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)
J.P. Morgan Investment Management Inc.
Gregory S.Samuels
277 Park Avenue
New York, NY 10172
(Name and Address of Agent for Service)
With copies to:
Elizabeth A. Davin, Esq. JPMorgan Chase & Co. 1111 Polaris Parkway Columbus, OH 43240
Jon S. Rand, Esq. Dechert LLP 1905 Avenue of the Americas New York, NY 10036
Registrant's telephone number, including area code:
1-844-457-6383
Date of fiscal year end:
Last Day ofFebruary
Date of reporting period:
August 31, 2024
Item 1. Report 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 Report. Not Applicable. Notices do not incorporate disclosures from the shareholder reports.
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders MSCI US REIT ETF
Ticker:BBRE- Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders MSCI US REIT ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan BetaBuilders MSCI US REIT ETF
$6
0.11%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$871,643,752
Total number of portfolio holdings
$122
Portfolio turnover rate
$2
%
PORTFOLIO COMPOSITION - SECTOR (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
BBRE-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Inflation Managed Bond ETF
Ticker:JCPI- Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Inflation Managed Bond ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan Inflation Managed Bond ETF
$13
0.24%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$669,828,714
Total number of portfolio holdings
$788
Portfolio turnover rate
$49
%
PORTFOLIO COMPOSITION -ASSET CLASS (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
JCPI-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Realty Income ETF
Ticker:JPRE- NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Realty Income ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan Realty Income ETF
$27
0.50%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$387,539,138
Total number of portfolio holdings
$30
Portfolio turnover rate
$39
%
PORTFOLIO COMPOSITION - SECTOR (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
JPRE-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan High Yield Municipal ETF
Ticker:JMHI- NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan High Yield Municipal ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan High Yield Municipal ETF
$17
0.34%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$174,334,211
Total number of portfolio holdings
$138
Portfolio turnover rate
$45
%
CREDIT QUALITY ALLOCATIONS (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
JMHI-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Sustainable Municipal Income ETF
Ticker:JMSI- NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Sustainable Municipal Income ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan Sustainable Municipal Income ETF
$8
0.17%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$218,780,640
Total number of portfolio holdings
$168
Portfolio turnover rate
$41
%
CREDIT QUALITY ALLOCATIONS (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
JMSI-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Limited Duration Bond ETF
Ticker:JPLD- Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Limited Duration Bond ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan Limited Duration Bond ETF
$12
0.23%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$757,842,643
Total number of portfolio holdings
$325
Portfolio turnover rate
$16
%
PORTFOLIO COMPOSITION -ASSET CLASS (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
JPLD-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan International Bond Opportunities ETF
Ticker:JPIB- Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan International Bond Opportunities ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan International Bond Opportunities ETF
$26
0.50%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$474,891,216
Total number of portfolio holdings
$825
Portfolio turnover rate
$25
%
PORTFOLIO COMPOSITION -ASSET CLASS (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
JPIB-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Ultra-Short Municipal Income ETF
Ticker:JMST- Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Ultra-Short Municipal Income ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan Ultra-Short Municipal Income ETF
$9
0.17%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$2,773,935,102
Total number of portfolio holdings
$2,462
Portfolio turnover rate
$36
%
CREDIT QUALITY ALLOCATIONS (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
JMST-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Core Plus Bond ETF
Ticker:JCPB- Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Core Plus Bond ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan Core Plus Bond ETF
$20
0.38%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$3,855,288,381
Total number of portfolio holdings
$2,420
Portfolio turnover rate
$54
%
PORTFOLIO COMPOSITION -ASSET CLASS (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
JCPB-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Ultra-Short Income ETF
Ticker:JPST- NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Ultra-Short Income ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan Ultra-Short Income ETF
$9
0.18%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$25,376,225,121
Total number of portfolio holdings
$685
Portfolio turnover rate
$32
%
PORTFOLIO COMPOSITION -ASSET CLASS (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
JPST-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Municipal ETF
Ticker:JMUB- Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Municipal ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan Municipal ETF
$9
0.17%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$1,677,586,329
Total number of portfolio holdings
$891
Portfolio turnover rate
$24
%
CREDIT QUALITY ALLOCATIONS (% of Total Investments)
(a)
Amount rounds to less than 0.1%.
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
JMUB-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Short Duration Core Plus ETF
Ticker:JSCP- NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Short Duration Core Plus ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan Short Duration Core Plus ETF
$17
0.33%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$443,618,310
Total number of portfolio holdings
$868
Portfolio turnover rate
$34
%
PORTFOLIO COMPOSITION -ASSET CLASS (% of Total Investments)
(a)
Amount rounds to less than 0.1%.
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
JSCP-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Income ETF
Ticker:JPIE- NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Income ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan Income ETF
$20
0.39%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$1,879,997,257
Total number of portfolio holdings
$1,548
Portfolio turnover rate
$80
%
PORTFOLIO COMPOSITION -ASSET CLASS (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
JPIE-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan Active Bond ETF
Ticker:JBND- New York Stock Exchange LLC
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan Active Bond ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan Active Bond ETF
$14
0.27%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$543,392,775
Total number of portfolio holdings
$776
Portfolio turnover rate
$52
%
PORTFOLIO COMPOSITION -ASSET CLASS (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
JBND-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF
Ticker:BBCB- NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF
$5
0.09%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$46,286,439
Total number of portfolio holdings
$987
Portfolio turnover rate
$7
%
PORTFOLIO COMPOSITION - SECTOR (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
BBCB-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
Ticker:BBHY- Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders USD High Yield Corporate Bond ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
$8
0.15%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$1,290,922,572
Total number of portfolio holdings
$1,453
Portfolio turnover rate
$21
%
PORTFOLIO COMPOSITION -ASSET CLASS (% of Total Investments)
(a)
Amount rounds to less than 0.1%.
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
BBHY-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan USD Emerging Markets Sovereign Bond ETF
Ticker:JPMB- NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan USD Emerging Markets Sovereign Bond ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan USD Emerging Markets Sovereign Bond ETF
$20
0.39%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$635,948,461
Total number of portfolio holdings
$422
Portfolio turnover rate
$11
%
PORTFOLIO COMPOSITION - COUNTRY (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
JPMB-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
Ticker:BBAG- NYSE Arca, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders U.S. Aggregate Bond ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
$1
0.03%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$1,421,896,420
Total number of portfolio holdings
$2,319
Portfolio turnover rate
$51
%
PORTFOLIO COMPOSITION -ASSET CLASS (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
BBAG-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
Ticker:BBSA- Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
$3
0.05%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$14,522,444
Total number of portfolio holdings
$410
Portfolio turnover rate
$23
%
PORTFOLIO COMPOSITION -ASSET CLASS (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
BBSA-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF
Ticker:BBIB- Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF
$4
0.07%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$6,202,183
Total number of portfolio holdings
$87
Portfolio turnover rate
$13
%
PORTFOLIO COMPOSITION -ASSET CLASS (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
BBIB-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF
Ticker:BBLB- Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF
$4
0.07%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$25,031,494
Total number of portfolio holdings
$41
Portfolio turnover rate
$11
%
PORTFOLIO COMPOSITION -ASSET CLASS (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
BBLB-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF
Ticker:BBSB- Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF
$4
0.07%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$2,973,627
Total number of portfolio holdings
$84
Portfolio turnover rate
$31
%
PORTFOLIO COMPOSITION -ASSET CLASS (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
BBSB-824
SEMI-ANNUAL SHAREHOLDER REPORT | August 31, 2024 (Unaudited)
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF
Ticker:BBIP- Cboe BZX Exchange, Inc.
SEMI-ANNUAL SHAREHOLDER REPORT
This semi-annual shareholder report contains important information about the JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF for the period of March 1, 2024 to August 31, 2024.You can find additional information about the Fund at www.jpmorganfunds.com/funddocuments. You can also request this information by contacting us at 1-844-457-6383 or by sending an e-mail request to jpm.xf@jpmorgan.com or by asking any financial intermediary that offers shares of the Fund.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment*
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF
$4
0.07%
*
This charge is annualized.
KEY FUND STATISTICS
Fund net assets
$1,466,751
Total number of portfolio holdings
$28
Portfolio turnover rate
$17
%
PORTFOLIO COMPOSITION -ASSET CLASS (% of Total Investments)
Availability of Additional Information
At www.jpmorganfunds.com/funddocuments, you can find additional information about the Fund, including the Fund’s:
Prospectus
Financial information
Fund holdings
Proxy voting information
You can also request this information by contacting us at 1-844-457-6383.
BBIP-824
ITEM 2. CODE OF ETHICS.
Not applicable to a semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to a semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to a semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to a semi-annual report.
ITEM 6. 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. FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.
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’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at (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.
Independent Power and Renewable Electricity Producers — 0.1%
Calpine Corp. 4.63%, 2/1/2029(b)
965,000
920,433
Termocandelaria Power Ltd. (Colombia)
7.88%, 1/30/2029(h)
630,000
636,105
1,556,538
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Insurance — 0.0% ^
Prudential Financial, Inc. (US Treasury Yield
Curve Rate T Note Constant Maturity 5
Year + 3.23%), 6.00%, 9/1/2052(g)
690,000
707,828
Leisure Products — 0.1%
Amer Sports Co. (Finland) 6.75%,
2/16/2031(b)
700,000
707,000
Mattel, Inc. 5.88%, 12/15/2027(b)
530,000
535,671
Vista Outdoor, Inc. 4.50%, 3/15/2029(b)
185,000
184,981
1,427,652
Machinery — 0.1%
ATS Corp. (Canada) 4.13%,
12/15/2028(b)
150,000
140,369
Chart Industries, Inc. 7.50%, 1/1/2030(b)
1,165,000
1,224,112
Esab Corp. 6.25%, 4/15/2029(b)
330,000
339,007
Hillenbrand, Inc. 3.75%, 3/1/2031
150,000
133,217
Terex Corp. 5.00%, 5/15/2029(b)
80,000
77,672
Trinity Industries, Inc. 7.75%,
7/15/2028(b)
150,000
157,184
Wabash National Corp. 4.50%,
10/15/2028(b)
150,000
138,089
2,209,650
Marine Transportation — 0.1%
MV24 Capital BV (Brazil) 6.75%,
6/1/2034(h)
945,960
918,527
Media — 2.9%
Charter Communications Operating LLC
2.25%, 1/15/2029
1,545,000
1,365,293
2.80%, 4/1/2031
2,500,000
2,120,496
6.65%, 2/1/2034
50,000
52,075
5.38%, 4/1/2038
100,000
90,986
Clear Channel Outdoor Holdings, Inc.
5.13%, 8/15/2027(b)
2,322,000
2,268,390
7.75%, 4/15/2028(b)
632,000
550,851
9.00%, 9/15/2028(b)
2,062,000
2,191,840
CSC Holdings LLC
5.38%, 2/1/2028(b)
300,000
230,667
6.50%, 2/1/2029(b)
3,160,000
2,385,045
Directv Financing LLC 5.88%,
8/15/2027(b)
3,000,000
2,904,955
DISH DBS Corp.
5.88%, 11/15/2024
8,261,000
8,018,767
7.75%, 7/1/2026
1,835,000
1,234,663
5.25%, 12/1/2026(b)
1,029,000
881,468
SEE NOTES TO FINANCIAL STATEMENTS.
74
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Corporate Bonds — continued
Media — continued
DISH Network Corp. 11.75%,
11/15/2027(b)
2,217,000
2,254,168
GCI LLC 4.75%, 10/15/2028(b)
453,000
429,700
Gray Television, Inc.
7.00%, 5/15/2027(b)
585,000
564,230
10.50%, 7/15/2029(b)
1,079,000
1,107,456
4.75%, 10/15/2030(b)
1,419,000
807,983
5.38%, 11/15/2031(b)
1,523,000
872,362
iHeartCommunications, Inc.
6.38%, 5/1/2026
1,040,000
873,459
5.25%, 8/15/2027(b)
2,945,000
1,842,106
Lamar Media Corp. 4.88%, 1/15/2029
340,000
333,926
Midcontinent Communications 8.00%,
8/15/2032(b)
418,000
416,434
News Corp.
3.88%, 5/15/2029(b)
1,940,000
1,824,476
5.13%, 2/15/2032(b)
180,000
175,005
Nexstar Media, Inc.
5.63%, 7/15/2027(b)
3,185,000
3,112,403
4.75%, 11/1/2028(b)
1,220,000
1,139,878
Outfront Media Capital LLC
4.25%, 1/15/2029(b)
1,200,000
1,132,602
4.63%, 3/15/2030(b)
175,000
164,074
Sinclair Television Group, Inc. 4.13%,
12/1/2030(b)
340,000
239,914
Sirius XM Radio, Inc.
5.00%, 8/1/2027(b)
1,350,000
1,319,634
4.00%, 7/15/2028(b)
2,150,000
2,013,789
5.50%, 7/1/2029(b)
2,500,000
2,433,134
Stagwell Global LLC 5.63%, 8/15/2029(b)
1,260,000
1,194,446
TEGNA, Inc. 5.00%, 9/15/2029
1,670,000
1,551,100
Univision Communications, Inc.
8.00%, 8/15/2028(b)
2,160,000
2,185,348
7.38%, 6/30/2030(b)
345,000
331,145
Videotron Ltd. (Canada) 5.13%,
4/15/2027(b)
1,140,000
1,138,193
53,752,461
Metals & Mining — 0.4%
Alcoa Nederland Holding BV
5.50%, 12/15/2027(b)
200,000
199,562
6.13%, 5/15/2028(b)
200,000
202,579
7.13%, 3/15/2031(b)
965,000
1,014,825
ATI, Inc.
5.88%, 12/1/2027
375,000
375,724
4.88%, 10/1/2029
25,000
24,242
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Metals & Mining — continued
7.25%, 8/15/2030
175,000
185,835
Big River Steel LLC 6.63%, 1/31/2029(b)
55,000
55,612
Cleveland-Cliffs, Inc.
5.88%, 6/1/2027
920,000
918,157
7.00%, 3/15/2032(b)
202,000
202,860
CSN Inova Ventures (Brazil) 6.75%,
1/28/2028(h)
900,000
861,187
Novelis Corp.
4.75%, 1/30/2030(b)
2,164,000
2,066,630
3.88%, 8/15/2031(b)
496,000
444,719
Vale Overseas Ltd. (Brazil) 6.40%,
6/28/2054
134,000
136,680
6,688,612
Multi-Utilities — 0.2%
Dominion Energy, Inc. Series A, (US Treasury
Yield Curve Rate T Note Constant Maturity
5 Year + 2.39%), 6.88%, 2/1/2055(g)
2,880,000
2,999,467
NiSource, Inc. (US Treasury Yield Curve Rate
T Note Constant Maturity 5 Year +
2.45%), 6.95%, 11/30/2054(g)
680,000
688,943
3,688,410
Oil, Gas & Consumable Fuels — 3.9%
6297782 LLC (Canada) 4.91%,
9/1/2027(b)
595,000
596,249
AL Candelaria -spain- SA (Colombia)
7.50%, 12/15/2028(h)
421,666
415,341
5.75%, 6/15/2033(b)
500,000
409,218
Antero Midstream Partners LP
5.75%, 3/1/2027(b)
600,000
597,669
5.75%, 1/15/2028(b)
2,380,000
2,380,669
5.38%, 6/15/2029(b)
710,000
701,501
Antero Resources Corp.
8.38%, 7/15/2026(b)
20,000
20,678
7.63%, 2/1/2029(b)
424,000
438,793
5.38%, 3/1/2030(b)
860,000
849,580
Ascent Resources Utica Holdings LLC
7.00%, 11/1/2026(b)
467,000
468,479
Bapco Energies BSC Closed (Bahrain)
7.50%, 10/25/2027(h)
500,000
520,156
Baytex Energy Corp. (Canada)
8.50%, 4/30/2030(b)
1,015,000
1,081,572
7.38%, 3/15/2032(b)
315,000
326,241
Blue Racer Midstream LLC
7.00%, 7/15/2029(b)
264,000
274,602
7.25%, 7/15/2032(b)
182,000
190,824
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
75
JPMorgan Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Corporate Bonds — continued
Oil, Gas & Consumable Fuels — continued
BP Capital Markets plc (US Treasury Yield
Curve Rate T Note Constant Maturity 5
Year + 4.40%), 4.88%,
3/22/2030(e) (f) (g)
3,595,000
3,521,720
Buckeye Partners LP
3.95%, 12/1/2026
1,462,000
1,420,386
4.13%, 12/1/2027
195,000
187,036
4.50%, 3/1/2028(b)
230,000
220,470
California Resources Corp. 7.13%,
2/1/2026(b)
39,000
39,152
Chesapeake Energy Corp.
5.50%, 2/1/2026(b)
105,000
104,940
6.75%, 4/15/2029(b)
2,870,000
2,912,886
Chord Energy Corp. 6.38%, 6/1/2026(b)
775,000
779,348
Civitas Resources, Inc.
8.38%, 7/1/2028(b)
665,000
701,086
8.63%, 11/1/2030(b)
1,290,000
1,402,234
8.75%, 7/1/2031(b)
692,000
746,790
Columbia Pipelines Holding Co. LLC 6.04%,
8/15/2028(b)
390,000
406,571
Comstock Resources, Inc.
6.75%, 3/1/2029(b)
140,000
137,710
5.88%, 1/15/2030(b)
2,235,000
2,113,018
Crescent Energy Finance LLC
9.25%, 2/15/2028(b)
1,450,000
1,537,497
7.38%, 1/15/2033(b)
325,000
333,356
DT Midstream, Inc. 4.13%, 6/15/2029(b)
2,130,000
2,023,478
Ecopetrol SA (Colombia)
8.63%, 1/19/2029
140,000
149,843
4.63%, 11/2/2031
100,000
84,570
8.88%, 1/13/2033
1,180,000
1,251,980
8.38%, 1/19/2036
252,000
255,231
Enbridge, Inc. (Canada)
Series 20-A, (US Treasury Yield Curve
Rate T Note Constant Maturity 5 Year +
5.31%), 5.75%, 7/15/2080(g)
2,030,000
1,940,795
Series NC5, (US Treasury Yield Curve Rate
T Note Constant Maturity 5 Year +
3.79%), 8.25%, 1/15/2084(g)
305,000
319,114
Encino Acquisition Partners Holdings LLC
8.50%, 5/1/2028(b)
1,160,000
1,195,767
Energean Israel Finance Ltd. (Israel)
4.88%, 3/30/2026(h)
500,000
475,555
5.38%, 3/30/2028(h)
50,000
45,125
Energy Transfer LP
5.75%, 4/1/2025
125,000
124,902
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Oil, Gas & Consumable Fuels — continued
5.63%, 5/1/2027(b)
335,000
335,806
(US Treasury Yield Curve Rate T
Note Constant Maturity 5 Year +
4.02%), 8.00%, 5/15/2054(g)
1,000,000
1,063,953
EQM Midstream Partners LP
6.00%, 7/1/2025(b)
123,000
123,129
6.50%, 7/1/2027(b)
1,155,000
1,183,866
5.50%, 7/15/2028
525,000
528,504
7.50%, 6/1/2030(b)
210,000
229,197
4.75%, 1/15/2031(b)
390,000
374,711
Genesis Energy LP
8.00%, 1/15/2027
1,675,000
1,715,058
8.25%, 1/15/2029
137,000
142,353
7.88%, 5/15/2032
233,000
239,099
Greenko Dutch BV (India) 3.85%,
3/29/2026(h)
364,000
350,350
Greenko Solar Mauritius Ltd. (India) 5.55%,
1/29/2025(h)
400,000
398,168
Greenko Wind Projects Mauritius Ltd. (India)
5.50%, 4/6/2025(h)
200,000
198,812
Gulfport Energy Corp. 8.00%,
5/17/2026(b)
430,000
436,780
Hess Midstream Operations LP
5.63%, 2/15/2026(b)
2,005,000
1,999,507
5.13%, 6/15/2028(b)
55,000
54,372
4.25%, 2/15/2030(b)
540,000
510,365
Howard Midstream Energy Partners LLC
8.88%, 7/15/2028(b)
150,000
159,907
Kinetik Holdings LP 5.88%, 6/15/2030(b)
887,000
889,849
Leviathan Bond Ltd. (Israel)
6.13%, 6/30/2025(h)
650,000
639,775
6.50%, 6/30/2027(h)
150,000
143,625
6.75%, 6/30/2030(h)
50,000
46,203
Medco Bell Pte. Ltd. (Indonesia) 6.38%,
1/30/2027(h)
200,000
198,500
NGL Energy Operating LLC
8.13%, 2/15/2029(b)
621,000
635,108
8.38%, 2/15/2032(b)
314,000
323,146
NuStar Logistics LP
6.00%, 6/1/2026
180,000
181,684
5.63%, 4/28/2027
615,000
616,644
6.38%, 10/1/2030
685,000
715,641
Permian Resources Operating LLC
5.88%, 7/1/2029(b)
405,000
405,046
9.88%, 7/15/2031(b)
1,290,000
1,444,742
6.25%, 2/1/2033(b)
371,000
380,425
SEE NOTES TO FINANCIAL STATEMENTS.
76
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Corporate Bonds — continued
Oil, Gas & Consumable Fuels — continued
Peru LNG Srl (Peru) 5.38%, 3/22/2030(h)
1,500,000
1,301,715
Petroleos del Peru SA (Peru)
4.75%, 6/19/2032(h)
500,000
374,375
5.63%, 6/19/2047(b)
600,000
378,522
Petroleos Mexicanos (Mexico)
4.50%, 1/23/2026
200,000
192,312
6.88%, 8/4/2026
250,000
246,407
6.50%, 3/13/2027
400,000
384,700
5.35%, 2/12/2028
300,000
273,507
5.95%, 1/28/2031
330,000
272,973
6.70%, 2/16/2032
1,100,000
944,350
10.00%, 2/7/2033
2,050,000
2,096,125
6.38%, 1/23/2045
410,000
275,853
7.69%, 1/23/2050
3,600,000
2,671,920
Range Resources Corp.
8.25%, 1/15/2029
1,333,000
1,381,591
4.75%, 2/15/2030(b)
193,000
185,244
Rockies Express Pipeline LLC
3.60%, 5/15/2025(b)
240,000
236,129
4.80%, 5/15/2030(b)
150,000
139,242
SM Energy Co.
6.75%, 9/15/2026
520,000
520,487
6.63%, 1/15/2027
755,000
756,126
6.50%, 7/15/2028
175,000
175,964
6.75%, 8/1/2029(b)
378,000
383,899
7.00%, 8/1/2032(b)
324,000
331,929
Southwestern Energy Co.
8.38%, 9/15/2028
160,000
164,418
5.38%, 2/1/2029
565,000
557,785
5.38%, 3/15/2030
695,000
688,934
Sunoco LP
7.00%, 5/1/2029(b)
225,000
234,380
4.50%, 5/15/2029
815,000
782,486
4.50%, 4/30/2030
685,000
650,887
Tallgrass Energy Partners LP
6.00%, 3/1/2027(b)
90,000
89,746
5.50%, 1/15/2028(b)
920,000
887,685
6.00%, 12/31/2030(b)
570,000
543,582
6.00%, 9/1/2031(b)
180,000
170,587
Targa Resources Partners LP 6.50%,
7/15/2027
285,000
288,123
Transcanada Trust (Canada) (SOFR +
4.42%), 5.50%, 9/15/2079(g)
100,000
93,797
Venture Global LNG, Inc.
8.13%, 6/1/2028(b)
1,592,000
1,667,225
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Oil, Gas & Consumable Fuels — continued
9.50%, 2/1/2029(b)
435,000
490,218
7.00%, 1/15/2030(b)
516,000
527,532
9.88%, 2/1/2032(b)
435,000
483,285
Vital Energy, Inc.
9.75%, 10/15/2030
300,000
329,271
7.88%, 4/15/2032(b)
66,000
67,570
72,607,338
Passenger Airlines — 0.3%
American Airlines, Inc.
5.50%, 4/20/2026(b)
2,464,583
2,451,820
5.75%, 4/20/2029(b)
770,000
754,777
JetBlue Airways Corp. 9.88%,
9/20/2031(b)
792,000
782,789
Mileage Plus Holdings LLC 6.50%,
6/20/2027(b)
200,910
202,774
United Airlines, Inc. 4.38%, 4/15/2026(b)
920,000
897,799
5,089,959
Personal Care Products — 0.2%
Coty, Inc.
5.00%, 4/15/2026(b)
629,000
626,112
4.75%, 1/15/2029(b)
255,000
248,284
Edgewell Personal Care Co. 5.50%,
6/1/2028(b)
2,710,000
2,688,255
Prestige Brands, Inc. 5.13%,
1/15/2028(b)
450,000
443,427
4,006,078
Pharmaceuticals — 0.5%
Bausch Health Americas, Inc. 9.25%,
4/1/2026(b)
1,065,000
960,668
Bausch Health Cos., Inc.
5.50%, 11/1/2025(b)
2,490,000
2,396,911
5.75%, 8/15/2027(b)
2,215,000
1,794,150
5.00%, 2/15/2029(b)
450,000
231,750
5.25%, 1/30/2030(b)
70,000
35,000
Catalent Pharma Solutions, Inc.
5.00%, 7/15/2027(b)
75,000
74,590
3.13%, 2/15/2029(b)
215,000
209,688
Cheplapharm Arzneimittel GmbH (Germany)
5.50%, 1/15/2028(b)
250,000
240,114
Elanco Animal Health, Inc. 6.65%,
8/28/2028(j)
420,000
434,920
Endo Finance Holdings, Inc. 8.50%,
4/15/2031(b)
259,000
275,001
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
77
JPMorgan Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Corporate Bonds — continued
Pharmaceuticals — continued
Organon & Co.
4.13%, 4/30/2028(b)
1,840,000
1,759,074
5.13%, 4/30/2031(b)
1,500,000
1,404,816
9,816,682
Professional Services — 0.0% ^
TriNet Group, Inc. 7.13%, 8/15/2031(b)
150,000
155,565
Real Estate Management & Development — 0.0% ^
Anywhere Real Estate Group LLC
5.75%, 1/15/2029(b)
253,000
181,588
5.25%, 4/15/2030(b)
315,000
219,631
401,219
Semiconductors & Semiconductor Equipment — 0.2%
Amkor Technology, Inc. 6.63%,
9/15/2027(b)
365,000
367,113
Entegris, Inc.
4.38%, 4/15/2028(b)
190,000
182,504
4.75%, 4/15/2029(b)
750,000
735,984
5.95%, 6/15/2030(b)
1,640,000
1,662,239
ON Semiconductor Corp. 3.88%,
9/1/2028(b)
1,190,000
1,130,929
Synaptics, Inc. 4.00%, 6/15/2029(b)
150,000
140,403
4,219,172
Software — 0.6%
AthenaHealth Group, Inc. 6.50%,
2/15/2030(b)
1,185,000
1,133,711
Clarivate Science Holdings Corp. 3.88%,
7/1/2028(b)
2,315,000
2,200,483
NCR Voyix Corp. 5.13%, 4/15/2029(b)
4,390,000
4,305,062
RingCentral, Inc. 8.50%, 8/15/2030(b)
295,000
315,219
SS&C Technologies, Inc. 5.50%,
9/30/2027(b)
2,715,000
2,712,196
10,666,671
Specialized REITs — 0.0% ^
Iron Mountain, Inc. 5.00%, 7/15/2028(b)
145,000
142,313
Specialty Retail — 0.6%
Asbury Automotive Group, Inc.
4.50%, 3/1/2028
90,000
86,970
4.63%, 11/15/2029(b)
2,060,000
1,961,252
4.75%, 3/1/2030
95,000
90,776
Bath & Body Works, Inc.
7.50%, 6/15/2029
135,000
139,566
6.75%, 7/1/2036
115,000
117,824
Gap, Inc. (The) 3.63%, 10/1/2029(b)
795,000
712,395
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Specialty Retail — continued
Lithia Motors, Inc.
3.88%, 6/1/2029(b)
1,370,000
1,270,638
4.38%, 1/15/2031(b)
180,000
165,798
Penske Automotive Group, Inc. 3.75%,
6/15/2029
349,000
324,834
PetSmart, Inc. 4.75%, 2/15/2028(b)
4,065,000
3,887,956
Sonic Automotive, Inc. 4.63%,
11/15/2029(b)
1,263,000
1,180,309
Staples, Inc. 10.75%, 9/1/2029(b)
1,600,000
1,507,048
11,445,366
Technology Hardware, Storage & Peripherals — 0.1%
Seagate HDD Cayman
4.09%, 6/1/2029
520,000
494,983
8.25%, 12/15/2029
415,000
449,920
8.50%, 7/15/2031
67,000
72,861
Xerox Holdings Corp.
5.50%, 8/15/2028(b)
605,000
518,157
8.88%, 11/30/2029(b)
418,000
392,210
1,928,131
Textiles, Apparel & Luxury Goods — 0.0% ^
William Carter Co. (The) 5.63%,
3/15/2027(b)
150,000
149,733
Trading Companies & Distributors — 0.6%
Air Lease Corp. 5.85%, 12/15/2027
540,000
559,387
EquipmentShare.com, Inc.
9.00%, 5/15/2028(b)
1,464,000
1,522,109
8.63%, 5/15/2032(b)
125,000
130,712
Herc Holdings, Inc. 5.50%, 7/15/2027(b)
1,260,000
1,250,793
Imola Merger Corp. 4.75%, 5/15/2029(b)
3,390,000
3,262,758
United Rentals North America, Inc. 4.88%,
1/15/2028
1,956,000
1,929,448
WESCO Distribution, Inc.
7.25%, 6/15/2028(b)
980,000
1,005,369
6.38%, 3/15/2029(b)
663,000
680,311
6.63%, 3/15/2032(b)
385,000
396,625
10,737,512
Wireless Telecommunication Services — 0.1%
Altice France Holding SA 10.50%,
5/15/2027(b)
400,000
158,232
Millicom International Cellular SA (Guatemala)
5.13%, 1/15/2028(h)
180,000
174,083
4.50%, 4/27/2031(b)
400,000
355,752
SEE NOTES TO FINANCIAL STATEMENTS.
78
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Corporate Bonds — continued
Wireless Telecommunication Services — continued
United States Cellular Corp. 6.70%,
12/15/2033
150,000
165,184
Vodafone Group plc (United Kingdom) (US
Treasury Yield Curve Rate T Note Constant
Maturity 5 Year + 2.77%), 4.13%,
6/4/2081(g)
100,000
89,889
943,140
Total Corporate Bonds
(Cost $498,973,190)
509,258,626
Commercial Mortgage-Backed Securities — 21.9%
1211 Avenue of the Americas Trust Series
2015-1211, Class C, 4.28%,
8/10/2035(b) (k)
935,000
899,051
BAMLL Commercial Mortgage Securities
Trust
Series 2015-200P, Class A, 3.22%,
4/14/2033(b)
500,000
488,778
Series 2015-200P, Class C, 3.72%,
4/14/2033(b) (k)
1,000,000
969,902
Series 2015-200P, Class D, 3.72%,
4/14/2033(b) (k)
2,507,500
2,417,649
Banc of America Re-Remic Trust Series
2024-FRR1, Class C, 0.00%,
4/27/2049‡ (b)
3,000,000
1,845,575
BANK
Series 2022-BNK39, Class XA, IO, 0.53%,
2/15/2055(k)
8,038,837
205,978
Series 2019-BN20, Class D, 2.50%,
9/15/2062(b)
700,000
465,480
Series 2020-BN28, Class XA, IO, 1.88%,
3/15/2063(k)
4,109,539
341,386
Series 2020-BN26, Class E, 2.50%,
3/15/2063(b)
320,000
187,783
BANK5
Series 2023-5YR1, Class A3, 6.26%,
4/15/2056(k)
5,800,000
6,039,097
Series 2023-5YR3, Class A2, 6.26%,
9/15/2056
5,797,627
6,092,749
Series 2023-5YR4, Class A3, 6.50%,
12/15/2056
822,333
870,162
BBCMS Mortgage Trust
Series 2021-C11, Class XB, IO, 1.08%,
9/15/2054(k)
4,500,000
260,929
Series 2023-C20, Class XA, IO, 1.07%,
7/15/2056(k)
13,280,034
700,390
Series 2023-C21, Class A5, 6.00%,
9/15/2056(k)
1,350,000
1,461,989
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Series 2023-C22, Class A5, 6.80%,
11/15/2056(k)
2,900,000
3,318,899
Series 2023-5C23, Class A3, 6.68%,
12/15/2056(k)
4,350,000
4,653,325
Benchmark Mortgage Trust
Series 2021-B26, Class ASB, 2.26%,
6/15/2054
800,000
738,958
Series 2022-B33, Class A5, 3.46%,
3/15/2055
800,000
726,744
Series 2022-B36, Class A5, 4.47%,
7/15/2055(k)
800,000
781,502
Series 2022-B37, Class A5, 5.94%,
11/15/2055(k)
604,000
644,518
Series 2023-V3, Class A3, 6.36%,
7/15/2056(k)
200,000
210,101
Series 2024-V5, Class A3, 5.81%,
1/10/2057
440,549
457,085
Series 2024-V5, Class C, 7.20%,
1/10/2057(k)
300,000
306,843
Series 2024-V9, Class A3, 5.60%,
8/15/2057
4,300,000
4,431,441
BHMS Series 2018-ATLS, Class A, 6.88%,
7/15/2035(b) (k)
4,705,000
4,703,502
BMARK Series 2023-V4, Class A3, 6.84%,
11/15/2056(k)
3,600,000
3,852,664
BMD2 Re-REMIC Trust Series 2019-FRR1,
Class 4D1, PO, 5/25/2052(b)
5,000,000
3,501,000
BMO Mortgage Trust
Series 2023-C5, Class A5, 5.77%,
6/15/2056
1,640,000
1,745,271
Series 2023-5C1, Class A3, 6.53%,
8/15/2056(k)
6,280,000
6,621,287
Series 2023-5C2, Class A3, 7.30%,
11/15/2056(k)
3,310,000
3,578,751
Series 2023-C7, Class A5, 6.16%,
12/15/2056
1,500,000
1,639,644
Series 2024-5C3, Class A3, 5.74%,
2/15/2057
2,420,000
2,498,172
Series 2024-5C3, Class C, 7.09%,
2/15/2057(k)
700,000
718,911
Series 2024-5C4, Class A3, 6.53%,
5/15/2057(k)
2,300,000
2,454,810
Series 2024-C9, Class XA, IO, 1.08%,
7/15/2057(k)
26,997,618
1,853,859
Series 2024-C9, Class A5, 5.76%,
7/15/2057
1,710,000
1,824,111
BX Series 2021-MFM1, Class A, 6.15%,
1/15/2034(b) (k)
383,973
380,853
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
79
JPMorgan Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Commercial Mortgage-Backed Securities — continued
BX Commercial Mortgage Trust
Series 2021-21M, Class A, 6.18%,
10/15/2036(b) (k)
337,457
332,673
Series 2021-VINO, Class A, 6.10%,
5/15/2038(b) (k)
259,542
256,785
Series 2021-ACNT, Class A, 6.30%,
11/15/2038(b) (k)
797,922
790,192
Series 2024-MF, Class A, 6.78%,
2/15/2039(b) (k)
1,970,000
1,967,537
Series 2024-MF, Class B, 7.03%,
2/15/2039(b) (k)
800,000
793,500
BX Trust Series 2022-LBA6, Class A, 6.34%,
1/15/2039(b) (k)
155,000
153,595
CD Mortgage Trust
Series 2017-CD3, Class A4, 3.63%,
2/10/2050
680,000
640,291
Series 2018-CD7, Class C, 5.00%,
8/15/2051(k)
580,000
525,708
Series 2019-CD8, Class E, 3.00%,
8/15/2057(b)
3,800,000
2,058,544
CGMS Commercial Mortgage Trust Series
2017-B1, Class D, 3.00%,
8/15/2050(b)
5,000,000
3,887,405
Citigroup Commercial Mortgage Trust
Series 2014-GC25, Class B, 4.34%,
10/10/2047(k)
3,588,000
3,576,004
Series 2018-C5, Class XA, IO, 0.83%,
6/10/2051(k)
1,467,061
32,132
Series 2018-C6, Class XA, IO, 0.93%,
11/10/2051(k)
2,032,282
55,357
Series 2015-GC33, Class D, 3.17%,
9/10/2058
3,500,000
2,059,933
Series 2015-GC33, Class B, 4.73%,
9/10/2058(k)
4,082,000
3,729,324
Commercial Mortgage Trust
Series 2014-CR14, Class C, 3.80%,
2/10/2047(k)
2,967,820
2,739,298
Series 2014-CR15, Class C, 4.08%,
2/10/2047(k)
1,000,000
939,900
Series 2014-UBS5, Class C, 4.76%,
9/10/2047(k)
2,300,000
2,088,526
Series 2015-LC19, Class D, 2.87%,
2/10/2048(b)
2,500,000
2,226,886
Series 2015-CR22, Class D, 4.20%,
3/10/2048(b) (k)
500,000
366,487
Series 2015-LC23, Class E, 3.70%,
10/10/2048(b) (k)
3,000,000
2,378,912
Series 2015-PC1, Class B, 4.42%,
7/10/2050(k)
65,000
61,549
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
CSAIL Commercial Mortgage Trust Series
2015-C2, Class C, 4.31%, 6/15/2057(k)
4,250,000
3,641,673
ELM Trust Series 2024-ELM, Class C10,
6.40%, 6/10/2039(b) (k)
1,885,000
1,900,086
FHLMC
Series 2023-MN7, Class M1, 8.95%,
9/25/2043(b) (k)
886,102
903,937
Series 2023-MN7, Class B1, 14.20%,
9/25/2043(b) (k)
500,000
533,746
Series 2024-MN8, Class M1, 8.20%,
5/25/2044(b) (k)
2,298,276
2,309,651
Series 2024-MN8, Class M2, 9.60%,
5/25/2044(b) (k)
2,500,000
2,577,219
Series 2024-MN8, Class B1, 12.70%,
5/25/2044(b) (k)
1,200,000
1,235,902
FHLMC, Multi-Class Certificates
Series 2020-RR12, Class X, IO, 2.10%,
10/27/2027(k)
2,000,000
101,761
Series 2020-RR06, Class AX, IO, 1.88%,
10/27/2028(k)
2,000,000
111,708
Series 2020-RR14, Class X, IO, 2.13%,
3/27/2034(k)
2,500,000
353,404
Series 2021-RR16, Class X, IO, 0.96%,
10/27/2034(k)
5,600,000
401,095
Series 2023-RR21, Class X, IO, 3.28%,
4/27/2036(k)
18,000,000
4,094,975
FHLMC, Multi-Family Structured Credit Risk
Series 2021-MN2, Class B1, 10.85%,
7/25/2041(b) (k)
200,000
163,646
Series 2021-MN1, Class M1, 7.35%,
1/25/2051(b) (k)
712,138
708,117
Series 2021-MN1, Class M2, 9.10%,
1/25/2051(b) (k)
3,000,000
3,041,109
Series 2021-MN3, Class M2, 9.35%,
11/25/2051(b) (k)
4,700,000
4,576,315
Series 2021-MN3, Class B1, 12.20%,
11/25/2051(b) (k)
1,750,000
1,663,869
FHLMC, Multi-Family Structured
Pass-Through Certificates
Series KC06, Class X1, IO, 1.01%,
6/25/2026(k)
5,478,507
32,561
Series K738, Class X1, IO, 1.62%,
1/25/2027(k)
44,125,278
1,196,669
Series K063, Class X3, IO, 2.15%,
2/25/2027(k)
11,342,000
532,912
Series K740, Class X1, IO, 0.82%,
9/25/2027(k)
15,637,369
293,651
Series K072, Class X1, IO, 0.49%,
12/25/2027(k)
15,113,598
155,841
SEE NOTES TO FINANCIAL STATEMENTS.
80
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Commercial Mortgage-Backed Securities — continued
Series K742, Class X1, IO, 0.86%,
3/25/2028(k)
2,748,758
48,788
Series K742, Class X3, IO, 2.68%,
4/25/2028(k)
5,000,000
415,703
Series K743, Class X1, IO, 1.02%,
5/25/2028(k)
1,640,786
47,940
Series K078, Class X1, IO, 0.22%,
6/25/2028(k)
61,862,295
260,446
Series K745, Class X1, IO, 0.76%,
8/25/2028(k)
15,196,266
316,175
Series K082, Class X1, IO, 0.15%,
9/25/2028(k)
195,316,215
467,724
Series K083, Class X1, IO, 0.18%,
9/25/2028(k)
131,376,606
388,704
Series K084, Class X3, IO, 2.31%,
11/25/2028(k)
751,485
62,588
Series K091, Class X1, IO, 0.71%,
3/25/2029(k)
8,739,777
196,967
Series K519, Class AS, 5.83%,
3/25/2029(k)
3,698,425
3,710,091
Series K749, Class XAM, IO, 0.31%,
4/25/2029(k)
55,000,000
609,032
Series K094, Class X1, IO, 1.01%,
6/25/2029(k)
13,475,255
472,915
Series K100, Class X1, IO, 0.77%,
9/25/2029(k)
54,551,274
1,524,981
Series K101, Class X3, IO, 1.95%,
10/25/2029(k)
20,000,000
1,677,146
Series K090, Class X3, IO, 2.39%,
10/25/2029(k)
5,000,000
469,532
Series K103, Class X1, IO, 0.76%,
11/25/2029(k)
26,178,829
727,305
Series K104, Class X1, IO, 1.24%,
1/25/2030(k)
9,163,491
442,457
Series K107, Class X1, IO, 1.71%,
1/25/2030(k)
10,805,438
760,089
Series K109, Class X1, IO, 1.69%,
4/25/2030(k)
18,721,758
1,332,491
Series K110, Class X1, IO, 1.81%,
4/25/2030(k)
8,810,870
649,960
Series K114, Class X1, IO, 1.21%,
6/25/2030(k)
2,113,007
112,198
Series K115, Class X1, IO, 1.42%,
6/25/2030(k)
7,928,944
493,491
Series K119, Class X1, IO, 1.02%,
9/25/2030(k)
7,312,251
327,682
Series K120, Class X1, IO, 1.13%,
10/25/2030(k)
21,618,151
1,070,812
Series K754, Class XAM, IO, 0.21%,
11/25/2030(k)
116,738,000
637,962
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Series K123, Class X1, IO, 0.86%,
12/25/2030(k)
18,340,382
699,029
Series K129, Class X3, IO, 3.27%,
5/25/2031(k)
8,000,000
1,356,491
Series K131, Class X1, IO, 0.83%,
7/25/2031(k)
11,962,018
490,034
Series K-152, Class A1, 3.78%,
1/25/2032
1,185,725
1,158,769
Series K-161, Class A1, 5.08%,
7/25/2032
3,480,000
3,617,397
Series K-161, Class X3, IO, 5.66%,
11/25/2033(k)
2,700,000
982,378
Series K-163, Class X3, IO, 5.88%,
4/25/2034(k)
2,500,000
978,462
Series K-1514, Class X1, IO, 0.70%,
10/25/2034(k)
1,185,664
50,154
Series K-1514, Class X3, IO, 2.86%,
10/25/2034(k)
13,043,739
2,616,839
Series K-1512, Class X3, IO, 3.26%,
10/25/2034(k)
2,500,000
575,917
Series Q012, Class X, IO, 4.08%,
9/25/2035(k)
400,108
65,437
Series K-1518, Class X1, IO, 0.95%,
10/25/2035(k)
20,545,813
1,304,499
Series K-1519, Class X1, IO, 0.69%,
12/25/2035(k)
7,071,431
322,050
Series K-1520, Class X1, IO, 0.58%,
2/25/2036(k)
45,148,290
1,685,395
Series K-1513, Class X3, IO, 3.03%,
12/25/2037(k)
4,500,000
960,903
Series K-1515, Class X3, IO, 3.81%,
3/25/2038(k)
3,000,000
828,642
Series K-1516, Class X3, IO, 3.58%,
10/25/2038(k)
1,000,000
263,685
Series K044, Class X3, IO, 1.55%,
1/25/2043(k)
90,000,000
455,373
Series K067, Class X3, IO, 2.19%,
9/25/2044(k)
15,000,000
843,255
Series K068, Class X3, IO, 2.13%,
10/25/2044(k)
12,000,000
672,541
Series K060, Class X3, IO, 1.96%,
12/25/2044(k)
11,949,868
449,762
Series K062, Class X3, IO, 2.15%,
1/25/2045(k)
14,999,876
661,376
Series K730, Class X3, IO, 2.10%,
2/25/2045(k)
25,000,000
179,648
Series K065, Class X3, IO, 2.26%,
7/25/2045(k)
8,509,531
472,486
Series K066, Class X3, IO, 2.24%,
8/25/2045(k)
25,000,000
1,422,630
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
81
JPMorgan Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Commercial Mortgage-Backed Securities — continued
Series K071, Class X3, IO, 2.08%,
11/25/2045(k)
8,700,000
507,001
Series K085, Class X3, IO, 2.39%,
12/25/2045(k)
1,850,000
150,926
Series K097, Class X3, IO, 2.09%,
9/25/2046(k)
3,000,000
256,287
Series K082, Class X3, IO, 2.29%,
10/25/2046(k)
10,000,000
816,383
Series K083, Class X3, IO, 2.37%,
11/25/2046(k)
621,062
52,031
Series K092, Class X3, IO, 2.33%,
5/25/2047(k)
43,959,013
4,004,420
Series K737, Class X3, IO, 1.83%,
1/25/2048(k)
11,779,376
427,953
Series K109, Class X3, IO, 3.50%,
5/25/2048(k)
3,400,000
539,175
Series K119, Class X3, IO, 2.82%,
9/25/2048(k)
5,000,000
696,492
Series K121, Class X3, IO, 2.87%,
11/25/2048(k)
5,000,000
696,960
Series K126, Class X3, IO, 2.72%,
1/25/2049(k)
12,950,000
1,781,870
Series K124, Class X3, IO, 2.71%,
2/25/2049(k)
5,000,000
667,604
Series K125, Class X3, IO, 2.74%,
2/25/2049(k)
16,750,000
2,281,322
Series K741, Class X3, IO, 2.53%,
3/25/2049(k)
13,766,615
954,164
Series K127, Class X3, IO, 2.74%,
3/25/2049(k)
4,000,000
543,936
Series K743, Class X3, IO, 3.06%,
6/25/2049(k)
13,000,000
1,196,781
Series K147, Class X3, IO, 3.93%,
6/25/2050(k)
6,400,000
1,451,705
Series K096, Class X3, IO, 2.11%,
8/25/2051(k)
8,380,000
689,932
Series K148, Class X3, IO, 4.29%,
8/25/2054(k)
17,000,000
4,308,827
Series K-152, Class X3, IO, 4.48%,
11/25/2055(k)
5,000,000
1,348,715
FHLMC, Multi-Family, Structured
Pass-Through Certificates Series K-153,
Class X1, IO, 0.60%, 12/25/2032(k)
16,498,108
547,359
FIVE Mortgage Trust Series 2023-V1,
Class XA, IO, 0.89%, 2/10/2056(k)
5,066,877
102,426
FNMA ACES
Series 2020-M3, Class X1, IO, 0.40%,
2/25/2030(k)
3,381,222
44,438
Series 2022-M2, Class X2, IO, 0.29%,
1/25/2032(k)
2,827,958
33,650
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Series 2020-M31, Class AB, 0.50%,
10/25/2032
72,341
60,240
Series 2023-M8, Class A2, 4.62%,
3/25/2033(k)
1,500,000
1,506,064
FREMF Mortgage Trust
Series 2017-KF38, Class B, 7.97%,
9/25/2024(b) (k)
828,828
826,597
Series 2018-KF45, Class B, 7.42%,
3/25/2025(b) (k)
675,023
664,262
Series 2018-KF47, Class B, 7.47%,
5/25/2025(b) (k)
243,085
240,140
Series 2018-KC02, Class B, 4.22%,
7/25/2025(b) (k)
25,000
24,275
Series 2018-KF53, Class B, 7.52%,
10/25/2025(k)
24,588
24,091
Series 2019-KF60, Class B, 7.82%,
2/25/2026(b) (k)
722,804
704,911
Series 2019-KF62, Class B, 7.52%,
4/25/2026(b) (k)
5,297
5,055
Series 2019-K735, Class B, 4.16%,
5/25/2026(b) (k)
150,000
147,011
Series 2019-KF72, Class B, 7.57%,
11/25/2026(b) (k)
730,796
698,033
Series 2017-KF40, Class B, 8.17%,
11/25/2027(b) (k)
943,700
887,764
Series 2018-KF43, Class B, 7.62%,
1/25/2028(b) (k)
21,473
20,574
Series 2018-KF50, Class B, 7.37%,
7/25/2028(b) (k)
3,383
3,223
Series 2018-K84, Class D, PO, ,
11/25/2028(b)
3,500,000
2,424,814
Series 2018-KF54, Class B, 7.67%,
11/25/2028(k)
628,980
587,332
Series 2019-KF59, Class B, 7.82%,
2/25/2029(b) (k)
675,975
644,147
Series 2019-K92, Class X2A, IO, 0.10%,
4/25/2029(b)
58,543,004
200,276
Series 2019-KW09, Class X2A, IO,
0.10%, 5/25/2029(b)
19,480,761
61,018
Series 2019-KW09, Class C, PO, ,
6/25/2029(b)
790,000
529,319
Series 2019-KW09, Class X2B, IO,
0.10%, 6/25/2029(b)
10,000,000
37,001
Series 2019-K92, Class X2B, IO, 0.10%,
7/25/2029(b)
12,014,516
45,640
Series 2019-KF67, Class C, 11.47%,
8/25/2029(b) (k)
2,377,288
2,021,548
Series 2020-KF76, Class B, 8.22%,
1/25/2030(b) (k)
641,021
626,793
SEE NOTES TO FINANCIAL STATEMENTS.
82
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Commercial Mortgage-Backed Securities — continued
Series 2020-K107, Class D, 3.62%,
2/25/2030(b) (k)
4,500,000
3,511,580
Series 2018-KW07, Class B, 4.22%,
10/25/2031(b) (k)
300,000
262,240
Series 2022-KF132, Class CS, 11.75%,
2/25/2032(b) (k)
3,651,796
3,079,918
Series 2019-KW10, Class C, PO, ,
10/25/2032(b)
1,300,000
839,957
Series 2019-KW10, Class X2A, IO,
0.10%, 10/25/2032(b)
14,362,072
52,693
Series 2019-KW10, Class X2B, IO,
0.10%, 10/25/2032(b)
1,600,000
6,208
Series 2023-KF149, Class CS, 11.50%,
12/25/2032(b) (k)
462,653
474,705
Series 19K-1513, Class X2A, IO, 0.10%,
8/25/2034(b)
169,751,256
1,129,949
Series 2015-K46, Class C, 3.82%,
4/25/2048(b) (k)
100,000
98,525
Series 2017-K69, Class D, PO, ,
10/25/2049(b)
3,000,000
2,276,713
Series 2017-K724, Class D, PO, ,
12/25/2049(b)
67,605
66,593
Series 2017-K62, Class B, 4.01%,
1/25/2050(b) (k)
415,000
405,126
Series 2018-K730, Class B, 3.92%,
2/25/2050(b) (k)
200,000
197,928
Series 2019-K91, Class C, 4.40%,
4/25/2051(b) (k)
250,000
239,657
Series 2019-K92, Class D, PO, ,
5/25/2052(b)
4,900,000
3,349,062
Series 2020-K116, Class D, PO, ,
9/25/2052(b)
4,500,000
2,601,235
Series 2020-K116, Class X2A, IO, 0.10%,
9/25/2052(b)
59,335,468
244,278
Series 2020-K116, Class X2B, IO, 0.10%,
9/25/2052(b)
12,768,420
56,675
Series 2020-K105, Class D, PO, ,
3/25/2053(b)
4,000,000
2,407,267
Series 2020-K105, Class X2A, IO, 0.10%,
3/25/2053(b)
51,971,028
204,943
Series 2020-K105, Class X2B, IO, 0.10%,
3/25/2053(b)
12,000,000
52,182
Series 2020-K113, Class D, PO, ,
5/25/2053(b)
4,300,000
2,601,115
Series 2020-K739, Class D, PO, ,
11/25/2053(b)
7,000,000
5,286,832
Series 2020-K739, Class X2A, IO, 0.10%,
11/25/2053(b)
71,592,810
163,368
Series 2020-K739, Class X2B, IO, 0.10%,
11/25/2053(b)
17,500,000
45,119
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Series 2020-K122, Class D, PO, ,
1/25/2054(b)
4,000,000
2,281,995
Series 2020-K122, Class X2B, IO, 0.10%,
1/25/2054(b)
10,972,469
51,801
GNMA
Series 2014-88, Class AJ, 2.99%,
3/16/2055(k)
1,056,760
949,518
Series 2015-33, IO, 0.25%,
2/16/2056(k)
47,017,355
356,899
Series 2017-76, IO, 0.77%,
12/16/2056(k)
5,856,622
225,549
Series 2017-9, IO, 0.66%,
1/16/2057(k)
22,587,966
858,209
Series 2023-127, IO, 0.42%,
7/16/2057(k)
92,809,309
1,515,010
Series 2016-165, IO, 0.63%,
12/16/2057(k)
4,931,320
159,657
Series 2017-16, IO, 0.38%,
9/16/2058(k)
16,682,492
340,483
Series 2017-70, IO, 0.38%,
2/16/2059(k)
44,267,934
1,069,469
Series 2023-108, IO, 0.69%,
8/16/2059(k)
12,339,944
469,458
Series 2018-9, IO, 0.44%,
1/16/2060(k)
8,766,421
270,714
Series 2019-109, IO, 0.80%,
4/16/2060(k)
5,580,295
311,676
Series 2018-85, IO, 0.55%,
7/16/2060(k)
13,800,014
498,861
Series 2021-17, IO, 1.05%,
1/16/2061(k)
13,222,725
1,027,418
Series 2021-82, Class TA, IF, IO, 3.64%,
4/16/2061(k)
10,293,620
598,826
Series 2021-90, IO, 0.83%,
5/16/2061(k)
17,621,978
1,060,277
Series 2019-53, Class IA, IO, 0.77%,
6/16/2061(k)
2,095,404
105,582
Series 2021-147, IO, 0.99%,
6/16/2061(k)
7,652,465
559,554
Series 2019-155, IO, 0.53%,
7/16/2061(k)
5,484,801
221,323
Series 2021-153, Class SA, IF, IO, 3.60%,
8/16/2061(k)
6,619,087
383,253
Series 2019-154, IO, 0.58%,
9/16/2061(k)
7,176,218
291,576
Series 2021-218, IO, 0.96%,
10/16/2061(k)
17,973,664
1,317,245
Series 2021-178, Class SA, IF, IO, 3.60%,
10/16/2061(k)
942,663
60,090
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
83
JPMorgan Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Commercial Mortgage-Backed Securities — continued
Series 2020-28, IO, 0.82%,
11/16/2061(k)
5,507,130
312,867
Series 2019-130, IO, 0.68%,
1/16/2062(k)
18,108,151
936,139
Series 2020-2, IO, 0.59%,
3/16/2062(k)
10,284,674
453,500
Series 2020-143, Class IB, IO, 0.87%,
3/16/2062(k)
3,488,764
213,313
Series 2020-110, IO, 0.98%,
3/16/2062(k)
18,804,217
1,282,280
Series 2020-10, IO, 0.58%,
4/16/2062(k)
10,446,272
439,806
Series 2020-23, IO, 0.66%,
4/16/2062(k)
9,628,664
456,242
Series 2020-38, IO, 0.82%,
4/16/2062(k)
14,827,593
866,858
Series 2020-120, IO, 0.77%,
5/16/2062(k)
5,726,596
339,040
Series 2020-100, IO, 0.78%,
5/16/2062(k)
5,646,439
338,609
Series 2020-91, Class IU, IO, 0.99%,
5/16/2062(k)
8,785,701
526,108
Series 2020-118, IO, 0.88%,
6/16/2062(k)
6,338,079
379,553
Series 2020-194, IO, 1.08%,
6/16/2062(k)
8,309,394
602,087
Series 2020-169, IO, 0.85%,
7/16/2062(k)
6,259,912
395,188
Series 2020-64, IO, 1.20%,
7/16/2062(k)
3,556,944
299,638
Series 2020-161, IO, 1.05%,
8/16/2062(k)
9,038,010
655,120
Series 2020-6, IO, 0.70%,
10/16/2062(k)
9,708,343
560,739
Series 2021-33, IO, 0.84%,
10/16/2062(k)
53,175,239
3,413,712
Series 2021-71, IO, 0.86%,
10/16/2062(k)
3,450,577
221,653
Series 2021-28, IO, 1.04%,
10/16/2062(k)
13,622,508
1,024,238
Series 2021-11, IO, 1.02%,
12/16/2062(k)
8,572,948
618,251
Series 2021-35, IO, 1.03%,
12/16/2062(k)
3,170,117
238,758
Series 2021-40, IO, 0.82%,
2/16/2063(k)
3,076,642
190,536
Series 2021-120, IO, 0.99%,
2/16/2063(k)
6,286,243
458,916
Series 2021-62, Class SA, IF, IO, 3.37%,
2/16/2063(k)
3,247,661
164,965
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Series 2021-106, IO, 0.86%,
4/16/2063(k)
50,225,998
3,355,694
Series 2021-151, IO, 0.92%,
4/16/2063(k)
7,904,742
553,516
Series 2021-168, IO, 0.80%,
5/16/2063(k)
13,174,619
818,005
Series 2021-60, IO, 0.83%,
5/16/2063(k)
2,219,146
135,180
Series 2021-126, IO, 0.85%,
5/16/2063(k)
9,629,903
643,623
Series 2021-22, IO, 0.97%,
5/16/2063(k)
7,769,411
542,031
Series 2021-10, IO, 0.99%,
5/16/2063(k)
4,873,777
354,003
Series 2021-170, IO, 0.99%,
5/16/2063(k)
11,892,834
862,342
Series 2024-32, IO, 0.71%,
6/16/2063(k)
47,462,405
2,390,150
Series 2021-141, Class SA, IF, IO, 3.65%,
6/16/2063(k)
1,707,282
88,387
Series 2021-133, IO, 0.88%,
7/16/2063(k)
8,917,431
605,898
Series 2022-67, IO, 0.89%,
8/16/2063(k)
18,667,362
1,403,360
Series 2021-61, IO, 1.04%,
8/16/2063(k)
1,372,611
101,774
Series 2023-15, Class AB, 4.00%,
8/16/2063(k)
735,905
710,196
Series 2023-179, IO, 0.61%,
9/16/2063(k)
74,722,980
3,201,297
Series 2021-164, IO, 0.95%,
10/16/2063(k)
14,705,503
1,078,953
Series 2021-110, IO, 0.87%,
11/16/2063(k)
5,672,592
381,255
Series 2021-200, IO, 0.88%,
11/16/2063(k)
1,958,686
135,707
Series 2021-180, IO, 0.91%,
11/16/2063(k)
8,814,977
622,001
Series 2021-185, IO, 1.10%,
11/16/2063(k)
1,496,321
124,634
Series 2021-220, IO, 0.83%,
12/16/2063(k)
10,991,806
686,876
Series 2022-106, IO, 0.69%,
2/16/2064(k)
2,800,420
163,725
Series 2022-7, Class SA, IF, IO, 3.37%,
2/16/2064(k)
7,033,612
419,061
Series 2021-224, IO, 0.78%,
4/16/2064(k)
1,920,292
123,950
Series 2022-149, IO, 0.45%,
6/16/2064(k)
13,164,586
559,991
SEE NOTES TO FINANCIAL STATEMENTS.
84
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Commercial Mortgage-Backed Securities — continued
Series 2022-134, IO, 0.51%,
6/16/2064(k)
2,919,937
128,789
Series 2022-165, IO, 0.59%,
6/16/2064(k)
9,502,493
499,914
Series 2022-80, IO, 0.59%,
6/16/2064(k)
1,153,484
53,954
Series 2022-62, IO, 0.62%,
6/16/2064(k)
1,924,749
96,991
Series 2022-52, IO, 0.77%,
6/16/2064(k)
9,619,203
517,651
Series 2022-141, IO, 0.78%,
6/16/2064(k)
2,938,894
200,071
Series 2022-210, IO, 0.70%,
7/16/2064(k)
3,627,395
222,760
Series 2022-199, IO, 0.76%,
7/16/2064(k)
3,922,543
247,525
Series 2023-15, IO, 0.92%,
8/16/2064(k)
1,771,746
129,851
Series 2023-144, Class IB, IO, 0.75%,
12/16/2064(k)
4,759,797
290,584
Series 2023-28, IO, 0.86%,
2/16/2065(k)
7,841,458
557,585
Series 2023-26, IO, 0.97%,
4/16/2065(k)
4,929,831
344,853
Series 2023-51, IO, 1.12%,
5/16/2065(k)
11,516,080
951,545
Series 2024-17, IO, 1.06%,
6/16/2065(k)
12,883,797
1,001,277
Series 2023-126, IO, 0.88%,
7/16/2065(k)
8,112,840
590,162
Series 2023-46, IO, 1.15%,
7/16/2065(k)
4,500,000
364,180
Series 2024-56, IO, 1.04%,
11/16/2065(k)
7,485,036
586,161
Series 2024-31, IO, 1.21%,
2/16/2066(k)
9,951,323
891,639
Series 2024-121, IO, 0.64%,
7/1/2066(k)
1,708,833
161,599
Series 2024-90, IO, 0.80%,
7/16/2066(k)
5,988,637
436,964
GS Mortgage Securities Corp. Trust Series
2023-SHIP, Class A, 4.47%,
9/10/2038(b) (k)
1,000,000
983,858
GS Mortgage Securities Trust
Series 2016-GS2, Class D, 2.75%,
5/10/2049(b)
750,000
652,003
Series 2019-GC40, Class E, 3.00%,
7/10/2052(b)
800,000
505,021
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Harvest Commercial Capital Loan Trust
Series 2024-1, Class A, 6.16%,
10/25/2056
3,793,588
3,869,396
ILPT Commercial Mortgage Trust
Series 2022-LPF2, Class A, 7.58%,
10/15/2039(b) (k)
104,962
104,701
Series 2022-LPF2, Class E, 11.28%,
10/15/2039(b) (k)
240,000
229,578
JPMBB Commercial Mortgage Securities
Trust
Series 2014-C26, Class D, 3.99%,
1/15/2048(b) (k)
5,000,000
3,931,653
Series 2015-C30, Class C, 4.37%,
7/15/2048(k)
5,150,000
3,672,355
Series 2015-C31, Class B, 4.78%,
8/15/2048(k)
3,790,000
3,378,705
Series 2015-C33, Class C, 4.79%,
12/15/2048(k)
150,000
132,987
JPMCC Commercial Mortgage Securities
Trust
Series 2017-JP5, Class C, 3.90%,
3/15/2050(k)
1,050,000
891,093
Series 2017-JP5, Class B, 4.08%,
3/15/2050(k)
850,000
772,246
JPMorgan Chase Commercial Mortgage
Securities Trust
Series 2013-C16, Class D, 5.05%,
12/15/2046(b) (k)
1,119,341
982,222
Series 2015-JP1, Class C, 4.88%,
1/15/2049(k)
4,000,000
3,473,865
Series 2016-JP3, Class C, 3.56%,
8/15/2049(k)
3,800,000
3,144,606
Morgan Stanley Bank of America Merrill
Lynch Trust
Series 2014-C18, Class B, 4.50%,
10/15/2047(k)
100,000
99,603
Series 2014-C19, Class D, 3.25%,
12/15/2047(b)
3,000,000
2,379,650
Series 2015-C26, Class D, 3.06%,
10/15/2048(b)
4,500,000
3,638,243
Series 2016-C31, Class C, 4.40%,
11/15/2049(k)
100,000
84,798
Series 2015-C23, Class B, 4.28%,
7/15/2050(k)
900,000
871,597
Morgan Stanley Capital I Trust
Series 2016-UBS9, Class B, 4.73%,
3/15/2049(k)
5,000,000
4,679,906
Series 2020-L4, Class D, 2.50%,
2/15/2053(b)
500,000
357,221
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
85
JPMorgan Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Commercial Mortgage-Backed Securities — continued
MRCD MARK Mortgage Trust Series
2019-PARK, Class E, 2.72%,
12/15/2036(b)
400,000
248,204
MSC Trust Series 2021-ILP, Class A, 6.23%,
11/15/2036(b) (k)
239,209
235,471
MSWF Commercial Mortgage Trust Series
2023-2, Class A5, 6.01%,
12/15/2056(k)
10,750,000
11,669,052
Multi-Family Connecticut Avenue Securities
Trust
Series 2019-01, Class M10, 8.71%,
10/25/2049(b) (k)
9,845,461
9,845,478
Series 2020-01, Class M10, 9.21%,
3/25/2050(b) (k)
15,579,216
15,579,364
Series 2023-01, Class M7, 9.35%,
11/25/2053(b) (k)
2,489,742
2,578,961
Series 2023-01, Class M10, 11.85%,
11/25/2053(b) (k)
825,000
912,383
Series 2024-01, Class M7, 8.10%,
7/25/2054(b) (k)
338,654
340,336
Series 2024-01, Class M10, 9.20%,
7/25/2054(b) (k)
300,000
302,987
SDR Commercial Mortgage Trust
Series 2024-DSNY, Class A, 6.73%,
5/15/2039(b) (k)
2,125,000
2,113,056
Series 2024-DSNY, Class B, 7.08%,
5/15/2039(b) (k)
4,575,000
4,517,812
SREIT Trust Series 2021-MFP, Class G,
8.43%, 11/15/2038(b) (k)
1,913,726
1,877,886
UBS Commercial Mortgage Trust Series
2018-C10, Class D, 3.00%,
5/15/2051(b)
1,000,000
747,272
Velocity Commercial Capital Loan Trust
Series 2018-1, Class A, 3.59%,
4/25/2048(b)
98,573
94,963
Series 2022-3, Class A, 5.22%,
6/25/2052(b) (k)
231,141
222,455
Series 2022-4, Class A, 5.63%,
8/25/2052(b) (k)
467,345
456,978
Wells Fargo Commercial Mortgage Trust
Series 2024-1CHI, Class A, 5.48%,
7/15/2035(b) (k)
1,000,000
1,001,292
Series 2024-1CHI, Class B, 5.93%,
7/15/2035(b) (k)
500,000
501,214
Series 2015-C29, Class D, 4.36%,
6/15/2048(k)
5,107,000
4,525,003
Series 2017-C39, Class A5, 3.42%,
9/15/2050
4,330,000
4,142,250
Series 2018-C44, Class D, 3.00%,
5/15/2051(b)
250,000
183,822
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Series 2018-C44, Class A5, 4.21%,
5/15/2051
1,000,000
973,773
Series 2022-C62, Class C, 4.50%,
4/15/2055(k)
100,000
82,299
Series 2015-NXS2, Class B, 4.41%,
7/15/2058(k)
3,500,000
3,215,170
WFRBS Commercial Mortgage Trust
Series 2014-C21, Class D, 3.50%,
8/15/2047(b)
2,750,000
2,192,850
Series 2014-C21, Class C, 4.23%,
8/15/2047(k)
2,150,000
1,973,915
Series 2014-C22, Class C, 3.87%,
9/15/2057(k)
100,000
80,299
Series 2014-C22, Class B, 4.37%,
9/15/2057(k)
100,000
89,549
Total Commercial Mortgage-Backed
Securities
(Cost $407,027,091)
412,407,842
Asset-Backed Securities — 16.1%
ACHV ABS TRUST Series 2023-2PL, Class B,
6.88%, 5/20/2030(b)
67,310
67,352
Affirm Asset Securitization Trust
Series 2023-A, Class 1A, 6.61%,
1/18/2028(b)
1,030,000
1,033,359
Series 2023-A, Class A, 6.61%,
1/18/2028(b)
500,000
501,787
AIMCO CLO (Cayman Islands) Series
2015-AA, Class BR2, 7.15%,
10/17/2034(b) (k)
1,700,000
1,699,150
AIMCO CLO Ltd. (Cayman Islands)
Series 2021-16A, Class AR, 6.72%,
7/17/2037(b) (k)
2,327,000
2,326,225
Series 2021-16A, Class BR, 6.97%,
7/17/2037(b) (k)
1,808,000
1,806,935
Air Canada Pass-Through Trust (Canada)
Series 2020-2, Class B, 9.00%,
10/1/2025(b)
3,921
3,986
American Airlines Pass-Through Trust Series
2021-1, Class B, 3.95%, 7/11/2030
41,000
37,685
American Credit Acceptance Receivables
Trust
Series 2024-1, Class B, 5.60%,
11/12/2027(b)
2,400,000
2,404,358
Series 2023-4, Class B, 6.63%,
2/14/2028(b)
2,566,000
2,596,185
Series 2022-1, Class E, 3.64%,
3/13/2028(b)
8,900,000
8,725,491
Series 2022-2, Class E, 6.57%,
6/13/2028(b)
190,000
189,277
SEE NOTES TO FINANCIAL STATEMENTS.
