The graph illustrates comparative performance for $10,000 invested in shares of the JPMORGAN EQUITY PREMIUM INCOME ETF, the S&P 500 Index and the ICE BofA 3-Month US Treasury Bill Index from May 20, 2020 to June 30, 2024.The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the S&P 500 Index and the ICE BofA 3-Month US Treasury Bill Index does not reflect the deduction of expenses associated with an exchange-traded fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmarks, if applicable. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The ICE BofA 3-Month US Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month, the ICE BofA 3-Month US Treasury Bill Index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the balancing date. Investors cannot invest directly in an index.
Performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 13(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
The Audit committee financial experts are Gary L. French, Kathleen M. Gallagher, Raymond Kanner and Lawrence R. Maffia, each of whom is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for the purposes of the audit committee financial expert determination.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES
2024 – $352,450
2023 – $233,444
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
AUDIT-RELATED FEES
2024 – $40,305
2023 – $32,527
Audit-related fees consists of security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
TAX FEES
2024 – $92,251
2023 – $68,721
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended June 30, 2024 and 2023, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
ALL OTHER FEES
2024 – $0
2023 – $0
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the
“Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
2024 – 0.0%
2023 – 0.0%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
Not applicable - Less than 50%.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:
2023 - $35.0 million
2022 - $31.6 million
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
(i) A registrant identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form NCSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction must electronically submit to the Commission on a supplemental basis documentation that establishes that the registrant is not owned or controlled by a governmental entity in the foreign jurisdiction. The registrant must submit this documentation on or before the due date for this form. A registrant that is owned or controlled by a foreign governmental entity is not required to submit such documentation.
Not applicable.
(j) A registrant that is a foreign issuer, as defined in 17 CFR 240.3b-4, identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction, for each year in which the registrant is so identified, must
provide the below disclosures. Also, any such identified foreign issuer that uses a variable-interest entity or any similar structure that results in additional foreign entities being consolidated in the financial statements of the registrant is required to provide the below disclosures for itself and its consolidated foreign operating entity or entities. A registrant must disclose:
(1)
That, for the immediately preceding annual financial statement period, a registered public accounting firm that the PCAOB was unable to inspect or investigate completely, because of a position taken by an authority in the foreign jurisdiction, issued an audit report for the registrant;
(2)
The percentage of shares of the registrant owned by governmental entities in the foreign jurisdiction in which the registrant is incorporated or otherwise organized;
(3)
Whether governmental entities in the applicable foreign jurisdiction with respect to that registered public accounting firm have a controlling financial interest with respect to the registrant;
(4)
The name of each official of the Chinese Communist Party who is a member of the board of directors of the registrant or the operating entity with respect to the registrant; and
(5)
Whether the articles of incorporation of the registrant (or equivalent organizing document) contains any charter of the Chinese Communist Party, including the text of any such charter.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
ITEM 6. 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’ prospectuses 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.
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)
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 closing price was used to
calculate the market price return.
(f)
Commencement of operations.
(g)
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.
(h)
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.
(i)
Per Share amounts reflect the conversion of the JPMorgan Market Expansion Enhanced Equity ETF (the “Fund”) acquired all of the assets and liabilities of the
JPMorgan Market Expansion Enhanced Index Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on May 6, 2022. See Note 1.
(j)
JPMorgan Market Expansion Enhanced Equity ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan Market Expansion Enhanced Index Fund
(“Predecessor Fund”) in a reorganization that occurred as of the close of business on May 6, 2022. Performance and financial history of the Predecessor Fund’s
Class R6 Shares have been adopted by the Fund and will be used going forward. As a result, the financial highlight information reflects that of the Predecessor
Fund’s Class R6 Shares for the period July 1, 2019 up through the reorganization.
(k)
JPMorgan Market Expansion Enhanced Equity ETF acquired all of the assets and liabilities of the JPMorgan Market Expansion Enhanced Index Fund (“Predecessor
Fund”) in a reorganization on May 6, 2022. Market price returns are calculated using the official closing price of the JPMorgan Market Expansion Enhanced Equity
ETF on the listing exchange as of the time that the JPMorgan Market Expansion Enhanced Equity ETF's NAV is calculated. Prior to the JPMorgan Market Expansion
Enhanced Equity ETF's listing on May 9, 2022, the NAV performance of the Class R6 and the Class I Shares of the Predecessor Fund are used as proxy market price
returns.
38
J.P. Morgan Exchange-Traded Funds
June 30, 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)
$75.21
$75.15
35.21
%
35.05
%
$2,088,861,811
0.44
%
0.22
%
0.44
%
30
%
55.72
55.74
11.73
11.77
(g)
358,030,378
0.44
0.45
0.44
60
54.84
54.81
12.54
12.38
13,161,060
0.74
1.43
0.74
27
49.26
49.30
(1.48
)
(1.40
)(g)
10,836,656
0.74
1.57
0.74
13
59.22
59.26
13.29
13.35
1,265,912,410
0.44
1.90
0.44
87
53.14
53.15
12.79
13.04
418,442,628
0.44
1.91
0.44
80
47.81
47.71
(2.37
)
(2.57
)(g)
44,225,127
0.44
1.64
0.44
56
56.71
56.68
10.58
10.44
33,755,582,783
0.35
7.50
0.35
174
55.29
55.33
11.30
11.37
28,046,696,328
0.35
10.69
0.35
190
55.45
55.45
(0.49
)
(0.62
)
10,206,410,953
0.35
10.23
0.35
195
60.50
60.57
30.22
29.90
1,916,419,087
0.35
8.89
0.35
195
50.76
50.94
1.52
1.88
(g)
27,916,586
0.35
11.11
0.35
13
56.61
56.64
14.36
14.33
(k)
1,127,839,632
0.24
1.32
0.35
26
50.12
50.16
16.61
16.73
(k)
854,560,372
0.24
1.38
0.24
29
45.83
45.82
(13.80
)
(13.81
)(k)
833,993,386
0.25
1.21
0.36
27
62.87
62.87
58.97
58.97
(k)
766,008,977
0.25
1.18
0.35
35
41.41
41.41
(9.65
)
(9.65
)(k)
500,129,035
0.25
1.45
0.36
49
55.47
55.50
26.44
26.41
15,244,636,032
0.35
10.20
0.35
168
48.33
48.37
20.81
20.11
3,956,996,062
0.35
13.49
0.35
162
45.46
45.76
(8.37
)
(7.77
)(g)
101,155,729
0.35
14.59
0.35
12
69.21
69.25
38.42
38.50
(g)
539,819,191
0.65
(0.30
)
0.65
32
June 30, 2024
J.P. Morgan Exchange-Traded Funds
39
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2024
1. Organization
J.P. Morgan Exchange-Traded Fund Trust (the “Trust”) was formed on February 25, 2010, and is governed by a Declaration of Trust as amended and restated February 19, 2014, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 7 separate funds of the Trust (each, a "Fund" and collectively, the "Funds") covered by this report:
Diversification Classification
JPMorgan Active Growth ETF
Non-diversified
JPMorgan Active Small Cap Value ETF
Diversified
JPMorgan Active Value ETF
Diversified
JPMorgan Equity Premium Income ETF
Diversified
JPMorgan Market Expansion Enhanced Equity ETF
Diversified
JPMorgan Nasdaq Equity Premium Income ETF
Non-Diversified
JPMorgan U.S. Tech Leaders ETF(1)
Diversified
(1)
Commencement of operations was October 4, 2023.
The investment objective of JPMorgan Active Growth ETF ("Active Growth ETF"), JPMorgan Active Small Cap Value ETF ("Active Small Cap Value ETF"), JPMorgan Active Value ETF ("Active Value ETF") and JPMorgan U.S. Tech Leaders ETF ("U.S. Tech Leaders ETF") is to seek to provide long-term capital appreciation.
The investment objective of JPMorgan Market Expansion Enhanced Equity ETF ("Market Expansion Enhanced Equity ETF") is to seek to provide investment results that correspond to or incrementally exceed the total return performance of an index that tracks the performance of the small- and mid- capitalization equity markets.
