Fund
|
Ticker
|
Listing
Exchange
|
JPMorgan
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF |
BBSA |
Cboe
BZX Exchange, Inc. |
JPMorgan
Core Plus Bond ETF |
JCPB |
Cboe
BZX Exchange, Inc.
|
JPMorgan
Corporate Bond Research Enhanced ETF |
JIGB |
NYSE
Arca |
JPMorgan
High Yield Research Enhanced ETF |
JPHY |
Cboe
BZX Exchange, Inc. |
JPMorgan
Income ETF |
JPIE |
NYSE
Arca |
JPMorgan
International Bond Opportunities ETF |
JPIB |
Cboe
BZX Exchange, Inc. |
JPMorgan
Municipal ETF |
JMUB |
Cboe
BZX Exchange, Inc. |
JPMorgan
Short Duration Core Plus ETF |
JSCP |
NYSE
Arca |
JPMorgan
U.S. Aggregate Bond ETF |
JAGG |
NYSE
Arca |
JPMorgan
Ultra-Short Income ETF |
JPST |
NYSE
Arca |
JPMorgan
Ultra-Short Municipal Income ETF |
JMST |
Cboe
BZX Exchange, Inc. |
JPMorgan
USD Emerging Markets Sovereign Bond ETF |
JPMB |
NYSE
Arca |
|
|
1 | |
2 | |
| |
4 | |
6 | |
9 | |
11 | |
14 | |
16 | |
19 | |
21 | |
24 | |
26 | |
28 | |
30 | |
33 | |
358 | |
374 | |
380 | |
412 | |
416 |
|
“Given
the current circumstances in
financial
markets, we believe it is
important
that investors consider a
long-term
view and maintain a
diversified
portfolio.”
—
Brian S. Shlissel
|
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
1
|
2
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
(3.63)% |
Market
Price **
|
(3.71)% |
Bloomberg
Short-Term U.S. Aggregate Bond Index |
(3.54)% |
Net
Assets as of 8/31/2022 |
$38,192,695 |
Duration
as of 8/31/2022 |
2.7
Years |
Fund
Ticker |
BBSA |
PORTFOLIO
COMPOSITION
AS
OF August
31, 2022 |
PERCENT
OF
TOTAL
INVESTMENTS |
U.S.
Treasury Obligations |
56.0% |
Corporate
Bonds |
24.1 |
Mortgage-Backed
Securities |
7.9 |
Supranational |
2.6 |
Commercial
Mortgage-Backed Securities |
2.1 |
U.S.
Government Agency Securities |
2.0 |
Foreign
Government Securities |
1.6 |
Others
(each less than 1.0%) |
0.9 |
Short-Term
Investments |
2.8 |
4
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
SINCE
INCEPTION |
JPMorgan
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF |
|
|||
Net
Asset Value |
March 12,
2019 |
(3.63)% |
(6.13)% |
0.58% |
Market
Price |
|
(3.71) |
(6.21) |
0.57 |
| |
* |
Not
annualized. |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
5
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
(7.52)% |
Market
Price **
|
(7.56)% |
Bloomberg
U.S. Aggregate Index |
(7.76)% |
Net
Assets as of 8/31/2022 |
$410,277,100 |
Duration
as of 8/31/2022 |
6.1
Years |
Fund
Ticker |
JCPB |
PORTFOLIO
COMPOSITION
AS
OF August
31, 2022 |
PERCENT
OF
TOTAL
INVESTMENTS |
Corporate
Bonds |
28.9% |
Asset-Backed
Securities |
16.5 |
U.S.