86
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Asset-Backed Securities — continued
Series 2022-3, Class D, 5.83%,
10/13/2028(b)
267,000
267,690
Series 2022-4, Class C, 7.86%,
2/15/2029(b)
128,611
129,488
Series 2023-1, Class D, 6.35%,
4/12/2029(b)
395,000
400,747
Series 2023-3, Class C, 6.44%,
10/12/2029(b)
1,083,000
1,097,378
Series 2023-3, Class D, 6.82%,
10/12/2029(b)
1,800,000
1,845,800
Series 2024-1, Class C, 5.63%,
1/14/2030(b)
1,950,000
1,960,822
Series 2024-2, Class D, 6.53%,
4/12/2030(b)
1,330,000
1,372,541
Series 2024-1, Class D, 5.86%,
5/13/2030(b)
2,965,000
2,998,567
Series 2024-3, Class D, 6.04%,
7/12/2030(b)
1,050,000
1,069,089
Series 2023-4, Class D, 7.65%,
9/12/2030(b)
2,400,000
2,518,321
AMSR Trust
Series 2020-SFR1, Class H, 5.30%,
4/17/2037(b)
100,000
98,190
Series 2020-SFR3, Class G, 4.99%,
9/17/2037(b)
1,050,000
1,030,511
Series 2020-SFR5, Class F, 2.69%,
11/17/2037(b)
1,500,000
1,439,179
Apidos CLO (Cayman Islands)
Series 2018-29A, Class A2, 7.10%,
7/25/2030(b) (k)
1,000,000
1,000,292
Series 2019-31A, Class A1R, 6.66%,
4/15/2031(b) (k)
911,106
912,817
Series 2020-33A, Class BR, 7.14%,
10/24/2034(b) (k)
3,460,000
3,454,921
Ares CLO Ltd. (Cayman Islands)
Series 2015-4A, Class A3RR, 6.70%,
10/15/2030(b) (k)
4,500,000
4,492,156
Series 2015-4A, Class BRR, 7.05%,
10/15/2030(b) (k)
1,416,667
1,414,783
Series 2017-43A, Class BR, 7.26%,
7/15/2034(b) (k)
4,100,000
4,101,701
ARES CLO Ltd. (Cayman Islands) Series
2018-47A, Class B, 7.01%,
4/15/2030(b) (k)
250,000
249,673
Avis Budget Rental Car Funding AESOP LLC
Series 2020-1A, Class C, 3.02%,
8/20/2026(b)
461,000
450,730
Series 2022-3A, Class A, 4.62%,
2/20/2027(b)
943,000
938,368
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Series 2023-1A, Class C, 6.23%,
4/20/2029(b)
1,207,000
1,226,747
Series 2023-4A, Class A, 5.49%,
6/20/2029(b)
800,000
817,756
Series 2023-4A, Class C, 7.24%,
6/20/2029(b)
2,700,000
2,839,775
Series 2024-3A, Class A, 5.23%,
12/20/2030(b)
853,000
864,933
Series 2024-3A, Class B, 5.58%,
12/20/2030(b)
403,000
409,362
Series 2024-3A, Class C, 6.11%,
12/20/2030(b)
376,000
381,147
Ballyrock CLO Ltd. (Cayman Islands) Series
2020-2A, Class A2R, 7.09%,
10/20/2031(b) (k)
3,500,000
3,499,223
Barings CLO Ltd. (Cayman Islands) Series
2022-1A, Class B, 7.23%,
4/15/2035(b) (k)
7,000,000
6,999,454
Bayview Opportunity Master Fund LLC
Series 2024-CAR1, Class C, 6.85%,
12/26/2031(b) (k)
228,690
228,689
Series 2024-CAR1, Class D, 7.40%,
12/26/2031(b) (k)
208,521
209,040
Bridgecrest Lending Auto Securitization
Trust
Series 2023-1, Class B, 6.80%,
8/15/2029
442,000
451,347
Series 2024-3, Class D, 5.83%,
5/15/2030
2,360,000
2,391,335
British Airways Pass-Through Trust (United
Kingdom) Series 2020-1, Class B, 8.38%,
11/15/2028(b)
6,871
7,183
BSPRT Issuer Ltd.
Series 2021-FL7, Class D, 8.20%,
12/15/2038(b) (k)
275,000
262,584
Series 2021-FL7, Class E, 8.85%,
12/15/2038(b) (k)
265,000
249,925
Buckhorn Park CLO Ltd. (Cayman Islands)
Series 2019-1A, Class AR, 6.66%,
7/18/2034(b) (k)
2,800,000
2,800,921
Series 2019-1A, Class CR, 7.54%,
7/18/2034(b) (k)
3,250,000
3,252,545
Business Jet Securities LLC Series 2024-1A,
Class A, 6.20%, 5/15/2039(b)
1,924,264
1,977,567
Buttermilk Park CLO Ltd. (Cayman Islands)
Series 2018-1A, Class B1R, 6.90%,
10/15/2031(b) (k)
327,065
327,391
Series 2018-1A, Class CR, 7.25%,
10/15/2031(b) (k)
1,926,600
1,924,030
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
87
JPMorgan Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Asset-Backed Securities — continued
Carlyle Global Market Strategies CLO Ltd.
(Cayman Islands)
Series 2014-1A, Class A1R2, 6.52%,
4/17/2031(b) (k)
520,781
520,990
Series 2012-3A, Class BR2, 7.76%,
1/14/2032(b) (k)
1,000,000
999,740
Series 2015-4A, Class A2RR, 7.13%,
7/20/2032(b) (k)
800,000
800,912
Series 2015-4A, Class BRR, 7.73%,
7/20/2032(b) (k)
1,000,000
998,856
Carlyle US CLO Ltd. (Cayman Islands) Series
2021-7A, Class A2, 7.21%,
10/15/2035(b) (k)
6,000,000
5,991,198
CBAM Ltd. (Cayman Islands) Series
2018-5A, Class B2, 6.95%,
4/17/2031(b) (k)
2,037,362
2,036,276
CIFC Funding Ltd. (Cayman Islands)
Series 2014-1A, Class BR2, 6.94%,
1/18/2031(b) (k)
250,000
249,999
Series 2018-1A, Class B, 6.94%,
4/18/2031(b) (k)
500,000
500,253
Series 2019-5A, Class A2RS, 7.31%,
1/15/2035(b) (k)
9,000,000
8,990,892
CoreVest American Finance Trust
Series 2019-1, Class E, 5.69%,
3/15/2052(b) (k)
300,000
290,121
Series 2019-2, Class E, 5.33%,
6/15/2052(b) (k)
350,000
317,211
Series 2019-3, Class E, 4.85%,
10/15/2052(b) (k)
350,000
310,199
Credit Acceptance Auto Loan Trust
Series 2022-3A, Class A, 6.57%,
10/15/2032(b)
250,000
251,570
Series 2023-1A, Class A, 6.48%,
3/15/2033(b)
700,000
709,938
Series 2022-3A, Class D, 9.00%,
4/18/2033(b)
300,000
310,050
Series 2023-2A, Class A, 5.92%,
5/16/2033(b)
900,000
906,282
Series 2023-3A, Class B, 7.09%,
10/17/2033(b)
391,000
405,902
Series 2023-5A, Class A, 6.13%,
12/15/2033(b)
2,250,000
2,288,162
Series 2023-5A, Class B, 6.71%,
2/15/2034(b)
1,467,000
1,513,882
Series 2024-1A, Class A, 5.68%,
3/15/2034(b)
805,000
817,193
Series 2024-1A, Class B, 6.03%,
5/15/2034(b)
708,000
722,555
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Series 2024-2A, Class A, 5.95%,
6/15/2034(b)
1,486,000
1,517,690
Series 2024-1A, Class C, 6.71%,
7/17/2034(b)
930,000
959,110
DB Master Finance LLC Series 2021-1A,
Class A23, 2.79%, 11/20/2051(b)
291,750
250,678
Diversified ABS Phase LLC Series 2024-1A,
Class A2, 7.67%, 5/30/2044‡ (b)
1,598,133
1,591,594
Domino's Pizza Master Issuer LLC Series
2015-1A, Class A2II, 4.47%,
10/25/2045(b)
185,500
183,420
Driven Brands Funding LLC
Series 2019-1A, Class A2, 4.64%,
4/20/2049(b)
255,150
251,379
Series 2021-1A, Class A2, 2.79%,
10/20/2051(b)
1,945,000
1,743,725
Series 2022-1A, Class A2, 7.39%,
10/20/2052(b)
589,500
597,239
Dryden CLO Ltd. (Cayman Islands)
Series 2017-53A, Class C, 7.26%,
1/15/2031(b) (k)
1,000,000
1,000,502
Series 2018-64A, Class A, 6.51%,
4/18/2031(b) (k)
850,464
851,347
Series 2018-58A, Class B, 7.05%,
7/17/2031(b) (k)
250,000
250,200
Series 2019-68A, Class AR, 6.73%,
7/15/2035(b) (k)
1,790,000
1,792,846
Series 2019-68A, Class BR, 7.26%,
7/15/2035(b) (k)
1,700,000
1,697,525
Dryden Senior Loan Fund (Cayman Islands)
Series 2017-47A, Class A1R, 6.54%,
4/15/2028(b) (k)
257,500
257,588
Series 2016-45A, Class BR, 7.26%,
10/15/2030(b) (k)
1,000,000
999,466
Series 2015-41A, Class AR, 6.53%,
4/15/2031(b) (k)
631,319
631,911
DT Auto Owner Trust
Series 2021-4A, Class E, 3.34%,
7/17/2028(b)
1,600,000
1,536,365
Series 2023-1A, Class B, 5.19%,
10/16/2028(b)
467,000
466,088
Series 2023-1A, Class C, 5.55%,
10/16/2028(b)
525,000
526,194
Series 2022-1A, Class E, 5.53%,
3/15/2029(b)
2,400,000
2,293,853
Series 2023-3A, Class C, 6.40%,
5/15/2029(b)
1,349,000
1,373,499
SEE NOTES TO FINANCIAL STATEMENTS.
88
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Asset-Backed Securities — continued
Elmwood CLO Ltd. (Cayman Islands)
Series 2021-3A, Class BR, 7.03%,
4/20/2034(b) (k)
1,537,000
1,539,542
Series 2021-3A, Class CR, 7.48%,
4/20/2034(b) (k)
1,080,000
1,079,563
Series 2021-4A, Class B, 7.14%,
10/20/2034(b) (k)
740,000
740,332
Series 2023-2A, Class C, 8.29%,
4/16/2036(b) (k)
2,615,000
2,639,563
Series 2024-3A, Class A, 6.80%,
4/18/2037(b) (k)
2,300,000
2,304,915
Series 2019-3A, Class BRR, 7.02%,
7/18/2037(b) (k)
1,650,000
1,643,413
Exeter Automobile Receivables Trust
Series 2020-3A, Class E, 3.44%,
8/17/2026(b)
1,981,117
1,957,588
Series 2021-2A, Class D, 1.40%,
4/15/2027
1,836,403
1,778,327
Series 2023-1A, Class B, 5.72%,
4/15/2027
98,210
98,219
Series 2023-3A, Class C, 6.21%,
6/15/2028
1,827,000
1,848,816
Series 2021-2A, Class E, 2.90%,
7/17/2028(b)
750,000
723,734
Series 2023-2A, Class C, 5.75%,
7/17/2028
500,000
502,929
Series 2023-4A, Class C, 6.51%,
8/15/2028
920,000
936,023
Series 2022-3A, Class D, 6.76%,
9/15/2028
400,000
407,411
Series 2021-3A, Class E, 3.04%,
12/15/2028(b)
900,000
857,514
Series 2022-4A, Class D, 5.98%,
12/15/2028
168,000
168,845
Series 2022-6A, Class D, 8.03%,
4/6/2029
375,000
393,196
Series 2023-3A, Class D, 6.68%,
4/16/2029
954,000
982,090
Series 2023-1A, Class D, 6.69%,
6/15/2029
500,000
511,062
Series 2023-2A, Class D, 6.32%,
8/15/2029
500,000
510,843
Series 2022-1A, Class E, 5.02%,
10/15/2029(b)
1,070,000
1,032,413
Series 2022-2A, Class E, 6.34%,
10/15/2029(b)
3,007,000
2,983,154
Series 2023-1A, Class E, 12.07%,
9/16/2030(b)
900,000
1,013,641
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
FirstKey Homes Trust Series 2020-SFR1,
Class F1, 3.64%, 8/17/2037(b)
500,000
487,133
Flagship Credit Auto Trust
Series 2023-1, Class A3, 5.01%,
8/16/2027(b)
133,000
132,856
Series 2023-1, Class B, 5.05%,
1/18/2028(b)
100,000
99,922
FMC GMSR Issuer Trust Series 2022-GT1,
Class B, 7.17%, 4/25/2027(b)
300,000
290,100
Foundation Finance Trust Series 2023-1A,
Class D, 9.18%, 12/15/2043(b)
405,367
422,197
FREED ABS Trust
Series 2022-1FP, Class D, 3.35%,
3/19/2029(b)
191,976
189,751
Series 2022-3FP, Class C, 7.05%,
8/20/2029(b)
38,034
38,079
Galaxy CLO Ltd. (Cayman Islands) Series
2015-19A, Class A2RR, 6.94%,
7/24/2030(b) (k)
1,090,000
1,089,574
GLS Auto Receivables Issuer Trust
Series 2023-1A, Class A2, 5.98%,
8/17/2026(b)
12,333
12,334
Series 2021-1A, Class E, 3.14%,
1/18/2028(b)
650,000
633,881
Series 2022-2A, Class D, 6.15%,
4/17/2028(b)
420,000
423,907
Series 2023-1A, Class D, 7.01%,
1/16/2029(b)
652,000
671,599
Series 2022-2A, Class E, 5.50%,
6/15/2029(b)
2,500,000
2,423,352
GoldenTree Loan Opportunities XII Ltd.
(Cayman Islands) Series 2016-12A,
Class CR, 7.49%, 7/21/2030(b) (k)
1,000,000
999,259
Hertz Vehicle Financing III LLC Series
2023-4A, Class D, 9.44%,
3/25/2030(b)
1,500,000
1,527,660
Hertz Vehicle Financing LLC
Series 2022-4A, Class D, 6.56%,
9/25/2026(b)
1,000,000
981,821
Series 2023-1A, Class A, 5.49%,
6/25/2027(b)
400,000
403,282
Series 2023-1A, Class C, 6.91%,
6/25/2027(b)
292,000
294,136
Series 2023-3A, Class A, 5.94%,
2/25/2028(b)
595,000
606,680
Series 2023-3A, Class D, 9.43%,
2/25/2028(b)
1,600,000
1,615,218
Series 2023-2A, Class D, 9.40%,
9/25/2029(b)
4,200,000
4,263,118
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
89
JPMorgan Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Asset-Backed Securities — continued
HGI CRE CLO Ltd. (Cayman Islands) Series
2022-FL3, Class E, 9.65%,
4/20/2037(b) (k)
195,500
190,559
Hilton Grand Vacations Trust Series
2022-1D, Class D, 6.79%,
6/20/2034(b)
183,536
179,053
HINNT LLC Series 2022-A, Class D, 6.50%,
5/15/2041(b)
367,946
356,747
KKR CLO Ltd. (Cayman Islands)
Series 22A, Class B, 7.14%,
7/20/2031(b) (k)
250,000
249,867
Series 39A, Class B1, 7.26%,
10/15/2034(b) (k)
2,500,000
2,510,675
Series 40A, Class BR, 6.98%,
10/20/2034(b) (k)
2,000,000
1,994,496
KKR Financial CLO Ltd. (Cayman Islands)
Series 2013-1A, Class A2R2, 6.75%,
4/15/2029(b) (k)
670,242
671,009
LCM Ltd. (Cayman Islands)
Series 26A, Class A1, 6.61%,
1/20/2031(b) (k)
222,930
223,154
Series 31A, Class AR, 6.56%,
7/20/2034(b) (k)
6,000,000
6,005,178
LendingClub Loan Certificate Issuer Trust
Series 2022-NP1, Class CERT, 0.00%,
3/16/2037‡ (b)
50,000
320,605
Series 2022-P1, Class CERT, 0.00%,
3/16/2037‡ (b)
50,000
275,155
Series 2022-P2, Class CERT, 0.00%,
4/15/2037‡ (b)
50,000
297,190
Lendingpoint Asset Securitization Trust
Series 2022-A, Class D, 4.54%,
6/15/2029(b)
2,250,000
1,504,246
Series 2022-B, Class A, 4.77%,
10/15/2029(b)
32,450
32,319
Series 2022-C, Class C, 8.68%,
2/15/2030(b)
100,000
92,470
Lendmark Funding Trust Series 2024-1A,
Class A, 5.53%, 6/21/2032(b)
1,950,000
1,979,993
Madison Park Funding Ltd. (Cayman Islands)
Series 2018-28A, Class C, 7.41%,
7/15/2030(b) (k)
650,000
649,378
Series 2016-20A, Class BR, 7.08%,
7/27/2030(b) (k)
250,000
249,794
Series 2017-23A, Class AR, 6.50%,
7/27/2031(b) (k)
1,008,197
1,009,542
Series 2019-34A, Class AR, 6.67%,
4/25/2032(b) (k)
528,186
528,724
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Magnetite Ltd. (Cayman Islands)
Series 2016-17A, Class AR2, 6.78%,
4/20/2037(b) (k)
2,300,000
2,306,527
Series 2016-17A, Class BR2, 7.23%,
4/20/2037(b) (k)
2,208,000
2,215,348
Series 2024-40A, Class B1, 7.08%,
7/15/2037(b) (k)
2,900,000
2,887,054
Mariner Finance Issuance Trust Series
2023-AA, Class E, 11.12%,
10/22/2035(b)
500,000
514,895
Marlette Funding Trust
Series 2023-1A, Class A, 6.07%,
4/15/2033(b)
26,500
26,501
Series 2023-1A, Class B, 6.50%,
4/15/2033(b)
700,000
703,019
Series 2023-1A, Class C, 7.20%,
4/15/2033(b)
350,000
357,524
Neuberger Berman CLO Ltd. (Cayman
Islands) Series 2016-22A, Class BR2,
7.30%, 4/15/2038(b) (k)
1,219,000
1,214,181
Neuberger Berman Loan Advisers CLO Ltd.
(Cayman Islands)
Series 2017-26A, Class AR, 6.46%,
10/18/2030(b) (k)
410,912
411,318
Series 2017-26A, Class C, 7.29%,
10/18/2030(b) (k)
500,000
500,018
Series 2018-29A, Class B1R, 7.08%,
10/19/2031(b) (k)
1,993,000
1,991,834
Series 2019-34A, Class BR, 7.03%,
1/20/2035(b) (k)
3,300,000
3,300,518
New Residential Mortgage LLC Series
2020-FNT2, Class A, 5.44%,
7/25/2025(b)
414,138
410,720
New Residential Mortgage Loan Trust Series
2022-SFR1, Class E1, 3.55%,
2/17/2039(b)
168,000
154,621
NRZ Excess Spread-Collateralized Notes
Series 2021-FNT1, Class A, 2.98%,
3/25/2026(b)
237,552
228,001
Series 2021-FNT2, Class A, 3.23%,
5/25/2026(b)
126,326
121,210
Series 2021-FHT1, Class A, 3.10%,
7/25/2026(b)
193,732
185,093
Series 2021-GNT1, Class A, 3.47%,
11/25/2026(b)
68,790
65,002
OCP CLO Ltd. (Cayman Islands)
Series 2014-6A, Class A2R2, 6.79%,
10/17/2030(b) (k)
2,276,000
2,280,648
Series 2014-6A, Class BR2, 7.19%,
10/17/2030(b) (k)
1,289,000
1,288,249
SEE NOTES TO FINANCIAL STATEMENTS.
90
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Asset-Backed Securities — continued
Series 2018-15A, Class A1, 6.64%,
7/20/2031(b) (k)
295,365
295,717
Series 2015-9A, Class A1R2, 6.55%,
1/15/2033(b) (k)
1,500,000
1,501,017
Series 2022-25A, Class B1R, 7.03%,
7/20/2037(b) (k)
1,400,000
1,400,848
Octagon Investment Partners Ltd. (Cayman
Islands)
Series 2018-2A, Class A1B, 6.80%,
7/25/2030(b) (k)
4,500,000
4,493,497
Series 2018-1A, Class A1A, 6.60%,
1/20/2031(b) (k)
684,680
684,947
Series 2018-1A, Class C, 7.26%,
4/15/2031(b) (k)
2,000,000
1,999,454
Series 2019-1A, Class BR, 7.13%,
10/25/2032(b) (k)
2,509,000
2,507,542
Series 2019-1A, Class CR, 7.73%,
10/25/2032(b) (k)
1,500,000
1,499,404
Series 2019-1A, Class BR, 7.15%,
4/15/2035(b) (k)
1,000,000
999,511
OnDeck Asset Securitization Trust IV LLC
Series 2023-1A, Class A, 7.00%,
8/19/2030(b)
468,000
469,925
OneMain Financial Issuance Trust
Series 2018-2A, Class A, 3.57%,
3/14/2033(b)
6,829
6,823
Series 2023-2A, Class A2, 6.85%,
9/15/2036(b) (k)
1,780,000
1,807,566
Oportun Issuance Trust Series 2022-2,
Class D, 11.34%, 10/9/2029
863,000
866,180
Pagaya AI Debt Selection Trust Series
2021-3, Class C, 3.27%, 5/15/2029(b)
1,135,446
1,079,383
Palmer Square CLO Ltd. (Cayman Islands)
Series 2015-1A, Class A1A4, 6.52%,
5/21/2034(b) (k)
510,000
510,915
Palmer Square Loan Funding Ltd. (Cayman
Islands)
Series 2022-3A, Class BR, 7.30%,
4/15/2031(b) (k)
1,858,000
1,856,911
Series 2024-3A, Class A2, 6.81%,
8/8/2032(b) (k)
1,911,950
1,907,138
Series 2024-3A, Class B, 7.06%,
8/8/2032(b) (k)
2,000,000
1,997,262
PMT Issuer Trust-FMSR Series 2021-FT1,
Class A, 8.39%, 3/25/2026(b) (k)
2,600,000
2,611,910
PNMAC GMSR ISSUER TRUST Series
2022-GT1, Class A, 9.60%,
5/25/2027(b) (k)
343,000
348,050
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
PRET LLC
Series 2024-NPL2, Class A1, 7.02%,
2/25/2054(b) (j)
2,236,008
2,246,741
Series 2024-RN1, Class A1, 7.14%,
3/25/2054(b) (j)
889,536
899,356
Series 2024-NPL3, Class A1, 7.52%,
4/27/2054(b) (j)
2,639,936
2,670,907
Progress Residential Trust Series
2023-SFR1, Class E1, 6.15%,
3/17/2040(b)
736,000
742,300
PRPM LLC Series 2021-11, Class A2,
4.58%, 11/25/2026(b) (j)
1,000,000
989,842
RCO VI Mortgage LLC Series 2022-1,
Class A1, 3.00%, 1/25/2027(b) (j)
74,550
73,273
Republic Finance Issuance Trust
Series 2021-A, Class D, 5.23%,
12/22/2031(b)
800,000
762,393
Series 2024-A, Class A, 5.91%,
8/20/2032(b)
2,563,000
2,597,150
RR Ltd. (Cayman Islands) Series 2020-12A,
Class A2R3, 6.90%, 1/15/2036(b) (k)
2,796,000
2,788,767
Santander Bank Auto Credit-Linked Notes
Series 2022-C, Class B, 6.45%,
12/15/2032(b)
109,887
110,342
Series 2022-C, Class C, 6.99%,
12/15/2032(b)
95,236
95,817
Series 2022-C, Class D, 8.20%,
12/15/2032(b)
87,910
88,833
Series 2022-C, Class E, 11.37%,
12/15/2032(b)
72,884
74,506
Santander Drive Auto Receivables Trust
Series 2021-3, Class D, 1.33%,
9/15/2027
1,588,373
1,553,738
Series 2024-1, Class B, 5.23%,
12/15/2028
2,200,000
2,216,020
Series 2023-4, Class B, 5.77%,
12/15/2028
428,000
434,875
Series 2022-4, Class C, 5.00%,
11/15/2029
1,130,000
1,132,240
Series 2024-1, Class C, 5.45%,
3/15/2030
1,000,000
1,010,598
Series 2024-4, Class C, 4.95%,
4/15/2030
1,856,000
1,858,109
Series 2023-3, Class C, 5.77%,
11/15/2030
220,000
225,193
Series 2023-5, Class C, 6.43%,
2/18/2031
1,904,000
1,983,515
Series 2023-6, Class C, 6.40%,
3/17/2031
3,171,000
3,316,958
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
91
JPMorgan Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Asset-Backed Securities — continued
Series 2022-7, Class C, 6.69%,
3/17/2031
174,000
179,028
Series 2024-3, Class D, 5.97%,
10/15/2031
1,906,000
1,957,761
Series 2024-4, Class D, 5.32%,
12/15/2031
1,958,000
1,964,396
SBA Small Business Investment Cos.
Series 2023-10A, Class 1, 5.17%,
3/10/2033
1,581,770
1,614,900
Series 2023-10B, Class 1, 5.69%,
9/10/2033
1,953,083
2,033,171
Series 2024-10A, Class 1, 5.04%,
3/10/2034
3,000,000
3,046,232
SoFi Consumer Loan Program Trust Series
2023-1S, Class A, 5.81%,
5/15/2031(b)
11,720
11,719
Subway Funding LLC Series 2024-1A,
Class A23, 6.51%, 7/30/2054(b)
3,419,000
3,570,550
Symphony CLO Ltd. (Cayman Islands)
Series 2018-19A, Class B, 6.90%,
4/16/2031(b) (k)
1,900,000
1,898,410
Series 2018-19A, Class C, 7.30%,
4/16/2031(b) (k)
940,000
940,085
Series 2015-16A, Class B1RR, 7.00%,
10/15/2031(b) (k)
1,236,000
1,233,270
Series 2020-23A, Class AR, 6.58%,
1/15/2034(b) (k)
518,174
518,679
Theorem Funding Trust
Series 2022-2A, Class B, 9.27%,
12/15/2028(b)
400,000
414,071
Series 2022-3A, Class A, 7.60%,
4/15/2029(b)
72,138
72,738
Tricon Residential Trust Series 2022-SFR1,
Class E2, 5.74%, 4/17/2039(b)
101,000
100,070
United Airlines Pass-Through Trust
Series 2016-2, Class B, 3.65%,
10/7/2025
26,597
26,062
Series 2016-1, Class B, 3.65%,
1/7/2026
22,164
21,557
Upstart Pass-Through Trust
Series 2022-PT2, Class A, 17.91%,
2/20/2030‡ (b) (k)
241,603
241,602
Series 2022-PT3, Class A, HB, 20.28%,
4/20/2030‡ (b) (k)
162,828
163,724
Upstart Securitization Trust Series 2022-2,
Class B, 6.10%, 5/20/2032(b)
188,017
187,819
Westlake Automobile Receivables Trust
Series 2023-1A, Class B, 5.41%,
1/18/2028(b)
375,000
375,653
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Series 2021-3A, Class F, 4.25%,
6/15/2028(b)
2,000,000
1,871,034
Series 2023-1A, Class C, 5.74%,
8/15/2028(b)
405,000
407,964
Series 2023-1A, Class D, 6.79%,
11/15/2028(b)
437,000
450,960
Series 2024-1A, Class C, 5.65%,
2/15/2029(b)
735,000
742,237
Series 2023-3A, Class D, 6.47%,
3/15/2029(b)
632,000
648,459
Series 2024-1A, Class D, 6.02%,
10/15/2029(b)
576,000
585,784
Total Asset-Backed Securities
(Cost $301,079,774)
303,195,743
Collateralized Mortgage Obligations — 6.0%
Angel Oak Mortgage Trust I LLC Series
2019-4, Class B2, 5.66%,
7/26/2049(b) (k)
800,000
766,129
CHL Mortgage Pass-Through Trust Series
2006-OA5, Class 2A1, 5.79%,
4/25/2046(k)
143,658
120,990
COLT Mortgage Loan Trust Series 2023-2,
Class A1, 6.60%, 7/25/2068(b) (j)
326,900
332,186
Connecticut Avenue Securities Trust
Series 2019-R04, Class 2B1, 10.71%,
6/25/2039(b) (k)
633,751
672,139
Series 2019-R07, Class 1B1, 8.86%,
10/25/2039(b) (k)
621,829
644,892
Series 2020-R01, Class 1B1, 8.71%,
1/25/2040(b) (k)
1,500,000
1,554,151
Series 2022-R01, Class 1M1, 6.35%,
12/25/2041(b) (k)
1,426,382
1,424,615
Series 2022-R06, Class 1M2, 9.20%,
5/25/2042(b) (k)
1,100,000
1,170,125
Series 2023-R01, Class 1M1, 7.75%,
12/25/2042(b) (k)
2,374,547
2,445,207
Series 2023-R02, Class 1M1, 7.65%,
1/25/2043(b) (k)
246,414
253,264
Series 2023-R02, Class 1M2, 8.70%,
1/25/2043(b) (k)
550,000
579,516
Series 2023-R02, Class 1B1, 10.90%,
1/25/2043(b) (k)
350,000
386,872
Series 2023-R04, Class 1M1, 7.65%,
5/25/2043(b) (k)
939,237
959,073
Series 2023-R04, Class 1M2, 8.90%,
5/25/2043(b) (k)
500,000
534,775
Series 2023-R06, Class 1M2, 8.05%,
7/25/2043(b) (k)
680,000
708,478
SEE NOTES TO FINANCIAL STATEMENTS.
92
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Collateralized Mortgage Obligations — continued
Series 2023-R07, Class 2M2, 8.60%,
9/25/2043(b) (k)
16,000,000
16,640,000
Series 2024-R01, Class 1M1, 6.40%,
1/25/2044(b) (k)
6,731,725
6,735,931
Series 2024-R01, Class 1B1, 8.05%,
1/25/2044(b) (k)
2,500,000
2,541,093
Series 2024-R02, Class 1M1, 6.45%,
2/25/2044(b) (k)
513,266
513,587
Series 2024-R02, Class 1M2, 7.15%,
2/25/2044(b) (k)
460,000
462,285
Series 2024-R04, Class 1M2, 7.00%,
5/25/2044(b) (k)
1,296,000
1,298,436
Series 2024-R05, Class 2M2, 7.05%,
7/25/2044(b) (k)
420,000
420,542
Deephaven Residential Mortgage Trust
Series 2022-2, Class A1, 4.30%,
3/25/2067(b) (k)
101,670
98,286
FHLMC STACR REMIC Trust
Series 2022-DNA3, Class M1B, 8.25%,
4/25/2042(b) (k)
500,000
517,749
Series 2022-DNA4, Class M2, 10.60%,
5/25/2042(b) (k)
550,000
597,364
Series 2022-DNA5, Class M2, 12.10%,
6/25/2042(b) (k)
6,000,000
6,787,500
Series 2023-DNA1, Class M1A, 7.45%,
3/25/2043(b) (k)
453,668
461,545
Series 2023-DNA2, Class M1A, 7.45%,
4/25/2043(b) (k)
1,013,216
1,031,831
Series 2023-HQA2, Class M1B, 8.70%,
6/25/2043(b) (k)
1,200,000
1,264,014
Series 2024-DNA1, Class M2, 7.30%,
2/25/2044(b) (k)
1,500,000
1,509,380
FHLMC STACR Trust Series 2018-DNA3,
Class B1, 9.36%, 9/25/2048(b) (k)
300,000
325,933
FHLMC STACR, Whole Loan
Series 2017-DNA2, Class B1, 10.61%,
10/25/2029(k)
250,000
271,063
Series 2017-DNA3, Class B1, 9.91%,
3/25/2030(k)
1,550,000
1,658,356
FHLMC, REMIC
Series 5164, Class J, 2.50%, 5/25/2049
1,253,670
1,104,773
Series 5387, Class KB, 6.00%,
3/25/2054
2,900,000
3,111,345
FNMA, Connecticut Avenue Securities
Series 2017-C02, Class 2B1, 10.96%,
9/25/2029(k)
2,120,000
2,310,471
Series 2017-C03, Class 1B1, 10.31%,
10/25/2029(k)
780,000
836,457
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Series 2017-C05, Class 1B1, 9.06%,
1/25/2030(k)
1,090,558
1,135,478
Series 2017-C06, Class 1B1, 9.61%,
2/25/2030(k)
450,000
476,401
Series 2017-C07, Class 1B1, 9.46%,
5/25/2030(k)
790,000
850,048
Series 2018-C01, Class 1B1, 9.01%,
7/25/2030(k)
1,346,000
1,421,627
Series 2018-C03, Class 1B1, 9.21%,
10/25/2030(k)
3,647,000
3,965,793
Series 2021-R02, Class 2M2, 7.35%,
11/25/2041(b) (k)
5,000,000
5,028,168
Series 2021-R02, Class 2B1, 8.65%,
11/25/2041(b) (k)
64,000
65,910
FNMA, REMIC
Series 2021-86, Class T, 2.50%,
9/25/2048
1,100,317
984,692
Series 2024-25, Class ZA, 6.00%,
9/25/2053
1,938,286
2,047,406
Series 2024-25, Class ZB, 5.50%,
3/25/2054
2,749,841
2,801,488
FWD Securitization Trust Series 2020-INV1,
Class A1, 2.24%, 1/25/2050(b) (k)
388,759
362,947
GNMA
Series 2014-181, Class SL, IF, IO, 0.15%,
12/20/2044(k)
448,101
45,570
Series 2021-78, Class IB, IO, 3.00%,
5/20/2051
875,473
139,577
Series 2021-107, Class XI, IO, 3.00%,
6/20/2051
1,307,191
200,895
Series 2021-142, Class XI, IO, 3.00%,
8/20/2051
138,945
22,106
Series 2021-188, Class IJ, IO, 3.00%,
10/20/2051
2,804,418
445,741
Series 2023-102, Class BG, 5.50%,
7/20/2053
310,000
317,566
Series 2024-27, Class GB, 5.00%,
2/20/2054
250,000
245,367
Homeward Opportunities Fund Trust Series
2024-RTL1, Class A1, 7.12%,
7/25/2029(b) (j)
3,780,000
3,824,575
LHOME Mortgage Trust
Series 2023-RTL1, Class A1, 7.87%,
1/25/2028(b) (j)
1,160,000
1,167,640
Series 2023-RTL2, Class A1, 8.00%,
6/25/2028(b) (j)
500,000
508,029
Series 2023-RTL3, Class A1, 8.00%,
8/25/2028(b) (j)
1,550,000
1,578,867
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
93
JPMorgan Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Collateralized Mortgage Obligations — continued
Series 2024-RTL1, Class A1, 7.02%,
1/25/2029(b) (j)
750,000
760,488
Series 2024-RTL2, Class A1, 7.13%,
3/25/2029(b) (j)
1,600,000
1,626,525
Series 2024-RTL3, Class A1, 6.90%,
5/25/2029(b) (j)
2,360,000
2,398,059
Series 2024-RTL4, Class A1, 5.92%,
7/25/2039(b) (j)
2,516,000
2,526,202
Series 2024-RTL4, Class A2, 6.09%,
7/25/2039‡ (b) (j)
1,017,294
1,027,469
MFA Trust
Series 2022-RTL1, Class A1, 5.07%,
4/26/2027(b) (j)
2,733,995
2,750,566
Series 2023-RTL1, Class A1, 7.58%,
8/25/2027(b) (j)
260,000
259,762
Series 2021-NQM1, Class A1, 1.15%,
4/25/2065(b) (k)
109,409
101,581
New Residential Mortgage Loan Trust
Series 2018-3A, Class A1C, 3.00%,
5/25/2058(b) (k)
235,978
219,712
Series 2019-NQM5, Class A1, 2.71%,
11/25/2059(b) (k)
174,568
163,466
OBX Trust
Series 2023-NQM3, Class A1, 5.95%,
2/25/2063(b) (j)
524,555
525,531
Series 2023-NQM7, Class A1, 6.84%,
4/25/2063(b) (j)
649,899
660,484
Series 2023-NQM6, Class A1, 6.52%,
7/25/2063(b) (j)
313,358
317,093
Onah Energy, 0.00%, 8/10/2039‡
3,500,000
3,500,000
PRPM LLC
Series 2020-6, Class A1, 5.36%,
11/25/2025(b) (j)
549,519
549,464
Series 2024-1, Class A1, 6.96%,
2/25/2029(b) (j)
1,060,236
1,060,956
Series 2024-2, Class A1, 7.03%,
3/25/2029(b) (j)
852,843
855,706
STACR Trust Series 2018-HRP2, Class B1,
9.66%, 2/25/2047(b) (k)
600,000
656,954
Starwood Mortgage Residential Trust Series
2020-INV1, Class B2, 4.26%,
11/25/2055(b)
250,000
204,117
Verus Securitization Trust
Series 2023-1, Class A1, 5.85%,
12/25/2067(b) (j)
698,106
697,673
Series 2023-2, Class A1, 6.19%,
3/25/2068(b) (j)
524,027
525,859
Series 2023-4, Class A1, 5.81%,
5/25/2068(b) (j)
752,092
752,430
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
VM Master Issuer LLC Series 2022-1,
Class B, 7.88%, 5/24/2025‡ (b) (j)
474,466
471,046
Total Collateralized Mortgage Obligations
(Cost $111,488,236)
113,297,387
Foreign Government Securities — 3.7%
Arab Republic of Egypt
7.50%, 1/31/2027(h)
300,000
293,438
7.60%, 3/1/2029(h)
1,500,000
1,410,937
7.63%, 5/29/2032(h)
1,300,000
1,113,125
7.30%, 9/30/2033(h)
200,000
164,000
8.50%, 1/31/2047(h)
700,000
541,406
8.88%, 5/29/2050(h)
300,000
238,406
Banque Centrale de Tunisie 5.75%,
1/30/2025(h)
200,000
192,750
Benin Government Bond
7.96%, 2/13/2038(b)
680,000
650,887
7.96%, 2/13/2038(h)
650,000
622,172
Commonwealth of the Bahamas 6.00%,
11/21/2028(h)
900,000
831,375
Democratic Socialist Republic of Sri Lanka
7.85%, 3/14/2029(h) (i)
1,200,000
637,875
Dominican Republic Government Bond
5.50%, 2/22/2029(h)
350,000
350,438
7.05%, 2/3/2031(b)
510,000
545,955
7.05%, 2/3/2031(h)
500,000
535,250
6.00%, 2/22/2033(b)
150,000
151,547
6.00%, 2/22/2033(h)
500,000
505,155
6.40%, 6/5/2049(h)
2,050,000
2,053,854
5.88%, 1/30/2060(h)
1,450,000
1,331,100
Federal Republic of Nigeria
7.63%, 11/21/2025(h)
600,000
601,125
6.50%, 11/28/2027(h)
1,100,000
1,024,375
6.13%, 9/28/2028(h)
1,200,000
1,080,000
7.14%, 2/23/2030(h)
600,000
542,813
7.88%, 2/16/2032(h)
500,000
445,000
7.38%, 9/28/2033(h)
400,000
334,500
8.25%, 9/28/2051(b)
200,000
157,750
8.25%, 9/28/2051(h)
900,000
709,875
Federative Republic of Brazil 7.13%,
5/13/2054
368,000
376,839
Gabonese Republic
6.95%, 6/16/2025(h)
1,000,000
934,062
7.00%, 11/24/2031(h)
300,000
228,750
Hashemite Kingdom of Jordan
4.95%, 7/7/2025(h)
600,000
589,313
5.85%, 7/7/2030(h)
800,000
755,000
SEE NOTES TO FINANCIAL STATEMENTS.
94
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Foreign Government Securities — continued
7.38%, 10/10/2047(h)
1,100,000
998,250
Islamic Republic of Pakistan
8.25%, 9/30/2025(h)
400,000
387,500
6.00%, 4/8/2026(b)
1,100,000
1,009,250
6.00%, 4/8/2026(h)
900,000
825,750
6.88%, 12/5/2027(h)
1,600,000
1,388,000
Istanbul Metropolitan Municipality 10.50%,
12/6/2028(b)
767,000
836,030
Kingdom of Bahrain
7.38%, 5/14/2030(h)
200,000
213,063
5.45%, 9/16/2032(h)
200,000
189,938
7.50%, 9/20/2047(h)
600,000
600,188
Kingdom of Morocco 6.50%, 9/8/2033(h)
400,000
427,036
Republic of Angola
8.25%, 5/9/2028(h)
800,000
764,750
8.00%, 11/26/2029(h)
1,400,000
1,285,375
8.75%, 4/14/2032(b)
400,000
363,252
8.75%, 4/14/2032(h)
400,000
363,252
9.38%, 5/8/2048(b)
400,000
344,000
9.13%, 11/26/2049(h)
800,000
673,250
Republic of Armenia 3.60%, 2/2/2031(h)
400,000
336,250
Republic of Colombia
3.00%, 1/30/2030
200,000
169,300
3.13%, 4/15/2031
200,000
163,500
8.00%, 11/14/2035
400,000
424,400
8.75%, 11/14/2053
779,000
847,513
Republic of Costa Rica
6.13%, 2/19/2031(h)
200,000
206,250
6.55%, 4/3/2034(b)
920,000
969,165
7.00%, 4/4/2044(h)
400,000
420,812
7.30%, 11/13/2054(b)
1,065,000
1,153,193
Republic of Cote d'Ivoire
6.38%, 3/3/2028(h)
1,700,000
1,688,134
5.75%, 12/31/2032(h) (j)
69,959
65,953
7.63%, 1/30/2033(h)
1,000,000
997,700
6.13%, 6/15/2033(h)
1,200,000
1,096,875
8.25%, 1/30/2037(b)
1,600,000
1,594,000
Republic of Ecuador 5.00%, 7/31/2040(h)
(j)
2,650,000
1,339,575
Republic of El Salvador
6.38%, 1/18/2027(h)
266,000
249,209
8.63%, 2/28/2029(h)
452,000
423,298
0.25%, 4/17/2030(b)
1,990,000
50,745
9.25%, 4/17/2030(b)
2,390,000
2,264,525
7.12%, 1/20/2050(h)
350,000
242,484
9.50%, 7/15/2052(h)
350,000
296,625
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Republic of Ghana 6.38%, 2/11/2027(h)
(i)
2,200,000
1,136,437
Republic of Guatemala
6.60%, 6/13/2036(b)
700,000
730,107
6.55%, 2/6/2037(b)
200,000
205,990
Republic of Honduras 6.25%,
1/19/2027(h)
550,000
532,675
Republic of Iraq 5.80%, 1/15/2028(h)
1,203,125
1,141,089
Republic of Kenya
7.00%, 5/22/2027(h)
700,000
670,687
9.75%, 2/16/2031(b)
235,000
227,656
8.00%, 5/22/2032(h)
200,000
177,688
Republic of Montenegro 7.25%,
3/12/2031(b)
950,000
981,172
Republic of Namibia 5.25%,
10/29/2025(h)
200,000
197,375
Republic of Panama 6.40%, 2/14/2035
200,000
199,530
Republic of Paraguay
6.10%, 8/11/2044(h)
400,000
403,750
5.60%, 3/13/2048(h)
1,000,000
938,130
5.40%, 3/30/2050(b)
1,700,000
1,557,132
Republic of Rwanda 5.50%, 8/9/2031(b)
700,000
562,406
Republic of Senegal
6.25%, 5/23/2033(h)
1,400,000
1,214,937
6.75%, 3/13/2048(h)
2,900,000
2,156,875
Republic of Serbia
6.50%, 9/26/2033(b)
200,000
208,650
6.00%, 6/12/2034(b)
400,000
405,150
Republic of South Africa
4.30%, 10/12/2028
500,000
474,640
5.88%, 4/20/2032
200,000
194,506
6.25%, 3/8/2041
100,000
90,928
5.75%, 9/30/2049
900,000
724,500
7.30%, 4/20/2052
200,000
192,500
Republic of Turkiye (The)
9.88%, 1/15/2028
300,000
334,125
9.38%, 3/14/2029
200,000
223,250
9.38%, 1/19/2033
200,000
229,250
7.63%, 5/15/2034
764,000
794,560
Republic of Uzbekistan 5.38%,
2/20/2029(h)
200,000
190,750
Republic of Uzbekistan International Bond
7.85%, 10/12/2028(b)
200,000
209,750
Republic of Zambia 5.75%, 6/30/2033(b)
(j)
1,015,056
887,222
Romania Government Bond 6.38%,
1/30/2034(b)
172,000
176,838
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
95
JPMorgan Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Foreign Government Securities — continued
State of Mongolia
3.50%, 7/7/2027(h)
200,000
182,938
8.65%, 1/19/2028(b)
400,000
422,250
4.45%, 7/7/2031(h)
200,000
174,250
Sultanate of Oman Government Bond
6.25%, 1/25/2031(h)
600,000
637,674
6.50%, 3/8/2047(h)
400,000
422,500
6.75%, 1/17/2048(h)
1,000,000
1,084,687
7.00%, 1/25/2051(h)
600,000
670,312
Suriname Government International Bond
7.95%, 7/15/2033(c) (h)
1,262,750
1,216,681
Turkiye Ihracat Kredi Bankasi A/S
9.38%, 1/31/2026(b)
400,000
418,500
9.00%, 1/28/2027(b)
400,000
423,000
Total Foreign Government Securities
(Cost $68,139,081)
69,640,509
Loan Assignments — 0.2% (g) (l)
Automobile Components — 0.1%
Adient US LLC, 1st Lien Term Loan B-2
(1-MONTH CME TERM SOFR + 2.75%),
8.00%, 1/31/2031
498,750
499,762
Building Products — 0.0% ^
Emerald Debt Merger Sub LLC, 1st Lien Term
Loan B (3-MONTH CME TERM SOFR +
2.50%), 7.56%, 8/4/2031
371,250
370,986
Health Care Providers & Services — 0.0% ^
Parexel International Corp., 1st Lien Term
Loan B (1-MONTH CME TERM SOFR +
3.00%), 8.25%, 11/15/2028(m)
478,241
479,833
IT Services — 0.0% ^
Ahead DB Holdings LLC, 1st Lien Term Loan
B-3 (3-MONTH CME TERM SOFR +
3.50%), 8.80%, 2/3/2031
497,471
497,969
Leisure Products — 0.1%
Hercules Achievement, Inc., 1st Lien Term
Loan B (3-MONTH CME TERM SOFR +
4.00%), 4.00%, 7/26/2031(m)
896,000
891,798
Media — 0.0% ^
CSC Holdings LLC, Term Loan B-6 (1-MONTH
CME TERM SOFR + 4.50%), 9.84%,
1/18/2028
497,475
473,845
Passenger Airlines — 0.0% ^
AAdvantage Loyalty IP Ltd., 1st Lien Term
Loan B (3-MONTH CME TERM SOFR +
4.75%), 10.29%, 4/20/2028(m)
441,176
456,124
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Software — 0.0% ^
Rocket Software, Inc., 1st Lien Term Loan B
(1-MONTH CME TERM SOFR + 4.75%),
10.00%, 11/28/2028
498,744
498,330
Specialty Retail — 0.0% ^
Petco Health & Wellness Co., Inc., Term Loan
B (3-MONTH CME TERM SOFR + 3.25%),
8.85%, 3/3/2028
500,000
461,190
Total Loan Assignments
(Cost $4,602,353)
4,629,837
SHARES
Short-Term Investments — 3.2%
Investment Companies — 3.2%
JPMorgan Prime Money Market Fund
Class IM Shares, 5.34%(n) (o)
(Cost $59,279,315)
59,266,904
59,296,537
Total Investments — 106.4%
(Cost $1,978,174,565)
2,001,182,601
Liabilities in Excess of Other Assets —
(6.4)%
(121,185,344
)
NET ASSETS — 100.0%
1,879,997,257
Percentages indicated are based on net assets.
Abbreviations
ABS
Asset-Backed Securities
ACES
Alternative Credit Enhancement Securities
CIFC
Commercial Industrial Finance Corp.
CME
Chicago Mercantile Exchange
FHLMC
Federal Home Loan Mortgage Corp.
FNMA
Federal National Mortgage Association
GNMA
Government National Mortgage Association
HB
High Coupon Bonds (a.k.a. "IOettes") represent the right to receive
interest payments on an underlying pool of mortgages with similar
features as those associated with IO securities. Unlike IO's the
owner also has a right to receive a very small portion of principal.
The high interest rates result from taking interest payments from
other classes in the Real Estate Mortgage Investment Conduit trust
and allocating them to the small principal of the HB class.
IF
Inverse Floaters represent securities that pay interest at a rate that
increases (decreases) with a decline (incline) in a specified index
or have an interest rate that adjusts periodically based on changes
in current interest rates and prepayments on the underlying pool
of assets. The interest rate shown is the rate in effect as of August
31, 2024. The rate may be subject to a cap and floor.
SEE NOTES TO FINANCIAL STATEMENTS.
96
August 31, 2024
IO
Interest Only represents the right to receive the monthly interest
payments on an underlying pool of mortgage loans. The principal
amount shown represents the par value on the underlying pool.
The yields on these securities are subject to accelerated principal
paydowns as a result of prepayment or refinancing of the
underlying pool of mortgage instruments. As a result, interest
income may be reduced considerably.
PIK
Payment In Kind
PO
Principal Only represents the right to receive the principal portion
only on an underlying pool of mortgage loans. The market value of
these securities is extremely volatile in response to changes in
market interest rates. As prepayments on the underlying
mortgages of these securities increase, the yield on these
securities increases.
REIT
Real Estate Investment Trust
REMIC
Real Estate Mortgage Investment Conduit
Re-REMIC
Combined Real Estate Mortgage Investment Conduit
SCA
Limited partnership with share capital
SOFR
Secured Overnight Financing Rate
TBA
To Be Announced; Security is subject to delayed delivery.
UMBS
Uniform Mortgage-Backed Securities
^
Amount rounds to less than 0.1% of net assets.
‡
Value determined using significant unobservable
inputs.
(a)
All or a portion of the security is a when-issued
security, delayed delivery security, or forward
commitment.
(b)
Securities exempt from registration under Rule 144A
or section 4(a)(2), of the Securities Act of 1933, as
amended.
(c)
Security has the ability to pay in kind (“PIK”) or pay
income in cash. When applicable, separate rates of
such payments are disclosed.
(d)
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
August 31, 2024 is $8,349,906 or 0.44% of the
Fund’s net assets as of August 31, 2024.
(e)
Security is an interest bearing note with preferred
security characteristics.
(f)
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 August 31, 2024.
(g)
Variable or floating rate security, linked to the
referenced benchmark. The interest rate shown is the
current rate as of August 31, 2024.
(h)
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.
(i)
Defaulted security.
(j)
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 August 31, 2024.
(k)
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 August 31, 2024.
(l)
Loan assignments are presented by obligor. Each
series or loan tranche underlying each obligor may
have varying terms.
(m)
All or a portion of this security is unsettled as of
August 31, 2024. Unless otherwise indicated, the
coupon rate is undetermined. The coupon rate shown
may not be accrued for the entire position.
(n)
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.
(o)
The rate shown is the current yield as of August 31,
2024.
TBA Short Commitments
SECURITY DESCRIPTION
PRINCIPAL
AMOUNT($)
VALUE($)
FNMA / FHLMC UMBS, Single
Family, 30 Year TBA, 4.00%,
9/25/2054(a)
(22,600,000
)
(21,451,352
)
GNMA II, Single Family, 30 Year
TBA, 4.00%, 9/15/2054(a)
(53,700,000
)
(51,348,268
)
TBA, 4.50%, 9/15/2054(a)
(9,000,000
)
(8,818,945
)
TBA, 6.50%, 9/15/2054(a)
(24,090,314
)
(24,611,907
)
(Proceeds received of
$105,830,739)
(106,230,472
)
Abbreviations
FHLMC
Federal Home Loan Mortgage Corp.
FNMA
Federal National Mortgage Association
GNMA
Government National Mortgage Association
TBA
To Be Announced; Security is subject to delayed delivery.
UMBS
Uniform Mortgage-Backed Securities
(a)
All or a portion of the security is a when-issued security, delayed
delivery security, or forward commitment.
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
97
JPMorgan Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
Futures contracts outstanding as of August 31, 2024:
DESCRIPTION
NUMBER OF
CONTRACTS
EXPIRATION DATE
TRADING CURRENCY
NOTIONAL
AMOUNT ($)
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
Long Contracts
U.S. Treasury Ultra Bond
9
12/19/2024
USD
1,180,969
(19,536
)
U.S. Treasury 2 Year Note
1,785
12/31/2024
USD
370,457,226
63,596
U.S. Treasury 5 Year Note
2,523
12/31/2024
USD
275,913,703
(419,781
)
(375,721
)
Short Contracts
U.S. Treasury 10 Year Note
(563
)
12/19/2024
USD
(63,882,906
)
277,451
U.S. Treasury 10 Year Ultra Note
(435
)
12/19/2024
USD
(51,003,750
)
340,516
U.S. Treasury Long Bond
(474
)
12/19/2024
USD
(58,168,687
)
793,606
U.S. Treasury Ultra Bond
(158
)
12/19/2024
USD
(20,732,563
)
320,026
1,731,599
1,355,878
Abbreviations
USD
United States Dollar
Over-the-Counter ("OTC") Credit default swap contracts outstanding — buy protection (*) as of August 31, 2024:
REFERENCE
OBLIGATION/INDEX
FINANCING
RATE PAID
BY THE FUND
(%)
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
IMPLIED
CREDIT
SPREAD
(%)(a)
NOTIONAL
AMOUNT(b)
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
VALUE
($)
Bank of America Corp.,
3.50%, 4/19/2026
1.00
Quarterly
Morgan Stanley
6/20/2028
0.41
USD2,200,000
13,975
(64,067
)
(50,092
)
Bank of America Corp.,
3.50%, 4/19/2026
1.00
Quarterly
Morgan Stanley
6/20/2028
0.41
USD5,000,000
6,665
(120,510
)
(113,845
)
20,640
(184,577
)
(163,937
)
(*)
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.
(a)
Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to
make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which
may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated
to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of
greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying
reference obligations included in a particular index.
(b)
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive,
upon occurrence of a credit event.
(c)
Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between
the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors).
Abbreviations
USD
United States Dollar
SEE NOTES TO FINANCIAL STATEMENTS.
98
August 31, 2024
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of August 31, 2024:
REFERENCE
OBLIGATION/INDEX
FINANCING
RATE PAID
BY THE FUND
(%)
PAYMENT
FREQUENCY
MATURITY
DATE
IMPLIED
CREDIT
SPREAD
(%)(a)
NOTIONAL
AMOUNT(b)
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
VALUE
($)
CDX.NA.HY.42-V1
5.00
Quarterly
6/20/2029
3.22
USD6,150,000
(408,857
)
(92,529
)
(501,386
)
(*)
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.
(a)
Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to
make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which
may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated
to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of
greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying
reference obligations included in a particular index.
(b)
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive,
upon occurrence of a credit event.
(c)
Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between
the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors).
Abbreviations
CDX
Credit Default Swap Index
USD
United States Dollar
Centrally Cleared Credit default swap contracts outstanding — sell protection(**) as of August 31, 2024:
REFERENCE
OBLIGATION/INDEX
FINANCING
RATE PAID
BY THE FUND
(%)
PAYMENT
FREQUENCY
MATURITY
DATE
IMPLIED
CREDIT
SPREAD
(%)(a)
NOTIONAL
AMOUNT(b)
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
VALUE
($)
CDX.NA.HY.42-V1
5.00
Quarterly
6/20/2029
3.22
USD14,750,000
778,774
423,741
1,202,515
(**)
The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an upfront premium from or to the protection buyer,
and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the
terms of individual swap contracts.
(a)
Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to
make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which
may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated
to perform (i.e. make payment) under the swap contract.Increasing values, in absolute terms and relative to notional amounts, are also indicative of
greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying
reference obligations included in a particular index.
(b)
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive,
upon occurrence of a credit event.
(c)
Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between
the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors).
Abbreviations
CDX
Credit Default Swap Index
USD
United States Dollar
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
99
JPMorgan Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
Summary of total OTC swap contracts outstanding as of August 31, 2024:
Collateral received on securities loaned(See Note 2.F.)
—
—
18,081,262
—
Variation margin on futures contracts
—
19,540
—
—
Accrued liabilities:
Management fees(See Note 3.A.)
235,932
128,905
3,630,285
388,569
Total Liabilities
56,494,992
6,468,016
71,011,547
51,480,174
Net Assets
$1,677,586,329
$443,618,310
$25,376,225,121
$2,773,935,102
NET ASSETS:
Paid-in-Capital
$1,658,616,777
$448,695,527
$25,290,899,611
$2,782,158,566
Total distributable earnings (loss)
18,969,552
(5,077,217
)
85,325,510
(8,223,464
)
Total Net Assets
$1,677,586,329
$443,618,310
$25,376,225,121
$2,773,935,102
Outstanding number of shares
(unlimited number of shares authorized - par value
$0.0001)
32,950,000
9,400,000
501,050,000
54,450,000
Net asset value, per share
$50.91
$47.19
$50.65
$50.94
Cost of investments in non-affiliates
$1,551,782,034
$427,336,485
$22,012,757,397
$2,493,644,172
Cost of investments in affiliates
141,630,893
13,387,586
2,738,043,278
276,721,488
Cost of repurchase agreements
—
—
240,000,000
—
Cost of foreign currency
—
61
—
—
Investment securities on loan, at value(See Note 2.F.)
—
—
17,530,469
—
Cost of investment of cash collateral(See Note 2.F.)
—
—
18,081,262
—
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
243
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED August 31, 2024 (Unaudited)
JPMorgan
Active
Bond ETF
JPMorgan
Core Plus
Bond ETF
JPMorgan Income ETF
JPMorgan
International
Bond
Opportunities ETF
INVESTMENT INCOME:
Interest income from non-affiliates
$7,120,441
$79,909,180
$45,784,853
$11,198,418
Interest income from affiliates
425
28,692
3,975
2,123
Dividend income from non-affiliates
—
102,099
222,234
—
Dividend income from affiliates
528,604
10,615,963
2,171,889
318,072
Foreign taxes withheld (net)
—
2,662
—
(3,302
)
Total investment income
7,649,470
90,658,596
48,182,951
11,515,311
EXPENSES:
Management fees(See Note 3.A.)
395,793
6,148,965
2,788,653
1,101,359
Interest expense to non-affiliates
—
24,547
1,140
1,814
Interest expense to affiliates
—
12,796
3,596
338
Total expenses
395,793
6,186,308
2,793,389
1,103,511
Less fees waived
—
(121,302
)
(28,508
)
—
Net investment income (loss)
7,253,677
84,593,590
45,418,070
10,411,800
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates
697,285
6,660,027
1,152,305
(3,333,166
)(a)
Investments in affiliates
—
—
(4,078
)
—
Futures contracts
719,031
17,271,045
675,327
918,425
Foreign currency transactions
—
(1,137
)
—
(296,493
)
Forward foreign currency exchange contracts
—
25,150
(1,347,307
)
2,471,320
Swaps
—
84,551
(2,185,290
)
(901,013
)
Net realized gain (loss)
1,416,316
24,039,636
(1,709,043
)
(1,140,927
)
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates
9,582,721
81,781,596
20,454,497
9,460,761
(b)
Investments in affiliates
—
—
17,206
—
Futures contracts
(89,998
)
(7,944,637
)
1,406,522
(227,864
)
Foreign currency translations
—
(10,970
)
6
(365,987
)
Forward foreign currency exchange contracts
—
(103,340
)
159,914
(1,882,774
)
Swaps
—
(125,493
)
1,525,256
714,165
Change in net unrealized appreciation/depreciation
9,492,723
73,597,156
23,563,401
7,698,301
Net realized/unrealized gains (losses)
10,909,039
97,636,792
21,854,358
6,557,374
Change in net assets resulting from operations
$18,162,716
$182,230,382
$67,272,428
$16,969,174
(a)
Net of foreign capital gains tax of $13,184.
(b)
Net of change in foreign capital gains tax of $(3,950)
SEE NOTES TO FINANCIAL STATEMENTS.
244
J.P. Morgan Exchange-Traded Funds
August 31, 2024
JPMorgan
Municipal ETF
JPMorgan Short
Duration Core
Plus ETF
JPMorgan
Ultra-Short
Income ETF
JPMorgan
Ultra-Short
Municipal
Income ETF
INVESTMENT INCOME:
Interest income from non-affiliates
$24,843,839
$10,995,621
$623,099,854
$44,409,141
Interest income from affiliates
—
5,062
26,211
—
Dividend income from affiliates
2,242,776
320,155
32,351,903
2,979,227
Income from securities lending (net)(See Note 2.F.)
—
53
34,201
—
Total investment income
27,086,615
11,320,891
655,512,169
47,388,368
EXPENSES:
Management fees(See Note 3.A.)
1,204,505
719,274
20,789,633
2,299,006
Interest expense to non-affiliates
883
689
—
—
Interest expense to affiliates
1,895
1,201
8,892
7,184
Total expenses
1,207,283
721,164
20,798,525
2,306,190
Net investment income (loss)
25,879,332
10,599,727
634,713,644
45,082,178
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates
(840,007
)
569,790
3,117,795
(269,619
)
Investments in affiliates
2,119
(2,153
)
—
(3,757
)
Futures contracts
1,027,092
142,903
11,187,052
—
Swaps
—
34,077
—
—
Net realized gain (loss)
189,204
744,617
14,304,847
(273,376
)
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates
4,426,413
7,845,190
85,909,763
7,916,288
Investments in affiliates
1,239
2,293
—
(3,015
)
Futures contracts
370,333
93,336
61,893
—
Foreign currency translations
—
2
—
—
Swaps
—
(22,642
)
—
—
Change in net unrealized appreciation/depreciation
4,797,985
7,918,179
85,971,656
7,913,273
Net realized/unrealized gains (losses)
4,987,189
8,662,796
100,276,503
7,639,897
Change in net assets resulting from operations
$30,866,521
$19,262,523
$734,990,147
$52,722,075
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
245
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
JPMorgan
Active
Bond ETF
JPMorgan Core
Plus Bond ETF
Six Months Ended
August 31, 2024
(Unaudited)
Period Ended
February 29, 2024 (a)
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024
CHANGE IN NET ASSETS RESULTING FROM
OPERATIONS:
Net investment income (loss)
$7,253,677
$2,978,272
$84,593,590
$76,636,905
Net realized gain (loss)
1,416,316
309,974
24,039,636
(21,631,586
)
Change in net unrealized appreciation/depreciation
9,492,723
4,542,961
73,597,156
29,798,569
Change in net assets resulting from operations
18,162,716
7,831,207
182,230,382
84,803,888
DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders
(6,149,847
)
(2,200,330
)
(78,824,578
)
(67,705,618
)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions
336,003,485
189,745,544
1,121,786,084
1,850,324,642
NET ASSETS:
Change in net assets
348,016,354
195,376,421
1,225,191,888
1,867,422,912
Beginning of period
195,376,421
—
2,630,096,493
762,673,581
End of period
$543,392,775
$195,376,421
$3,855,288,381
$2,630,096,493
CAPITAL TRANSACTIONS:
Proceeds from shares issued
$336,003,485
$189,745,544
$1,121,786,084
$1,850,324,642
Total change in net assets resulting from capital
transactions
$336,003,485
$189,745,544
$1,121,786,084
$1,850,324,642
SHARE TRANSACTIONS:
Issued
6,350,000
3,750,000
24,100,000
40,400,000
Net increase in shares from transactions
6,350,000
3,750,000
24,100,000
40,400,000
(a)
Commencement of operations was October 11, 2023.
