029 (a) | | |
| | |
| | |
| | |
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| | |
| | |
|
AerCap Global Aviation Trust (Ireland) (ICE LIBOR USD 3 Month + 4.30%), 6.50%, 6/15/2045 (a) (c) | | |
Albion Financing 1 SARL (Luxembourg) 6.13%, 10/15/2026 (a) | | |
| | |
|
|
Avis Budget Car Rental LLC 5.38%, 3/1/2029 (a) | | |
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | | |
| | |
| | |
| | |
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (a) | | |
PECF USS Intermediate Holding III Corp. 8.00%, 11/15/2029 (a) | | |
| | |
| | |
| | |
| | |
| | |
Williams Scotsman International, Inc. 4.63%, 8/15/2028 (a) | | |
XPO Escrow Sub LLC 7.50%, 11/15/2027 (a) | | |
| | |
Semiconductors & Semiconductor Equipment — 0.4% |
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | | |
ams-OSRAM AG (Austria) 7.00%, 7/31/2025 (a) | | |
Entegris Escrow Corp. 5.95%, 6/15/2030 (a) | | |
ON Semiconductor Corp. 3.88%, 9/1/2028 (a) | | |
| | |
|
ACI Worldwide, Inc. 5.75%, 8/15/2026 (a) | | |
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (a) | | |
Boxer Parent Co., Inc. 9.13%, 3/1/2026 (a) | | |
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | | |
Cloud Software Group Holdings, Inc. 6.50%, 3/31/2029 (a) | | |
CWT Travel Group, Inc. 8.50%, 11/19/2026 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
GoTo Group, Inc. 5.50%, 9/1/2027 (a) | | |
McAfee Corp. 7.38%, 2/15/2030 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
(formerly known as JPMorgan High Yield Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
| | |
| | |
| | |
| | |
| | |
| | |
Open Text Holdings, Inc. (Canada) 4.13%, 2/15/2030 (a) | | |
PTC, Inc. 4.00%, 2/15/2028 (a) | | |
Rocket Software, Inc. 6.50%, 2/15/2029 (a) | | |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | | |
Veritas US, Inc. 7.50%, 9/1/2025 (a) | | |
| | |
|
99 Escrow Issuer, Inc. 7.50%, 1/15/2026 (a) | | |
Abercrombie & Fitch Management Co. 8.75%, 7/15/2025 (a) | | |
Arko Corp. 5.13%, 11/15/2029 (a) | | |
Asbury Automotive Group, Inc. | | |
| | |
| | |
| | |
At Home Group, Inc. 7.13%, 7/15/2029 (a) | | |
| | |
| | |
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| | |
eG Global Finance plc (United Kingdom) 8.50%, 10/30/2025 (a) | | |
Gap, Inc. (The) 3.63%, 10/1/2029 (a) | | |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | | |
LBM Acquisition LLC 6.25%, 1/15/2029 (a) | | |
LCM Investments Holdings II LLC 4.88%, 5/1/2029 (a) | | |
Lithia Motors, Inc. 3.88%, 6/1/2029 (a) | | |
LSF9 Atlantis Holdings LLC 7.75%, 2/15/2026 (a) | | |
Michaels Cos., Inc. (The) | | |
| | |
| | |
| | |
|
Specialty Retail — continued |
| | |
| | |
| | |
Park River Holdings, Inc. | | |
| | |
| | |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | | |
| | |
| | |
| | |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | | |
Specialty Building Products Holdings LLC 6.38%, 9/30/2026 (a) | | |
| | |
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| | |
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| | |
Victoria's Secret & Co. 4.63%, 7/15/2029 (a) | | |
White Cap Buyer LLC 6.88%, 10/15/2028 (a) | | |
White Cap Parent LLC 8.25% (Cash), 3/15/2026 (a) (b) | | |
| | |
Technology Hardware, Storage & Peripherals — 0.7% |
Diebold Nixdorf, Inc. 9.38%, 7/15/2025 (a) | | |
| | |
| | |
| | |
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| | |
| | |
| | |
| | |
Xerox Corp. 6.75%, 12/15/2039 | | |
| | |
| | |
| | |
| | |
Textiles, Apparel & Luxury Goods — 0.6% |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Textiles, Apparel & Luxury Goods — continued |
| | |
G-III Apparel Group Ltd. 7.88%, 8/15/2025 (a) | | |
| | |
| | |
| | |
Levi Strauss & Co. 3.50%, 3/1/2031 (a) | | |
Under Armour, Inc. 3.25%, 6/15/2026 | | |
William Carter Co. (The) 5.63%, 3/15/2027 (a) | | |
Wolverine World Wide, Inc. 4.00%, 8/15/2029 (a) | | |
| | |
Thrifts & Mortgage Finance — 1.4% |
Enact Holdings, Inc. 6.50%, 8/15/2025 (a) | | |
| | |
| | |
| | |
Home Point Capital, Inc. 5.00%, 2/1/2026 (a) | | |
Ladder Capital Finance Holdings LLLP | | |
| | |
| | |
LD Holdings Group LLC 6.50%, 11/1/2025 (a) | | |
MGIC Investment Corp. 5.25%, 8/15/2028 | | |
Nationstar Mortgage Holdings, Inc. | | |
| | |
| | |
NMI Holdings, Inc. 7.38%, 6/1/2025 (a) | | |
PennyMac Financial Services, Inc. 5.75%, 9/15/2031 (a) | | |
| | |
| | |
| | |
| | |
United Wholesale Mortgage LLC 5.50%, 4/15/2029 (a) | | |
| | |
|
Vector Group Ltd. 5.75%, 2/1/2029 (a) | | |
Trading Companies & Distributors — 1.6% |
Beacon Roofing Supply, Inc. 4.50%, 11/15/2026 (a) | | |
Boise Cascade Co. 4.88%, 7/1/2030 (a) | | |
| | |
|
Trading Companies & Distributors — continued |
Fortress Transportation and Infrastructure Investors LLC | | |
| | |
| | |
H&E Equipment Services, Inc. 3.88%, 12/15/2028 (a) | | |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | | |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | | |
United Rentals North America, Inc. | | |
| | |
| | |
| | |
| | |
| | |
| | |
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| | |
| | |
Wireless Telecommunication Services — 1.4% |
C&W Senior Financing DAC (Panama) 6.88%, 9/15/2027 (a) | | |
Connect Finco SARL (United Kingdom) 6.75%, 10/1/2026 (a) | | |
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | | |
Liberty Costa Rica Senior Secured Finance (Costa Rica) 10.88%, 1/15/2031 (a) | | |
Millicom International Cellular SA (Guatemala) 4.50%, 4/27/2031 (a) | | |
| | |
| | |
| | |
United States Cellular Corp. 6.70%, 12/15/2033 | | |
Vodafone Group plc (United Kingdom) | | |
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (c) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.12%, 6/4/2081 (c) | | |
| | |
Total Corporate Bonds
(Cost $362,014,120) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
(formerly known as JPMorgan High Yield Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Short-Term Investments — 0.9% |
Investment Companies — 0.9% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (h) (i)
(Cost $3,094,499) | | |
Total Investments — 98.9%
(Cost $365,108,619) | | |
Other Assets Less Liabilities — 1.1% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Intercontinental Exchange |
| London Interbank Offered Rate |
| Limited partnership with share capital |
| |
| Amount rounds to less than 0.1% of net assets. |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
| 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 February 28, 2023. | |
| Security is an interest bearing note with preferred security characteristics. | |
| Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of February 28, 2023. | |
| | |
| 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. | |
| The rate shown is the current yield as of February 28, 2023. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023
| | |
|
Aerospace & Defense — 2.0% |
| | |
| | |
| | |
| | |
| | |
| | |
General Dynamics Corp. 4.25%, 4/1/2050 | | |
L3Harris Technologies, Inc. 4.40%, 6/15/2028 | | |
| | |
| | |
| | |
| | |
| | |
| | |
Precision Castparts Corp. 3.25%, 6/15/2025 | | |
Raytheon Technologies Corp. | | |
| | |
| | |
| | |
| | |
Air Freight & Logistics — 0.3% |
| | |
| | |
| | |
| | |
United Parcel Service, Inc. 5.30%, 4/1/2050 | | |
| | |
|
American Airlines Pass-Through Trust Series 2021-1, Class A Shares, 2.88%, 7/11/2034 | | |
|
Aptiv plc 3.10%, 12/1/2051 | | |
Lear Corp. 3.80%, 9/15/2027 | | |
| | |
|
| | |
| | |
| | |
| | |
Honda Motor Co. Ltd. (Japan) 2.97%, 3/10/2032 | | |
Toyota Motor Corp. (Japan) 2.36%, 3/25/2031 | | |
| | |
| | |
|
|
Banco Santander SA (Spain) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00%), 4.17%, 3/24/2028 (a) | | |
| | |
(ICE LIBOR USD 3 Month + 0.97%), 3.46%, 3/15/2025 (a) | | |
(SOFR + 1.11%), 3.84%, 4/25/2025 (a) | | |
(ICE LIBOR USD 3 Month + 0.87%), 2.46%, 10/22/2025 (a) | | |
(ICE LIBOR USD 3 Month + 1.06%), 3.56%, 4/23/2027 (a) | | |
(ICE LIBOR USD 3 Month + 1.58%), 3.82%, 1/20/2028 (a) | | |
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (a) | | |
(ICE LIBOR USD 3 Month + 1.21%), 3.97%, 2/7/2030 (a) | | |
(ICE LIBOR USD 3 Month + 0.99%), 2.50%, 2/13/2031 (a) | | |
(SOFR + 1.32%), 2.69%, 4/22/2032 (a) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.20%), 2.48%, 9/21/2036 (a) | | |
(ICE LIBOR USD 3 Month + 1.81%), 4.24%, 4/24/2038 (a) | | |
(SOFR + 1.93%), 2.68%, 6/19/2041 (a) | | |
(ICE LIBOR USD 3 Month + 1.19%), 3.95%, 1/23/2049 (a) | | |
(ICE LIBOR USD 3 Month + 3.15%), 4.08%, 3/20/2051 (a) | | |
Bank of Montreal (Canada) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.40%), 3.09%, 1/10/2037 (a) (b) | | |
Bank of Nova Scotia (The) (Canada) | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 4.59%, 5/4/2037 (a) (b) | | |
Barclays plc (United Kingdom) (ICE LIBOR USD 3 Month + 1.90%), 4.97%, 5/16/2029 (a) | | |
Canadian Imperial Bank of Commerce (Canada) 3.60%, 4/7/2032 | | |
| | |
(ICE LIBOR USD 3 Month + 0.90%), 3.35%, 4/24/2025 (a) | | |
(SOFR + 1.53%), 3.29%, 3/17/2026 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
(SOFR + 2.84%), 3.11%, 4/8/2026 (a) | | |
| | |
(SOFR + 1.15%), 2.67%, 1/29/2031 (a) | | |
(SOFR + 3.91%), 4.41%, 3/31/2031 (a) | | |
| | |
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (a) | | |
(SOFR + 1.38%), 2.90%, 11/3/2042 (a) | | |
| | |
Citizens Financial Group, Inc. | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.75%), 5.64%, 5/21/2037 (a) | | |
Comerica, Inc. 4.00%, 2/1/2029 | | |
Cooperatieve Rabobank UA (Netherlands) 5.25%, 5/24/2041 | | |
Fifth Third Bancorp 8.25%, 3/1/2038 | | |
FNB Corp. 5.15%, 8/25/2025 | | |
HSBC Holdings plc (United Kingdom) | | |
(SOFR + 1.51%), 4.18%, 12/9/2025 (a) | | |
(SOFR + 2.87%), 5.40%, 8/11/2033 (a) | | |
| | |
Huntington Bancshares, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.17%), 2.49%, 8/15/2036 (a) | | |
KeyCorp (SOFRINDX + 2.06%), 4.79%, 6/1/2033 (a) | | |
Lloyds Banking Group plc (United Kingdom) 4.55%, 8/16/2028 | | |
M&T Bank Corp. (SOFR + 1.85%), 5.05%, 1/27/2034 (a) | | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | | |
| | |
| | |
Mizuho Financial Group, Inc. (Japan) 4.02%, 3/5/2028 | | |
NatWest Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.64%, 6/14/2027 (a) | | |
PNC Financial Services Group, Inc. (The) | | |
| | |
(SOFRINDX + 1.85%), 4.63%, 6/6/2033 (a) | | |
Regions Financial Corp. 7.38%, 12/10/2037 | | |
Royal Bank of Canada (Canada) 2.30%, 11/3/2031 | | |
| | |
|
|