Treasury Obligations |
15.4 |
Mortgage-Backed
Securities |
15.1 |
Commercial
Mortgage-Backed Securities |
5.9 |
Collateralized
Mortgage Obligations |
3.0 |
Others
(each less than 1.0%) |
0.0 |
Short-Term
Investments |
15.2 |
6
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
7
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
SINCE
INCEPTION |
JPMorgan
Core Plus Bond ETF |
|
|||
Net
Asset Value |
January 28,
2019 |
(7.52)% |
(10.91)% |
1.44% |
Market
Price |
|
(7.56) |
(10.99) |
1.50 |
| |
* |
Not
annualized. |
8
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
(9.29)% |
Market
Price **
|
(9.63)% |
Bloomberg
U.S. Corporate Index |
(9.41)% |
Net
Assets as of 8/31/2022 |
$39,079,416 |
Duration
as of 8/31/2022 |
7.5
Years |
Fund
Ticker |
JIGB |
PORTFOLIO
COMPOSITION
AS
OF August
31, 2022 |
PERCENT
OF
TOTAL
INVESTMENTS |
Corporate
Bonds |
98.4% |
Short-Term
Investments |
1.6 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
9
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
SINCE
INCEPTION |
JPMorgan
Corporate Bond Research Enhanced ETF |
|
|||
Net
Asset Value |
December 12,
2018 |
(9.29)% |
(14.89)% |
1.77% |
Market
Price |
|
(9.63) |
(15.54) |
1.70 |
| |
* |
Not
annualized. |
10
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
(7.73)% |
Market
Price **
|
(8.15)% |
Bloomberg
US Corporate High Yield – 2% Issuer Capped Index |
(7.78)% |
Net
Assets as of 8/31/2022 |
$404,575,558 |
Duration
as of 8/31/2022 |
4.4
Years |
Fund
Ticker |
JPHY |
PORTFOLIO
COMPOSITION BY INDUSTRY
AS
OF August
31, 2022 |
PERCENT
OF
TOTAL
INVESTMENTS |
Oil,
Gas & Consumable Fuels |
11.3% |
Hotels,
Restaurants & Leisure |
9.8 |
Media |
7.4 |
Diversified
Telecommunication Services |
6.6 |
Health
Care Providers & Services |
5.4 |
Consumer
Finance |
5.3 |
Commercial
Services & Supplies |
3.2 |
Aerospace
& Defense |
3.1 |
Chemicals |
2.8 |
Equity
Real Estate Investment Trusts (REITs) |
2.5 |
Specialty
Retail |
2.5 |
Auto
Components |
2.4 |
Containers
& Packaging |
2.4 |
Metals
& Mining |
2.0 |
Pharmaceuticals |
2.0 |
Electric
Utilities |
1.9 |
Airlines |
1.9 |
Software |
1.7 |
Entertainment |
1.6 |
Trading
Companies & Distributors |
1.5 |
Capital
Markets |
1.4 |
Thrifts
& Mortgage Finance |
1.4 |
Building
Products |
1.3 |
Household
Durables |
1.1 |
Food
& Staples Retailing |
1.1 |
Communications
Equipment |
1.0 |
Food
Products |
1.0 |
Energy
Equipment & Services |
1.0 |
IT
Services |
1.0 |
Others
(each less than 1.0%) |
11.9 |
Short-Term
Investments |
0.5 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
11
|
12
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
5
YEAR |
SINCE
INCEPTION |
JPMorgan
High Yield Research Enhanced ETF |
|
||||
Net
Asset Value |
September 14,
2016 |
(7.73)% |
(10.56)% |
1.91% |
2.85% |
Market
Price |
|
(8.15) |
(11.09) |
1.68 |
2.77 |
| |
* |
Not
annualized. |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
13
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
(4.66)% |
Market
Price **
|
(4.32)% |
Bloomberg
U.S. Aggregate Index |
(7.76)% |
Net
Assets as of 8/31/2022 |
$156,350,508 |
Duration
as of 8/31/2022 |
3.4
Years |
Fund
Ticker |
JPIE |
PORTFOLIO
COMPOSITION
AS
OF August
31, 2022 |
PERCENT
OF
TOTAL
INVESTMENTS |
Corporate
Bonds |
36.8% |
Asset-Backed
Securities |
26.5 |
Commercial
Mortgage-Backed Securities |
16.4 |
Mortgage-Backed
Securities |
8.7 |
Collateralized
Mortgage Obligations |
7.2 |
Foreign
Government Securities |
2.7 |
Exchange-Traded
Funds |
1.6 |
Short-Term
Investments |
0.1 |
14
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
|
INCEPTION
DATE |
SIX
MONTHS* |
CUMULATIVE
SINCE
INCEPTION |