SEE NOTES TO FINANCIAL STATEMENTS.
246
J.P. Morgan Exchange-Traded Funds
August 31, 2024
JPMorgan Income ETF
JPMorgan International Bond
Opportunities ETF
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)
$45,418,070
$40,696,917
$10,411,800
$15,984,124
Net realized gain (loss)
(1,709,043
)
(12,534,107
)
(1,140,927
)
(9,460,126
)
Change in net unrealized appreciation/depreciation
23,563,401
15,079,407
7,698,301
14,118,547
Change in net assets resulting from operations
67,272,428
43,242,217
16,969,174
20,642,545
DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders
(41,637,637
)
(36,944,460
)
(9,765,983
)
(15,982,342
)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions
782,378,704
716,775,115
52,041,572
126,478,814
NET ASSETS:
Change in net assets
808,013,495
723,072,872
59,244,763
131,139,017
Beginning of period
1,071,983,762
348,910,890
415,646,453
284,507,436
End of period
$1,879,997,257
$1,071,983,762
$474,891,216
$415,646,453
CAPITAL TRANSACTIONS:
Proceeds from shares issued
$782,378,704
$716,775,115
$52,041,572
$126,478,814
Total change in net assets resulting from capital
transactions
$782,378,704
$716,775,115
$52,041,572
$126,478,814
SHARE TRANSACTIONS:
Issued
17,220,000
15,960,000
1,100,000
2,700,000
Net increase in shares from transactions
17,220,000
15,960,000
1,100,000
2,700,000
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
247
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
JPMorgan Municipal ETF
JPMorgan Short
Duration Core Plus ETF
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)
$25,879,332
$24,200,237
$10,599,727
$11,509,716
Net realized gain (loss)
189,204
(5,646,974
)
744,617
(2,571,595
)
Change in net unrealized appreciation/depreciation
4,797,985
24,455,748
7,918,179
4,621,203
Change in net assets resulting from operations
30,866,521
43,009,011
19,262,523
13,559,324
DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders
(24,375,190
)
(21,710,674
)
(10,210,443
)
(10,842,777
)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions
449,607,608
792,046,510
24,008,380
217,419,306
NET ASSETS:
Change in net assets
456,098,939
813,344,847
33,060,460
220,135,853
Beginning of period
1,221,487,390
408,142,543
410,557,850
190,421,997
End of period
$1,677,586,329
$1,221,487,390
$443,618,310
$410,557,850
CAPITAL TRANSACTIONS:
Proceeds from shares issued
$449,607,608
$801,786,305
$69,526,821
$217,419,306
Cost of shares redeemed
—
(9,739,795
)
(45,518,441
)
—
Total change in net assets resulting from capital
transactions
$449,607,608
$792,046,510
$24,008,380
$217,419,306
SHARE TRANSACTIONS:
Issued
8,900,000
16,050,000
1,500,000
4,720,000
Redeemed
—
(200,000
)
(970,000
)
—
Net increase in shares from transactions
8,900,000
15,850,000
530,000
4,720,000
SEE NOTES TO FINANCIAL STATEMENTS.
248
J.P. Morgan Exchange-Traded Funds
August 31, 2024
JPMorgan Ultra-Short
Income ETF
JPMorgan Ultra-Short Municipal
Income ETF
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024
CHANGE IN NET ASSETS RESULTING FROM
OPERATIONS:
Net investment income (loss)
$634,713,644
$1,163,077,850
$45,082,178
$82,321,503
Net realized gain (loss)
14,304,847
(105,093,759
)
(273,376
)
(4,860,493
)
Change in net unrealized appreciation/depreciation
85,971,656
136,089,931
7,913,273
12,205,909
Change in net assets resulting from operations
734,990,147
1,194,074,022
52,722,075
89,666,919
DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders
(618,037,552
)
(1,144,625,684
)
(45,047,975
)
(80,461,934
)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions
2,744,763,498
(2,679,440,077
)
129,644,083
106,950,433
NET ASSETS:
Change in net assets
2,861,716,093
(2,629,991,739
)
137,318,183
116,155,418
Beginning of period
22,514,509,028
25,144,500,767
2,636,616,919
2,520,461,501
End of period
$25,376,225,121
$22,514,509,028
$2,773,935,102
$2,636,616,919
CAPITAL TRANSACTIONS:
Proceeds from shares issued
$3,208,258,159
$2,934,297,175
$198,102,322
$478,569,416
Cost of shares redeemed
(463,494,661
)
(5,613,737,252
)
(68,458,239
)
(371,618,983
)
Total change in net assets resulting from capital
transactions
$2,744,763,498
$(2,679,440,077
)
$129,644,083
$106,950,433
SHARE TRANSACTIONS:
Issued
63,650,000
58,450,000
3,900,000
9,450,000
Redeemed
(9,200,000
)
(111,900,000
)
(1,350,000
)
(7,350,000
)
Net increase (decrease) in shares from share
transactions
54,450,000
(53,450,000
)
2,550,000
2,100,000
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
249
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance
Investment operations
Distributions
Net asset
value,
beginning
of period
Net investment
income
(loss) (b)
Net realized
and unrealized
gains
(losses)
on investments
Total from
investment
operations
Net
investment
income
Net
realized
gain
Total
distributions
JPMorgan Active Bond ETF
Six Months Ended August 31, 2024 (Unaudited)
$52.10
$1.31
$1.61
$2.92
$(1.22
)
$—
$(1.22
)
October 11, 2023(f) through February 29, 2024
49.87
1.01
1.95
2.96
(0.73
)
—
(0.73
)
JPMorgan Core Plus Bond ETF
Six Months Ended August 31, 2024 (Unaudited)
46.22
1.24
1.32
2.56
(1.18
)
—
(1.18
)
Year Ended February 29, 2024
46.22
2.27
(0.21
)
2.06
(2.06
)
—
(2.06
)
Year Ended February 28, 2023
52.24
1.68
(6.23
)
(4.55
)
(1.47
)
—
(1.47
)
Year Ended February 28, 2022
54.31
1.09
(1.96
)
(0.87
)
(1.09
)
(0.11
)
(1.20
)
Year Ended February 28, 2021
54.17
0.97
0.70
(g)
1.67
(0.88
)
(0.65
)
(1.53
)
Year Ended February 29, 2020
50.36
1.45
4.13
5.58
(1.44
)
(0.33
)
(1.77
)
JPMorgan Income ETF
Six Months Ended August 31, 2024 (Unaudited)
45.17
1.46
0.69
2.15
(1.41
)
—
(1.41
)
Year Ended February 29, 2024
44.90
2.84
0.06
2.90
(2.63
)
—
(2.63
)
Year Ended February 28, 2023
48.89
2.36
(4.24
)
(1.88
)
(2.10
)
(0.01
)
(2.11
)
October 28, 2021(f) through February 28, 2022
50.00
0.58
(1.24
)
(0.66
)
(0.45
)
—
(0.45
)
JPMorgan International Bond Opportunities ETF
Six Months Ended August 31, 2024 (Unaudited)
47.23
1.12
0.67
1.79
(1.05
)
—
(1.05
)
Year Ended February 29, 2024
46.64
2.12
0.62
2.74
(2.15
)
—
(2.15
)
Year Ended February 28, 2023
48.96
1.57
(2.48
)
(0.91
)
(1.41
)
—
(1.41
)
Year Ended February 28, 2022
51.04
1.16
(1.92
)
(0.76
)
(1.32
)
—
(1.32
)
Year Ended February 28, 2021
49.98
1.45
1.00
(g)
2.45
(1.39
)
—
(1.39
)
Year Ended February 29, 2020
48.75
1.71
1.86
3.57
(2.34
)
—
(2.34
)
(a)
Annualized for periods less than one year, unless otherwise noted.
(b)
Calculated based upon average shares outstanding.
(c)
Not annualized for periods less than one year.
(d)
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.
(e)
Prior to December 9, 2019, the 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 the 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 the 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.
(f)
Commencement of operations.
(g)
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 Statements of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments.
(h)
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.
(i)
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.
SEE NOTES TO FINANCIAL STATEMENTS.
250
J.P. Morgan Exchange-Traded Funds
August 31, 2024
Ratios/Supplemental data
Ratios to average net assets (a)
Net asset
value,
end of
period
Market
price,
end of
period
Total
return (c)(d)
Market
price
total
return (c)(e)
Net assets,
end of
period
Net
expenses
Net
investment
income
(loss)
Expenses
without waivers
and reimbursements
Portfolio
turnover
rate (c)
$53.80
$54.02
5.72
%
5.86
%
$543,392,775
0.27
%
4.95
%
0.27
%
52
%
52.10
52.24
5.95
6.23
195,376,421
0.29
5.06
0.29
78
47.60
47.75
5.66
5.71
3,855,288,381
0.38
5.32
0.39
54
46.22
46.34
4.58
4.65
2,630,096,493
0.39
4.94
0.39
57
46.22
46.30
(8.76
)
(8.84
)
762,673,581
0.39
3.55
0.39
36
52.24
52.37
(1.66
)
(1.73
)
276,853,932
0.40
2.02
0.40
81
54.31
54.48
3.08
2.87
146,648,110
0.36
1.76
0.36
272
54.17
54.44
11.24
11.52
54,168,824
0.38
2.76
0.69
(h)
91
45.91
46.12
4.86
4.86
1,879,997,257
0.39
6.43
0.40
80
45.17
45.37
6.67
6.27
1,071,983,762
0.40
6.33
0.40
162
44.90
45.25
(3.84
)
(3.52
)
348,910,890
0.40
5.17
0.40
216
48.89
49.09
(1.34
)
(0.94
)(i)
137,861,001
0.39
3.47
0.39
13
47.97
48.25
3.86
3.75
474,891,216
0.50
4.71
0.50
25
47.23
47.55
6.08
6.31
415,646,453
0.50
4.56
0.50
25
46.64
46.84
(1.81
)
(1.43
)
284,507,436
0.50
3.39
0.50
71
48.96
48.98
(1.56
)
(2.10
)
323,118,565
0.50
2.28
0.50
52
51.04
51.34
5.02
5.95
250,097,283
0.50
2.90
0.50
136
49.98
49.83
7.39
6.89
169,928,839
0.53
3.40
0.69
(h)
88
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
251
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance
Investment operations
Distributions
Net asset
value,
beginning
of period
Net investment
income
(loss) (b)
Net realized
and unrealized
gains
(losses)
on investments
Total from
investment
operations
Net
investment
income
Net
realized
gain
Total
distributions
JPMorgan Municipal ETF
Six Months Ended August 31, 2024 (Unaudited)
$50.79
$0.92
$0.08
$1.00
$(0.88
)
$—
$(0.88
)
Year Ended February 29, 2024
49.77
1.77
0.89
2.66
(1.64
)
—
(1.64
)
Year Ended February 28, 2023
52.97
1.37
(3.44
)
(2.07
)
(1.13
)
—
(1.13
)
Year Ended February 28, 2022
54.37
0.85
(1.18
)
(0.33
)
(0.85
)
(0.22
)
(1.07
)
Year Ended February 28, 2021
55.15
1.00
(0.71
)
0.29
(0.94
)
(0.13
)
(1.07
)
Year Ended February 29, 2020
51.92
1.24
3.91
5.15
(1.22
)
(0.70
)
(1.92
)
JPMorgan Short Duration Core Plus ETF
Six Months Ended August 31, 2024 (Unaudited)
46.29
1.13
0.85
1.98
(1.08
)
—
(1.08
)
Year Ended February 29, 2024
45.88
2.01
0.35
2.36
(1.95
)
—
(1.95
)
Year Ended February 28, 2023
48.60
1.31
(2.78
)
(1.47
)
(1.25
)
—
(1.25
)
March 1, 2021(g) through February 28, 2022
50.00
0.62
(1.42
)
(0.80
)
(0.59
)
(0.01
)
(0.60
)
JPMorgan Ultra-Short Income ETF
Six Months Ended August 31, 2024 (Unaudited)
50.41
1.35
0.22
1.57
(1.33
)
—
(1.33
)
Year Ended February 29, 2024
50.28
2.49
0.10
2.59
(2.46
)
—
(2.46
)
Year Ended February 28, 2023
50.35
1.17
(0.18
)
0.99
(0.97
)
(0.09
)
(1.06
)
Year Ended February 28, 2022
50.78
0.28
(0.35
)
(0.07
)
(0.32
)
(0.04
)
(0.36
)
Year Ended February 28, 2021
50.51
0.58
0.28
0.86
(0.59
)
—(i
)
(0.59
)
Year Ended February 29, 2020
50.20
1.28
0.32
1.60
(1.29
)
—
(1.29
)
JPMorgan Ultra-Short Municipal Income ETF
Six Months Ended August 31, 2024 (Unaudited)
50.80
0.86
0.14
1.00
(0.86
)
—
(0.86
)
Year Ended February 29, 2024
50.61
1.63
0.16
1.79
(1.60
)
—
(1.60
)
Year Ended February 28, 2023
50.76
0.70
(0.19
)
0.51
(0.66
)
—
(0.66
)
Year Ended February 28, 2022
51.01
0.13
(0.25
)
(0.12
)
(0.13
)
—
(0.13
)
Year Ended February 28, 2021
50.53
0.32
0.52
0.84
(0.36
)
—
(0.36
)
Year Ended February 29, 2020
50.26
0.78
0.26
1.04
(0.77
)
—
(0.77
)
(a)
Annualized for periods less than one year, unless otherwise noted.
(b)
Calculated based upon average shares outstanding.
(c)
Not annualized for periods less than one year.
(d)
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.
(e)
Prior to December 9, 2019, the 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 the 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 the 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.
(f)
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.
(g)
Commencement of operations.
(h)
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.
(i)
Amount rounds to less than $0.005.
SEE NOTES TO FINANCIAL STATEMENTS.
252
J.P. Morgan Exchange-Traded Funds
August 31, 2024
Ratios/Supplemental data
Ratios to average net assets (a)
Net asset
value,
end of
period
Market
price,
end of
period
Total
return (c)(d)
Market
price
total
return (c)(e)
Net assets,
end of
period
Net
expenses
Net
investment
income
(loss)
Expenses
without waivers
and reimbursements
Portfolio
turnover
rate (c)
$50.91
$50.88
2.01
%
1.85
%
$1,677,586,329
0.17
%
3.61
%
0.17
%
24
%
50.79
50.84
5.46
5.48
1,221,487,390
0.17
3.54
0.17
27
49.77
49.81
(3.89
)
(3.88
)
408,142,543
0.16
2.74
0.16
33
52.97
53.01
(0.66
)
(0.55
)
100,642,548
0.18
1.56
0.18
48
54.37
54.35
0.54
0.67
76,120,305
0.23
1.84
0.23
56
55.15
55.06
10.09
9.71
52,390,882
0.23
2.31
0.67
(f)
51
47.19
47.19
4.36
4.29
443,618,310
0.33
4.83
0.33
34
46.29
46.32
5.28
5.41
410,557,850
0.33
4.39
0.33
48
45.88
45.85
(3.03
)
(3.11
)
190,421,997
0.32
2.82
0.32
199
48.60
48.61
(1.63
)
(1.61
)(h)
192,461,679
0.32
1.26
0.32
175
50.65
50.67
3.17
3.14
25,376,225,121
0.18
5.34
0.18
32
50.41
50.44
5.29
5.31
22,514,509,028
0.17
4.97
0.17
77
50.28
50.30
2.01
2.00
25,144,500,767
0.17
2.34
0.17
57
50.35
50.37
(0.14
)
(0.12
)
18,686,174,480
0.18
0.56
0.18
70
50.78
50.79
1.72
1.67
16,144,037,713
0.17
1.14
0.17
94
50.51
50.54
3.22
3.22
11,591,489,504
0.18
2.53
0.22
(f)
46
50.94
50.94
2.00
1.98
2,773,935,102
0.17
3.37
0.17
36
50.80
50.81
3.59
3.67
2,636,616,919
0.17
3.23
0.17
76
50.61
50.58
1.01
0.97
2,520,461,501
0.17
1.39
0.17
94
50.76
50.75
(0.23
)
(0.29
)
3,116,619,866
0.17
0.26
0.17
50
51.01
51.03
1.66
1.64
1,410,311,158
0.16
0.63
0.16
67
50.53
50.56
2.09
2.09
207,185,582
0.18
1.55
0.34
(f)
153
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
253
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited)
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 8 separate funds of the Trust (each, a "Fund" and collectively, the "Funds") covered by this report:
Diversification Classification
JPMorgan Active Bond ETF
Diversified
JPMorgan Core Plus Bond ETF
Diversified
JPMorgan Income ETF
Diversified
JPMorgan International Bond Opportunities ETF
Diversified
JPMorgan Municipal ETF
Diversified
JPMorgan Short Duration Core Plus ETF
Diversified
JPMorgan Ultra-Short Income ETF
Diversified
JPMorgan Ultra-Short Municipal Income ETF
Diversified
The investment objective of JPMorgan Active Bond ETF (“Active Bond ETF”) is to seek to deliver total return from a portfolio of investment grade intermediate- and long-term bonds.
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:
Listing Exchange
Active Bond ETF
New York Stock Exchange LLC
Core Plus Bond ETF
Cboe BZX Exchange, Inc.
Income ETF
NYSE Arca, Inc.
International Bond Opportunities ETF
Cboe BZX Exchange, Inc.
Municipal ETF
Cboe BZX Exchange, Inc.
Short Duration Core Plus ETF
NYSE Arca, Inc.
Ultra-Short Income ETF
NYSE Arca, Inc.
Ultra-Short Municipal Income ETF
Cboe BZX Exchange, Inc.
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 in exchange for a basket of securities and/or cash. Shares are generally traded in the secondary market in amounts less than a Creation
254
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 are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
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 Active Bond ETF, Core Plus Bond ETF and Income ETF at August 31, 2024.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
255
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
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.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments ("SOIs"):
Active Bond ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Asset-Backed Securities
$—
$86,285,000
$11,811,597
$98,096,597
Collateralized Mortgage Obligations
—
32,996,430
7,173,798
40,170,228
Commercial Mortgage-Backed Securities
—
38,653,726
5,447,417
44,101,143
Corporate Bonds
—
73,802,828
—
73,802,828
Foreign Government Securities
—
869,341
—
869,341
Mortgage-Backed Securities
—
111,124,679
5,834,382
116,959,061
U.S. Treasury Obligations
—
150,039,733
—
150,039,733
Short-Term Investments
Investment Companies
41,465,102
—
—
41,465,102
Total Investments in Securities
$41,465,102
$493,771,737
$30,267,194
$565,504,033
Appreciation in Other Financial Instruments
Futures Contracts
$5,703
$—
$—
$5,703
Depreciation in Other Financial Instruments
Futures Contracts
(36,417
)
—
—
(36,417
)
Total Net Appreciation/ Depreciation in Other
Financial Instruments
$(30,714
)
$—
$—
$(30,714
)
Core Plus Bond ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Asset-Backed Securities
$—
$525,949,146
$45,847,583
$571,796,729
Collateralized Mortgage Obligations
—
107,985,585
44,964,155
152,949,740
Commercial Mortgage-Backed Securities
—
246,913,344
42,103,487
289,016,831
Common Stocks
Diversified Telecommunication Services
—
—
280
280
Health Care Providers & Services
—
—
197
197
Oil, Gas & Consumable Fuels
13,781
—
—
13,781
Specialty Retail
—
—
135
135
Wireless Telecommunication Services
—
—
10,125
10,125
Total Common Stocks
13,781
—
10,737
24,518
Corporate Bonds
Aerospace & Defense
—
17,360,317
—
17,360,317
Automobile Components
—
7,826,002
—
7,826,002
256
Core Plus Bond ETF (continued)
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Automobiles
$—
$5,807,381
$—
$5,807,381
Banks
—
228,549,089
—
228,549,089
Beverages
—
2,902,750
—
2,902,750
Biotechnology
—
19,151,906
—
19,151,906
Broadline Retail
—
2,594,756
—
2,594,756
Building Products
—
11,492,084
—
11,492,084
Capital Markets
—
74,948,857
—
74,948,857
Chemicals
—
12,412,215
—
12,412,215
Commercial Services & Supplies
—
10,697,167
—
10,697,167
Communications Equipment
—
841,168
—
841,168
Construction & Engineering
—
5,860,555
—
5,860,555
Construction Materials
—
1,099,691
—
1,099,691
Consumer Finance
—
29,975,175
—
29,975,175
Consumer Staples Distribution & Retail
—
7,923,250
41,410
7,964,660
Containers & Packaging
—
13,660,325
—
13,660,325
Distributors
—
2,151,223
—
2,151,223
Diversified Consumer Services
—
2,193,027
—
2,193,027
Diversified REITs
—
1,763,896
—
1,763,896
Diversified Telecommunication Services
—
22,960,040
—
22,960,040
Electric Utilities
—
87,095,171
—
87,095,171
Electrical Equipment
—
2,157,751
—
2,157,751
Electronic Equipment, Instruments & Components
—
2,312,557
—
2,312,557
Energy Equipment & Services
—
6,798,236
—
6,798,236
Entertainment
—
17,374,962
—
17,374,962
Financial Services
—
13,273,815
—
13,273,815
Food Products
—
5,851,458
—
5,851,458
Gas Utilities
—
2,780,796
—
2,780,796
Ground Transportation
—
15,212,594
—
15,212,594
Health Care Equipment & Supplies
—
8,236,537
—
8,236,537
Health Care Providers & Services
—
45,468,583
—
45,468,583
Health Care REITs
—
2,630,663
—
2,630,663
Health Care Technology
—
727,667
—
727,667
Hotel & Resort REITs
—
1,406,324
—
1,406,324
Hotels, Restaurants & Leisure
—
29,903,364
—
29,903,364
Household Durables
—
4,347,003
—
4,347,003
Household Products
—
2,011,028
—
2,011,028
Independent Power and Renewable Electricity
Producers
—
6,517,653
—
6,517,653
Industrial Conglomerates
—
659,692
—
659,692
Industrial REITs
—
1,359,197
—
1,359,197
Insurance
—
16,937,850
—
16,937,850
Interactive Media & Services
—
4,154,824
—
4,154,824
IT Services
—
4,490,355
—
4,490,355
Leisure Products
—
751,639
—
751,639
Life Sciences Tools & Services
—
199,860
—
199,860
Machinery
—
5,064,356
—
5,064,356
Marine Transportation
—
459,264
—
459,264
Media
—
47,892,881
—
47,892,881
Metals & Mining
—
16,407,413
—
16,407,413
257
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
Core Plus Bond ETF (continued)
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Mortgage Real Estate Investment Trusts (REITs)
$—
$2,031,529
$—
$2,031,529
Multi-Utilities
—
21,810,007
—
21,810,007
Office REITs
—
90,126
—
90,126
Oil, Gas & Consumable Fuels
—
124,247,243
—
124,247,243
Passenger Airlines
—
5,360,820
—
5,360,820
Personal Care Products
—
1,883,193
—
1,883,193
Pharmaceuticals
—
33,701,375
—
33,701,375
Professional Services
—
318,538
—
318,538
Real Estate Management & Development
—
196,936
—
196,936
Residential REITs
—
2,895,710
—
2,895,710
Retail REITs
—
3,016,570
—
3,016,570
Semiconductors & Semiconductor Equipment
—
14,375,829
—
14,375,829
Software
—
9,800,706
—
9,800,706
Specialized REITs
—
4,385,822
—
4,385,822
Specialty Retail
—
14,636,555
—
14,636,555
Technology Hardware, Storage & Peripherals
—
6,464,200
—
6,464,200
Textiles, Apparel & Luxury Goods
—
333,733
—
333,733
Tobacco
—
20,852,917
—
20,852,917
Trading Companies & Distributors
—
12,979,816
—
12,979,816
Transportation Infrastructure
—
182,698
—
182,698
Water Utilities
—
941,272
—
941,272
Wireless Telecommunication Services
—
12,501,462
—
12,501,462
Total Corporate Bonds
—
1,127,661,424
41,410
1,127,702,834
Foreign Government Securities
—
38,784,751
—
38,784,751
Loan Assignments
—
41,727,963
—
41,727,963
Mortgage-Backed Securities
—
1,014,504,864
—
1,014,504,864
Municipal Bonds
—
71,376
—
71,376
Preferred Stocks
—
—
1,984
1,984
U.S. Treasury Obligations
—
289,519,792
—
289,519,792
Warrants
—
—
780
780
Short-Term Investments
Investment Companies
581,319,017
—
—
581,319,017
Total Investments in Securities
$581,332,798
$3,393,118,245
$132,970,136
$4,107,421,179
Appreciation in Other Financial Instruments
Forward Foreign Currency Exchange Contracts
$—
$13,956
$—
$13,956
Futures Contracts
24,013
—
—
24,013
Depreciation in Other Financial Instruments
Forward Foreign Currency Exchange Contracts
—
(99,714
)
—
(99,714
)
Futures Contracts
(4,359,494
)
—
—
(4,359,494
)
Total Net Appreciation/ Depreciation in Other
Financial Instruments
$(4,335,481
)
$(85,758
)
$—
$(4,421,239
)
258
Income ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Asset-Backed Securities
$—
$300,305,873
$2,889,870
$303,195,743
Collateralized Mortgage Obligations
—
108,298,872
4,998,515
113,297,387
Commercial Mortgage-Backed Securities
—
410,562,267
1,845,575
412,407,842
Corporate Bonds
Aerospace & Defense
—
6,401,149
—
6,401,149
Automobile Components
—
14,903,258
—
14,903,258
Banks
—
32,556,111
—
32,556,111
Biotechnology
—
379,975
—
379,975
Broadline Retail
—
2,338,565
—
2,338,565
Building Products
—
10,289,861
—
10,289,861
Capital Markets
—
6,110,462
—
6,110,462
Chemicals
—
20,341,497
—
20,341,497
Commercial Services & Supplies
—
14,102,372
—
14,102,372
Communications Equipment
—
2,753,252
—
2,753,252
Construction & Engineering
—
1,684,054
—
1,684,054
Construction Materials
—
158,803
—
158,803
Consumer Finance
—
21,130,352
—
21,130,352
Consumer Staples Distribution & Retail
—
10,859,985
155,679
11,015,664
Containers & Packaging
—
12,685,646
—
12,685,646
Distributors
—
416,672
—
416,672
Diversified Consumer Services
—
2,219,570
—
2,219,570
Diversified REITs
—
433,352
—
433,352
Diversified Telecommunication Services
—
28,267,460
—
28,267,460
Electric Utilities
—
13,619,975
—
13,619,975
Electrical Equipment
—
526,608
—
526,608
Electronic Equipment, Instruments & Components
—
4,553,227
—
4,553,227
Energy Equipment & Services
—
3,565,805
—
3,565,805
Entertainment
—
7,623,977
—
7,623,977
Financial Services
—
7,012,193
—
7,012,193
Food Products
—
6,699,861
—
6,699,861
Gas Utilities
—
1,616,531
—
1,616,531
Ground Transportation
—
10,075,175
—
10,075,175
Health Care Equipment & Supplies
—
9,651,025
—
9,651,025
Health Care Providers & Services
—
18,345,019
—
18,345,019
Health Care Technology
—
1,141,685
—
1,141,685
Hotel & Resort REITs
—
3,448,546
—
3,448,546
Hotels, Restaurants & Leisure
—
19,724,476
—
19,724,476
Household Durables
—
6,465,383
—
6,465,383
Household Products
—
3,742,508
—
3,742,508
Independent Power and Renewable Electricity
Producers
—
1,556,538
—
1,556,538
Insurance
—
707,828
—
707,828
Leisure Products
—
1,427,652
—
1,427,652
Machinery
—
2,209,650
—
2,209,650
Marine Transportation
—
918,527
—
918,527
Media
—
53,752,461
—
53,752,461
Metals & Mining
—
6,688,612
—
6,688,612
Multi-Utilities
—
3,688,410
—
3,688,410
259
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
Income ETF (continued)
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Oil, Gas & Consumable Fuels
$—
$72,607,338
$—
$72,607,338
Passenger Airlines
—
5,089,959
—
5,089,959
Personal Care Products
—
4,006,078
—
4,006,078
Pharmaceuticals
—
9,816,682
—
9,816,682
Professional Services
—
155,565
—
155,565
Real Estate Management & Development
—
401,219
—
401,219
Semiconductors & Semiconductor Equipment
—
4,219,172
—
4,219,172
Software
—
10,666,671
—
10,666,671
Specialized REITs
—
142,313
—
142,313
Specialty Retail
—
11,445,366
—
11,445,366
Technology Hardware, Storage & Peripherals
—
1,928,131
—
1,928,131
Textiles, Apparel & Luxury Goods
—
149,733
—
149,733
Trading Companies & Distributors
—
10,737,512
—
10,737,512
Wireless Telecommunication Services
—
943,140
—
943,140
Total Corporate Bonds
—
509,102,947
155,679
509,258,626
Foreign Government Securities
—
69,640,509
—
69,640,509
Loan Assignments
—
4,629,837
—
4,629,837
Mortgage-Backed Securities
—
519,092,558
10,363,562
529,456,120
Short-Term Investments
Investment Companies
59,296,537
—
—
59,296,537
Total Investments in Securities
$59,296,537
$1,921,632,863
$20,253,201
$2,001,182,601
Liabilities
TBA Short Commitment
$—
$(106,230,472
)
$—
$(106,230,472
)
Total Liabilities in Securities Sold Short
$—
$(106,230,472
)
$—
$(106,230,472
)
Appreciation in Other Financial Instruments
Futures Contracts
$1,795,195
$—
$—
$1,795,195
Swaps
—
423,741
—
423,741
Depreciation in Other Financial Instruments
Futures Contracts
(439,317
)
—
—
(439,317
)
Swaps
—
(277,106
)
—
(277,106
)
Total Net Appreciation/ Depreciation in Other
Financial Instruments
$1,355,878
$146,635
$—
$1,502,513
International Bond Opportunities ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Asset-Backed Securities
$—
$2,999,899
$—
$2,999,899
Collateralized Mortgage Obligations
United States
—
1,375,006
1,066,199
2,441,205
Commercial Mortgage-Backed Securities
—
3,491,400
—
3,491,400
Common Stocks
—
—
280
280
Corporate Bonds
—
286,406,539
—
286,406,539
Foreign Government Securities
—
143,310,011
—
143,310,011
Supranational
—
5,011,529
—
5,011,529
260
International Bond Opportunities ETF (continued)
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
U.S. Treasury Obligations
$—
$4,460,450
$—
$4,460,450
Short-Term Investments
Investment Companies
13,623,183
—
—
13,623,183
Total Investments in Securities
$13,623,183
$447,054,834
$1,066,479
$461,744,496
Appreciation in Other Financial Instruments
Forward Foreign Currency Exchange Contracts
$—
$2,815,895
$—
$2,815,895
Futures Contracts
254,122
—
—
254,122
Swaps
—
1,063,836
—
1,063,836
Depreciation in Other Financial Instruments
Forward Foreign Currency Exchange Contracts
—
(4,786,942
)
—
(4,786,942
)
Futures Contracts
(730,403
)
—
—
(730,403
)
Swaps
—
(742,602
)
—
(742,602
)
Total Net Appreciation/ Depreciation in Other
Financial Instruments
$(476,281
)
$(1,649,813
)
$—
$(2,126,094
)
Municipal ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Municipal Bonds
$—
$1,575,275,936
$—
$1,575,275,936
Short-Term Investments
Investment Companies
141,636,695
—
—
141,636,695
Total Investments in Securities
$141,636,695
$1,575,275,936
$—
$1,716,912,631
Appreciation in Other Financial Instruments
Futures Contracts
$429,580
$—
$—
$429,580
Depreciation in Other Financial Instruments
Futures Contracts
(37,432
)
—
—
(37,432
)
Total Net Appreciation/ Depreciation in Other
Financial Instruments
$392,148
$—
$—
$392,148
Short Duration Core Plus ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Asset-Backed Securities
$—
$111,387,329
$1,144,234
$112,531,563
Collateralized Mortgage Obligations
—
31,413,404
—
31,413,404
Commercial Mortgage-Backed Securities
—
25,909,115
—
25,909,115
Corporate Bonds
Aerospace & Defense
—
1,846,620
—
1,846,620
Automobile Components
—
943,097
—
943,097
Automobiles
—
3,579,621
—
3,579,621
Banks
—
59,526,717
—
59,526,717
Beverages
—
59,335
—
59,335
Biotechnology
—
189,987
—
189,987
Broadline Retail
—
112,930
—
112,930
261
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
Short Duration Core Plus ETF (continued)
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Building Products
$—
$810,867
$—
$810,867
Capital Markets
—
15,977,919
—
15,977,919
Chemicals
—
1,118,019
—
1,118,019
Commercial Services & Supplies
—
3,192,356
—
3,192,356
Communications Equipment
—
158,287
—
158,287
Construction & Engineering
—
395,208
—
395,208
Consumer Finance
—
8,384,964
—
8,384,964
Consumer Staples Distribution & Retail
—
1,620,610
28,138
1,648,748
Containers & Packaging
—
1,103,577
—
1,103,577
Diversified Telecommunication Services
—
1,913,670
—
1,913,670
Electric Utilities
—
8,249,557
—
8,249,557
Electrical Equipment
—
141,980
—
141,980
Electronic Equipment, Instruments & Components
—
87,996
—
87,996
Energy Equipment & Services
—
823,569
—
823,569
Entertainment
—
477,162
—
477,162
Financial Services
—
3,137,950
—
3,137,950
Food Products
—
871,778
—
871,778
Gas Utilities
—
210,648
—
210,648
Ground Transportation
—
509,809
—
509,809
Health Care Equipment & Supplies
—
310,724
—
310,724
Health Care Providers & Services
—
4,633,217
—
4,633,217
Hotel & Resort REITs
—
123,220
—
123,220
Hotels, Restaurants & Leisure
—
1,961,615
—
1,961,615
Household Durables
—
543,424
—
543,424
Household Products
—
221,009
—
221,009
Independent Power and Renewable Electricity
Producers
—
591,733
—
591,733
Insurance
—
6,862,246
—
6,862,246
IT Services
—
159,907
—
159,907
Leisure Products
—
139,794
—
139,794
Machinery
—
474,808
—
474,808
Media
—
3,846,351
—
3,846,351
Metals & Mining
—
840,356
—
840,356
Mortgage Real Estate Investment Trusts (REITs)
—
161,343
—
161,343
Multi-Utilities
—
1,482,722
—
1,482,722
Oil, Gas & Consumable Fuels
—
7,986,981
—
7,986,981
Passenger Airlines
—
715,610
—
715,610
Personal Care Products
—
160,345
—
160,345
Pharmaceuticals
—
806,302
—
806,302
Real Estate Management & Development
—
96,177
—
96,177
Semiconductors & Semiconductor Equipment
—
1,145,149
—
1,145,149
Software
—
596,312
—
596,312
Specialized REITs
—
90,332
—
90,332
Specialty Retail
—
998,771
—
998,771
Technology Hardware, Storage & Peripherals
—
76,781
—
76,781
Textiles, Apparel & Luxury Goods
—
104,271
—
104,271
Trading Companies & Distributors
—
282,516
—
282,516
Wireless Telecommunication Services
—
754,657
—
754,657
Total Corporate Bonds
—
151,610,906
28,138
151,639,044
262
Short Duration Core Plus ETF (continued)
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Foreign Government Securities
$—
$4,780,777
$—
$4,780,777
Mortgage-Backed Securities
—
45,791,246
—
45,791,246
Municipal Bonds
—
99,378
—
99,378
U.S. Treasury Obligations
—
56,918,165
—
56,918,165
Short-Term Investments
Investment Companies
13,391,020
—
—
13,391,020
U.S. Treasury Obligations
—
998,065
—
998,065
Total Short-Term Investments
13,391,020
998,065
—
14,389,085
Total Investments in Securities
$13,391,020
$428,908,385
$1,172,372
$443,471,777
Appreciation in Other Financial Instruments
Futures Contracts
$176,234
$—
$—
$176,234
Depreciation in Other Financial Instruments
Futures Contracts
(94,537
)
—
—
(94,537
)
Total Net Appreciation/ Depreciation in Other
Financial Instruments
$81,697
$—
$—
$81,697
Ultra-Short Income ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Asset-Backed Securities
$—
$3,240,762,243
$—
$3,240,762,243
Commercial Mortgage-Backed Securities
—
5,845,431
—
5,845,431
Corporate Bonds
—
13,086,472,049
—
13,086,472,049
Short-Term Investments
Certificates of Deposits
—
2,528,680,319
—
2,528,680,319
Commercial Paper
—
3,231,466,271
—
3,231,466,271
Investment Companies
2,738,043,278
—
—
2,738,043,278
Investment of Cash Collateral from Securities
Loaned
18,081,262
—
—
18,081,262
Repurchase Agreements
—
240,000,000
—
240,000,000
Total Short-Term Investments
2,756,124,540
6,000,146,590
—
8,756,271,130
Total Investments in Securities
$2,756,124,540
$22,333,226,313
$—
$25,089,350,853
Ultra-Short Municipal Income ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Municipal Bonds
$—
$2,499,806,354
$—
$2,499,806,354
Short-Term Investments
Investment Companies
276,729,670
—
—
276,729,670
Total Investments in Securities
$276,729,670
$2,499,806,354
$—
$2,776,536,024
263
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
Active Bond ETF
Balance as of
February 29,
2024
Realized
gain (loss)
Change in net
unrealized
appreciation
(depreciation)
Net
accretion
(amortization)
Purchases1
Sales2
Transfers
into
Level 3
Transfers
out of
Level 3
Balance as of
August 31,
2024
Investments in
Securities:
Asset-Backed
Securities
$5,123,870
$—
$199,981
$6,304
$6,429,780
$(281,576
)
$979,994
$(646,756
)
$11,811,597
Collateralized
Mortgage
Obligations
—
—
6,820
128
7,166,850
—
—
—
7,173,798
Commercial
Mortgage-Backed
Securities
2,094,670
—
174,968
8,563
3,169,216
—
—
—
5,447,417
Mortgage-Backed
Securities
—
—
15,321
—
5,819,061
—
—
—
5,834,382
Total
$7,218,540
$—
$397,090
$14,995
$22,584,907
$(281,576
)
$979,994
$(646,756
)
$30,267,194
1
Purchases include all purchases of securities and securities received in corporate actions.
2
Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.
The changes in net unrealized appreciation (depreciation) attributable to securities owned at August 31, 2024, which were valued using significant unobservable inputs (level 3) amounted to $397,089.
There were no significant transfers into or out of level 3 for the six months ended August 31, 2024.
Core Plus Bond
ETF
Balance as of
February 29,
2024
Realized
gain (loss)
Change in net
unrealized
appreciation
(depreciation)
Net
accretion
(amortization)
Purchases1
Sales2
Transfers
into
Level 3
Transfers
out of
Level 3
Balance as of
August 31,
2024
Investments
in
Securities:
Asset-Backed
Securities
$29,054,096
$—
$102,688
$124,980
$23,498,767
$(3,785,778
)
$270,493
$(3,417,663
)
$45,847,583
Collateralized
Mortgage
Obligations
7,210,998
—
203,049
11,900
38,100,679
(562,471
)
—
—
44,964,155
Commercial
Mortgage-Backed
Securities
26,328,313
—
1,808,686
118,592
18,029,588
—
—
(4,181,692
)
42,103,487
Common
Stocks
7,883
—
2,854
—
—
—
—
—
10,737
Corporate
Bonds
650,000
(226,561
)
235,174
11,016
20,859
(739,391
)
90,313
—
41,410
Preferred
Stocks
1,620
—
364
—
—
—
—
—
1,984
Warrants
1,034
—
(254
)
—
—
—
—
—
780
Total
$63,253,944
$(226,561
)
$2,352,561
$266,488
$79,649,893
$(5,087,640
)
$360,806
$(7,599,355
)
$132,970,136
1
Purchases include all purchases of securities and securities received in corporate actions.
2
Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.
The changes in net unrealized appreciation (depreciation) attributable to securities owned at August 31, 2024, which were valued using significant unobservable inputs (level 3) amounted to $2,164,678.
264
There were no significant transfers into or out of level 3 for the six months ended August 31, 2024.
Income ETF
Balance as of
February 29,
2024
Realized
gain (loss)
Change in net
unrealized
appreciation
(depreciation)
Net
accretion
(amortization)
Purchases1
Sales2
Transfers
into
Level 3
Transfers
out of
Level 3
Other(a)
Balance as of
August 31,
2024
Investments in
Securities:
Asset-Backed
Securities
$1,913,052
$—
$(1,265
)
$(359
)
$1,600,000
$(621,559
)
$—
$(2,495,092
)
$2,495,093
$2,889,870
Collateralized
Mortgage
Obligations
4,085,919
—
57,694
—
4,517,294
(25,533
)
—
(1,141,766
)
(2,495,093
)
4,998,515
Commercial
Mortgage-Backed
Securities
1,605,426
—
220,188
19,961
—
—
—
—
—
1,845,575
Corporate Bonds
2,031,325
(451,148
)
358,608
47,206
825,999
(2,829,636
)
173,325
—
—
155,679
Mortgage-Backed
Securities
—
—
—
—
10,363,562
—
—
—
—
10,363,562
Total
$9,635,722
$(451,148
)
$635,225
$66,808
$17,306,855
$(3,476,728
)
$173,325
$(3,636,858
)
$—
$20,253,201
1
Purchases include all purchases of securities and securities received in corporate actions.
2
Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.
(a)
Certain Level 3 investments were re-classified between Collateralized Mortgage Obligations and Asset-Backed Securities.
The changes in net unrealized appreciation (depreciation) attributable to securities owned at August 31, 2024, which were valued using significant unobservable inputs (level 3) amounted to $55,920.
There were no significant transfers into or out of level 3 for the six months ended August 31, 2024.
Short Duration Core Plus ETF
Balance as of
February 29,
2024
Realized
gain (loss)
Change in net
unrealized
appreciation
(depreciation)
Net
accretion
(amortization)
Purchases1
Sales2
Transfers
into
Level 3
Transfers
out of
Level 3
Balance as of
August 31,
2024
Investments in Securities:
Asset-Backed Securities
$904,226
$—
$(122
)
$4,307
$603,248
$(180,252
)
$221,805
$(408,978
)
$1,144,234
Corporate Bonds
140,400
(55,272
)
37,535
6,652
13,890
(176,479
)
61,412
—
28,138
Total
$1,044,626
$(55,272
)
$37,413
$10,959
$617,138
$(356,731
)
$283,217
$(408,978
)
$1,172,372
1
Purchases include all purchases of securities and securities received in corporate actions.
2
Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.
The changes in net unrealized appreciation (depreciation) attributable to securities owned at August 31, 2024, which were valued using significant unobservable inputs (level 3) amounted to $(41,191).
There were no significant transfers into or out of level 3 for the six months ended August 31, 2024.
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
265
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
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.
Active Bond ETF
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at
August 31, 2024
Valuation
Technique(s)
Unobservable
Input
Range (Weighted
Average) (a)
$5,955,881
Discounted Cash Flow
Constant Prepayment Rate
0.00% - 30.00% (8.78%)
Yield (Discount Rate of Cash Flows)
5.49% - 8.08% (6.14%)
Asset-Backed Securities
5,955,881
2,646,369
Discounted Cash Flow
Constant Prepayment Rate
90.00% (90.00%)
Yield (Discount Rate of Cash Flows)
5.64% - 6.49% (5.73%)
Collateralized Mortgage Obligations
2,646,369
Total
$8,602,250
#
The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At August 31, 2024, the value of
these investments was $21,664,944. The inputs for these investments are not readily available or cannot be reasonably estimated and are
generally those inputs described in Note 2.A.
(a)
Unobservable inputs were weighted by the relative fair value of the instruments.
Core Plus Bond ETF
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at
August 31, 2024
Valuation
Technique(s)
Unobservable
Input
Range (Weighted
Average) (a)
$6,673,136
Discounted Cash Flow
Constant Prepayment Rate
0.40% - 30.00% (17.91%)
Constant Default Rate]
0.00% - 60.00% (2.21%)
Yield (Discount Rate of Cash Flows)
5.83% - 21.72% (7.95%)
Asset-Backed Securities
6,673,136
6,475,625
Discounted Cash Flow
Yield (Discount Rate of Cash Flows)
7.76% - 8.81% (8.00%)
Collateralized Mortgage
Obligations
6,475,625
41,410
Terms of Restructuring
Expected Recovery
0.01% - 284.20% (202.47%)
Corporate Bonds
41,410
Total
$13,190,171
#
The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At August 31, 2024, the value of
these investments was $119,779,965. The inputs for these investments are not readily available or cannot be reasonably estimated and are
generally those inputs described in Note 2.A.
(a)
Unobservable inputs were weighted by the relative fair value of the instruments.
266
Income ETF
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at
August 31, 2024
Valuation
Technique(s)
Unobservable
Input
Range (Weighted
Average) (a)
$163,724
Discounted Cash Flow
Constant Prepayment Rate
5.00% (5.00%)
Constant Default Rate
12.00% (12.00%)
Yield (Discount Rate of Cash Flows)
7.29% (7.29%)
Asset-Backed Securities
163,724
155,678
Terms of Restructuring
Expected Recovery
0.01% - 284.20% (203.45%)
Corporate Bonds
155,678
Total
$319,402
#
The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At August 31, 2024, the value of
these investments was $ 19,933,799. The inputs for these investments are not readily available or cannot be reasonably estimated and are
generally those inputs described in Note 2.A.
(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 August 31, 2024, 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. Loan Assignments— Core Plus Bond ETF and Income ETF invested in debt instruments that are interests in amounts owed to lenders or lending syndicates (a “Lender”) by corporate, governmental or other borrowers (a “Borrower”). A loan is often administered by a bank or other financial institution (the “Agent”) that acts as Agent for all holders. The Agent administers the terms of the loan, as specified in the loan agreement. The invested in loan assignments of all or a portion of the loans. When a Fund purchases a loan assignment, the Fund has direct rights against the Borrower on a loan. In addition, it is unclear whether loans, loan assignments and other forms of direct indebtedness offer securities law protections against fraud and misrepresentation. Also, because JPMIM may wish to invest in publicly traded securities of a Borrower, it may not have access to material non-public information regarding the Borrower to which other investors have access. Although certain loans are secured by collateral, a Fund could experience delays or limitations in realizing the value on such collateral or have its interest subordinated to other indebtedness of the Borrower.
Loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid when purchased, may become illiquid and difficult to value. In addition, the settlement period for loans is uncertain as there is no standardized settlement schedule applicable to such investments. Therefore, the Fund may not receive the proceeds from a sale of such investments for a period after the sale.
Certain loan assignments are also subject to the risks associated with high yield securities described under Note 7.
267
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
E. When-Issued Securities, Delayed Delivery Securities and Forward Commitments— The Funds purchased when-issued securities, including To-Be-Announced 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.
Active Bond ETF, Core Plus Bond ETF, Income ETF, Municipal ETF, Short Duration Core Plus ETF, Ultra-Short Income ETF and Ultra-Short Municipal Income ETF had when-issued securities, delayed delivery securities or forward commitments outstanding as of August 31, 2024, which are shown as a Receivable for Investment securities sold — delayed delivery securities and/or a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statements of Assets and Liabilities. The values of these securities held at August 31, 2024 are detailed on the SOIs, if any.
The Funds' delayed delivery securities collateral requirements and collateral posted or received by counterparty as of August 31, 2024 are as follows:
Fund
Counterparty
Collateral
amount
Core Plus Bond ETF
Collateral Received
Goldman Sachs & Co. LLC
$(400,000
)
Collateral Received
Morgan Stanley
(200,000
)
Collateral Received
Wells Fargo Securities LLC
(290,000
)
Income ETF
Collateral Posted
Barclays Bank plc
110,000
Collateral Posted
Goldman Sachs & Co. LLC
80,000
Collateral Posted
Morgan Stanley
360,000
F. 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.
268
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 August 31, 2024.
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)
Ultra-Short Income ETF
$17,530,469
$(17,530,469
)
$—
*
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 six months ended August 31, 2024, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
Short Duration Core Plus ETF
$35
Ultra-Short Income ETF
764
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).
Active Bond ETF, Core Plus Bond ETF, Income ETF, International Bond Opportunities ETF, Municipal ETF, Short Duration Core Plus ETF and Ultra-Short Municipal Income ETF did not lend out any securities during the year ended February 29, 2024.
G. Investment Transactions with Affiliates— The Funds invested in Underlying Funds 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.
Active Bond ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan U.S. Government Money
Market Fund Class IM Shares,
5.22% (a) (b)
$20,630,652
$111,179,573
$90,345,123
$—
$—
$41,465,102
41,465,102
$528,604
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
269
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
Core Plus Bond ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan
U.S. Government
Money Market Fund
Class IM Shares,
5.22% (a) (b)
$304,836,673
$831,965,555
$555,483,211
$—
$—
$581,319,017
581,319,017
$10,615,963
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
Income ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Prime Money Market
Fund Class IM Shares, 5.34%
(a) (b)
$1,443,336
$620,148,248
$562,308,175
$(4,078
)
$17,206
$59,296,537
59,266,904
$2,171,889
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
International Bond Opportunities ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan U.S. Government Money
Market Fund Class IM Shares,
5.22% (a) (b)
$12,140,460
$94,317,892
$92,835,169
$—
$—
$13,623,183
13,623,183
$318,072
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
270
Municipal ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Institutional Tax
Free Money Market Fund
Class IM Shares, 3.24%
(a) (b)
$178,363,148
$525,603,058
$562,332,869
$2,119
$1,239
$141,636,695
141,622,533
$2,242,776
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
Short Duration Core Plus ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Prime Money Market
Fund Class IM Shares, 5.34%
(a) (b)
$25,964,962
$92,804,308
$105,378,390
$(2,153
)
$2,293
$13,391,020
13,384,328
$320,155
$—
JPMorgan U.S. Government Money
Market Fund Class IM Shares,
5.22% (a) (b)
—
1,578,240
1,578,240
—
—
—
—
687
*
—
Total
$25,964,962
$94,382,548
$106,956,630
$(2,153
)
$2,293
$13,391,020
$320,842
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
*
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee).
Ultra-Short Income ETF
For the six months ended August 31, 2024
Security
Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan
Securities
Lending
Money
Market Fund
Agency SL
Class Shares,
5.34%
(a) (b)
$27,711,282
$108,000,000
$120,000,000
$(2,441
)*
$—
$15,708,841
15,707,270
$380,352
*
$—
271
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
Ultra-Short Income ETF (continued)
For the six months ended August 31, 2024
Security
Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan
U.S. Government
Money
Market Fund
Class IM
Shares,
5.22%
(a) (b)
$4,046,410
$34,101,270
$35,775,259
$—
$—
$2,372,421
2,372,421
$62,339
*
$—
JPMorgan
U.S. Government
Money
Market Fund
Class IM
Shares,
5.22%
(a) (b)
1,101,895,063
7,581,055,303
5,944,907,088
—
—
2,738,043,278
2,738,043,278
32,351,903
—
Total
$1,133,652,755
$7,723,156,573
$6,100,682,347
$(2,441
)
$—
$2,756,124,540
$32,794,594
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
*
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee).
Ultra-Short Municipal Income ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Institutional
Tax Free Money
Market Fund Class IM
Shares, 3.24%
(a) (b)
$187,008,251
$1,024,793,629
$935,065,438
$(3,757
)
$(3,015
)
$276,729,670
276,702,000
$2,979,227
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
H. 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
272
and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
I. 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 I(1) — I(3) below describe the various derivatives used by the Funds.
(1) 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).
(2) 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
273
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
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.
(3) Swaps— Core Plus Bond ETF, Income ETF, International Bond Opportunities 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 Funds are recorded as assets or liabilities, respectively, on the Statements of Assets and Liabilities and are 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, a 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 reported as Deposits at broker for centrally cleared swaps 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, International Bond Opportunities 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 a 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.
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
274
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.
(4) Summary of Derivatives Information—The following tables present the value of derivatives held as of August 31, 2024, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
Active
Bond ETF
Core Plus
Bond ETF
Income ETF
International
Bond
Opportunities
ETF
Municipal
ETF
Short
Duration
Core Plus
ETF
Foreign Exchange Rate Risk Exposure:
Unrealized Appreciation on Forward Foreign Currency
Exchange Contracts
$—
$13,956
$—
$2,815,895
$—
$—
Unrealized Depreciation on Forward Foreign Currency
Exchange Contracts
—
(99,714
)
—
(4,786,942
)
—
—
Interest Rate Risk Exposure:
Unrealized Appreciation on Futures Contracts*
5,703
24,013
1,795,195
254,122
429,580
176,234
Swaps at Value (Assets)**
—
—
—
1,056,899
—
—
Unrealized Depreciation on Futures Contracts*
(36,417
)
(4,359,494
)
(439,317
)
(730,403
)
(37,432
)
(94,537
)
Swaps at Value (Liabilities)**
—
—
—
(737,526
)
—
—
Credit Risk Exposure:
Swaps at Value (Assets)**
—
—
1,202,515
—
—
—
Swaps at Value (Liabilities)**
—
—
(665,323
)
—
—
—
Net Fair Value of Derivative Contracts:
Unrealized Appreciation (Depreciation) on Futures
Contracts*
(30,714
)
(4,335,481
)
1,355,878
(476,281
)
392,148
81,697
Swaps at Value**
—
—
537,192
319,373
—
—
Unrealized Appreciation (Depreciation) on Forward
Foreign Currency Exchange Contracts
—
(85,758
)
—
(1,971,047
)
—
—
*
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 August 31, 2024:
International Bond Opportunities ETF
Counterparty
Gross Amount of Derivative Assets
Subject to Netting Arrangements
Presented on the Statement of Assets
and Liabilities(a)
Derivatives
Available
for Offset
Collateral
Received
Net Amount Due
From Counterparty
(Not less than zero)
Barclays Bank plc
$120,863
$(89,822
)
$—
$31,041
BNP Paribas
334,264
(120,473
)
—
213,791
Citibank, NA
224,454
(22,803
)
—
201,651
Goldman Sachs International
1,019,774
(404,486
)
—
615,288
HSBC Bank, NA
475,995
(475,995
)
—
—
Morgan Stanley
635,257
(635,257
)
—
—
State Street Corp.
5,288
(5,288
)
—
—
$2,815,895
$(1,754,124
)
$—
$1,061,771
275
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
Counterparty
Gross Amount of Derivative Liabilities
Subject to Netting Arrangements
Presented on the Statement of Assets
and Liabilities(a)
Derivatives
Available
for Offset
Collateral
Posted
Net Amount Due to
Counterparty
(Not less than zero)
Barclays Bank plc
$89,822
$(89,822
)
$—
$—
BNP Paribas
120,473
(120,473
)
—
—
Citibank, NA
22,803
(22,803
)
—
—
Goldman Sachs International
404,486
(404,486
)
—
—
HSBC Bank, NA
685,147
(475,995
)
—
209,152
Morgan Stanley
3,312,124
(635,257
)
—
2,676,867
Standard Chartered Bank
61,018
—
—
61,018
State Street Corp.
91,069
(5,288
)
—
85,781
$4,786,942
$(1,754,124
)
$—
3,032,818
(a)
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 six months ended August 31, 2024, by primary underlying risk exposure:
Active
Bond ETF
Core Plus
Bond ETF
Income ETF
International
Bond
Opportunities
ETF
Municipal
ETF
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations:
Foreign Exchange Rate Risk Exposure:
Forward Foreign Currency Exchange Contracts
$—
$25,150
$(1,347,307
)
$2,471,320
$—
Interest Rate Risk Exposure:
Futures Contracts
719,031
17,271,045
675,327
918,425
1,027,092
Swap Contracts
—
—
—
(628,710
)
—
Credit Exposure Risk:
Swap Contracts
—
84,551
(2,185,290
)
(272,303
)
—
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Foreign Exchange Rate Risk Exposure:
Forward Foreign Currency Exchange Contracts
—
(103,340
)
159,914
(1,882,774
)
—
Interest Rate Risk Exposure:
Futures Contracts
(89,998
)
(7,944,637
)
1,406,522
(227,864
)
370,333
Swap Contracts
—
—
—
464,236
—
Credit Exposure Risk:
Swap Contracts
—
(125,493
)
1,525,256
249,929
—
Short
Duration
Core Plus
ETF
Ultra-Short
Income ETF
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations:
Interest Rate Risk Exposure:
Futures Contracts
$142,903
$11,187,052
Credit Exposure Risk:
Swap Contracts
34,077
—
276
Short
Duration
Core Plus
ETF
Ultra-Short
Income ETF
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Interest Rate Risk Exposure:
Futures Contracts
$93,336
$61,893
Credit Exposure Risk:
Swap Contracts
(22,642
)
—
Derivatives Volume
The table below discloses the volume of the Funds' futures contracts, forward foreign currency exchange contracts and swaps activity during the six months ended August 31, 2024. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity:
Active
Bond ETF
Core Plus
Bond ETF
Income ETF
International
Bond
Opportunities
ETF
Futures Contracts:
Average Notional Balance Long
$18,374,084
$492,764,020
$455,855,132
$122,581,988
Average Notional Balance Short
—
(27,410,385
)
(135,282,670
)
(88,714,023
)
Ending Notional Balance Long
46,722,969
547,613,093
647,551,898
117,695,510
Ending Notional Balance Short
—
—
(193,787,906
)
(66,527,540
)
Forward Foreign Currency Exchange Contracts:
Average Settlement Value Purchased
—
(2,953,722
)
(9,015,731
)
(94,172,719
)
Average Settlement Value Sold
—
12,572,055
—
406,055,871
Ending Settlement Value Purchased
—
—
—
(80,273,190
)
Ending Settlement Value Sold
—
10,551,120
—
531,961,384
Interest Rate-Related Swaps:
Average Notional Balance - Pays Fixed Rate
—
—
—
156,185,250
Average Notional Balance - Receives Fixed Rate
—
—
—
42,591,000
Ending Notional Balance - Pays Fixed Rate
—
—
—
295,888,845
Ending Notional Balance - Receives Fixed Rate
—
—
—
83,904,000
Credit Default Swaps:
Average Notional Balance - Buy Protection
—
6,007,143
40,421,429
527,905
Average Notional Balance - Sell Protection
—
2,607,143
2,107,143
—
Ending Notional Balance - Buy Protection
—
—
13,350,000
—
Ending Notional Balance - Sell Protection
—
—
14,750,000
—
Municipal
ETF
Short
Duration
Core Plus
ETF
Ultra-Short
Income ETF
Futures Contracts:
Average Notional Balance Long
$88,141,351
$65,086,598
$—
Average Notional Balance Short
(11,393,748
)
(23,748,154
)
(367,096,380
)
Ending Notional Balance Long
220,828,453
94,777,445
—
Ending Notional Balance Short
(24,931,563
)
(27,453,594
)
—
Credit Default Swaps:
Average Notional Balance - Sell Protection
—
1,000,000
—
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
277
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
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 August 31, 2024 are as follows:
Fund
Fund Counterparty
Value of swap
contracts
Collateral
amount
International Bond Opportunities ETF
Collateral Received
Goldman Sachs International
$—
$(500,000
)
The Funds' derivatives contracts held at August 31, 2024 are not accounted for as hedging instruments under GAAP.
J. 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, is 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.
K. 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 August 31, 2024, 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.
L. 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.
M. Distributions to Shareholders— Distributions from net investment income, if any, are generally declared monthly 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.
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:
Active Bond ETF
0.25
%1
Core Plus Bond ETF
0.40
Income ETF
0.40
International Bond Opportunities ETF
0.50
Municipal ETF
0.18
Short Duration Core Plus ETF
0.33
Ultra-Short Income ETF
0.18
Ultra-Short Municipal Income ETF
0.18
1
Prior to July 1, 2024, the investment management fee was 0.30%.
278
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 the Administrator.
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.
For the six months ended August 31, 2024, the Funds' service providers waived fees and/or reimbursed expenses for each of 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 Waivers
Management
Fees
Core Plus Bond ETF
$121,302
Income ETF
28,508
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 six months ended August 31, 2024, the Funds 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.
279
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
4. Investment Transactions
During the six months ended August 31, 2024, 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
Sales
of U.S.
Government
Active Bond ETF
$313,783,062
$96,444,150
$161,133,619
$56,859,070
Core Plus Bond ETF
2,442,504,325
1,509,043,985
101,917,053
93,746,323
Income ETF
1,923,754,698
1,132,687,618
—
—
International Bond Opportunities ETF
148,954,682
103,592,614
—
—
Municipal ETF
823,538,782
307,231,357
—
3,958,047
Short Duration Core Plus ETF
105,713,745
64,151,163
58,586,146
79,962,317
Ultra-Short Income ETF
5,483,566,554
4,343,828,397
—
528,400,000
Ultra-Short Municipal Income ETF
933,054,339
841,913,962
—
—
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at August 31, 2024 were as follows:
Aggregate
Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
Depreciation
Net Unrealized
Appreciation
(Depreciation)
Active Bond ETF
$551,437,635
$14,458,061
$422,377
$14,035,684
Core Plus Bond ETF
4,041,190,273
87,970,244
26,160,577
61,809,667
Income ETF
1,872,734,383
34,330,396
10,219,580
24,110,816
International Bond Opportunities ETF
469,624,638
15,544,937
25,553,034
(10,008,097
)
Municipal ETF
1,693,412,927
25,483,725
1,591,873
23,891,852
Short Duration Core Plus ETF
440,724,071
6,904,373
4,074,970
2,829,403
Ultra-Short Income ETF
25,008,881,937
82,738,395
2,269,479
80,468,916
Ultra-Short Municipal Income ETF
2,770,365,660
8,590,151
2,419,787
6,170,364
At February 29, 2024, the following Funds had net capital loss carryforwards, which are available to offset future realized gains:
Capital Loss Carryforward Character
Short-Term
Long-Term
Core Plus Bond ETF
$8,342,950
$17,479,636
Income ETF
9,260,883
6,876,926
International Bond Opportunities ETF
2,913,939
12,377,170
Municipal ETF
5,018,417
3,480,533
Short Duration Core Plus ETF
4,672,924
5,461,046
Ultra-Short Income ETF
48,194,853
70,064,006
Ultra-Short Municipal Income ETF
10,449,843
11,197,638
280
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 29, 2024, the following Funds deferred to March 1, 2024 the following net capital losses (gains) and/or specified ordinary losses of:
Net Capital Losses (Gains)
Specified
Ordinary Losses
Short-Term
Long-Term
Income ETF
$(288,029
)
$1,930,671
$—
International Bond Opportunities ETF
(358,283
)
1,335,930
290,936
Municipal ETF
152,983
1,372,974
—
Short Duration Core Plus ETF
(133,531
)
222,609
—
Ultra-Short Income ETF
(2,668,211
)
6,362,842
—
Ultra-Short Municipal Income ETF
43,442
196,272
—
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 six months ended August 31, 2024.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement 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. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 29, 2024.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended August 31, 2024.
Effective August 8, 2023, the Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into an existing joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. Although the Trust is effectively part of the Credit Facility as of August 8, 2023, it was not eligible to draw on the Credit Facility, and did not incur costs associated with being a part of the Credit Facility up through May 30, 2024.
This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25 million in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which
281
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25 million minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00%, plus the greater of the federal funds effective rate or the one-month Adjusted Secured Overnight Financing Rate (SOFR). Effective August 6, 2024, the Credit Facility was amended and restated for a term of 364 days, unless extended.
The Funds did not utilize the Credit Facility during the six months ended August 31, 2024.
Effective May 31, 2024, the Funds, excluding Core Plus Bond ETF, Income ETF, International Bond Opportunities ETF and Ultra-Short Income ETF are no longer part of the Credit Facility.
8. Risks, Concentrations and Indemnifications
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 change interest rates or the timing, frequency, or magnitude of such changes. 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.
282
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, 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 effects of any future pandemic or other global event to public health and business and market conditions, may 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 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 a pandemic or other global event that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could have a significant negative impact on a Fund’s investment performance. The ultimate impact of any pandemic or other global event and the extent to which the associated conditions and governmental responses impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
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.
283
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 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.
Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Not applicable.
Proxy Disclosures for Open-End Management Investment Companies
Not applicable.
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
Included in the Statements of Operations within the Funds' Financial Statements.
Statement Regarding Basis for Approval of Management Agreements
The Board of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board and its investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed Income Committee) met regularly throughout the year and, at each meeting, considered factors that are relevant to their annual consideration of the continuation of the management agreements. The Board also met for the specific purpose of considering management agreement annual renewals. The Board held meetings June 25-26, 2024 and August 20-22, 2024, at which the Trustees considered the continuation of the management agreements for JPMorgan Core Plus Bond ETF, JPMorgan Income ETF, JPMorgan International Bond Opportunities ETF, JPMorgan Municipal ETF, JPMorgan Short Duration Core Plus ETF, JPMorgan Ultra-Short Income ETF and JPMorgan Ultra-Short Municipal Income ETF (each a “Fund,” and collectively, the “Funds”) whose semi-annual report is contained herein (each a “Management Agreement” and collectively, the “Management Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered each investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to a Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940) of any party to a Management Agreement or any of their affiliates, approved the continuation of each Management Agreement on August 22, 2024.