The investment objective of JPMorgan Equity Premium Income ETF ("Equity Premium Income ETF") and JPMorgan Nasdaq Equity Premium Income ETF ("Nasdaq Equity Premium Income ETF") is to seek current income while maintaining prospects for capital appreciation.
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 Growth ETF
NYSE Arca, Inc.
Active Small Cap Value ETF
NYSE Arca, Inc.
Active Value ETF
NYSE Arca, Inc.
Equity Premium Income ETF
NYSE Arca, Inc.
Market Expansion Enhanced Equity ETF
NYSE Arca, Inc.
Nasdaq Equity Premium Income ETF
The NASDAQ Stock Market® LLC
U.S. Tech Leaders ETF
The NASDAQ Stock Market® LLC
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. A cash amount may be substituted if a Fund has sizable exposure to market or sponsor restricted securities. Shares are generally traded in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Only individuals or institutions that have entered into an authorized participant agreement with the Distributor may do business directly with the Funds (each, an “Authorized Participant”).
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i)
40
J.P. Morgan Exchange-Traded Funds
June 30, 2024
the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments— Investments are valued in accordance with GAAP and the Funds' valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the "Board"), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
Under Section 2(a)(41) of the 1940 Act, the Board is required to determine fair value for securities that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Funds on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of investments held in the Funds. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the NAV 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.
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 securities, interest rates, prepayment speeds, credit risk, etc.).
•
Level 3 — Significant unobservable inputs (including the Funds’ own 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 securities are not necessarily an indication of the risk associated with investing in those securities. For example, certain money market securities are valued using amortized cost, in accordance with rules under the 1940 Act. Generally, amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are reflected as level 2.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”):
Active Growth ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Total Investments in Securities(a)
$2,088,816,409
$—
$—
$2,088,816,409
(a)
Please refer to the SOI for specifics of portfolio holdings.
June 30, 2024
J.P. Morgan Exchange-Traded Funds
41
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2024 (continued)
Active Small Cap Value ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Total Investments in Securities(a)
$13,156,670
$—
$—
$13,156,670
(a)
Please refer to the SOI for specifics of portfolio holdings.
Active Value ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Total Investments in Securities(a)
$1,265,565,008
$—
$—
$1,265,565,008
(a)
Please refer to the SOI for specifics of portfolio holdings.
Equity Premium Income ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Common Stocks
$28,879,203,781
$—
$—
$28,879,203,781
Equity Linked Notes
—
4,556,506,101
—
4,556,506,101
Short-Term Investments
Investment Companies
219,654,416
—
—
219,654,416
Total Investments in Securities
$29,098,858,197
$4,556,506,101
$—
$33,655,364,298
Appreciation in Other Financial Instruments
Futures Contracts
$88,737
$—
$—
$88,737
Market Expansion Enhanced Equity ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Total Investments in Securities(a)
$1,141,593,131
$—
$—
$1,141,593,131
Appreciation in Other Financial Instruments
Futures Contracts(a)
$29,660
$—
$—
$29,660
Depreciation in Other Financial Instruments
Futures Contracts(a)
(5,299
)
—
—
(5,299
)
Total Net Appreciation/ Depreciation in Other
Financial Instruments
$24,361
$—
$—
$24,361
(a)
Please refer to the SOI for specifics of portfolio holdings.
Nasdaq Equity Premium Income ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Investments in Securities
Common Stocks
$12,742,027,289
$—
$—
$12,742,027,289
Equity Linked Notes
—
2,290,816,889
—
2,290,816,889
42
J.P. Morgan Exchange-Traded Funds
June 30, 2024
Nasdaq Equity Premium Income ETF
(continued)
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Short-Term Investments
Investment Companies
$133,145,071
$—
$—
$133,145,071
Total Investments in Securities
$12,875,172,360
$2,290,816,889
$—
$15,165,989,249
U.S. Tech Leaders ETF
Level 1
Quoted prices
Level 2
Other significant
observable inputs
Level 3
Significant
unobservable inputs
Total
Total Investments in Securities(a)
$540,995,952
$—
$—
$540,995,952
(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 June 30, 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. 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.
June 30, 2024
J.P. Morgan Exchange-Traded Funds
43
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2024 (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 June 30, 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)
Active Value ETF
$532,626
$(532,626
)
$—
Market Expansion Enhanced Equity ETF
15,500,412
(15,500,412
)
—
U.S. Tech Leaders ETF
1,240,455
(1,211,550
)**
28,905
*
Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower.
**
Subsequent to June 30, 2024, additional collateral was received.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived management fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.13% to 0.06%. For the year ended June 30, 2024, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
Active Small Cap Value ETF
$12
Active Value ETF
112
Equity Premium Income ETF
17,197
Market Expansion Enhanced Equity ETF
6,526
Nasdaq Equity Premium Income ETF
1
U.S. Tech Leaders ETF
2
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 Small Cap Value ETF, Equity Premium Income ETF, Nasdaq Equity Premium Income ETF and U.S. Tech Leaders ETF did not have any securities on loan at June 30, 2024.
Active Growth ETF did not lend out any securities during the year ended June 30, 2024.
D. 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 Growth ETF
For the year ended June 30, 2024
Security Description
Value at
June 30,
2023
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
June 30,
2024
Shares at
June 30,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan U.S. Government Money
Market Fund Class IM Shares,
5.25% (a) (b)
$6,933,264
$101,376,449
$58,039,567
$—
$—
$50,270,146
50,270,146
$1,170,753
$—
(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 June 30, 2024.
44
J.P. Morgan Exchange-Traded Funds
June 30, 2024
Active Small Cap Value ETF
For the year ended June 30, 2024
Security Description
Value at
June 30,
2023
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
June 30,
2024
Shares at
June 30,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan U.S. Government Money Market Fund
Class IM Shares, 5.25% (a) (b)
$—
$106,783
$106,783
$—
$—
$—
—
$1,003
*
$—
JPMorgan U.S. Government Money Market Fund
Class IM Shares, 5.25% (a) (b)
278,027
1,957,483
1,927,321
—
—
308,189
308,189
20,297
—
Total
$278,027
$2,064,266
$2,034,104
$—
$—
$308,189
$21,300
$—
(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 June 30, 2024.
*
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee).
Active Value ETF
For the year ended June 30, 2024
Security Description
Value at
June 30,
2023
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
June 30,
2024
Shares at
June 30,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan U.S. Government Money
Market Fund Class IM Shares,
5.25% (a) (b)
$252,180
$3,180,584
$2,886,790
$—
$—
$545,974
545,974
$8,575
*
$—
JPMorgan U.S. Government Money
Market Fund Class IM Shares,
5.25% (a) (b)
12,221,401
55,984,069
27,449,006
—
—
40,756,464
40,756,464
1,339,152
—
Total
$12,473,581
$59,164,653
$30,335,796
$—
$—
$41,302,438
$1,347,727
$—
(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 June 30, 2024.
*
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee).
Equity Premium Income ETF
For the year ended June 30, 2024
Security Description
Value at
June 30,
2023
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
June 30,
2024
Shares at
June 30,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Securities
Lending Money
Market Fund
Agency SL
Class Shares,
5.39% (a) (b)
$334,966,807
$776,000,000
$1,111,094,674
$110,272
*
$17,595
$—
—
$10,609,989
*
$—
June 30, 2024
J.P. Morgan Exchange-Traded Funds
45
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2024 (continued)
Equity Premium Income ETF (continued)
For the year ended June 30, 2024
Security Description
Value at
June 30,
2023
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
June 30,
2024
Shares at
June 30,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan
U.S. Government
Money Market
Fund Class IM
Shares, 5.25%
(a) (b)
$47,208,090
$358,373,600
$405,581,690
$—
$—
$—
—
$1,223,613
*
$—
JPMorgan
U.S. Government
Money Market
Fund Class IM
Shares, 5.25%
(a) (b)
224,743,189
5,814,607,848
5,819,696,621
—
—
219,654,416
219,654,416
15,111,171
—
Total
$606,918,086
$6,948,981,448
$7,336,372,985
$110,272
$17,595
$219,654,416
$26,944,773
$—
(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 June 30, 2024.