Santander Holdings USA, Inc. | | |
| | |
| | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | | |
| | |
| | |
SVB Financial Group 1.80%, 10/28/2026 | | |
Toronto-Dominion Bank (The) (Canada) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
(SOFR + 2.11%), 4.97%, 7/22/2033 (a) | | |
(SOFR + 1.60%), 4.84%, 2/1/2034 (a) | | |
| | |
(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (a) | | |
(3-MONTH CME TERM SOFR + 1.43%), 2.88%, 10/30/2030 (a) | | |
(SOFR + 2.53%), 3.07%, 4/30/2041 (a) | | |
| | |
| | |
Westpac Banking Corp. (Australia) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (a) (b) | | |
(USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (a) (b) | | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.00%), 4.11%, 7/24/2034 (a) (b) | | |
| | |
| | |
|
Anheuser-Busch Cos. LLC (Belgium) | | |
| | |
| | |
| | |
Anheuser-Busch InBev Finance, Inc. (Belgium) 4.00%, 1/17/2043 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Constellation Brands, Inc. 3.15%, 8/1/2029 | | |
Keurig Dr Pepper, Inc. 3.80%, 5/1/2050 | | |
Molson Coors Beverage Co. 4.20%, 7/15/2046 | | |
| | |
| | |
| | |
| | |
| | |
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|
| | |
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| | |
| | |
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| | |
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| | |
| | |
| | |
| | |
| | |
Biogen, Inc. 3.15%, 5/1/2050 | | |
| | |
| | |
| | |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | | |
| | |
| | |
|
|
Carlisle Cos., Inc. 2.75%, 3/1/2030 | | |
Carrier Global Corp. 3.58%, 4/5/2050 | | |
| | |
|
Bank of New York Mellon Corp. (The) | | |
| | |
| | |
(SOFR + 1.51%), 4.71%, 2/1/2034 (a) | | |
BlackRock, Inc. 1.90%, 1/28/2031 | | |
Brookfield Finance, Inc. (Canada) 4.35%, 4/15/2030 | | |
Charles Schwab Corp. (The) 1.95%, 12/1/2031 | | |
| | |
| | |
| | |
Credit Suisse USA, Inc. (Switzerland) 7.13%, 7/15/2032 | | |
Deutsche Bank AG (Germany) (SOFR + 1.32%), 2.55%, 1/7/2028 (a) | | |
Franklin Resources, Inc. 1.60%, 10/30/2030 | | |
FS KKR Capital Corp. 3.25%, 7/15/2027 | | |
Goldman Sachs Group, Inc. (The) | | |
| | |
(SOFR + 1.51%), 4.39%, 6/15/2027 (a) | | |
(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (a) | | |
| | |
(SOFR + 1.25%), 2.38%, 7/21/2032 (a) | | |
| | |
(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (a) | | |
Hercules Capital, Inc. 3.38%, 1/20/2027 | | |
Intercontinental Exchange, Inc. 5.20%, 6/15/2062 | | |
| | |
(SOFR + 1.99%), 2.19%, 4/28/2026 (a) | | |
| | |
(ICE LIBOR USD 3 Month + 1.14%), 3.77%, 1/24/2029 (a) | | |
(SOFR + 3.12%), 3.62%, 4/1/2031 (a) | | |
| | |
(SOFR + 1.36%), 2.48%, 9/16/2036 (a) | | |
(ICE LIBOR USD 3 Month + 1.46%), 3.97%, 7/22/2038 (a) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Capital Markets — continued |
(SOFR + 1.43%), 2.80%, 1/25/2052 (a) | | |
| | |
| | |
| | |
Nomura Holdings, Inc. (Japan) 2.33%, 1/22/2027 | | |
Northern Trust Corp. 6.13%, 11/2/2032 | | |
Owl Rock Capital Corp. 2.63%, 1/15/2027 | | |
Owl Rock Technology Finance Corp. 2.50%, 1/15/2027 | | |
Prospect Capital Corp. 3.44%, 10/15/2028 | | |
Raymond James Financial, Inc. 4.65%, 4/1/2030 | | |
S&P Global, Inc. 3.70%, 3/1/2052 (c) | | |
| | |
| | |
(SOFR + 1.49%), 3.03%, 11/1/2034 (a) | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
Dow Chemical Co. (The) 6.90%, 5/15/2053 | | |
DuPont de Nemours, Inc. 5.42%, 11/15/2048 | | |
Ecolab, Inc. 2.13%, 8/15/2050 | | |
International Flavors & Fragrances, Inc. 4.45%, 9/26/2028 | | |
LYB International Finance III LLC 3.38%, 10/1/2040 | | |
Nutrien Ltd. (Canada) 5.88%, 12/1/2036 | | |
Sherwin-Williams Co. (The) | | |
| | |
| | |
| | |
Commercial Services & Supplies — 0.5% |
Cintas Corp. No. 2 4.00%, 5/1/2032 | | |
Nature Conservancy (The) Series A, 3.96%, 3/1/2052 | | |
RELX Capital, Inc. (United Kingdom) 4.00%, 3/18/2029 | | |
Republic Services, Inc. 3.05%, 3/1/2050 | | |
| | |
|
Commercial Services & Supplies — continued |
Waste Connections, Inc. 2.95%, 1/15/2052 | | |
Waste Management, Inc. 2.50%, 11/15/2050 | | |
| | |
Communications Equipment — 0.2% |
Cisco Systems, Inc. 5.90%, 2/15/2039 | | |
Nokia OYJ (Finland) 6.63%, 5/15/2039 | | |
| | |
Construction & Engineering — 0.1% |
| | |
| | |
| | |
| | |
Construction Materials — 0.1% |
Eagle Materials, Inc. 2.50%, 7/1/2031 | | |
Martin Marietta Materials, Inc. 3.20%, 7/15/2051 | | |
| | |
|
AerCap Ireland Capital DAC (Ireland) | | |
| | |
| | |
| | |
| | |
| | |
American Express Co. (SOFR + 2.26%), 4.99%, 5/26/2033 (a) | | |
Capital One Financial Corp. | | |
| | |
| | |
(SOFR + 1.34%), 2.36%, 7/29/2032 (a) | | |
Discover Financial Services 3.75%, 3/4/2025 | | |
John Deere Capital Corp. 1.30%, 10/13/2026 | | |
| | |
| | |
| | |
Toyota Motor Credit Corp. | | |
| | |
| | |
| | |
Containers & Packaging — 0.1% |
International Paper Co. 7.30%, 11/15/2039 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Containers & Packaging — continued |
Sonoco Products Co. 5.75%, 11/1/2040 | | |
WRKCo, Inc. 4.90%, 3/15/2029 | | |
| | |
Diversified Consumer Services — 0.0% ^ |
Northwestern University Series 2020, 2.64%, 12/1/2050 | | |
Diversified Financial Services — 1.3% |
Berkshire Hathaway, Inc. 3.13%, 3/15/2026 | | |
Corebridge Financial, Inc. | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.87%, 12/15/2052 (a) (c) | | |
Equitable Holdings, Inc. 4.35%, 4/20/2028 | | |
National Rural Utilities Cooperative Finance Corp. | | |
| | |
| | |
| | |
(ICE LIBOR USD 3 Month + 3.63%), 5.25%, 4/20/2046 (a) | | |
ORIX Corp. (Japan) 4.00%, 4/13/2032 | | |
Shell International Finance BV (Netherlands) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Diversified Telecommunication Services — 2.8% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Bell Canada (The) (Canada) | | |
Series US-5, 2.15%, 2/15/2032 | | |
| | |
Deutsche Telekom International Finance BV (Germany) 9.25%, 6/1/2032 | | |
Orange SA (France) 5.38%, 1/13/2042 | | |
Telefonica Emisiones SA (Spain) 7.05%, 6/20/2036 | | |
| | |
|
Diversified Telecommunication Services — continued |
TELUS Corp. (Canada) 2.80%, 2/16/2027 | | |
Verizon Communications, Inc. | | |
| | |
| | |
| | |
| | |
| | |
Electric Utilities — 5.3% |
AEP Transmission Co. LLC Series M, 3.65%, 4/1/2050 | | |
| | |
| | |
| | |
Series A, 4.30%, 7/15/2048 | | |
American Electric Power Co., Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.68%), 3.88%, 2/15/2062 (a) | | |
Arizona Public Service Co. 4.25%, 3/1/2049 | | |
Baltimore Gas and Electric Co. | | |
| | |
| | |
Commonwealth Edison Co. 3.00%, 3/1/2050 | | |
Connecticut Light and Power Co. (The) Series A, 4.15%, 6/1/2045 | | |
Dominion Energy South Carolina, Inc. Series A, 2.30%, 12/1/2031 | | |
DTE Electric Co. 2.95%, 3/1/2050 | | |
| | |
| | |
| | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.32%), 3.25%, 1/15/2082 (a) | | |
| | |
Series YYY, 3.25%, 10/1/2049 | | |
| | |
Duke Energy Ohio, Inc. 4.30%, 2/1/2049 | | |
Duke Energy Progress LLC 3.25%, 8/15/2025 | | |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | | |
Entergy Louisiana LLC 4.00%, 3/15/2033 | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Electric Utilities — continued |
Exelon Corp. 3.95%, 6/15/2025 | | |
Florida Power & Light Co. | | |
| | |
| | |
| | |
| | |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | | |
Gulf Power Co. Series A, 3.30%, 5/30/2027 | | |
MidAmerican Energy Co. 4.25%, 5/1/2046 | | |
Northern States Power Co. 3.60%, 5/15/2046 | | |
Oncor Electric Delivery Co. LLC 4.10%, 11/15/2048 | | |
Pacific Gas and Electric Co. | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
PPL Electric Utilities Corp. 3.00%, 10/1/2049 | | |
Public Service Electric and Gas Co. 2.05%, 8/1/2050 | | |
Southern California Edison Co. | | |
| | |
Series 13-A, 3.90%, 3/15/2043 | | |
Series C, 3.60%, 2/1/2045 | | |
| | |
Virginia Electric and Power Co. | | |
Series A, 3.15%, 1/15/2026 | | |
Series A, 3.50%, 3/15/2027 | | |
| | |
| | |
Electrical Equipment — 0.1% |
Hubbell, Inc. 2.30%, 3/15/2031 | | |
Rockwell Automation, Inc. 2.80%, 8/15/2061 | | |
| | |
Electronic Equipment, Instruments & Components — 0.4% |
Amphenol Corp. 2.20%, 9/15/2031 | | |
Corning, Inc. 4.75%, 3/15/2042 | | |
Teledyne Technologies, Inc. 2.75%, 4/1/2031 | | |
| | |
| | |
|
Energy Equipment & Services — 0.2% |
Baker Hughes Holdings LLC 4.08%, 12/15/2047 | | |
| | |
| | |
| | |
NOV, Inc. 3.95%, 12/1/2042 | | |
| | |
|
Electronic Arts, Inc. 1.85%, 2/15/2031 | | |
Take-Two Interactive Software, Inc. 3.30%, 3/28/2024 | | |
| | |
| | |
| | |
Warnermedia Holdings, Inc. 5.39%, 3/15/2062 (c) | | |
| | |
Equity Real Estate Investment Trusts (REITs) — 2.7% |
Alexandria Real Estate Equities, Inc. | | |
| | |
| | |
American Assets Trust LP 3.38%, 2/1/2031 | | |
American Homes 4 Rent LP 3.38%, 7/15/2051 | | |
American Tower Corp. 3.38%, 10/15/2026 | | |
| | |
| | |
| | |
Brandywine Operating Partnership LP 7.55%, 3/15/2028 | | |
Brixmor Operating Partnership LP 4.05%, 7/1/2030 | | |
Broadstone Net Lease LLC 2.60%, 9/15/2031 | | |
Camden Property Trust 2.80%, 5/15/2030 | | |
Crown Castle, Inc. 5.20%, 2/15/2049 | | |
EPR Properties 4.50%, 6/1/2027 | | |
Equinix, Inc. 3.20%, 11/18/2029 | | |
Essex Portfolio LP 2.65%, 9/1/2050 | | |
Federal Realty Investment Trust 3.25%, 7/15/2027 | | |
Healthpeak Properties Interim, Inc. 2.88%, 1/15/2031 | | |
Host Hotels & Resorts LP Series J, 2.90%, 12/15/2031 | | |
Kimco Realty OP LLC 2.25%, 12/1/2031 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Equity Real Estate Investment Trusts (REITs) — continued |
National Retail Properties, Inc. 3.10%, 4/15/2050 | | |
Piedmont Operating Partnership LP 2.75%, 4/1/2032 | | |
Realty Income Corp. 4.65%, 3/15/2047 | | |
Regency Centers LP 3.70%, 6/15/2030 | | |
Safehold Operating Partnership LP 2.85%, 1/15/2032 | | |
Simon Property Group LP 2.45%, 9/13/2029 | | |
Spirit Realty LP 3.20%, 2/15/2031 | | |
| | |
| | |
| | |
UDR, Inc. 3.00%, 8/15/2031 | | |
Ventas Realty LP 2.50%, 9/1/2031 | | |
| | |
| | |
| | |
Welltower OP LLC 4.95%, 9/1/2048 | | |
Weyerhaeuser Co. 4.00%, 3/9/2052 | | |
| | |
Food & Staples Retailing — 1.1% |
Costco Wholesale Corp. 1.38%, 6/20/2027 | | |
Kroger Co. (The) 5.40%, 1/15/2049 | | |
| | |
| | |
| | |
Walgreens Boots Alliance, Inc. 4.10%, 4/15/2050 | | |
| | |
| | |
| | |
| | |
|
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | | |
Conagra Brands, Inc. 5.40%, 11/1/2048 | | |