JPMorgan
Income ETF |
|||
Net
Asset Value |
October 28,
2021 |
(4.66)% |
(5.96)% |
Market
Price |
|
(4.32) |
(5.21) |
| |
* |
Not
annualized. |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
15
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
(4.99)% |
Market
Price **
|
(4.63)% |
Bloomberg
Multiverse ex-USA (USD Hedged) Index |
(12.61)% |
Net
Assets as of 8/31/2022 |
$296,747,942 |
Duration
as of 8/31/2022 |
3.3
Years |
Fund
Ticker |
JPIB |
PORTFOLIO
COMPOSITION
AS
OF August
31, 2022 |
PERCENT
OF
TOTAL
INVESTMENTS |
Corporate
Bonds |
59.7% |
Foreign
Government Securities |
31.9 |
Commercial
Mortgage-Backed Securities |
1.7 |
Asset-Backed
Securities |
1.5 |
Collateralized
Mortgage Obligations |
1.1 |
Others
(each less than 1.0%) |
0.4 |
Short-Term
Investments |
3.7 |
PORTFOLIO
COMPOSTION BY COUNTRY
AS
OF August
31, 2022 |
PERCENT
OF
TOTAL
INVESTMENTS |
United
States |
12.5
% |
Australia |
10.5
|
United
Kingdom |
9.0
|
France |
8.3
|
Canada |
7.2
|
Italy |
7.0
|
Germany |
5.7
|
Spain |
5.5
|
Brazil |
3.6
|
Mexico |
2.4
|
Portugal |
2.3
|
Netherlands |
2.1
|
Luxembourg |
2.1
|
China |
2.0
|
Switzerland |
1.6
|
Japan |
1.5
|
Belgium |
1.3
|
South
Africa |
1.3
|
Ireland |
1.2
|
Others
(each less than 1.0%) |
9.2
|
Short-Term
Investments |
3.7 |
16
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
17
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
5
YEAR |
SINCE
INCEPTION |
JPMorgan
International Bond Opportunities ETF |
|
||||
Net
Asset Value |
April 5,
2017 |
(4.99)% |
(8.37)% |
1.75% |
2.07% |
Market
Price |
|
(4.63) |
(8.24) |
1.74 |
2.15 |
| |
* |
Not
annualized. |
18
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
(4.79)% |
Market
Price **
|
(4.84)% |
Bloomberg
U.S. 1-15 Year Blend (1-17) Municipal Bond Index |
(3.73)% |
Net
Assets as of 8/31/2022 |
$237,437,095 |
Duration
as of 8/31/2022 |
5.3
Years |
Fund
Ticker |
JMUB |
PORTFOLIO
COMPOSITION
AS
OF August
31, 2022 |
PERCENT
OF
TOTAL
INVESTMENTS |
Municipal
Bonds |
85.6% |
Short-Term
Investments |
14.4 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
19
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
SINCE
INCEPTION |
JPMorgan
Municipal ETF |
|
|||
Net
Asset Value |
October 29,
2018 |
(4.79)% |
(7.97)% |
2.43% |
Market
Price |
|
(4.84) |
(7.95) |
2.43 |
| |
* |
Not
annualized. |
20
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
(3.59)% |
Market
Price **
|
(3.55)% |
Bloomberg
1-5 Year Government/Credit Index |
(3.39)% |
Net
Assets as of 8/31/2022 |
$213,744,542 |
Duration
as of 8/31/2022 |
2.4
Years |
Fund
Ticker |
JSCP |
PORTFOLIO
COMPOSITION
AS
OF August
31, 2022 |
PERCENT
OF
TOTAL
INVESTMENTS |
Corporate
Bonds |
38.4% |
Asset-Backed
Securities |
17.9 |
U.S.
Treasury Obligations |
16.0 |
Mortgage-Backed
Securities |
9.4 |
Commercial
Mortgage-Backed Securities |
6.9 |
Collateralized
Mortgage Obligations |
4.0 |
Others
(each less than 1.0%) |
0.8 |
Short-Term
Investments |
6.6 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
21
|
22
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
SINCE
INCEPTION |
JPMorgan
Short Duration Core Plus ETF |
|
|||
Net
Asset Value |
March 1,
2021 |
(3.59)% |
(6.09)% |
(3.47)% |
Market
Price |
|
(3.55) |
(6.18) |
(3.43) |
| |
* |
Not
annualized. |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
23
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
(7.87)% |
Market
Price **
|
(7.81)% |
Bloomberg
U.S. Aggregate Index |
(7.76)% |
Net
Assets as of 8/31/2022 |
$1,127,230,543 |
Duration
as of 8/31/2022 |
6.4
Years |
Fund
Ticker |
JAGG |
PORTFOLIO
COMPOSITION
AS
OF August
31, 2022 |
PERCENT
OF
TOTAL
INVESTMENTS |
U.S.