*
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee).
Market Expansion Enhanced Equity ETF
For the year ended June 30, 2024
Security Description
Value at
June 30,
2023
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
June 30,
2024
Shares at
June 30,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Securities Lending
Money Market Fund Agency
SL Class Shares, 5.39%
(a) (b)
$17,998,200
$192,000,000
$196,000,000
$(900
)*
$(1,100
)
$13,996,200
13,996,200
$1,914,840
*
$—
JPMorgan U.S. Government
Money Market Fund Class IM
Shares, 5.25% (a) (b)
5,817,078
115,310,086
119,220,862
—
—
1,906,302
1,906,302
273,299
*
—
JPMorgan U.S. Government
Money Market Fund Class IM
Shares, 5.25% (a) (b)
19,564,496
176,620,053
179,979,343
—
—
16,205,206
16,205,206
848,756
—
Total
$43,379,774
$483,930,139
$495,200,205
$(900
)
$(1,100
)
$32,107,708
$3,036,895
$—
(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 June 30, 2024.
*
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee).
46
J.P. Morgan Exchange-Traded Funds
June 30, 2024
Nasdaq Equity Premium Income ETF
For the year ended June 30, 2024
Security Description
Value at
June 30,
2023
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
June 30,
2024
Shares at
June 30,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan
U.S. Government
Money Market Fund
Class IM Shares,
5.25% (a) (b)
$—
$22,900
$22,900
$—
$—
$—
—
$3
*
$—
JPMorgan
U.S. Government
Money Market Fund
Class IM Shares,
5.25% (a) (b)
49,625,385
3,170,919,239
3,087,399,553
—
—
133,145,071
133,145,071
4,662,804
—
Total
$49,625,385
$3,170,942,139
$3,087,422,453
$—
$—
$133,145,071
$4,662,807
$—
(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 June 30, 2024.
*
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee).
U.S. Tech Leaders ETF
For the period ended June 30, 2024
Security Description
Value at
October 4,
2023(a)
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
June 30,
2024
Shares at
June 30,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan U.S. Government Money Market
Fund Class IM Shares, 5.25% (b) (c)
$—
$1,990,995
$779,445
$—
$—
$1,211,550
1,211,550
$3,753
*
$—
JPMorgan U.S. Government Money Market
Fund Class IM Shares, 5.25% (b) (c)
—
40,755,809
34,452,037
—
—
6,303,772
6,303,772
128,092
—
Total
$—
$42,746,804
$35,231,482
$—
$—
$7,515,322
$131,845
$—
(a)
Commencement of operations was October 4, 2023.
(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 June 30, 2024.
*
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee).
E. Futures Contracts— Equity Premium Income ETF, Market Expansion Enhanced Equity ETF and Nasdaq Equity Premium Income ETF used index futures contracts to manage and hedge equity price 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.
June 30, 2024
J.P. Morgan Exchange-Traded Funds
47
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2024 (continued)
The use of futures contracts exposes the Funds to equity price risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds' credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Funds' futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
The table below discloses the volume of the Funds' futures contracts activity during the year ended June 30, 2024:
Equity Premium
Income ETF
Market
Expansion
Enhanced
Equity ETF
Nasdaq Equity Premium Income ETF
Futures Contracts:
Average Notional Balance Long
$20,235,577
$14,095,903
$11,067,700
Average Notional Balance Short
(5,778,740
)
—
(36,856,608
)
Ending Notional Balance Long
—
13,871,630
—
Ending Notional Balance Short
(27,621,250
)
—
—
F. Equity-Linked Notes— Equity Premium Income ETF and Nasdaq Equity Premium Income ETF invested in Equity-Linked Notes (“ELNs”). These are hybrid instruments which combine both debt and equity characteristics into a single note form. ELNs' values are linked to the performance of an underlying index. ELNs are unsecured debt obligations of an issuer and may not be publicly listed or traded on an exchange. ELNs are valued daily, under procedures adopted by the Board, based on values provided by an approved pricing source. These notes have a coupon which is accrued and recorded as Interest income from non-affiliates on the Statements of Operations. Changes in the market value of ELNs are recorded as Change in net unrealized appreciation or depreciation on the Statements of Operations. A Fund realizes a gain or loss when an ELN is sold or matures, which is recorded as Net realized gain (loss) on transactions from investments in non-affiliates on the Statements of Operations.
As of June 30, 2024, Equity Premium Income ETF and Nasdaq Equity Premium Income ETF had outstanding ELNs as listed on the SOIs.
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. Distributions of net investment income and realized capital gains from the Underlying Funds are recorded on the ex-dividend date.
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.
48
J.P. Morgan Exchange-Traded Funds
June 30, 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 June 30, 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. Distributions to Shareholders— Distributions from net investment income, if any, are generally declared and paid at least monthly for Equity Premium Income ETF and Nasdaq Equity Premium Income ETF, at least annually for Active Growth ETF, Active Small Cap Value ETF, Market Expansion Enhanced Equity ETF and U.S. Tech Leaders ETF, and at least quarterly for Active Value ETF. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital
Accumulated
undistributed
(distributions in
excess of)
net investment
income
Accumulated
net realized
gains (losses)
Active Growth ETF
$23,340,599
$410
$(23,341,009
)
Active Small Cap Value ETF
459,622
—
(459,622
)
Active Value ETF
59,662,021
(13,508
)
(59,648,513
)
Equity Premium Income ETF
322,383,461
—
(322,383,461
)
Market Expansion Enhanced Equity ETF
100,809,389
—
(100,809,389
)
Nasdaq Equity Premium Income ETF
373,510,130
—
(373,510,130
)
U.S. Tech Leaders ETF
3,387,468
41,387
(3,428,855
)
The reclassifications for the Funds relate primarily to tax adjustments on certain investments and redemptions in-kind.
3. Fees and Other Transactions with Affiliates
A. Management Fee—JPMIM manages the investments of each Fund. For each Fund other than Market Expansion Enhanced Equity ETF, the investments are managed pursuant to a Management Agreement, under which JPMIM is responsible for substantially all of each Fund’s expenses as described below. JPMIM also manages the investments of Market Expansion Enhanced Equity ETF pursuant to an Investment Advisory 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 Growth ETF
0.44
%
Active Small Cap Value ETF
0.74
Active Value ETF
0.44
Equity Premium Income ETF
0.35
Market Expansion Enhanced Equity ETF
0.25
Nasdaq Equity Premium Income ETF
0.35
U.S. Tech Leaders ETF
0.65
Under Management Agreement applicable to each Fund except Market Expansion Enhanced Equity ETF, 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
June 30, 2024
J.P. Morgan Exchange-Traded Funds
49
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2024 (continued)
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.
Pursuant to a separate Administration Agreement, the Administrator provides certain administration services to Market Expansion Enhanced Equity ETF. 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 Market Expansion Enhanced Equity ETF's average daily net assets, plus 0.050% of the Fund’s average daily net assets between $10 billion and $20 billion, plus 0.025% of the Fund’s average daily net assets between $20 billion and $25 billion, plus 0.010% of the Fund’s average daily net assets in excess of $25 billion. For the year ended June 30, 2024, the effective rate was 0.075% of Market Expansion Enhanced Equity ETF's average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees for Market Expansion Enhanced Equity ETF as outlined in Note 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 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 , for the Funds except Market Expansion Enhanced Equity ETF, pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses.
For Market Expansion Enhanced Equity ETF, the Fund pays JPMCB directly. The amounts for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. The amounts paid 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 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 Adviser and/or its affiliates have contractually agreed to waive fees and/or reimburse Market Expansion Enhanced Equity ETF 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, costs of shareholder meetings, and extraordinary expenses) exceed 0.24% of Market Expansion Enhanced Equity ETF's average daily net assets. The expense limitation agreement was in effect for the year ended June 30, 2024 and the contractual expense limitation is in place until at least June 30, 2025.