As part of their review of the Management Agreements, the Trustees considered and reviewed performance and other information about the Funds received from J.P. Morgan Investment Management Inc. (the “Adviser”). This information included the Funds’ performance as compared to the performance of their peers and benchmarks, and analyses by the Adviser of the Funds’ performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (the “independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of
certain Funds, including risk and performance return assessments as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Management Agreements, the Trustees reviewed the Management Agreements with representatives of the Adviser, counsel to the Funds, and independent legal counsel to the Trustees, and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Management Agreements. The Trustees also discussed the Management Agreements with independent legal counsel in executive sessions at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Management Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Management Agreement was fair and reasonable under the circumstances, and determined that the continuance of each Management Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Management Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. Among other things, the Trustees considered:
•
The background and experience of the Adviser’s senior management and investment personnel, including personnel changes, if any;
•
The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund, including personnel changes, if any;
•
The investment strategy for each Fund, and the infrastructure supporting the portfolio management teams;
•
Information about the structure and distribution strategy for each Fund and how it fits within the Adviser’s other fund offerings within the J.P. Morgan Funds complex;
•
The administration services provided by the Adviser in its role as Administrator;
•
Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Funds and in the financial industry generally;
•
The overall reputation and capabilities of the Adviser and its affiliates;
•
The commitment of the Adviser to provide high quality service to the Funds;
•
Their overall confidence in the Adviser’s integrity; and
•
The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates from providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser and reviewed with the Board. The Trustees also recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Management Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered the fees earned by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Adviser, for custody, fund accounting and other related services for each Fund, and the profitability of the arrangements to JPMCB.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including benefits that may be received by the Adviser and its affiliates in connection with the Funds’ potential investments in other funds advised by the Adviser. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Funds.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from potential economies of scale. The Trustees considered that under the Management Agreements, the Adviser provides advisory and administrative services and is responsible for substantially all expenses of each Fund except for certain enumerated contractual exclusions under a “unitary fee” structure. The Trustees noted that the unitary management fee for each Fund does not contain breakpoints. The Trustees considered that shareholders would benefit because expenses would be limited even when a Fund is new and not achieving economies of scale. The Trustees considered the fact that increases in assets would not lead to management fee decreases even if economies of scale are achieved, but also that the Trustees would have the opportunity to further review the appropriateness of the fee payable to the Adviser under the Management Agreement in the future. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds. After considering the factors identified above, the Trustees concluded that the Fund’s shareholders will receive the benefits of potential economies of scale.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of management services and fee rates offered to other clients of the Adviser, including, to the extent applicable, institutional separate accounts, collective investment trusts, other registered investment companies and/or private funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered investment companies relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered investment company involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the applicable registered investment company, typically bears the sub-advisory fee and that many responsibilities related to the advisory function are typically retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees receive and consider information about each Fund’s performance throughout the year. In addition, the Trustees received and considered absolute and/or relative performance information for the Funds with at least one-year of performance history in a report prepared by Broadridge. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe comprised of funds with the same Broadridge investment classification and objective (the “Universe”), by total return for applicable one-, three and five-year periods. The Trustees reviewed a description of Broadridge’s methodology for selecting exchange-traded funds in each Fund’s Universe and noted that the Universe quintile rankings were not calculated if the number of funds in the Universe did not meet a predetermined minimum. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared for certain Funds by the Trustees’ independent consultant. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge performance data
noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance are summarized below:
The Trustees noted that the JPMorgan Core Plus Bond ETF’s performance was in the second and first quintiles of the Universe for the one- and three-year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the JPMorgan Income ETF’s performance was in the fourth quintile of the Universe for the one-year period ended December 31, 2023. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
The Trustees noted that the JPMorgan International Bond Opportunities ETF’s performance was in the third, first and first quintiles of the Universe for the one-, three- and five- year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the JPMorgan Municipal ETF’s performance was in the second, first and first quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the JPMorgan Short Duration Core Plus ETF’s performance was in the second quintile of the Universe for the one-year period ended December 31, 2023. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the JPMorgan Ultra-Short Income ETF’s performance was in the fourth, third and third quintiles of the Universe for the one-, three- and five-year periods ended
December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
The Trustees noted that the JPMorgan Ultra-Short Municipal Income ETF’s performance was in the third, second and second quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
Management Fees and Expense Ratios
The Trustees considered the contractual management fee rate paid by each Fund to the Adviser and compared the rate to the information prepared by Broadridge concerning management fee rates paid by other funds in the Universe, as well as a subset of funds within the Universe (the “Peer Group”). The Trustees also reviewed information about other expenses and the total expense ratio for each Fund and noted that the Universe and Peer Group quintile rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Trustees recognized that it can be difficult to make comparisons of management fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s management fees and expense ratios are summarized below:
The Trustees noted that the JPMorgan Core Plus Bond ETF’s net management fee and actual total expenses were in the third and second quintiles, respectively, of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan Income ETF’s net management and actual total expenses were in the second and
first quintiles, respectively, of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable.in light of the services provided to the Fund.
The Trustees noted that the JPMorgan International Bond Opportunities ETF’s net management fee and actual total expenses were in the third quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable.in light of the services provided to the Fund.
The Trustees noted that the JPMorgan Municipal ETF’s net management fee and actual total expenses were in the first quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable.in light of the services provided to the Fund.
The Trustees noted that the JPMorgan Short Duration Core Plus ETF’s net management fee and actual total expenses were in the third and second quintiles, respectively, of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable.in light of the services provided to the Fund.
The Trustees noted that the JPMorgan Ultra-Short Income ETF’s net management fee and actual total expenses were both in the second quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable.in light of the services provided to the Fund.
The Trustees noted that the JPMorgan Ultra-Short Municipal Income ETF’s net management fee was in the first and second quintiles of the Peer Group and Universe, respectively, and that the actual total expenses were in the first quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable.in light of the services provided to the Fund.
Investments in the 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 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.
JPMorgan BetaBuilders MSCI US REIT ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited)
INVESTMENTS
SHARES
VALUE($)
Common Stocks — 99.6%
Apartments — 17.4%
American Homes 4 Rent, Class A, REIT
243,139
9,669,638
Apartment Investment and Management Co.,
Class A, REIT*
120,478
1,120,445
AvalonBay Communities, Inc., REIT
106,849
24,119,025
Camden Property Trust, REIT
77,528
9,706,506
Centerspace, REIT
12,161
909,643
Elme Communities, REIT
69,237
1,222,725
Equity LifeStyle Properties, Inc., REIT
135,350
9,841,299
Equity Residential, REIT
268,399
20,097,717
Essex Property Trust, Inc., REIT
49,529
14,947,357
Independence Realty Trust, Inc., REIT
173,262
3,600,384
Invitation Homes, Inc., REIT
467,203
17,211,759
Mid-America Apartment Communities, Inc., REIT
88,304
14,337,920
NexPoint Residential Trust, Inc., REIT
18,619
880,679
Sun Communities, Inc., REIT
94,735
12,811,961
UDR, Inc., REIT
249,164
11,090,290
151,567,348
Diversified — 17.4%
Alexander & Baldwin, Inc., REIT
57,501
1,137,945
American Assets Trust, Inc., REIT
41,142
1,121,119
Armada Hoffler Properties, Inc., REIT
54,980
676,804
Broadstone Net Lease, Inc., REIT
134,382
2,459,190
Digital Realty Trust, Inc., REIT
219,489
33,276,727
EPR Properties, REIT
58,113
2,758,624
Equinix, Inc., REIT
70,061
58,456,096
Farmland Partners, Inc., REIT(a)
43,102
441,364
Gaming and Leisure Properties, Inc., REIT
197,100
10,253,142
Gladstone Commercial Corp., REIT
33,461
511,619
Gladstone Land Corp., REIT
27,859
378,047
Global Net Lease, Inc., REIT
153,128
1,319,963
InvenTrust Properties Corp., REIT
53,056
1,574,702
One Liberty Properties, Inc., REIT
14,785
395,499
Safehold, Inc., REIT
36,691
919,476
UMH Properties, Inc., REIT
42,904
834,912
Veris Residential, Inc., REIT
61,492
1,078,570
VICI Properties, Inc., REIT
735,368
24,620,121
WP Carey, Inc., REIT
159,181
9,554,044
151,767,964
Health Care — 13.6%
Alexandria Real Estate Equities, Inc., REIT
119,156
14,247,483
American Healthcare REIT, Inc., REIT
14,775
309,241
CareTrust REIT, Inc., REIT
75,817
2,265,412
Community Healthcare Trust, Inc., REIT
19,592
366,958
Diversified Healthcare Trust, REIT
98,788
343,782
INVESTMENTS
SHARES
VALUE($)
Health Care — continued
Global Medical REIT, Inc., REIT
51,663
480,983
Healthcare Realty Trust, Inc., REIT
292,337
5,203,599
Healthpeak Properties, Inc., REIT
531,241
11,836,049
LTC Properties, Inc., REIT
32,088
1,178,592
Medical Properties Trust, Inc., REIT(a)
463,718
2,086,731
National Health Investors, Inc., REIT
33,809
2,753,067
Omega Healthcare Investors, Inc., REIT
179,805
7,109,490
Sabra Health Care REIT, Inc., REIT
179,198
3,053,534
Universal Health Realty Income Trust, REIT
10,927
490,622
Ventas, Inc., REIT
305,526
18,976,220
Welltower, Inc., REIT
393,890
47,534,645
118,236,408
Hotels — 3.1%
Apple Hospitality REIT, Inc., REIT
168,101
2,427,379
Chatham Lodging Trust, REIT
39,147
335,098
DiamondRock Hospitality Co., REIT
164,070
1,442,175
Host Hotels & Resorts, Inc., REIT
547,168
9,684,874
Park Hotels & Resorts, Inc., REIT
174,150
2,661,012
Pebblebrook Hotel Trust, REIT
102,813
1,367,413
RLJ Lodging Trust, REIT
127,007
1,206,567
Ryman Hospitality Properties, Inc., REIT
40,315
4,191,147
Service Properties Trust, REIT
131,055
614,648
Summit Hotel Properties, Inc., REIT
87,248
592,414
Sunstone Hotel Investors, Inc., REIT
164,073
1,711,281
Xenia Hotels & Resorts, Inc., REIT
89,813
1,278,937
27,512,945
Industrial — 14.6%
Americold Realty Trust, Inc., REIT
206,681
5,993,749
EastGroup Properties, Inc., REIT
33,433
6,231,911
First Industrial Realty Trust, Inc., REIT
101,443
5,754,861
Innovative Industrial Properties, Inc., REIT
21,811
2,710,671
LXP Industrial Trust, REIT
214,314
2,220,293
Plymouth Industrial REIT, Inc., REIT
34,452
824,781
Prologis, Inc., REIT
681,593
87,121,217
Rexford Industrial Realty, Inc., REIT
140,584
7,158,537
STAG Industrial, Inc., REIT
137,684
5,587,217
Terreno Realty Corp., REIT
58,611
4,046,504
127,649,741
Office — 4.4%
Brandywine Realty Trust, REIT
140,736
736,049
BXP, Inc., REIT
114,215
8,591,252
COPT Defense Properties, REIT
87,332
2,601,620
Cousins Properties, Inc., REIT
117,238
3,342,455
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
1
JPMorgan BetaBuilders MSCI US REIT ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
SHARES
VALUE($)
Common Stocks — continued
Office — continued
Douglas Emmett, Inc., REIT
137,181
2,194,896
Easterly Government Properties, Inc., REIT
68,811
902,800
Empire State Realty Trust, Inc., Class A, REIT
109,425
1,180,696
Equity Commonwealth, REIT*
85,393
1,730,916
Highwoods Properties, Inc., REIT
81,913
2,639,237
Hudson Pacific Properties, Inc., REIT
114,245
588,362
JBG SMITH Properties, REIT
80,523
1,401,100
Kilroy Realty Corp., REIT
81,444
2,953,974
Paramount Group, Inc., REIT
142,619
720,226
Peakstone Realty Trust, REIT(a)
19,429
259,183
Piedmont Office Realty Trust, Inc., Class A, REIT
100,005
976,049
SL Green Realty Corp., REIT(a)
50,410
3,359,323
Vornado Realty Trust, REIT
126,514
4,348,286
38,526,424
Regional Malls — 5.0%
CBL & Associates Properties, Inc., REIT
11,400
300,960
Macerich Co. (The), REIT
166,949
2,666,175
Simon Property Group, Inc., REIT
230,313
38,542,881
Tanger, Inc., REIT
81,303
2,474,863
43,984,879
Shopping Centers — 5.9%
Acadia Realty Trust, REIT
75,046
1,689,285
Alexander's, Inc., REIT
1,949
446,633
Brixmor Property Group, Inc., REIT
230,413
6,311,012
Federal Realty Investment Trust, REIT
56,124
6,454,260
Kimco Realty Corp., REIT
514,172
11,959,641
Kite Realty Group Trust, REIT
168,867
4,404,051
NETSTREIT Corp., REIT
44,008
734,494
Phillips Edison & Co., Inc., REIT
90,483
3,344,252
Regency Centers Corp., REIT
127,868
9,294,725
Retail Opportunity Investments Corp., REIT
97,953
1,497,701
Saul Centers, Inc., REIT
12,025
490,861
SITE Centers Corp., REIT
37,217
2,246,046
Urban Edge Properties, REIT
92,022
1,946,265
Whitestone, REIT
39,622
531,727
51,350,953
Single Tenant — 6.2%
Agree Realty Corp., REIT
68,136
4,974,609
Essential Properties Realty Trust, Inc., REIT
110,102
3,513,355
Four Corners Property Trust, Inc., REIT
65,544
1,858,173
Getty Realty Corp., REIT
31,559
1,002,945
INVESTMENTS
SHARES
VALUE($)
Single Tenant — continued
NNN REIT, Inc., REIT
137,165
6,445,383
Realty Income Corp., REIT
577,497
35,868,339
53,662,804
Storage — 12.0%
CubeSmart, REIT
172,045
8,917,092
Extra Space Storage, Inc., REIT
160,459
28,401,243
Iron Mountain, Inc., REIT
222,239
25,170,789
National Storage Affiliates Trust, REIT
66,839
3,124,055
Public Storage, REIT
112,487
38,664,032
104,277,211
Total Common Stocks
(Cost $892,261,978)
868,536,677
Short-Term Investments — 1.0%
Investment Companies — 0.4%
JPMorgan U.S. Government Money Market Fund
Class IM Shares, 5.22%(b) (c)
(Cost $3,482,565)
3,482,565
3,482,565
Investment of Cash Collateral from Securities Loaned — 0.6%
JPMorgan Securities Lending Money Market Fund
Agency SL Class Shares, 5.34%(b) (c)
4,000,599
4,000,999
JPMorgan U.S. Government Money Market Fund
Class IM Shares, 5.22%(b) (c)
823,365
823,365
Total Investment of Cash Collateral from
Securities Loaned
(Cost $4,824,364)
4,824,364
Total Short-Term Investments
(Cost $8,306,929)
8,306,929
Total Investments — 100.6%
(Cost $900,568,907)
876,843,606
Liabilities in Excess of Other Assets — (0.6)%
(5,199,854
)
NET ASSETS — 100.0%
871,643,752
Percentages indicated are based on net assets.
Abbreviations
REIT
Real Estate Investment Trust
*
Non-income producing security.
(a)
The security or a portion of this security is on loan at August 31,
2024. The total value of securities on loan at August 31, 2024 is
$4,708,334.
SEE NOTES TO FINANCIAL STATEMENTS.
2
J.P. Morgan Exchange-Traded Funds
August 31, 2024
(b)
Investment in an affiliated fund, which is registered under the
Investment Company Act of 1940, as amended, and is advised by
J.P. Morgan Investment Management Inc.
(c)
The rate shown is the current yield as of August 31, 2024.
Futures contracts outstanding as of August 31, 2024:
DESCRIPTION
NUMBER OF
CONTRACTS
EXPIRATION DATE
TRADING CURRENCY
NOTIONAL
AMOUNT ($)
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
Long Contracts
DJ US Real Estate Index
78
09/20/2024
USD
2,970,240
297,650
Abbreviations
USD
United States Dollar
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
3
STATEMENT OF ASSETS AND LIABILITIES
AS OF August 31, 2024 (Unaudited)
JPMorgan
BetaBuilders MSCI
US REIT ETF
ASSETS:
Investments in non-affiliates, at value
$868,536,677
Investments in affiliates, at value
3,482,565
Investments of cash collateral received from securities loaned, at value(See Note 2.B.)
4,824,364
Cash
12,296
Deposits at broker for futures contracts
366,000
Receivables:
Investment securities sold
2,682,144
Interest from non-affiliates
84,904
Dividends from non-affiliates
501,465
Dividends from affiliates
498
Securities lending income(See Note 2.B.)
4,271
Variation margin on futures contracts
36,999
Total Assets
880,532,183
LIABILITIES:
Payables:
Investment securities purchased
2,800,050
Collateral received on securities loaned(See Note 2.B.)
4,824,364
Fund shares redeemed
1,183,987
Accrued liabilities:
Management fees(See Note 3.A.)
80,030
Total Liabilities
8,888,431
Net Assets
$871,643,752
NET ASSETS:
Paid-in-Capital
$949,129,379
Total distributable earnings (loss)
(77,485,627
)
Total Net Assets
$871,643,752
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001)
8,800,000
Net asset value, per share
$99.05
Cost of investments in non-affiliates
$892,261,978
Cost of investments in affiliates
3,482,565
Investment securities on loan, at value(See Note 2.B.)
4,708,334
Cost of investment of cash collateral(See Note 2.B.)
4,824,364
SEE NOTES TO FINANCIAL STATEMENTS.
4
J.P. Morgan Exchange-Traded Funds
August 31, 2024
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED August 31, 2024 (Unaudited)
JPMorgan
BetaBuilders MSCI
US REIT ETF
INVESTMENT INCOME:
Interest income from non-affiliates
$96,622
Interest income from affiliates
219
Dividend income from non-affiliates
13,836,737
Dividend income from affiliates
107,990
Income from securities lending (net)(See Note 2.B.)
40,813
Total investment income
14,082,381
EXPENSES:
Management fees(See Note 3.A.)
453,438
Total expenses
453,438
Net investment income (loss)
13,628,943
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates
(2,661,449
)
In-kind redemptions of investments in non-affiliates(See Note 4)
13,028,619
Futures contracts
532,514
Net realized gain (loss)
10,899,684
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates
97,619,354
Investments in affiliates
1,700
Futures contracts
253,799
Change in net unrealized appreciation/depreciation
97,874,853
Net realized/unrealized gains (losses)
108,774,537
Change in net assets resulting from operations
$122,403,480
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
5
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
JPMorgan BetaBuilders
MSCI US REIT ETF
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)
$13,628,943
$26,708,687
Net realized gain (loss)
10,899,684
5,989,185
Change in net unrealized appreciation/depreciation
97,874,853
20,180,988
Change in net assets resulting from operations
122,403,480
52,878,860
DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders
(12,533,085
)
(29,628,917
)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions
(43,583,540
)
40,742,629
NET ASSETS:
Change in net assets
66,286,855
63,992,572
Beginning of period
805,356,897
741,364,325
End of period
$871,643,752
$805,356,897
CAPITAL TRANSACTIONS:
Proceeds from shares issued
$45,085,688
$197,506,477
Cost of shares redeemed
(88,669,228
)
(156,763,848
)
Total change in net assets resulting from capital transactions
$(43,583,540
)
$40,742,629
SHARE TRANSACTIONS:
Issued
525,000
2,450,000
Redeemed
(950,000
)
(1,850,000
)
Net increase (decrease) in shares from share transactions
(425,000
)
600,000
SEE NOTES TO FINANCIAL STATEMENTS.
6
J.P. Morgan Exchange-Traded Funds
August 31, 2024
THIS PAGE IS INTENTIONALLY LEFT BLANK
7
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance
Investment operations
Distributions
Net asset
value,
beginning
of period
Net investment
income
(loss) (b)
Net realized
and unrealized
gains
(losses)
on investments
Total from
investment
operations
Net
investment
income
Net
realized
gain
Total
distributions
JPMorgan BetaBuilders MSCI US REIT ETF
Six Months Ended August 31, 2024 (Unaudited)
$87.30
$1.46
$11.63
$13.09
$(1.34
)
$—
$(1.34
)
Year Ended February 29, 2024
85.96
2.94
1.69
4.63
(3.29
)
—
(3.29
)
Year Ended February 28, 2023
99.98
2.75
(14.63
)
(11.88
)
(2.14
)
—
(2.14
)
Year Ended February 28, 2022
82.46
1.93
17.48
19.41
(1.89
)
—
(1.89
)
Year Ended February 28, 2021
82.62
2.07
0.28
(f)
2.35
(2.51
)
—
(2.51
)
Year Ended February 29, 2020
81.21
2.55
0.80
(f)
3.35
(1.85
)
(0.09
)
(1.94
)
(a)
Annualized for periods less than one year, unless otherwise noted.
(b)
Calculated based upon average shares outstanding.
(c)
Not annualized for periods less than one year.
(d)
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.
(e)
Prior to December 9, 2019, the 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 the 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 the 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.
(f)
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.
(g)
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.
SEE NOTES TO FINANCIAL STATEMENTS.
8
J.P. Morgan Exchange-Traded Funds
August 31, 2024
Ratios/Supplemental data
Ratios to average net assets (a)
Net asset
value,
end of
period
Market
price,
end of
period
Total
return (c)(d)
Market
price
total
return (c)(e)
Net assets,
end of
period
Net
expenses
Net
investment
income
(loss)
Expenses
without waivers
and reimbursements
Portfolio
turnover
rate (c)
$99.05
$99.04
15.22
%
15.33
%
$871,643,752
0.11
%
3.30
%
0.11
%
2
%
87.30
87.21
5.61
5.46
805,356,897
0.11
3.54
0.11
4
85.96
85.99
(11.84
)
(11.85
)
741,364,325
0.11
3.03
0.11
8
99.98
100.02
23.55
23.45
1,357,276,384
0.11
1.96
0.11
5
82.46
82.56
3.37
3.36
944,122,915
0.11
2.82
0.11
7
82.62
82.73
4.06
4.18
1,206,297,493
0.11
2.88
0.16
(g)
5
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
9
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited)
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 in exchange for a basket of securities and/or cash. 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).
10
J.P. Morgan Exchange-Traded Funds
August 31, 2024
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 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Total Investments in Securities(a)
$876,843,606
$—
$—
$876,843,606
Appreciation in Other Financial Instruments
Futures Contracts(a)
$297,650
$—
$—
$297,650
(a)
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 August 31, 2024.
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)
$4,708,334
$(4,708,334
)
$—
*
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.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
11
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (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 six months ended August 31, 2024, JPMIM waived fees associated with the Fund's investment in the JPMorgan U.S. Government Money Market Fund. The amount of this waiver was $815.
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 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 six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Securities Lending Money
Market Fund Agency SL
Class Shares, 5.34% (a) (b)
$17,005,199
$8,000,000
$21,000,000
$(5,900
)*
$1,700
$4,000,999
4,000,599
$414,661
*
$—
JPMorgan U.S. Government Money
Market Fund Class IM Shares,
5.22% (a) (b)
2,746,649
21,056,667
22,979,951
—
—
823,365
823,365
69,320
*
—
JPMorgan U.S. Government Money
Market Fund Class IM Shares,
5.22% (a) (b)
1,720,296
32,973,102
31,210,833
—
—
3,482,565
3,482,565
107,990
—
Total
$21,472,144
$62,029,769
$75,190,784
$(5,900
)
$1,700
$8,306,929
$591,971
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
*
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.
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).
12
J.P. Morgan Exchange-Traded Funds
August 31, 2024
The table below discloses the volume of the Fund's futures contracts activity during the six months ended August 31, 2024:
Futures Contracts:
Average Notional Balance Long
$4,634,166
Ending Notional Balance Long
2,970,240
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 August 31, 2024, 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.
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.
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.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
13
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
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 six months ended August 31, 2024, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases
(excluding
U.S. Government)
Sales
(excluding
U.S. Government)
$22,410,669
$19,219,312
During the six months ended August 31, 2024, there were no purchases or sales of U.S. Government securities.
For the six months ended August 31, 2024, in-kind transactions associated with creations and redemptions were as follows:
In-Kind
Purchases
In-Kind
Sales
$43,436,941
$85,690,082
During the six months ended August 31, 2024, 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 August 31, 2024 were as follows:
Aggregate
Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
Depreciation
Net Unrealized
Appreciation
(Depreciation)
$900,568,907
$65,395,682
$88,823,333
$(23,427,651
)
At February 29, 2024, the Fund had net capital loss carryforwards, which are available to offset future realized gains:
Capital Loss Carryforward Character
Short-Term
Long-Term
$33,957,253
$28,716,537
14
J.P. Morgan Exchange-Traded Funds
August 31, 2024
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 29, 2024, the Fund deferred to March 1, 2024 the following net capital losses (gains) of:
Net Capital Losses (Gains)
Short-Term
Long-Term
$(306,151
)
$1,440,379
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 Statements 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 six months ended August 31, 2024.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Fund. Advances under the arrangement 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. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 29, 2024.
The Fund had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended August 31, 2024.
Effective August 8, 2023, the Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into an existing joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. Although the Trust is effectively part of the Credit Facility as of August 8, 2023, it was not eligible to draw on the Credit Facility, and did not incur costs associated with being a part of the Credit Facility.
This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25 million in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25 million minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00%, plus the greater of the federal funds effective rate or the one-month Adjusted Secured Overnight Financing Rate (SOFR).
Effective May 31, 2024, the Funds are no longer part of the Credit Facility.
The Fund did not utilize the Credit Facility during the six months ended August 31, 2024.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
15
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
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 August 31, 2024, 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
11.5
%
32.7
%
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 and could make derivatives more difficult for the Fund to value accordingly.
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.
The Fund is subject to infectious disease epidemics/pandemics risk. The effects of any future pandemic or other global event to public health and business and market conditions, may 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 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 a pandemic or other global event that affect the instruments in which the Fund invests, or the issuers of such instruments, in ways that could have a significant negative impact on the Fund’s investment performance. The ultimate impact of any pandemic or other global event and the extent to which the associated conditions and governmental responses impact the Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
16
J.P. Morgan Exchange-Traded Funds
August 31, 2024
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.
Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Not applicable.
Proxy Disclosures for Open-End Management Investment Companies
Not applicable.
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
Included in the Statement of Operations within the Fund's Financial Statements.
Statement Regarding Basis for Approval of Management Agreement
The Board of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board and its investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed Income Committee) met regularly throughout the year and, at each meeting, considered factors that are relevant to their annual consideration of the continuation of the management agreements. The Board also met for the specific purpose of considering management agreement annual renewals. The Board held meetings June 25-26, 2024 and August 20-22, 2024, at which the Trustees considered the continuation of the management agreement (the “Management Agreement”) for the Fund. At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered each investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940) of any party to the Management Agreement or any of their affiliates, approved the continuation of the Management Agreement on August 22, 2024.
As part of their review of the Management Agreement, the Trustees considered and reviewed performance and other information about the Fund received from J.P. Morgan Investment Management Inc. (the “Adviser”). This information included the Fund’s performance as compared to the performance of its peers and benchmark, and analyses by the Adviser of the Fund’s performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (the “independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of certain Funds, including risk and performance return assessments as compared to the Fund’s objectives, benchmarks and peers. Before voting on the Management Agreement, the Trustees reviewed the Management Agreement with representatives of the Adviser, counsel to the Fund, and independent legal counsel to the Trustees, and received a memorandum from independent legal counsel to the
Trustees discussing the legal standards for their consideration of the Management Agreement. The Trustees also discussed the Management Agreement with independent legal counsel in executive sessions at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve the Management Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Fund throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from the Fund under the Management Agreement was fair and reasonable under the circumstances, and determined that the continuance of the Management Agreement was in the best interests of the Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to the Fund under its Management Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. Among other things, the Trustees considered:
•
The background and experience of the Adviser’s senior management and investment personnel, including personnel changes, if any;
•
The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Fund, including personnel changes, if any;
•
The investment strategy for the Fund, and the infrastructure supporting the portfolio management team;
•
Information about the structure and distribution strategy for the Fund and how it fits within the Adviser’s other fund offerings within the J.P. Morgan Funds complex;
•
The administration services provided by the Adviser in its role as Administrator;
•
Their knowledge of the nature and quality of the services
provided by the Adviser and its affiliates gained from their experience as Trustees of the Fund and in the financial industry generally;
•
The overall reputation and capabilities of the Adviser and its affiliates;
•
The commitment of the Adviser to provide high quality service to the Fund;
•
Their overall confidence in the Adviser’s integrity; and
•
The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the services provided to the Fund by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates from providing services to the Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Fund, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser and reviewed with the Board. The Trustees also recognized that it is difficult to make direct comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under the Management Agreement was not unreasonable in light of the services and benefits provided to the Fund.
The Trustees also considered the fees earned by J.P. Morgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Adviser, for custody, fund accounting, and other related services for the Fund, and the profitability of the arrangements to JPMCB.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationships with the Fund. The
Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including benefits that may be received by the Adviser and its affiliates in connection with the Fund’s potential investments in other funds advised by the Adviser. The Trustees also reviewed the Adviser’s allocation of Fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Fund.
Economies of Scale
The Trustees considered the extent to which the Fund may benefit from potential economies of scale. The Trustees considered that under the Management Agreement, the Adviser provides advisory and administrative services and is responsible for substantially all expenses of the Fund except for certain enumerated contractual exclusions under a “unitary fee” structure. The Trustees noted that the unitary management fee for the Fund does not contain breakpoints. The Trustees considered that shareholders would benefit because expenses would be limited even when a Fund is new and not achieving economies of scale. The Trustees considered the fact that increases in assets would not lead to management fee decreases even if economies of scale are achieved, but also that the Trustees would have the opportunity to further review the appropriateness of the fee payable to the Adviser under the Management Agreement in the future. The Trustees also concluded that the Fund benefited from the Adviser’s reinvestment in its operations to serve the Fund and its shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Fund. After considering the factors identified above, the Trustees concluded that the Fund’s shareholders will receive the benefits of potential economies of scale.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of management services and fee rates offered to other clients of the Adviser, including to the extent applicable, institutional separate accounts, collective investment trusts, other registered investment companies and/or private funds sub-advised by the Adviser, for investment management styles substantially similar to that of the Fund. The Trustees considered the complexity of investment management for registered investment companies relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and
responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered investment company involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to the Fund. The Trustees also noted that the adviser, not the applicable registered investment company, typically bears the sub-advisory fee and that many responsibilities related to the advisory function are typically retained by the primary adviser. The Trustees concluded that the fee rates charged to the Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees considered that the Fund is a “passive” ETF whose objective is to closely correspond, before fees and expenses, to the performance of its benchmark index. The Trustees considered the Fund’s investment strategy and processes, portfolio management teams and competitive positioning against peer funds, as identified by Broadridge and/or management. As part of this review, the Trustees reviewed the Fund’s performance against its benchmark and considered the Fund’s performance information provided at regular Board meetings by the Adviser. After consideration, the Trustees determined that the Fund’s performance was consistent with its investment objective.
Management Fee and Expense Ratio
The Trustees considered the contractual management fee rate paid by the Fund to the Adviser and compared the rate to the information prepared by Broadridge concerning management
fee rates paid by other funds in the same Broadridge category as the Fund. This review included ranking of the Fund within an expense universe comprised of funds with the same Broadridge investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”). The Trustees reviewed a description of Broadridge’s methodology for selecting funds in the Universe and Peer Group, as applicable, and noted that Universe and/or Peer Group quintile rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Trustees also reviewed information about other expenses and the total expense ratio for the Fund. The Trustees recognized that it can be difficult to make comparisons of management fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Fund’s management fee and expense ratio are summarized below:
The Trustees noted that the Fund’s net management fee was in the second and first quintiles of the Peer Group and Universe, respectively, and that the actual total expenses were also in the second and first quintiles of the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
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’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at (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.
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
U.S. Treasury Obligations — 30.6%
U.S. Treasury Inflation Linked Notes
0.13%, 10/15/2025
10,514,848
10,244,772
0.13%, 4/15/2026(a)
89,574,460
86,361,653
2.38%, 10/15/2028
61,948,963
63,743,932
1.75%, 1/15/2034
44,621,532
44,468,048
Total U.S. Treasury Obligations
(Cost $203,582,459)
204,818,405
Corporate Bonds — 26.8%
Aerospace & Defense — 0.8%
BAE Systems plc (United Kingdom) 3.40%,
4/15/2030(b)
400,000
375,585
Boeing Co. (The)
2.75%, 2/1/2026
782,000
756,025
3.10%, 5/1/2026
931,000
900,400
6.39%, 5/1/2031(b)
414,000
436,094
6.53%, 5/1/2034(b)
88,000
93,202
L3Harris Technologies, Inc. 3.85%,
12/15/2026
425,000
419,226
Leidos, Inc. 2.30%, 2/15/2031
767,000
655,945
RTX Corp. 5.75%, 1/15/2029
1,600,000
1,680,398
5,316,875
Automobile Components — 0.0% ^
Lear Corp. 2.60%, 1/15/2032
222,000
188,305
Automobiles — 0.3%
Hyundai Capital America
3.00%, 2/10/2027(b)
903,000
868,631
2.38%, 10/15/2027(b)
919,000
859,279
1.80%, 1/10/2028(b)
100,000
90,937
Stellantis Finance US, Inc. 2.69%,
9/15/2031(b)
678,000
577,528
2,396,375
Banks — 7.9%
ABN AMRO Bank NV (Netherlands) (US Treasury
Yield Curve Rate T Note Constant Maturity 1
Year + 1.10%), 2.47%, 12/13/2029(b) (c)
900,000
819,172
AIB Group plc (Ireland)
(SOFR + 2.33%), 6.61%, 9/13/2029(b) (c)
264,000
279,889
(SOFR + 1.91%), 5.87%, 3/28/2035(b) (c)
200,000
206,885
Australia & New Zealand Banking Group Ltd.
(Australia) 4.40%, 5/19/2026(b) (d)
1,550,000
1,536,272
Banco Santander SA (Spain)
(US Treasury Yield Curve Rate T
Note Constant Maturity 1 Year + 0.90%),
1.72%, 9/14/2027(c)
200,000
187,676
2.75%, 12/3/2030
1,600,000
1,392,636
Bank of America Corp.
(SOFR + 1.15%), 1.32%, 6/19/2026(c)
21,000
20,380
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Banks — continued
Series N, (SOFR + 0.91%), 1.66%,
3/11/2027(c)
178,000
169,940
(3-MONTH CME TERM SOFR + 1.84%),
3.82%, 1/20/2028(c)
937,000
920,654
(SOFR + 1.63%), 5.20%, 4/25/2029(c)
1,147,000
1,171,708
(SOFR + 1.53%), 1.90%, 7/23/2031(c)
2,827,000
2,420,416
(SOFR + 1.65%), 5.47%, 1/23/2035(c)
1,707,000
1,766,797
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)
1,725,000
1,628,980
Bank of Montreal (Canada) 2.65%, 3/8/2027
40,000
38,421
Barclays plc (United Kingdom)
(SOFR + 1.88%), 6.50%, 9/13/2027(c)
899,000
928,803
(SOFR + 1.74%), 5.69%, 3/12/2030(c)
400,000
412,377
(SOFR + 2.98%), 6.22%, 5/9/2034(c)
300,000
318,714
BNP Paribas SA (France)
(SOFR + 2.07%), 2.22%, 6/9/2026(b) (c)
500,000
488,446
(SOFR + 1.23%), 2.59%, 1/20/2028(b) (c)
300,000
285,414
BPCE SA (France)
(SOFR + 1.09%), 2.05%,
10/19/2027(b) (c)
1,214,000
1,141,447
(SOFR + 1.31%), 2.28%, 1/20/2032(b) (c)
1,194,000
996,520
Citigroup, Inc.
(SOFR + 0.77%), 1.12%, 1/28/2027(c)
1,056,000
1,002,825
4.45%, 9/29/2027
472,000
469,777
(3-MONTH CME TERM SOFR + 1.82%),
3.89%, 1/10/2028(c)
90,000
88,548
(SOFR + 1.17%), 2.56%, 5/1/2032(c)
1,300,000
1,126,095
(SOFR + 1.35%), 3.06%, 1/25/2033(c)
450,000
395,959
Cooperatieve Rabobank UA (Netherlands)
(US Treasury Yield Curve Rate T
Note Constant Maturity 1 Year + 0.73%),
1.98%, 12/15/2027(b) (c)
750,000
705,539
(US Treasury Yield Curve Rate T
Note Constant Maturity 1 Year + 1.40%),
5.56%, 2/28/2029(b) (c)
250,000
256,556
Credit Agricole SA (France)
(SOFR + 1.68%), 1.91%, 6/16/2026(b) (c)
1,500,000
1,461,955
(SOFR + 1.69%), 5.34%, 1/10/2030(b) (c)
800,000
815,715
Danske Bank A/S (Denmark) (US Treasury Yield
Curve Rate T Note Constant Maturity 1 Year +
1.40%), 5.71%, 3/1/2030(b) (c)
407,000
419,940
Discover Bank 3.45%, 7/27/2026
447,000
434,265
DNB Bank ASA (Norway) (US Treasury Yield
Curve Rate T Note Constant Maturity 1 Year +
0.68%), 1.61%, 3/30/2028(b) (c)
1,000,000
925,206
Fifth Third Bancorp
3.95%, 3/14/2028
600,000
588,155
(SOFR + 1.84%), 5.63%, 1/29/2032(c)
66,000
67,810
Fifth Third Bank NA 2.25%, 2/1/2027
250,000
236,698
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
1
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Corporate Bonds — continued
Banks — continued
HSBC Holdings plc (United Kingdom)
(3-MONTH CME TERM SOFR + 1.61%),
4.29%, 9/12/2026(c)
1,250,000
1,240,568
(SOFR + 1.73%), 2.01%, 9/22/2028(c)
300,000
276,928
(3-MONTH CME TERM SOFR + 1.87%),
3.97%, 5/22/2030(c)
1,040,000
1,002,733
(SOFR + 2.39%), 2.85%, 6/4/2031(c)
1,141,000
1,024,205
ING Groep NV (Netherlands) (SOFR + 1.01%),
1.73%, 4/1/2027(c)
880,000
838,948
KeyBank NA 3.30%, 6/1/2025
250,000
246,354
KeyCorp (SOFRINDX + 1.25%), 6.59%,
5/23/2025(c)
184,000
184,494
Lloyds Banking Group plc (United Kingdom)
(US Treasury Yield Curve Rate T
Note Constant Maturity 1 Year + 1.00%),
2.44%, 2/5/2026(c)
1,350,000
1,333,208
3.75%, 1/11/2027
469,000
459,968
Mitsubishi UFJ Financial Group, Inc. (Japan) (US
Treasury Yield Curve Rate T Note Constant
Maturity 1 Year + 0.83%), 2.34%,
1/19/2028(c)
600,000
569,897
Mizuho Financial Group, Inc. (Japan) (US
Treasury Yield Curve Rate T Note Constant
Maturity 1 Year + 1.12%), 5.38%,
5/26/2030(c)
1,950,000
2,003,875
National Bank of Canada (Canada) 5.60%,
12/18/2028
400,000
415,596
NatWest Group plc (United Kingdom)
(US Treasury Yield Curve Rate T
Note Constant Maturity 1 Year + 0.90%),
1.64%, 6/14/2027(c)
286,000
270,605
(US Treasury Yield Curve Rate T
Note Constant Maturity 1 Year + 1.50%),
5.78%, 3/1/2035(c)
320,000
334,295
PNC Financial Services Group, Inc. (The)
(SOFRINDX + 1.09%), 4.76%,
1/26/2027(c)
573,000
572,170
(SOFR + 1.34%), 5.30%, 1/21/2028(c)
340,000
345,897
Santander UK Group Holdings plc (United Kingdom)
(US Treasury Yield Curve Rate T
Note Constant Maturity 1 Year + 1.25%),
1.53%, 8/21/2026(c)
1,200,000
1,157,864
(SOFR + 2.75%), 6.83%, 11/21/2026(c)
200,000
203,925
(SOFR + 2.60%), 6.53%, 1/10/2029(c)
750,000
786,245
Societe Generale SA (France)
2.63%, 1/22/2025(b)
700,000
692,082
4.25%, 4/14/2025(b)
400,000
396,063
(US Treasury Yield Curve Rate T
Note Constant Maturity 1 Year + 1.00%),
1.79%, 6/9/2027(b) (c)
1,937,000
1,825,589
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Banks — continued
Standard Chartered plc (United Kingdom)
(3-MONTH SOFR + 1.21%), 2.82%,
1/30/2026(b) (c)
1,000,000
989,050
(US Treasury Yield Curve Rate T
Note Constant Maturity 1 Year + 1.45%),
5.91%, 5/14/2035(b) (c)
630,000
652,245
Sumitomo Mitsui Financial Group, Inc. (Japan)
1.90%, 9/17/2028
1,500,000
1,354,006
Toronto-Dominion Bank (The) (Canada) 1.15%,
6/12/2025
40,000
38,892
Truist Bank 3.30%, 5/15/2026
1,000,000
975,792
Truist Financial Corp.
(SOFR + 2.45%), 7.16%, 10/30/2029(c)
275,000
298,805
(SOFR + 1.62%), 5.44%, 1/24/2030(c)
500,000
512,866
UniCredit SpA (Italy)
(US Treasury Yield Curve Rate T
Note Constant Maturity 1 Year + 1.20%),
1.98%, 6/3/2027(b) (c)
835,000
793,223
(USD ICE Swap Rate 5 Year + 3.70%),
5.86%, 6/19/2032(b) (c)
600,000
598,645
US Bancorp
(SOFR + 1.56%), 5.38%, 1/23/2030(c)
125,000
128,460
(SOFR + 1.86%), 5.68%, 1/23/2035(c)
127,000
132,115
Wachovia Corp. 7.57%, 8/1/2026(e)
366,000
384,379
Wells Fargo & Co.
(SOFR + 2.10%), 2.39%, 6/2/2028(c)
700,000
660,356
(SOFR + 1.50%), 5.20%, 1/23/2030(c)
2,256,000
2,302,611
(3-MONTH CME TERM SOFR + 1.43%),
2.88%, 10/30/2030(c)
637,000
583,916
52,713,460
Biotechnology — 0.3%
AbbVie, Inc.
3.20%, 11/21/2029
1,000,000
947,576
5.05%, 3/15/2034
245,000
252,464
Amgen, Inc. 5.25%, 3/2/2030
200,000
207,179
Gilead Sciences, Inc. 3.50%, 2/1/2025
35,000
34,763
Regeneron Pharmaceuticals, Inc. 1.75%,
9/15/2030
481,000
411,207
1,853,189
Broadline Retail — 0.0% ^
eBay, Inc. 2.60%, 5/10/2031
50,000
44,028
Capital Markets — 2.0%
Brookfield Finance, Inc. (Canada) 4.25%,
6/2/2026
362,000
358,926
Deutsche Bank AG (Germany)
(SOFR + 2.52%), 7.15%, 7/13/2027(c)
190,000
197,091
(SOFR + 1.32%), 2.55%, 1/7/2028(c)
850,000
803,789
(SOFR + 1.72%), 3.04%, 5/28/2032(c)
1,126,000
985,486
SEE NOTES TO FINANCIAL STATEMENTS.
2
J.P. Morgan Exchange-Traded Funds
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Corporate Bonds — continued
Capital Markets — continued
Goldman Sachs Group, Inc. (The)
4.25%, 10/21/2025
237,000
235,291
3.50%, 11/16/2026
1,185,000
1,158,725
(SOFR + 1.09%), 1.99%, 1/27/2032(c)
512,000
430,425
(SOFR + 1.28%), 2.62%, 4/22/2032(c)
2,050,000
1,782,718
Macquarie Group Ltd. (Australia)
(3-MONTH SOFR + 1.75%), 5.03%,
1/15/2030(b) (c)
200,000
202,157
(SOFR + 2.30%), 6.26%, 12/7/2034(b) (c)
300,000
322,400
Morgan Stanley
(SOFR + 1.99%), 2.19%, 4/28/2026(c)
40,000
39,216
4.35%, 9/8/2026
1,163,000
1,156,867
(SOFR + 1.45%), 5.17%, 1/16/2030(c)
2,540,000
2,592,039
(SOFR + 1.02%), 1.93%, 4/28/2032(c)
110,000
91,807
Nasdaq, Inc. 5.55%, 2/15/2034
138,000
143,734
Nomura Holdings, Inc. (Japan)
2.33%, 1/22/2027
1,000,000
944,864
2.68%, 7/16/2030
753,000
665,181
UBS Group AG (Switzerland)
(SOFR + 2.04%), 2.19%, 6/5/2026(b) (c)
250,000
244,471
(SOFRINDX + 0.98%), 1.31%,
2/2/2027(b) (c)
900,000
854,398
13,209,585
Chemicals — 0.2%
Albemarle Corp. 5.05%, 6/1/2032
540,000
533,692
RPM International, Inc. 2.95%, 1/15/2032
438,000
379,982
Westlake Corp. 3.60%, 8/15/2026
400,000
392,061
1,305,735
Construction & Engineering — 0.1%
Quanta Services, Inc.
2.35%, 1/15/2032
446,000
375,730
5.25%, 8/9/2034
188,000
189,402
565,132
Construction Materials — 0.0% ^
Martin Marietta Materials, Inc. Series CB,
2.50%, 3/15/2030
40,000
36,100
Consumer Finance — 2.0%
AerCap Ireland Capital DAC (Ireland)
2.45%, 10/29/2026
1,554,000
1,481,092
3.00%, 10/29/2028
1,835,000
1,716,181
American Express Co.
(SOFR + 1.33%), 6.34%, 10/30/2026(c)
490,000
498,312
(SOFR + 0.93%), 5.04%, 7/26/2028(c)
125,000
126,790
Avolon Holdings Funding Ltd. (Ireland)
2.13%, 2/21/2026(b)
692,000
661,939
4.25%, 4/15/2026(b)
832,000
819,453
4.38%, 5/1/2026(b)
1,063,000
1,048,246
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Consumer Finance — continued
2.53%, 11/18/2027(b)
4,543,000
4,184,194
Capital One Financial Corp.
(SOFR + 1.56%), 5.46%, 7/26/2030(c)
500,000
509,009
(SOFR + 1.27%), 2.62%, 11/2/2032(c)
709,000
595,424
General Motors Financial Co., Inc.
2.35%, 1/8/2031
1,590,000
1,352,371
5.95%, 4/4/2034
139,000
143,850
Macquarie Airfinance Holdings Ltd. (United
Kingdom) 6.40%, 3/26/2029(b)
37,000
38,506
Mitsubishi HC Finance America LLC (Japan)
5.81%, 9/12/2028(b)
200,000
206,884
13,382,251
Consumer Staples Distribution & Retail — 0.1%
7-Eleven, Inc. 1.80%, 2/10/2031(b)
505,000
419,621
Kroger Co. (The) 5.00%, 9/15/2034
285,000
284,114
703,735
Containers & Packaging — 0.1%
Graphic Packaging International LLC 1.51%,
4/15/2026(b)
453,000
426,210
WRKCo, Inc. 4.90%, 3/15/2029
150,000
151,670
577,880
Diversified REITs — 0.3%
Goodman US Finance Three LLC (Australia)
3.70%, 3/15/2028(b)
163,000
157,188
Safehold GL Holdings LLC 2.80%, 6/15/2031
682,000
592,028
Simon Property Group LP 2.45%, 9/13/2029
200,000
181,928
WP Carey, Inc.
2.40%, 2/1/2031
800,000
687,452
2.25%, 4/1/2033
893,000
718,070
2,336,666
Diversified Telecommunication Services — 0.6%
AT&T, Inc. 1.65%, 2/1/2028
1,081,000
985,579
NBN Co. Ltd. (Australia) 2.63%, 5/5/2031(b)
1,100,000
966,406
Sprint Capital Corp. 6.88%, 11/15/2028
155,000
167,884
Verizon Communications, Inc.
1.68%, 10/30/2030
1,070,000
907,500
4.78%, 2/15/2035(b)
770,000
759,257
3,786,626
Electric Utilities — 2.0%
Alabama Power Co. 5.85%, 11/15/2033
500,000
537,458
American Electric Power Co., Inc. 5.63%,
3/1/2033
100,000
104,486
Atlantic City Electric Co. 4.00%, 10/15/2028
20,000
19,743
Baltimore Gas and Electric Co. 5.30%,
6/1/2034
450,000
464,423
CenterPoint Energy Houston Electric LLC Series
AA, 3.00%, 2/1/2027
310,000
300,620
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
3
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Corporate Bonds — continued
Electric Utilities — continued
Cleveland Electric Illuminating Co. (The)
3.50%, 4/1/2028(b)
386,000
370,882
4.55%, 11/15/2030(b)
290,000
286,148
Connecticut Light and Power Co. (The) Series A,
3.20%, 3/15/2027
20,000
19,466
DTE Electric Co. 3.38%, 3/1/2025
100,000
99,147
Duke Energy Carolinas LLC 6.45%,
10/15/2032
50,000
55,183
Duke Energy Corp. 5.45%, 6/15/2034
550,000
566,669
Duke Energy Indiana LLC 5.25%, 3/1/2034
550,000
568,872
Duke Energy Ohio, Inc. 5.25%, 4/1/2033
73,000
75,002
Duquesne Light Holdings, Inc.
2.53%, 10/1/2030(b)
421,000
364,215
2.78%, 1/7/2032(b)
554,000
468,393
Edison International 3.55%, 11/15/2024
714,000
711,052
Entergy Louisiana LLC 1.60%, 12/15/2030
100,000
83,715
Evergy, Inc. 2.90%, 9/15/2029
418,000
384,020
Fells Point Funding Trust 3.05%,
1/31/2027(b)
864,000
830,499
FirstEnergy Pennsylvania Electric Co. 3.25%,
3/15/2028(b)
256,000
245,156
Fortis, Inc. (Canada) 3.06%, 10/4/2026
821,000
791,983
Interstate Power and Light Co. 4.10%,
9/26/2028
30,000
29,568
ITC Holdings Corp. 2.95%, 5/14/2030(b)
251,000
228,689
Kentucky Utilities Co. 3.30%, 10/1/2025
200,000
197,280
NextEra Energy Capital Holdings, Inc. 2.25%,
6/1/2030
200,000
176,586
Niagara Mohawk Power Corp.
3.51%, 10/1/2024(b)
640,000
638,128
1.96%, 6/27/2030(b)
500,000
434,276
NRG Energy, Inc. 2.45%, 12/2/2027(b)
805,000
747,107
Pacific Gas and Electric Co.
2.95%, 3/1/2026
458,000
444,343
4.55%, 7/1/2030
778,999
761,808
PG&E Wildfire Recovery Funding LLC Series A-2,
4.26%, 6/1/2036
848,000
816,993
Potomac Electric Power Co. 5.20%, 3/15/2034
172,000
177,433
SCE Recovery Funding LLC Series A-2, 1.94%,
5/15/2038
285,000
218,504
Southern Co. (The) 5.70%, 3/15/2034
207,000
218,399
Southwestern Electric Power Co. Series M,
4.10%, 9/15/2028
10,000
9,812
Tampa Electric Co. 4.90%, 3/1/2029
274,000
279,229
Virginia Electric and Power Co. Series A, 3.50%,
3/15/2027
210,000
205,702
Wisconsin Electric Power Co. 3.10%, 6/1/2025
400,000
394,280
13,325,269
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Electrical Equipment — 0.0% ^
Eaton Corp. 3.10%, 9/15/2027
50,000
48,463
Energy Equipment & Services — 0.0% ^
Halliburton Co. 2.92%, 3/1/2030
200,000
183,653
Schlumberger Holdings Corp. 3.90%,
5/17/2028(b)
39,000
38,335
221,988
Entertainment — 0.0% ^
Take-Two Interactive Software, Inc. 5.60%,
6/12/2034
314,000
324,211
Financial Services — 0.6%
Corebridge Financial, Inc. 3.65%, 4/5/2027
300,000
293,731
Fiserv, Inc. 5.35%, 3/15/2031
850,000
881,058
Global Payments, Inc.
2.15%, 1/15/2027
901,000
853,117
3.20%, 8/15/2029
200,000
185,488
LSEGA Financing plc (United Kingdom) 2.00%,
4/6/2028(b)
890,000
816,886
Nationwide Building Society (United Kingdom)
4.85%, 7/27/2027(b)
300,000
302,960
5.13%, 7/29/2029(b)
445,000
453,941
3,787,181
Food Products — 0.2%
Bimbo Bakeries USA, Inc. (Mexico) 6.05%,
1/15/2029(b)
500,000
525,000
Campbell Soup Co. 5.40%, 3/21/2034
164,000
169,375
General Mills, Inc. 4.95%, 3/29/2033
151,000
152,288
J M Smucker Co. (The) 6.20%, 11/15/2033
264,000
287,582
Mead Johnson Nutrition Co. (United Kingdom)
4.13%, 11/15/2025
89,000
88,463
1,222,708
Gas Utilities — 0.0% ^
ONE Gas, Inc. 2.00%, 5/15/2030
248,000
217,988
Ground Transportation — 0.5%
Canadian Pacific Railway Co. (Canada) 2.05%,
3/5/2030
200,000
176,620
Penske Truck Leasing Co. LP
5.75%, 5/24/2026(b)
219,000
222,019
5.55%, 5/1/2028(b)
1,218,000
1,250,023
Triton Container International Ltd. (Bermuda)
2.05%, 4/15/2026(b)
637,000
604,933
3.25%, 3/15/2032
1,108,000
941,355
3,194,950
Health Care Providers & Services — 0.5%
CommonSpirit Health
3.35%, 10/1/2029
455,000
429,427
2.78%, 10/1/2030
171,000
153,294
SEE NOTES TO FINANCIAL STATEMENTS.
4
J.P. Morgan Exchange-Traded Funds
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Corporate Bonds — continued
Health Care Providers & Services — continued
CVS Health Corp. 1.88%, 2/28/2031
581,000
481,387
HCA, Inc.
4.13%, 6/15/2029
764,000
745,337
2.38%, 7/15/2031
700,000
595,885
Humana, Inc. 3.95%, 3/15/2027
292,000
287,598
Quest Diagnostics, Inc.
3.45%, 6/1/2026
300,000
293,773
2.95%, 6/30/2030
93,000
85,289
2.80%, 6/30/2031
287,000
254,416
3,326,406
Health Care REITs — 0.7%
Alexandria Real Estate Equities, Inc. 3.38%,
8/15/2031
883,000
807,328
DOC DR LLC 2.63%, 11/1/2031
409,000
352,339
Healthcare Realty Holdings LP
3.10%, 2/15/2030
469,000
426,679
2.00%, 3/15/2031
429,000
352,719
Healthpeak OP LLC 2.13%, 12/1/2028
470,000
425,470
Sabra Health Care LP 3.20%, 12/1/2031
1,040,000
902,047
Ventas Realty LP
3.50%, 2/1/2025
110,000
108,990
4.13%, 1/15/2026
45,000
44,527
3.25%, 10/15/2026
529,000
513,006
Welltower OP LLC 2.75%, 1/15/2032
904,000
786,602
4,719,707
Hotels, Restaurants & Leisure — 0.2%
Expedia Group, Inc. 3.25%, 2/15/2030
1,255,000
1,171,496
Industrial REITs — 0.1%
Prologis LP 4.75%, 6/15/2033
707,000
706,817
Insurance — 0.8%
Aon North America, Inc. 5.45%, 3/1/2034
800,000
827,854
Athene Global Funding 2.72%, 1/7/2029(b)
1,054,000
965,838
CNO Global Funding
1.75%, 10/7/2026(b)
681,000
637,773
2.65%, 1/6/2029(b)
200,000
181,735
F&G Global Funding 2.30%, 4/11/2027(b)
1,004,000
931,677
Five Corners Funding Trust II 2.85%,
5/15/2030(b)
400,000
365,076
Guardian Life Global Funding 0.88%,
12/10/2025(b)
512,000
489,036
Manulife Financial Corp. (Canada) 4.15%,
3/4/2026
389,000
387,039
Principal Financial Group, Inc.
3.10%, 11/15/2026
20,000
19,359
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Insurance — continued
3.70%, 5/15/2029
30,000
28,976
Prudential Insurance Co. of America (The)
8.30%, 7/1/2025(b)
650,000
663,669
5,498,032
Interactive Media & Services — 0.1%
Meta Platforms, Inc. 4.55%, 8/15/2031
500,000
505,674
Leisure Products — 0.1%
Hasbro, Inc. 3.90%, 11/19/2029
592,000
565,932
Media — 0.6%
Charter Communications Operating LLC 4.91%,
7/23/2025
372,000
370,773
Comcast Corp. 4.15%, 10/15/2028
1,444,000
1,433,505
Discovery Communications LLC 3.95%,
3/20/2028
1,452,000
1,374,419
Paramount Global 2.90%, 1/15/2027
246,000
233,205
Time Warner Cable Enterprises LLC 8.38%,
7/15/2033
346,000
393,982
3,805,884
Metals & Mining — 0.2%
Glencore Funding LLC (Australia)
2.50%, 9/1/2030(b)
260,000
228,434
2.85%, 4/27/2031(b)
650,000
569,044
Steel Dynamics, Inc.
1.65%, 10/15/2027
324,000
296,837
5.38%, 8/15/2034
100,000
101,420
1,195,735
Multi-Utilities — 0.4%
Ameren Corp. 5.00%, 1/15/2029
650,000
659,305
CenterPoint Energy, Inc. 1.45%, 6/1/2026
288,000
271,861
CMS Energy Corp. 2.95%, 2/15/2027
170,000
162,944
Consolidated Edison Co. of New York, Inc.
3.80%, 5/15/2028
10,000
9,814
Consumers Energy Co. 4.63%, 5/15/2033
300,000
298,067
NiSource, Inc. 5.25%, 3/30/2028
366,000
374,166
PG&E Energy Recovery Funding LLC Series A-2,
2.28%, 1/15/2036
225,000
182,307
Public Service Enterprise Group, Inc. 1.60%,
8/15/2030
300,000
252,788
Puget Energy, Inc. 2.38%, 6/15/2028
234,000
213,818
2,425,070
Office REITs — 0.2%
COPT Defense Properties LP 2.00%,
1/15/2029
457,000
401,931
Kilroy Realty LP 2.65%, 11/15/2033
1,092,000
836,137
1,238,068
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
5
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Corporate Bonds — continued
Oil, Gas & Consumable Fuels — 1.6%
Aker BP ASA (Norway) 2.00%, 7/15/2026(b)
222,000
211,077
APA Infrastructure Ltd. (Australia) 4.25%,
7/15/2027(b)
624,000
621,344
BP Capital Markets America, Inc. 2.72%,
1/12/2032
100,000
88,038
Cameron LNG LLC 2.90%, 7/15/2031(b)
146,000
129,256
Columbia Pipelines Holding Co. LLC 5.68%,
1/15/2034(b)
84,000
85,708
Coterra Energy, Inc. 3.90%, 5/15/2027
724,000
709,636
Ecopetrol SA (Colombia) 5.38%, 6/26/2026
663,000
661,137
Enbridge, Inc. (Canada) 5.70%, 3/8/2033
799,000
833,116
Energy Transfer LP
5.95%, 12/1/2025
446,000
450,643
5.25%, 7/1/2029
162,000
165,811
Enterprise Products Operating LLC 3.95%,
2/15/2027
392,000
388,858
Flex Intermediate Holdco LLC 3.36%,
6/30/2031(b)
1,816,000
1,563,040
Gray Oak Pipeline LLC
2.60%, 10/15/2025(b)
312,000
302,746
3.45%, 10/15/2027(b)
637,000
610,915
HF Sinclair Corp. 5.88%, 4/1/2026
600,000
606,261
MPLX LP
4.13%, 3/1/2027
458,000
452,960
4.25%, 12/1/2027
118,000
116,580
2.65%, 8/15/2030
300,000
268,128
5.00%, 3/1/2033
350,000
346,351
NGPL PipeCo LLC 3.25%, 7/15/2031(b)
471,000
412,586
Occidental Petroleum Corp. 5.38%, 1/1/2032
117,000
118,727
Ovintiv, Inc. 5.38%, 1/1/2026
420,000
421,444
Plains All American Pipeline LP 3.55%,
12/15/2029
300,000
282,392
Sabine Pass Liquefaction LLC 4.50%,
5/15/2030
550,000
544,252
Suncor Energy, Inc. (Canada) 5.95%,
12/1/2034
216,000
228,663
Targa Resources Partners LP 4.00%,
1/15/2032
253,000
234,745
10,854,414
Passenger Airlines — 0.0% ^
Continental Airlines Pass-Through Trust Series
2012-2, Class A Shares, 4.00%,
10/29/2024
97,006
96,690
Pharmaceuticals — 0.2%
Bristol-Myers Squibb Co.
3.40%, 7/26/2029
30,000
28,828
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Pharmaceuticals — continued
5.20%, 2/22/2034
787,000
816,319
Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%,
3/31/2030
600,000
526,796
1,371,943
Real Estate Management & Development — 0.1%
Mitsui Fudosan Co. Ltd. (Japan) 3.65%,
7/20/2027(b)
519,000
506,531
Ontario Teachers' Cadillac Fairview Properties
Trust (Canada) 3.88%, 3/20/2027(b)
325,000
320,020
826,551
Residential REITs — 0.4%
Essex Portfolio LP 1.65%, 1/15/2031
679,000
559,745
Mid-America Apartments LP 1.70%,
2/15/2031
487,000
406,710
UDR, Inc.
3.50%, 1/15/2028
100,000
96,469
3.20%, 1/15/2030
260,000
241,459
2.10%, 8/1/2032
266,000
216,096
2.10%, 6/15/2033
1,150,000
906,328
2,426,807
Retail REITs — 0.5%
Brixmor Operating Partnership LP
3.85%, 2/1/2025
375,000
372,240
2.25%, 4/1/2028
186,000
170,322
2.50%, 8/16/2031
440,000
375,158
NNN REIT, Inc.
3.60%, 12/15/2026
247,000
241,972
4.30%, 10/15/2028
870,000
858,638
Realty Income Corp. 4.13%, 10/15/2026
200,000
198,326
Regency Centers LP
2.95%, 9/15/2029
300,000
277,860
3.70%, 6/15/2030
350,000
333,421
Scentre Group Trust 1 (Australia) 3.50%,
2/12/2025(b)
350,000
346,697
3,174,634
Semiconductors & Semiconductor Equipment — 0.5%
Broadcom, Inc.
4.11%, 9/15/2028
792,000
782,348
5.05%, 7/12/2029
304,000
309,930
5.15%, 11/15/2031
108,000
110,329
3.14%, 11/15/2035(b)
200,000
167,198
Foundry JV Holdco LLC
6.15%, 1/25/2032(b)
412,000
424,219
6.25%, 1/25/2035(b)
235,000
241,174
KLA Corp.
4.65%, 7/15/2032
62,000
62,612
4.70%, 2/1/2034
112,000
112,633
SEE NOTES TO FINANCIAL STATEMENTS.
6
J.P. Morgan Exchange-Traded Funds
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Corporate Bonds — continued
Semiconductors & Semiconductor Equipment — continued
Marvell Technology, Inc. 2.95%, 4/15/2031
422,000
377,044
NXP BV (China) 2.50%, 5/11/2031
1,058,000
911,382
3,498,869
Software — 0.2%
Oracle Corp.
2.65%, 7/15/2026
60,000
57,934
4.50%, 5/6/2028
295,000
296,477
2.88%, 3/25/2031
502,000
449,209
6.50%, 4/15/2038
50,000
55,729
Roper Technologies, Inc. 1.40%, 9/15/2027
200,000
183,062
Workday, Inc. 3.50%, 4/1/2027
300,000
293,425
1,335,836
Specialized REITs — 0.6%
American Tower Corp. 1.45%, 9/15/2026
1,678,000
1,573,804
Crown Castle, Inc. 4.45%, 2/15/2026
578,000
575,173
Equinix, Inc. 2.90%, 11/18/2026
605,000
584,405
Extra Space Storage LP
2.20%, 10/15/2030
1,010,000
872,381
2.35%, 3/15/2032
467,000
387,315
3,993,078
Specialty Retail — 0.1%
AutoZone, Inc. 1.65%, 1/15/2031
565,000
471,570
O'Reilly Automotive, Inc.
5.75%, 11/20/2026
195,000
199,742
3.60%, 9/1/2027
203,000
198,280
1.75%, 3/15/2031
200,000
166,840
1,036,432
Tobacco — 0.2%
Altria Group, Inc. 2.45%, 2/4/2032
832,000
699,962
BAT Capital Corp. (United Kingdom) 2.26%,
3/25/2028
816,000
751,811
1,451,773
Trading Companies & Distributors — 0.2%
Air Lease Corp. 3.63%, 4/1/2027
757,000
733,829
Aviation Capital Group LLC 5.50%,
12/15/2024(b)
422,000
421,262
1,155,091
Wireless Telecommunication Services — 0.3%
Rogers Communications, Inc. (Canada) 3.80%,
3/15/2032
774,000
713,242
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Wireless Telecommunication Services — continued
T-Mobile USA, Inc.