J M Smucker Co. (The) 3.55%, 3/15/2050 | | |
JBS USA LUX SA 4.38%, 2/2/2052 (c) | | |
| | |
| | |
| | |
Pilgrim's Pride Corp. 4.25%, 4/15/2031 | | |
Tyson Foods, Inc. 5.10%, 9/28/2048 | | |
| | |
| | |
|
|
Atmos Energy Corp. 5.75%, 10/15/2052 | | |
National Fuel Gas Co. 2.95%, 3/1/2031 | | |
Piedmont Natural Gas Co., Inc. 5.05%, 5/15/2052 | | |
Southwest Gas Corp. 3.18%, 8/15/2051 | | |
| | |
Health Care Equipment & Supplies — 1.2% |
| | |
| | |
| | |
Baxter International, Inc. | | |
| | |
| | |
Becton Dickinson and Co. 4.69%, 12/15/2044 | | |
Boston Scientific Corp. 4.70%, 3/1/2049 | | |
DENTSPLY SIRONA, Inc. 3.25%, 6/1/2030 | | |
DH Europe Finance II Sarl | | |
| | |
| | |
| | |
| | |
| | |
Stryker Corp. 2.90%, 6/15/2050 | | |
Zimmer Biomet Holdings, Inc. 2.60%, 11/24/2031 | | |
| | |
Health Care Providers & Services — 4.0% |
Aetna, Inc. 3.88%, 8/15/2047 | | |
Ascension Health 3.95%, 11/15/2046 | | |
Cardinal Health, Inc. 4.37%, 6/15/2047 | | |
| | |
| | |
| | |
| | |
| | |
| | |
CommonSpirit Health 6.07%, 11/1/2027 | | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Health Care Providers & Services — continued |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Laboratory Corp. of America Holdings 4.70%, 2/1/2045 | | |
Novant Health, Inc. 3.32%, 11/1/2061 | | |
Quest Diagnostics, Inc. 2.80%, 6/30/2031 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Hotels, Restaurants & Leisure — 0.6% |
Expedia Group, Inc. 3.25%, 2/15/2030 | | |
Marriott International, Inc. Series II, 2.75%, 10/15/2033 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Household Durables — 0.2% |
Leggett & Platt, Inc. 3.50%, 11/15/2051 | | |
Lennar Corp. 4.75%, 11/29/2027 | | |
MDC Holdings, Inc. 3.97%, 8/6/2061 | | |
| | |
Household Products — 0.3% |
Colgate-Palmolive Co. 4.00%, 8/15/2045 | | |
| | |
|
Household Products — continued |
Kimberly-Clark Corp. 2.88%, 2/7/2050 | | |
Procter & Gamble Co. (The) 3.50%, 10/25/2047 | | |
| | |
Industrial Conglomerates — 0.3% |
| | |
GE Capital Funding LLC 4.55%, 5/15/2032 | | |
Honeywell International, Inc. 2.80%, 6/1/2050 | | |
| | |
|
ACE Capital Trust II 9.70%, 4/1/2030 | | |
Aflac, Inc. 3.60%, 4/1/2030 | | |
Alleghany Corp. 3.25%, 8/15/2051 | | |
Allstate Corp. (The) (ICE LIBOR USD 3 Month + 2.12%), 6.50%, 5/15/2057 (a) | | |
American Equity Investment Life Holding Co. 5.00%, 6/15/2027 | | |
American International Group, Inc. | | |
| | |
| | |
Series A-9, (ICE LIBOR USD 3 Month + 2.87%), 5.75%, 4/1/2048 (a) | | |
Aon Corp. 6.25%, 9/30/2040 | | |
Arch Capital Group Ltd. 3.64%, 6/30/2050 | | |
Assurant, Inc. 2.65%, 1/15/2032 | | |
AXIS Specialty Finance LLC (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.19%), 4.90%, 1/15/2040 (a) (b) | | |
Berkshire Hathaway Finance Corp. | | |
| | |
| | |
| | |
Chubb INA Holdings, Inc. 6.70%, 5/15/2036 | | |
Cincinnati Financial Corp. 6.13%, 11/1/2034 | | |
Enstar Group Ltd. 4.95%, 6/1/2029 | | |
F&G Annuities & Life, Inc. 7.40%, 1/13/2028 (c) | | |
Fidelity National Financial, Inc. 3.20%, 9/17/2051 | | |
Lincoln National Corp. 3.35%, 3/9/2025 | | |
Loews Corp. 6.00%, 2/1/2035 | | |
Manulife Financial Corp. (Canada) (USD ICE Swap Rate 5 Year + 1.65%), 4.06%, 2/24/2032 (a) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Marsh & McLennan Cos., Inc. | | |
| | |
| | |
| | |
| | |
| | |
PartnerRe Finance B LLC (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.82%), 4.50%, 10/1/2050 (a) | | |
Primerica, Inc. 2.80%, 11/19/2031 | | |
Principal Financial Group, Inc. 4.63%, 9/15/2042 | | |
Progressive Corp. (The) 4.13%, 4/15/2047 | | |
Prudential Financial, Inc. | | |
(ICE LIBOR USD 3 Month + 3.04%), 5.20%, 3/15/2044 (a) | | |
(ICE LIBOR USD 3 Month + 2.67%), 5.70%, 9/15/2048 (a) | | |
Prudential plc (Hong Kong) 3.63%, 3/24/2032 | | |
Selective Insurance Group, Inc. 5.38%, 3/1/2049 | | |
Transatlantic Holdings, Inc. 8.00%, 11/30/2039 | | |
Travelers Cos., Inc. (The) 4.10%, 3/4/2049 | | |
Willis North America, Inc. 3.88%, 9/15/2049 | | |
XLIT Ltd. (Bermuda) 5.50%, 3/31/2045 | | |
| | |
Interactive Media & Services — 0.2% |
Alphabet, Inc. 2.25%, 8/15/2060 | | |
| | |
| | |
| | |
| | |
Internet & Direct Marketing Retail — 1.0% |
| | |
| | |
| | |
| | |
| | |
| | |
eBay, Inc. 3.65%, 5/10/2051 | | |
| | |
|
Automatic Data Processing, Inc. 1.25%, 9/1/2030 | | |
| | |
|
|
Fidelity National Information Services, Inc. 5.10%, 7/15/2032 | | |
Fiserv, Inc. 4.40%, 7/1/2049 | | |
| | |
| | |
| | |
International Business Machines Corp. | | |
| | |
| | |
| | |
Kyndryl Holdings, Inc. 4.10%, 10/15/2041 | | |
Mastercard, Inc. 3.85%, 3/26/2050 | | |
PayPal Holdings, Inc. 5.25%, 6/1/2062 | | |
VeriSign, Inc. 2.70%, 6/15/2031 | | |
Visa, Inc. 2.00%, 8/15/2050 | | |
Western Union Co. (The) 2.75%, 3/15/2031 | | |
| | |
|
Hasbro, Inc. 3.90%, 11/19/2029 | | |
Life Sciences Tools & Services — 0.6% |
Agilent Technologies, Inc. 2.30%, 3/12/2031 | | |
Illumina, Inc. 5.75%, 12/13/2027 | | |
PerkinElmer, Inc. 3.63%, 3/15/2051 | | |
Thermo Fisher Scientific, Inc. | | |
| | |
| | |
| | |
|
Caterpillar, Inc. 6.05%, 8/15/2036 | | |
CNH Industrial Capital LLC 1.45%, 7/15/2026 | | |
Deere & Co. 2.88%, 9/7/2049 | | |
Illinois Tool Works, Inc. 2.65%, 11/15/2026 | | |
| | |
| | |
| | |
| | |
Parker-Hannifin Corp. 4.10%, 3/1/2047 | | |
Snap-on, Inc. 4.10%, 3/1/2048 | | |
Stanley Black & Decker, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.66%), 4.00%, 3/15/2060 (a) | | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
|
Charter Communications Operating LLC | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Discovery Communications LLC | | |
| | |
| | |
| | |
| | |
Fox Corp. 5.58%, 1/25/2049 | | |
Interpublic Group of Cos., Inc. (The) 3.38%, 3/1/2041 | | |
Omnicom Group, Inc. 2.60%, 8/1/2031 | | |
| | |
| | |
| | |
Time Warner Cable LLC 6.55%, 5/1/2037 | | |
| | |
|
ArcelorMittal SA (Luxembourg) 6.75%, 3/1/2041 (d) | | |
Barrick Gold Corp. (Canada) 6.45%, 10/15/2035 | | |
Freeport-McMoRan, Inc. 4.25%, 3/1/2030 | | |
Kinross Gold Corp. (Canada) 4.50%, 7/15/2027 | | |
Newmont Corp. 2.25%, 10/1/2030 | | |
Nucor Corp. 4.30%, 5/23/2027 | | |
Reliance Steel & Aluminum Co. 2.15%, 8/15/2030 | | |
Rio Tinto Finance USA Ltd. (Australia) 2.75%, 11/2/2051 | | |
Southern Copper Corp. (Mexico) 5.88%, 4/23/2045 | | |
| | |
|
Metals & Mining — continued |
Teck Resources Ltd. (Canada) 3.90%, 7/15/2030 | | |
Vale Overseas Ltd. (Brazil) 6.88%, 11/10/2039 | | |
| | |
|
Dollar General Corp. 5.50%, 11/1/2052 | | |
Dollar Tree, Inc. 3.38%, 12/1/2051 | | |
Target Corp. 3.38%, 4/15/2029 | | |
| | |
|
| | |
| | |
| | |
Berkshire Hathaway Energy Co. | | |
| | |
| | |
| | |
CenterPoint Energy, Inc. 2.65%, 6/1/2031 | | |
Consolidated Edison Co. of New York, Inc. | | |
Series 20B, 3.95%, 4/1/2050 | | |
| | |
Consumers Energy Co. 3.95%, 7/15/2047 | | |
Dominion Energy, Inc. 3.90%, 10/1/2025 | | |
| | |
| | |
| | |
| | |
| | |
San Diego Gas & Electric Co. | | |
Series VVV, 1.70%, 10/1/2030 | | |
| | |
Southern Co. Gas Capital Corp. Series 20-A, 1.75%, 1/15/2031 | | |
| | |
Oil, Gas & Consumable Fuels — 6.4% |
Boardwalk Pipelines LP 3.60%, 9/1/2032 | | |
BP Capital Markets America, Inc. | | |
| | |
| | |
| | |
| | |
BP Capital Markets plc (United Kingdom) 3.28%, 9/19/2027 | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
Oil, Gas & Consumable Fuels — continued |
Canadian Natural Resources Ltd. (Canada) 4.95%, 6/1/2047 | | |
Cenovus Energy, Inc. (Canada) 3.75%, 2/15/2052 | | |
Cheniere Energy Partners LP 4.00%, 3/1/2031 | | |
Chevron Corp. 2.95%, 5/16/2026 | | |
Columbia Pipeline Group, Inc. 4.50%, 6/1/2025 | | |
ConocoPhillips 5.90%, 10/15/2032 | | |
ConocoPhillips Co. 4.03%, 3/15/2062 | | |
DCP Midstream Operating LP 5.60%, 4/1/2044 | | |
Devon Energy Corp. 5.00%, 6/15/2045 | | |
Diamondback Energy, Inc. 3.50%, 12/1/2029 | | |
Enbridge Energy Partners LP Series B, 7.50%, 4/15/2038 | | |
| | |
| | |
| | |
| | |
| | |
| | |
Enterprise Products Operating LLC | | |
| | |
| | |
| | |
| | |
EQT Corp. 7.00%, 2/1/2030 (d) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Magellan Midstream Partners LP 4.20%, 10/3/2047 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Oil, Gas & Consumable Fuels — continued |
| | |
| | |
| | |
ONEOK, Inc. 5.20%, 7/15/2048 | | |
Ovintiv, Inc. 6.50%, 2/1/2038 | | |
Phillips 66 4.88%, 11/15/2044 | | |
Pioneer Natural Resources Co. 1.90%, 8/15/2030 | | |
Plains All American Pipeline LP 6.65%, 1/15/2037 | | |
Sabine Pass Liquefaction LLC 5.63%, 3/1/2025 | | |
Suncor Energy, Inc. (Canada) 3.75%, 3/4/2051 | | |
Targa Resources Corp. 6.50%, 2/15/2053 | | |
Targa Resources Partners LP | | |
| | |
| | |
TotalEnergies Capital International SA (France) 2.83%, 1/10/2030 | | |
TransCanada PipeLines Ltd. (Canada) | | |
| | |
| | |
Transcontinental Gas Pipe Line Co. LLC 4.60%, 3/15/2048 | | |
Valero Energy Corp. 3.65%, 12/1/2051 | | |
Williams Cos., Inc. (The) 5.40%, 3/4/2044 | | |
| | |
Paper & Forest Products — 0.1% |
Suzano Austria GmbH (Brazil) 3.75%, 1/15/2031 | | |
|
Estee Lauder Cos., Inc. (The) | | |
| | |
| | |
| | |
|
Astrazeneca Finance LLC (United Kingdom) 0.70%, 5/28/2024 | | |
AstraZeneca plc (United Kingdom) | | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Corporate Bonds — continued |
Pharmaceuticals — continued |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Merck & Co., Inc. 2.90%, 12/10/2061 | | |
Mylan, Inc. 5.20%, 4/15/2048 | | |
Pfizer, Inc. 3.40%, 5/15/2024 | | |
Royalty Pharma plc 3.30%, 9/2/2040 | | |
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | | |
Viatris, Inc. 2.70%, 6/22/2030 | | |
Wyeth LLC 6.50%, 2/1/2034 | | |
Zoetis, Inc. 2.00%, 5/15/2030 | | |
| | |
Professional Services — 0.1% |
Thomson Reuters Corp. (Canada) 5.65%, 11/23/2043 | | |
Verisk Analytics, Inc. 3.63%, 5/15/2050 | | |
| | |
|
Burlington Northern Santa Fe LLC 4.45%, 1/15/2053 | | |
Canadian National Railway Co. (Canada) 4.40%, 8/5/2052 | | |
Canadian Pacific Railway Co. (Canada) | | |
| | |
| | |
| | |
| | |
| | |
Kansas City Southern 4.30%, 5/15/2043 | | |
| | |
| | |
| | |
Ryder System, Inc. 2.85%, 3/1/2027 | | |
Triton Container International Ltd. (Bermuda) 3.25%, 3/15/2032 | | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
Semiconductors & Semiconductor Equipment — 3.2% |
Analog Devices, Inc. 3.50%, 12/5/2026 | | |
Broadcom Corp. 3.13%, 1/15/2025 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