For the year ended June 30, 2024, Market Expansion Enhanced Equity ETF’s service providers waived fees and/or reimbursed expenses for Market Expansion Enhanced Equity ETF as follows. None of these parties expect Market Expansion Enhanced Equity ETF to repay any such waived fees and/or reimbursed expenses in future years.
Contractual
Reimbursements
Market Expansion Enhanced Equity ETF
$1,027,450
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral. None of these parties expect the Funds to repay any such waived fees and/ or reimbursed expenses in future years.
The amounts of these waivers resulting from investments in these money market funds for the year ended June 30, 2024 were as follows:
Market Expansion Enhanced Equity ETF
$21,564
50
J.P. Morgan Exchange-Traded Funds
June 30, 2024
JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the year ended June 30, 2024, the amount of these reimbursements were as follows:
Market Expansion Enhanced Equity ETF
$841
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. for the Funds except Market Expansion Enhanced Equity ETF. Market Expansion Enhanced Equity ETF, along with certain other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended June 30, 2024, U.S. Tech Leaders ETF purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The below Funds used related party broker-dealers during the year ended June 30, 2024, and incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows:
Brokerage Commissions
Active Growth ETF
$2,111
Active Value ETF
145
Equity Premium Income ETF
66,105
Market Expansion Enhanced Equity ETF
3,311
Nasdaq Equity Premium Income ETF
6,265
The Securities and Exchange Commission ("SEC") has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended June 30, 2024, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases
(excluding
U.S. Government)
Sales
(excluding
U.S. Government)
Active Growth ETF
$287,948,467
$302,297,453
Active Small Cap Value ETF
3,391,580
3,315,397
Active Value ETF
694,100,272
678,542,242
Equity Premium Income ETF
54,721,639,368
53,284,829,779
Market Expansion Enhanced Equity ETF
317,984,888
244,172,772
Nasdaq Equity Premium Income ETF
16,791,452,197
14,784,108,477
U.S. Tech Leaders ETF
85,197,142
77,493,858
For the year ended June 30, 2024, in-kind transactions associated with creations and redemptions were as follows:
In-Kind
Purchases
In-Kind
Sales
Active Growth ETF
$1,410,095,750
$64,436,363
Active Small Cap Value ETF
4,149,986
3,159,039
Active Value ETF
992,772,896
288,253,594
Equity Premium Income ETF
5,164,397,830
1,505,200,945
Market Expansion Enhanced Equity ETF
278,603,060
188,555,923
Nasdaq Equity Premium Income ETF
9,079,664,332
1,281,209,829
June 30, 2024
J.P. Morgan Exchange-Traded Funds
51
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2024 (continued)
In-Kind
Purchases
In-Kind
Sales
U.S. Tech Leaders ETF
$472,486,431
$11,018,458
During the year ended June 30, 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 June 30, 2024 were as follows:
Aggregate
Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
Depreciation
Net Unrealized
Appreciation
(Depreciation)
Active Growth ETF
$1,679,748,755
$417,595,997
$8,528,343
$409,067,654
Active Small Cap Value ETF
12,556,214
1,299,983
699,527
600,456
Active Value ETF
1,185,574,289
100,895,040
20,904,321
79,990,719
Equity Premium Income ETF
29,143,784,852
5,071,172,705
559,504,522
4,511,668,183
Market Expansion Enhanced Equity ETF
900,482,738
280,158,765
39,024,011
241,134,754
Nasdaq Equity Premium Income ETF
12,661,018,981
2,723,873,516
218,903,248
2,504,970,268
U.S. Tech Leaders ETF
473,957,097
75,200,526
8,161,671
67,038,855
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
The tax character of distributions paid during the year ended June 30, 2024 was as follows:
Ordinary
Income*
Total
Distributions
Paid
Active Growth ETF
$1,449,368
$1,449,368
Active Small Cap Value ETF
138,781
138,781
Active Value ETF
14,678,345
14,678,345
Equity Premium Income ETF
2,314,633,449
2,314,633,449
Market Expansion Enhanced Equity ETF
11,920,279
11,920,279
Nasdaq Equity Premium Income ETF
809,391,007
809,391,007
*
Short-term gain distributions are treated as ordinary income for income tax purposes.
The tax character of distributions paid during the year ended June 30, 2023 was as follows:
Ordinary
Income*
Net
Long-Term
Capital Gains
Total
Distributions
Paid
Active Growth ETF
$206,646
$—
$206,646
Active Value ETF
4,338,724
—
4,338,724
Equity Premium Income ETF
1,873,734,871
—
1,873,734,871
Market Expansion Enhanced Equity ETF
11,287,892
40,930,622
52,218,514
Nasdaq Equity Premium Income ETF
149,409,334
—
149,409,334
*
Short-term gain distributions are treated as ordinary income for income tax purposes.
52
J.P. Morgan Exchange-Traded Funds
June 30, 2024
As of June 30, 2024, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current
Distributable
Ordinary
Income
Current
Distributable
Long-Term
Capital Gain
(Tax Basis Capital
Loss Carryover)
Unrealized
Appreciation
(Depreciation)
Active Growth ETF
$1,124,077
$(14,509,367
)
$409,067,654
Active Small Cap Value ETF
102,598
(5,575
)
600,456
Active Value ETF
1,122,862
(6,089,592
)
79,990,719
Equity Premium Income ETF
203,296,549
(3,060,738,632
)
4,507,857,298
Market Expansion Enhanced Equity ETF
6,292,693
(2,527,902
)
241,134,754
Nasdaq Equity Premium Income ETF
116,715,391
(363,831,278
)
2,504,498,595
U.S. Tech Leaders ETF
—
(8,136
)
67,038,855
The cumulative timing differences primarily consist of ordinary loss deferrals, post-October capital loss deferrals and wash sale loss deferrals.
As of June 30, 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
Active Growth ETF
$14,316,855
$192,512
Active Small Cap Value ETF
—
5,575
Active Value ETF
5,596,857
492,735
Equity Premium Income ETF
2,614,576,445
446,162,187
Market Expansion Enhanced Equity ETF
2,527,902
—
Nasdaq Equity Premium Income ETF
363,831,278
—
U.S. Tech Leaders ETF
8,136
—
Net capital losses (gains) and specified ordinary losses incurred after October 31 and late year ordinary losses incurred after December 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 June 30, 2024, the following Funds deferred to July 1, 2024 the following net capital losses (gains), specified ordinary losses and late year ordinary losses of:
Net Capital Losses (Gains)
Specified
Ordinary Losses
Late Year
Ordinary Loss Deferral
Short-Term
Long-Term
Active Growth ETF
$16,819,215
$(392,592
)
$1,070
$—
Active Value ETF
14,617,926
5,674,304
—
—
Equity Premium Income ETF
1,941,041,957
82,300,555
—
—
Market Expansion Enhanced Equity ETF
733,152
1,264,356
—
—
Nasdaq Equity Premium Income ETF
934,030,994
18,143,869
—
—
U.S. Tech Leaders ETF
6,150,201
—
—
484,131
During the year ended June 30, 2024, the following Fund utilized capital loss carryforwards as follows:
Capital Loss Utilized
Short-Term
Active Small Cap Value ETF
$21,063
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
June 30, 2024
J.P. Morgan Exchange-Traded Funds
53
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2024 (continued)
on behalf of the Funds. An Authorized Participant is either (1) a “Participating Party” or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation (“NSCC”); or (2) a DTC Participant; which, in either case, must have executed an agreement with the Distributor.
Creation Units of a Fund may be created in advance of receipt by the Trust of all or a portion of the applicable basket of equity securities and other instruments (“Deposit Instruments”) and cash as described in the Funds' registration statement. In these instances, the initial Deposit Instruments and cash must be deposited in an amount equal to the sum of the cash amount plus at least 105% for the Funds of the market value of undelivered Deposit Instruments. A transaction fee may be imposed to offset transfer and other transaction costs associated with the purchase or redemption of Creation Units.