4.95%, 3/15/2028
440,000
446,648
3.88%, 4/15/2030
1,184,000
1,139,122
2,299,012
Total Corporate Bonds
(Cost $183,692,228)
179,438,651
Mortgage-Backed Securities — 17.7%
FHLMC Gold Pools, 20 Year
Pool # C91030, 5.50%, 5/1/2027
12,748
12,844
Pool # C91802, 3.50%, 1/1/2035
1,740,587
1,690,776
FHLMC Gold Pools, 30 Year
Pool # A15232, 5.00%, 10/1/2033
85,130
86,851
Pool # A57681, 6.00%, 12/1/2036
542
569
Pool # G06493, 4.50%, 5/1/2041
357,341
358,068
FHLMC Gold Pools, Other
Pool # WN1157, 1.80%, 11/1/2028
1,000,000
908,484
Pool # U90690, 3.50%, 6/1/2042
361,777
340,553
FHLMC UMBS, 30 Year
Pool # ZM6956, 4.50%, 6/1/2048
723,755
716,515
Pool # QA3677, 2.50%, 10/1/2049
506,435
437,909
Pool # QA9530, 2.50%, 5/1/2050
611,319
530,980
Pool # QB0130, 2.50%, 6/1/2050
801,774
692,613
Pool # RA5276, 2.50%, 5/1/2051
3,707,896
3,205,834
Pool # QC3244, 3.00%, 6/1/2051
2,366,475
2,119,954
Pool # QC7410, 2.50%, 9/1/2051
1,458,272
1,258,516
Pool # RA5906, 2.50%, 9/1/2051
1,309,207
1,132,182
Pool # QD7596, 2.50%, 2/1/2052
2,639,269
2,279,792
Pool # RA6702, 3.00%, 2/1/2052
3,366,641
2,986,145
Pool # SD3952, 2.50%, 3/1/2052
3,605,132
3,120,546
Pool # RA7937, 5.00%, 9/1/2052
3,427,447
3,409,641
Pool # SD3518, 5.50%, 7/1/2053
1,865,240
1,878,021
FNMA UMBS, 20 Year
Pool # MA1138, 3.50%, 8/1/2032
276,256
269,018
Pool # AP9584, 3.00%, 10/1/2032
1,253,884
1,206,478
FNMA UMBS, 30 Year
Pool # AL0045, 6.00%, 12/1/2032
113,987
118,328
Pool # 735503, 6.00%, 4/1/2035
32,217
33,700
Pool # 888460, 6.50%, 10/1/2036
212,283
224,971
Pool # 888890, 6.50%, 10/1/2037
4,653
4,902
Pool # 949320, 7.00%, 10/1/2037
19,026
19,743
Pool # 995149, 6.50%, 10/1/2038
10,844
11,295
Pool # 994410, 7.00%, 11/1/2038
117,588
122,876
Pool # AD9151, 5.00%, 8/1/2040
184,995
189,464
Pool # AE0681, 4.50%, 12/1/2040
434,453
434,846
Pool # BM3500, 4.00%, 9/1/2047
700,301
683,429
Pool # BM3499, 4.00%, 12/1/2047
907,874
870,223
Pool # BE8354, 4.00%, 3/1/2048
410,989
394,067
Pool # BK2113, 2.50%, 3/1/2050
571,372
495,532
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
7
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Mortgage-Backed Securities — continued
Pool # CA5658, 2.50%, 5/1/2050
184,884
159,715
Pool # CA6417, 3.00%, 7/1/2050
1,458,113
1,313,807
Pool # BK2829, 2.50%, 8/1/2050
225,140
194,491
Pool # CA6989, 2.50%, 9/1/2050
2,051,140
1,785,689
Pool # BP7667, 2.50%, 12/1/2050
929,181
809,387
Pool # FS5384, 2.50%, 6/1/2051
1,839,480
1,592,044
Pool # FM7957, 2.50%, 7/1/2051
3,036,058
2,634,291
Pool # FS6514, 2.50%, 9/1/2051
1,119,480
971,217
Pool # CB1878, 3.00%, 10/1/2051
2,518,801
2,252,110
Pool # FM9776, 3.00%, 11/1/2051
2,219,209
1,981,823
Pool # CB2637, 2.50%, 1/1/2052
2,201,052
1,894,976
Pool # CB2670, 3.00%, 1/1/2052
2,099,197
1,865,199
Pool # FS5986, 2.50%, 2/1/2052
1,621,348
1,404,945
Pool # FS7749, 3.00%, 2/1/2052
1,074,974
966,907
Pool # FS0882, 2.50%, 3/1/2052
824,433
716,653
Pool # CB3265, 3.00%, 4/1/2052
3,333,168
2,971,264
Pool # CB3378, 4.00%, 4/1/2052
1,906,917
1,811,759
Pool # FS6323, 3.50%, 5/1/2052
2,655,673
2,459,444
Pool # CB3629, 4.00%, 5/1/2052
4,385,907
4,167,285
Pool # DA4015, 6.00%, 10/1/2053
598,314
610,930
Pool # DB3630, 5.50%, 6/1/2054
2,975,914
3,001,507
FNMA, Other
Pool # AN1247, 2.64%, 6/1/2026
1,576,000
1,525,186
Pool # AN6732, 2.83%, 5/1/2027
1,161,372
1,120,824
Pool # AN7338, 3.06%, 11/1/2027
935,822
905,369
Pool # AN7943, 3.10%, 1/1/2028
2,343,645
2,264,190
Pool # AN1161, 3.05%, 4/1/2028
923,222
886,318
Pool # BS8224, 4.10%, 5/1/2028
3,775,000
3,767,527
Pool # AN9486, 3.57%, 6/1/2028
3,651,949
3,553,691
Pool # AN2069, 2.35%, 8/1/2028
1,358,831
1,271,029
Pool # BL0907, 3.88%, 12/1/2028
700,000
687,447
Pool # BM4162, 3.12%, 10/1/2029(f)
125,379
120,335
Pool # BL4333, 2.52%, 11/1/2029
1,118,407
1,036,187
Pool # BS8252, 4.36%, 4/1/2030
3,495,000
3,520,620
Pool # BM7037, 1.75%, 3/1/2032(f)
998,797
845,256
Pool # BS5117, 2.58%, 3/1/2032
2,393,690
2,137,487
Pool # BS8503, 4.62%, 5/1/2033
1,000,000
1,017,424
Pool # BS2933, 1.82%, 9/1/2033
3,400,000
2,760,590
Pool # MA1125, 4.00%, 7/1/2042
476,286
462,442
Pool # MA1437, 3.50%, 5/1/2043
670,821
630,719
Pool # MA1463, 3.50%, 6/1/2043
645,658
607,058
Pool # BF0669, 4.00%, 6/1/2052
1,953,878
1,867,456
Pool # BF0230, 5.50%, 1/1/2058
2,962,215
3,074,356
Pool # BM7238, 3.00%, 4/1/2059
2,210,646
1,938,554
Pool # BM6734, 4.00%, 8/1/2059
3,411,331
3,253,131
Pool # BF0497, 3.00%, 7/1/2060
1,655,458
1,434,961
Pool # BF0546, 2.50%, 7/1/2061
799,182
664,498
Pool # BF0617, 2.50%, 3/1/2062
2,011,954
1,653,550
FNMA/FHLMC UMBS, Single Family, 30 Year
TBA, 5.50%, 9/25/2054(g)
1,970,000
1,983,377
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
TBA, 6.00%, 9/25/2054(g)
4,410,000
4,490,951
GNMA II, 30 Year
Pool # 4245, 6.00%, 9/20/2038
56,262
60,384
Pool # BA7567, 4.50%, 5/20/2048
627,980
613,354
Pool # BI0416, 4.50%, 11/20/2048
72,665
71,663
Pool # BM9692, 4.50%, 7/20/2049
250,835
246,332
Total Mortgage-Backed Securities
(Cost $120,180,381)
118,283,374
Asset-Backed Securities — 10.2%
Air Canada Pass-Through Trust (Canada)
Series 2013-1, Class A, 4.13%,
5/15/2025(b)
251,102
247,607
Series 2017-1, Class AA, 3.30%,
1/15/2030(b)
342,243
317,067
Aligned Data Centers Issuer LLC Series
2021-1A, Class A2, 1.94%, 8/15/2046(b)
1,966,000
1,846,844
American Airlines Pass-Through Trust
Series 2016-3, Class AA, 3.00%,
10/15/2028
71,234
66,461
Series 2021-1, Class B, 3.95%, 7/11/2030
912,660
838,865
American Credit Acceptance Receivables Trust
Series 2023-2, Class A, 5.89%,
10/13/2026(b)
20,916
20,918
Series 2023-1, Class C, 5.59%,
4/12/2029(b)
799,000
800,317
AmeriCredit Automobile Receivables Trust
Series 2021-2, Class B, 0.69%, 1/19/2027
410,354
406,037
Series 2024-1, Class B, 5.38%, 6/18/2029
1,020,000
1,039,595
AMSR Trust
Series 2020-SFR4, Class A, 1.36%,
11/17/2037(b)
1,811,572
1,738,353
Series 2020-SFR5, Class A, 1.38%,
11/17/2037(b)
346,704
332,668
Amur Equipment Finance Receivables LLC Series
2022-1A, Class A2, 1.64%, 10/20/2027(b)
383,786
378,393
Avis Budget Rental Car Funding AESOP LLC
Series 2020-1A, Class A, 2.33%,
8/20/2026(b)
710,000
694,645
Series 2024-2A, Class A, 5.13%,
10/20/2028(b)
467,000
472,533
Business Jet Securities LLC Series 2022-1A,
Class A, 4.46%, 6/15/2037(b)
768,540
752,531
CarMax Auto Owner Trust
Series 2021-1, Class A3, 0.34%,
12/15/2025
43,649
43,555
Series 2023-4, Class A3, 6.00%, 7/17/2028
241,000
246,285
Carvana Auto Receivables Trust
Series 2021-P3, Class A3, 0.70%,
11/10/2026
421,421
414,332
Series 2023-N1, Class A, 6.36%,
4/12/2027(b)
287,331
288,027
SEE NOTES TO FINANCIAL STATEMENTS.
8
J.P. Morgan Exchange-Traded Funds
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Asset-Backed Securities — continued
Series 2022-P3, Class A3, 4.61%,
11/10/2027
209,038
208,218
Series 2021-P4, Class A4, 1.64%,
12/10/2027
2,700,000
2,576,264
CoreVest American Finance Trust
Series 2019-3, Class A, 2.71%,
10/15/2052(b)
82,516
81,334
Series 2022-1, Class A, 4.74%,
6/17/2055(b) (f)
458,811
458,453
CPS Auto Receivables Trust
Series 2023-A, Class C, 5.54%,
4/16/2029(b)
651,000
652,383
Series 2022-C, Class B, 4.88%,
4/15/2030(b)
1,279,523
1,278,063
Credit Acceptance Auto Loan Trust
Series 2023-1A, Class B, 7.02%,
5/16/2033(b)
2,100,000
2,159,930
Series 2024-1A, Class A, 5.68%,
3/15/2034(b)
797,000
809,072
Series 2024-2A, Class A, 5.95%,
6/15/2034(b)
1,000,000
1,021,326
DT Auto Owner Trust
Series 2021-3A, Class C, 0.87%,
5/17/2027(b)
284,670
283,194
Series 2021-4A, Class D, 1.99%,
9/15/2027(b)
760,000
725,918
Series 2023-1A, Class C, 5.55%,
10/16/2028(b)
1,798,000
1,802,089
Series 2023-2A, Class B, 5.41%,
2/15/2029(b)
756,000
755,587
Exeter Automobile Receivables Trust
Series 2022-5A, Class B, 5.97%, 3/15/2027
779,965
780,139
Series 2023-5A, Class A3, 6.32%,
3/15/2027
471,000
472,670
Series 2022-4A, Class C, 4.92%,
12/15/2028
1,076,000
1,072,877
Series 2023-1A, Class D, 6.69%, 6/15/2029
243,000
248,376
Series 2024-3A, Class C, 5.70%, 7/16/2029
284,000
288,919
FHF Trust Series 2023-1A, Class A2, 6.57%,
6/15/2028(b)
375,458
379,781
FirstKey Homes Trust
Series 2020-SFR2, Class A, 1.27%,
10/19/2037(b)
997,974
960,211
Series 2021-SFR1, Class E1, 2.39%,
8/17/2038(b)
600,000
562,802
Series 2021-SFR2, Class D, 2.06%,
9/17/2038(b)
2,900,000
2,725,457
Flagship Credit Auto Trust
Series 2021-4, Class A, 0.81%,
7/17/2026(b)
22,382
22,339
Series 2022-1, Class A, 1.79%,
10/15/2026(b)
204,768
203,728
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Series 2023-1, Class A2, 5.38%,
12/15/2026(b)
46,512
46,485
Series 2023-2, Class A2, 5.76%,
4/15/2027(b)
531,758
532,061
Series 2023-1, Class C, 5.43%,
5/15/2029(b)
1,800,000
1,811,863
FRTKL Series 2021-SFR1, Class A, 1.57%,
9/17/2038(b)
2,118,000
1,976,017
GLS Auto Receivables Issuer Trust Series
2021-3A, Class C, 1.11%, 9/15/2026(b)
268,306
265,891
GM Financial Automobile Leasing Trust Series
2024-2, Class A3, 5.39%, 7/20/2027
480,000
486,970
HERO Funding (Cayman Islands) Series
2017-3A, Class A2, 3.95%, 9/20/2048‡
(b)
107,946
99,345
Hertz Vehicle Financing LLC Series 2022-1A,
Class A, 1.99%, 6/25/2026(b)
922,000
903,657
Home Partners of America Trust Series 2022-1,
Class D, 4.73%, 4/17/2039(b)
1,151,623
1,123,060
Kubota Credit Owner Trust Series 2023-1A,
Class A3, 5.02%, 6/15/2027(b)
1,063,000
1,066,843
Lendmark Funding Trust Series 2022-1A,
Class A, 5.12%, 7/20/2032(b)
177,000
176,742
LP LMS Asset Securitization Trust Series
2023-1A, Class A, 8.18%, 10/17/2033(b)
213,483
213,971
MVW LLC
Series 2021-2A, Class A, 1.43%,
5/20/2039(b)
481,748
451,727
Series 2021-1WA, Class A, 1.14%,
1/22/2041(b)
91,642
86,658
Series 2024-1A, Class A, 5.32%,
2/20/2043(b)
771,771
784,418
OneMain Direct Auto Receivables Trust Series
2023-1A, Class A, 5.41%, 11/14/2029(b)
2,334,000
2,364,228
PRET LLC Series 2021-NPL6, Class A1, 2.49%,
7/25/2051(b) (e)
348,580
348,785
Progress Residential Trust
Series 2021-SFR2, Class E1, 2.55%,
4/19/2038(b)
350,000
331,997
Series 2021-SFR8, Class E1, 2.38%,
10/17/2038(b)
1,144,000
1,073,538
Series 2021-SFR11, Class A, 2.28%,
1/17/2039(b)
1,987,646
1,808,853
Series 2023-SFR1, Class A, 4.30%,
3/17/2040(b)
1,252,224
1,228,635
Series 2021-SFR9, Class E1, 2.81%,
11/17/2040(b)
1,048,000
952,596
PRPM LLC Series 2021-10, Class A1, 2.49%,
10/25/2026(b) (e)
511,411
509,709
Santander Drive Auto Receivables Trust
Series 2022-5, Class B, 4.43%, 3/15/2027
532,230
530,511
Series 2023-1, Class B, 4.98%, 2/15/2028
440,000
439,368
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
9
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Asset-Backed Securities — continued
Series 2024-4, Class B, 4.93%, 9/17/2029
583,000
583,989
Series 2023-5, Class B, 6.16%, 12/17/2029
740,000
758,428
Series 2024-2, Class C, 5.84%, 6/17/2030
298,000
306,284
Series 2024-3, Class C, 5.64%, 8/15/2030
1,108,000
1,132,378
SCF Equipment Leasing LLC
Series 2022-2A, Class A3, 6.50%,
10/21/2030(b)
1,780,000
1,801,028
Series 2024-1A, Class A3, 5.52%,
1/20/2032(b)
263,000
269,251
Sierra Timeshare Receivables Funding LLC
Series 2022-2A, Class A, 4.73%,
6/20/2040(b)
55,475
55,269
Spirit Airlines Pass-Through Trust Series
2017-1, Class AA, 3.38%, 2/15/2030
99,241
88,320
SpringCastle America Funding LLC Series
2020-AA, Class A, 1.97%, 9/25/2037(b)
147,862
136,056
Tesla Auto Lease Trust Series 2024-A, Class A3,
5.30%, 6/21/2027(b)
313,000
315,188
Toyota Auto Receivables Owner Trust Series
2021-C, Class A4, 0.72%, 1/15/2027
800,000
770,658
United Airlines Pass-Through Trust
Series 2016-1, Class AA, 3.10%, 7/7/2028
670,369
629,309
Series 2016-2, Class AA, 2.88%, 10/7/2028
708,427
657,263
Series 2018-1, Class AA, 3.50%, 3/1/2030
448,709
418,184
Series 2018-1, Class A, 3.70%, 3/1/2030
750,452
684,801
US Auto Funding Trust Series 2022-1A, Class A,
3.98%, 4/15/2025(b)
105,660
104,238
Volkswagen Auto Lease Trust Series 2024-A,
Class A3, 5.21%, 6/21/2027
465,000
471,109
VOLT C LLC Series 2021-NPL9, Class A1,
4.99%, 5/25/2051(b) (e)
269,639
269,471
VOLT CI LLC Series 2021-NP10, Class A1,
4.99%, 5/25/2051(b) (e)
485,211
485,711
VOLT CV LLC Series 2021-CF2, Class A1,
2.49%, 11/27/2051(b) (e)
608,376
596,597
VOLT XCIII LLC Series 2021-NPL2, Class A1,
4.89%, 2/27/2051(b) (e)
353,055
353,378
VOLT XCIV LLC Series 2021-NPL3, Class A1,
5.24%, 2/27/2051(b) (e)
512,532
512,323
VOLT XCIX LLC Series 2021-NPL8, Class A1,
5.12%, 4/25/2051(b) (e)
317,389
319,317
VOLT XCVI LLC Series 2021-NPL5, Class A1,
5.12%, 3/27/2051(b) (e)
481,230
481,878
VOLT XCVII LLC Series 2021-NPL6, Class A1,
5.24%, 4/25/2051(b) (e)
692,610
700,807
Westgate Resorts LLC
Series 2022-1A, Class A, 1.79%,
8/20/2036(b)
475,072
459,891
Series 2024-1A, Class B, 6.56%,
1/20/2038(b)
899,364
907,858
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Westlake Automobile Receivables Trust
Series 2022-3A, Class A3, 5.49%,
7/15/2026(b)
1,046,617
1,046,412
Series 2021-3A, Class D, 2.12%,
1/15/2027(b)
806,000
786,003
Series 2023-1A, Class A3, 5.21%,
1/18/2028(b)
450,000
449,559
Series 2023-1A, Class C, 5.74%,
8/15/2028(b)
180,000
181,317
World Omni Auto Receivables Trust
Series 2021-A, Class A3, 0.30%, 1/15/2026
71,465
71,195
Series 2021-C, Class A3, 0.44%, 8/17/2026
196,934
193,892
Series 2023-D, Class A3, 5.79%, 2/15/2029
275,000
281,377
Total Asset-Backed Securities
(Cost $69,326,193)
68,366,830
Collateralized Mortgage Obligations — 6.0%
CHL Mortgage Pass-Through Trust Series
2004-8, Class 2A1, 4.50%, 6/25/2019‡
414
207
Citigroup Mortgage Loan Trust Series
2004-HYB4, Class WA, 6.25%,
12/25/2034(f)
5,990
5,852
Citigroup Mortgage Loan Trust, Inc. Series
2003-1, Class 3A4, 5.25%, 9/25/2033
3,589
3,479
CSMC Trust Series 2022-JR1, Class A1, 4.27%,
10/25/2066(b) (e)
531,617
530,788
FHLMC Seasoned Credit Risk Transfer Trust
Series 2018-1, Class M60C, 3.50%,
5/25/2057
1,264,372
1,160,159
Series 2017-4, Class M60C, 3.50%,
6/25/2057
1,272,373
1,165,183
Series 2017-4, Class MT, 3.50%, 6/25/2057
328,011
299,921
Series 2018-2, Class M55D, 4.00%,
11/25/2057
1,317,989
1,233,503
Series 2019-3, Class M55D, 4.00%,
10/25/2058
296,108
276,702
Series 2020-1, Class M55G, 3.00%,
8/25/2059
3,047,809
2,771,754
FHLMC, REMIC
Series 3571, Class MY, 4.00%, 9/15/2024
21
21
Series 3577, Class B, 4.00%, 9/15/2024
1,596
1,592
Series 3578, Class KB, 4.00%, 9/15/2024
216
215
Series 2989, Class TG, 5.00%, 6/15/2025
8,772
8,736
Series 2988, Class TY, 5.50%, 6/15/2025
985
982
Series 3816, Class HA, 3.50%, 11/15/2025
176,941
175,046
Series 3087, Class KX, 5.50%, 12/15/2025
4,016
4,001
Series 3787, Class AY, 3.50%, 1/15/2026
75,539
74,638
Series 3794, Class LB, 3.50%, 1/15/2026
52,121
51,467
Series 3102, Class CE, 5.50%, 1/15/2026
29,243
29,132
Series 3123, Class HT, 5.00%, 3/15/2026
5,552
5,525
Series 3121, Class JD, 5.50%, 3/15/2026
2,604
2,595
SEE NOTES TO FINANCIAL STATEMENTS.
10
J.P. Morgan Exchange-Traded Funds
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Collateralized Mortgage Obligations — continued
Series 3150, Class EQ, 5.00%, 5/15/2026
13,462
13,393
Series 3898, Class KH, 3.50%, 6/15/2026
87,290
86,067
Series 3885, Class AC, 4.00%, 6/15/2026
4,861
4,840
Series 3911, Class B, 3.50%, 8/15/2026
108,532
107,028
Series 3959, Class PB, 3.00%, 11/15/2026
709,806
697,071
Series 3337, Class MD, 5.50%, 6/15/2027
9,518
9,531
Series 2110, Class PG, 6.00%, 1/15/2029
26,972
27,313
Series 3563, Class LB, 4.00%, 8/15/2029
4,309
4,258
Series 3653, Class B, 4.50%, 4/15/2030
44,053
44,131
Series 3824, Class EY, 3.50%, 3/15/2031
120,113
117,945
Series 2525, Class AM, 4.50%, 4/15/2032
262,981
262,942
Series 2441, Class GF, 6.50%, 4/15/2032
8,786
9,198
Series 2436, Class MC, 7.00%, 4/15/2032
3,957
4,045
Series 2760, Class KT, 4.50%, 9/15/2032
31,690
31,671
Series 2505, Class D, 5.50%, 9/15/2032
36,663
37,783
Series 2544, Class KE, 5.50%, 12/15/2032
24,768
25,609
Series 2557, Class HL, 5.30%, 1/15/2033
62,203
62,605
Series 2575, Class PE, 5.50%, 2/15/2033
19,626
20,328
Series 2586, Class WG, 4.00%, 3/15/2033
75,456
74,369
Series 2596, Class QD, 4.00%, 3/15/2033
68,328
66,301
Series 2621, Class QH, 5.00%, 5/15/2033
79,066
80,674
Series 2624, Class QH, 5.00%, 6/15/2033
95,522
97,484
Series 2648, Class BK, 5.00%, 7/15/2033
8,274
8,451
Series 4238, Class UY, 3.00%, 8/15/2033
1,882,016
1,809,885
Series 2673, Class PE, 5.50%, 9/15/2033
149,977
155,481
Series 2696, Class DG, 5.50%, 10/15/2033
141,318
146,571
Series 2725, Class TA, 4.50%, 12/15/2033
260,625
261,286
Series 2733, Class ME, 5.00%, 1/15/2034
129,997
132,781
Series 2768, Class PK, 5.00%, 3/15/2034
142,086
145,520
Series 2934, Class KG, 5.00%, 2/15/2035
103,180
105,629
Series 3077, Class TO, PO, 4/15/2035
856
848
Series 2960, Class JH, 5.50%, 4/15/2035
287,769
297,932
Series 3082, Class PW, 5.50%, 12/15/2035
21,290
22,238
Series 3084, Class BH, 5.50%, 12/15/2035
445,039
465,457
Series 3098, Class KG, 5.50%, 1/15/2036
469,145
490,916
Series 3136, Class CO, PO, 4/15/2036
7,113
6,184
Series 3145, Class AJ, 5.50%, 4/15/2036
17,831
18,675
Series 3819, Class ZQ, 6.00%, 4/15/2036
310,507
328,421
Series 3200, PO, 8/15/2036
35,927
30,506
Series 3270, Class AT, 5.50%, 1/15/2037
11,574
12,089
Series 3272, Class PA, 6.00%, 2/15/2037
3,244
3,448
Series 3348, Class HT, 6.00%, 7/15/2037
29,840
31,575
Series 3501, Class A, 4.50%, 1/15/2039
85,393
83,694
Series 3508, Class PK, 4.00%, 2/15/2039
1,610
1,548
Series 3513, Class A, 4.50%, 2/15/2039
7,237
7,179
Series 3653, Class HJ, 5.00%, 4/15/2040
318,346
326,710
Series 3677, Class KB, 4.50%, 5/15/2040
597,931
600,162
Series 3677, Class PB, 4.50%, 5/15/2040
286,204
286,547
Series 3715, Class PC, 4.50%, 8/15/2040
100,087
100,395
Series 3955, Class HB, 3.00%, 12/15/2040
40,866
40,107
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Series 3828, Class PU, 4.50%, 3/15/2041
37,569
37,581
Series 3852, Class TP, IF, 5.50%,
5/15/2041(f)
118,968
120,852
Series 3956, Class EB, 3.25%, 11/15/2041
647,208
602,895
Series 3963, Class JB, 4.50%, 11/15/2041
954,637
959,721
Series 4026, Class MQ, 4.00%, 4/15/2042
35,996
35,310
Series 4616, Class HP, 3.00%, 9/15/2046
877,265
794,946
Series 3688, Class GT, 7.53%,
11/15/2046(f)
15,294
16,404
FHLMC, STRIPS Series 262, Class 35, 3.50%,
7/15/2042
388,052
368,358
FNMA, REMIC
Series 2010-49, Class KB, 4.00%,
5/25/2025
5,672
5,628
Series 1997-57, Class PN, 5.00%,
9/18/2027
23,757
23,506
Series 2009-39, Class LB, 4.50%,
6/25/2029
33,936
33,729
Series 2009-96, Class DB, 4.00%,
11/25/2029
35,150
34,888
Series 2010-28, Class DE, 5.00%,
4/25/2030
108,516
109,788
Series 2001-63, Class TC, 6.00%,
12/25/2031
24,539
25,413
Series 2001-81, Class HE, 6.50%,
1/25/2032
62,109
64,896
Series 2002-75, Class GB, 5.50%,
11/25/2032
24,191
23,907
Series 2011-39, Class ZA, 6.00%,
11/25/2032
268,773
279,775
Series 2002-85, Class PE, 5.50%,
12/25/2032
20,919
21,603
Series 2003-21, Class OU, 5.50%,
3/25/2033
16,781
17,365
Series 2003-26, Class EB, 3.50%,
4/25/2033
459,936
449,393
Series 2003-23, Class CH, 5.00%,
4/25/2033
16,828
17,140
Series 2003-63, Class YB, 5.00%,
7/25/2033
57,436
58,282
Series 2003-69, Class N, 5.00%,
7/25/2033
109,255
110,599
Series 2003-80, Class QG, 5.00%,
8/25/2033
137,696
139,728
Series 2003-85, Class QD, 5.50%,
9/25/2033
60,702
62,826
Series 2003-94, Class CE, 5.00%,
10/25/2033
5,661
5,605
Series 2005-5, Class CK, 5.00%, 1/25/2035
73,930
72,888
Series 2005-29, Class WC, 4.75%,
4/25/2035
129,585
127,608
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
11
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Collateralized Mortgage Obligations — continued
Series 2005-48, Class TD, 5.50%,
6/25/2035
148,720
155,106
Series 2005-53, Class MJ, 5.50%,
6/25/2035
144,682
150,667
Series 2005-58, Class EP, 5.50%,
7/25/2035
8,146
8,341
Series 2005-68, Class BE, 5.25%,
8/25/2035
138,908
141,003
Series 2005-68, Class PG, 5.50%,
8/25/2035
52,208
53,557
Series 2005-102, Class PG, 5.00%,
11/25/2035
195,204
199,433
Series 2005-110, Class GL, 5.50%,
12/25/2035
249,920
261,040
Series 2006-49, Class PA, 6.00%,
6/25/2036
27,408
28,794
Series 2009-19, Class PW, 4.50%,
10/25/2036
154,273
154,454
Series 2006-114, Class HE, 5.50%,
12/25/2036
188,722
196,078
Series 2007-33, Class HE, 5.50%,
4/25/2037
14,025
14,707
Series 2007-65, Class KI, IF, IO, 1.16%,
7/25/2037(f)
3,375
362
Series 2007-71, Class KP, 5.50%,
7/25/2037
10,356
10,196
Series 2007-71, Class GB, 6.00%,
7/25/2037
112,425
119,314
Series 2009-86, Class OT, PO, 10/25/2037
19,932
16,803
Series 2008-72, Class BX, 5.50%,
8/25/2038
9,392
9,758
Series 2008-74, Class B, 5.50%, 9/25/2038
4,476
4,656
Series 2009-37, Class KI, IF, IO, 0.54%,
6/25/2039(f)
2,642
169
Series 2009-86, Class IP, IO, 5.50%,
10/25/2039
6,395
1,117
Series 2009-92, Class AD, 6.00%,
11/25/2039
176,481
176,641
Series 2009-112, Class ST, IF, IO, 0.79%,
1/25/2040(f)
45,269
4,569
Series 2010-22, Class PE, 5.00%,
3/25/2040
974,402
998,598
Series 2010-35, Class SB, IF, IO, 0.96%,
4/25/2040(f)
18,514
1,332
Series 2010-37, Class CY, 5.00%,
4/25/2040
578,452
590,809
Series 2010-54, Class EA, 4.50%,
6/25/2040
14,999
14,899
Series 2010-64, Class DM, 5.00%,
6/25/2040
2,142
2,156
Series 2010-71, Class HJ, 5.50%,
7/25/2040
66,193
69,319
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Series 2010-123, Class BP, 4.50%,
11/25/2040
1,425,630
1,427,390
Series 2011-41, Class KL, 4.00%,
5/25/2041
821,330
810,550
Series 2011-50, Class LP, 4.00%,
6/25/2041
331,359
318,078
Series 2012-137, Class CF, 5.76%,
8/25/2041(f)
55,664
55,478
Series 2012-103, Class DA, 3.50%,
10/25/2041
5,719
5,657
Series 2012-14, Class DE, 3.50%,
3/25/2042
537,721
508,226
Series 2012-139, Class JA, 3.50%,
12/25/2042
259,525
246,912
Series 2013-104, Class CY, 5.00%,
10/25/2043
2,250,000
2,203,517
Series 2019-65, Class PA, 2.50%,
5/25/2048
187,054
169,522
Series 2009-96, Class CB, 4.00%,
11/25/2049
13,033
12,212
Series 2019-7, Class CA, 3.50%,
11/25/2057
2,207,390
2,121,612
FNMA, STRIPS Series 314, Class 1, PO,
7/25/2031
18,739
16,399
GNMA
Series 2003-29, Class PD, 5.50%,
4/16/2033
122,959
122,649
Series 2003-65, Class AP, 5.50%,
8/20/2033
40,843
41,094
Series 2003-77, Class TK, 5.00%,
9/16/2033
168,700
168,214
Series 2004-16, Class GC, 5.50%,
2/20/2034
438,846
444,669
Series 2004-54, Class BG, 5.50%,
7/20/2034
9,287
9,455
Series 2004-93, Class PD, 5.00%,
11/16/2034
257,428
255,524
Series 2004-101, Class BE, 5.00%,
11/20/2034
220,771
221,087
Series 2005-11, Class PL, 5.00%,
2/20/2035
106,176
106,670
Series 2005-26, Class XY, 5.50%,
3/20/2035
403,201
411,272
Series 2005-33, Class AY, 5.50%,
4/16/2035
100,501
101,101
Series 2005-49, Class B, 5.50%, 6/20/2035
35,293
36,053
Series 2005-51, Class DC, 5.00%,
7/20/2035
84,244
84,636
Series 2005-56, Class BD, 5.00%,
7/20/2035
12,981
13,117
Series 2006-7, Class ND, 5.50%,
8/20/2035
13,098
13,381
SEE NOTES TO FINANCIAL STATEMENTS.
12
J.P. Morgan Exchange-Traded Funds
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Collateralized Mortgage Obligations — continued
Series 2007-37, Class LB, 5.50%,
6/16/2037
105,572
108,210
Series 2007-79, Class BL, 5.75%,
8/20/2037
77,154
77,645
Series 2009-106, Class ST, IF, IO, 0.55%,
2/20/2038(f)
71,023
2,950
Series 2008-7, Class PQ, 5.00%, 2/20/2038
225,314
223,631
Series 2008-9, Class PW, 5.25%,
2/20/2038
239,646
241,508
Series 2008-23, Class YA, 5.25%,
3/20/2038
55,477
56,021
Series 2008-35, Class NF, 5.00%,
4/20/2038
56,887
56,735
Series 2008-34, Class PG, 5.25%,
4/20/2038
65,809
66,118
Series 2008-33, Class PB, 5.50%,
4/20/2038
191,031
194,093
Series 2008-38, Class BG, 5.00%,
5/16/2038
307,021
308,489
Series 2008-43, Class NB, 5.50%,
5/20/2038
95,997
96,624
Series 2008-56, Class PX, 5.50%,
6/20/2038
187,798
187,097
Series 2008-58, Class PE, 5.50%,
7/16/2038
486,728
497,970
Series 2008-62, Class SA, IF, IO, 0.70%,
7/20/2038(f)
1,394
11
Series 2008-76, Class US, IF, IO, 0.45%,
9/20/2038(f)
41,900
1,393
Series 2011-97, Class WA, 6.09%,
11/20/2038(f)
361,685
374,479
Series 2008-95, Class DS, IF, IO, 1.85%,
12/20/2038(f)
38,918
1,084
Series 2009-14, Class AG, 4.50%,
3/20/2039
67,089
66,241
Series 2009-72, Class SM, IF, IO, 0.80%,
8/16/2039(f)
88,769
6,520
Series 2009-61, Class AP, 4.00%,
8/20/2039
6,709
6,563
Series 2010-130, Class BD, 4.00%,
12/20/2039
221,250
217,384
Series 2010-157, Class OP, PO, 12/20/2040
65,940
56,147
Series 2014-H11, Class VA, 5.95%,
6/20/2064(f)
797,270
795,501
Series 2015-H20, Class FA, 5.92%,
8/20/2065(f)
1,107,244
1,104,986
Series 2015-H26, Class FG, 5.97%,
10/20/2065(f)
741,244
738,474
GSR Mortgage Loan Trust Series 2004-6F, Class
2A4, 5.50%, 5/25/2034
33,984
33,812
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
JPMorgan Mortgage Trust
Series 2006-A2, Class 5A3, 6.26%,
11/25/2033(f)
45,316
44,068
Series 2007-A1, Class 5A5, 5.64%,
7/25/2035(f)
15,702
15,779
MASTR Adjustable Rate Mortgages Trust Series
2004-13, Class 2A1, 6.49%, 4/21/2034(f)
26,355
25,459
Merrill Lynch Mortgage Investors Trust
Series 2003-F, Class A1, 6.03%,
10/25/2028(f)
20,678
19,479
Series 2004-B, Class A1, 5.89%,
5/25/2029(f)
28,711
27,745
Morgan Stanley Mortgage Loan Trust Series
2004-3, Class 4A, 5.65%, 4/25/2034(f)
15,265
14,904
PHH Mortgage Trust Series 2008-CIM2, Class
5A1, 6.00%, 7/25/2038
7,082
7,256
Seasoned Loans Structured Transaction Series
2018-2, Class A1, 3.50%, 11/25/2028
347,231
336,529
Sequoia Mortgage Trust Series 2004-11,
Class A1, 6.05%, 12/20/2034(f)
97,561
87,501
Structured Asset Mortgage Investments II Trust
Series 2003-AR4, Class A1, 6.16%,
1/19/2034(f)
63,113
60,651
Thornburg Mortgage Securities Trust Series
2004-4, Class 3A, 5.61%, 12/25/2044(f)
78,287
74,317
Vendee Mortgage Trust Series 2003-2, Class Z,
5.00%, 5/15/2033
221,422
223,210
WaMu Mortgage Pass-Through Certificates Trust
Series 2003-AR11, Class A6, 5.86%,
10/25/2033(f)
51,194
48,274
Total Collateralized Mortgage Obligations
(Cost $42,542,397)
40,040,164
Commercial Mortgage-Backed Securities — 5.7%
20 Times Square Trust Series 2018-20TS,
Class A, 3.20%, 5/15/2035(b) (f)
622,230
589,230
BB-UBS Trust Series 2012-SHOW, Class A,
3.43%, 11/5/2036(b)
1,400,000
1,382,683
BXP Trust Series 2017-GM, Class A, 3.38%,
6/13/2039(b)
1,500,000
1,429,036
FHLMC, Multi-Family Structured Pass-Through
Certificates
Series KL3L, Class ALNZ, 3.46%,
4/25/2025(f)
2,000,000
1,975,021
Series KLU2, Class A7, 2.23%,
9/25/2025(f)
334,333
325,307
Series K737, Class AM, 2.10%, 10/25/2026
3,110,000
2,967,753
Series K072, Class A2, 3.44%, 12/25/2027
473,000
462,581
Series K083, Class A2, 4.05%,
9/25/2028(f)
594,000
591,398
Series KJ44, Class A2, 4.61%, 2/25/2033
1,900,000
1,900,503
Series K145, Class AM, 2.58%, 6/25/2055
880,000
779,498
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
13
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Commercial Mortgage-Backed Securities — continued
FNMA ACES
Series 2015-M10, Class A2, 3.09%,
4/25/2027(f)
910,433
885,252
Series 2017-M8, Class A2, 3.06%,
5/25/2027(f)
1,143,882
1,109,560
Series 2017-M12, Class A2, 3.16%,
6/25/2027(f)
2,501,201
2,426,977
Series 2017-M13, Class A2, 3.03%,
9/25/2027(f)
318,883
307,474
Series 2018-M2, Class A2, 3.00%,
1/25/2028(f)
3,022,265
2,911,902
Series 2018-M4, Class A2, 3.16%,
3/25/2028(f)
1,731,957
1,668,455
Series 2018-M9, Class APT2, 3.21%,
4/25/2028(f)
2,357,948
2,274,809
Series 2018-M14, Class A2, 3.70%,
8/25/2028(f)
379,637
371,101
Series 2017-M5, Class A2, 3.09%,
4/25/2029(f)
1,998,053
1,906,130
Series 2018-M3, Class A2, 3.17%,
2/25/2030(f)
1,132,633
1,072,561
Series 2020-M50, Class A2, 1.20%,
10/25/2030
365,620
337,847
Series 2020-M50, Class X1, IO, 1.93%,
10/25/2030(f)
5,460,175
290,166
Series 2021-M11, Class A2, 1.51%,
3/25/2031(f)
1,517,000
1,272,059
Series 2022-M1G, Class A2, 1.58%,
9/25/2031(f)
5,000,000
4,218,055
Series 2021-M3, Class 1A1, 1.00%,
11/25/2033
8,971
8,787
Series 2021-M3, Class X1, IO, 2.03%,
11/25/2033(f)
322,175
23,620
FREMF Mortgage Trust Series 2015-K44,
Class B, 3.84%, 1/25/2048(b) (f)
1,500,000
1,484,921
Morgan Stanley Capital I Trust Series
2021-PLZA, Class A, 2.57%, 11/9/2043(b)
1,958,000
1,489,697
MRCD MARK Mortgage Trust Series 2019-PARK,
Class A, 2.72%, 12/15/2036(b)
300,000
259,653
SLG Office Trust Series 2021-OVA, Class A,
2.59%, 7/15/2041(b)
1,770,000
1,505,658
UBS-BAMLL Trust Series 2012-WRM, Class A,
3.66%, 6/10/2030(b)
27,444
25,783
Total Commercial Mortgage-Backed Securities
(Cost $40,143,659)
38,253,477
Foreign Government Securities — 0.2%
Republic of Colombia 7.38%, 9/18/2037
300,000
301,950
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
United Mexican States
4.13%, 1/21/2026
332,000
329,095
2.66%, 5/24/2031
1,200,000
1,019,250
Total Foreign Government Securities
(Cost $1,824,661)
1,650,295
SHARES
Short-Term Investments — 3.4%
Investment Companies — 3.4%
JPMorgan Prime Money Market Fund Class IM
Shares, 5.34%(h) (i)
(Cost $22,658,867)
22,653,530
22,664,857
Total Investments — 100.6%
(Cost $683,950,845)
673,516,053
Liabilities in Excess of Other Assets — (0.6)%
(3,687,339
)
NET ASSETS — 100.0%
669,828,714
Percentages indicated are based on net assets.
Abbreviations
ACES
Alternative Credit Enhancement Securities
CME
Chicago Mercantile Exchange
CSMC
Credit Suisse Mortgage Trust
FHLMC
Federal Home Loan Mortgage Corp.
FNMA
Federal National Mortgage Association
GNMA
Government National Mortgage Association
ICE
Intercontinental Exchange
IF
Inverse Floaters represent securities that pay interest at a rate that
increases (decreases) with a decline (incline) in a specified index
or have an interest rate that adjusts periodically based on changes
in current interest rates and prepayments on the underlying pool
of assets. The interest rate shown is the rate in effect as of August
31, 2024. The rate may be subject to a cap and floor.
IO
Interest Only represents the right to receive the monthly interest
payments on an underlying pool of mortgage loans. The principal
amount shown represents the par value on the underlying pool.
The yields on these securities are subject to accelerated principal
paydowns as a result of prepayment or refinancing of the
underlying pool of mortgage instruments. As a result, interest
income may be reduced considerably.
PO
Principal Only represents the right to receive the principal portion
only on an underlying pool of mortgage loans. The market value of
these securities is extremely volatile in response to changes in
market interest rates. As prepayments on the underlying
mortgages of these securities increase, the yield on these
securities increases.
REIT
Real Estate Investment Trust
REMIC
Real Estate Mortgage Investment Conduit
SOFR
Secured Overnight Financing Rate
SOFRINDX
Compounding index of the Secured Overnight Financing Rate
SEE NOTES TO FINANCIAL STATEMENTS.
14
J.P. Morgan Exchange-Traded Funds
August 31, 2024
STRIPS
Separate Trading of Registered Interest and Principal of Securities.
The STRIPS Program lets investors hold and trade individual
interest and principal components of eligible notes and bonds as
separate securities.
TBA
To Be Announced; Security is subject to delayed delivery.
UMBS
Uniform Mortgage-Backed Securities
USD
United States Dollar
^
Amount rounds to less than 0.1% of net assets.
‡
Value determined using significant unobservable
inputs.
(a)
All or a portion of this security is deposited with the
broker as initial margin for futures contracts or
centrally cleared swaps.
(b)
Securities exempt from registration under Rule 144A
or section 4(a)(2), of the Securities Act of 1933, as
amended.
(c)
Variable or floating rate security, linked to the
referenced benchmark. The interest rate shown is the
current rate as of August 31, 2024.
(d)
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
August 31, 2024 is $1,536,272 or 0.23% of the
Fund’s net assets as of August 31, 2024.
(e)
Step bond. Interest rate is a fixed rate for an initial
period that either resets at a specific date or may
reset in the future contingent upon a predetermined
trigger. The interest rate shown is the current rate as
of August 31, 2024.
(f)
Variable or floating rate security, the interest rate of
which adjusts periodically based on changes in current
interest rates and prepayments on the underlying
pool of assets. The interest rate shown is the current
rate as of August 31, 2024.
(g)
All or a portion of the security is a when-issued
security, delayed delivery security, or forward
commitment.
(h)
Investment in an affiliated fund, which is registered
under the Investment Company Act of 1940, as
amended, and is advised by J.P. Morgan Investment
Management Inc.
(i)
The rate shown is the current yield as of August 31,
2024.
Futures contracts outstanding as of August 31, 2024:
DESCRIPTION
NUMBER OF
CONTRACTS
EXPIRATION DATE
TRADING CURRENCY
NOTIONAL
AMOUNT ($)
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
Long Contracts
U.S. Treasury 10 Year Note
776
12/19/2024
USD
88,051,750
(334,599
)
U.S. Treasury 10 Year Ultra Note
342
12/19/2024
USD
40,099,500
(516,390
)
U.S. Treasury 5 Year Note
753
12/31/2024
USD
82,347,609
(125,842
)
(976,831
)
Short Contracts
U.S. Treasury Long Bond
(52
)
12/19/2024
USD
(6,381,375
)
87,060
U.S. Treasury Ultra Bond
(82
)
12/19/2024
USD
(10,759,938
)
170,843
U.S. Treasury 2 Year Note
(272
)
12/31/2024
USD
(56,450,625
)
(21,421
)
236,482
(740,349
)
Abbreviations
USD
United States Dollar
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
15
JPMorgan Inflation Managed Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
Centrally Cleared Inflation-linked swap contracts outstanding as of August 31, 2024 :
FLOATING RATE INDEX(a)
FIXED RATE
PAY/
RECEIVE
FLOATING
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PAYMENTS
(RECEIPTS)
$
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
VALUE ($)
CPI-U at termination
2.22% at termination
Receive
8/16/2029
USD5,772,000
(14,672
)
37,956
23,284
CPI-U at termination
2.23% at termination
Receive
8/22/2029
USD38,850,000
—
150,479
150,479
CPI-U at termination
2.31% at termination
Receive
8/7/2034
USD62,147,000
(18,650
)
390,899
372,249
CPI-U at termination
2.31% at termination
Receive
8/7/2034
USD24,468,000
27,399
127,692
155,091
(5,923
)
707,026
701,103
CPI-U at termination
1.90% at termination
Receive
8/16/2025
USD13,423,000
—
(1,024
)
(1,024
)
CPI-U at termination
2.00% at termination
Receive
7/19/2025
USD13,327,000
—
(30,801
)
(30,801
)
CPI-U at termination
2.37% at termination
Receive
7/30/2029
USD5,750,000
10,999
(32,863
)
(21,864
)
CPI-U at termination
2.38% at termination
Receive
8/1/2029
USD106,321,000
319,961
(771,293
)
(451,332
)
CPI-U at termination
2.40% at termination
Receive
6/12/2025
USD12,684,000
—
(78,797
)
(78,797
)
CPI-U at termination
2.44% at termination
Receive
7/1/2029
USD11,127,000
23,853
(113,170
)
(89,317
)
CPI-U at termination
2.45% at termination
Receive
8/2/2034
USD26,108,000
—
(162,045
)
(162,045
)
CPI-U at termination
2.46% at termination
Receive
6/12/2027
USD70,714,000
61,276
(687,182
)
(625,906
)
CPI-U at termination
2.48% at termination
Receive
2/2/2034
USD5,213,000
—
(26,875
)
(26,875
)
CPI-U at termination
2.50% at termination
Receive
2/28/2034
USD14,320,000
12,345
(113,341
)
(100,996
)
CPI-U at termination
2.56% at termination
Receive
7/3/2029
USD4,000,000
—
(53,739
)
(53,739
)
CPI-U at termination
2.56% at termination
Receive
4/3/2034
USD3,845,000
4,164
(59,117
)
(54,953
)
CPI-U at termination
2.61% at termination
Receive
6/4/2034
USD3,179,000
—
(71,000
)
(71,000
)
CPI-U at termination
2.62% at termination
Receive
5/2/2034
USD6,169,000
—
(132,420
)
(132,420
)
432,598
(2,333,667
)
(1,901,069
)
426,675
(1,626,641
)
(1,199,966
)
Abbreviations
CPI-U
Consumer Price Index for All Urban Consumers
USD
United States Dollar
(a) Value of floating rate index at August 31, 2024 was as follows:
FLOATING RATE INDEX
VALUE
CPI-U
3.14%
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of August 31, 2024:
REFERENCE
OBLIGATION/INDEX
FINANCING
RATE PAID
BY THE FUND
(%)
PAYMENT
FREQUENCY
MATURITY
DATE
IMPLIED
CREDIT
SPREAD
(%)(a)
NOTIONAL
AMOUNT(b)
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
VALUE
($)
CDX.NA.IG.42-V1
1.00
Quarterly
6/20/2029
0.49
USD8,896,000
(164,891
)
(50,148
)
(215,039
)
CDX.NA.IG.42-V1
1.00
Quarterly
6/20/2029
0.49
USD91,322,000
(1,850,562
)
(356,925
)
(2,207,487
)
(2,015,453
)
(407,073
)
(2,422,526
)
(*)
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.
16
J.P. Morgan Exchange-Traded Funds
August 31, 2024
(a)
Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to
make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which
may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated
to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of
greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying
reference obligations included in a particular index.
(b)
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive,
upon occurrence of a credit event.
(c)
Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between
the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors).
Abbreviations
CDX
Credit Default Swap Index
USD
United States Dollar
Centrally Cleared interest rate swap contracts outstanding as of August 31, 2024:
FLOATING RATE INDEX (a)
FIXED RATE
PAY/
RECEIVE
FLOATING
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PAYMENTS
(RECEIPTS)
($)
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
VALUE ($)
1 day SOFR annually
3.36 annually
Receive
5/15/2034
USD22,000,000
836
38,651
39,487
1 day SOFR annually
3.59 annually
Pay
8/4/2026
USD212,453,000
—
732,512
732,512
836
771,163
771,999
1 day SOFR annually
3.63 annually
Receive
8/2/2034
USD52,747,000
—
(267,211
)
(267,211
)
836
503,952
504,788
Abbreviations
SOFR
Secured Overnight Financing Rate
USD
United States Dollar
(a)
Value of floating rate index at August 31, 2024 was as follows:
FLOATING RATE INDEX
VALUE
1 day SOFR
5.32%
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
17
JPMorgan Realty Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited)
INVESTMENTS
SHARES
VALUE($)
Common Stocks — 98.1%
Apartments — 14.4%
American Homes 4 Rent, Class A, REIT
427,863
17,016,111
Equity LifeStyle Properties, Inc., REIT
163,705
11,902,991
Equity Residential, REIT
160,000
11,980,800
UDR, Inc., REIT
330,312
14,702,187
55,602,089
Diversified — 34.7%
American Tower Corp., REIT
180,531
40,449,776
Digital Realty Trust, Inc., REIT
157,506
23,879,485
Equinix, Inc., REIT
39,748
33,164,141
Outfront Media, Inc., REIT
226,748
3,866,053
SBA Communications Corp., REIT
52,854
11,979,887
VICI Properties, Inc., REIT
515,658
17,264,230
Weyerhaeuser Co., REIT
122,632
3,739,050
134,342,622
Health Care — 14.4%
CareTrust REIT, Inc., REIT
185,708
5,548,955
Sabra Health Care REIT, Inc., REIT
380,842
6,489,548
Ventas, Inc., REIT
264,694
16,440,144
Welltower, Inc., REIT
226,845
27,375,655
55,854,302
Hotels — 1.9%
DiamondRock Hospitality Co., REIT
85,824
754,393
Host Hotels & Resorts, Inc., REIT
380,015
6,726,266
7,480,659
Industrial — 14.2%
Americold Realty Trust, Inc., REIT
310,826
9,013,954
EastGroup Properties, Inc., REIT
67,830
12,643,512
Lineage, Inc., REIT*
31,982
2,683,290
Prologis, Inc., REIT
239,749
30,644,717
54,985,473
Office — 6.0%
BXP, Inc., REIT
147,171
11,070,203
COPT Defense Properties, REIT
262,053
7,806,559
Cousins Properties, Inc., REIT
146,652
4,181,048
23,057,810
INVESTMENTS
SHARES
VALUE($)
Shopping Centers — 3.6%
Federal Realty Investment Trust, REIT
55,815
6,418,725
Kimco Realty Corp., REIT
330,825
7,694,990
14,113,715
Single Tenant — 3.0%
Agree Realty Corp., REIT
157,621
11,507,909
Storage — 5.9%
Extra Space Storage, Inc., REIT
94,223
16,677,471
Public Storage, REIT
18,371
6,314,480
22,991,951
Total Common Stocks
(Cost $307,447,771)
379,936,530
Short-Term Investments — 1.9%
Investment Companies — 1.9%
JPMorgan Prime Money Market Fund Class IM
Shares, 5.34%(a) (b)
(Cost $7,506,702)
7,505,472
7,509,224
Total Investments — 100.0%
(Cost $314,954,473)
387,445,754
Other Assets Less Liabilities — 0.0% ^
93,384
NET ASSETS — 100.0%
387,539,138
Percentages indicated are based on net assets.
Abbreviations
REIT
Real Estate Investment Trust
^
Amount rounds to less than 0.1% of net assets.
*
Non-income producing security.
(a)
Investment in an affiliated fund, which is registered
under the Investment Company Act of 1940, as
amended, and is advised by J.P. Morgan Investment
Management Inc.
(b)
The rate shown is the current yield as of August 31,
2024.
SEE NOTES TO FINANCIAL STATEMENTS.
18
Realty Income ETF
August 31, 2024
STATEMENTS OF ASSETS AND LIABILITIES
AS OF August 31, 2024 (Unaudited)
JPMorgan
Inflation
Managed
Bond ETF
JPMorgan
Realty Income
ETF
ASSETS:
Investments in non-affiliates, at value
$650,851,196
$379,936,530
Investments in affiliates, at value
22,664,857
7,509,224
Cash
—
35,539
Deposits at broker for centrally cleared swaps
40,000
—
Receivables:
Investment securities sold
41,858
—
Investment securities sold — delayed delivery securities
(unlimited number of shares authorized - par value $0.0001)
14,093,210
7,797,859
Net asset value, per share
$47.53
$49.70
Cost of investments in non-affiliates
$661,291,978
$307,447,771
Cost of investments in affiliates
22,658,867
7,506,702
Net upfront receipts on centrally cleared swaps
(1,587,942
)
—
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
19
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED August 31, 2024 (Unaudited)
JPMorgan
Inflation
Managed
Bond ETF
JPMorgan
Realty Income
ETF
INVESTMENT INCOME:
Interest income from non-affiliates
$14,992,856
$57,435
Interest income from affiliates
87
46
Dividend income from non-affiliates
—
4,847,467
Dividend income from affiliates
1,084,948
231,676
Income from securities lending (net)(See Note 2.D.)
—
195
Total investment income
16,077,891
5,136,819
EXPENSES:
Investment advisory fees
924,652
1,044,277
Administration fees
247,676
130,535
Custodian and accounting fees
44,680
9,377
Interest expense to non-affiliates
1,404
—
Interest expense to affiliates
2,312
—
Professional fees
47,093
32,268
Trustees’ and Chief Compliance Officer’s fees
13,310
13,071
Registration and filing fees
4,092
4,212
Other
5,109
5,352
Total expenses
1,290,328
1,239,092
Less fees waived
(22,826
)
(5,168
)
Less expense reimbursements
(460,966
)
(368,049
)
Net expenses
806,536
865,875
Net investment income (loss)
15,271,355
4,270,944
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates
243,885
(4,908,241
)
Investments in affiliates
(18,104
)
(1,620
)
In-kind redemptions of investments in non-affiliates(See Note 4)
—
5,278,718
Futures contracts
4,015,510
—
Swaps
(1,844,369
)
—
Net realized gain (loss)
2,396,922
368,857
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates
13,801,496
47,501,123
Investments in affiliates
5,965
1,774
Futures contracts
(870,584
)
—
Swaps
(355,661
)
—
Change in net unrealized appreciation/depreciation
12,581,216
47,502,897
Net realized/unrealized gains (losses)
14,978,138
47,871,754
Change in net assets resulting from operations
$30,249,493
$52,142,698
SEE NOTES TO FINANCIAL STATEMENTS.
20
J.P. Morgan Exchange-Traded Funds
August 31, 2024
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
JPMorgan Inflation Managed Bond ETF
JPMorgan Realty Income ETF
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)
$15,271,355
$20,455,183
$4,270,944
$10,311,490
Net realized gain (loss)
2,396,922
(24,677,555
)
368,857
14,743,926
Change in net unrealized appreciation/depreciation
12,581,216
31,022,196
47,502,897
(10,239,567
)
Change in net assets resulting from operations
30,249,493
26,799,824
52,142,698
14,815,849
DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders
(14,460,965
)
(20,130,287
)
(3,268,520
)
(13,660,855
)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions
(6,910,023
)
(250,326,185
)
10,586,687
(182,630,956
)
NET ASSETS:
Change in net assets
8,878,505
(243,656,648
)
59,460,865
(181,475,962
)
Beginning of period
660,950,209
904,606,857
328,078,273
509,554,235
End of period
$669,828,714
$660,950,209
$387,539,138
$328,078,273
CAPITAL TRANSACTIONS:
Proceeds from shares issued
$20,947,891
$227,217,150
$29,593,783
$30,379,220
Cost of shares redeemed
(27,857,914
)
(477,543,335
)
(19,007,096
)
(213,010,176
)
Total change in net assets resulting from capital
transactions
$(6,910,023
)
$(250,326,185
)
$10,586,687
$(182,630,956
)
SHARE TRANSACTIONS:
Issued
450,000
4,900,000
675,000
725,000
Redeemed
(600,000
)
(10,200,000
)
(400,000
)
(5,000,000
)
Net increase (decrease) in shares from share transactions
(150,000
)
(5,300,000
)
275,000
(4,275,000
)
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
21
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance (a)
Investment operations
Distributions
Net asset
value,
beginning
of period
Net investment
income
(loss) (c)
Net realized
and unrealized
gains
(losses)
on investments
Total from
investment
operations
Net
investment
income
Net
realized
gain
Total
distributions
JPMorgan Inflation Managed Bond ETF (h)
Six Months Ended August 31, 2024 (Unaudited)
$46.40
$1.09
$1.08
$2.17
$(1.04
)
$—
$(1.04
)
Year Ended February 29, 2024
46.29
1.74
0.01
1.75
(1.64
)
—
(1.64
)
Year Ended February 28, 2023
51.43
1.63
(5.05
)
(3.42
)
(1.58
)
(0.14
)
(1.72
)
Year Ended February 28, 2022
50.58
1.27
0.85
2.12
(1.27
)
—
(1.27
)
Year Ended February 28, 2021
49.26
0.94
1.32
2.26
(0.94
)
—
(0.94
)
Year Ended February 29, 2020
47.33
1.27
1.93
3.20
(1.27
)
—
(1.27
)
JPMorgan Realty Income ETF (i)
Six Months Ended August 31, 2024 (Unaudited)
43.61
0.55
5.96
6.51
(0.42
)
—
(0.42
)
Year Ended February 29, 2024
43.19
1.16
0.73
1.89
(1.47
)
—
(1.47
)
Year Ended February 28, 2023
62.71
0.98
(j)
(9.14
)
(8.16
)
(0.76
)
(10.60
)
(11.36
)
Year Ended February 28, 2022
54.76
0.64
13.05
13.69
(0.80
)
(4.94
)
(5.74
)
Year Ended February 28, 2021
54.40
0.84
1.89
2.73
(0.72
)
(1.65
)
(2.37
)
Year Ended February 29, 2020
54.92
1.12
3.53
4.65
(1.20
)
(3.97
)
(5.17
)
(a)
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.
(b)
Annualized for periods less than one year, unless otherwise noted.
(c)
Calculated based upon average shares outstanding.
(d)
Not annualized for periods less than one year.
(e)
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.
(f)
JPMorgan Inflation Managed Bond ETF acquired all of the assets and liabilities of the JPMorgan Inflation Managed Bond Fund (“Acquired 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 Acquired Fund are used as proxy market price returns.
(g)
JPMorgan Realty Income ETF acquired all of the assets and liabilities of the JPMorgan Realty Income Fund (“Acquired 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 Acquired Fund are used as proxy market price returns.
(h)
JPMorgan Inflation Managed Bond ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan Inflation Managed Bond Fund (“Acquired Fund”) in a
reorganization that occurred as of the close of business on April 8, 2022. Performance and financial history of the Acquired 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 Acquired Fund’s Class R6 Shares for the
period March 1, 2019 up through the reorganization.
(i)
JPMorgan Realty Income ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan Realty Income Fund (“Acquired Fund”) in a reorganization that
occurred as of the close of business on May 20, 2022. Performance and financial history of the Acquired 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 Acquired Fund’s Class R6 Shares for the period March 1, 2019 up
through the reorganization.
(j)
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%,
SEE NOTES TO FINANCIAL STATEMENTS.
22
J.P. Morgan Exchange-Traded Funds
August 31, 2024
Ratios/Supplemental data
Ratios to average net assets (b)
Net asset
value,
end of
period
Market
price,
end of
period
Total
return (d)(e)
Market
price
total
return (d)(f)(g)
Net assets,
end of
period
Net
expenses
Net
investment
income
(loss)
Expenses
without waivers
and reimbursements
Portfolio
turnover
rate (d)
$47.53
$47.51
4.74
%
4.54
%
$669,828,714
0.24
%
4.64
%
0.39
%
49
%
46.40
46.47
3.86
3.86
660,950,209
0.25
3.75
0.40
60
46.29
46.36
(6.73
)
(6.59
)
904,606,857
0.26
3.38
0.41
107
51.43
51.43
4.23
4.23
897,545,065
0.34
2.49
0.39
159
50.58
50.58
4.70
4.70
1,172,320,983
0.34
1.93
0.38
89
49.26
49.26
6.84
6.84
1,169,195,274
0.42
2.62
0.44
146
49.70
49.71
15.07
15.23
387,539,138
0.50
2.46
0.71
39
43.61
43.56
4.54
4.28
328,078,273
0.50
2.78
0.72
96
43.19
43.25
(13.43
)
(13.31
)
509,554,235
0.55
1.93
(j)
0.72
84
62.71
62.71
24.69
24.69
1,450,453,154
0.68
0.98
0.70
59
54.76
54.76
5.38
5.38
1,663,701,422
0.68
1.67
0.70
90
54.40
54.40
8.23
8.23
1,289,280,883
0.68
1.92
0.76
71
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
23
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited)
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
Diversified
JPMorgan Realty Income ETF
Non-Diversified
Pursuant to an Agreement and Plan of Reorganization and Liquidation previously approved by the Board of Trustees (the “Board”) 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”):
Acquired Fund
Fund
Closing Date
JPMorgan Inflation Managed Bond Fund
JPMorgan Inflation Managed Bond ETF
April 8, 2022
JPMorgan Realty Income Fund
JPMorgan Realty Income ETF
May 20, 2022
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 the 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.
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.
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 is 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 the Funds for a term ending June 30, 2025. Each Reorganization did not result in the material change to the Acquired Funds' 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.
Shares of each Fund are listed and traded at market price on an exchange as follows:
Listing Exchange
Inflation Managed Bond ETF
Cboe BZX Exchange, Inc.
Realty Income ETF
NYSE Arca, Inc.
Market prices for the Funds’ shares may be different from their net asset value (“NAV”).
24
J.P. Morgan Exchange-Traded Funds
August 31, 2024
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 in exchange for a basket of securities and/or cash. 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, 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.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
25
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (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 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Asset-Backed Securities
$—
$68,267,485
$99,345
$68,366,830
Collateralized Mortgage Obligations
—
40,039,957
207
40,040,164
Commercial Mortgage-Backed Securities
—
38,253,477
—
38,253,477
Corporate Bonds
—
179,438,651
—
179,438,651
Foreign Government Securities
—
1,650,295
—
1,650,295
Mortgage-Backed Securities
—
118,283,374
—
118,283,374
U.S. Treasury Obligations
—
204,818,405
—
204,818,405
Short-Term Investments
Investment Companies
22,664,857
—
—
22,664,857
Total Investments in Securities
$22,664,857
$650,751,644
$99,552
$673,516,053
Appreciation in Other Financial Instruments
Futures Contracts
$257,903
$—
$—
$257,903
Swaps
—
1,478,189
—
1,478,189
Depreciation in Other Financial Instruments
Futures Contracts
(998,252
)
—
—
(998,252
)
Swaps
—
(3,007,951
)
—
(3,007,951
)
Total Net Appreciation/ Depreciation in Other
Financial Instruments
$(740,349
)
$(1,529,762
)
$—
$(2,270,111
)
Realty Income ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Total Investments in Securities(a)
$387,445,754
$—
$—
$387,445,754
(a)
Please refer to the SOI for specifics of portfolio holdings.
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 August 31, 2024, 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.
26
J.P. Morgan Exchange-Traded Funds
August 31, 2024
C. When-Issued Securities, Delayed Delivery Securities and Forward Commitments— Inflation Managed 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.
Inflation Managed Bond ETF had when-issued securities, delayed delivery securities or forward commitments outstanding as of August 31, 2024, which are shown as a Receivable for Investment securities sold — delayed delivery securities and/or a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statement of Assets and Liabilities. The values of these securities held at August 31, 2024 are detailed on the SOI, if any.
The Funds' delayed delivery securities collateral requirements and collateral posted or received by counterparty as of August 31, 2024 are as follows:
Fund
Counterparty
Collateral
amount
Inflation Managed Bond ETF
Collateral Received
Wells Fargo Securities LLC
$(20,000
)
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 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.
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.
Inflation Managed Bond ETF did not lend out any securities during the six months ended August 31, 2024. Realty Income ETF did not have any securities out on loan at August 31, 2024.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
27
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
E. Investment Transactions with Affiliates— The Funds invested in Underlying Funds 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 six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Prime Money Market
Fund Class IM Shares,
5.34% (a) (b)
$100,751,178
$58,022,844
$136,097,026
$(18,104
)
$5,965
$22,664,857
22,653,530
$1,084,948
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
Realty Income ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Prime Money Market Fund
Class IM Shares, 5.34% (a) (b)
$11,028,308
$19,988,682
$23,507,920
$(1,620
)
$1,774
$7,509,224
7,505,472
$231,676
$—
JPMorgan U.S. Government Money
Market Fund Class IM Shares,
5.22% (a) (b)
—
2,457,400
2,457,400
—
—
—
—
462
*
—
Total
$11,028,308
$22,446,082
$25,965,320
$(1,620
)
$1,774
$7,509,224
$232,138
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
*
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee).
F. 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 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.
28
J.P. Morgan Exchange-Traded Funds
August 31, 2024
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark-to-market gains to the Funds.
Notes F(1) — F(3) below describe the various derivatives used by the Funds.
(1) Futures Contracts— Inflation Managed Bond ETF used treasury futures contracts to manage and hedge interest rate risk 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 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 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 Fund 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 are 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 reported as Deposits at broker for centrally cleared swaps 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 Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding 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 Fund is held in a segregated account at the Fund’s custodian bank. For certain counterparties, cash collateral posted by the Fund is invested in an affiliated money market fund and/or held as restricted cash. Collateral received by the Fund is held in a separate segregated account maintained by JPMorgan Chase Bank, N.A, an affiliate of the Fund.
The Fund may be subject to various risks from the use of swaps including: (i) the risk that changes in the value of the swap may not correlate perfectly with the underlying instrument; (ii) counterparty credit risk related to the failure, by the counterparty to an over-the-counter derivative, to perform under the terms of the contract; (iii) liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and (iv) documentation risk relating to disagreement over contract terms.
The Fund’s OTC swap contracts are subject to master netting arrangements.
Credit Default Swaps
Inflation Managed Bond 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.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
29
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
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 Fund, as protection seller, 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.