Treasury Obligations |
38.4% |
Mortgage-Backed
Securities |
26.5 |
Corporate
Bonds |
23.4 |
Commercial
Mortgage-Backed Securities |
1.8 |
Foreign
Government Securities |
1.5 |
Supranational |
1.3 |
U.S.
Government Agency Securities |
1.2 |
Others
(each less than 1.0%) |
0.7 |
Short-Term
Investments |
5.2 |
24
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
SINCE
INCEPTION |
JPMorgan
U.S. Aggregate Bond ETF |
|
|||
Net
Asset Value |
December 12,
2018 |
(7.87)% |
(11.72)% |
0.74% |
Market
Price |
|
(7.81) |
(11.69) |
0.76 |
| |
* |
Not
annualized. |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
25
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
0.16% |
Market
Price **
|
0.16% |
ICE
BofAML 3-Month US Treasury Bill Index |
0.35% |
Net
Assets as of 8/31/2022 |
$21,608,362,786 |
Duration
as of 8/31/2022 |
0.3
Years |
Fund
Ticker |
JPST |
PORTFOLIO
COMPOSTION BY SECTOR
AS
OF August
31, 2022 |
PERCENT
OF
TOTAL
INVESTMENTS |
Financials |
30.1% |
Asset-Backed
Securities |
8.8 |
Utilities |
3.1 |
Health
Care |
2.8 |
Consumer
Discretionary |
1.9 |
Commercial
Mortgage-Backed Securities |
1.8 |
Industrials |
1.5 |
Consumer
Staples |
1.2 |
Energy |
1.2 |
Information
Technology |
1.0 |
Others
(each less than 1.0%) |
1.4 |
Short-Term
Investments |
45.2 |
26
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
5
YEAR |
SINCE
INCEPTION |
JPMorgan
Ultra-Short Income ETF |
|
||||
Net
Asset Value |
May 17,
2017 |
0.16% |
(0.20)% |
1.67% |
1.67% |
Market
Price |
|
0.16 |
(0.22) |
1.66 |
1.68 |
| |
* |
Not
annualized. |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
27
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
(0.05)% |
Market
Price **
|
(0.24)% |
Bloomberg
1 Year Municipal Bond Index |
(0.71)% |
Net
Assets as of 8/31/2022 |
$3,117,744,864 |
Duration
as of 8/31/2022 |
0.6
Years |
Fund
Ticker |
JMST |
PORTFOLIO
COMPOSITION
AS
OF August
31, 2022 |
PERCENT
OF
TOTAL
INVESTMENTS |
Municipal
Bonds |
87.1% |
Short-Term
Investments |
12.9 |
28
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
SINCE
INCEPTION |
JPMorgan
Ultra-Short Municipal Income ETF |
|
|||
Net
Asset Value |
October 16,
2018 |
(0.05)% |
(0.51)% |
1.19% |
Market
Price |
|
(0.24) |
(0.80) |
1.14 |
| |
* |
Not
annualized. |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
29
|
REPORTING
PERIOD RETURN: |
|
Net
Asset Value * |
(8.45)% |
Market
Price **
|
(9.84)% |
JPMorgan
Emerging Markets Risk-Aware Bond Index |
(8.31)% |
Net
Assets as of 8/31/2022 |
$69,866,551 |
Duration
as of 8/31/2022 |
7.0
Years |
Fund
Ticker |
JPMB |
PORTFOLIO
COMPOSTION BY COUNTRY
AS
OF August
31, 2022 |
PERCENT
OF
TOTAL
INVESTMENTS |
Turkey |
7.8
% |
Brazil |
6.6
|
Dominican
Republic |
5.7
|
Oman |
5.7
|
Colombia |
5.5
|
South
Africa |
5.1
|
Bahrain |
4.8
|
Mexico |
3.8
|
Indonesia |
3.6
|
Nigeria |
3.5
|
Saudi
Arabia |
3.4
|
United
Arab Emirates |
3.2
|
Qatar |
3.0
|
China |
2.9
|
Philippines |
2.7
|
Peru |
2.2
|
Angola |
2.1
|
Chile |
2.1
|
Panama |
2.1
|
Jamaica |
1.7
|
Malaysia |
1.7
|
Kenya |
1.6
|
Uruguay |
1.6
|
Pakistan |
1.4
|
Kazakhstan |
1.4
|
Azerbaijan |
1.4
|
Jordan |
1.1
|
Others
(each less than 1.0%) |
9.0
|
Short-Term
Investments |
3.3 |
30
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
31
|
|
INCEPTION
DATE |
SIX
MONTHS* |
1
YEAR |
SINCE
INCEPTION |
JPMorgan
USD Emerging Markets Sovereign Bond ETF |
|
|||
Net
Asset Value |
January 29,
2018 |
(8.45)% |
(18.91)% |
(1.00)% |
Market
Price |
|
(9.84) |
(19.31) |
(1.03) |
| |
* |
Not
annualized. |
32
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
U.S.