Authorized Participants transacting in Creation Units for cash may also pay a variable fee to compensate the relevant fund for market impact expenses relating to investing in portfolio securities. Such variable fees, if any, are included in “Proceeds from shares issued” in the Statements of Changes in Net Assets.
7. Borrowings
Effective November 1, 2022, the Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund, or loans outstanding to another fund, during the year ended June 30, 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 year ended June 30, 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).
The Funds did not utilize the Credit Facility during the year ended June 30, 2024.
Effective May 31, 2024, the Funds are no longer part of the Credit Facility.
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.
54
J.P. Morgan Exchange-Traded Funds
June 30, 2024
As of June 30, 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
Market Expansion Enhanced Equity ETF
52.7
%
Significant shareholder transactions by the Adviser may impact the Funds' performance.
As of June 30, 2024, the Adviser owned shares representing more than 10% of net assets of the following Funds:
% of Ownership
Active Small Cap Value ETF
83
%
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.
Equity Premium Income ETF's and Nasdaq Equity Premium Income ETF's investments in ELNs entail varying degrees of risks. The Funds are subject to loss of their full principal amount. In addition, the ELNs are subject to a stated maximum return which may limit the payment at maturity. The Funds may also be exposed to additional risks associated with structured notes including: counterparty credit risk related to the issuer’s ability to make payment at maturity; liquidity risk related to a lack of liquid market for these notes, preventing the Funds from trading or selling the notes easily; and a greater degree of market risk than other types of debt securities because the investor bears the risk associated with the underlying financial instruments.
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 Event
On August 22, 2024, the Board approved a change to the name of Market Expansion Enhanced Equity ETF to JPMorgan Small & Mid Cap Enhanced Equity ETF, which will become effective on September 30, 2024.
June 30, 2024
J.P. Morgan Exchange-Traded Funds
55
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of J.P. Morgan Exchange-Traded Fund Trust and Shareholders of each of the seven funds listed in the table below
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of each of the funds listed in the table below (seven of the funds constituting J.P. Morgan Exchange-Traded Fund Trust, hereafter collectively referred to as the "Funds") as of June 30, 2024, the related statements of operations and of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2024, the results of each of their operations and the changes in each of their net assets for the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
JPMorgan Active Growth ETF (1)
JPMorgan Market Expansion Enhanced Equity ETF (3)
JPMorgan Active Small Cap Value ETF (2)
JPMorgan Nasdaq Equity Premium Income ETF (3)
JPMorgan Active Value ETF (3)
JPMorgan U.S. Tech Leaders ETF (4)
JPMorgan Equity Premium Income ETF (3)
(1) Statement of operations for the year ended June 30, 2024, and statement of changes in net assets for the year ended June 30, 2024 and
the period August 8, 2022 (commencement of operations) through June 30, 2023
(2) Statement of operations for the year ended June 30, 2024, and statement of changes in net assets for the year ended June 30, 2024 and
the period March 7, 2023 (commencement of operations) through June 30, 2023
(3) Statement of operations for the year ended June 30, 2024 and statement of changes in net assets for the years ended June 30, 2024 and
2023
(4) Statement of operations and statement of changes in net assets for the period October 4, 2023 (commencement of operations) through
June 30, 2024
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2024 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
August 27, 2024
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
56
J.P. Morgan Exchange-Traded Funds
June 30, 2024
TAX LETTER
(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2024. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2024. The information necessary to complete your income tax returns for the calendar year ending December 31, 2024 will be provided under separate cover.
Dividends Received Deduction (DRD)
Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended June 30, 2024:
Dividends
Received
Deduction
JPMorgan Active Growth ETF
100.00
%
JPMorgan Active Small Cap Value ETF
100.00
JPMorgan Active Value ETF
100.00
JPMorgan Equity Premium Income ETF
17.11
JPMorgan Market Expansion Enhanced Equity ETF
77.15
JPMorgan Nasdaq Equity Premium Income ETF
7.21
Qualified Dividend Income (QDI)
Each Fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2024:
Qualified
Dividend
Income
JPMorgan Active Growth ETF
$1,449,368
JPMorgan Active Small Cap Value ETF
138,781
JPMorgan Active Value ETF
14,678,345
JPMorgan Equity Premium Income ETF
432,368,028
JPMorgan Market Expansion Enhanced Equity ETF
9,260,615
JPMorgan Nasdaq Equity Premium Income ETF
61,189,983
June 30, 2024
J.P. Morgan Exchange-Traded Funds
57
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THIS PAGE IS INTENTIONALLY LEFT BLANK
J.P. Morgan Exchange-Traded Funds are distributed by JPMorgan Distribution Services, Inc., an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the Funds.
Contact J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 (844-4JPM ETF) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risks as well as charges and expenses of the fund before investing. The prospectus contains this and other information about the fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Each Fund's quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund's policies and procedures with respect to the disclosure of each Fund's holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-844-457-6383 and on the Funds' website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds' voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds' website at www.jpmorganfunds.com no later than August 31 of each year. The Funds' proxy voting record will include, among other things, a brief description of the matter voted on for each 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.
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 Equity Focus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2024
INVESTMENTS
SHARES
VALUE($)
Common Stocks — 98.9%
Banks — 4.6%
Bank of America Corp.
400,447
15,925,777
M&T Bank Corp.
97,398
14,742,161
30,667,938
Biotechnology — 5.1%
AbbVie, Inc.
88,518
15,182,607
Regeneron Pharmaceuticals, Inc.*
17,773
18,679,956
33,862,563
Broadline Retail — 5.9%
Amazon.com, Inc.*
203,373
39,301,832
Building Products — 2.2%
Trane Technologies plc
45,361
14,920,594
Capital Markets — 1.9%
Morgan Stanley
127,075
12,350,419
Construction & Engineering — 1.3%
Quanta Services, Inc.
34,157
8,678,952
Construction Materials — 1.4%
Martin Marietta Materials, Inc.
17,039
9,231,730
Consumer Finance — 2.7%
Capital One Financial Corp.
128,664
17,813,531
Containers & Packaging — 1.3%
Packaging Corp. of America
48,001
8,763,063
Electric Utilities — 2.0%
NextEra Energy, Inc.
191,083
13,530,587
Financial Services — 5.1%
Berkshire Hathaway, Inc., Class B*
46,302
18,835,654
Mastercard, Inc., Class A
34,331
15,145,464
33,981,118
Ground Transportation — 0.9%
JB Hunt Transport Services, Inc.
35,418
5,666,880
Health Care Providers & Services — 1.8%
UnitedHealth Group, Inc.
23,684
12,061,314
Hotels, Restaurants & Leisure — 2.9%
Booking Holdings, Inc.
2,098
8,311,227
McDonald's Corp.
42,989
10,955,317
19,266,544
Household Products — 2.6%
Procter & Gamble Co. (The)
106,525
17,568,103
Industrial Conglomerates — 1.9%
Honeywell International, Inc.
58,656
12,525,402
INVESTMENTS
SHARES
VALUE($)
Insurance — 2.8%
Loews Corp.
246,340
18,411,452
Interactive Media & Services — 7.5%
Alphabet, Inc., Class C
96,181
17,641,519
Meta Platforms, Inc., Class A
64,627
32,586,226
50,227,745
Life Sciences Tools & Services — 1.3%
Thermo Fisher Scientific, Inc.
15,426
8,530,578
Oil, Gas & Consumable Fuels — 5.7%
EOG Resources, Inc.
155,084
19,520,423
Kinder Morgan, Inc.
943,442
18,746,193
38,266,616
Personal Care Products — 1.5%
Kenvue, Inc.
541,951
9,852,669
Pharmaceuticals — 2.1%
Eli Lilly & Co.
15,492
14,026,147
Retail REITs — 1.7%
Regency Centers Corp.
177,916
11,066,375
Semiconductors & Semiconductor Equipment — 13.5%
Advanced Micro Devices, Inc.*
76,686
12,439,236
Broadcom, Inc.
11,527
18,506,944
Lam Research Corp.
11,912
12,684,493
NVIDIA Corp.
372,498
46,018,403
89,649,076
Software — 11.3%
Intuit, Inc.