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 August 31, 2024, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
Inflation
Managed
Bond ETF
Interest Rate Risk Exposure:
Unrealized Appreciation on Futures Contracts*
$257,903
Swaps at Value (Assets)**
1,473,102
Unrealized Depreciation on Futures Contracts*
(998,252
)
Swaps at Value (Liabilities)**
(2,168,280
)
Credit Risk Exposure:
Swaps at Value (Liabilities)**
(2,422,526
)
Net Fair Value of Derivative Contracts:
Unrealized Appreciation (Depreciation) on Futures Contracts*
(740,349
)
Swaps at Value**
(3,117,704
)
*
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 effect of derivatives on the Statements of Operations for the six months ended August 31, 2024, by primary underlying risk exposure:
Inflation
Managed
Bond ETF
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations:
Interest Rate Risk Exposure:
Futures Contracts
$4,015,510
Swap Contracts
(798,263
)
30
J.P. Morgan Exchange-Traded Funds
August 31, 2024
Inflation
Managed
Bond ETF
Credit Exposure Risk:
Swap Contracts
$(1,046,106
)
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Interest Rate Risk Exposure:
Futures Contracts
(870,584
)
Swap Contracts
(710,975
)
Credit Exposure Risk:
Swap Contracts
355,314
Derivatives Volume
The table below discloses the volume of the Fund's futures contracts and swaps activity during the six months ended August 31, 2024. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity:
G. 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.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
31
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
H. Allocation of Income and Expenses— Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trust are allocated among the applicable funds.
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 August 31, 2024, 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. 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.
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
0.28
%
Realty Income ETF
0.60
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined inNote 3.E.
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 six months ended August 31, 2024, the effective annualized 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 inNote 3.E.
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 administration fees payable to JPMIM.
C. Distribution Fees— 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.
D. Custodian, Accounting and Transfer Agent Fees— JPMCB provides portfolio custody, accounting and transfer agency services (effective as of the Closing Date) 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 Funds 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.
32
J.P. Morgan Exchange-Traded Funds
August 31, 2024
E. 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.
The expense limitation agreements were in effect for the six months ended August 31, 2024 and the contractual expense limitations are in place until at least June 30, 2025.
For the six months ended August 31, 2024, 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
$460,966
Realty Income ETF
368,049
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 six months ended August 31, 2024 were as follows:
Inflation Managed Bond ETF
$22,826
Realty Income ETF
5,168
F. 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, make 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 six months ended August 31, 2024, 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.
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 six months ended August 31, 2024, 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
Sales
of U.S.
Government
Inflation Managed Bond ETF
$232,723,784
$314,033,042
$80,049,426
$16,610,614
Realty Income ETF
135,642,366
130,746,803
—
—
For the six months ended August 31, 2024, in-kind transactions associated with creations and redemptions were as follows:
In-Kind
Purchases
In-Kind
Sales
Realty Income ETF
$27,655,120
$17,768,576
August 31, 2024
J.P. Morgan Exchange-Traded Funds
33
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
During the six months ended August 31, 2024, 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.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at August 31, 2024 were as follows:
Aggregate
Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
Depreciation
Net Unrealized
Appreciation
(Depreciation)
Inflation Managed Bond ETF
$682,362,903
$7,247,170
$19,952,073
$(12,704,903
)
Realty Income ETF
314,954,473
72,980,338
489,057
72,491,281
At February 29, 2024, the following Funds had net capital loss carryforwards, which are available to offset future realized gains:
Capital Loss Carryforward Character
Short-Term
Long-Term
Inflation Managed Bond ETF
$8,427,529
$51,021,586
Realty Income ETF
32,866,942
1,356,126
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 29, 2024, the Funds deferred to March 1, 2024 the following net capital losses (gains) of:
Net Capital Losses (Gains)
Specified
Ordinary Losses
Short-Term
Long-Term
Inflation Managed Bond ETF
$(4,756,917
)
$7,336,614
$1,099
Realty Income ETF
(3,390,706
)
6,165,587
—
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
34
J.P. Morgan Exchange-Traded Funds
August 31, 2024
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 six months ended August 31, 2024.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement 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. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 29, 2024.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended August 31, 2024.
Effective August 8, 2023, the Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into an existing joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. Although the Trust is effectively part of the Credit Facility as of August 8, 2023, it was not eligible to draw on the Credit Facility, and did not incur costs associated with being a part of the Credit Facility.
This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25 million in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25 million minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00%, plus the greater of the federal funds effective rate or the one-month Adjusted Secured Overnight Financing Rate (SOFR).
Effective May 31, 2024, the Funds are no longer part of the Credit Facility.
The Funds did not utilize the Credit Facility during the six months ended August 31, 2024.
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 August 31, 2024, JPMorgan SmartRetirement Funds and JPMorgan 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
43.5
%
31.7
%
Realty Income ETF
72.1
—
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.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
35
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
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 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 change interest rates or the timing, frequency, or magnitude of such changes. Any such changes could be sudden and could expose debt markets to significant volatility and reduced liquidity for Fund investments.
Inflation Managed Bond ETF is subject to credit risk. The Fund's 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 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. Credit spreads may increase, which may reduce the market values of the Fund's 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.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds.
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.
The Funds are subject to infectious disease epidemics/pandemics risk. The effects of any future pandemic or other global event to public health and business and market conditions, may 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 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 a pandemic or other global event that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could have a significant negative impact on a Fund’s investment performance. The ultimate impact of any pandemic or other global event and the extent to which the associated conditions and governmental responses impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
36
J.P. Morgan Exchange-Traded Funds
August 31, 2024
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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 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.
Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Not applicable.
Proxy Disclosures for Open-End Management Investment Companies
Not applicable.
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
Included in the Statements of Operations within the Funds' Financial Statements.
Statement Regarding Basis for Approval of Investment Advisory Agreements
The Board of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board and its investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed Income Committee) met regularly throughout the year and, at each meeting, considered factors that are relevant to their annual consideration of the continuation of the investment advisory agreements. The Board also met for the specific purpose of considering investment advisory agreement annual renewals. The Board held meetings June 25-26, 2024 and August 20-22, 2024, at which the Trustees considered the continuation of the investment advisory agreements for each Fund whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered each investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to an Advisory Agreement or “interested persons” (as defined in the Investment Company Act of 1940) of any party to an Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 22, 2024.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from J.P. Morgan Investment Management Inc. (the “Adviser”). This information included the Funds’ performance as compared to the performance of their peers and benchmarks, and analyses by the Adviser of the Funds’ performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (the “independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of certain Funds, including risk and performance return assessments as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the
Adviser, counsel to the Funds, and independent legal counsel to the Trustees, and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements with independent legal counsel in executive sessions at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances, and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. Among other things, the Trustees considered:
•
The background and experience of the Adviser’s senior management and investment personnel, including personnel changes, if any;
•
The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund, including personnel changes, if any;
•
The investment strategy for each Fund, and the infrastructure supporting the portfolio management teams;
•
Information about the structure and distribution strategy for each Fund and how it fits within the Adviser’s other fund offerings within the J.P. Morgan Funds complex;
•
The administration services provided by the Adviser in its role as Administrator;
•
Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Funds and in the financial industry generally;
•
The overall reputation and capabilities of the Adviser and its affiliates;
•
The commitment of the Adviser to provide high quality service to the Funds;
•
Their overall confidence in the Adviser’s integrity; and
•
The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates from providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser and reviewed with the Board. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered that JPMorgan Distribution Services, Inc. (“JPMDS”), an affiliate of the Adviser, and the Adviser earn fees from the Funds for providing shareholder and administration services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the fees earned by
JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Adviser, for custody, fund accounting and other related services for each Fund, and the profitability of the arrangements to JPMCB.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds' operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including benefits that may be received by the Adviser and its affiliates in connection with the Fund’s potential investments in other funds advised by the Adviser. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Funds.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from potential economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted certain Funds with contractual expense limitations and fee waivers (“Fee Caps”), which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale. The Trustees also noted that certain other Funds that had achieved scale as asset levels had increased, no longer had a Fee Cap in place for some or all of their share classes, but shared economies of scale through lower average expenses. The Trustees noted that the fees remain fair and reasonable relative to peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser's and JPMDS's ongoing investments in their business in support of the Funds, including the Adviser's and/or JPMDS's investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee
structure for each Fund, including any Fee Caps the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. The Trustees concluded that, for Funds with Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and, for Funds that achieved scale and no longer had Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders benefited from lower average expenses resulting from increased assets. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including, to the extent applicable, institutional separate accounts, collective investment trusts, other registered investment companies and/or private funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered investment companies relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered investment company involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the applicable registered investment company, typically bears the sub-advisory fee and that many responsibilities related to the advisory function are typically retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees receive and consider information about each Fund’s performance throughout the year. In addition, the Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe comprised of funds with the same Broadridge investment classification and objective (the “Universe”) by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge’s methodology for selecting exchange-traded funds in each Fund’s Universe, and noted that Universe quintile
rankings were not calculated if the number of funds in the Universe did not meet a predetermined minimum. The Broadridge materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared for certain Funds by the Trustees’ independent consultant. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted that the JPMorgan Inflation Managed Bond ETF’s performance was in the first, third and fifth quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
The Trustees noted that the JPMorgan Realty Income ETF’s performance was in the second, second and first quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge concerning management fee rates paid by other funds in the Universe, as well as a subset of funds within the Universe (the “Peer Group”). The Trustees recognized that Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund, and noted that Universe and/or Peer Group quintile rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio for each class, as
applicable, taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it can be difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that the JPMorgan Inflation Managed Bond ETF’s net advisory fee and actual total expenses were in the
first quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan Realty Income ETF’s net advisory fee and actual total expenses were in the second quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
Semi-Annual Report
J.P. Morgan Exchange-Traded Funds
August 31, 2024 (Unaudited)
Fund
Ticker
Listing Exchange
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
BBSA
Cboe BZX Exchange, Inc.
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
BBAG
NYSE Arca, Inc.
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF
BBIP
Cboe BZX Exchange, Inc.
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF
BBSB
Cboe BZX Exchange, Inc.
JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF
BBLB
Cboe BZX Exchange, Inc.
JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF
BBIB
Cboe BZX Exchange, Inc.
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
BBHY
Cboe BZX Exchange, Inc.
JPMorgan BetaBuilders USD Investment Grade Corporate Bond
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’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at (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.
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
U.S. Treasury Obligations — 61.8%
U.S. Treasury Bonds
6.50%, 11/15/2026
60,000
63,553
U.S. Treasury Notes
0.25%, 6/30/2025
64,000
61,820
4.63%, 6/30/2025
21,000
21,018
4.75%, 7/31/2025
180,000
180,471
2.00%, 8/15/2025
5,000
4,888
0.25%, 8/31/2025
79,000
75,843
0.25%, 9/30/2025
89,000
85,210
4.25%, 10/15/2025
100,000
99,934
2.25%, 11/15/2025
9,000
8,788
0.38%, 11/30/2025
1,165,000
1,110,891
2.63%, 12/31/2025
38,000
37,236
0.50%, 2/28/2026
26,000
24,649
0.75%, 3/31/2026
217,000
206,082
4.50%, 3/31/2026
41,000
41,258
0.75%, 4/30/2026
124,000
117,490
0.75%, 5/31/2026
6,000
5,673
0.88%, 6/30/2026
213,000
201,451
0.63%, 7/31/2026
27,000
25,356
0.75%, 8/31/2026
653,000
613,488
0.88%, 9/30/2026
220,000
206,869
1.63%, 9/30/2026
215,000
205,258
4.63%, 10/15/2026
50,000
50,715
1.13%, 10/31/2026
259,000
244,209
1.63%, 10/31/2026
39,000
37,169
1.25%, 11/30/2026
339,000
319,984
1.63%, 11/30/2026
57,000
54,248
1.25%, 12/31/2026
218,000
205,499
1.50%, 1/31/2027
34,000
32,172
0.63%, 3/31/2027
19,000
17,514
0.50%, 6/30/2027
391,000
356,635
0.38%, 7/31/2027
172,000
155,888
0.50%, 8/31/2027
300,000
272,320
0.38%, 9/30/2027
90,000
81,162
4.13%, 10/31/2027
100,000
100,977
3.88%, 12/31/2027
20,000
20,066
0.75%, 1/31/2028
36,000
32,538
3.50%, 1/31/2028
350,000
346,855
2.75%, 2/15/2028
137,000
132,398
3.63%, 3/31/2028
50,000
49,777
2.88%, 5/15/2028
5,000
4,845
3.63%, 5/31/2028
203,000
201,985
1.25%, 6/30/2028
57,000
51,919
1.00%, 7/31/2028
247,000
222,358
4.13%, 7/31/2028
195,000
197,559
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
2.88%, 8/15/2028
61,000
58,994
1.13%, 8/31/2028
361,000
325,972
4.38%, 8/31/2028
199,000
203,493
4.63%, 9/30/2028
198,000
204,404
1.38%, 10/31/2028
174,000
158,122
1.50%, 11/30/2028
179,000
163,268
1.38%, 12/31/2028
392,000
355,097
1.75%, 1/31/2029
187,000
171,850
1.88%, 2/28/2029
12,000
11,077
4.25%, 2/28/2029
141,000
143,996
2.38%, 3/31/2029
113,000
106,467
4.13%, 3/31/2029
10,000
10,159
2.88%, 4/30/2029
119,000
114,528
2.38%, 5/15/2029
114,000
107,276
4.50%, 5/31/2029
115,000
118,800
1.63%, 8/15/2029
153,000
138,608
Total U.S. Treasury Obligations
(Cost $8,971,533)
8,978,129
Corporate Bonds — 24.2%
Aerospace & Defense — 0.4%
Boeing Co. (The)
2.60%, 10/30/2025
38,000
36,931
2.75%, 2/1/2026
15,000
14,505
HEICO Corp. 5.25%, 8/1/2028
8,000
8,202
Lockheed Martin Corp. 3.55%, 1/15/2026
2,000
1,976
61,614
Automobiles — 0.3%
Ford Motor Co. 6.63%, 10/1/2028
6,000
6,342
Toyota Motor Corp. (Japan) 1.34%, 3/25/2026
41,000
39,101
45,443
Banks — 6.3%
Bangko Sentral ng Pilipinas International Bond
(Philippines) 8.60%, 6/15/2027
13,000
14,208
Bank of America Corp.
(SOFR + 1.01%), 1.20%, 10/24/2026(a)
36,000
34,538
Series N, (SOFR + 0.91%), 1.66%,
3/11/2027(a)
20,000
19,101
(SOFR + 0.96%), 1.73%, 7/22/2027(a)
30,000
28,463
(SOFR + 1.34%), 5.93%, 9/15/2027(a)
22,000
22,560
(SOFR + 1.58%), 4.38%, 4/27/2028(a)
6,000
5,965
(3-MONTH CME TERM SOFR + 1.47%), 3.97%,
2/7/2030(a)
17,000
16,537
Bank of Montreal (Canada) 2.65%, 3/8/2027
39,000
37,451
Bank of Nova Scotia (The) (Canada) 1.35%,
6/24/2026
6,000
5,681
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
1
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Corporate Bonds — continued
Banks — continued
Citigroup, Inc.
4.13%, 7/25/2028
15,000
14,751
(3-MONTH CME TERM SOFR + 1.41%), 3.52%,
10/27/2028(a)
29,000
28,097
(3-MONTH CME TERM SOFR + 1.60%), 3.98%,
3/20/2030(a)
44,000
42,694
Citizens Financial Group, Inc. 2.85%, 7/27/2026
37,000
35,585
Fifth Third Bancorp
(SOFR + 0.69%), 1.71%, 11/1/2027(a)
17,000
15,923
(SOFR + 1.36%), 4.06%, 4/25/2028(a)
22,000
21,539
HSBC Holdings plc (United Kingdom) (SOFR +
1.29%), 1.59%, 5/24/2027(a)
25,000
23,722
KeyCorp 4.15%, 10/29/2025
8,000
7,928
Kreditanstalt fuer Wiederaufbau (Germany)
1.25%, 1/31/2025
23,000
22,652
1.00%, 10/1/2026
28,000
26,352
4.00%, 3/15/2029
12,000
12,094
Landwirtschaftliche Rentenbank (Germany)
0.88%, 3/30/2026
39,000
37,051
Mitsubishi UFJ Financial Group, Inc. (Japan)
3.68%, 2/22/2027
39,000
38,309
3.96%, 3/2/2028
21,000
20,690
Oesterreichische Kontrollbank AG (Austria)
4.13%, 1/20/2026
40,000
39,919
0.50%, 2/2/2026
5,000
4,745
PNC Financial Services Group, Inc. (The) (SOFR +
1.84%), 5.58%, 6/12/2029(a)
6,000
6,197
Regions Financial Corp. 1.80%, 8/12/2028
14,000
12,526
Royal Bank of Canada (Canada) 1.20%,
4/27/2026
23,000
21,845
Santander Holdings USA, Inc. (SOFR + 1.25%),
2.49%, 1/6/2028(a)
5,000
4,695
Sumitomo Mitsui Financial Group, Inc. (Japan)
3.01%, 10/19/2026
61,000
59,082
4.31%, 10/16/2028
6,000
5,985
Toronto-Dominion Bank (The) (Canada)
2.80%, 3/10/2027
6,000
5,771
(USD Swap Semi 5 Year + 2.21%), 3.63%,
9/15/2031(a) (b)
7,000
6,805
Truist Financial Corp.
3.70%, 6/5/2025
6,000
5,941
(SOFR + 1.37%), 4.12%, 6/6/2028(a)
17,000
16,718
US Bancorp
Series X, 3.15%, 4/27/2027
30,000
29,197
(SOFR + 0.73%), 2.22%, 1/27/2028(a)
15,000
14,189
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Banks — continued
Wells Fargo & Co.
3.00%, 4/22/2026
8,000
7,811
(3-MONTH CME TERM SOFR + 1.43%), 3.20%,
6/17/2027(a)
18,000
17,547
(SOFR + 1.98%), 4.81%, 7/25/2028(a)
16,000
16,090
4.15%, 1/24/2029
30,000
29,651
(SOFR + 1.74%), 5.57%, 7/25/2029(a)
30,000
30,986
Westpac Banking Corp. (Australia)
5.46%, 11/18/2027
14,000
14,462
3.40%, 1/25/2028
36,000
34,969
917,022
Beverages — 0.4%
Coca-Cola Co. (The) 1.00%, 3/15/2028
21,000
18,971
Keurig Dr. Pepper, Inc.
3.40%, 11/15/2025
2,000
1,970
2.55%, 9/15/2026
33,000
31,774
PepsiCo, Inc. 2.85%, 2/24/2026
10,000
9,807
62,522
Biotechnology — 0.3%
Amgen, Inc. 1.65%, 8/15/2028
42,000
37,840
Capital Markets — 3.0%
Ameriprise Financial, Inc. 2.88%, 9/15/2026
2,000
1,942
Ares Capital Corp. 2.15%, 7/15/2026
7,000
6,605
Bank of New York Mellon Corp. (The) Series J,
1.90%, 1/25/2029
28,000
25,422
BGC Group, Inc. 6.60%, 6/10/2029(c)
5,000
5,135
Blue Owl Capital Corp. 2.88%, 6/11/2028
25,000
22,838
Brookfield Finance, Inc. (Canada) 4.85%,
3/29/2029
14,000
14,160
Charles Schwab Corp. (The) 2.00%, 3/20/2028
6,000
5,531
CME Group, Inc. 3.75%, 6/15/2028
12,000
11,848
Deutsche Bank AG (Germany) 4.10%,
1/13/2026
41,000
40,726
FactSet Research Systems, Inc. 2.90%,
3/1/2027
31,000
29,742
Goldman Sachs Group, Inc. (The)
(SOFR + 0.80%), 1.43%, 3/9/2027(a)
24,000
22,800
(SOFR + 0.91%), 1.95%, 10/21/2027(a)
51,000
48,165
(3-MONTH CME TERM SOFR + 1.42%), 3.81%,
4/23/2029(a)
24,000
23,320
(3-MONTH CME TERM SOFR + 1.56%), 4.22%,
5/1/2029(a)
7,000
6,903
Intercontinental Exchange, Inc. 3.75%,
12/1/2025
7,000
6,930
SEE NOTES TO FINANCIAL STATEMENTS.
2
J.P. Morgan Exchange-Traded Funds
August 31, 2024
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Corporate Bonds — continued
Capital Markets — continued
Main Street Capital Corp. 3.00%, 7/14/2026
16,000
15,271
Morgan Stanley
5.00%, 11/24/2025
32,000
32,053
3.95%, 4/23/2027
11,000
10,842
(SOFR + 0.88%), 1.59%, 5/4/2027(a)
14,000
13,302
(SOFR + 0.86%), 1.51%, 7/20/2027(a)
5,000
4,716
3.59%, 7/22/2028(d)
5,000
4,859
(3-MONTH CME TERM SOFR + 1.89%), 4.43%,
1/23/2030(a)
28,000
27,823
Northern Trust Corp. 3.65%, 8/3/2028
32,000
31,482
State Street Corp. (SOFR + 0.73%), 2.20%,
2/7/2028(a)
29,000
27,520
439,935
Chemicals — 0.2%
Air Products and Chemicals, Inc. 1.85%,
5/15/2027
9,000
8,479
Celanese US Holdings LLC 1.40%, 8/5/2026
5,000
4,679
DuPont de Nemours, Inc. 4.49%, 11/15/2025
10,000
9,962
LYB International Finance III LLC 1.25%,
10/1/2025
5,000
4,811
27,931
Commercial Services & Supplies — 0.1%
RELX Capital, Inc. (United Kingdom) 4.00%,
3/18/2029
12,000
11,797
Waste Management, Inc. 2.00%, 6/1/2029
7,000
6,316
18,113
Consumer Finance — 0.7%
American Express Co. 1.65%, 11/4/2026
17,000
16,022
American Honda Finance Corp. 2.25%,
1/12/2029
12,000
10,988
Capital One Financial Corp. (SOFR + 2.06%),
4.93%, 5/10/2028(a)
11,000
11,054
Caterpillar Financial Services Corp. 1.10%,
9/14/2027
6,000
5,477
John Deere Capital Corp.
3.45%, 3/7/2029
5,000
4,830
3.35%, 4/18/2029
11,000
10,608
PACCAR Financial Corp. 2.00%, 2/4/2027
2,000
1,898
Synchrony Financial 3.95%, 12/1/2027
24,000
23,127
Toyota Motor Credit Corp.
0.80%, 10/16/2025
3,000
2,881
3.05%, 3/22/2027
17,000
16,518
103,403
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Consumer Staples Distribution & Retail — 0.2%
Costco Wholesale Corp. 1.38%, 6/20/2027
3,000
2,791
Dollar General Corp. 3.88%, 4/15/2027
12,000
11,728
Kroger Co. (The) 3.50%, 2/1/2026
2,000
1,967
Walgreens Boots Alliance, Inc. 3.45%, 6/1/2026
9,000
8,573
25,059
Containers & Packaging — 0.2%
Berry Global, Inc. 1.57%, 1/15/2026
26,000
24,867
WRKCo, Inc. 4.65%, 3/15/2026
3,000
2,988
27,855
Distributors — 0.2%
LKQ Corp. 5.75%, 6/15/2028
24,000
24,717
Diversified REITs — 0.2%
Simon Property Group LP
3.50%, 9/1/2025
26,000
25,689
3.38%, 12/1/2027
9,000
8,732
34,421
Diversified Telecommunication Services — 0.5%
AT&T, Inc.
1.70%, 3/25/2026
11,000
10,521
1.65%, 2/1/2028
9,000
8,205
Verizon Communications, Inc.
0.85%, 11/20/2025
26,000
24,852
3.00%, 3/22/2027
13,000
12,582
2.10%, 3/22/2028
12,000
11,110
4.33%, 9/21/2028
6,000
5,982
73,252
Electric Utilities — 1.3%
American Electric Power Co., Inc. Series N,
1.00%, 11/1/2025
2,000
1,911
Duke Energy Corp. (US Treasury Yield Curve Rate
T Note Constant Maturity 5 Year + 2.32%),
3.25%, 1/15/2082(a)
14,000
12,594
ITC Holdings Corp. 3.25%, 6/30/2026
10,000
9,753
NextEra Energy Capital Holdings, Inc. (US
Treasury Yield Curve Rate T Note Constant
Maturity 5 Year + 2.55%), 3.80%,
3/15/2082(a)
22,000
20,555
Pacific Gas and Electric Co.
3.15%, 1/1/2026
4,000
3,904
2.95%, 3/1/2026
6,000
5,823
3.00%, 6/15/2028
5,000
4,695
Public Service Electric and Gas Co. 0.95%,
3/15/2026
10,000
9,476
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
3
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
Collateral received on securities loaned(See Note 2.D.)
—
2,646,135
—
Accrued liabilities:
Management fees(See Note 3.A.)
1,223
28,354
173
Total Liabilities
371,343
112,411,260
173
Net Assets
$14,522,444
$1,421,896,420
$1,466,751
NET ASSETS:
Paid-in-Capital
$15,391,729
$1,556,855,355
$1,505,543
Total distributable earnings (loss)
(869,285
)
(134,958,935
)
(38,792
)
Total Net Assets
$14,522,444
$1,421,896,420
$1,466,751
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001)
299,946
30,373,203
15,000
Net asset value, per share
$48.42
$46.81
$97.78
Cost of investments in non-affiliates
$14,399,366
$1,452,978,897
$1,457,070
Cost of investments in affiliates
109,373
48,557,756
4,273
Cost of foreign currency
19
195
—
Investment securities on loan, at value(See Note 2.D.)
—
2,569,563
—
Cost of investment of cash collateral(See Note 2.D.)
—
2,646,135
—
SEE NOTES TO FINANCIAL STATEMENTS.
104
J.P. Morgan Exchange-Traded Funds
August 31, 2024
JPMorgan
BetaBuilders
U.S. Treasury
Bond 1-3
Year ETF
JPMorgan
BetaBuilders
U.S. Treasury
Bond 20+
Year ETF
JPMorgan
BetaBuilders
U.S. Treasury
Bond 3-10
Year ETF
ASSETS:
Investments in non-affiliates, at value
$2,939,540
$24,760,807
$6,140,661
Investments in affiliates, at value
4,078
22,974
4,023
Cash
6,297
262
14,768
Receivables:
Investment securities sold
158,856
550,028
132,407
Interest from non-affiliates
16,967
157,199
29,572
Dividends from affiliates
1
3
1
Total Assets
3,125,739
25,491,273
6,321,432
LIABILITIES:
Payables:
Investment securities purchased
151,936
458,280
118,967
Accrued liabilities:
Management fees(See Note 3.A.)
176
1,499
282
Total Liabilities
152,112
459,779
119,249
Net Assets
$2,973,627
$25,031,494
$6,202,183
NET ASSETS:
Paid-in-Capital
$3,016,415
$26,988,510
$6,190,821
Total distributable earnings (loss)
(42,788
)
(1,957,016
)
11,362
Total Net Assets
$2,973,627
$25,031,494
$6,202,183
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001)
30,000
272,500
62,500
Net asset value, per share
$99.12
$91.86
$99.23
Cost of investments in non-affiliates
$2,908,116
$25,734,671
$6,127,306
Cost of investments in affiliates
4,077
22,969
4,022
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
105
STATEMENTS OF ASSETS AND LIABILITIES
AS OF August 31, 2024 (Unaudited) (continued)
JPMorgan
BetaBuilders
USD High
Yield Corporate
Bond ETF
JPMorgan
BetaBuilders
USD Investment
Grade Corporate
Bond ETF
JPMorgan USD
Emerging
Markets
Sovereign
Bond ETF
ASSETS:
Investments in non-affiliates, at value
$1,264,400,308
$45,488,407
$623,488,581
Investments in affiliates, at value
8,524,800
146,711
3,138,429
Investments of cash collateral received from securities loaned, at
value(See Note 2.D.)
—
—
3,800,828
Cash
240,332
612
—
Foreign currency, at value
441
—
4,297
Segregated cash balance with Authorized Participant for deposit securities
13,294,336
—
212,004
Receivables:
Investment securities sold
15,683,712
438,432
6,438,777
Fund shares sold
167,398
—
—
Interest from non-affiliates
21,020,928
546,958
8,779,343
Dividends from affiliates
1,219
21
449
Securities lending income(See Note 2.D.)
—
—
561
Total Assets
1,323,333,474
46,621,141
645,863,269
LIABILITIES:
Payables:
Due to custodian
—
—
29,415
Investment securities purchased
18,953,653
331,245
5,658,751
Collateral received on securities loaned(See Note 2.D.)
—
—
3,800,828
Collateral upon return of deposit securities
13,294,336
—
212,004
Accrued liabilities:
Management fees(See Note 3.A.)
162,913
3,457
213,810
Total Liabilities
32,410,902
334,702
9,914,808
Net Assets
$1,290,922,572
$46,286,439
$635,948,461
NET ASSETS:
Paid-in-Capital
$1,324,432,279
$49,526,971
$630,729,889
Total distributable earnings (loss)
(33,509,707
)
(3,240,532
)
5,218,572
Total Net Assets
$1,290,922,572
$46,286,439
$635,948,461
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001)
27,575,000
1,000,000
15,900,000
Net asset value, per share
$46.81
$46.29
$40.00
Cost of investments in non-affiliates
$1,252,982,479
$45,434,564
$605,573,367
Cost of investments in affiliates
8,524,800
146,711
3,138,429
Cost of foreign currency
433
—
4,170
Investment securities on loan, at value(See Note 2.D.)
—
—
3,686,417
Cost of investment of cash collateral(See Note 2.D.)
—
—
3,800,728
SEE NOTES TO FINANCIAL STATEMENTS.
106
J.P. Morgan Exchange-Traded Funds
August 31, 2024
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED August 31, 2024 (Unaudited)
JPMorgan
BetaBuilders
1-5 Year U.S.
Aggregate
Bond ETF
JPMorgan
BetaBuilders
U.S. Aggregate
Bond ETF
JPMorgan
BetaBuilders U.S.
TIPS 0-5 Year ETF
INVESTMENT INCOME:
Interest income from non-affiliates
$271,450
$30,736,285
$44,716
Interest income from affiliates
79
83
—
Dividend income from affiliates
2,467
1,575,204
163
Income from securities lending (net)(See Note 2.D.)
—
6,484
—
Total investment income
273,996
32,318,056
44,879
EXPENSES:
Management fees(See Note 3.A.)
3,593
191,761
478
Interest expense to affiliates
43
3,422
—
Total expenses
3,636
195,183
478
Net investment income (loss)
270,360
32,122,873
44,401
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates
(39,415
)
(5,328,588
)
(4,798
)
Investments in affiliates
—
—
4
In-kind redemptions of investments in non-affiliates(See Note 4)
(7,043
)
(7,568,062
)
(3,469
)
Foreign currency transactions
—
(1
)
—
Net realized gain (loss)
(46,458
)
(12,896,651
)
(8,263
)
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates
326,803
50,163,314
30,335
Investments in affiliates
—
500
(4
)
Foreign currency translations
1
4
—
Change in net unrealized appreciation/depreciation
326,804
50,163,818
30,331
Net realized/unrealized gains (losses)
280,346
37,267,167
22,068
Change in net assets resulting from operations
$550,706
$69,390,040
$66,469
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
107
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED August 31, 2024 (Unaudited) (continued)
JPMorgan
BetaBuilders
U.S. Treasury
Bond 1-3
Year ETF
JPMorgan
BetaBuilders
U.S. Treasury
Bond 20+
Year ETF
JPMorgan
BetaBuilders
U.S. Treasury
Bond 3-10
Year ETF
INVESTMENT INCOME:
Interest income from non-affiliates
$77,551
$553,905
$86,685
Dividend income from affiliates
156
983
255
Total investment income
77,707
554,888
86,940
EXPENSES:
Management fees(See Note 3.A.)
1,157
8,559
1,528
Total expenses
1,157
8,559
1,528
Net investment income (loss)
76,550
546,329
85,412
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates
880
(257,495
)
(8,535
)
Investments in affiliates
3
27
4
In-kind redemptions of investments in non-affiliates(See Note 4)
9,458
(270,937
)
21,386
Net realized gain (loss)
10,341
(528,405
)
12,855
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates
23,503
1,263,392
113,533
Investments in affiliates
—
2
—
Change in net unrealized appreciation/depreciation
23,503
1,263,394
113,533
Net realized/unrealized gains (losses)
33,844
734,989
126,388
Change in net assets resulting from operations
$110,394
$1,281,318
$211,800
SEE NOTES TO FINANCIAL STATEMENTS.
108
J.P. Morgan Exchange-Traded Funds
August 31, 2024
JPMorgan
BetaBuilders
USD High
Yield Corporate
Bond ETF
JPMorgan
BetaBuilders
USD Investment
Grade Corporate
Bond ETF
JPMorgan USD
Emerging
Markets
Sovereign
Bond ETF
INVESTMENT INCOME:
Interest income from non-affiliates
$40,458,768
$1,230,455
$20,707,819
Interest income from affiliates
688
14
81
Dividend income from affiliates
192,400
6,473
78,868
Income from securities lending (net)(See Note 2.D.)
—
—
6,997
Total investment income
40,651,856
1,236,942
20,793,765
EXPENSES:
Management fees(See Note 3.A.)
807,349
21,784
1,242,560
Interest expense to affiliates
701
—
313
Total expenses
808,050
21,784
1,242,873
Net investment income (loss)
39,843,806
1,215,158
19,550,892
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates
(3,014,208
)
(62,360
)
(262,838
)
In-kind redemptions of investments in non-affiliates(See Note 4)
9,250,540
(81,889
)
2,296,736
Foreign currency transactions
—
—
(6
)
Net realized gain (loss)
6,236,332
(144,249
)
2,033,892
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates
19,217,190
1,379,531
14,732,782
Investments in affiliates
—
—
800
Foreign currency translations
10
—
102
Change in net unrealized appreciation/depreciation
19,217,200
1,379,531
14,733,684
Net realized/unrealized gains (losses)
25,453,532
1,235,282
16,767,576
Change in net assets resulting from operations
$65,297,338
$2,450,440
$36,318,468
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
109
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
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)
$270,360
$529,304
$32,122,873
$72,467,036
Net realized gain (loss)
(46,458
)
(1,542,090
)
(12,896,651
)
(56,361,692
)
Change in net unrealized appreciation/depreciation
326,804
1,809,965
50,163,818
29,915,386
Change in net assets resulting from operations
550,706
797,179
69,390,040
46,020,730
DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders
(275,652
)
(555,353
)
(32,978,188
)
(70,295,004
)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions
(1,190,591
)
(20,022,636
)
(262,375,306
)
360,033,171
NET ASSETS:
Change in net assets
(915,537
)
(19,780,810
)
(225,963,454
)
335,758,897
Beginning of period
15,437,981
35,218,791
1,647,859,874
1,312,100,977
End of period
$14,522,444
$15,437,981
$1,421,896,420
$1,647,859,874
CAPITAL TRANSACTIONS:
Proceeds from shares issued
$—
$7,016,343
$47,021,212
$1,267,186,630
Cost of shares redeemed
(1,190,591
)
(27,038,979
)
(309,396,518
)
(907,153,459
)
Total change in net assets resulting from capital
transactions
$(1,190,591
)
$(20,022,636
)
$(262,375,306
)
$360,033,171
SHARE TRANSACTIONS:
Issued
—
150,000
1,025,000
27,350,000
Redeemed
(25,000
)
(575,000
)
(6,775,000
)
(19,800,000
)
Net increase (decrease) in shares from share transactions
(25,000
)
(425,000
)
(5,750,000
)
7,550,000
SEE NOTES TO FINANCIAL STATEMENTS.
110
J.P. Morgan Exchange-Traded Funds
August 31, 2024
JPMorgan
BetaBuilders U.S.
TIPS 0-5 Year ETF
JPMorgan
BetaBuilders U.S.
Treasury Bond 1-3 Year ETF
Six Months Ended
August 31, 2024
(Unaudited)
Period Ended
February 29, 2024 (a)
Six Months Ended
August 31, 2024
(Unaudited)
Period Ended
February 29, 2024 (b)
CHANGE IN NET ASSETS RESULTING FROM
OPERATIONS:
Net investment income (loss)
$44,401
$252,265
$76,550
$201,109
Net realized gain (loss)
(8,263
)
(27,649
)
10,341
(90,407
)
Change in net unrealized appreciation/depreciation
30,331
(30,688
)
23,503
7,922
Change in net assets resulting from operations
66,469
193,928
110,394
118,624
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
(41,492
)
(257,697
)
(84,190
)
(187,616
)
Return of capital
—
(6,239
)
—
—
Total distributions to shareholders
(41,492
)
(263,936
)
(84,190
)
(187,616
)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions
(6,167,280
)
7,679,062
(1,475,251
)
4,491,666
NET ASSETS:
Change in net assets
(6,142,303
)
7,609,054
(1,449,047
)
4,422,674
Beginning of period
7,609,054
—
4,422,674
—
End of period
$1,466,751
$7,609,054
$2,973,627
$4,422,674
CAPITAL TRANSACTIONS:
Proceeds from shares issued
$484,340
$7,679,062
$1,952,738
$24,365,924
Cost of shares redeemed
(6,651,620
)
—
(3,427,989
)
(19,874,258
)
Total change in net assets resulting from capital
transactions
$(6,167,280
)
$7,679,062
$(1,475,251
)
$4,491,666
SHARE TRANSACTIONS:
Issued
5,000
77,500
20,000
247,500
Redeemed
(67,500
)
—
(35,000
)
(202,500
)
Net increase (decrease) in shares from share
transactions
(62,500
)
77,500
(15,000
)
45,000
(a)
Commencement of operations was May 10, 2023.
(b)
Commencement of operations was April 19, 2023.
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
111
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
JPMorgan
BetaBuilders U.S.
Treasury Bond 20+ Year ETF
JPMorgan
BetaBuilders U.S.
Treasury Bond 3-10 Year ETF
Six Months Ended
August 31, 2024
(Unaudited)
Period Ended
February 29, 2024 (a)
Six Months Ended
August 31, 2024
(Unaudited)
Period Ended
February 29, 2024 (a)
CHANGE IN NET ASSETS RESULTING FROM
OPERATIONS:
Net investment income (loss)
$546,329
$1,691,286
$85,412
$197,539
Net realized gain (loss)
(528,405
)
(2,126,478
)
12,855
(24,680
)
Change in net unrealized appreciation/depreciation
1,263,394
(2,237,253
)
113,533
(100,177
)
Change in net assets resulting from operations
1,281,318
(2,672,445
)
211,800
72,682
DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders
(617,176
)
(1,535,292
)
(98,213
)
(174,907
)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions
(6,858,070
)
35,433,159
(2,390,689
)
8,581,510
NET ASSETS:
Change in net assets
(6,193,928
)
31,225,422
(2,277,102
)
8,479,285
Beginning of period
31,225,422
—
8,479,285
—
End of period
$25,031,494
$31,225,422
$6,202,183
$8,479,285
CAPITAL TRANSACTIONS:
Proceeds from shares issued
$—
$67,463,018
$1,989,645
$8,581,602
Cost of shares redeemed
(6,858,070
)
(32,029,859
)
(4,380,334
)
(92
)
Total change in net assets resulting from capital
transactions
$(6,858,070
)
$35,433,159
$(2,390,689
)
$8,581,510
SHARE TRANSACTIONS:
Issued
—
705,000
20,000
87,500
Redeemed
(75,000
)
(357,500
)
(45,000
)
—
Net increase (decrease) in shares from share
transactions
(75,000
)
347,500
(25,000
)
87,500
(a)
Commencement of operations was April 19, 2023.
SEE NOTES TO FINANCIAL STATEMENTS.
112
J.P. Morgan Exchange-Traded Funds
August 31, 2024
JPMorgan BetaBuilders USD High
Yield Corporate Bond ETF
JPMorgan BetaBuilders USD Investment
Grade Corporate Bond ETF
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)
$39,843,806
$29,392,274
$1,215,158
$2,543,496
Net realized gain (loss)
6,236,332
(10,707,705
)
(144,249
)
(1,893,906
)
Change in net unrealized appreciation/depreciation
19,217,200
23,578,851
1,379,531
3,032,096
Change in net assets resulting from operations
65,297,338
42,263,420
2,450,440
3,681,686
DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders
(35,803,234
)
(27,562,688
)
(1,262,246
)
(2,485,282
)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions
461,149,284
448,099,146
(2,320,483
)
1,519,568
NET ASSETS:
Change in net assets
490,643,388
462,799,878
(1,132,289
)
2,715,972
Beginning of period
800,279,184
337,479,306
47,418,728
44,702,756
End of period
$1,290,922,572
$800,279,184
$46,286,439
$47,418,728
CAPITAL TRANSACTIONS:
Proceeds from shares issued
$1,138,673,923
$581,385,583
$3,384,821
$60,153,501
Cost of shares redeemed
(677,524,639
)
(133,286,437
)
(5,705,304
)
(58,633,933
)
Total change in net assets resulting from capital
transactions
$461,149,284
$448,099,146
$(2,320,483
)
$1,519,568
SHARE TRANSACTIONS:
Issued
24,800,000
12,875,000
75,000
1,350,000
Redeemed
(14,700,000
)
(3,000,000
)
(125,000
)
(1,300,000
)
Net increase (decrease) in shares from share transactions
10,100,000
9,875,000
(50,000
)
50,000
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
113
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
JPMorgan
USD Emerging Markets
Sovereign Bond ETF
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)
$19,550,892
$29,323,631
Net realized gain (loss)
2,033,892
(13,507,494
)
Change in net unrealized appreciation/depreciation
14,733,684
12,878,908
Change in net assets resulting from operations
36,318,468
28,695,045
DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders
(19,400,505
)
(27,334,059
)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions
(38,664,143
)
428,749,290
NET ASSETS:
Change in net assets
(21,746,180
)
430,110,276
Beginning of period
657,694,641
227,584,365
End of period
$635,948,461
$657,694,641
CAPITAL TRANSACTIONS:
Proceeds from shares issued
$66,568,491
$714,431,871
Cost of shares redeemed
(105,232,634
)
(285,682,581
)
Total change in net assets resulting from capital transactions
$(38,664,143
)
$428,749,290
SHARE TRANSACTIONS:
Issued
1,700,000
18,600,000
Redeemed
(2,700,000
)
(7,600,000
)
Net increase (decrease) in shares from share transactions
(1,000,000
)
11,000,000
SEE NOTES TO FINANCIAL STATEMENTS.
114
J.P. Morgan Exchange-Traded Funds
August 31, 2024
THIS PAGE IS INTENTIONALLY LEFT BLANK
115
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance
Investment operations
Distributions
Net asset
value,
beginning
of period
Net investment
income
(loss) (b)
Net realized
and unrealized
gains
(losses)
on investments
Total from
investment
operations
Net
investment
income
Net
realized
gain
Return
of
capital
Total
distributions
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate
Bond ETF
Six Months Ended August 31, 2024 (Unaudited)
$47.51
$0.89
$0.93
$1.82
$(0.91
)
$—
$—
$(0.91
)
Year Ended February 29, 2024
46.96
1.47
0.55
2.02
(1.47
)
—
—
(1.47
)
Year Ended February 28, 2023
49.85
0.81
(2.92
)
(2.11
)
(0.78
)
—
—
(0.78
)
Year Ended February 28, 2022 (f)
51.87
0.53
(1.72
)
(1.19
)
(0.57
)
(0.26
)
—
(0.83
)
Year Ended February 28, 2021 (f)
51.72
0.85
0.34
1.19
(0.83
)
(0.21
)
—
(1.04
)
March 12, 2019(g)
through February 29, 2020 (f)
50.00
1.17
1.76
2.93
(1.21
)
—
—
(1.21
)
JPMorgan BetaBuilders U.S. Aggregate Bond
ETF
Six Months Ended August 31, 2024 (Unaudited)
45.62
0.95
1.20
2.15
(0.96
)
—
—
(0.96
)
Year Ended February 29, 2024
45.92
1.79
(0.36
)
1.43
(1.73
)
—
—
(1.73
)
Year Ended February 28, 2023
52.13
1.13
(6.27
)
(5.14
)
(1.07
)
—
—
(1.07
)
Year Ended February 28, 2022 (f)
54.39
0.71
(2.19
)
(1.48
)
(0.72
)
(0.06
)
—
(0.78
)
Year Ended February 28, 2021 (f)
54.86
0.89
(0.32
)
0.57
(0.85
)
(0.19
)
—
(1.04
)
Year Ended February 29, 2020 (f)
50.63
1.39
4.35
5.74
(1.44
)
(0.07
)
—
(1.51
)
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF
Six Months Ended August 31, 2024 (Unaudited)
98.18
3.17
0.23
3.40
(3.80
)
—
—
(3.80
)
May 10, 2023(g) through February 29, 2024
99.50
3.34
(1.25
)
2.09
(3.33
)
—
(0.08
)
(3.41
)
JPMorgan BetaBuilders U.S. Treasury Bond 1-3
Year ETF
Six Months Ended August 31, 2024 (Unaudited)
98.28
2.28
0.94
3.22
(2.38
)
—
—
(2.38
)
April 19, 2023(g) through February 29, 2024
99.50
3.93
(1.30
)
2.63
(3.85
)
—
—
(3.85
)
JPMorgan BetaBuilders U.S. Treasury Bond 20+
Year ETF
Six Months Ended August 31, 2024 (Unaudited)
89.86
1.99
2.15
4.14
(2.14
)
—
—
(2.14
)
April 19, 2023(g) through February 29, 2024
99.50
3.43
(10.06
)
(6.63
)
(3.01
)
—
—
(3.01
)
JPMorgan BetaBuilders U.S. Treasury Bond
3-10 Year ETF
Six Months Ended August 31, 2024 (Unaudited)
96.91
1.90
2.42
4.32
(2.00
)
—
—
(2.00
)
April 19, 2023(g) through February 29, 2024
99.50
3.32
(2.93
)
0.39
(2.98
)
—
—
(2.98
)
(a)
Annualized for periods less than one year, unless otherwise noted.
(b)
Calculated based upon average shares outstanding.
(c)
Not annualized for periods less than one year.
(d)
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.
(e)
Prior to December 9, 2019, the 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 the 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 the 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.
(f)
Per share amounts reflects a 1:2 reverse stock split that occurred on April 12, 2021.
(g)
Commencement of operations.
(h)
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.
(i)
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.
SEE NOTES TO FINANCIAL STATEMENTS.
116
J.P. Morgan Exchange-Traded Funds
August 31, 2024
Ratios/Supplemental data
Ratios to average net assets (a)
Net asset
value,
end of
period
Market
price,
end of
period
Total
return (c)(d)
Market
price
total
return (c)(e)
Net assets,
end of
period
Net
expenses
Net
investment
income
(loss)
Expenses
without waivers
and reimbursements
Portfolio
turnover
rate (c)
$48.42
$48.44
3.88
%
3.90
%
$14,522,444
0.05
%
3.72
%
0.05
%
23
%
47.51
47.52
4.36
4.29
15,437,981
0.05
3.11
0.05
55
46.96
47.00
(4.24
)
(4.20
)
35,218,791
0.10
1.70
0.10
60
49.85
49.87
(2.31
)
(2.44
)
34,892,895
0.05
1.02
0.05
45
51.87
51.96
2.32
2.55
59,654,406
0.05
1.62
0.05
40
51.72
51.68
5.93
5.85
(h)
37,495,084
0.05
2.38
0.05
56
46.81
46.90
4.80
4.98
1,421,896,420
0.03
4.15
0.03
51
45.62
45.63
3.19
3.21
1,647,859,874
0.02
3.93
0.02
138
45.92
45.92
(9.91
)
(9.93
)
1,312,100,977
0.06
2.39
0.06
107
52.13
52.14
(2.76
)
(2.69
)
1,024,267,076
0.07
1.32
0.07
78
54.39
54.36
1.04
0.85
826,789,330
0.07
1.60
0.07
64
54.86
54.92
11.46
11.49
543,070,946
0.07
2.61
0.20
(i)
57
97.78
97.85
3.56
3.55
1,466,751
0.07
6.47
0.07
17
98.18
98.26
2.18
2.26
7,609,054
0.07
4.24
0.07
20
99.12
99.12
3.34
3.28
2,973,627
0.07
4.63
0.07
31
98.28
98.33
2.71
2.76
4,422,674
0.07
4.61
0.07
419
91.86
91.91
4.75
4.82
25,031,494
0.07
4.46
0.07
11
89.86
89.85
(6.66
)
(6.67
)
31,225,422
0.07
4.38
0.07
29
99.23
99.28
4.54
4.55
6,202,183
0.07
3.91
0.07
13
96.91
96.95
0.43
0.47
8,479,285
0.07
3.97
0.07
31
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
117
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance
Investment operations
Distributions
Net asset
value,
beginning
of period
Net investment
income
(loss) (b)
Net realized
and unrealized
gains
(losses)
on investments
Total from
investment
operations
Net
investment
income
Net
realized
gain
Total
distributions
JPMorgan BetaBuilders USD High Yield Corporate Bond
Annualized for periods less than one year, unless otherwise noted.
(b)
Calculated based upon average shares outstanding.
(c)
Not annualized for periods less than one year.
(d)
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.
(e)
Prior to December 9, 2019, the 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 the 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 the 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.
(f)
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 Statements of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments.
(g)
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.
SEE NOTES TO FINANCIAL STATEMENTS.
118
J.P. Morgan Exchange-Traded Funds
August 31, 2024
Ratios/Supplemental data
Ratios to average net assets (a)
Net asset
value,
end of
period
Market
price,
end of
period
Total
return (c)(d)
Market
price
total
return (c)(e)
Net assets,
end of
period
Net
expenses
Net
investment
income
(loss)
Expenses
without waivers
and reimbursements
Portfolio
turnover
rate (c)
$46.81
$46.89
5.82
%
5.80
%
$1,290,922,572
0.15
%
7.38
%
0.15
%
21
%
45.80
45.88
10.34
10.43
800,279,184
0.15
7.09
0.15
16
44.41
44.44
(5.16
)
(5.20
)
337,479,306
0.23
4.93
0.23
39
49.61
49.65
0.26
0.40
1,453,558,764
0.24
3.83
0.24
46
51.64
51.61
7.16
6.43
1,559,634,055
0.23
4.18
0.23
50
50.31
50.62
6.15
6.88
171,037,324
0.32
4.90
0.44
(g)
128
46.29
46.36
5.20
5.38
46,286,439
0.09
5.00
0.09
7
45.16
45.15
5.70
5.58
47,418,728
0.09
4.77
0.09
13
44.70
44.74
(10.25
)
(10.32
)
44,702,756
0.14
3.36
0.14
35
51.48
51.56
(3.70
)
(3.83
)
51,478,693
0.14
2.51
0.14
36
55.33
55.48
2.24
2.09
55,332,638
0.14
2.81
0.14
41
56.27
56.50
15.74
15.95
35,170,394
0.14
3.58
0.65
(g)
67
40.00
40.07
5.98
6.08
635,948,461
0.39
6.14
0.39
11
38.92
38.95
7.26
6.59
657,694,641
0.39
6.29
0.39
26
38.57
38.83
(6.59
)
(7.36
)
227,584,365
0.39
5.63
0.39
34
43.42
44.06
(8.06
)
(6.78
)
69,475,995
0.39
4.17
0.39
38
49.27
49.30
0.85
0.50
83,750,663
0.39
4.50
0.39
59
50.95
51.15
12.25
12.44
91,713,454
0.39
4.64
0.58
(g)
53
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
119
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited)
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 9 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
Diversified
JPMorgan BetaBuilders U.S. Aggregate Bond ETF
Diversified
JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF
Diversified
JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF
Diversified
JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF
Diversified
JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF
Diversified
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF
Diversified
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF
Diversified
JPMorgan USD Emerging Markets Sovereign Bond ETF
Non-Diversified
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 Index.
The investment objective of JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF (“BetaBuilders U.S. TIPS 0-5 Year ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the ICE 0-5 Year U.S. Inflation-Linked Treasury Index.
The investment objective of JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF (“BetaBuilders U.S. Treasury Bond 1-3 Year ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the ICE U.S. Treasury 1-3 Year Bond Index.
The investment objective of JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF (“BetaBuilders U.S. Treasury Bond 20+ Year ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the ICE U.S. Treasury 20+ Year Bond Index.
The investment objective of JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF (“BetaBuilders U.S. Treasury Bond 3-10 Year ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the ICE U.S. Treasury 3-10 Year 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 U.S. 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.
120
J.P. Morgan Exchange-Traded Funds
August 31, 2024
Shares of each Fund are listed and traded at market price on an exchange as follows:
Listing Exchange
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
Cboe BZX Exchange, Inc.
BetaBuilders U.S. Aggregate Bond ETF
NYSE Arca, Inc.
BetaBuilders U.S. TIPS 0-5 Year ETF
Cboe BZX Exchange, Inc.
BetaBuilders U.S. Treasury Bond 1-3 Year ETF
Cboe BZX Exchange, Inc.
BetaBuilders U.S. Treasury Bond 20+ Year ETF
Cboe BZX Exchange, Inc.
BetaBuilders U.S. Treasury Bond 3-10 Year ETF
Cboe BZX Exchange, Inc.
BetaBuilders USD High Yield Corporate Bond ETF
Cboe BZX Exchange, Inc.
BetaBuilders USD Investment Grade Corporate Bond ETF
NYSE Arca, Inc.
USD Emerging Markets Sovereign Bond ETF
NYSE Arca, Inc.
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 in exchange for a basket of securities and/or cash. 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
August 31, 2024
J.P. Morgan Exchange-Traded Funds
121
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
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.
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.
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 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Asset-Backed Securities
$—
$44,656
$—
$44,656
Commercial Mortgage-Backed Securities
—
237,475
—
237,475
Corporate Bonds
—
3,517,428
—
3,517,428
Foreign Government Securities
—
191,180
—
191,180
Mortgage-Backed Securities
—
899,532
—
899,532
Municipal Bonds
—
38,267
—
38,267
Supranational
—
315,367
—
315,367
U.S. Government Agency Securities
—
146,796
—
146,796
U.S. Treasury Obligations
—
8,978,129
—
8,978,129
Short-Term Investments
Investment Companies
109,373
—
—
109,373
Total Investments in Securities
$109,373
$14,368,830
$—
$14,478,203
BetaBuilders U.S. Aggregate Bond ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Asset-Backed Securities
$—
$6,480,292
$—
$6,480,292
Commercial Mortgage-Backed Securities
—
26,134,196
—
26,134,196
Corporate Bonds
—
348,006,209
—
348,006,209
Foreign Government Securities
—
23,169,362
—
23,169,362
Mortgage-Backed Securities
—
354,456,351
—
354,456,351
Municipal Bonds
—
7,046,915
—
7,046,915
Supranational
—
16,916,093
—
16,916,093
U.S. Government Agency Securities
—
13,044,777
—
13,044,777
U.S. Treasury Obligations
—
612,957,311
—
612,957,311
122
J.P. Morgan Exchange-Traded Funds
August 31, 2024
BetaBuilders U.S. Aggregate Bond ETF
(continued)
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Short-Term Investments
Investment Companies
$48,557,756
$—
$—
$48,557,756
Investment of Cash Collateral from Securities
Loaned
2,646,135
—
—
2,646,135
Total Short-Term Investments
51,203,891
—
—
51,203,891
Total Investments in Securities
$51,203,891
$1,408,211,506
$—
$1,459,415,397
BetaBuilders U.S. TIPS 0-5 Year ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
U.S. Treasury Obligations
$—
$1,456,712
$—
$1,456,712
Short-Term Investments
Investment Companies
4,274
—
—
4,274
Total Investments in Securities
$4,274
$1,456,712
$—
$1,460,986
BetaBuilders U.S. Treasury Bond 1-3 Year ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
U.S. Treasury Obligations
$—
$2,939,540
$—
$2,939,540
Short-Term Investments
Investment Companies
4,078
—
—
4,078
Total Investments in Securities
$4,078
$2,939,540
$—
$2,943,618
BetaBuilders U.S. Treasury Bond 20+ Year ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
U.S. Treasury Obligations
$—
$24,760,807
$—
$24,760,807
Short-Term Investments
Investment Companies
22,974
—
—
22,974
Total Investments in Securities
$22,974
$24,760,807
$—
$24,783,781
BetaBuilders U.S. Treasury Bond 3-10 Year ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
U.S. Treasury Obligations
$—
$6,140,661
$—
$6,140,661
Short-Term Investments
Investment Companies
4,023
—
—
4,023
Total Investments in Securities
$4,023
$6,140,661
$—
$6,144,684
August 31, 2024
J.P. Morgan Exchange-Traded Funds
123
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
BetaBuilders USD High Yield Corporate Bond
ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Common Stocks
$—
$—
$61,961
$61,961
Corporate Bonds
—
1,264,221,104
117,243
1,264,338,347
Short-Term Investments
Investment Companies
8,524,800
—
—
8,524,800
Total Investments in Securities
$8,524,800
$1,264,221,104
$179,204
$1,272,925,108
BetaBuilders USD Investment Grade Corporate Bond
ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Corporate Bonds
$—
$45,488,407
$—
$45,488,407
Short-Term Investments
Investment Companies
146,711
—
—
146,711
Total Investments in Securities
$146,711
$45,488,407
$—
$45,635,118
USD Emerging Markets Sovereign Bond ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Corporate Bonds
$—
$80,831,082
$—
$80,831,082
Foreign Government Securities
—
542,657,499
—
542,657,499
Short-Term Investments
Investment Companies
3,138,429
—
—
3,138,429
Investment of Cash Collateral from Securities Loaned
3,800,828
—
—
3,800,828
Total Short-Term Investments
6,939,257
—
—
6,939,257
Total Investments in Securities
$6,939,257
$623,488,581
$—
$630,427,838
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 August 31, 2024, 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.
124
J.P. Morgan Exchange-Traded Funds
August 31, 2024
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.
The Funds 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 Funds is held in a separate segregated account maintained by JPMorgan Chase Bank, N.A.("JPMCB"). These amounts are not reflected on the Funds' Statements of Assets and Liabilities and are disclosed in the table below.
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 August 31, 2024, which are shown as a Receivable for Investment securities sold — delayed delivery securities and/or a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statements of Assets and Liabilities. The values of these securities held at August 31, 2024 are detailed on the SOIs, if any.
The Funds' delayed delivery securities collateral requirements and collateral posted or received by counterparty as of August 31, 2024 are as follows:
Fund
Counterparty
Collateral
amount
BetaBuilders U.S. Aggregate Bond ETF
Collateral Received
Barclays Bank plc
$(20,000
)
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.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
125
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
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 August 31, 2024.
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
$2,569,563
$(2,569,563
)
$—
USD Emerging Markets Sovereign Bond ETF
3,686,417
(3,686,417
)
—
*
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 six months ended August 31, 2024, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
BetaBuilders U.S. Aggregate Bond ETF
$415
USD Emerging Markets Sovereign Bond ETF
442
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, BetaBuilders U.S. TIPS 0-5 Year ETF, BetaBuilders U.S. Treasury Bond 1-3 Year ETF, BetaBuilders U.S. Treasury Bond 20+ Year ETF, BetaBuilders U.S. Treasury Bond 3-10 Year ETF, BetaBuilders USD High Yield Corporate Bond ETF and BetaBuilders USD Investment Grade Corporate Bond ETF did not lend out any securities during the six months ended August 31, 2024.
E. Investment Transactions with Affiliates— The Funds invested in Underlying Funds 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 six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan U.S. Government Money Market Fund
Class IM Shares, 5.22% (a) (b)
$130,683
$551,974
$573,284
$—
$—
$109,373
109,373
$2,467
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
BetaBuilders U.S. Aggregate Bond ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Securities Lending
Money Market Fund Agency
SL Class Shares, 5.34%
(a) (b)
$4,994,144
$2,000,000
$5,000,000
$(1,598
)*
$500
$1,993,046
1,992,846
$99,585
*
$—
126
J.P. Morgan Exchange-Traded Funds
August 31, 2024
BetaBuilders U.S. Aggregate Bond ETF (continued)
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan U.S. Government
Money Market Fund Class IM
Shares, 5.22% (a) (b)
$2,800,792
$14,089,000
$16,236,703
$—
$—
$653,089
653,089
$35,638
*
$—
JPMorgan U.S. Government
Money Market Fund Class IM
Shares, 5.22% (a) (b)
87,934,755
117,892,817
157,269,816
—
—
48,557,756
48,557,756
1,575,204
—
Total
$95,729,691
$133,981,817
$178,506,519
$(1,598
)
$500
$51,203,891
$1,710,427
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
*
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee).
BetaBuilders U.S. TIPS 0-5 Year ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Prime Money Market Fund Class IM
Shares, 5.34% (a) (b)
$14,211
$186,323
$196,260
$4
$(4
)
$4,274
4,271
$163
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
BetaBuilders U.S. Treasury Bond 1-3 Year ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Prime Money Market Fund Class IM
Shares, 5.34% (a) (b)
$12,560
$113,854
$122,339
$3
$—
$4,078
4,076
$156
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
127
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
BetaBuilders U.S. Treasury Bond 20+ Year ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Prime Money Market Fund Class IM
Shares, 5.34% (a) (b)
$10,827
$1,192,614
$1,180,496
$27
$2
$22,974
22,963
$983
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
BetaBuilders U.S. Treasury Bond 3-10 Year ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Prime Money Market Fund Class IM
Shares, 5.34% (a) (b)
$15,759
$138,100
$149,840
$4
$—
$4,023
4,021
$255
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
BetaBuilders USD High Yield Corporate Bond ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan U.S. Government Money
Market Fund Class IM Shares, 5.22%
(a) (b)
$7,787,177
$91,307,594
$90,569,971
$—
$—
$8,524,800
8,524,800
$192,400
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
BetaBuilders USD Investment Grade Corporate Bond ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan U.S. Government Money Market Fund
Class IM Shares, 5.22% (a) (b)
$56,033
$2,169,693
$2,079,015
$—
$—
$146,711
146,711
$6,473
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
128
J.P. Morgan Exchange-Traded Funds
August 31, 2024
USD Emerging Markets Sovereign Bond ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Securities Lending Money
Market Fund Agency SL
Class Shares, 5.34% (a) (b)
$7,001,400
$14,000,000
$18,000,000
$(1,800
)*
$800
$3,000,400
3,000,100
$93,929
*
$—
JPMorgan U.S. Government Money
Market Fund Class IM Shares,
5.22% (a) (b)
896,718
17,867,845
17,964,135
—
—
800,428
800,428
38,835
*
—
JPMorgan U.S. Government Money
Market Fund Class IM Shares,
5.22% (a) (b)
3,914,092
23,567,328
24,342,991
—
—
3,138,429
3,138,429
78,868
—
Total
$11,812,210
$55,435,173
$60,307,126
$(1,800
)
$800
$6,939,257
$211,632
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
*
Amount is included on the Statements 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 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 period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
G. 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.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
129
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
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 August 31, 2024, 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.
I. 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.
J. 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.
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
0.05
%
BetaBuilders U.S. Aggregate Bond ETF
0.03
BetaBuilders U.S. TIPS 0-5 Year ETF
0.07
BetaBuilders U.S. Treasury Bond 1-3 Year ETF
0.07
BetaBuilders U.S. Treasury Bond 20+ Year ETF
0.07
BetaBuilders U.S. Treasury Bond 3-10 Year ETF
0.07
BetaBuilders USD High Yield Corporate Bond ETF
0.15
BetaBuilders USD Investment Grade Corporate Bond ETF
0.09
USD Emerging Markets Sovereign Bond ETF
0.39
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.
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.
130
J.P. Morgan Exchange-Traded Funds
August 31, 2024
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.
4. Investment Transactions
During the six months ended August 31, 2024, 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
Sales
of U.S.