KLA Corp. 4.10%, 3/15/2029 | | |
Marvell Technology, Inc. 2.95%, 4/15/2031 | | |
Micron Technology, Inc. 3.48%, 11/1/2051 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
| | |
| | |
| | |
| | |
| | |
Roper Technologies, Inc. 1.75%, 2/15/2031 | | |
Salesforce, Inc. 3.05%, 7/15/2061 | | |
VMware, Inc. 2.20%, 8/15/2031 | | |
| | |
|
AutoZone, Inc. 1.65%, 1/15/2031 | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Technology Hardware, Storage & Peripherals — 1.8% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
HP, Inc. 6.00%, 9/15/2041 | | |
| | |
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
BAT Capital Corp. (United Kingdom) | | |
| | |
| | |
| | |
Philip Morris International, Inc. | | |
| | |
| | |
Reynolds American, Inc. (United Kingdom) 4.45%, 6/12/2025 | | |
| | |
Trading Companies & Distributors — 0.2% |
Air Lease Corp. 3.13%, 12/1/2030 | | |
| | |
| | |
| | |
WW Grainger, Inc. 3.75%, 5/15/2046 | | |
| | |
|
American Water Capital Corp. | | |
| | |
| | |
Essential Utilities, Inc. 5.30%, 5/1/2052 | | |
| | |
Wireless Telecommunication Services — 1.5% |
America Movil SAB de CV (Mexico) 3.63%, 4/22/2029 | | |
Rogers Communications, Inc. (Canada) 3.70%, 11/15/2049 | | |
| | |
| | |
| | |
| | |
| | |
| | |
Vodafone Group plc (United Kingdom) 5.13%, 6/19/2059 | | |
| | |
Total Corporate Bonds
(Cost $48,211,926) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Asset-Backed Securities — 0.1% |
JetBlue Pass-Through Trust Series 2019-1, Class AA, 2.75%, 5/15/2032 | | |
United Airlines Pass-Through Trust Series 2020-1, Class B, 4.88%, 1/15/2026 | | |
Total Asset-Backed Securities
(Cost $35,612) | | |
| | |
Short-Term Investments — 0.6% |
Investment Companies — 0.6% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (e) (f)
(Cost $265,119) | | |
Total Investments — 98.8%
(Cost $48,512,657) | | |
Other Assets Less Liabilities — 1.2% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Chicago Mercantile Exchange |
| Intercontinental Exchange |
| London Interbank Offered Rate |
| |
| Secured Overnight Financing Rate |
| Compounding index of the Secured Overnight Financing Rate |
| |
| Amount rounds to less than 0.1% of net assets. |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
| Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at February 28, 2023 is $265,459 or 0.59% of the Fund’s net assets as of February 28, 2023 . | |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
| 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 February 28, 2023. | |
| 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. | |
| The rate shown is the current yield as of February 28, 2023. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan USD Emerging Markets Sovereign Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023
| | |
Foreign Government Securities — 87.3% |
|
| | |
| | |
| | |
| | |
|
CBB International Sukuk Co. 5 SPC 5.62%, 2/12/2024 | | |
CBB International Sukuk Co. 7 SPC 6.88%, 10/5/2025 (a) | | |
CBB International Sukuk Programme Co. SPC | | |
| | |
| | |
CBB International Sukuk Programme Co. WLL 3.88%, 5/18/2029 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Bolivia, Plurinational State of — 0.3% |
Plurinational State of Bolivia | | |
| | |
| | |
| | |
|
Federative Republic of Brazil | | |
| | |
| | |
| | |
| | |
| | |
| | |
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|
|
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| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
People's Republic of China | | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan USD Emerging Markets Sovereign Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Foreign Government Securities — continued |
|
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Republic of Cote d'Ivoire | | |
| | |
| | |
| | |
Dominican Republic — 6.4% |
Dominican Republic Government Bond | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
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|
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|
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Gabonese Republic 6.63%, 2/6/2031 (a) | | |
|
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Export-Import Bank of India 3.25%, 1/15/2030 (a) | | |
|
Perusahaan Penerbit SBSN Indonesia III | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Foreign Government Securities — continued |
|
Republic of Iraq 5.80%, 1/15/2028 (a) | | |
|
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| | |
| | |
| | |
| | |
|
Hashemite Kingdom of Jordan | | |
| | |
| | |
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|
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|
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|
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|
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|
|
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|
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|
Oman Sovereign Sukuk SAOC | | |
| | |
| | |
| | |
| | |
Sultanate of Oman Government Bond | | |
| | |
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| | |
|
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| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan USD Emerging Markets Sovereign Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Foreign Government Securities — continued |
|
| | |
| | |
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|
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|
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|
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|
|
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|
Republic of Poland 3.25%, 4/6/2026 | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
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| | |
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|
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|
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| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Foreign Government Securities — continued |
|
| | |
KSA Sukuk Ltd. 2.25%, 5/17/2031 (a) | | |
| | |
|
| | |
| | |
| | |
| | |
| | |
|
Republic of Serbia 2.13%, 12/1/2030 (a) | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Trinidad And Tobago — 0.4% |
Republic of Trinidad and Tobago | | |
| | |
| | |
| | |
|
Banque Centrale de Tunisie 5.75%, 1/30/2025 (a) | | |
Tunisian Republic 5.75%, 1/30/2025 (a) | | |
| | |
|
Hazine Mustesarligi Varlik Kiralama A/S | | |
| | |
| | |
| | |
| | |
| | |
|
|
| | |
| | |
| | |
| | |
| | |
| | |
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| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
United Arab Emirates — 1.8% |
Sharjah Sukuk Program Ltd. 2.94%, 6/10/2027 (a) | | |
United Arab Emirates Government Bond | | |
| | |
| | |
| | |
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| | |
| | |
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| | |
| | |
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| | |
|
Oriental Republic of Uruguay | | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
JPMorgan USD Emerging Markets Sovereign Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF February 28, 2023 (continued)
| | |
Foreign Government Securities — continued |
|
| | |
| | |
| | |
|
Socialist Republic of Vietnam | | |
| | |
| | |
| | |
Total Foreign Government Securities
(Cost $207,150,944) | | |
|
|
Southern Gas Corridor CJSC | | |
| | |
| | |
| | |
|
Oil and Gas Holding Co. BSCC (The) | | |
| | |
| | |
| | |
|
Corp. Nacional del Cobre de Chile | | |
| | |
| | |
| | |
| | |
Empresa de Transporte de Pasajeros Metro SA 4.70%, 5/7/2050 (a) | | |
| | |
|
CNAC HK Finbridge Co. Ltd. 4.13%, 7/19/2027 (a) | | |
Minmetals Bounteous Finance BVI Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.21%), 3.38%, 9/3/2024 (a) (d) (e) (f) | | |
Sinopec Group Overseas Development 2012 Ltd. 4.88%, 5/17/2042 (a) | | |
Sinopec Group Overseas Development 2017 Ltd. 3.63%, 4/12/2027 (b) | | |
| | |
|
|
Sinopec Group Overseas Development 2018 Ltd. | | |
| | |
| | |
State Grid Overseas Investment BVI Ltd. | | |
| | |
| | |
| | |
| | |
| | |
|
Indonesia Asahan Aluminium Persero PT 5.45%, 5/15/2030 | | |
| | |
| | |
| | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
Banco Nacional de Comercio Exterior SNC 4.38%, 10/14/2025 (c) | | |
Mexico City Airport Trust 5.50%, 7/31/2047 (a) | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| | |
Corporate Bonds — continued |
|
Aeropuerto Internacional de Tocumen SA 5.13%, 8/11/2061 (a) | | |
Banco Nacional de Panama 2.50%, 8/11/2030 (c) | | |
| | |
|
| | |
| | |
| | |
| | |
|
QatarEnergy 3.13%, 7/12/2041 (a) | | |
|
| | |
| | |
| | |
| | |
| | |
| | |
United Arab Emirates — 1.1% |
Abu Dhabi Crude Oil Pipeline LLC 4.60%, 11/2/2047 (a) | | |
DP World Ltd. 6.85%, 7/2/2037 (a) | | |
| | |
| | |
| | |
| | |
| | |
Total Corporate Bonds
(Cost $24,704,726) | | |
| | |
Short-Term Investments — 5.2% |
Investment Companies — 0.5% |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (g) (h)(Cost $1,134,608) | | |
Investment of Cash Collateral from Securities Loaned — 4.7% |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.78% (g) (h) | | |
| | |
|
Investment of Cash Collateral from Securities Loaned — continued |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (g) (h) | | |
Total Investment of Cash Collateral from Securities Loaned
(Cost $10,612,220) | | |
Total Short-Term Investments
(Cost $11,746,828) | | |
Total Investments — 102.8%
(Cost $243,602,498) | | |
Liabilities in Excess of Other Assets — (2.8)% | | |
| | |
Percentages indicated are based on net assets. |
| |
| Closed Joint Stock Company |
| |
| Limited liability company |
| |
| 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. |
| Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| The security or a portion of this security is on loan at February 28, 2023. The total value of securities on loan at February 28, 2023 is $10,236,607. |
| Security is an interest bearing note with preferred security characteristics. |
| Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of February 28, 2023. |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. |
| 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. |
| The rate shown is the current yield as of February 28, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF February 28, 2023
| JPMorgan
BetaBuilders
1-5 Year U.S.