18,980
12,473,846
Microsoft Corp.
116,078
51,881,062
Palo Alto Networks, Inc.*
31,197
10,576,095
74,931,003
Specialized REITs — 2.0%
Public Storage
46,950
13,505,167
Specialty Retail — 3.0%
Home Depot, Inc. (The)
34,166
11,761,304
TJX Cos., Inc. (The)
73,838
8,129,564
19,890,868
Technology Hardware, Storage & Peripherals — 2.9%
Apple, Inc.
92,366
19,454,127
Total Common Stocks
(Cost $512,891,465)
658,002,393
SEE NOTES TO FINANCIAL STATEMENTS.
June 30, 2024
J.P. Morgan Exchange-Traded Funds
1
JPMorgan Equity Focus ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF June 30, 2024 (continued)
INVESTMENTS
SHARES
VALUE($)
Short-Term Investments — 1.1%
Investment Companies — 1.1%
JPMorgan Prime Money Market Fund Class IM
Shares, 5.39%(a) (b)
(Cost $7,574,399)
7,572,884
7,574,399
Total Investments — 100.0%
(Cost $520,465,864)
665,576,792
Liabilities in Excess of Other Assets — (0.0)% ^
(84,147
)
NET ASSETS — 100.0%
665,492,645
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 June 30,
2024.
SEE NOTES TO FINANCIAL STATEMENTS.
2
J.P. Morgan Exchange-Traded Funds
June 30, 2024
STATEMENT OF ASSETS AND LIABILITIES
AS OF June 30, 2024
JPMorgan
Equity
Focus ETF
ASSETS:
Investments in non-affiliates, at value
$658,002,393
Investments in affiliates, at value
7,574,399
Cash
32,202
Receivables:
Dividends from non-affiliates
189,736
Dividends from affiliates
15,276
Total Assets
665,814,006
LIABILITIES:
Accrued liabilities:
Investment advisory fees
167,985
Administration fees
39,642
Printing and mailing costs
5,021
Custodian and accounting fees
6,466
Trustees’ and Chief Compliance Officer’s fees
41
Other
102,206
Total Liabilities
321,361
Net Assets
$665,492,645
NET ASSETS:
Paid-in-Capital
$520,141,664
Total distributable earnings (loss)
145,350,981
Total Net Assets
$665,492,645
Outstanding number of shares
(unlimited number of shares authorized - par value $0.0001) (a)
10,680,111
Net asset value, per share
$62.31
Cost of investments in non-affiliates
$512,891,465
Cost of investments in affiliates
7,574,399
(a)
JPMorgan Equity Focus ETF acquired all of the assets and liabilities of the JPMorgan Equity Focus 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 Equity Focus 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.
June 30, 2024
J.P. Morgan Exchange-Traded Funds
3
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED June 30, 2024
JPMorgan
Equity
Focus ETF (a)
INVESTMENT INCOME:
Interest income from non-affiliates
$1,052
Interest income from affiliates
622
Dividend income from non-affiliates
5,078,040
Dividend income from affiliates
406,108
Total investment income
5,485,822
EXPENSES:
Investment advisory fees
1,947,601
Administration fees
292,141
Distribution fees(See Note 3.C.)
7,788
Service fees(See Note 3.D.)
32,878
Custodian and accounting fees
25,436
Professional fees
62,131
Trustees’ and Chief Compliance Officer’s fees
25,259
Printing and mailing costs
50,327
Registration and filing fees
106,873
Transfer agency fees(See Note 2.F.)
635
Other
8,369
Total expenses
2,559,438
Less fees waived
(57,119
)
Less expense reimbursements
(512,086
)
Net expenses
1,990,233
Net investment income (loss)
3,495,589
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates
9,832,831
Investments in affiliates
(1,734
)
In-kind redemptions of investments in non-affiliates(See Note 4)
25,309,190
Net realized gain (loss)
35,140,287
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates
74,366,275
Investments in affiliates
(950
)
Change in net unrealized appreciation/depreciation
74,365,325
Net realized/unrealized gains (losses)
109,505,612
Change in net assets resulting from operations
$113,001,201
(a)
JPMorgan Equity Focus ETF acquired all of the assets and liabilities of the JPMorgan Equity Focus 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 Equity Focus 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.
4
J.P. Morgan Exchange-Traded Funds
June 30, 2024
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
JPMorgan Equity Focus ETF (a)
Year Ended
June 30, 2024
Year Ended
June 30, 2023
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)
$3,495,589
$743,306
Net realized gain (loss)
35,140,287
(9,034,286
)
Change in net unrealized appreciation/depreciation
74,365,325
45,986,915
Change in net assets resulting from operations
113,001,201
37,695,935
DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders
(1,316,197
)
(3,051,424
)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions
309,260,529
29,979,204
NET ASSETS:
Change in net assets
420,945,533
64,623,715
Beginning of period
244,547,112
179,923,397
End of period
$665,492,645
$244,547,112
(a)
JPMorgan Equity Focus ETF acquired all of the assets and liabilities of the JPMorgan Equity Focus 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 Equity Focus 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.
June 30, 2024
J.P. Morgan Exchange-Traded Funds
5
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
JPMorgan Equity Focus ETF (a)
Year Ended
June 30, 2024
Year Ended
June 30, 2023
CAPITAL TRANSACTIONS: (b)
Proceeds from shares issued
$391,175,887
$35,914,400
Distributions reinvested
—
698,903
Cost of shares redeemed
(61,925,296
)
(7,647,667
)
Change in net assets resulting from capital transactions
329,250,591
28,965,636
Class A
Proceeds from shares issued
450,351
8,559,065
Distributions reinvested
—
285,422
Cost of shares redeemed
(1,157,346
)
(6,815,608
)
Change in net assets resulting from Class A capital transactions
(706,995
)
2,028,879
Class C
Proceeds from shares issued
58,082
2,371,427
Distributions reinvested
—
102,463
Cost of shares redeemed
(729,187
)
(3,880,016
)
Change in net assets resulting from Class C capital transactions
(671,105
)
(1,406,126
)
Class I
Proceeds from shares issued
3,283,083
49,318,384
Distributions reinvested
—
1,948,648
Cost of shares redeemed
(21,895,045
)
(50,876,217
)
Change in net assets resulting from Class I capital transactions
(18,611,962
)
390,815
Total change in net assets resulting from capital transactions
$309,260,529
$29,979,204
(a)
JPMorgan Equity Focus ETF acquired all of the assets and liabilities of the JPMorgan Equity Focus 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 Equity Focus 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.
(b)
Reflects reorganization from JPMorgan Equity Focus Fund on July 28, 2023. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
6
J.P. Morgan Exchange-Traded Funds
June 30, 2024
JPMorgan Equity Focus ETF (a)
Year Ended
June 30, 2024
Year Ended
June 30, 2023
SHARE TRANSACTIONS: (b)
Issued
7,109,341
1,185,619
Reinvested
—
23,894
Redeemed
(1,083,726
)
(249,648
)
Change in Shares
6,025,615
959,865
Class A
Issued
9,067
289,256
Reinvested
—
9,870
Redeemed
(23,269
)
(233,236
)
Change in Class A Shares
(14,202
)
65,890
Class C
Issued
1,184
87,972
Reinvested
—
3,773
Redeemed
(14,690
)
(132,233
)
Change in Class C Shares
(13,506
)
(40,488
)
Class I
Issued
66,311
1,633,557
Reinvested
—
65,843
Redeemed
(439,873
)
(1,673,338
)
Change in Class I Shares
(373,562
)
26,062
(a)
JPMorgan Equity Focus ETF acquired all of the assets and liabilities of the JPMorgan Equity Focus 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 Equity Focus 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.
(b)
Reflects reorganization from JPMorgan Equity Focus Fund on July 28, 2023. See Note 1.
SEE NOTES TO FINANCIAL STATEMENTS.