Government
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
$1,863,117
$2,392,758
$1,487,702
$1,195,767
BetaBuilders U.S. Aggregate Bond ETF
681,304,146
775,895,186
107,572,748
90,961,155
BetaBuilders U.S. TIPS 0-5 Year ETF
—
—
701,946
343,430
BetaBuilders U.S. Treasury Bond 1-3 Year ETF
—
—
2,997,934
1,062,118
BetaBuilders U.S. Treasury Bond 20+ Year ETF
—
—
2,818,267
2,963,093
BetaBuilders U.S. Treasury Bond 3-10 Year ETF
—
—
1,595,939
669,122
BetaBuilders USD High Yield Corporate Bond ETF
222,128,431
224,601,246
—
—
BetaBuilders USD Investment Grade Corporate Bond ETF
3,446,370
4,016,977
—
—
USD Emerging Markets Sovereign Bond ETF
68,235,757
70,148,151
—
—
For the six months ended August 31, 2024, in-kind transactions associated with creations and redemptions were as follows:
In-Kind
Purchases
In-Kind
Sales
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
$—
$1,086,133
BetaBuilders U.S. Aggregate Bond ETF
43,515,515
242,541,663
BetaBuilders U.S. TIPS 0-5 Year ETF
—
6,638,933
BetaBuilders U.S. Treasury Bond 1-3 Year ETF
—
3,432,457
BetaBuilders U.S. Treasury Bond 20+ Year ETF
—
6,794,781
BetaBuilders U.S. Treasury Bond 3-10 Year ETF
951,038
4,285,479
BetaBuilders USD High Yield Corporate Bond ETF
1,123,219,678
671,365,948
BetaBuilders USD Investment Grade Corporate Bond ETF
3,703,537
5,574,256
USD Emerging Markets Sovereign Bond ETF
65,102,139
103,136,782
During the six months ended August 31, 2024, 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.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
131
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at August 31, 2024 were as follows:
Aggregate
Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
Depreciation
Net Unrealized
Appreciation
(Depreciation)
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
$14,508,739
$184,099
$214,635
$(30,536
)
BetaBuilders U.S. Aggregate Bond ETF
1,504,182,788
12,567,852
57,335,243
(44,767,391
)
BetaBuilders U.S. TIPS 0-5 Year ETF
1,461,343
4,390
4,747
(357
)
BetaBuilders U.S. Treasury Bond 1-3 Year ETF
2,912,193
31,434
9
31,425
BetaBuilders U.S. Treasury Bond 20+ Year ETF
25,757,640
111,887
1,085,746
(973,859
)
BetaBuilders U.S. Treasury Bond 3-10 Year ETF
6,131,328
28,969
15,613
13,356
BetaBuilders USD High Yield Corporate Bond ETF
1,261,507,279
21,089,459
9,671,630
11,417,829
BetaBuilders USD Investment Grade Corporate Bond ETF
45,581,275
1,076,782
1,022,939
53,843
USD Emerging Markets Sovereign Bond ETF
612,512,524
19,945,854
2,030,540
17,915,314
At February 29, 2024, the following Funds had net capital loss carryforwards, which are available to offset future realized gains:
Capital Loss Carryforward Character
Short-Term
Long-Term
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
$217,994
$589,081
BetaBuilders U.S. Aggregate Bond ETF
45,823,372
26,984,148
BetaBuilders U.S. TIPS 0-5 Year ETF
11,447
—
BetaBuilders U.S. Treasury Bond 1-3 Year ETF
65,545
—
BetaBuilders U.S. Treasury Bond 20+ Year ETF
309,827
—
BetaBuilders U.S. Treasury Bond 3-10 Year ETF
22,773
—
BetaBuilders USD High Yield Corporate Bond ETF
16,712,124
40,720,880
BetaBuilders USD Investment Grade Corporate Bond ETF
673,732
2,585,312
USD Emerging Markets Sovereign Bond ETF
9,330,219
*
7,664,625
*
*
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 29, 2024, the following Funds deferred to March 1, 2024 the following net capital losses (gains) and/or specified ordinary losses of:
Net Capital Losses (Gains)
Specified
Ordinary Losses
Short-Term
Long-Term
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
$(18,286
)
$28,515
$—
BetaBuilders U.S. Aggregate Bond ETF
(4,478,621
)
13,438,454
—
BetaBuilders U.S. TIPS 0-5 Year ETF
2,429
—
—
BetaBuilders U.S. Treasury Bond 1-3 Year ETF
812
—
—
BetaBuilders U.S. Treasury Bond 20+ Year ETF
196,158
—
—
BetaBuilders U.S. Treasury Bond 3-10 Year ETF
1,596
—
—
BetaBuilders USD High Yield Corporate Bond ETF
(159,552
)
351,380
3
BetaBuilders USD Investment Grade Corporate Bond ETF
(13,709
)
71,263
—
USD Emerging Markets Sovereign Bond ETF
(325,149
)
879,004
—
132
J.P. Morgan Exchange-Traded Funds
August 31, 2024
During the year ended February 29, 2024, the following Fund utilized capital loss carryforwards as follows:
Capital Loss Utilized
Short-Term
BetaBuilders USD High Yield Corporate Bond ETF
$34,762
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 six months ended August 31, 2024.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement 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. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 29, 2024.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended August 31, 2024.
Effective August 8, 2023, the Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into an existing joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. Although the Trust is effectively part of the Credit Facility as of August 8, 2023, it was not eligible to draw on the Credit Facility, and did not incur costs associated with being a part of the Credit Facility.
This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25 million in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25 million minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00%, plus the greater of the federal funds effective rate or the one-month Adjusted Secured Overnight Financing Rate (SOFR).
August 31, 2024
J.P. Morgan Exchange-Traded Funds
133
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
Effective May 31, 2024, the Funds are no longer part of the Credit Facility.
The Funds did not utilize the Credit Facility during the six months ended August 31, 2024.
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 August 31, 2024, 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 U.S. Aggregate Bond ETF
—
%
28.8
%
BetaBuilders USD High Yield Corporate Bond ETF
14.7
10.7
Significant shareholder transactions by these shareholders may impact the Funds' performance and liquidity.
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.
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 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 invest in variable and floating rate loans and other variable and floating rate securities. Although these investments are generally less sensitive to interest rate changes than fixed rate instruments, the value of floating rate loans and other securities may decline if their interest rates do not rise as quickly, or as much, as general interest rates. 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 change interest rates or the timing, frequency, or magnitude of such changes. 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.
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.
134
J.P. Morgan Exchange-Traded Funds
August 31, 2024
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.
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.
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF, BetaBuilders U.S. Aggregate Bond ETF and BetaBuilders USD Investment Grade Corporate Bond ETF invest in contingent convertible securities (“CoCos”) and are subject to additional risks from such investments. CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event such as a decline in capital ratio below a prescribed threshold occurs. If such a trigger event occurs, the Funds may lose the principal amount invested on a permanent or temporary basis or the CoCo may be converted to equity. Even though the Funds do not invest in common stock as a principal investment strategy, the Funds will be subject to increased equity market risk in the event that such securities are converted to equity. In addition to being subject to a possible write-down upon the occurrence of a trigger event, CoCos may also be subject to a permanent write-down or conversion into equity (in whole or in part), if the applicable bank regulator or other public administrative authority having responsibility for managing the orderly dissolution of an institution has determined that the issuer is not viable. Coupon payments on CoCos may be discretionary and may be cancelled by the issuer. Holders of CoCos may suffer a loss of capital when comparable equity holders do not. As CoCos may be perpetual or have long-dated maturities, they may face greater interest rate sensitivity and may be subject to greater fluctuations in value than securities with shorter maturity dates. Such securities also may be subject to prepayment risk due to optional or mandatory redemption provisions.
The Funds are subject to infectious disease epidemics/pandemics risk. The effects of any future pandemic or other global event to public health and business and market conditions, may 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 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 a pandemic or other global event that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could have a significant negative impact on a Fund’s investment performance. The ultimate impact of any pandemic or other global event and the extent to which the associated conditions and governmental responses impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
9. Subsequent Events
Subsequent to August 31, 2024, BetaBuilders U.S. Treasury Bond 20+ Year ETF had net redemptions of $16,964,604, which represented 68% of the Fund’s net assets as of August 31, 2024.
On August 22, 2024, the Board approved the liquidation of BetaBuilders 1-5 Year U.S. Aggregate Bond ETF and BetaBuilders U.S. TIPS 0-5 Year ETF which both are expected to occur on October 25, 2024. In connection with the liquidations, BetaBuilders 1-5 Year U.S. Aggregate Bond ETF and BetaBuilders U.S. TIPS 0-5 Year ETF were delisted from the Cboe BRZ Exchange, Inc. effective October 18, 2024.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
135
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 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.
Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Not applicable.
Proxy Disclosures for Open-End Management Investment Companies
Not applicable.
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
Included in the Statements of Operations within the Funds' Financial Statements.
Statement Regarding Basis for Approval of Management Agreements
The Board of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board and its investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed Income Committee) met regularly throughout the year and, at each meeting, considered factors that are relevant to their annual consideration of the continuation of the management agreements. The Board also met for the specific purpose of considering management agreement annual renewals. The Board held meetings June 25-26, 2024 and August 20-22, 2024, at which the Trustees considered the continuation of the management agreements for each Fund whose semi-annual report is contained herein (each a “Management Agreement” and collectively, the “Management Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered each investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to a Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940) of any party to a Management Agreement or any of their affiliates, approved the continuation of each Management Agreement on August 22, 2024.
As part of their review of the Management Agreements, the Trustees considered and reviewed performance and other information about the Funds received from J.P. Morgan Investment Management Inc. (the “Adviser”). This information included the Funds’ performance as compared to the performance of their peers and benchmarks, and analyses by the Adviser of the Funds’ performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (the “independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of certain Funds, including risk and performance return assessments as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Management Agreements, the Trustees reviewed the Management Agreements with represen
tatives of the Adviser, counsel to the Funds, and independent legal counsel to the Trustees, and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Management Agreements. The Trustees also discussed the Management Agreements with independent legal counsel in executive sessions at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Management Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Management Agreement was fair and reasonable under the circumstances and determined that the continuance of each Management Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Management Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. Among other things, the Trustees considered:
•
The background and experience of the Adviser’s senior management and investment personnel, including personnel changes, if any;
•
The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund, including personnel changes, if any;
•
The investment strategy for each Fund, and the infrastructure supporting the portfolio management teams;
•
Information about the structure and distribution strategy for each Fund and how it fits within the Adviser’s other fund offerings within the J.P. Morgan Funds complex;
•
The administration services provided by the Adviser in its
role as Administrator;
•
Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Funds and in the financial industry generally;
•
The overall reputation and capabilities of the Adviser and its affiliates;
•
The commitment of the Adviser to provide high quality service to the Funds;
•
Their overall confidence in the Adviser’s integrity; and
•
The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates from providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser and reviewed with the Board. The Trustees also recognized that it is difficult to make direct comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Management Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered the fees earned by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Adviser, for custody, fund accounting and other related services for each Fund, and the profitability of the arrangements to JPMCB.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds' operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including benefits that may be received by the Adviser and its affiliates in connection with the Funds’ potential investments in other funds advised by the Adviser. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Funds.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from potential economies of scale. The Trustees considered that under the Management Agreements, the Adviser provides advisory and administrative services and is responsible for substantially all expenses of each Fund except for certain enumerated contractual exclusions under a “unitary fee” structure. The Trustees noted that the unitary management fee for each Fund does not contain breakpoints. The Trustees considered that shareholders would benefit because expenses would be limited even when a Fund is new and not achieving economies of scale. The Trustees considered the fact that increases in assets would not lead to management fee decreases even if economies of scale are achieved, but also that the Trustees would have the opportunity to further review the appropriateness of the fee payable to the Adviser under the Management Agreement in the future. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds. After considering the factors identified above, the Trustees concluded that the Fund’s shareholders will receive the benefits of potential economies of scale.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of management services and fee rates offered to other clients of the Adviser, including, to the extent applicable, institutional separate accounts, collective investment trusts, other registered investment companies and/or private funds sub-advised by the Adviser, for investment
management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered investment companies relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered investment company involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the applicable registered investment company, typically bears the sub-advisory fee and that many responsibilities related to the advisory function are typically retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees considered that each Fund is a “passive” ETFs whose objective is to closely correspond, before fees and expenses, to the performance of its benchmark index. The Trustees considered each Fund’s investment strategy and processes, portfolio management teams and competitive positioning against peer funds, as identified by management. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered each Fund’s performance information provided at regular Board meetings by the Adviser. After consideration, the Trustees determined that each Fund’s performance was consistent with its investment objective and supported renewal of each Fund’s Management Agreement.
Management Fees and Expense Ratios
The Trustees considered the contractual management fee rate paid by each Fund to the Adviser and compared the rate to the information prepared by Broadridge concerning management fee rates paid by other funds in the same Broadridge category as each Fund. This review included ranking of each Fund within an expense universe comprised of funds with the same Broadridge investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”). The Trustees reviewed a description of Broadridge’s methodology for selecting funds in the Universe and Peer Group, as applicable, and noted that the Universe and/or Peer Group quintile rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Trustees also reviewed information about other expenses and the total expense ratio for each Fund. The Trustees recognized that it can be difficult to make comparisons of management fees because there are variations in the services that are included in the fees paid by
other funds. The Trustees’ determinations as a result of the review of each Fund’s management fees and expense ratios are summarized below:
The Trustees noted that the JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF’s net management fee and actual total expenses were in the second and third quintiles of the Universe, respectively. Broadridge did not calculate quintile rankings of the Peer Group due to the limited number of funds in the Peer Group. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan BetaBuilders U.S. Aggregate Bond ETF’s net management fee was in the fourth and second quintiles of the Peer Group and Universe, respectively, and that the actual total expenses were in the second and first quintiles of the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan BetaBuilders U.S. TIPS 0-5 Year ETF’s net management fee was in the second quintile of both the Peer Group and Universe, and that the actual total expenses were in the second and first quintiles of the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was s fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF’s net management fee and actual total expenses were both in the fourth quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan BetaBuilders U.S. Treasury Bond 3-10 Year ETF’s net management fee and actual total expenses were both in the fourth quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan BetaBuilders U.S. Treasury Bond 20+ Year ETF’s net management fee and actual total expenses were both in the third quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan BetaBuilders USD High Yield Corporate Bond ETF’s net management fee and actual total expenses were both in the first quintile of the Universe. Broadridge did not calculate quintile rankings of the Peer Group due to the limited number of funds in the Peer Group. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF’s net management fee was in the third and second quintiles of the Peer Group and Universe, respectively, and that the actual total expenses were
in the second quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was s fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan USD Emerging Markets Sovereign Bond ETF’s net management fee and actual total expenses were both in the fourth and third quintile of the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the management fee was fair and reasonable in light of the services provided to the Fund.
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’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at (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.
JPMorgan High Yield Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Municipal Bonds — 91.8% (a)
Alabama — 4.2%
Black Belt Energy Gas District, Gas Project
Series 2023D-1, Rev., 5.50%, 2/1/2029(b)
2,030,000
2,173,634
Series 2021A, Rev., 4.00%, 12/1/2031(b)
3,000,000
3,029,038
County of Jefferson sewer Series 2024, Rev.,
5.50%, 10/1/2053
1,000,000
1,092,194
Mobile County Industrial Development
Authority, Calvert LLC Project Series 2024 A,
Rev., AMT, 5.00%, 6/1/2054
1,000,000
1,039,326
Total Alabama
7,334,192
Alaska — 0.2%
Northern Tobacco Securitization Corp., Tobacco
Settlement Asset-Backed Senior Capital
Appreciation Series 2021 B-2, Class 2, Rev.,
Zero Coupon, 6/1/2066
2,000,000
269,438
Arizona — 2.7%
Arizona Industrial Development Authority, Great
Lakes Senior Living Communities LLC Project
Series 2019A, Rev., 5.00%, 1/1/2029
1,500,000
1,293,604
Series 2019A, Rev., 5.00%, 1/1/2037
1,000,000
714,902
Series 2019A, Rev., 5.00%, 1/1/2038
1,000,000
712,074
Series 2019A, Rev., 4.25%, 1/1/2039
1,000,000
644,564
Series 2019A, Rev., 4.50%, 1/1/2049
2,000,000
1,161,694
Maricopa County Industrial Development
Authority, Ottawa University Rev., 5.13%,
10/1/2030(c)
210,000
209,423
Total Arizona
4,736,261
Arkansas — 0.6%
Arkansas Development Finance Authority,
Industrial Development , Hybar Steel Project
Series 2023B, Rev., AMT, 7.38%,
7/1/2048(c)
1,000,000
1,107,551
California — 7.8%
California Community Choice Financing
Authority, Clean Energy Project Series
2023B-1, Rev., 5.00%, 8/1/2029(b)
1,280,000
1,360,078
California County Tobacco Securitization Agency,
Los Angeles County Securitization Corp.
Series 2020 B-2, Rev., Zero Coupon,
6/1/2055
4,500,000
885,723
California Health Facilities Financing Authority,
Adventist Health System Series 2024A, Rev.,
5.00%, 12/1/2036
1,250,000
1,393,249
California Infrastructure and Economic
Development Bank, Brightline West
Passenger Rail Project Series 2020 A-4, Rev.,
AMT, 8.00%, 8/15/2025(b) (c)
1,750,000
1,766,749
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
California — continued
California Municipal Finance Authority, Linxs
Apartments Project, Senior Lien Series 2018
A, Rev., AMT, 5.00%, 12/31/2047
1,000,000
1,012,781
California School Facilities Financing Authority,
Capital Appreciation, Azusa Unified School
District Series 2009A, Rev., AGM, Zero
Coupon, 8/1/2030
200,000
167,937
California Statewide Communities Development
Authority, John Muir Health Series 2024A,
Rev., 5.00%, 12/1/2049
1,000,000
1,096,058
California Statewide Communities Development
Authority, Loma Linda University Medical
Center Series 2016 A, Rev., 5.25%,
12/1/2056(c)
3,000,000
3,033,457
Golden State Tobacco Securitization Corp.,
Enhanced Tobacco Settlement Series
2021B-2, Rev., Zero Coupon, 6/1/2066
25,000,000
2,907,575
Total California
13,623,607
Colorado — 5.0%
Bradburn Metropolitan District No. 2, Limited
Tax
Series 2018A, GO, 5.00%, 12/1/2038
500,000
502,003
Series 2018B, GO, 7.25%, 12/15/2047
500,000
500,377
Canyon Pines Metropolitan District Special
Improvement District No. 1 Series 2021A-2,
3.75%, 12/1/2040
1,042,040
859,250
City of Colorado Springs Utilities System Series
2024A, Rev., 5.00%, 11/15/2049
1,000,000
1,100,079
Colorado Health Facilities Authority, Adventist
Health System Series 2024 A-1, Rev., 5.00%,
11/15/2029(b)
1,000,000
1,097,010
Colorado Housing and Finance Authority Series
2023L, Class III, Rev., GNMA COLL, 5.75%,
11/1/2053
985,000
1,061,753
Dominion Water and Sanitation District Rev.,
5.25%, 12/1/2032
515,000
534,111
Raindance Metropolitan District No. 1,
Non-Potable Water System Rev., 5.00%,
12/1/2040
750,000
750,711
Rocky Mountain Rail Park Metropolitan District,
Limited Tax Series 2021A, GO, 5.00%,
12/1/2041(c)
1,250,000
884,423
Third Creek Metropolitan District No. 1, Limited
Tax
Series 2022A-1, GO, 4.50%, 12/1/2037
825,000
738,911
Series 2022A-1, GO, 4.75%, 12/1/2051
760,000
617,791
Total Colorado
8,646,419
1
JPMorgan High Yield Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Municipal Bonds — continued
Connecticut — 2.1%
Connecticut State Health and Educational
Facilities Authority, Yale New Heaven Health
Series 2024 B, Rev., 5.00%, 7/1/2029(b)
2,000,000
2,185,227
Stamford Housing Authority, The Dogwoods
Project Rev., BAN, 11.00%, 12/1/2027(c)
1,500,000
1,462,595
Total Connecticut
3,647,822
Delaware — 0.6%
Delaware State Economic Development
Authority, Delmarva Power and Light Co.
Project Series 2020A, Rev., 1.05%,
7/1/2025(b)
1,000,000
978,893
District of Columbia — 0.7%
Washington Metropolitan Area Transit Authority
Dedicated, Sustainability Climate Transition
Bonds Series 2024 A, Rev., 4.38%,
7/15/2059
1,255,000
1,245,907
Florida — 4.0%
Capital Trust Agency, Inc., Legends Academy
Project Series 2021A, Rev., 5.00%,
12/1/2045(c)
1,625,000
1,267,500
Florida Development Finance Corp., Brightline
Florida Passenger Rail Project Series 2024,
Rev., AMT, 5.50%, 7/1/2053
500,000
518,496
Florida Development Finance Corp., Idea
Florida, Inc., Jacksonville IV Project Rev.,
5.25%, 6/15/2029(c)
650,000
659,093
Martin County Health Facilities Authority,
Cleveland Clinic Health System Obligated
Group Series 2019A, Rev., 4.00%,
1/1/2046
1,500,000
1,458,352
Miami-Dade County Industrial Development
Authority, Solid Waste Disposal, Waste
Management, Inc., Project Series 2011, Rev.,
AMT, 5.00%, 11/1/2024(b)
1,000,000
1,002,063
Okaloosa County School Board COP, AGC,
5.00%, 10/1/2049
1,000,000
1,084,375
Palm Beach County Health Facilities Authority,
Jupiter Medical Center Series 2022, Rev.,
5.00%, 11/1/2052
1,000,000
1,022,657
Total Florida
7,012,536
Georgia — 4.6%
Columbia County Hospital Authority, Wellstart
Health System Inc., Project Series 2023A,
Rev., AGM, 5.00%, 4/1/2048
1,000,000
1,067,198
Fayette County Development Authority,
United States Soccer Federation, Inc. Project
Series 2024, Rev., 5.00%, 10/1/2043
1,200,000
1,285,524
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Georgia — continued
Gainesville and Hall County Hospital Authority,
Northeast Georgia Health System, Inc.,
Project Rev., RAN, 5.00%, 10/15/2034
1,000,000
1,145,853
Main Street Natural Gas, Inc., Gas Supply Series
2023A, Rev., 5.00%, 6/1/2030(b)
1,925,000
2,046,046
Municipal Electric Authority of Georgia, Plant
Vogtle Units 3 and 4 Project Series 2019B,
Rev., 5.00%, 1/1/2059
2,500,000
2,531,645
Total Georgia
8,076,266
Illinois — 2.1%
Chicago O'Hare International Airport, General
Airport, Senior Lien Series 2024 B, Rev.,
5.50%, 1/1/2059(d)
1,000,000
1,109,428
State of Illinois
Series 2019C, GO, 4.00%, 11/1/2042
1,500,000
1,452,649
Series 2020C, GO, 4.25%, 10/1/2045
1,000,000
977,206
Series 2023B, GO, 4.50%, 5/1/2048
160,000
160,332
Total Illinois
3,699,615
Indiana — 2.4%
City of Goshen, Multi-Family, Green Oaks of
Goshen Project Series 2021A, Rev., 5.00%,
8/1/2041(c)
1,000,000
851,057
City of Valparaiso, Green Oaks of Valparaiso
Project Rev., 5.38%, 12/1/2041(c)
1,550,000
1,268,982
Indiana Housing and Community Development
Authority, Vita of Marion Project Series
2021A, Rev., 5.25%, 4/1/2041(c)
1,250,000
1,049,185
Indianapolis Local Public Improvement Bond
Bank Series 2023F-1, Rev., 5.25%,
3/1/2067
1,000,000
1,072,338
Total Indiana
4,241,562
Iowa — 0.1%
Iowa Tobacco Settlement Authority, Subordinate
Senior Capital Appreciation Asset Backed
Series 2021-B-2, Class 2, Rev., Zero Coupon,
6/1/2065
1,000,000
155,520
Kentucky — 1.3%
County of Carroll, Kentucky Environmental
Facilities Series 2008A, Rev., AMT, 2.00%,
2/1/2032
1,475,000
1,243,882
Kentucky Public Energy Authority Series 2024B,
Rev., 5.00%, 8/1/2032(b)
1,000,000
1,085,874
Total Kentucky
2,329,756
2
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Municipal Bonds — continued
Louisiana — 1.9%
Louisiana Public Facilities Authority, Lincoln
Preparatory School Project Series 2021A,
Rev., 5.25%, 6/1/2051(c)
1,145,000
999,684
Louisiana Public Facilities Authority, Mentorship
Steam Academy Project
Series 2021A, Rev., 5.00%, 6/1/2051(c)
700,000
611,468
Series 2021A, Rev., 5.00%, 6/1/2056(c)
740,000
634,553
Parish of St. John the Baptist, Marathon Oil
Corp., Project Series 2017A-1, Rev., 4.05%,
7/1/2026(b)
1,000,000
1,009,080
Total Louisiana
3,254,785
Maryland — 0.6%
Maryland Health and Higher Educational
Facilities Authority, University of Maryland
Medical System Series 2008D, Rev., VRDO,
LOC : TD Bank NA, 3.80%, 9/3/2024(b)
1,000,000
1,000,000
Michigan — 2.9%
City of Detroit, Unlimited Tax Series 2020, GO,
5.50%, 4/1/2050
2,460,000
2,596,770
State of Michigan Trunk Line Series 2020 B,
Rev., 4.00%, 11/15/2045
2,550,000
2,501,960
Total Michigan
5,098,730
Minnesota — 0.6%
City of Minneapolis, Health Care System,
Fairview Health Services Series 2018A, Rev.,
5.00%, 11/15/2049
1,000,000
1,009,269
Montana — 0.5%
County of Gallatin, Bozeman Fiber Project Series
2021A, Rev., 4.00%, 10/15/2036(c)
1,000,000
879,218
Nebraska — 1.2%
Central Plains Energy Project, Gas Project No. 4
Series 2023 A-1, Rev., 5.00%,
11/1/2029(b)
1,000,000
1,056,860
Nebraska Educational Health Cultural and Social
Services Finance Authority, Immanuel
Retirement Communities Obligated Group
Series 2019A, Rev., 4.00%, 1/1/2037
1,000,000
991,398
Total Nebraska
2,048,258
New Hampshire — 0.2%
New Hampshire Business Finance Authority,
Tamarron Project Series 2024, Rev., 5.25%,
12/1/2035(c)
350,000
350,040
New Jersey — 3.7%
Jersey City Municipal Utilities Authority Series
2024 B, Rev., GTD, 5.00%, 5/1/2025
1,000,000
1,010,169
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
New Jersey — continued
New Jersey Economic Development Authority
Series 2020, Rev., 5.00%, 1/1/2040(c) (e)
3,000,000
2,073,555
New Jersey Economic Development Authority,
Black Horse EHT Urban Renewal LLC Project
Series 2019A, Rev., 5.00%, 10/1/2039(c)
(e)
2,000,000
1,470,158
New Jersey Economic Development Authority,
Marion P. Thomas Charter School, Inc.,
Project Series 2018A, Rev., 5.00%,
10/1/2033(c)
1,000,000
998,515
Tobacco Settlement Financing Corp. Series
2018B, Rev., 5.00%, 6/1/2046
935,000
943,439
Total New Jersey
6,495,836
New Mexico — 0.6%
City of Farmington, San Juan Project Series
2010 E, Rev., 3.88%, 6/1/2029(b)
1,000,000
1,027,739
New York — 13.1%
Buffalo & Fort Erie Public Bridge Authority
Series 2017, Rev., 5.00%, 1/1/2047
1,000,000
1,022,659
City of New York, Fiscal Year 2023 Series
2023A, Subseries A-3, GO, VRDO, LIQ : Bank
of Montreal, 3.80%, 9/3/2024(b)
3,800,000
3,800,000
Long Island Power Authority, Electric System
Series 2024B, Rev., 3.00%, 9/1/2031(b)
1,000,000
987,357
Series 2024A, Rev., 5.00%, 9/1/2049
1,000,000
1,099,581
Medina Central School District GO, BAN, 4.50%,
7/16/2025
1,700,000
1,718,477
Monroe County Industrial Development
Corp.,Rochester Regional Health Project
Series 2020A, Rev., 4.00%, 12/1/2036
1,000,000
998,459
New York City Transitional Finance Authority,
Future Tax Secured, Fiscal Year 2019 Series
2019C-4, Rev., VRDO, LIQ : Barclays Bank plc,
3.90%, 9/3/2024(b)
1,300,000
1,300,000
New York Counties Tobacco Trust Series 2016
A-2B, Rev., 5.00%, 6/1/2051
1,500,000
1,406,023
New York State Dormitory Authority, Pace
University Series 2024 A, Rev., 5.25%,
5/1/2044
590,000
646,131
New York Transportation Development Corp.,
Delta Air Lines, Inc., LaGuardia Airport
Terminals C&D Redevelopment Project
Rev., AMT, 5.00%, 1/1/2028
500,000
520,580
Rev., AMT, 5.00%, 1/1/2034
375,000
386,735
Series 2023, Rev., AMT, 6.00%, 4/1/2035
1,000,000
1,124,255
Rev., AMT, 4.38%, 10/1/2045
3,000,000
2,885,910
Series 2016 A, Rev., AMT, 5.00%, 7/1/2046
2,000,000
1,999,913
3
JPMorgan High Yield Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Municipal Bonds — continued
New York — continued
Suffolk Regional Off-Track Betting Co. Series
2024, Rev., 5.75%, 12/1/2044
1,000,000
1,046,216
TSASC, Inc. Series B, Rev., 5.00%, 6/1/2048
2,100,000
1,896,689
Total New York
22,838,985
North Dakota — 0.6%
North Dakota Housing Finance Agency, Home
Mortgage Finance Program Series 2024 C,
Rev., 5.00%, 7/1/2042
1,000,000
1,078,527
Ohio — 5.1%
Buckeye Tobacco Settlement Financing
Authority
Series 2020A-2, Rev., 4.00%, 6/1/2039
1,155,000
1,148,173
Series 2020B-2, Rev., 5.00%, 6/1/2055
2,000,000
1,837,906
Series 2020B-3, Rev., Zero Coupon,
6/1/2057
25,000,000
2,264,478
Jefferson County Port Authority, JSW Steel USA
Ohio, Inc., Project Series 2023, Rev., 5.00%,
12/1/2028(b) (c)
1,515,000
1,557,151
Ohio Air Quality Development Authority, Duke
Energy Corp. Series 2022A, Rev., AMT,
4.25%, 6/1/2027(b)
1,000,000
1,014,779
Port of Greater Cincinnati Development
Authority, Duke Energy Convention Center
Project Series 2024B, Rev., 5.00%,
12/1/2063
1,000,000
1,061,715
Total Ohio
8,884,202
Oklahoma — 1.5%
Oklahoma Development Finance Authority,
Health System, OU Medicine Project Series
2018B, Rev., 5.50%, 8/15/2057
2,600,000
2,674,833
Oregon — 0.4%
Multnomah and Clackamas Counties School
District No. 10JT Gresham-Barlow Series B,
GO, Zero Coupon, 6/15/2035
1,000,000
635,228
Pennsylvania — 1.4%
Montgomery County Industrial Development
Authority, Constellation Energy Generation
Series 2023A, Rev., 4.10%, 4/3/2028(b)
1,250,000
1,280,275
Pennsylvania Housing Finance Agency Series
2024-145A, Rev., 6.00%, 10/1/2054
1,000,000
1,104,379
Total Pennsylvania
2,384,654
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Puerto Rico — 3.3%
Puerto Rico Sales Tax Financing Corp. Sales Tax
(Puerto Rico)
Series A-1, Rev., Zero Coupon, 7/1/2046
8,230,000
2,759,852
Series A-2, Rev., 4.78%, 7/1/2058
3,100,000
3,060,874
Total Puerto Rico
5,820,726
Rhode Island — 0.6%
Tobacco Settlement Financing Corp. Series B,
Rev., 5.00%, 6/1/2050
1,000,000
1,000,913
South Carolina — 0.6%
Greenville-Spartanburg Airport District Series
2024A, Rev., 5.25%, 7/1/2054
1,000,000
1,087,576
Tennessee — 2.3%
Shelby County Health Educational and Housing
Facilities Board Retirement Facility The Farm
At Bailey Station Series 2019A, Rev., 5.50%,
10/1/2039
3,000,000
2,308,187
Shelby County Health Educational and Housing
Facilities Board, Madrone Memphis Student
Housing I, LLC- University of Memphis Project
Series 2024 A-1, Rev., 5.25%, 6/1/2056(c)
1,000,000
1,030,692
Shelby County Health Educational and Housing
Facilities Board, The Farms at Bailey Station
Project Series 2019A, Rev., 5.75%,
10/1/2059
1,000,000
681,757
Total Tennessee
4,020,636
Texas — 1.6%
Central Texas Turnpike System, First Tier Series
2024 B, Rev., 5.00%, 5/15/2030(b)
1,000,000
1,083,023
New Hope Cultural Education Facilities Finance
Corp., Legacy Midtown Park Project Series
2018A, Rev., 5.50%, 7/1/2054
1,000,000
752,685
New Hope Cultural Education Facilities Finance
Corp., Morningside Ministries Project Rev.,
4.00%, 1/1/2037
625,000
528,334
Tarrant County Cultural Education Facilities
Finance Corp., Retirement Facility, MRC
Stevenson Oaks Project Series 2020A, Rev.,
6.25%, 11/15/2031
500,000
493,925
Total Texas
2,857,967
4
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Municipal Bonds — continued
Utah — 0.8%
Mida Mountain Village Public Infrastructure
District, Mountain Village Assessment Area
Series 2020B, 6.25%, 8/1/2030(c)
1,000,000
975,134
Utah Charter School Finance Authority, Wallace
Stegner Academy Series 2022A, Rev.,
5.63%, 6/15/2042(c)
400,000
409,565
Total Utah
1,384,699
Virginia — 2.6%
Fredericksburg Economic Development
Authority, Stadium Project
Series 2021A, Rev., 7.00%, 11/15/2026(c)
475,000
475,961
Series 2019B, Rev., 6.13%, 9/1/2029(c)
1,480,000
1,263,079
Series 2019B, Rev., 7.00%, 9/1/2044(c)
1,000,000
688,446
Halifax County Industrial Development
Authority, Virginia Electric and Power Series
2010A, Rev., 3.80%, 5/28/2027(b)
1,000,000
1,021,958
Virginia Small Business Financing Authority,
Environmental Facilities Series 2022, Rev.,
5.00%, 11/15/2024(b)
1,000,000
1,000,363
Total Virginia
4,449,807
Washington — 1.8%
Washington State Housing Finance Commission
Series 2024, Rev., 5.50%, 7/1/2049
1,000,000
1,083,020
Series 2024, Rev., 5.00%, 7/1/2054
1,000,000
1,035,370
Washington State Housing Finance Commission,
Seattle Academy Of Arts and Science Project
Series 2023, Rev., 6.38%, 7/1/2063(c)
1,000,000
1,105,395
Total Washington
3,223,785
Wisconsin — 5.5%
Public Finance Authority, Astro Texas Land
Projects Series 2024, Rev., 5.50%,
12/15/2028(c)
1,000,000
1,005,728
Public Finance Authority, Presbyterian Villages
of Michigan Obligated Group Series 2020A,
Rev., 4.00%, 11/15/2042(c)
3,955,000
3,017,534
Public Finance Authority, Ripple Ranch, LLC
Obligate Series 2021A, Rev., 5.25%,
12/1/2051(c)
800,000
540,075
Public Finance Authority, The Franklin School of
Innovation Rev., 5.00%, 1/1/2042(c)
250,000
231,391
Public Finance Authority, Wilson Preparatory
Academy
Series 2019A, Rev., 5.00%, 6/15/2039(c)
500,000
501,061
Series 2019A, Rev., 5.00%, 6/15/2049(c)
1,100,000
1,069,460
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Wisconsin — continued
Wisconsin Health and Educational Facilities
Authority, Ascension Senior Credit Group
Series 2016 A, Rev., 5.00%, 11/15/2035
1,000,000
1,027,441
Wisconsin Health and Educational Facilities
Authority, Forensic science and Protective
Medicine Collaboration, Inc. Project Series
2024, Rev., 5.00%, 8/1/2027(c)
1,000,000
1,026,975
Wisconsin Housing and Economic Development
Authority Home Ownership Series 2024 A,
Rev., GNMA / FNMA / FHLMC, 6.00%,
9/1/2054
1,000,000
1,097,980
Total Wisconsin
9,517,645
Total Municipal Bonds
(Cost $163,855,690)
160,129,403
SHARES
Short-Term Investments — 7.4%
Investment Companies — 7.4%
JPMorgan Institutional Tax Free Money Market
Fund Class IM Shares, 3.24%(f) (g)
(Cost $12,890,837)
12,890,512
12,891,801
Total Investments — 99.2%
(Cost $176,746,527)
173,021,204
Other Assets Less Liabilities — 0.8%
1,313,007
NET ASSETS — 100.0%
174,334,211
Percentages indicated are based on net assets.
Abbreviations
AGC
Insured by Assured Guaranty Corp.
AGM
Insured by Assured Guaranty Municipal Corp.
AMT
Alternative Minimum Tax
BAN
Bond Anticipation Note
COLL
Collateral
COP
Certificate of Participation
FHLMC
Federal Home Loan Mortgage Corp.
FNMA
Federal National Mortgage Association
GNMA
Government National Mortgage Association
GO
General Obligation
GTD
Guaranteed
LIQ
Liquidity Agreement
LOC
Letter of Credit
RAN
Revenue Anticipation Note
Rev.
Revenue
VRDO
Variable Rate Demand Obligation
(a)
The date shown represents the earliest of the prerefunded date,
next put date or final maturity date.
5
JPMorgan High Yield Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
(b)
Variable or floating rate security, the interest rate of which adjusts
periodically based on changes in current interest rates and
prepayments on the underlying pool of assets. The interest rate
shown is the current rate as of August 31, 2024.
(c)
Securities exempt from registration under Rule 144A or section
4(a)(2), of the Securities Act of 1933, as amended.
(d)
All or a portion of the security is a when-issued security, delayed
delivery security, or forward commitment.
(e)
Defaulted security.
(f)
Investment in an affiliated fund, which is registered under the
Investment Company Act of 1940, as amended, and is advised by
J.P. Morgan Investment Management Inc.
(g)
The rate shown is the current yield as of August 31, 2024.
Futures contracts outstanding as of August 31, 2024:
DESCRIPTION
NUMBER OF
CONTRACTS
EXPIRATION DATE
TRADING CURRENCY
NOTIONAL
AMOUNT ($)
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
Long Contracts
U.S. Treasury 2 Year Note
207
12/31/2024
USD
42,960,586
7,377
U.S. Treasury 5 Year Note
48
12/31/2024
USD
5,249,250
(8,026
)
(649
)
Short Contracts
U.S. Treasury Ultra Bond
(41
)
12/19/2024
USD
(5,379,969
)
85,434
84,785
Abbreviations
USD
United States Dollar
6
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Asset-Backed Securities — 35.6%
ACRE Commercial Mortgage Ltd. Series
2021-FL4, Class A, 6.29%, 12/18/2037(a)
(b)
51,203
51,036
Amortizing Residential Collateral Trust Series
2002-BC9, Class M1, 7.04%,
12/25/2032(b)
1,071,545
1,020,327
AMSR Trust
Series 2020-SFR3, Class A, 1.36%,
9/17/2037(a)
7,104,240
6,847,157
Series 2021-SFR2, Class A, 1.53%,
8/17/2038(a)
4,000,000
3,754,911
Series 2024-SFR1, Class A, 4.29%,
7/17/2041(a)
4,000,000
3,919,216
Apidos CLO (Cayman Islands) Series 2019-31A,
Class A1R, 6.66%, 4/15/2031(a) (b)
3,963,311
3,970,754
Arivo Acceptance Auto Loan Receivables Trust
Series 2021-1A, Class A, 1.19%,
1/15/2027(a)
347
347
Auxilior Term Funding LLC Series 2023-1A,
Class A2, 6.18%, 12/15/2028(a)
935,109
943,820
BA Credit Card Trust Series 2024-A1, Class A,
4.93%, 5/15/2029
4,500,000
4,581,927
Ballyrock CLO Ltd. (Cayman Islands)
Series 2020-2A, Class A1R, 6.55%,
10/20/2031(a) (b)
3,034,624
3,036,532
Series 2019-1A, Class A1R, 6.59%,
7/15/2032(a) (b)
6,415,000
6,427,298
Bear Stearns Asset-Backed Securities I Trust
Series 2005-HE1, Class M2, 5.28%,
1/25/2035(b)
272,893
276,898
Bear Stearns Asset-Backed Securities Trust
Series 2003-SD1, Class A, 6.29%,
12/25/2033(b)
391,257
387,794
BRE Grand Islander Timeshare Issuer LLC Series
2019-A, Class A, 3.28%, 9/26/2033(a)
912,132
888,482
BSPRT Issuer Ltd. Series 2022-FL8, Class A,
6.85%, 2/15/2037(a) (b)
4,765,569
4,761,199
Business Jet Securities LLC
Series 2021-1A, Class A, 2.16%,
4/15/2036(a)
1,018,369
1,018,022
Series 2022-1A, Class A, 4.46%,
6/15/2037(a)
6,404,503
6,271,092
Series 2024-1A, Class A, 6.20%,
5/15/2039(a)
1,206,757
1,240,185
BXG Receivables Note Trust Series 2018-A,
Class A, 3.77%, 2/2/2034(a)
621,990
614,482
BXMT Ltd. (Cayman Islands) Series 2020-FL3,
Class A, 6.85%, 11/15/2037(a) (b)
6,486,683
6,324,600
CarMax Auto Owner Trust Series 2022-2,
Class A3, 3.49%, 2/16/2027
2,780,401
2,752,523
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Carvana Auto Receivables Trust
Series 2020-P1, Class A4, 0.61%,
10/8/2026
709,957
701,164
Series 2023-N4, Class A, 6.42%,
1/10/2028(a)
3,137,599
3,161,568
Series 2024-P2, Class A3, 5.33%,
7/10/2029
2,250,000
2,291,776
Centex Home Equity Loan Trust Series 2002-A,
Class MV1, 6.24%, 1/25/2032(b)
68,034
71,237
CF Hippolyta Issuer LLC Series 2020-1,
Class A1, 1.69%, 7/15/2060(a)
2,307,094
2,218,134
CoreVest American Finance Trust
Series 2020-2, Class A, 3.38%,
5/15/2052(a)
502,148
493,858
Series 2020-4, Class A, 1.17%,
12/15/2052(a)
2,607,205
2,504,167
Countrywide Asset-Backed Certificates
Series 2003-BC2, Class 2A1, 5.99%,
6/25/2033(b)
167,556
165,858
Series 2004-S1, Class M2, 5.58%,
2/25/2035(c)
14,789
14,632
CPS Auto Receivables Trust Series 2023-A,
Class A, 5.54%, 3/16/2026(a)
41,811
41,810
Credit Acceptance Auto Loan Trust Series
2023-3A, Class A, 6.39%, 8/15/2033(a)
2,375,000
2,423,061
Diamond Resorts Owner Trust Series 2021-1A,
Class A, 1.51%, 11/21/2033(a)
364,869
351,140
DT Auto Owner Trust Series 2023-1A, Class A,
5.48%, 4/15/2027(a)
709,342
709,242
Elmwood CLO Ltd. (Cayman Islands) Series
2020-2A, Class AR, 6.69%, 10/20/2034(a)
(b)
7,500,000
7,510,170
Enterprise Fleet Financing LLC Series 2022-1,
Class A2, 3.03%, 1/20/2028(a)
1,018,741
1,011,701
Exeter Automobile Receivables Trust
Series 2024-3A, Class A2, 5.82%,
2/15/2027
3,050,000
3,053,845
Series 2023-4A, Class C, 6.51%, 8/15/2028
2,500,000
2,543,541
Series 2024-4A, Class A3, 5.28%,
8/15/2030
3,000,000
3,014,957
First Franklin Mortgage Loan Trust
Series 2002-FF1, Class M1, 6.44%,
4/25/2032(b)
41,827
44,826
Series 2002-FF4, Class M1, 6.97%,
2/25/2033(b)
578,174
492,725
Series 2003-FFH1, Class M2, 8.02%,
9/25/2033(b)
227,624
207,643
Series 2004-FF8, Class M4, 7.00%,
10/25/2034(b)
206,280
130,379
7
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Asset-Backed Securities — continued
FirstKey Homes Trust Series 2021-SFR1,
Class A, 1.54%, 8/17/2038(a)
6,657,717
6,264,140
Foundation Finance Trust Series 2024-1A,
Class A, 5.50%, 12/15/2049(a)
2,173,474
2,212,600
FS Rialto (Cayman Islands) Series 2021-FL3,
Class A, 6.70%, 11/16/2036(a) (b)
4,603,080
4,584,446
Galaxy CLO Ltd. (Cayman Islands) Series
2013-15A, Class ARR, 6.53%,
10/15/2030(a) (b)
810,333
810,404
Goodgreen (Cayman Islands)
Series 2018-1A, Class A, 3.93%,
10/15/2053‡ (a) (b)
1,855,657
1,719,806
Series 2019-1A, Class A, 3.86%,
10/15/2054‡ (a)
1,340,534
1,239,071
Goodgreen Trust Series 2017-2A, Class A,
3.26%, 10/15/2053‡ (a)
1,164,121
1,073,400
GreenPoint Mortgage Funding Trust Series
2005-HE3, Class A, 5.63%, 9/15/2030(b)
4,164
4,119
HERO Funding (Cayman Islands) Series
2017-3A, Class A2, 3.95%, 9/20/2048‡
(a)
742,068
682,941
Hilton Grand Vacations Trust
Series 2018-AA, Class A, 3.54%,
2/25/2032(a)
252,449
249,204
Series 2022-2A, Class A, 4.30%,
1/25/2037(a)
1,432,314
1,413,975
Series 2020-AA, Class A, 2.74%,
2/25/2039(a)
596,667
576,243
LCM Ltd. (Cayman Islands) Series 29A, Class AR,
6.63%, 4/15/2031(a) (b)
4,461,438
4,458,770
Lendingpoint Asset Securitization Trust
Series 2022-B, Class A, 4.77%,
10/15/2029(a)
700,359
697,525
Series 2022-C, Class A, 6.56%,
2/15/2030(a)
301,627
301,656
Lendmark Funding Trust Series 2022-1A,
Class A, 5.12%, 7/20/2032(a)
3,000,000
2,995,625
LP LMS Asset Securitization Trust Series
2023-1A, Class A, 8.18%, 10/17/2033(a)
853,931
855,883
M&T Equipment Notes Series 2024-1A,
Class A2, 4.99%, 8/18/2031(a)
4,000,000
4,002,381
Mariner Finance Issuance Trust
Series 2020-AA, Class A, 2.19%,
8/21/2034(a)
251,467
250,234
Series 2021-AA, Class A, 1.86%,
3/20/2036(a)
3,000,000
2,839,204
Series 2024-AA, Class A, 5.13%,
9/22/2036(a)
5,000,000
5,053,984
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
MF1 Ltd. (Cayman Islands)
Series 2021-FL7, Class A, 6.54%,
10/16/2036(a) (b)
2,867,168
2,852,205
Series 2022-FL8, Class A, 6.69%,
2/19/2037(a) (b)
4,843,317
4,811,124
MVW LLC Series 2024-1A, Class A, 5.32%,
2/20/2043(a)
2,129,179
2,164,070
Neuberger Berman Loan Advisers CLO Ltd.
(Cayman Islands) Series 2020-37A, Class AR,
6.51%, 7/20/2031(a) (b)
4,043,215
4,048,301
New Century Home Equity Loan Trust Series
2003-5, Class AII, 3.54%, 11/25/2033(b)
94,477
52,607
OCP CLO Ltd. (Cayman Islands) Series 2015-9A,
Class A1R2, 6.55%, 1/15/2033(a) (b)
5,000,000
5,003,390
OneMain Financial Issuance Trust Series
2021-1A, Class A1, 1.55%, 6/16/2036(a)
5,000,000
4,652,103
Oportun Issuance Trust Series 2022-A, Class A,
5.05%, 6/9/2031(a)
4,145,878
4,126,008
Pagaya AI Technology in Housing Trust Series
2023-1, Class A, 3.60%, 10/25/2040(a)
3,500,000
3,315,195
Palmer Square Loan Funding Ltd. (Cayman
Islands)
Series 2021-3A, Class A1, 6.34%,
7/20/2029(a) (b)
635,373
635,448
Series 2021-4A, Class A1, 6.36%,
10/15/2029(a) (b)
1,570,202
1,570,984
Series 2022-2A, Class A1, 6.57%,
10/15/2030(a) (b)
2,503,668
2,505,936
Series 2024-1A, Class A1, 0.00%,
10/15/2032(a) (b) (d)
5,000,000
5,000,000
PRET LLC Series 2021-NPL6, Class A1, 2.49%,
7/25/2051(a) (c)
1,121,867
1,122,527
PRET Trust Series 2024-RPL2, Class A1,
4.07%, 6/25/2064‡ (a) (c)
2,000,000
1,898,758
Progress Residential
Series 2021-SFR1, Class A, 1.05%,
4/17/2038(a)
3,010,165
2,845,089
Series 2021-SFR4, Class A, 1.56%,
5/17/2038(a)
4,937,950
4,681,845
Progress Residential Trust
Series 2021-SFR8, Class A, 1.51%,
10/17/2038(a)
4,454,513
4,185,951
Series 2023-SFR1, Class A, 4.30%,
3/17/2040(a)
3,392,478
3,328,573
Series 2024-SFR1, Class A, 3.35%,
2/17/2041(a)
5,500,000
5,164,308
Series 2024-SFR2, Class A, 3.30%,
4/17/2041(a)
7,930,000
7,437,725
8
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Asset-Backed Securities — continued
Series 2024-SFR4, Class A, 3.10%,
7/17/2041(a)
6,900,000
6,389,187
PRPM LLC Series 2021-10, Class A1, 2.49%,
10/25/2026(a) (c)
1,034,438
1,030,995
RASC Trust Series 2003-KS4, Class MI2, 5.01%,
6/25/2033(c)
522,587
415,139
Santander Consumer Auto Receivables Trust
Series 2021-AA, Class B, 0.71%,
8/17/2026(a)
2,750,000
2,703,883
Santander Drive Auto Receivables Trust Series
2022-4, Class A3, 4.14%, 2/16/2027
1,318,208
1,315,826
SCF Equipment Leasing LLC
Series 2022-2A, Class A3, 6.50%,
10/21/2030(a)
5,900,000
5,969,698
Series 2024-1A, Class A3, 5.52%,
1/20/2032(a)
1,175,000
1,202,928
Sierra Timeshare Receivables Funding LLC
Series 2020-2A, Class A, 1.33%,
7/20/2037(a)
357,426
347,980
SoFi Professional Loan Program Trust
Series 2021-B, Class AFX, 1.14%,
2/15/2047(a)
2,592,317
2,251,607
Series 2018-B, Class A2FX, 3.34%,
8/25/2047(a)
451,585
445,231
Structured Asset Investment Loan Trust Series
2003-BC2, Class A3, 6.09%, 4/25/2033(b)
3,265
3,408
Tesla Auto Lease Trust Series 2024-A, Class B,
5.55%, 5/22/2028(a)
3,000,000
3,029,171
Tricon American Homes Series 2020-SFR1,
Class A, 1.50%, 7/17/2038(a)
5,962,572
5,664,762
Tricon American Homes Trust Series
2019-SFR1, Class A, 2.75%, 3/17/2038(a)
3,246,158
3,145,455
Tricon Residential Trust
Series 2024-SFR2, Class A, 4.75%,
6/17/2040(a)
1,648,974
1,643,127
Series 2024-SFR1, Class A, 4.65%,
4/17/2041(a)
1,390,000
1,379,593
Upstart Securitization Trust
Series 2022-4, Class A, 5.98%,
8/20/2032(a)
995,320
993,994
Series 2023-1, Class A, 6.59%,
2/20/2033(a)
720,738
721,341
US Auto Funding Trust Series 2022-1A, Class A,
3.98%, 4/15/2025(a)
660,374
651,487
VCAT LLC Series 2021-NPL1, Class A1, 5.29%,
12/26/2050(a) (c)
135,567
135,270
Verdant Receivables LLC Series 2023-1A,
Class A2, 6.24%, 1/13/2031(a)
2,391,071
2,428,968
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
VOLT C LLC Series 2021-NPL9, Class A1,
4.99%, 5/25/2051(a) (c)
1,078,272
1,077,599
VOLT XCII LLC Series 2021-NPL1, Class A1,
4.89%, 2/27/2051(a) (c)
499,601
498,034
VOLT XCIII LLC Series 2021-NPL2, Class A1,
4.89%, 2/27/2051(a) (c)
2,121,123
2,123,059
VOLT XCIV LLC Series 2021-NPL3, Class A1,
5.24%, 2/27/2051(a) (c)
1,888,276
1,887,504
VOLT XCIX LLC Series 2021-NPL8, Class A1,
5.12%, 4/25/2051(a) (c)
676,402
680,512
VOLT XCV LLC Series 2021-NPL4, Class A1,
5.24%, 3/27/2051(a) (c)
1,120,478
1,131,030
VOLT XCVI LLC Series 2021-NPL5, Class A1,
5.12%, 3/27/2051(a) (c)
1,267,463
1,269,172
VOLT XCVII LLC Series 2021-NPL6, Class A1,
5.24%, 4/25/2051(a) (c)
1,978,886
2,002,305
Westlake Automobile Receivables Trust
Series 2022-2A, Class A3, 3.75%,
4/15/2026(a)
69,981
69,935
Series 2023-3A, Class A3, 5.82%,
5/17/2027(a)
4,000,000
4,027,803
Wingspire Equipment Finance LLC Series
2024-1A, Class A2, 4.99%, 9/20/2032(a)
4,000,000
4,004,400
World Omni Auto Receivables Trust Series
2024-A, Class A4, 4.84%, 10/15/2029
2,890,000
2,930,355
Total Asset-Backed Securities
(Cost $271,880,367)
269,504,552
Collateralized Mortgage Obligations — 25.9%
Alternative Loan Trust
Series 2004-J4, Class 1A6, 5.40%,
6/25/2034(c)
167
164
Series 2004-33, Class 3A3, 4.49%,
12/25/2034(b)
100,316
94,585
Banc of America Funding Trust Series 2006-1,
Class 2A1, 5.50%, 1/25/2036
77,924
66,874
Banc of America Mortgage Trust Series 2004-D,
Class 2A2, 6.44%, 5/25/2034(b)
58,855
56,544
Bear Stearns Asset-Backed Securities I Trust
Series 2004-AC6, Class M1, 6.40%,
11/25/2034(b)
120,214
49,278
CFMT LLC Series 2024-HB15, Class A, 4.00%,
8/25/2034‡ (a) (b)
2,090,000
2,050,048
Connecticut Avenue Securities Trust
Series 2021-R03, Class 1M1, 6.20%,
12/25/2041(a) (b)
2,426,919
2,423,940
Series 2022-R01, Class 1M1, 6.35%,
12/25/2041(a) (b)
1,569,020
1,567,077
Series 2022-R06, Class 1M1, 8.10%,
5/25/2042(a) (b)
2,372,786
2,440,070
9
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Collateralized Mortgage Obligations — continued
Series 2022-R07, Class 1M1, 8.30%,
6/25/2042(a) (b)
3,584,706
3,702,254
Series 2022-R08, Class 1M1, 7.90%,
7/25/2042(a) (b)
1,440,747
1,478,818
Series 2024-R01, Class 1M1, 6.40%,
1/25/2044(a) (b)
2,258,110
2,259,521
Series 2024-R02, Class 1M1, 6.45%,
2/25/2044(a) (b)
1,796,432
1,797,555
Series 2024-R05, Class 2M1, 6.35%,
7/25/2044(a) (b)
1,268,670
1,269,063
Credit Suisse First Boston Mortgage Securities
Corp. (Switzerland)
Series 2004-5, Class 4A1, 6.00%,
9/25/2034
223,685
222,368
Series 2005-5, Class 1A1, 5.00%,
5/25/2046
1,066
1,017
CSFB Mortgage-Backed Pass-Through
Certificates Series 2003-AR24, Class 2A4,
7.40%, 10/25/2033(b)
116,267
113,282
Deutsche Alt-A Securities, Inc. Mortgage Loan
Trust Series 2005-1, Class 2A1, 3.41%,
2/25/2020(b)
18,909
18,351
FHLMC Seasoned Credit Risk Transfer Trust
Series 2020-1, Class M55G, 3.00%,
8/25/2059
6,603,584
6,005,465
FHLMC, REMIC
Series 1974, Class ZA, 7.00%, 7/15/2027
6,617
6,628
Series 3737, Class DG, 5.00%, 10/15/2030
35,900
35,724
Series 4120, Class KI, IO, 3.00%,
10/15/2032
579,151
31,613
Series 5000, Class CB, 1.25%, 1/25/2035
3,748,595
3,342,334
Series 3300, Class FA, 5.77%,
8/15/2035(b)
92,933
91,741
Series 3085, Class VS, IF, 6.85%,
12/15/2035(b)
87,479
102,552
Series 4867, Class WF, 5.85%,
4/15/2037(b)
6,268,619
6,349,045
Series 4350, Class AF, 5.80%,
12/15/2037(b)
1,693,085
1,635,000
Series 4350, Class FK, 5.80%,
6/15/2038(b)
1,872,318
1,808,802
Series 4515, Class FA, 5.82%,
8/15/2038(b)
927,516
929,192
Series 4350, Class KF, 5.80%,
1/15/2039(b)
323,548
312,472
Series 4448, Class TF, 5.77%,
5/15/2040(b)
1,762,368
1,726,579
Series 4480, Class FM, 5.80%,
6/15/2040(b)
2,463,129
2,377,021
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Series 4457, Class KF, 5.80%,
10/15/2040(b)
3,138,173
3,069,685
Series 4363, Class FA, 5.82%,
9/15/2041(b)
1,504,337
1,473,379
Series 4413, Class WF, 5.80%,
10/15/2041(b)
1,107,863
1,071,075
Series 4559, Class AF, 5.95%,
3/15/2042(b)
938,058
991,838
Series 4074, Class FE, 5.87%,
7/15/2042(b)
1,192,631
1,172,254
Series 4150, Class F, 5.84%, 1/15/2043(b)
3,286,598
3,214,364
Series 4161, Class YF, 5.84%,
2/15/2043(b)
2,371,661
2,320,138
Series 4281, Class FB, 6.02%,
12/15/2043(b)
1,642,053
1,621,600
Series 4606, Class FL, 5.97%,
12/15/2044(b)
3,365,983
3,315,149
Series 4594, Class GN, 2.50%, 2/15/2045
1,611,324
1,486,636
Series 5072, Class QC, 1.00%, 10/25/2050
5,074,602
4,027,745
FHLMC, STRIPS
Series 343, Class F4, 5.80%,
10/15/2037(b)
1,601,441
1,577,106
Series 328, Class S4, IF, IO, 0.68%,
2/15/2038(b)
2,905,666
170,241
FHLMC, Structured Pass-Through Certificates,
Whole Loan
Series T-51, Class 1A, PO, 9/25/2042
38,032
31,111
Series T-54, Class 4A, 4.25%,
2/25/2043(b)
652,258
599,577
First Horizon Mortgage Pass-Through Trust
Series 2004-AR6, Class 2A1, 4.72%,
12/25/2034(b)
73,823
70,394
Flagstar Mortgage Trust Series 2019-2,
Class A2, 3.50%, 12/25/2049(a) (b)
1,310,627
1,178,691
FNMA Trust, Whole Loan Series 2004-W2, Class
4A, 4.47%, 2/25/2044(b)
92,386
90,271
FNMA, Grantor Trust, Whole Loan
Series 2002-T6, Class A4, 5.20%,
3/25/2041(b)
330,279
317,210
Series 2001-T8, Class A1, 7.50%,
7/25/2041
109,754
111,524
FNMA, REMIC
Series 2013-43, Class YH, 2.50%,
5/25/2033
600,431
572,956
Series 2004-17, Class BF, 5.81%,
1/25/2034(b)
63,938
63,807
Series 2006-3, Class SB, IF, IO, 1.24%,
7/25/2035(b)
41,170
346
10
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Collateralized Mortgage Obligations — continued
Series 2006-16, Class HZ, 5.50%,
3/25/2036
97,877
102,145
Series 2006-124, Class FC, 5.81%,
1/25/2037(b)
490,247
482,011
Series 2014-23, Class FA, 5.75%,
10/25/2039(b)
7,283,356
7,334,834
Series 2012-38, Class PA, 2.00%,
9/25/2041
735,199
688,660
Series 2012-93, Class ME, 2.50%,
1/25/2042
919,694
863,528
Series 2012-13, Class FA, 6.04%,
2/25/2042(b)
4,268,994
4,221,476
Series 2012-31, Class FB, 6.01%,
4/25/2042(b)
3,686,088
3,640,862
Series 2013-23, Class KJ, 2.25%,
5/25/2042
1,426,015
1,313,891
Series 2012-119, Class FB, 5.81%,
11/25/2042(b)
2,395,635
2,343,068
Series 2012-139, Class JA, 3.50%,
12/25/2042
1,799,377
1,711,923
Series 2013-6, Class FL, 5.86%,
2/25/2043(b)
586,550
575,192
Series 2014-49, Class AF, 5.77%,
8/25/2044(b)
93,945
91,111
Series 2015-42, Class BF, 5.76%,
6/25/2045(b)
2,081,790
2,047,507
Series 2016-25, Class LA, 3.00%,
7/25/2045
6,198,944
5,830,192
Series 2016-33, Class JA, 3.00%,
7/25/2045
2,101,278
1,980,068
Series 2015-91, Class AF, 5.82%,
12/25/2045(b)
2,177,122
2,202,549
Series 2016-58, Class SA, IO, 0.79%,
8/25/2046(b)
6,084,192
392,708
Series 2017-108, Class PA, 3.00%,
6/25/2047
1,378,896
1,284,212
Series 2017-104, Class LA, 3.00%,
11/25/2047
967,114
885,866
Series 2019-38, Class PC, 3.00%,
2/25/2048
2,158,395
2,025,634
Series 2019-77, Class FP, 6.01%,
1/25/2050(b)
9,065,233
8,936,654
Series 2014-66, Class WF, 5.80%,
10/25/2054(b)
872,991
877,216
Series 2019-74, Class BF, 6.01%,
12/25/2059(b)
4,252,902
4,200,166
FNMA, REMIC Trust, Whole Loan
Series 2003-W4, Class 5A, 4.21%,
10/25/2042(b)
308,285
300,394
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Series 2003-W15, Class 3A, 4.79%,
12/25/2042(b)
347,060
331,287
Series 2003-W1, Class 2A, 5.25%,
12/25/2042(b)
101,724
101,926
Series 2009-W1, Class A, 6.00%,
12/25/2049
100,600
104,239
GNMA
Series 2011-158, Class EB, 4.00%,
12/20/2026
1,345,463
1,333,582
Series 2010-166, Class GP, 3.00%,
4/20/2039
90,124
89,397
Series 2012-61, Class FM, 5.85%,
5/16/2042(b)
3,223,900
3,188,889
Series 2012-H21, Class FA, 5.95%,
7/20/2062(b)
537,340
535,848
Series 2012-H29, Class FA, 5.96%,
10/20/2062(b)
397,984
397,190
Series 2013-H16, Class FA, 5.99%,
7/20/2063(b)
1,308,271
1,305,942
Series 2014-H07, Class FC, 6.05%,
5/20/2064(b)
7,770,902
7,765,892
Series 2014-H11, Class JA, 5.95%,
6/20/2064(b)
1,467,780
1,463,743
Series 2014-H17, Class FM, 5.92%,
8/20/2064(b)
5,399,489
5,387,403
Series 2015-H03, Class FD, 6.09%,
1/20/2065(b)
2,908,759
2,902,133
Series 2015-H04, Class FL, 5.91%,
2/20/2065(b)
4,491,491
4,482,552
Series 2015-H12, Class FJ, 5.88%,
5/20/2065(b)
2,183,926
2,178,062
Series 2015-H14, Class FB, 5.88%,
5/20/2065(b)
1,819,152
1,812,945
Series 2015-H12, Class FA, 5.93%,
5/20/2065(b)
3,136,565
3,131,143
Series 2015-H15, Class FB, 6.05%,
6/20/2065(b)
4,549,108
4,538,871
Series 2015-H19, Class FN, 5.89%,
7/20/2065(b)
5,037,635
5,024,419
Series 2015-H23, Class TA, 5.92%,
9/20/2065(b)
7,654,561
7,637,773
GSAA Trust Series 2004-CW1, Class 1A1,
5.50%, 4/1/2034
343,102
330,125
GSR Mortgage Loan Trust Series 2004-10F,
Class 7A1, 5.50%, 9/25/2034
60,992
60,135
Impac CMB Trust
Series 2004-6, Class 1A2, 6.17%,
10/25/2034(b)
21,137
21,009
11
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Collateralized Mortgage Obligations — continued
Series 2005-5, Class A1, 6.03%,
8/25/2035(b)
260,053
242,868
IndyMac INDA Mortgage Loan Trust Series
2007-AR1, Class 1A1, 4.01%,
3/25/2037(b)
191,699
146,764
JPMorgan Mortgage Trust Series 2003-A1,
Class 1A1, 5.17%, 10/25/2033(b)
14,300
13,601
LHOME Mortgage Trust Series 2024-RTL4,
Class A1, 5.92%, 7/25/2039(a) (c)
3,000,000
3,012,165
MASTR Adjustable Rate Mortgages Trust
Series 2004-13, Class 2A1, 6.49%,
4/21/2034(b)
47,264
45,657
Series 2004-13, Class 3A7B, 6.78%,
11/21/2034(b)
156,890
148,692
MASTR Seasoned Securitization Trust Series
2003-1, Class 3A2, 5.79%, 2/25/2033(b)
32,203
30,644
Mellon Residential Funding Corp. Mortgage
Pass-Through Certificates
Series 2002-TBC1, Class B1, 6.45%,
9/15/2030(b)
7,352
6,926
Series 2002-TBC1, Class B2, 6.85%,
9/15/2030(b)
1,358
1,016
Series 2001-TBC1, Class B1, 6.33%,
11/15/2031(b)
44,751
41,628
Merrill Lynch Mortgage Investors Trust
Series 2004-D, Class A1, 6.05%,
9/25/2029(b)
18,459
18,638
Series 2004-1, Class 2A3, 5.68%,
12/25/2034(b)
52,227
47,654
Metlife Securitization Trust
Series 2017-1A, Class A, 3.00%,
4/25/2055(a) (b)
496,780
471,405
Series 2018-1A, Class A, 3.75%,
3/25/2057(a) (b)
1,603,694
1,542,128
Morgan Stanley Dean Witter Capital I, Inc. Trust
Series 2003-HYB1, Class A4, 6.08%,
3/25/2033(b)
31,746
27,651
Series 2003-HYB1, Class B1, 6.08%,
3/25/2033(b)
29,711
15,662
Morgan Stanley Mortgage Loan Trust
Series 2004-3, Class 4A, 5.65%,
4/25/2034(b)
508,825
496,787
Series 2004-5AR, Class 3A3, 5.83%,
7/25/2034(b)
61,183
60,045
Series 2004-5AR, Class 3A5, 5.83%,
7/25/2034(b)
344,790
341,780
Series 2004-11AR, Class 1A2A, 5.70%,
1/25/2035(b)
158,939
148,753
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
MRFC Mortgage Pass-Through Trust Series
2002-TBC2, Class B1, 6.30%,
8/15/2032(b)
21,958
20,904
NAAC Reperforming Loan REMIC Trust
Certificates Series 2004-R3, Class AF,
5.84%, 2/25/2035(a) (b)
474,274
380,331
New Residential Mortgage Loan Trust Series
2018-4A, Class A1S, 6.21%, 1/25/2048(a)
(b)
938,220
916,803
Nomura Asset Acceptance Corp. Alternative
Loan Trust Series 2003-A3, Class A1, 5.50%,
8/25/2033(c)
117,996
118,040
Prime Mortgage Trust Series 2005-2, Class
2A1, 5.78%, 10/25/2032(b)
157,792
157,995
PRPM LLC Series 2020-6, Class A1, 5.36%,
11/25/2025(a) (c)
1,616,231
1,616,071
RFMSI Trust
Series 2005-SA2, Class 2A2, 6.30%,
6/25/2035(b)
283,227
277,650
Series 2006-SA4, Class 2A1, 5.56%,
11/25/2036(b)
134,592
110,966
Sequoia Mortgage Trust
Series 11, Class A, 6.35%, 12/20/2032(b)
6,353
5,634
Series 2003-3, Class A2, 6.40%,
7/20/2033(b)
39,338
35,537
Series 2004-11, Class A2, 6.35%,
12/20/2034(b)
225,677
197,198
Structured Asset Mortgage Investments II Trust
Series 2004-AR1, Class 1A1, 6.16%,
3/19/2034(b)
22,192
20,733
Structured Asset Mortgage Investments Trust
Series 2002-AR2, Class A3, 6.21%,
7/19/2032(b)
97,920
72,665
Structured Asset Securities Corp. Mortgage
Pass-Through Certificates
Series 2003-24A, Class 2A, 6.83%,
7/25/2033(b)
231,894
223,976
Series 2003-40A, Class 4A, 7.52%,
1/25/2034(b)
98,810
93,074
Thornburg Mortgage Securities Trust Series
2004-4, Class 5A, 3.06%, 12/25/2044(b)
1,200,189
1,061,338
Towd Point Mortgage Trust Series 2018-4,
Class A1, 3.00%, 6/25/2058(a) (b)
2,680,085
2,522,635
12
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Collateralized Mortgage Obligations — continued
WaMu Mortgage Pass-Through Certificates Trust
Series 2004-AR3, Class A1, 5.72%,
6/25/2034(b)
210,204
193,339
Series 2004-AR11, Class A, 6.59%,
10/25/2034(b)
100,977
98,027
Total Collateralized Mortgage Obligations
(Cost $201,525,344)
196,351,826
Mortgage-Backed Securities — 13.9%
FHLMC Gold Pools, Other Pool # U49009,
3.00%, 8/1/2028
596,993
582,792
FHLMC UMBS, 30 Year
Pool # RA2459, 4.00%, 4/1/2050
4,711,183
4,515,917
Pool # RA2904, 3.00%, 6/1/2050
4,365,120
3,938,494
Pool # RA2970, 2.50%, 7/1/2050
5,081,919
4,386,989
Pool # SD1787, 5.00%, 10/1/2052
3,195,509
3,248,773
Pool # SD8277, 5.50%, 12/1/2052
4,369,068
4,400,416
Pool # QF9638, 5.00%, 3/1/2053
8,368,272
8,352,642
Pool # SD5658, 5.50%, 6/1/2054
5,574,187
5,638,277
FNMA UMBS, 15 Year Pool # AD1969, 4.00%,
2/1/2025
30,946
30,731
FNMA UMBS, 20 Year
Pool # MA1338, 3.00%, 2/1/2033
730,476
699,508
Pool # MA1401, 3.00%, 4/1/2033
286,878
274,432
Pool # MA1490, 3.00%, 7/1/2033
954,863
911,964
FNMA UMBS, 30 Year
Pool # 995724, 6.00%, 4/1/2039
127,377
133,752
Pool # AD0588, 5.00%, 12/1/2039
605,501
619,652
Pool # AD9721, 5.50%, 8/1/2040
164,871
166,800
Pool # BM3048, 4.00%, 10/1/2042
2,844,525
2,787,501
Pool # AS4592, 4.00%, 2/1/2045
4,913,483
4,740,204
Pool # BM5560, 4.00%, 1/1/2046
3,189,574
3,125,648
Pool # CA0411, 4.00%, 9/1/2047
3,179,966
3,093,312
Pool # CA2489, 4.50%, 10/1/2048
561,155
546,829
Pool # BP7345, 3.00%, 6/1/2050
5,991,237
5,398,380
Pool # BQ7436, 3.00%, 9/1/2051
3,721,706
3,312,975
Pool # BQ7454, 3.00%, 12/1/2051
5,565,778
4,966,578
Pool # FS2898, 4.50%, 9/1/2052
5,074,932
4,943,482
Pool # CB4630, 5.50%, 9/1/2052
7,342,949
7,443,433
Pool # FS3051, 5.00%, 10/1/2052
3,259,577
3,329,051
Pool # CB4839, 5.50%, 10/1/2052
3,475,926
3,508,740
Pool # CB5027, 5.50%, 11/1/2052
6,633,578
6,701,728
FNMA, Other Pool # BK7908, 4.00%,
11/1/2048
256,784
243,273
GNMA I, 15 Year Pool # 723171, 4.50%,
10/15/2024
3,361
3,352
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
GNMA II, 30 Year Pool # CG5224, 3.50%,
8/20/2051
8,730,239
8,019,275
GNMA II, Other Pool # 787496, 6.00%,
7/20/2064
5,429,353
5,462,358
Total Mortgage-Backed Securities
(Cost $112,111,644)
105,527,258
Commercial Mortgage-Backed Securities — 10.4%
20 Times Square Trust Series 2018-20TS,
Class A, 3.20%, 5/15/2035(a) (b)
1,762,271
1,668,810
BAMLL Commercial Mortgage Securities Trust
Series 2015-200P, Class A, 3.22%,
4/14/2033(a)
3,500,000
3,421,443
BANK Series 2021-BN35, Class A2, 1.87%,
6/15/2064
2,650,000
2,378,036
Bayview Commercial Asset Trust
Series 2005-2A, Class A2, 5.92%,
8/25/2035(a) (b)
334,297
324,858
Series 2005-2A, Class M1, 6.04%,
8/25/2035(a) (b)
66,766
64,450
Series 2007-3, Class A2, 5.83%,
7/25/2037(a) (b)
318,579
301,080
BBCMS Mortgage Trust Series 2020-C7,
Class A2, 2.02%, 4/15/2053
1,000,000
966,085
BBCMS Trust Series 2015-VFM, Class A1,
2.47%, 3/10/2036(a)
523,581
507,180
BHMS Series 2018-ATLS, Class A, 6.88%,
7/15/2035(a) (b)
6,000,000
5,998,090
BX
Series 2021-MFM1, Class A, 6.15%,
1/15/2034(a) (b)
2,194,130
2,176,302
Series 2024-PALM, Class A, 6.88%,
6/15/2037(a) (b)
5,000,000
4,976,563
BX Trust
Series 2021-BXMF, Class A, 6.09%,
10/15/2026(a) (b)
7,460,983
7,360,726
Series 2021-LBA, Class AJV, 6.25%,
2/15/2036(a) (b)
6,500,000
6,437,031
Commercial Mortgage Trust Series 2020-CBM,
Class A1, 2.31%, 2/10/2037(a) (b)
6,000,000
5,890,431
FHLMC, Multi-Family Structured Credit Risk
Series 2021-MN1, Class M1, 7.35%,
1/25/2051(a) (b)
143,866
143,054
FHLMC, Multi-Family Structured Pass-Through
Certificates
Series Q007, Class APT2, 3.92%,
10/25/2047(b)
889,216
885,905
Series Q013, Class APT1, 2.68%,
5/25/2050(b)
2,530,255
2,495,599
13
JPMorgan Limited Duration Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Commercial Mortgage-Backed Securities — continued
ILPT Commercial Mortgage Trust Series
2022-LPF2, Class A, 7.58%,
10/15/2039(a) (b)
3,000,000
2,992,529
OAKST Commercial Mortgage Trust Series
2023-NLP, Class A, 6.30%, 3/15/2040(a)
(b)
2,000,000
2,038,316
One Bryant Park Trust Series 2019-OBP,
Class A, 2.52%, 9/15/2054(a)
5,000,000
4,405,144
ONE Mortgage Trust Series 2021-PARK, Class A,
6.15%, 3/15/2036(a) (b)
7,000,000
6,805,964
SDR Commercial Mortgage Trust Series
2024-DSNY, Class A, 6.73%, 5/15/2039(a)
(b)
5,000,000
4,971,897
SMR Mortgage Trust Series 2022-IND, Class A,
6.99%, 2/15/2039(a) (b)
7,325,417
7,180,604
STWD Mortgage Trust (Cayman Islands) Series
2021-LIH, Class B, 7.11%, 11/15/2036(a)
(b)
2,300,000
2,268,375
UBS-BAMLL Trust Series 2012-WRM, Class A,
3.66%, 6/10/2030(a)
36,602
34,387
Wells Fargo Commercial Mortgage Trust Series
2021-SAVE, Class A, 6.60%, 2/15/2040(a)
(b)
2,158,874
2,142,712
Total Commercial Mortgage-Backed Securities
(Cost $80,580,876)
78,835,571
Corporate Bonds — 3.6%
Banks — 1.7%
BNP Paribas SA (France) (SOFR + 1.00%),
1.32%, 1/13/2027(a) (e)
6,470,000
6,159,200
Sumitomo Mitsui Financial Group, Inc. (Japan)
0.95%, 1/12/2026
2,900,000
2,756,163
Truist Financial Corp. 1.20%, 8/5/2025
4,000,000
3,862,052
12,777,415
Capital Markets — 0.5%
UBS AG (Switzerland) 7.95%, 1/9/2025
4,000,000
4,032,241
Diversified Telecommunication Services — 0.5%
AT&T, Inc. 1.65%, 2/1/2028
4,335,000
3,952,344
Independent Power and Renewable Electricity Producers — 0.2%
Southern Power Co. 0.90%, 1/15/2026
1,780,000
1,692,331
Insurance — 0.7%
Protective Life Global Funding 1.17%,
7/15/2025(a)
5,190,000
5,028,475
Total Corporate Bonds
(Cost $28,668,928)
27,482,806
INVESTMENTS
SHARES
VALUE($)
Short-Term Investments — 10.6%
Investment Companies — 10.6%
JPMorgan Prime Money Market Fund Class IM
Shares, 5.34%(f) (g)
(Cost $80,295,213)
80,275,722
80,315,860
Total Investments — 100.0%
(Cost $775,062,372)
758,017,873
Liabilities in Excess of Other Assets —
(0.0)% ^
(175,230
)
NET ASSETS — 100.0%
757,842,643
Percentages indicated are based on net assets.