Aggregate
Bond ETF | JPMorgan
BetaBuilders
U.S. Aggregate
Bond ETF
(formerly known as
JPMorgan
U.S. Aggregate
Bond ETF) | JPMorgan
BetaBuilders
USD High
Yield Corporate
Bond ETF
(formerly known as
JPMorgan High
Yield Research
Enhanced ETF) |
| | | |
Investments in non-affiliates, at value | | | |
Investments in affiliates, at value | | | |
Investments of cash collateral received from securities loaned, at value
(See Note 2.D.) | | | |
| | | |
Foreign currency, at value | | | |
Segregated cash balance with Authorized Participant for deposit securities | | | |
| | | |
Investment securities sold | | | |
Interest from non-affiliates | | | |
Dividends from affiliates | | | |
| | | |
Securities lending income (See Note 2.D.) | | | |
| | | |
| | | |
| | | |
| | | |
Investment securities purchased | | | |
Investment securities purchased — delayed delivery securities | | | |
Collateral received on securities loaned (See Note 2.D.) | | | |
Collateral upon return of deposit securities | | | |
| | | |
Management fees (See Note 3.A.) | | | |
| | | |
| | | |
| | | |
| | | |
Total distributable earnings (loss) | | | |
| | | |
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001) | | | |
Net asset value, per share | | | |
Cost of investments in non-affiliates | | | |
Cost of investments in affiliates | | | |
| | | |
Investment securities on loan, at value (See Note 2.D.) | | | |
Cost of investment of cash collateral (See Note 2.D.) | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan
BetaBuilders
USD Investment
Grade Corporate
Bond ETF
(formerly known as
JPMorgan Corporate
Bond Research
Enhanced ETF) | JPMorgan USD
Emerging
Markets
Sovereign
Bond ETF |
| | |
Investments in non-affiliates, at value | | |
Investments in affiliates, at value | | |
Investments of cash collateral received from securities loaned, at value
(See Note 2.D.) | | |
| | |
Foreign currency, at value | | |
Segregated cash balance with Authorized Participant for deposit securities | | |
| | |
Investment securities sold | | |
Interest from non-affiliates | | |
Dividends from affiliates | | |
Securities lending income (See Note 2.D.) | | |
| | |
| | |
| | |
Investment securities purchased | | |
Collateral received on securities loaned (See Note 2.D.) | | |
Collateral upon return of deposit securities | | |
| | |
Management fees (See Note 3.A.) | | |
| | |
| | |
| | |
| | |
| | |
Total distributable earnings (loss) | | |
| | |
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001) | | |
Net asset value, per share | | |
Cost of investments in non-affiliates | | |
Cost of investments in affiliates | | |
| | |
Investment securities on loan, at value (See Note 2.D.) | | |
Cost of investment of cash collateral (See Note 2.D.) | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED February 28, 2023
| JPMorgan
BetaBuilders
1-5 Year U.S.
Aggregate
Bond ETF | JPMorgan
BetaBuilders
U.S. Aggregate
Bond ETF
(formerly known as
JPMorgan
U.S. Aggregate
Bond ETF) | JPMorgan
BetaBuilders
USD High
Yield Corporate
Bond ETF
(formerly known as
JPMorgan High
Yield Research
Enhanced ETF) |
| | | |
Interest income from non-affiliates | | | |
Interest income from affiliates | | | |
Dividend income from affiliates | | | |
Income from securities lending (net) (See Note 2.D.) | | | |
| | | |
| | | |
Management fees (See Note 3.A.) | | | |
Interest expense to affiliates | | | |
| | | |
| | | |
Net investment income (loss) | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | |
Net realized gain (loss) on transactions from: | | | |
Investments in non-affiliates | | | |
In-kind redemptions of investments in non-affiliates (See Note 4) | | | |
Foreign currency transactions | | | |
| | | |
Change in net unrealized appreciation/depreciation on: | | | |
Investments in non-affiliates | | | |
Investments in affiliates | | | |
Foreign currency translations | | | |
Change in net unrealized appreciation/depreciation | | | |
Net realized/unrealized gains (losses) | | | |
Change in net assets resulting from operations | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan
BetaBuilders
USD Investment
Grade Corporate
Bond ETF
(formerly known as
JPMorgan Corporate
Bond Research
Enhanced ETF) | JPMorgan USD
Emerging
Markets
Sovereign
Bond ETF |
| | |
Interest income from non-affiliates | | |
Interest income from affiliates | | |
Dividend income from affiliates | | |
Income from securities lending (net) (See Note 2.D.) | | |
| | |
| | |
Management fees (See Note 3.A.) | | |
| | |
| | |
Net investment income (loss) | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | |
Net realized gain (loss) on transactions from: | | |
Investments in non-affiliates | | |
In-kind redemptions of investments in non-affiliates (See Note 4) | | |
| | |
Foreign currency transactions | | |
| | |
Change in net unrealized appreciation/depreciation on: | | |
Investments in non-affiliates | | |
Investments in affiliates | | |
| | |
Foreign currency translations | | |
Change in net unrealized appreciation/depreciation | | |
Net realized/unrealized gains (losses) | | |
Change in net assets resulting from operations | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
| JPMorgan BetaBuilders 1-5 Year U.S.
Aggregate Bond ETF | JPMorgan BetaBuilders U.S.
Aggregate Bond ETF
(formerly known as JPMorgan U.S.
Aggregate Bond ETF) |
| Year Ended
February 28, 2023 | Year Ended
February 28, 2022 | Year Ended
February 28, 2023 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
Net increase (decrease) in shares from share transactions | | | | |
(a)
Reflects a 1:2 reverse stock split that occurred on April 12, 2021. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| JPMorgan BetaBuilders USD High
Yield Corporate Bond ETF
(formerly known as JPMorgan High Yield
Research Enhanced ETF) | JPMorgan BetaBuilders USD Investment
Grade Corporate Bond ETF
(formerly known as JPMorgan Corporate
Bond Research Enhanced ETF) |
| Year Ended
February 28, 2023 | Year Ended
February 28, 2022 | Year Ended
February 28, 2023 | Year Ended
February 28, 2022 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | |
Net investment income (loss) | | | | |
| | | | |
Change in net unrealized appreciation/depreciation | | | | |
Change in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | |
Total distributions to shareholders | | | | |
| | | | |
Change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Proceeds from shares issued | | | | |
| | | | |
Total change in net assets resulting from capital transactions | | | | |
| | | | |
| | | | |
| | | | |
Net increase (decrease) in shares from share transactions | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
| JPMorgan
USD Emerging Markets
Sovereign Bond ETF |
| Year Ended
February 28, 2023 | Year Ended
February 28, 2022 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | |
Net investment income (loss) | | |
| | |
Change in net unrealized appreciation/depreciation | | |
Change in net assets resulting from operations | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | |
Total distributions to shareholders | | |
| | |
Change in net assets resulting from capital transactions | | |
| | |
| | |
| | |
| | |
| | |
Proceeds from shares issued | | |
| | |
Total change in net assets resulting from capital transactions | | |
| | |
| | |
| | |
Net increase (decrease) in shares from share transactions | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
THIS PAGE IS INTENTIONALLY LEFT BLANK
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net investment
income
(loss) (b) | Net realized
and unrealized
gains
(losses)
on investments | Total from
investment
operations | | | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 (f) | | | | | | | |
Year Ended February 28, 2021 (f) | | | | | | | |
March 12, 2019 (g) through February 29, 2020 (f) | | | | | | | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly known as JPMorgan U.S. Aggregate Bond ETF) | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 (f) | | | | | | | |
Year Ended February 28, 2021 (f) | | | | | | | |
Year Ended February 29, 2020 (f) | | | | | | | |
December 12, 2018 (g) through February 28, 2019 (f) | | | | | | | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (formerly known as JPMorgan High Yield Research Enhanced ETF) | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
Year Ended February 28, 2019 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the midpoint of the bid/ask spread at the close of business on the listing exchange of the Fund. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ask spread at the close of business on the exchange. |
| Per share amounts reflects a 1:2 reverse stock split that occurred on April 12, 2021. See Note 1. |
| Commencement of operations. |
| Since the Shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from the inception to the first day of secondary market trading, the net asset value is used as a proxy for the secondary market trading price to calculate the market returns. |
| Prior to November 1, 2019, the Fund may have waived fees if expenses exceeded the expense cap. On November 1, 2019, the Fund adopted a unitary fee structure where a management fee is accrued by the Fund based on prior day net assets and other expenses are paid by the Advisor. |
| Certain non-recurring expenses incurred by the Portfolio were not annualized for the period indicated. |
| Calculation of the net realized and unrealized gains (losses) per share does not correlate with the Fund’s net realized and unrealized gains (losses) presented in the Statement of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| | | | | Ratios to average net assets (a) | |
Net asset
value,
end of
period | | | Market
price
total
return (c)(e) | | | Net
investment
income
(loss) | Expenses
without waivers
and reimbursements | Portfolio
turnover
rate (c) |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| | | |
| Net asset
value,
beginning
of period | Net investment
income
(loss) (b) | Net realized
and unrealized
gains
(losses)
on investments | Total from
investment
operations | | | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF) | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
December 12, 2018 (g) through February 28, 2019 | | | | | | | |
JPMorgan USD Emerging Markets Sovereign Bond ETF | | | | | | | |
Year Ended February 28, 2023 | | | | | | | |
Year Ended February 28, 2022 | | | | | | | |
Year Ended February 28, 2021 | | | | | | | |
Year Ended February 29, 2020 | | | | | | | |
Year Ended February 28, 2019 | | | | | | | |
|
| Annualized for periods less than one year, unless otherwise noted. |
| Calculated based upon average shares outstanding. |
| Not annualized for periods less than one year. |
| Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the midpoint of the bid/ask spread at the close of business on the listing exchange of the Fund. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ask spread at the close of business on the exchange. |
| Prior to November 1, 2019, the Fund may have waived fees if expenses exceeded the expense cap. On November 1, 2019, the Fund adopted a unitary fee structure where a management fee is accrued by the Fund based on prior day net assets and other expenses are paid by the Advisor. |
| Commencement of operations. |
| Since the Shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from the inception to the first day of secondary market trading, the net asset value is used as a proxy for the secondary market trading price to calculate the market returns. |
| Certain non-recurring expenses incurred by the Portfolio were not annualized for the period indicated. |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
| |
| | | | | Ratios to average net assets (a) | |
Net asset
value,
end of
period | | | Market
price
total
return (c)(e) | | | Net
investment
income
(loss) | Expenses
without waivers
and reimbursements | Portfolio
turnover
rate (c) |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023
1. Organization
J.P. Morgan Exchange-Traded Fund Trust (the “Trust”) was formed on February 25, 2010, and is governed by a Declaration of Trust as amended and restated February 19, 2014, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 5 separate funds of the Trust (each, a "Fund" and collectively, the "Funds") covered by this report:
| Diversification Classification |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
(formerly known as JPMorgan U.S. Aggregate Bond ETF)(1) | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
(formerly known as JPMorgan High Yield Research Enhanced ETF)(2) | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF
(formerly known as JPMorgan Corporate Bond Research Enhanced ETF)(3) | |
JPMorgan USD Emerging Markets Sovereign Bond ETF | |
|
| Effective February 1 2023, JPMorgan U.S. Aggregate Bond ETF changed its name to JPMorgan BetaBuilders U.S. Aggregate Bond ETF. |
| Effective February 1 2023, JPMorgan High Yield Research Enhanced ETF changed its name to JPMorgan BetaBuilders USD High Yield Corporate Bond ETF. |
| Effective February 1 2023, JPMorgan Corporate Bond Research Enhanced ETF changed its name to JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF. |
The investment objective of JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF (“BetaBuilders 1-5 Year U.S. Aggregate Bond ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the Bloomberg Short-Term U.S. Aggregate Bond Index.