June 30, 2024
J.P. Morgan Exchange-Traded Funds
7
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance (a)
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 Equity Focus ETF (f)
Year EndedJune 30, 2024
$48.33
$0.56
$13.62
$14.18
$(0.20
)
$—
$(0.20
)
Year EndedJune 30, 2023
41.37
0.26
7.41
7.67
(0.21
)
(0.50
)
(0.71
)
Year EndedJune 30, 2022
50.79
0.23
(3.91
)
(3.68
)
(0.16
)
(5.58
)
(5.74
)
Year EndedJune 30, 2021
38.86
0.26
17.20
17.46
(0.33
)
(5.20
)
(5.53
)
Year EndedJune 30, 2020
43.46
0.43
2.41
2.84
(0.34
)
(7.10
)
(7.44
)
(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)
Calculated based upon average shares outstanding.
(c)
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.
(d)
JPMorgan Equity Focus ETF acquired all of the assets and liabilities of the JPMorgan Equity Focus 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 Equity Focus ETF on the listing
exchange as of the time that the JPMorgan Equity Focus ETF's NAV is calculated. Prior to the JPMorgan Equity Focus 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.
(e)
Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f)
JPMorgan Equity Focus ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan Equity Focus 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 July 1, 2019 up
through the reorganization.
SEE NOTES TO FINANCIAL STATEMENTS.
8
J.P. Morgan Exchange-Traded Funds
June 30, 2024
Ratios/Supplemental data
Ratios to average net assets
Net asset
value,
end of
period
Market
price,
end of
period
Total
Return(c)
Market
price
total
return(d)
Net assets,
end of
period
Net
expenses(e)
Net
investment
income (loss)
Expenses
without waivers
and
reimbursements
Portfolio
turnover
rate
$62.31
$62.36
29.43
%
29.54
%
$665,492,645
0.50
%
1.01
%
0.64
%
41
%
48.33
48.33
18.85
18.85
73,543,793
0.60
0.60
0.68
41
41.37
41.37
(8.87
)
(8.87
)
35,124,561
0.60
0.47
0.69
29
50.79
50.79
47.82
47.82
34,054,483
0.60
0.55
0.73
58
38.86
38.86
6.39
6.39
23,880,786
0.60
1.06
0.83
44
SEE NOTES TO FINANCIAL STATEMENTS.
June 30, 2024
J.P. Morgan Exchange-Traded Funds
9
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2024
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 Equity Focus ETF (the “Fund”) is a separate diversified series of the Trust covered in this report.
As of the close of business on July 28, 2023 (the "Closing Date"), pursuant to an Agreement and Plan of Reorganization and Liquidation previously approved by the Board of Trustees of the Trust (the “Board”), JPMorgan Equity Focus Fund (a mutual fund) (the “Acquired Fund” or “Equity Focus Fund”), a series of JPMorgan Trust I, was reorganized (the "Reorganization") into the Fund, a newly created exchange-traded fund. Following the Reorganization, the Acquired Fund’s performance (Class R6 Shares) and financial history were adopted by the Fund. In connection with the Reorganization, each shareholder of the Acquired Fund (except as noted below) received shares of the 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 the 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 Fund shares liquidated, and such shareholders received cash equal in value to their Acquired Fund shares, which cash payment might have been taxable. Shareholders of the Acquired Fund who held their shares through a fund direct individual retirement account and did not take action prior to the Reorganization had their Acquired Fund shares exchanged for Morgan Shares of JPMorgan U.S. Government Money Market Fund equal in value to their Acquired Fund shares. The Fund has the same investment adviser, investment objective and fundamental investment policies and substantially similar investment strategies as the Acquired Fund. Effective as of the close of business on the Closing Date, the Acquired Fund ceased operations in connection with the consummation of the 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 Fund.
Costs incurred by the Fund and the Acquired Fund associated with the Reorganization (including the legal costs associated with the Reorganization) were borne by the Adviser by waiving fees or reimbursing expenses to offset the costs incurred by the Fund and Acquired Fund associated with the Reorganization, including any brokerage fees and expenses incurred by the Fund and Acquired Fund related to the disposition and acquisition of assets as part of a 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 Fund and the Acquired Fund. The management fee of the Fund is the same as the management fee of the Acquired Fund. The total annual fund operating expenses of the 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 Fund for a term ending on July 31, 2026. The Reorganization did not result in the material change to the Acquired Fund's portfolio holdings. There are no material differences in accounting policies of the Acquired Fund as compared to those of the Fund.
The Fund did not purchase or sell securities following the Reorganization for purposes of realigning its investment portfolio. Accordingly, the Reorganization of the Acquired Fund did not affect the Fund’s portfolio turnover ratio for the year ended June 30, 2024.
The investment objective of the Fund is to seek long term capital appreciation.
Shares of the Fund are listed and traded at market price on The NASDAQ Stock Market® LLC. 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, 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
10
J.P. Morgan Exchange-Traded Funds
June 30, 2024
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.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund's investments are summarized into the three broad levels listed below.
•
Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.
•
Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.
•
Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund's assumptions in determining the fair value of investments).
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
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)
$665,576,792
$—
$—
$665,576,792
(a)
Please refer to the SOI for specifics of portfolio holdings.
B. Restricted Securities— Certain securities held by the Fund 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 NAV of the Fund.
As of June 30, 2024, the Fund had no investments in restricted securities including securities sold to the Fund under Rule 144A and/or Regulation S under the Securities Act.
C. 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
June 30, 2024
J.P. Morgan Exchange-Traded Funds
11
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2024 (continued)
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.
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.
The Fund did not lend out any securities during the year ended June 30, 2024.
D. Investment Transactions with Affiliates— The Fund invested in an Underlying Fund advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. For the purposes of the financial statements, the Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund's distributions may be reinvested into the Underlying Fund. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the year ended June 30, 2024*
Security Description
Value at
June 30,
2023
Purchases at
Cost
Proceeds from
Sales
Net Realized
Gain (Loss)
Change in
Unrealized
Appreciation/
(Depreciation)
Value at
June 30,
2024
Shares at
June 30,
2024
Dividend
Income
Capital Gain
Distributions
JPMorgan Prime Money Market Fund
Class IM Shares, 5.39% (a) (b)
$2,664,835
$60,390,256
$55,478,008
$(1,734
)
$(950
)
$7,574,399
7,572,884
$406,108
$—
(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 June 30, 2024.
*
Following the Reorganization, the Acquired Fund's performance and financial history were adopted by the Fund. The table includes transactions
from the Acquired Fund for the period July 1, 2023 through July 28, 2023.
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, net of foreign taxes withheld, if any, 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. Allocation of Income and Expenses— Expenses directly attributable to the Fund are charged directly to the Fund, while the expenses attributable to more than one fund of the Trust are allocated among the applicable funds.
Transfer agency fees charged to the Acquired Fund were class-specific expenses. The amount of the transfer agency fees charged to each share class of the Acquired Fund for the period July 1, 2023 through Closing Date for for the Fund were as follows:
Class A
Class C
Class I
ETF Shares
Total
Transfer agency fees
$232
$51
$307
$45
$635
12
J.P. Morgan Exchange-Traded Funds
June 30, 2024
G. 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 June 30, 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.
H. Distributions to Shareholders— Distributions from net investment income, if any, are generally declared and paid at least annually. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital
Accumulated
undistributed
(distributions in
excess of)
net investment
income
Accumulated
net realized
gains (losses)
$25,116,801
$—
$(25,116,801
)
The reclassifications for the Fund relate primarily to redemptions in-kind.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee— Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of the Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate of 0.50% of the Fund's average daily net assets.
B. Administration Fee— Pursuant to an Administration Agreement, the Administrator provides certain administration services to the 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 the Fund's average daily net assets, plus 0.050% of the Fund's average daily net assets between $10 billion and $20 billion, plus 0.025% of the Fund's average daily net assets between $20 billion and $25 billion, plus 0.010% of the Fund's average daily net assets in excess of $25 billion. For the year ended June 30, 2024, the effective rate was 0.075% of the Fund's average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined inNote 3.G.
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 administration fees payable to JPMIM.