Abbreviations
CLO
Collateralized Loan Obligations
FHLMC
Federal Home Loan Mortgage Corp.
FNMA
Federal National Mortgage Association
GNMA
Government National Mortgage Association
IF
Inverse Floaters represent securities that pay interest at a rate that
increases (decreases) with a decline (incline) in a specified index
or have an interest rate that adjusts periodically based on changes
in current interest rates and prepayments on the underlying pool
of assets. The interest rate shown is the rate in effect as of August
31, 2024. The rate may be subject to a cap and floor.
IO
Interest Only represents the right to receive the monthly interest
payments on an underlying pool of mortgage loans. The principal
amount shown represents the par value on the underlying pool.
The yields on these securities are subject to accelerated principal
paydowns as a result of prepayment or refinancing of the
underlying pool of mortgage instruments. As a result, interest
income may be reduced considerably.
PO
Principal Only represents the right to receive the principal portion
only on an underlying pool of mortgage loans. The market value of
these securities is extremely volatile in response to changes in
market interest rates. As prepayments on the underlying
mortgages of these securities increase, the yield on these
securities increases.
REMIC
Real Estate Mortgage Investment Conduit
SOFR
Secured Overnight Financing Rate
STRIPS
Separate Trading of Registered Interest and Principal of Securities.
The STRIPS Program lets investors hold and trade individual
interest and principal components of eligible notes and bonds as
separate securities.
UMBS
Uniform Mortgage-Backed Securities
^
Amount rounds to less than 0.1% of net assets.
‡
Value determined using significant unobservable
inputs.
(a)
Securities exempt from registration under Rule 144A
or section 4(a)(2), of the Securities Act of 1933, as
amended.
14
(b)
Variable or floating rate security, the interest rate of
which adjusts periodically based on changes in current
interest rates and prepayments on the underlying
pool of assets. The interest rate shown is the current
rate as of August 31, 2024.
(c)
Step bond. Interest rate is a fixed rate for an initial
period that either resets at a specific date or may
reset in the future contingent upon a predetermined
trigger. The interest rate shown is the current rate as
of August 31, 2024.
(d)
All or a portion of the security is a when-issued
security, delayed delivery security, or forward
commitment.
(e)
Variable or floating rate security, linked to the
referenced benchmark. The interest rate shown is the
current rate as of August 31, 2024.
(f)
Investment in an affiliated fund, which is registered
under the Investment Company Act of 1940, as
amended, and is advised by J.P. Morgan Investment
Management Inc.
(g)
The rate shown is the current yield as of August 31,
2024.
15
JPMorgan Sustainable Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Municipal Bonds — 88.5% (a)
Alabama — 0.5%
County of Jefferson sewer Series 2024, Rev.,
5.00%, 10/1/2035
1,000,000
1,121,799
Arizona — 4.2%
Arizona Board of Regents, Stimulus Plan For
Economic and Educational Development
Series 2024, Rev., 5.00%, 8/1/2043
1,060,000
1,183,041
Arizona Industrial Development Authority,
Equitable School Revolving Fund LLC Series
2022A, Rev., 5.00%, 11/1/2037
900,000
994,898
Arizona Industrial Development Authority, KIPP
Nashville Project
Series 2022A, Rev., 5.00%, 7/1/2030
245,000
264,129
Series 2022A, Rev., 5.00%, 7/1/2031
260,000
279,102
Series 2022A, Rev., 5.00%, 7/1/2032
270,000
288,790
Industrial Development Authority of the County
of Pima (The), La Posada at Pusch Ridge
Project Series 2022B-3, Rev., 5.13%,
11/15/2029(b)
750,000
757,263
Maricopa County Industrial Development
Authority, Arizona Autism Charter School
Project Series 2021A, Rev., 4.00%,
7/1/2041(b)
1,100,000
990,877
Maricopa County Industrial Development
Authority, Banner Health Series A, Rev.,
4.00%, 1/1/2041
4,450,000
4,411,981
Total Arizona
9,170,081
California — 8.0%
California Community Choice Financing
Authority, Clean Energy Project
Series 2023B-1, Rev., 5.00%, 8/1/2029(c)
1,090,000
1,158,192
Series 2024 A, Rev., 5.00%, 4/1/2032(c)
2,000,000
2,165,304
California Health Facilities Financing Authority,
Adventist Health System Series 2024A, Rev.,
5.00%, 12/1/2036
1,500,000
1,671,899
California Infrastructure and Economic
Development Bank, Brightline West
Passenger Rail Project Series 2020 A-4, Rev.,
AMT, 8.00%, 8/15/2025(b) (c)
1,000,000
1,009,571
California Infrastructure and Economic
Development Bank, California Academy Of
Science Series 2024A, Rev., 3.25%,
8/1/2029
2,000,000
2,007,726
California Pollution Control Financing Authority,
Poseidon Resources Channelside LP
Desalination Project
Rev., AMT, 5.00%, 7/1/2036(b)
250,000
277,038
Rev., AMT, 5.00%, 7/1/2037(b)
1,100,000
1,211,121
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
California — continued
California School Finance Authority, Green Dot
Public Schools Project Series 2022A, Rev.,
5.00%, 8/1/2032(b)
325,000
342,150
California School Finance Authority, Kipp SoCal
Public Schools Series 2019A, Rev., 5.00%,
7/1/2039(b)
500,000
522,859
California Statewide Communities Development
Authority Series 2009 C-2, Rev., 5.00%,
11/1/2029(c)
2,000,000
2,227,418
California Statewide Communities Development
Authority, Emanate Health, Tax-Exempt Series
2020A, Rev., 3.00%, 4/1/2050
2,645,000
2,089,107
California Statewide Communities Development
Authority, Front Porch Communities Series
2021A, Rev., 4.00%, 4/1/2039
1,000,000
989,045
California Statewide Communities Development
Authority, John Muir Health Series 2024A,
Rev., 5.00%, 12/1/2026
625,000
658,102
State of California, Various Purpose GO, 5.00%,
8/1/2028
1,000,000
1,092,530
Total California
17,422,062
Colorado — 3.3%
City of Colorado Springs Utilities System Series
2024A, Rev., 5.00%, 11/15/2049
1,000,000
1,100,079
Colorado Health Facilities Authority, Adventist
Health System Series 2024 A-1, Rev., 5.00%,
11/15/2029(c)
1,000,000
1,097,010
Colorado Housing and Finance Authority Series
2023L, Class III, Rev., GNMA COLL, 5.75%,
11/1/2053
2,465,000
2,657,078
Colorado Housing and Finance Authority, Single
Family Mortgage Series 2020B, Class I, Rev.,
3.75%, 5/1/2050
1,145,000
1,145,665
Dominion Water and Sanitation District
Rev., 5.00%, 12/1/2027
590,000
599,053
Rev., 5.25%, 12/1/2032
500,000
518,555
Total Colorado
7,117,440
Connecticut — 1.5%
Connecticut State Health and Educational
Facilities Authority, Yale New Heaven Health
Series 2024 B, Rev., 5.00%, 7/1/2029(c)
2,000,000
2,185,226
16
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Municipal Bonds — continued
Connecticut — continued
Connecticut State Higher Education
Supplemental Loan Authority, CHESLA Loan
Program Series 2019B, Rev., AMT, 5.00%,
11/15/2027
205,000
213,394
Stamford Housing Authority, The Dogwoods
Project Rev., BAN, 11.00%, 12/1/2027(b)
1,000,000
975,064
Total Connecticut
3,373,684
Delaware — 1.0%
Delaware State Health Facilities Authority,
Beebe Medical Center Project Rev., 5.00%,
6/1/2034
2,200,000
2,294,100
District of Columbia — 0.7%
Washington Metropolitan Area Transit Authority
Dedicated, Sustainability Climate Transition
Bonds Series 2024 A, Rev., 4.38%,
7/15/2059
1,555,000
1,543,733
Florida — 6.0%
Florida Development Finance Corp., Brightline
Florida Passenger Rail Project
Series 2024, Rev., AMT, 5.00%, 7/1/2037
1,000,000
1,043,977
Series 2024, Rev., AMT, 5.50%, 7/1/2053
250,000
259,248
Florida Development Finance Corp., Central
Charter School Project Series 2022, Rev.,
5.63%, 8/15/2042(b)
1,515,000
1,520,241
Florida Development Finance Corp., Idea
Florida, Inc., Jacksonville IV Project Rev.,
5.25%, 6/15/2029(b)
300,000
304,197
Lee County School Board (The) Series 2023A,
COP, 5.00%, 8/1/2042
2,715,000
2,975,328
Lee Memorial Health System Series A-1, Rev.,
5.00%, 4/1/2036
1,235,000
1,308,056
Middleton Community Development District A,
City of Wildwood, Florida Special Assessment
5.85%, 5/1/2037
500,000
530,458
Okaloosa County School Board COP, AGC,
5.00%, 10/1/2049
1,000,000
1,084,375
Palm Beach County Health Facilities Authority,
Jupiter Medical Center Series 2022, Rev.,
5.00%, 11/1/2047
500,000
513,238
Palm Beach County School District Series
2023A, COP, 5.00%, 8/1/2040
2,865,000
3,229,396
Village Community Development District No. 15
4.25%, 5/1/2028(b)
350,000
353,867
Total Florida
13,122,381
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Georgia — 3.1%
Gainesville and Hall County Hospital Authority,
Northeast Georgia Health System, Inc.,
Project Rev., RAN, 5.00%, 10/15/2030
1,000,000
1,108,450
Georgia Housing and Finance Authority Series
2024 A, Rev., 5.00%, 12/1/2042
1,250,000
1,353,423
Main Street Natural Gas, Inc., Gas Supply
Series 2022B, Rev., 5.00%, 6/1/2029(c)
2,050,000
2,158,671
Series 2024B, Rev., 5.00%, 3/1/2032(c)
1,000,000
1,084,060
Metropolitan Atlanta Rapid Transit Authority,
Sales Tax Series 2024 B, Rev., 5.00%,
7/1/2041
1,000,000
1,136,793
Total Georgia
6,841,397
Illinois — 4.2%
City of Aurora, Single Family Mortgage
Series 2007B, Rev., GNMA / FNMA / FHLMC,
5.45%, 12/1/2039
38,782
39,286
Series 2007-A, Rev., AMT, GNMA / FNMA /
FHLMC, 5.50%, 12/1/2039
43,830
44,427
City of Chicago, Waterworks, Second Lien
Series 2023B, Rev., AGM, 5.00%,
11/1/2035
500,000
563,624
Series 2023B, Rev., AGM, 5.00%,
11/1/2039
1,500,000
1,654,467
Illinois Finance Authority, Lake Forest College
Series 2022A, Rev., 5.00%, 10/1/2032
215,000
228,141
Series 2022A, Rev., 5.50%, 10/1/2039
380,000
403,123
Illinois Finance Authority, University Of Chicago
Series 2024 A, Rev., 5.00%, 4/1/2032
1,125,000
1,289,185
Illinois Housing Development Authority Series
2024 A, Rev., GNMA / FNMA / FHLMC,
6.00%, 10/1/2054
1,000,000
1,098,428
State of Illinois Series 2023B, GO, 4.50%,
5/1/2048
160,000
160,332
University of Illinois Auxiliary Facilities System
Series 2024A, Rev., 5.25%, 4/1/2043
1,000,000
1,129,448
Will County Forest Preservation District, Limited
Tax GO, 5.00%, 12/15/2036
1,460,000
1,593,894
Will County School District No. 86 Joliet Series
2024, GO, 5.00%, 3/1/2042
1,000,000
1,074,404
Total Illinois
9,278,759
Indiana — 0.5%
City of Goshen, Multi-Family, Green Oaks of
Goshen Project Series 2021A, Rev., 5.00%,
8/1/2041(b)
500,000
425,529
17
JPMorgan Sustainable Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF August 31, 2024 (Unaudited) (continued)
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Municipal Bonds — continued
Indiana — continued
City of Jeffersonville, Vivera Senior Living of
Jeffersonville Project Series 2020A, Rev.,
4.75%, 11/1/2030(b)
570,000
518,779
Indiana Finance Authority, CHF-
Tippecanoe LLC- Student Housing Project
Series 2023A, Rev., 5.00%, 6/1/2053
150,000
155,103
Total Indiana
1,099,411
Iowa — 0.8%
Iowa Finance Authority, Senior Living Facility,
Sunrise Retirement Community Project
Rev., 5.00%, 9/1/2028
195,000
189,215
Rev., 5.00%, 9/1/2030
110,000
104,840
Rev., 5.00%, 9/1/2031
105,000
99,121
Rev., 5.00%, 9/1/2036
445,000
402,703
Iowa Student Loan Liquidity Corp., Student Loan
Series 2015A, Rev., AMT, 5.00%,
12/1/2025
1,000,000
1,017,211
Total Iowa
1,813,090
Kentucky — 1.2%
County of Knott, Solid Waste Water Project
Series 2024, Rev., AMT, 4.00%,
4/1/2025(b) (c)
1,000,000
1,002,227
Kentucky Public Energy Authority Series 2024A,
Rev., 5.00%, 7/1/2030(c)
1,000,000
1,061,458
University of Kentucky, Healthcare Cancer
Center Parking Projects Rev., 5.00%,
10/1/2025(d)
555,000
567,834
Total Kentucky
2,631,519
Louisiana — 1.3%
Louisiana Public Facilities Authority, Mentorship
Steam Academy Project
Series 2021A, Rev., 5.00%, 6/1/2036(b)
385,000
371,378
Series 2021A, Rev., 5.00%, 6/1/2042(b)
440,000
404,936
Louisiana Public Facilities Authority, Tulane
University of Louisiana Project Series 2020
A, Rev., 5.00%, 4/1/2045
2,000,000
2,115,806
Total Louisiana
2,892,120
Massachusetts — 0.8%
Massachusetts Development Finance Agency,
Boston Medical Center Issue
Series 2023G, Rev., 5.25%, 7/1/2048
1,000,000
1,096,585
Series 2023G, Rev., 4.38%, 7/1/2052
700,000
707,277
Total Massachusetts
1,803,862
INVESTMENTS
PRINCIPAL
AMOUNT($)
VALUE($)
Michigan — 3.6%
City of Detroit, Unlimited Tax
Series 2021A, GO, 5.00%, 4/1/2033
770,000
839,161
Series 2023A, GO, 6.00%, 5/1/2039
3,225,000
3,789,195
Michigan Finance Authority, Trinity Health Credit
Group
Series 2022B, Rev., 5.00%, 12/1/2028(c)
2,000,000
2,147,671
Series 2013MI-4, Rev., 4.00%, 12/1/2038
1,000,000
1,005,147
Total Michigan
7,781,174
Minnesota — 2.7%
City of Rochester, Mayo Clinic Series 2022, Rev.,
4.00%, 11/15/2039
1,425,000
1,478,838
Minneapolis-St. Paul Housing Finance Board,
Single Family Mortgage, City Living Home
Programs Series 2007A-2, Rev., GNMA /
FNMA / FHLMC, 5.52%, 3/1/2041
85,000
85,017
Minnesota Housing Finance Agency Series
2022M, Rev., GNMA / FNMA / FHLMC COLL,
6.00%, 1/1/2053
1,185,000
1,277,873
Minnesota Housing Finance Agency, Non Profit
Housing, State Appropriation
Rev., 5.25%, 8/1/2025
1,070,000
1,071,886
Rev., 5.25%, 8/1/2026
825,000
826,646
Minnesota Housing Finance Agency, Residential
Housing Series 2024 O, Rev., GNMA / FNMA /
FHLMC, 6.25%, 1/1/2055
1,000,000
1,138,829
Total Minnesota
5,879,089
Missouri — 1.9%
Health and Educational Facilities Authority of
the State of Missouri, Mercy Health Series
2018A, Rev., 5.00%, 6/1/2031
1,000,000
1,071,585
Missouri Housing Development Commission,
Single Family, First Place Homeownership
Loan Program Series 2024 A, Rev., GNMA /
FNMA / FHLMC, 5.75%, 5/1/2055
1,000,000
1,097,861
Missouri State Environmental Improvement and
Energy Resources Authority, Water Pollution
Control and Drinking Water Series 2015 B,
Rev., 5.00%, 7/1/2026
2,000,000
2,039,248
Total Missouri
4,208,694
New Hampshire — 0.4%
City of Manchester, School Facilities Rev., NATL -
(unlimited number of shares authorized - par value $0.0001)
3,450,360
14,613,170
4,306,783
Net asset value, per share
$50.53
$51.86
$50.80
Cost of investments in non-affiliates
$163,855,690
$694,767,159
$192,506,592
Cost of investments in affiliates
12,890,837
80,295,213
25,483,699
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
23
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED August 31, 2024 (Unaudited)
JPMorgan
High Yield Municipal ETF
JPMorgan Limited
Duration Bond ETF
JPMorgan Sustainable
Municipal Income ETF
INVESTMENT INCOME:
Interest income from non-affiliates
$4,121,526
$15,509,606
$3,708,028
Interest income from affiliates
66
152
64
Dividend income from affiliates
264,627
1,672,873
377,367
Total investment income
4,386,219
17,182,631
4,085,459
EXPENSES:
Investment advisory fees
306,970
722,475
321,959
Administration fees
65,780
271,030
80,513
Custodian and accounting fees
13,896
27,404
31,372
Interest expense to non-affiliates
161
—
99
Interest expense to affiliates
854
36
31
Professional fees
49,988
43,228
35,278
Trustees’ and Chief Compliance Officer’s fees
12,851
13,640
12,908
Printing and mailing costs
28,615
46,738
24,837
Registration and filing fees
9,095
13,495
8,939
Other
4,519
7,842
4,749
Total expenses
492,729
1,145,888
520,685
Less fees waived
(10,710
)
(36,532
)
(15,763
)
Less expense reimbursements
(184,749
)
(278,688
)
(327,375
)
Net expenses
297,270
830,668
177,547
Net investment income (loss)
4,088,949
16,351,963
3,907,912
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates
(2,454,402
)
228
(2,876,914
)
Investments in affiliates
(105
)
(14,437
)
(822
)
Futures contracts
274,486
—
161,202
Net realized gain (loss)
(2,180,021
)
(14,209
)
(2,716,534
)
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates
4,005,233
12,290,957
3,719,933
Investments in affiliates
104
16,515
1,424
Futures contracts
84,785
—
51,643
Change in net unrealized appreciation/depreciation
4,090,122
12,307,472
3,773,000
Net realized/unrealized gains (losses)
1,910,101
12,293,263
1,056,466
Change in net assets resulting from operations
$5,999,050
$28,645,226
$4,964,378
SEE NOTES TO FINANCIAL STATEMENTS.
24
J.P. Morgan Exchange-Traded Funds
August 31, 2024
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
JPMorgan High Yield Municipal ETF
JPMorgan Limited Duration Bond ETF
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024 (a)
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024 (b)
CHANGE IN NET ASSETS RESULTING FROM
OPERATIONS:
Net investment income (loss)
$4,088,949
$10,089,791
$16,351,963
$37,150,795
Net realized gain (loss)
(2,180,021
)
(37,745,886
)
(14,209
)
(7,684,097
)
Change in net unrealized appreciation/depreciation
4,090,122
36,991,223
12,307,472
20,200,239
Change in net assets resulting from operations
5,999,050
9,335,128
28,645,226
49,666,937
DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders
(4,145,128
)
(9,444,369
)
(16,078,318
)
(34,846,845
)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions
(2,479,506
)
(130,313,072
)
18,004,888
(411,237,336
)
NET ASSETS:
Change in net assets
(625,584
)
(130,422,313
)
30,571,796
(396,417,244
)
Beginning of period
174,959,795
305,382,108
727,270,847
1,123,688,091
End of period
$174,334,211
$174,959,795
$757,842,643
$727,270,847
(a)
JPMorgan High Yield Municipal ETF acquired all of the assets and liabilities of the JPMorgan High Yield Municipal Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 14, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan High Yield Municipal ETF and will be used going forward. As a result, the information prior to close of business on July 14, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
(b)
JPMorgan Limited Duration Bond ETF acquired all of the assets and liabilities of the JPMorgan Limited Duration Bond Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 28, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan Limited Duration Bond ETF and will be used going forward. As a result, the information prior to close of business on July 28, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
25
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
JPMorgan Sustainable Municipal Income ETF
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024 (a)
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)
$3,907,912
$8,169,328
Net realized gain (loss)
(2,716,534
)
(9,847,259
)
Change in net unrealized appreciation/depreciation
3,773,000
13,385,865
Change in net assets resulting from operations
4,964,378
11,707,934
DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders
(3,911,775
)
(7,551,058
)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions
1,937
(48,084,330
)
NET ASSETS:
Change in net assets
1,054,540
(43,927,454
)
Beginning of period
217,726,100
261,653,554
End of period
$218,780,640
$217,726,100
(a)
JPMorgan Sustainable Municipal Income ETF acquired all of the assets and liabilities of the JPMorgan Sustainable Municipal Income Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 14, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan Sustainable Municipal Income ETF and will be used going forward. As a result, the information prior to close of business on July 14, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
26
J.P. Morgan Exchange-Traded Funds
August 31, 2024
JPMorgan High Yield Municipal ETF
JPMorgan Limited Duration Bond ETF
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024(a)
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024(b)
CAPITAL TRANSACTIONS: (c) (d)
Proceeds from shares issued
$—
$3,443,691
$52,538,030
$34,129,095
Distributions reinvested
—
182,983
—
11,437,344
Cost of shares redeemed
(2,479,506
)
(57,631,417
)
(34,533,142
)
(363,692,049
)
Change in net assets resulting from capital transactions
(2,479,506
)
(54,004,743
)
18,004,888
(318,125,610
)
Class A
Proceeds from shares issued
—
799,749
—
3,342,075
Distributions reinvested
—
1,789,218
—
2,367,196
Cost of shares redeemed
—
(23,938,145
)
—
(47,922,575
)
Change in net assets resulting from Class A capital
transactions
—
(21,349,178
)
—
(42,213,304
)
Class C
Proceeds from shares issued
—
287,941
—
301,486
Distributions reinvested
—
202,030
—
143,219
Cost of shares redeemed
—
(6,182,391
)
—
(3,598,701
)
Change in net assets resulting from Class C capital
transactions
—
(5,692,420
)
—
(3,153,996
)
Class I
Proceeds from shares issued
—
19,683,850
—
26,567,546
Distributions reinvested
—
1,622,857
—
2,914,658
Cost of shares redeemed
—
(70,573,438
)
—
(77,226,630
)
Change in net assets resulting from Class I capital
transactions
—
(49,266,731
)
—
(47,744,426
)
Total change in net assets resulting from capital
transactions
$(2,479,506
)
$(130,313,072
)
$18,004,888
$(411,237,336
)
(a)
JPMorgan High Yield Municipal ETF acquired all of the assets and liabilities of the JPMorgan High Yield Municipal Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 14, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan High Yield Municipal ETF and will be used going forward. As a result, the information prior to close of business on July 14, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
(b)
JPMorgan Limited Duration Bond ETF acquired all of the assets and liabilities of the JPMorgan Limited Duration Bond Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 28, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan Limited Duration Bond ETF and will be used going forward. As a result, the information prior to close of business on July 28, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
(c)
Reflects reorganization from JPMorgan High Yield Municipal Fund on July 14, 2023. See Note 1.
(d)
Reflects reorganization from JPMorgan Limited Duration Bond Fund on July 28, 2023. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
27
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
JPMorgan High Yield Municipal ETF
JPMorgan Limited Duration Bond ETF
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024(a)
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024(b)
SHARE TRANSACTIONS: (c) (d)
Issued
—
64,935
1,020,000
676,744
Reinvested
—
3,670
—
228,552
Redeemed
(50,000
)
(1,177,902
)
(680,000
)
(7,241,909
)
Change in Shares
(50,000
)
(1,109,297
)
340,000
(6,336,613
)
Class A
Issued
—
15,954
—
66,595
Reinvested
—
35,889
—
47,292
Redeemed
—
(478,669
)
—
(956,310
)
Change in Class A Shares
—
(426,826
)
—
(842,423
)
Class C
Issued
—
5,740
—
6,005
Reinvested
—
4,052
—
2,862
Redeemed
—
(124,088
)
—
(71,843
)
Change in Class C Shares
—
(114,296
)
—
(62,976
)
Class I
Issued
—
391,412
—
529,419
Reinvested
—
32,524
—
58,259
Redeemed
—
(1,411,135
)
—
(1,539,450
)
Change in Class I Shares
—
(987,199
)
—
(951,772
)
(a)
JPMorgan High Yield Municipal ETF acquired all of the assets and liabilities of the JPMorgan High Yield Municipal Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 14, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan High Yield Municipal ETF and will be used going forward. As a result, the information prior to close of business on July 14, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
(b)
JPMorgan Limited Duration Bond ETF acquired all of the assets and liabilities of the JPMorgan Limited Duration Bond Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 28, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan Limited Duration Bond ETF and will be used going forward. As a result, the information prior to close of business on July 28, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
(c)
Reflects reorganization from JPMorgan High Yield Municipal Fund on July 14, 2023. See Note 1.
(d)
Reflects reorganization from JPMorgan Limited Duration Bond Fund on July 28, 2023. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
28
J.P. Morgan Exchange-Traded Funds
August 31, 2024
JPMorgan Sustainable Municipal Income ETF
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024(a)
CAPITAL TRANSACTIONS: (b)
Proceeds from shares issued
$5,057,811
$10,765,358
Distributions reinvested
—
672,386
Cost of shares redeemed
(5,055,874
)
(47,080,166
)
Change in net assets resulting from capital transactions
1,937
(35,642,422
)
Class A
Proceeds from shares issued
—
412,669
Distributions reinvested
—
763,534
Cost of shares redeemed
—
(10,107,211
)
Change in net assets resulting from Class A capital transactions
—
(8,931,008
)
Class C
Proceeds from shares issued
—
11,317
Distributions reinvested
—
44,105
Cost of shares redeemed
—
(315,902
)
Change in net assets resulting from Class C capital transactions
—
(260,480
)
Class I
Proceeds from shares issued
—
28,984,690
Distributions reinvested
—
1,249,534
Cost of shares redeemed
—
(33,484,644
)
Change in net assets resulting from Class I capital transactions
—
(3,250,420
)
Total change in net assets resulting from capital transactions
$1,937
$(48,084,330
)
(a)
JPMorgan Sustainable Municipal Income ETF acquired all of the assets and liabilities of the JPMorgan Sustainable Municipal Income Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 14, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan Sustainable Municipal Income ETF and will be used going forward. As a result, the information prior to close of business on July 14, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
(b)
Reflects reorganization from JPMorgan Sustainable Municipal Income Fund on July 14, 2023. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
29
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
JPMorgan Sustainable Municipal Income
ETF
Six Months Ended
August 31, 2024
(Unaudited)
Year Ended
February 29, 2024(a)
SHARE TRANSACTIONS: (b)
Issued
100,000
220,384
Reinvested
—
13,475
Redeemed
(100,000
)
(953,151
)
Change in Shares
—
(719,292
)
Class A
Issued
—
8,221
Reinvested
—
15,299
Redeemed
—
(202,526
)
Change in Class A Shares
—
(179,006
)
Class C
Issued
—
226
Reinvested
—
884
Redeemed
—
(6,312
)
Change in Class C Shares
—
(5,202
)
Class I
Issued
—
578,020
Reinvested
—
25,029
Redeemed
—
(671,881
)
Change in Class I Shares
—
(68,832
)
(a)
JPMorgan Sustainable Municipal Income ETF acquired all of the assets and liabilities of the JPMorgan Sustainable Municipal Income Fund ("Acquired Fund") in a reorganization that occurred as of the close of business on July 14, 2023. Performance and financial history of the Acquired Fund’s Class R6 Shares have been adopted by JPMorgan Sustainable Municipal Income ETF and will be used going forward. As a result, the information prior to close of business on July 14, 2023, reflects that of the Acquired Fund's Class R6 Shares. The Acquired Fund ceased operations as of the date of the reorganization. See Note 1.
(b)
Reflects reorganization from JPMorgan Sustainable Municipal Income Fund on July 14, 2023. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
30
J.P. Morgan Exchange-Traded Funds
August 31, 2024
THIS PAGE IS INTENTIONALLY LEFT BLANK
31
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance (a)
Investment operations
Distributions
Net asset
value,
beginning
of period
Net investment
income
(loss) (c)
Net realized
and unrealized
gains
(losses)
on investments
Total from
investment
operations
Net
investment
income
Net
realized
gain
Total
distributions
JPMorgan High Yield Municipal ETF (g)
Six Months Ended August 31, 2024 (Unaudited)
$49.98
$1.17
$0.57
$1.74
$(1.19
)
$—
$(1.19
)
Year Ended February 29, 2024
49.76
2.38
(0.05
)
2.33
(2.11
)
—
(2.11
)
Year Ended February 28, 2023
58.54
2.02
(8.78
)
(6.76
)
(2.02
)
—
(2.02
)
Year Ended February 28, 2022
59.42
1.86
(0.88
)
0.98
(1.86
)
—
(1.86
)
Year Ended February 28, 2021
61.64
1.86
(2.22
)
(0.36
)
(1.81
)
(0.05
)
(1.86
)
Year Ended February 29, 2020
56.17
1.81
5.47
7.28
(1.76
)
(0.05
)
(1.81
)
(a)
Per share amounts reflect the conversion of the Acquired Fund into the Fund as of the close of business on July 14, 2023. See Note 1.
(b)
Annualized for periods less than one year, unless otherwise noted.
(c)
Calculated based upon average shares outstanding.
(d)
Not annualized for periods less than one year.
(e)
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.
(f)
JPMorgan High Yield Municipal ETF acquired all of the assets and liabilities of the JPMorgan High Yield Municipal Fund (“Acquired Fund”) in a reorganization that
occurred as of the close of business on July 14, 2023. Market price returns are calculated using the official closing price of the JPMorgan High Yield Municipal ETF
on the listing exchange as of the time that the JPMorgan High Yield Municipal ETF's NAV is calculated. Prior to the JPMorgan High Yield Municipal ETF's listing on
July 17, 2023, the NAV performance of the Class R6 Shares of the Acquired Fund are used as proxy market price returns.
(g)
JPMorgan High Yield Municipal ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan High Yield Municipal Fund (“Acquired Fund”) in a
reorganization that occurred as of the close of business on July 14, 2023. Performance and financial history of the Acquired 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 Acquired Fund’s Class R6 Shares for the
period March 1, 2019 up through the reorganization.
SEE NOTES TO FINANCIAL STATEMENTS.
32
J.P. Morgan Exchange-Traded Funds
August 31, 2024
Ratios/Supplemental data
Ratios to average net assets (b)
Net asset
value,
end of
period
Market
price,
end of
period
Total
return (d)(e)
Market
price
total
return (d)(f)
Net assets,
end of
period
Net
expenses
Net
investment
income
(loss)
Expenses
without waivers
and reimbursements
Portfolio
turnover
rate (d)
$50.53
$50.62
3.54
%
4.21
%
$174,334,211
0.34
%
4.67
%
0.56
%
45
%
49.98
49.75
4.85
4.38
174,959,795
0.35
4.87
0.59
90
49.76
49.76
(11.62
)
(11.62
)
13,436,450
0.45
3.82
0.52
21
58.54
58.54
1.60
1.60
20,315,531
0.45
3.07
0.51
24
59.42
59.42
(0.41
)
(0.41
)
21,168,811
0.45
3.16
0.51
39
61.64
61.64
13.12
13.12
6,060,120
0.44
3.01
0.56
18
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
33
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance (a)
Investment operations
Distributions
Net asset
value,
beginning
of period
Net investment
income
(loss) (c)
Net realized
and unrealized
gains
(losses)
on investments
Total from
investment
operations
Net
investment
income
JPMorgan Limited Duration Bond ETF (h)
Six Months Ended August 31, 2024 (Unaudited)
$50.95
$1.17
$0.89
$2.06
$(1.15
)
Year Ended February 29, 2024
50.00
2.14
0.81
2.95
(2.00
)
Year Ended February 28, 2023
51.60
1.19
(1.60
)
(0.41
)
(1.19
)
Year Ended February 28, 2022
52.68
0.57
(1.08
)
(0.51
)
(0.57
)
Year Ended February 28, 2021
52.63
0.83
0.05
0.88
(0.83
)
Year Ended February 29, 2020
51.70
1.39
0.93
2.32
(1.39
)
(a)
Per share amounts reflect the conversion of the Acquired Fund into the Fund as of the close of business on July 28, 2023. See Note 1.
(b)
Annualized for periods less than one year, unless otherwise noted.
(c)
Calculated based upon average shares outstanding.
(d)
Not annualized for periods less than one year.
(e)
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.
(f)
JPMorgan Limited Duration Bond ETF acquired all of the assets and liabilities of the JPMorgan Limited Duration Bond Fund (“Acquired Fund”) in a reorganization
that occurred as of the close of business on July 28, 2023. Market price returns are calculated using the official closing price of the JPMorgan Limited Duration
Bond ETF on the listing exchange as of the time that the JPMorgan Limited Duration Bond ETF's NAV is calculated. Prior to the JPMorgan Limited Duration Bond
ETF's listing on July 31, 2023, the NAV performance of the Class R6 Shares of the Acquired Fund are used as proxy market price returns.
(g)
Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(h)
JPMorgan Limited Duration Bond ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan Limited Duration Bond Fund (“Acquired Fund”) in a
reorganization that occurred as of the close of business on July 28, 2023. Performance and financial history of the Acquired 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 Acquired Fund’s Class R6 Shares for the
period March 1, 2019 up through the reorganization.
SEE NOTES TO FINANCIAL STATEMENTS.
34
J.P. Morgan Exchange-Traded Funds
August 31, 2024
Ratios/Supplemental data
Ratios to average net assets (b)
Net asset
value,
end of
period
Market
price,
end of
period
Total
return (d)(e)
Market
price
total
return (d)(f)
Net assets,
end of
period
Net
expenses(g)
Net
investment
income
(loss)
Expenses
without waivers
and reimbursements
Portfolio
turnover
rate (d)
$51.86
$51.89
4.11
%
4.48
%
$757,842,643
0.23
%
4.54
%
0.32
%
16
%
50.95
50.80
6.05
5.74
727,270,847
0.23
4.27
0.33
6
50.00
50.00
(0.74
)
(0.74
)
716,175,584
0.23
2.41
0.31
26
51.60
51.60
(0.95
)
(0.95
)
821,093,668
0.24
1.10
0.30
24
52.68
52.68
1.70
1.70
859,503,428
0.23
1.55
0.30
35
52.63
52.63
4.53
4.53
743,296,676
0.24
2.63
0.35
27
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
35
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance (a)
Investment operations
Distributions
Net asset
value,
beginning
of period
Net investment
income
(loss) (c)
Net realized
and unrealized
gains
(losses)
on investments
Total from
investment
operations
Net
investment
income
JPMorgan Sustainable Municipal Income ETF (g)
Six Months Ended August 31, 2024 (Unaudited)
$50.55
$0.92
$0.25
$1.17
$(0.92
)
Year Ended February 29, 2024
49.56
1.77
0.81
2.58
(1.59
)
Year Ended February 28, 2023
53.82
1.35
(4.21
)
(2.86
)
(1.40
)
Year Ended February 28, 2022
55.45
1.18
(1.63
)
(0.45
)
(1.18
)
Year Ended February 28, 2021
55.79
1.12
(0.34
)
0.78
(1.12
)
Year Ended February 29, 2020
53.20
1.29
2.59
3.88
(1.29
)
(a)
Per share amounts reflect the conversion of the Acquired Fund into the Fund as of the close of business on July 14, 2023. See Note 1.
(b)
Annualized for periods less than one year, unless otherwise noted.
(c)
Calculated based upon average shares outstanding.
(d)
Not annualized for periods less than one year.
(e)
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.
(f)
JPMorgan Sustainable Municipal Income ETF acquired all of the assets and liabilities of the JPMorgan Sustainable Municipal Income Fund (“Acquired Fund”) in a
reorganization that occurred as of the close of business on July 14, 2023. Market price returns are calculated using the official closing price of the JPMorgan
Sustainable Municipal Income ETF on the listing exchange as of the time that the JPMorgan Sustainable Municipal Income ETF's NAV is calculated. Prior to the
JPMorgan Sustainable Municipal Income ETF's listing on July 17, 2023, the NAV performance of the Class R6 Shares of the Acquired Fund are used as proxy market
price returns.
(g)
JPMorgan Sustainable Municipal Income ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan Sustainable Municipal Income Fund (“Acquired
Fund”) in a reorganization that occurred as of the close of business on July 14, 2023. Performance and financial history of the Acquired 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 Acquired Fund’s Class R6
Shares for the period March 1, 2019 up through the reorganization.
SEE NOTES TO FINANCIAL STATEMENTS.
36
J.P. Morgan Exchange-Traded Funds
August 31, 2024
Ratios/Supplemental data
Ratios to average net assets (b)
Net asset
value,
end of
period
Market
price,
end of
period
Total
return (d)(e)
Market
price
total
return (d)(f)
Net assets,
end of
period
Net
expenses
Net
investment
income
(loss)
Expenses
without waivers
and reimbursements
Portfolio
turnover
rate (d)
$50.80
$50.74
2.36
%
2.36
%
$218,780,640
0.17
%
3.65
%
0.49
%
41
%
50.55
50.49
5.32
5.20
217,726,100
0.20
3.57
0.52
35
49.56
49.56
(5.36
)
(5.36
)
65,552,740
0.35
2.69
0.49
37
53.82
53.82
(0.82
)
(0.82
)
81,399,139
0.35
2.14
0.46
18
55.45
55.45
1.46
1.46
62,415,473
0.34
2.06
0.46
22
55.79
55.79
7.36
7.36
60,936,135
0.34
2.38
0.49
7
SEE NOTES TO FINANCIAL STATEMENTS.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
37
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited)
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 3 separate funds of the Trust (each, a "Fund" and collectively, the "Funds") covered by this report:
Diversification Classification
JPMorgan High Yield Municipal ETF
Diversified
JPMorgan Limited Duration Bond ETF
Diversified
JPMorgan Sustainable Municipal Income ETF
Diversified
Pursuant to an Agreement and Plan of Reorganization and Liquidation previously approved by the Board of Trustees (the "Board") 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”):
Acquired Fund
Fund
Closing Date
JPMorgan High Yield Municipal Fund
JPMorgan High Yield Municipal ETF
July 14, 2023
JPMorgan Limited Duration Bond Fund
JPMorgan Limited Duration Bond ETF
July 28, 2023
JPMorgan Sustainable Municipal Income Fund
JPMorgan Sustainable Municipal Income ETF
July 14, 2023
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 the 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.
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.
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 the Funds for a term ending July 31, 2026. Each Reorganization did not result in the material change to the Acquired Funds' 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 29, 2024.
The investment objective of JPMorgan High Yield Municipal ETF (“High Yield Municipal ETF”) is to seek a high level of current income exempt from federal income taxes.
The investment objective of JPMorgan Limited Duration Bond ETF (“Limited Duration Bond ETF”) is to seek a high level of current income consistent with low volatility of principal.
The investment objective of JPMorgan Sustainable Municipal Income ETF (“Sustainable Municipal Income ETF”) is to seek a current income exempt from federal income taxes.
38
J.P. Morgan Exchange-Traded Funds
August 31, 2024
Shares of each Fund are listed and traded at market price on an exchange as follows:
Listing Exchange
High Yield Municipal ETF
NYSE Arca, Inc.
Limited Duration Bond ETF
Cboe BZX Exchange, Inc.
Sustainable Municipal Income ETF
NYSE Arca, Inc.
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 in exchange for a basket of securities and/or cash. 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.
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.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
39
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by Limited Duration Bond ETF at August 31, 2024.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the 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.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments ("SOIs"):
High Yield Municipal ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Municipal Bonds
$—
$160,129,403
$—
$160,129,403
Short-Term Investments
Investment Companies
12,891,801
—
—
12,891,801
Total Investments in Securities
$12,891,801
$160,129,403
$—
$173,021,204
Appreciation in Other Financial Instruments
Futures Contracts
$92,811
$—
$—
$92,811
Depreciation in Other Financial Instruments
Futures Contracts
(8,026
)
—
—
(8,026
)
Total Net Appreciation/ Depreciation in Other
Financial Instruments
$84,785
$—
$—
$84,785
Limited Duration Bond ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Asset-Backed Securities
$—
$262,890,576
$6,613,976
$269,504,552
Collateralized Mortgage Obligations
—
194,301,778
2,050,048
196,351,826
Commercial Mortgage-Backed Securities
—
78,835,571
—
78,835,571
Corporate Bonds
—
27,482,806
—
27,482,806
Mortgage-Backed Securities
—
105,527,258
—
105,527,258
Short-Term Investments
Investment Companies
80,315,860
—
—
80,315,860
Total Investments in Securities
$80,315,860
$669,037,989
$8,664,024
$758,017,873
Sustainable Municipal Income ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Municipal Bonds
$—
$193,628,173
$—
$193,628,173
40
J.P. Morgan Exchange-Traded Funds
August 31, 2024
Sustainable Municipal Income ETF (continued)
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Short-Term Investments
Investment Companies
$25,485,188
$—
$—
$25,485,188
Total Investments in Securities
$25,485,188
$193,628,173
$—
$219,113,361
Appreciation in Other Financial Instruments
Futures Contracts
$56,657
$—
$—
$56,657
Depreciation in Other Financial Instruments
Futures Contracts
(5,014
)
—
—
(5,014
)
Total Net Appreciation/ Depreciation in Other
Financial Instruments
$51,643
$—
$—
$51,643
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
Limited Duration Bond
ETF
Balance as of
February 29,
2024
Realized
gain (loss)
Change in net
unrealized
appreciation
(depreciation)
Net
accretion
(amortization)
Purchases1
Sales2
Transfers
into
Level 3
Transfers
out of
Level 3
Balance as of
August 31,
2024
Investments in
Securities:
Asset-Backed
Securities
$13,893,620
$—
$191,060
$(174
)
$1,896,444
$(864,932
)
$—
$(8,502,042
)
$6,613,976
Collateralized
Mortgage
Obligations
—
—
(25
)
43
2,050,030
—
—
—
2,050,048
Total
$13,893,620
$—
$191,035
$(131
)
$3,946,474
$(864,932
)
$—
$(8,502,042
)
$8,664,024
1
Purchases include all purchases of securities and securities received in corporate actions.
2
Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.
The changes in net unrealized appreciation (depreciation) attributable to securities owned at August 31, 2024, which were valued using significant unobservable inputs (level 3), amounted to $171,310. This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
There were no significant transfers into or out of level 3 for the six months ended August 31, 2024.
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.
Limited Duration Bond ETF
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at
August 31, 2024
Valuation
Technique(s)
Unobservable
Input
Range (Weighted
Average) (a)
$4,715,219
Discounted Cash Flow
Constant Prepayment Rate
6.00% - 8.00% (7.27%)
Yield (Discount Rate of Cash Flows)
5.82% - 6.10% (6.02%)
Asset-Backed Securities
4,715,219
August 31, 2024
J.P. Morgan Exchange-Traded Funds
41
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
Fair Value at
August 31, 2024
Valuation
Technique(s)
Unobservable
Input
Range (Weighted
Average) (a)
2,050,048
Discounted Cash Flow
Constant Prepayment Rate
90.00% (90.00%)
Yield (Discount Rate of Cash Flows)
5.75% (5.75%)
Collateralized Mortgage Obligations
2,050,048
Total
$6,765,267
#
The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At August 31, 2024, the value of
these investments was $1,898,757. The inputs for these investments are not readily available or cannot be reasonably estimated and are
generally those inputs described in Note 2.A.
(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 August 31, 2024, 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— 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.
The Funds had when-issued securities, delayed delivery securities or forward commitments outstanding as of August 31, 2024, which are shown as a Receivable for Investment securities sold — delayed delivery securities and/or a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statements of Assets and Liabilities. The values of these securities held at August 31, 2024 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 an affiliated 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
42
J.P. Morgan Exchange-Traded Funds
August 31, 2024
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.
The Funds did not lend out any securities during the six months ended August 31, 2024.
E. Investment Transactions with Affiliates— The Funds invested in Underlying Funds 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.
High Yield Municipal ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Institutional Tax Free
Money Market Fund Class IM
Shares, 3.24% (a) (b)
$15,938,250
$53,782,627
$56,829,075
$(105
)
$104
$12,891,801
12,890,512
$264,627
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
Limited Duration Bond ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Prime Money Market
Fund Class IM Shares,
5.34% (a) (b)
$71,408,011
$150,456,055
$141,550,284
$(14,437
)
$16,515
$80,315,860
80,275,722
$1,672,873
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
Sustainable Municipal Income ETF
For the six months ended August 31, 2024
Security Description
Value at
February 29,
2024
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
August 31,
2024
Shares at
August 31,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Institutional Tax Free
Money Market Fund Class IM
Shares, 3.24% (a) (b)
$33,472,938
$62,043,742
$70,032,094
$(822
)
$1,424
$25,485,188
25,482,640
$377,367
$—
(a)
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
(b)
The rate shown is the current yield as of August 31, 2024.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
43
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
F. Futures Contracts— High Yield Municipal ETF and Sustainable Municipal Income ETF 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).
The table below discloses the volume of the Funds' futures contracts activity during the six months ended August 31, 2024:
High Yield
Municipal ETF
Sustainable Municipal
Income ETF
Futures Contracts:
Average Notional Balance Long
$19,603,838
$11,899,506
Average Notional Balance Short
(2,736,519
)
(1,697,167
)
Ending Notional Balance Long
48,209,836
29,845,781
Ending Notional Balance Short
(5,379,969
)
(3,280,469
)
G. 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.
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.
44
J.P. Morgan Exchange-Traded Funds
August 31, 2024
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 August 31, 2024, 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. 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.
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:
High Yield Municipal ETF
0.35
%
Limited Duration Bond ETF
0.20
Sustainable Municipal Income ETF
0.30
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined inNote 3.E.
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 six months ended August 31, 2024, the effective annualized 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 inNote 3.E.
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 administration fees payable to JPMIM.
C. Custodian, Accounting and Transfer Agent Fees— JPMCB provides portfolio custody, accounting and transfer agency services (effective as of the Closing Date) 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 Funds 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.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
45
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
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 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:
High Yield Municipal ETF
0.35
%
Limited Duration Bond ETF
0.24
Sustainable Municipal Income ETF
0.18
The expense limitation agreements were in effect for the six months ended August 31, 2024 and the contractual expense limitations are in place until at least July 31, 2026.
For the six months ended August 31, 2024, 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
High Yield Municipal ETF
$184,749
Limited Duration Bond ETF
278,688
Sustainable Municipal Income ETF
327,375
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 six months ended August 31, 2024 were as follows:
High Yield Municipal ETF
$10,710
Limited Duration Bond ETF
36,532
Sustainable Municipal Income ETF
15,763
F. 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, make 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 six months ended August 31, 2024, the Funds 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.
46
J.P. Morgan Exchange-Traded Funds
August 31, 2024
4. Investment Transactions
During the six months ended August 31, 2024, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases
(excluding
U.S. Government)
Sales
(excluding
U.S. Government)
High Yield Municipal ETF
$71,698,408
$72,639,892
Limited Duration Bond ETF
115,095,481
102,958,227
Sustainable Municipal Income ETF
82,066,045
78,540,222
During the six months ended August 31, 2024, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at August 31, 2024 were as follows:
Aggregate
Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
Depreciation
Net Unrealized
Appreciation
(Depreciation)
High Yield Municipal ETF
$176,746,527
$5,118,622
$8,759,160
$(3,640,538
)
Limited Duration Bond ETF
775,062,372
3,278,655
20,323,154
(17,044,499
)
Sustainable Municipal Income ETF
217,990,291
3,017,908
1,843,195
1,174,713
At February 29, 2024, the following Funds had net capital loss carryforwards, which are available to offset future realized gains:
Capital Loss Carryforward Character
Short-Term
Long-Term
High Yield Municipal ETF
$6,330,658
$43,001,429
Limited Duration Bond ETF
359,083
19,652,797
Sustainable Municipal Income ETF
2,933,838
8,249,693
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 29, 2024, the Funds deferred to March 1, 2024 the following net capital losses (gains) of:
Net Capital Losses (Gains)
Short-Term
Long-Term
High Yield Municipal ETF
$(354,116
)
$6,139,314
Limited Duration Bond ETF
—
310
Sustainable Municipal Income ETF
489,597
5,324,167
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.
August 31, 2024
J.P. Morgan Exchange-Traded Funds
47
NOTES TO FINANCIAL STATEMENTS
AS OF August 31, 2024 (Unaudited) (continued)
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 six months ended August 31, 2024.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement 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. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 29, 2024.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended August 31, 2024.
Effective August 8, 2023, the Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into an existing joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. Although the Trust is effectively part of the Credit Facility as of August 8, 2023, it was not eligible to draw on the Credit Facility, and did not incur costs associated with being a part of the Credit Facility.
This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25 million in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25 million minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00%, plus the greater of the federal funds effective rate or the one-month Adjusted Secured Overnight Financing Rate (SOFR).
Effective May 31, 2024, the Funds are no longer part of the Credit Facility.
The Funds did not utilize the Credit Facility during the six months ended August 31, 2024.
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 August 31, 2024, J.P. Morgan Investor 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:
J.P. Morgan
Investor
Funds
Limited Duration Bond ETF
57.7
%
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.
48
J.P. Morgan Exchange-Traded Funds
August 31, 2024
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 Funds to value accurately.
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 change interest rates or the timing, frequency, or magnitude of such changes. 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.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds.
High Yield Municipal ETF invests 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.
Sustainable Municipal Income ETF’s investment in securities whose use of proceeds, in the Adviser’s opinion, provide positive social or environmental benefits could cause it to perform differently compared to funds that do not have such a policy. Investing in securities whose use of proceeds, in the Adviser’s opinion, provide positive social or environmental benefits may result in the Fund forgoing opportunities to buy certain securities when it might otherwise be advantageous to do so, or selling securities when it might be otherwise disadvantageous for it to do so. In addition, there is a risk that the municipal bonds identified by the Adviser’s use of proceeds determination do not operate as expected when addressing positive social or environmental benefits. The Adviser’s assessment of the positive social or environmental impact of a municipal bond’s proceeds is made at the time of purchase and the actual use of proceeds by the issuer could vary over time, which could cause the Fund to be invested in bonds that do not comply with the Fund’s approach towards considering social or environmental characteristics. The factors that the Adviser considers in evaluating whether a security has positive social or environmental benefits may change over time. There are significant differences in interpretations of what it means to promote positive social or environmental benefits. While the Adviser believes its definitions are reasonable, the portfolio decisions it makes may differ with other’s views.
The Funds are subject to infectious disease epidemics/pandemics risk. The effects of any future pandemic or other global event to public health and business and market conditions, may 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 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 a pandemic or other global event that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could have a significant negative impact on a Fund’s investment performance. The ultimate impact of any pandemic or other global event and the extent to which the associated conditions and governmental responses impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
August 31, 2024
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 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.
Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Not applicable.
Proxy Disclosures for Open-End Management Investment Companies
Not applicable.
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
Included in the Statements of Operations within the Funds' Financial Statements.
Statement Regarding Basis for Approval of Investment Advisory Agreements
The Board of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board and its investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed Income Committee) met regularly throughout the year and, at each meeting, considered factors that are relevant to their annual consideration of the continuation of the investment advisory agreements. The Board also met for the specific purpose of considering investment advisory agreement annual renewals. The Board held meetings June 25-26, 2024 and August 20-22, 2024, at which the Trustees considered the continuation of the investment advisory agreements for each Fund whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered each investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to an Advisory Agreement or “interested persons” (as defined in the Investment Company Act of 1940) of any party to an Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 22, 2024.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from J.P. Morgan Investment Management Inc. (the “Adviser”). This information included the Funds’ performance as compared to the performance of their peers and benchmarks, and analyses by the Adviser of the Funds’ performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (the “independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of certain Funds, including risk and performance return assessments as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the
Adviser, counsel to the Funds, and independent legal counsel to the Trustees, and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements with independent legal counsel in executive sessions at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances, and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. Among other things, the Trustees considered:
•
The background and experience of the Adviser’s senior management and investment personnel, including personnel changes, if any;
•
The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund, including personnel changes, if any;
•
The investment strategy for each Fund, and the infrastructure supporting the portfolio management teams;
•
Information about the structure and distribution strategy for each Fund and how it fits within the Adviser’s other fund offerings within the J.P. Morgan Funds complex;
•
The administration services provided by the Adviser in its role as Administrator;
•
Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Funds and in the financial industry generally;
•
The overall reputation and capabilities of the Adviser and its affiliates;
•
The commitment of the Adviser to provide high quality service to the Funds;
•
Their overall confidence in the Adviser’s integrity; and
•
The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates from providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser and reviewed with the Board. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered that JPMorgan Distribution Services, Inc. (“JPMDS”), an affiliate of the Adviser, and the Adviser earn fees from the Funds for providing shareholder and administration services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the fees earned by
JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Adviser, for custody, fund accounting and other related services for each Fund, and the profitability of the arrangements to JPMCB.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds' operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including benefits that may be received by the Adviser and its affiliates in connection with the Fund’s potential investments in other funds advised by the Adviser. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Funds.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from potential economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted certain Funds with contractual expense limitations and fee waivers (“Fee Caps”), which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale. The Trustees also noted that certain other Funds that had achieved scale as asset levels had increased, no longer had a Fee Cap in place for some or all of their share classes, but shared economies of scale through lower average expenses. The Trustees noted that the fees remain fair and reasonable relative to peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser's and JPMDS's ongoing investments in their business in support of the Funds, including the Adviser's and/or JPMDS's investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee
structure for each Fund, including any Fee Caps the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. The Trustees concluded that, for Funds with Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and, for Funds that achieved scale and no longer had Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders benefited from lower average expenses resulting from increased assets. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including, to the extent applicable, institutional separate accounts, collective investment trusts, other registered investment companies and/or private funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered investment companies relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered investment company involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the applicable registered investment company, typically bears the sub-advisory fee and that many responsibilities related to the advisory function are typically retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees receive and consider information about each Fund’s performance throughout the year. In addition, the Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe comprised of funds with the same Broadridge investment classification and objective (the “Universe”) by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge’s methodology for selecting exchange-traded funds in each Fund’s Universe, and noted that Universe quintile
rankings were not calculated if the number of funds in the Universe did not meet a predetermined minimum. The Broadridge materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared for certain Funds by the Trustees’ independent consultant. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted that the JPMorgan High Yield Municipal ETF’s performance was in the fourth, fourth and fifth quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances. The Trustees requested, however, that the Adviser provide additional Fund performance information to be reviewed with members of the Fixed Income Committee at each of their regular meetings over the course of next year.
The Trustees noted that the JPMorgan Limited Duration Bond ETF’s performance was in the first, first and second quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the JPMorgan Sustainable Municipal Income ETF’s performance was in the fifth quintile of the Universe for each of the one-, three- and five-year periods ended December 31, 2023, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances. The Trustees requested, however, that the Adviser provide additional Fund performance information to be reviewed with members of the Fixed Income Committee at each of their regular meetings over the course of next year.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge concerning management fee rates paid by other funds in the Universe, as well as a subset of funds within the Universe (the “Peer Group”). The Trustees recognized that Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund, and noted that Universe and/or Peer Group quintile rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio for each class, as applicable, taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it can be difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that while Broadridge did provide net advisory fee and actual total expense data for funds in the Peer Group and Universe for the JPMorgan High Yield Municipal ETF,
Broadridge did not calculate quintile rankings due to the limited number of funds in both the Peer Group and Universe. After considering the fees relative to the funds in the Peer Group, the Trustees concluded that the advisory fee was fair and reasonable.in light of the services provided to the Fund.
The Trustees noted that the JPMorgan Limited Duration Bond ETF’s net advisory fee and actual total expenses were in the first quintile of the Universe. Broadridge did not calculate the quintile rankings of the Peer Group due to the limited number of funds in the Peer Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the JPMorgan Sustainable Municipal Income ETF’s net advisory fee and actual total expenses were in the first quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
ITEM 8. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Refer to Item 7.
ITEM 9. PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Refer to Item 7.
ITEM 10. REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Refer to Item 7.
ITEM 11. STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT.
Refer to Item 7.
ITEM 12. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 14. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 15. 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 16. 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 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 17. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 18. RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION.
Not applicable.
ITEM 19. EXHIBITS
(a)
File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
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.
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.
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
November 5, 2024
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.