The investment objective of JPMorgan BetaBuilders U.S. Aggregate Bond ETF (“BetaBuilders U.S. Aggregate Bond ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the Bloomberg U.S. Aggregate Bond Index.
The investment objective of JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (“BetaBuilders USD High Yield Corporate Bond ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the ICE BofA US High Yield Total Return Index.
The investment objective of JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (“BetaBuilders USD Investment Grade Corporate Bond ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the Bloomberg US Corporate Bond Index.
The investment objective of JPMorgan USD Emerging Markets Sovereign Bond ETF (“USD Emerging Markets Sovereign Bond ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the JPMorgan Emerging Markets Risk-Aware Bond Index.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as adviser (the “Adviser”) and administrator (the “Administrator”) to the Funds.
Shares of each Fund are listed and traded at market price on an exchange as follows:
| |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | |
BetaBuilders U.S. Aggregate Bond ETF | |
BetaBuilders USD High Yield Corporate Bond ETF | |
BetaBuilders USD Investment Grade Corporate Bond ETF | |
USD Emerging Markets Sovereign Bond ETF | |
Market prices for the Funds’ shares may be different from their net asset value (“NAV”).
The Funds issue and redeem their shares on a continuous basis, through JPMorgan Distribution Services, Inc. (the “Distributor” or “JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, at NAV in large blocks of shares, referred to as “Creation Units”. Creation Units are issued and redeemed principally in-kind for a basket of securities. A cash amount may be substituted if a Fund has sizable exposure to market or sponsor restricted securities. Shares are generally traded in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Only individuals or institutions that have entered into an authorized participant agreement with the Distributor may do business directly with the Funds (each, an “Authorized Participant”).
| J.P. Morgan Exchange-Traded Funds | |
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds' 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 1940 Act, 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 Funds 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 Funds. 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.
Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the NAVs of the Funds are calculated on a valuation date. Certain foreign equity instruments are valued by applying international fair value factors provided by approved Pricing Services. The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated., as well as certain derivatives with foreign equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations.
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 Funds' 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 Funds' 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.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments ("SOIs"):
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
Foreign Government Securities | | | | |
Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
U.S. Government Agency Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
There were no significant transfers into or out of level 3 for the year ended February 28, 2023.
BetaBuilders U.S. Aggregate Bond ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Commercial Mortgage-Backed Securities | | | | |
| | | | |
Foreign Government Securities | | | | |
Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
U.S. Government Agency Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
Investment of Cash Collateral from Securities Loaned | | | | |
Total Short-Term Investments | | | | |
Total Investments in Securities | | | | |
There were no significant transfers into or out of level 3 for the year ended February 28, 2023.
BetaBuilders USD High Yield Corporate Bond ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| J.P. Morgan Exchange-Traded Funds | |
BetaBuilders USD High Yield Corporate Bond ETF (continued) | | | | |
| | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
BetaBuilders USD Investment Grade Corporate Bond ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Total Investments in Securities | | | | |
USD Emerging Markets Sovereign Bond ETF | | | | |
| | Level 2
Other significant
observable inputs | Level 3
Significant
unobservable inputs | |
Investments in Securities | | | | |
| | | | |
Foreign Government Securities | | | | |
| | | | |
| | | | |
Investment of Cash Collateral from Securities Loaned | | | | |
Total Short-Term Investments | | | | |
Total Investments in Securities | | | | |
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of February 28, 2023, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
C. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — BetaBuilders 1-5 Year U.S. Aggregate Bond ETF and BetaBuilders U.S. Aggregate Bond ETF purchased when-issued securities, including To Be Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF and BetaBuilders U.S. Aggregate Bond ETF had when-issued securities, delayed delivery securities or forward commitments outstanding as of February 28, 2023, which are shown as a Receivable for Investment securities sold — delayed delivery
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
securities and a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statements of Assets and Liabilities. The values of these securities held at February 28, 2023 are detailed on the SOIs, if any.
D. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of February 28, 2023.
| Investment Securities
on Loan, at value,
Presented on the
Statements of Assets
and Liabilities | Cash Collateral
Posted by Borrower* | Net Amount Due
to Counterparty
(not less than zero) |
BetaBuilders U.S. Aggregate Bond ETF | | | |
USD Emerging Markets Sovereign Bond ETF | | | |
|
| Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived management fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.13% to 0.06%. For the year ended February 28, 2023, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | |
BetaBuilders U.S. Aggregate Bond ETF | |
USD Emerging Markets Sovereign Bond ETF | |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF did not have any securities out on loan at February 28, 2023. BetaBuilders USD High Yield Corporate Bond ETF and BetaBuilders USD Investment Grade Corporate Bond ETF did not lend out any securities during the year ended February 28, 2023.
| J.P. Morgan Exchange-Traded Funds | |
E. Investment Transactions with Affiliates — The Funds invested in Underlying Funds, which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. The Underlying Funds’ distributions may be reinvested into such Underlying Funds Reinvestment amounts are included in the purchases at cost amounts in the tables below.
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF |
For the year ended February 28, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | Shares at
February 28,
2023 | | Capital Gain
Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | | | | | | | | | |
| | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of February 28, 2023. |
| Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
BetaBuilders U.S. Aggregate Bond ETF |
For the year ended February 28, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | Shares at
February 28,
2023 | | Capital Gain
Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.78% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | | | | | | | | | |
| | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of February 28, 2023. |
| Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
BetaBuilders USD High Yield Corporate Bond ETF |
For the year ended February 28, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | Shares at
February 28,
2023 | | Capital Gain
Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of February 28, 2023. |
BetaBuilders USD Investment Grade Corporate Bond ETF |
For the year ended February 28, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | Shares at
February 28,
2023 | | Capital Gain
Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of February 28, 2023. |
USD Emerging Markets Sovereign Bond ETF |
For the year ended February 28, 2023 |
| | | | | Change in
Unrealized
Appreciation/
(Depreciation) | | Shares at
February 28,
2023 | | Capital Gain
Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.78% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | | | | | | | | | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | | | | | | | | | |
| | | | | | | | | |
|
| 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. |
| The rate shown is the current yield as of February 28, 2023. |
| Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
F. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund's books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported
| J.P. Morgan Exchange-Traded Funds | |
realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at year end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
G. Futures Contracts— BetaBuilders USD Investment Grade Corporate Bond ETF used treasury futures contracts to manage and hedge interest rate and equity price risks associated with portfolio investments. The Fund also purchased futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Funds to interest rate risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds' credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Funds' futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
The table below discloses the volume of the Funds' futures contracts activity during the year ended February 28, 2023:
| BetaBuilders
USD Investment
Grade Corporate
Bond ETF
|
| |
Average Notional Balance Long | |
Average Notional Balance Short | |
H. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts.
Dividend income, net of foreign taxes withheld, if any, and distributions of net investment income and realized capital gains from the Underlying Funds, if any, are recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
I. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds' tax positions for all open tax years and has determined that as of February 28, 2023, no liability for Federal income tax is required in the Funds' financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund's Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
J. Foreign Taxes —The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. When a capital gains tax is determined to apply, the Funds record an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
K. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least monthly. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
The following amounts were reclassified within the capital accounts:
| | Accumulated
undistributed
(distributions in
excess of)
net investment
income | Accumulated
net realized
gains (losses) |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | |
BetaBuilders U.S. Aggregate Bond ETF | | | |
BetaBuilders USD High Yield Corporate Bond ETF | | | |
BetaBuilders USD Investment Grade Corporate Bond ETF | | | |
USD Emerging Markets Sovereign Bond ETF | | | |
The reclassifications for the Funds relate primarily to redemptions in-kind and tax adjustments on certain investments.
3. Fees and Other Transactions with Affiliates
A. Management Fee— JPMIM manages the investments of each Fund pursuant to a Management Agreement. For such services, JPMIM is paid a fee which is accrued daily and paid no more frequently than monthly based on each Fund's respective average daily net assets at the following rate:
| |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | |
BetaBuilders U.S. Aggregate Bond ETF | |
BetaBuilders USD High Yield Corporate Bond ETF | |
BetaBuilders USD Investment Grade Corporate Bond ETF | |
USD Emerging Markets Sovereign Bond ETF | |
|
| Prior to February 1, 2023, the investment management fee was accrued daily and paid monthly at an annual rate of 0.07% of the Fund's average daily net assets. |
| Prior to February 1, 2023, the investment management fee was accrued daily and paid monthly at an annual rate of 0.24% of the Fund's average daily net assets. |
| Prior to February 1, 2023, the investment management fee was accrued daily and paid monthly at an annual rate of 0.14% of the Fund's average daily net assets. |
Under each Management Agreement, JPMIM is responsible for substantially all expenses of each Fund, (including expenses of the Trust relating to each Fund), except for the management fees, payments under the Funds' 12b-1 plan (if any), interest expenses, dividend and interest expenses related to short sales, taxes, acquired fund fees and expenses (other than fees for funds advised by the Adviser and/or its affiliates), costs of holding shareholder meetings, and litigation and potential litigation and other extraordinary expenses not incurred in the ordinary course of each Fund’s business. Additionally, each Fund is responsible for its non-operating expenses, including brokerage commissions and fees and expenses associated with each Fund’s securities lending program, if applicable. For the avoidance of doubt, the Adviser’s payment of such expenses may be accomplished through a Fund’s payment of such expenses and a corresponding reduction in the fee payable to the Adviser, provided, however, that if the amount of expenses paid by a Fund exceeds the fee payable to the Adviser, the Adviser will reimburse that Fund for such amount.
| J.P. Morgan Exchange-Traded Funds | |
B. Administration Fee — JPMIM provides administration services to the Funds. Pursuant to each Management Agreement, JPMIM is compensated as described in Note 3.A.