C. Distribution Fees— Up through the Closing Date, pursuant to a distribution agreement with the Trust (the "Distribution Agreement"), JPMDS, an indirect, wholly-owned subsidiary of JPMorgan, served as the Acquired Fund's principal underwriter and promoted and arranged for the sale of the Acquired Fund's shares.
Up through the Closing Date, the Acquired Fund's Board had adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Acquired Fund, as applicable, pursuant to Rule 12b-1 under the 1940 Act. Class I and Class R6 Shares of the Acquired Fund did not charge a distribution fee. The Distribution Plan provided that the Acquired Fund shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
Class A
Class C
0.25
%
0.75
%
For the period July 1, 2023 through the Closing Date, JPMDS waived its distribution fee for the Acquired Fund.
In addition, up through the Closing Date, JPMDS was entitled to receive the front-end sales charges from purchases of Class A Shares and the contingent deferred sales charge ("CDSC") from redemptions of Class C Shares and certain Class A Shares of the Acquired Fund for which front-end sales charges have been waived. For the period July 1, 2023 through the Closing Date, JPMDS did not retain any front-end sales charges or CDSCs.
June 30, 2024
J.P. Morgan Exchange-Traded Funds
13
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2024 (continued)
D. Service Fees— Up through the Closing Date, JPMorgan Trust I, on behalf of the Acquired Fund, had entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provided certain support services to fund shareholders. For performing these services, JPMDS received a fee with respect to all share classes of the Acquired Fund, except Class R6 Shares which did not charge a service fee, that was accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
Class A
Class C
Class I
0.25
%
0.25
%
0.25
%
Prior to the Closing Date, JPMDS had entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invested in the Acquired Fund. Pursuant to such contracts, JPMDS paid all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service fees as outlined in Note 3.G.
E. Custodian, Accounting and Transfer Agent Fees— JPMCB provides portfolio custody, accounting and transfer agency services (effective as of the Closing Date) to the Fund. For performing these services, the Fund pays 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 Fund for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations. The amounts paid directly to JPMCB by the Fund for transfer agency services are included in Transfer agency fees on the Statement of Operations.
Additionally, Authorized Participants generally pay transaction fees associated with the creation and redemption of Fund shares. These fees are used to offset certain custodian charges incurred by the Fund for these transactions.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the 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.
F. 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. Although the Trust does not pay any fees under the Distribution Agreement, JPMIM pays JPMDS for certain distribution related services.
G. Waivers and Reimbursements—The Adviser, Administrator and/or JPMDS had contractually agreed to waive fees and/or reimburse the Fund 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 0.50% of the Fund's average daily net assets.
The expense limitation agreement was in effect from the Closing Date through June 30, 2024, and the contractual expense limitation is in place until at least July 31, 2026.
Prior to the Closing Date, the Adviser, Administrator and/or JPMDS had contractually agreed to waive fees and/or reimburse the Fund 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 Fund's respective average daily net assets as shown in the table below:
Class A
Class C
Class I
Class R6
1.10
%
1.60
%
0.85
%
0.60
%
For the year ended June 30, 2024, the Fund's service providers waived fees and/or reimbursed expenses for the Fund as follows. None of these parties expect the Fund to repay any such waived fees and/or reimbursed expenses in future years.
Contractual Waivers
Voluntary Waivers
Investment
Advisory Fees
Administration
Fees
Service
Fees
Total
Contractual
Reimbursements
12b-1
$27,748
$13,203
$484
$41,435
$511,953
$7,788
Additionally, the Fund 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 Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral. None of these parties expect the Fund to repay any such waived fees and/ or reimbursed expenses in future years.
The amount of these waivers resulting from investments in these money market funds for the year ended June 30, 2024 was $7,896.
14
J.P. Morgan Exchange-Traded Funds
June 30, 2024
JPMIM voluntarily agreed to reimburse the Fund for the Trustee Fees paid to one of the interested Trustees. For the year ended June 30, 2024, the amount of this reimbursement was $133.
H. Other— Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the 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 Fund, along with certain other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statement 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.
The Fund used related party broker-dealers during the year ended June 30, 2024, and incurred brokerage commissions with broker-dealers affiliated with the Adviser in the amount of $3.
The Securities and Exchange Commission ("SEC") has granted an exemptive order permitting the Fund to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended June 30, 2024, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases
(excluding
U.S. Government)
Sales
(excluding
U.S. Government)
$157,687,022
$167,877,066
For the year ended June 30, 2024, in-kind transactions associated with creations and redemptions were as follows:
In-Kind
Purchases
In-Kind
Sales
$369,313,378
$52,096,119
During the year ended June 30, 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 June 30, 2024 were as follows:
Aggregate
Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
Depreciation
Net Unrealized
Appreciation
(Depreciation)
$522,631,384
$145,922,926
$2,977,518
$142,945,408
The difference between book and tax basis appreciation (depreciation) is primarily attributed to wash sale loss deferrals.
The tax character of distributions paid during the year ended June 30, 2024 was as follows:
Ordinary
Income*
Total
Distributions
Paid
$1,316,197
$1,316,197
*
Short-term gain distributions are treated as ordinary income for income tax purposes.
June 30, 2024
J.P. Morgan Exchange-Traded Funds
15
NOTES TO FINANCIAL STATEMENTS
AS OF June 30, 2024 (continued)
The tax character of distributions paid during the year ended June 30, 2023 was as follows:
Ordinary
Income*
Net
Long-Term
Capital Gains
Total
Distributions
Paid
$682,023
$2,369,401
$3,051,424
*
Short-term gain distributions are treated as ordinary income for income tax purposes.
As of June 30, 2024, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current
Distributable
Ordinary
Income
Current
Distributable
Long-Term
Capital Gain
(Tax Basis Capital
Loss Carryover)
Unrealized
Appreciation
(Depreciation)
$2,455,936
$(5,982
)
$142,945,408
The cumulative timing differences primarily consist of wash sale loss deferrals.
As of June 30, 2024, the Fund had net capital loss carryforwards, which are available to offset future realized gains:
Capital Loss Carryforward Character
Short-Term
$5,982
During the year ended June 30, 2024, the Fund utilized capital loss carryforwards as follows:
Capital Loss Utilized
Short-Term
Long-Term
$3,301,053
$99,741
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.
Creation Units of the 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 Fund's 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 Fund 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.
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
16
J.P. Morgan Exchange-Traded Funds
June 30, 2024
agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Fund because the Fund and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Fund had no borrowings outstanding from another fund, or loans outstanding to another fund, during the year ended June 30, 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 year ended June 30, 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).
The Fund did not utilize the Credit Facility during the year ended June 30, 2024.
Effective May 31, 2024, the Fund is no longer part of the Credit Facility.
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.
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 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, 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.
June 30, 2024
J.P. Morgan Exchange-Traded Funds
17
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of J.P. Morgan Exchange-Traded Fund Trust and Shareholders of JPMorgan Equity Focus ETF
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan Equity Focus ETF (one of the funds constituting J.P. Morgan Exchange-Traded Fund Trust, referred to hereafter as the “Fund”) as of June 30, 2024, the related statement of operations for the year ended June 30, 2024, the statement of changes in net assets for each of the two years in the period ended June 30, 2024, including the related notes, and the financial highlights for each of the five years in the period ended June 30, 2024 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of June 30, 2024, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended June 30, 2024 and the financial highlights for each of the five years in the period ended June 30, 2024, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2024 by correspondence with the custodian and transfer agent. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
August 27, 2024
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
18
J.P. Morgan Exchange-Traded Funds
June 30, 2024
TAX LETTER
(Unaudited)
(Dollar values in thousands)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Fund's income and distributions for the taxable year ended June 30, 2024. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2024. The information necessary to complete your income tax returns for the calendar year ending December 31, 2024 will be provided under separate cover.
Dividends Received Deduction (DRD)
The Fund had 100.00%, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended June 30, 2024.
Qualified Dividend Income (QDI)
The Fund had $1,316,197, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2024.
June 30, 2024
J.P. Morgan Exchange-Traded Funds
19
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 Investment Advisory Contract
Not applicable.
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
September 6, 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.