JPMorgan Chase Bank, N.A. ("JPMCB"), a wholly-owned subsidiary of JPMorgan, serves as the Funds' sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the management fees payable to JPMIM.
C. Custodian, Accounting and Transfer Agent Fees— JPMCB provides custody, accounting and transfer agency services to the Funds. For performing these services, JPMIM pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses.
Additionally, Authorized Participants generally pay transaction fees associated with the creation and redemption of Fund shares. These fees are paid to JPMIM to offset certain custodian charges that are covered by each Management Agreement.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
D. Distribution Services — The Distributor or its agent distributes Creation Units for each Fund on an agency basis. The Distributor does not maintain a secondary market in shares of each Fund. JPMDS receives no fees for their distribution services under the distribution agreement with the Trust (the “Distribution Agreement”). Although the Trust does not pay any fees under the Distribution Agreement, JPMIM pays JPMDS for certain distribution related services.
E. Waivers and Reimbursements — The Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The fees for the affiliated money market funds, except for investments of securities lending cash collateral, are covered under each Management Agreement as described in Note 3.A.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers receive no compensation from the Funds for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. The fees associated with the office of the Chief Compliance Officer are paid for by JPMIM as described in Note 3.A.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
During the year ended February 28, 2023, BetaBuilders USD High Yield Corporate Bond ETF purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
4. Investment Transactions
During the year ended February 28, 2023, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases
(excluding
U.S. Government) | Sales
(excluding
U.S. Government) | Purchases
of U.S.
Government | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | | |
BetaBuilders U.S. Aggregate Bond ETF | | | | |
BetaBuilders USD High Yield Corporate Bond ETF | | | | |
BetaBuilders USD Investment Grade Corporate Bond ETF | | | | |
USD Emerging Markets Sovereign Bond ETF | | | | |
For the year ended February 28, 2023, in-kind transactions associated with creations and redemptions were as follows:
| | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | |
BetaBuilders U.S. Aggregate Bond ETF | | |
BetaBuilders USD High Yield Corporate Bond ETF | | |
BetaBuilders USD Investment Grade Corporate Bond ETF | | |
USD Emerging Markets Sovereign Bond ETF | | |
During the year ended February 28, 2023, the Funds delivered portfolio securities for the redemption of Fund shares (in-kind redemptions). Cash and portfolio securities were transferred for redemptions at fair value. For financial reporting purposes, the Funds recorded net realized gains and losses in connection with each in-kind redemption transaction.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at February 28, 2023 were as follows:
| | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | | |
BetaBuilders U.S. Aggregate Bond ETF | | | | |
BetaBuilders USD High Yield Corporate Bond ETF | | | | |
BetaBuilders USD Investment Grade Corporate Bond ETF | | | | |
USD Emerging Markets Sovereign Bond ETF | | | | |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to tax adjustments on certain investments and wash sale loss deferrals.
The tax character of distributions paid during the year ended February 28, 2023 was as follows:
| | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | |
BetaBuilders U.S. Aggregate Bond ETF | | |
BetaBuilders USD High Yield Corporate Bond ETF | | |
BetaBuilders USD Investment Grade Corporate Bond ETF | | |
USD Emerging Markets Sovereign Bond ETF | | |
|
| Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended February 28, 2022 was as follows:
| | Net
Long-Term
Capital Gains | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | |
BetaBuilders U.S. Aggregate Bond ETF | | | |
BetaBuilders USD High Yield Corporate Bond ETF | | | |
BetaBuilders USD Investment Grade Corporate Bond ETF | | | |
USD Emerging Markets Sovereign Bond ETF | | | |
|
| Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of February 28, 2023, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
| Current
Distributable
Ordinary
Income | Current
Distributable
Long-Term
Capital Gain
(Tax Basis Capital
Loss Carryover) | | Unrealized
Appreciation
(Depreciation) |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | | |
BetaBuilders U.S. Aggregate Bond ETF | | | | |
BetaBuilders USD High Yield Corporate Bond ETF | | | | |
BetaBuilders USD Investment Grade Corporate Bond ETF | | | | |
USD Emerging Markets Sovereign Bond ETF | | | | |
|
| Amount includes capital loss carryforwards which are limited in future years under Internal Revenue Code sections 381-384. |
The cumulative timing differences primarily consist of tax adjustments on certain derivatives and investments, post-October capital loss deferrals, foreign currency gain/loss and wash sale loss deferrals.
| J.P. Morgan Exchange-Traded Funds | |
At February 28, 2023, the following Funds had net capital loss carryforwards which are available to offset future realized gains:
| Capital Loss Carryforward Character |
| | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | |
BetaBuilders U.S. Aggregate Bond ETF | | |
BetaBuilders USD High Yield Corporate Bond ETF | | |
BetaBuilders USD Investment Grade Corporate Bond ETF | | |
USD Emerging Markets Sovereign Bond ETF | | |
|
| Amount includes capital loss carryforwards which are limited in future years under Internal Revenue Code sections 381-384. |
Net capital losses (gains) and specified ordinary losses incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds' next taxable year. For the year ended February 28, 2023, the Funds deferred to March 1, 2023 the following net capital losses (gains) and/or specified ordinary losses of:
| Net Capital Losses (Gains) | |
| | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | |
BetaBuilders U.S. Aggregate Bond ETF | | | |
BetaBuilders USD High Yield Corporate Bond ETF | | | |
BetaBuilders USD Investment Grade Corporate Bond ETF | | | |
USD Emerging Markets Sovereign Bond ETF | | | |
6. Capital Share Transactions
The Trust issues and redeems shares of the Funds only in Creation Units through the Distributor at NAV. Capital shares transactions detail can be found in the Statements of Changes in Net Assets.
Shares of the Funds may only be purchased or redeemed by Authorized Participants. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Funds' shares outstanding and act as executing or clearing broker for investment transactions on behalf of the Funds. An Authorized Participant is either (1) a “Participating Party” or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation (“NSCC”); or (2) a DTC Participant; which, in either case, must have executed an agreement with the Distributor.
Creation Units of a Fund may be created in advance of receipt by the Trust of all or a portion of the applicable basket of fixed income securities and other instruments (“Deposit Instruments”) and cash as described in the Funds’ registration statement. In these instances, the initial Deposit Instruments and cash must be deposited in an amount equal to the sum of the cash amount, plus at least 105%, for the Funds, of the market value of undelivered Deposit Instruments. A transaction fee may be imposed to offset transfer and other transaction costs associated with the purchase or redemption of Creation Units.
Authorized Participants transacting in Creation Units for cash may also pay a variable fee to compensate the relevant fund for market impact expenses relating to investing in portfolio securities. Such variable fees, if any, are included in “Proceeds from shares issued” in the Statements of Changes in Net Assets.
7. Borrowings
Effective November 1, 2022, the Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund, or loans outstanding to another fund, during the year ended February 28, 2023.
8. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
| J.P. Morgan Exchange-Traded Funds | |
NOTES TO FINANCIAL STATEMENTS
AS OF February 28, 2023 (continued)
As of February 28, 2023, JPMorgan SmartRetirement Funds and JPMorgan SmartRetirement Blend Funds, which are affiliated funds of funds, each owned in the aggregate, shares representing more than 10% of the net assets of the Funds as follows:
| JPMorgan
SmartRetirement
Funds | JPMorgan
SmartRetirement
Blend Funds |
BetaBuilders USD High Yield Corporate Bond ETF | | |
Significant shareholder transactions by these shareholders may impact the Funds' performance and liquidity.
As of February 28, 2023, the Adviser owned shares representing more than 10% of net assets of the following Funds:
| |
BetaBuilders USD Investment Grade Corporate Bond ETF | |
Significant shareholder transactions by the Adviser may impact the Funds' performance.
USD Emerging Markets Sovereign Bond ETF’s investments in sovereign and corporate debt obligations within emerging market countries may be subject to potentially higher risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic instability in these markets may have disruptive effects on the market prices of the Fund’s investments and the income they generate, as well as the Fund’s ability to repatriate such amounts.
BetaBuilders USD High Yield Corporate Bond ETF and USD Emerging Markets Sovereign Bond ETF invest in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. The market price of these securities can change suddenly and unexpectedly. As a result, the Funds are intended for investors who are able and willing to assume a high degree of risk.
USD Emerging Markets Sovereign Bond ETF may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of foreign countries or regions, which may vary throughout the period. Such concentrations may subject this Fund to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds.
Disruptions to creations and redemptions, the existence of significant market volatility or potential lack of an active trading market for the Shares (including through a trading halt), as well as other factors, may result in Shares trading significantly above (at a premium) or below (at a discount) to the NAV or to the intraday value of the Funds’ holdings. During such periods, investors may incur significant losses if shares are sold.
The Funds may not track the return of their underlying index for a number of reasons and therefore may not achieve their investment objective. For example, the Funds incur a number of operating expenses not applicable to their underlying index, and incur costs in buying and selling securities, especially when rebalancing the Funds’ securities holdings to reflect changes in the composition of the underlying index. In addition, each Fund’s return may differ from the return of its underlying index as a result of, among other things, pricing differences and the inability to purchase certain securities included in the underlying index due to regulatory or other restrictions. To the extent of the previously outlined items, each Fund’s return may differ from the return of the underlying index.
The Funds invest in foreign issuers and foreign securities (including depositary receipts) that are subject to additional risks, including political and economic risks, civil conflicts and war, greater volatility, expropriation and nationalization risks, sanctions or other measures by the United States or other governments, currency fluctuations, higher transaction costs, delayed settlement, possible foreign controls on investment, liquidity risks and less stringent investor protection and disclosure standards of foreign markets. In certain markets where securities and other instruments are not traded “delivery versus payment,” a Fund may not receive timely payment for securities or other instruments it has delivered or receive delivery of securities paid for and may be subject to increased risk that the counterparty will fail to make payments or delivery when due or default completely.
Events and evolving conditions in certain economies or markets may alter the risks associated with investments tied to countries or regions that historically were perceived as comparatively stable becoming riskier and more volatile.
| J.P. Morgan Exchange-Traded Funds | |
The Funds may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of foreign countries or regions, which may vary throughout the period. Such concentrations may subject each of these Funds to additional risks resulting from political or economic conditions in such countries or regions, and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.
The London Interbank Offered Rate ("LIBOR") is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority ("FCA") publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA's consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. In addition, certain regulated entities ceased entering into most new LIBOR contracts in connection with regulatory guidance or prohibitions. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance, unavailability or replacement, all of which may affect the value, volatility, liquidity or return on certain of a Fund's loans, notes, derivatives and other instruments or investments comprising some or all of a Fund's investments and result in costs incurred in connection with changing reference rates used for positions, closing out positions and entering into new trades. Certain of a Fund's investments may transition from LIBOR prior to the dates announced by the FCA. The transition from LIBOR to alternative reference rates may result in operational issues for a Fund or its investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on a Fund and its investments.
The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19 has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including among other things, reduced consumer demand and economic output, supply chain disruptions and increased government spending may continue to have a significant negative impact on the performance of a Fund's investments, increase a Fund's volatility, negatively impact a Fund’s arbitrage and pricing mechanisms, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The duration and extent of COVID-19 and associated economic and market conditions and uncertainty over the long-term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which the associated conditions impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
9. Subsequent Event
Subsequent to February 28, 2023, BetaBuilders 1-5 Year U.S. Aggregate Bond ETF had net redemptions of $18,726,088 which represented 53% of the Fund's net assets as of February 28, 2023.
| J.P. Morgan Exchange-Traded Funds | |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of J.P. Morgan Exchange-Traded Fund Trust and Shareholders of JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF, JPMorgan BetaBuilders U.S. Aggregate Bond ETF, JPMorgan BetaBuilders USD High Yield Corporate Bond ETF, JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF, and JPMorgan USD Emerging Markets Sovereign Bond ETF
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF, JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly JPMorgan U.S. Aggregate Bond ETF), JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (formerly JPMorgan High Yield Research Enhanced ETF), JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly JPMorgan Corporate Bond Research Enhanced ETF), and JPMorgan USD Emerging Markets Sovereign Bond ETF (five of the funds constituting J.P. Morgan Exchange-Traded Fund Trust, hereafter collectively referred to as the "Funds") as of February 28, 2023, the related statements of operations for the year ended February 28, 2023, the statements of changes in net assets for each of the two years in the period ended February 28, 2023, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended February 28, 2023 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
April 26, 2023
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
The Funds' Statement of Additional Information includes additional information about the Funds' Trustees and is available, without charge, upon request by calling 1-844-457-6383 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth);
Positions With
the Funds (1) | Principal Occupation
During Past 5 Years | Number of
Funds in Fund
Complex Overseen
by Trustee (2) | Other Directorships Held
During the Past 5 Years |
| | | |
John F. Finn (1947); Chair
since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959);
Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951);
Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958);
Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957);
Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | | |
Frankie D. Hughes (1952);
Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | | |
| J.P. Morgan Exchange-Traded Funds | |
TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Raymond Kanner (1953);
Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954);
Trustee since 2014. | | | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950);
Trustee since 2014. | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice
Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | | |
Marilyn McCoy (1948);
Trustee since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | | |
Dr. Robert A. Oden, Jr. (1946); Trustee
since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021); Trustee, Dartmouth- Hitchcock Medical Center (2011-2020). |
| J.P. Morgan Exchange-Traded Funds | |
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Marian U. Pardo* (1946);
Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951);
Trustee since 2014. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
| | | |
Robert F. Deutsch** (1957);
Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957);
Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
|
| The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. |
| A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (178 J.P. Morgan Funds). |
| In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
| Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. |
| The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. |
| J.P. Morgan Exchange-Traded Funds | |
Name (Year of Birth),
Positions Held with
the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964),
President and Principal Executive
Officer (2021) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975),
Treasurer and Principal Financial
Officer (2020) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980),
Secretary (2022) (formerly Assistant
Secretary 2014-2022) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953),
Chief Compliance Officer (2014) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973),
Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988),
Assistant Secretary (2021)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964),
Assistant Secretary (2022)
(formerly Secretary 2018-2022)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962),
Assistant Secretary (2014)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971),
Assistant Secretary (2019) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
Carmine Lekstutis (1980),
Assistant Secretary (2014) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990),
Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch
(1986),
Assistant Secretary (2017) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Vonnegut-Gabovitch has been with JPMorgan Chase & Co. since September 2016. |
Frederick J. Cavaliere (1978),
Assistant Treasurer (2015)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Cavaliere has been with JPMorgan Chase & Co. since May 2006. |
Michael M. D’Ambrosio (1969),
Assistant Treasurer (2014) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972),
Assistant Treasurer (2023) | Executive Director, J.P. Morgan Investment Management Inc. Mr. Fleytekh has been with J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977),
Assistant Treasurer (2019)* | Executive Director, J.P. Morgan Investment Management Inc. Mr. Gaines has been with J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972),
Assistant Treasurer (2023)* | Vice President, J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985),
Assistant Treasurer (2023) | Vice President, J.P. Morgan Investment Management Inc. since 2014. |
Nektarios E. Manolakakis (1972),
Assistant Treasurer (2020) | Executive Director, J.P. Morgan Investment Management Inc. since February 2021, formerly Vice President, J.P. Morgan Investment Management Inc. since 2014; Vice President, J.P. Morgan Corporate & Investment Bank 2010-2014. |
Todd McEwen (1981),
Assistant Treasurer (2020)* | Vice President, J.P. Morgan Investment Management Inc. Mr. McEwen has been with J.P. Morgan Investment Management Inc. since 2010. |
Joseph Parascondola (1963),
Assistant Treasurer (2023)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
Gillian I. Sands (1969),
Assistant Treasurer (2023) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. |
|
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. |
| The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
| The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including brokerage commissions on your purchase and sales of Fund shares and (2) ongoing costs, primarily management fees. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other funds. The examples assume that you had a $1,000 investment at the beginning of the reporting period, September 1, 2022, and continued to hold your shares at the end of the reporting period, February 28, 2023.
Actual Expenses
For each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each
Fund under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Fund in the table below provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The examples also assume all dividends and distributions have been reinvested. The examples do not take into account brokerage commissions that you pay when purchasing or selling shares of a Fund.
| Beginning Account Value September 1, 2022 | Ending Account Value February 28, 2023 | | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | | |
| | | | |
| | | | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly known as JPMorgan U.S. Aggregate Bond ETF) | | | | |
| | | | |
| | | | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (formerly known as JPMorgan High Yield Research Enhanced ETF) | | | | |
| | | | |
| | | | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF) | | | | |
| | | | |
| | | | |
JPMorgan USD Emerging Markets Sovereign Bond ETF | | | | |
| | | | |
| | | | |
|
| Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds covered in this report has adopted the J.P. Morgan Funds and J.P. Morgan Exchange-Traded Funds Amended and Restated Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Pursuant to an exemptive order (the “Exemptive Order”) from the Securities and Exchange Commission, the Program permits the Funds use liquidity definitions and classification methodologies that differ from the requirements under the Liquidity Rule in some respects. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”), where applicable, and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 7, 2023, the Board reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2022 through December 31, 2022 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. There were no material changes to the Program during the Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the effectiveness of the Program with respect to the identification of each Fund that qualifies as an “In-Kind ETF” (as defined in the Liquidity Rule); (2) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (3) the methodology and inputs for classifying the investments of a Fund (other than an In-Kind ETF) into one of the required liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions (and, for In-Kind ETFs, the methodology and inputs for determining whether any investments should be classified as “Illiquid Investments” (as defined or modified under the Program)); (4) whether a Fund (other than an In-Kind ETF) invested primarily in “Highly Liquid Investments” (as defined or modified under the Program), as well as whether an HLIM should be established for a Fund (other than an In-Kind ETF) and the procedures for monitoring any HLIM; (5) whether a Fund invested more than 15% of its assets in “Illiquid Investments” and the procedures for monitoring for this limit; and (6) specific liquidity events arising during the Program Reporting Period. The Report further summarized the conditions of the Exemptive Order and whether all applicable Funds were in compliance with the terms of the Exemptive Order.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
| J.P. Morgan Exchange-Traded Funds | |
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable year ended February 28, 2023. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2023. The information necessary to complete your income tax returns for the calendar year ending December 31, 2023 will be provided under separate cover.
Qualified Interest Income (QII)
Each Fund listed below paid the following amount, or maximum allowable amount, of ordinary distributions treated as qualified interest income and short-term capital gains for the fiscal year ended February 28, 2023:
| |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly known as JPMorgan U.S. Aggregate Bond ETF) | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (formerly known as JPMorgan High Yield Research Enhanced ETF) | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF) | |
Treasury Income
Each Fund listed below had the following percentage, or maximum allowable percentage, of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 28, 2023:
| Income from
U.S. Treasury
Obligations |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly known as JPMorgan U.S. Aggregate Bond ETF) | |
| J.P. Morgan Exchange-Traded Funds | |
J.P. Morgan Exchange-Traded Funds are distributed by JPMorgan Distribution Services, Inc., an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 (844-4JPM ETF) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risks as well as charges and expenses of the fund before investing. The prospectus contains this and other information about the fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Each Fund's quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund's policies and procedures with respect to the disclosure of each Fund's holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-844-457-6383 and on the Funds' website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds' voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds' website at www.jpmorganfunds.com no later than August 31 of each year. The Funds' proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2023. All rights reserved. February 2023.
AN-PASSETF-223
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 13(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
| | (a) | (1) Disclose that the registrant’s board of directors has determined that the registrant either: |
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
The Audit committee financial experts are Gary L. French, Kathleen M. Gallagher, Raymond Kanner and Lawrence R. Maffia, each of whom is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for the purposes of the audit committee financial expert determination.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES
2023 – $769,391
2022 – $657,602
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
AUDIT-RELATED FEES
2023 – $85,431
2022 – $74,441
Audit-related fees consist of security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
TAX FEES
2023 – $197,183
2022 – $177,142
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended February 28, 2023 and 2022, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
ALL OTHER FEES
2023 – $0
2022 – $0
(e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre- approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
2023 – 0.0%
2022 – 0.0%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
Not applicable.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:
2022 – $31.6 million
2021 – $30.7 million
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
(i) A registrant identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form NCSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction must electronically submit to the Commission on a supplemental basis documentation that establishes that the registrant is not owned or controlled by a governmental entity in the foreign jurisdiction. The registrant must submit this documentation on or before the due date for this form. A registrant that is owned or controlled by a foreign governmental entity is not required to submit such documentation.
Not applicable.
(j) A registrant that is a foreign issuer, as defined in 17 CFR 240.3b-4, identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction, for each year in which the registrant is so identified, must provide the below disclosures. Also, any such identified foreign issuer that uses a variable-interest entity or any similar structure that results in additional foreign entities being consolidated in the financial statements of the registrant is required to provide the below disclosures for itself and its consolidated foreign operating entity or entities. A registrant must disclose:
| | (1) | That, for the immediately preceding annual financial statement period, a registered public accounting firm that the PCAOB was unable to inspect or investigate completely, because of a position taken by an authority in the foreign jurisdiction, issued an audit report for the registrant; |
| | (2) | The percentage of shares of the registrant owned by governmental entities in the foreign jurisdiction in which the registrant is incorporated or otherwise organized; |
| | (3) | Whether governmental entities in the applicable foreign jurisdiction with respect to that registered public accounting firm have a controlling financial interest with respect to the registrant; |
| | (4) | The name of each official of the Chinese Communist Party who is a member of the board of directors of the registrant or the operating entity with respect to the registrant; and |
| | (5) | Whether the articles of incorporation of the registrant (or equivalent organizing document) contains any charter of the Chinese Communist Party, including the text of any such charter. |
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15
U.S.C. 78c(a)(58)(B)), so state.
The registrant has a separately designated Audit Committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The members of the Audit Committee are Gary L. French, Kathleen M. Gallagher, Raymond Kanner and Lawrence R. Maffia.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the
Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the reporting period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
| | (a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.
(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2), exactly as set forth below:
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(1) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(2) Change in the registrant’s independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period.
Not applicable.
| | (b) | A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. |
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
J.P. Morgan Exchange-Traded Fund Trust
| | |
| By: | | /s/ Brian S. Shlissel |
| | Brian S. Shlissel |
| | President and Principal Executive Officer. |
| | May 4, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By: | | /s/ Brian S. Shlissel |
| | Brian S. Shlissel |
| | President and Principal Executive Officer |
| | May 4, 2023 |
| | |
| By: | | /s/ Timothy J. Clemens |
| | Timothy J. Clemens |
| | Treasurer and Principal Financial Officer |
| | May 4, 2023 |