Treasury Obligations — 57.1% | ||
U.S.
Treasury Bonds
7.50%,
11/15/2024 |
996,000 |
1,079,648 |
U.S.
Treasury Notes |
|
|
0.25%,
6/15/2023 |
887,000 |
865,241 |
0.13%,
6/30/2023 |
256,000 |
249,090 |
0.13%,
8/15/2023 |
566,000 |
548,180 |
2.75%,
8/31/2023 |
507,000 |
503,198 |
0.25%,
11/15/2023 |
923,000 |
888,315 |
2.38%,
2/29/2024 |
2,066,000 |
2,032,831 |
2.00%,
4/30/2024 |
480,000 |
468,713 |
2.25%,
4/30/2024 |
15,000 |
14,704 |
2.00%,
5/31/2024 |
334,000 |
325,689 |
1.75%,
6/30/2024 |
282,000 |
273,419 |
1.75%,
7/31/2024 |
717,000 |
694,370 |
0.38%,
9/15/2024 |
354,000 |
332,483 |
1.50%,
9/30/2024 |
1,083,000 |
1,040,442 |
1.50%,
10/31/2024 |
258,000 |
247,539 |
0.50%,
3/31/2025 |
1,303,000 |
1,207,616 |
0.38%,
4/30/2025 |
46,000 |
42,370 |
0.25%,
5/31/2025 |
1,066,000 |
975,806 |
0.25%,
6/30/2025 |
340,000 |
310,648 |
0.25%,
7/31/2025 |
244,000 |
222,212 |
0.25%,
9/30/2025 |
93,000 |
84,274 |
0.25%,
10/31/2025 |
48,000 |
43,365 |
0.38%,
11/30/2025 |
2,440,000 |
2,207,628 |
0.38%,
12/31/2025 |
26,000 |
23,467 |
2.63%,
12/31/2025 |
5,000 |
4,868 |
0.38%,
1/31/2026 |
22,000 |
19,805 |
0.75%,
4/30/2026 |
1,865,000 |
1,691,905 |
0.75%,
5/31/2026 |
713,000 |
645,432 |
0.88%,
6/30/2026 |
109,000 |
98,960 |
1.88%,
6/30/2026 |
868,000 |
820,057 |
0.63%,
7/31/2026 |
823,000 |
738,450 |
0.75%,
8/31/2026 |
772,000 |
694,860 |
0.88%,
9/30/2026 |
140,000 |
126,459 |
1.63%,
9/30/2026 |
51,000 |
47,562 |
1.13%,
10/31/2026 |
247,000 |
225,059 |
1.63%,
10/31/2026 |
125,000 |
116,348 |
1.25%,
11/30/2026 |
139,000 |
127,185 |
1.25%,
12/31/2026 |
303,000 |
276,866 |
1.50%,
1/31/2027 |
488,000 |
450,294 |
1.13%,
2/28/2027 |
197,000 |
178,685 |
0.63%,
3/31/2027 |
123,000 |
108,749 |
2.50%,
3/31/2027 |
6,000 |
5,777 |
0.50%,
4/30/2027 |
138,000 |
121,020 |
0.50%,
5/31/2027 |
164,000 |
143,500 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
0.50%,
6/30/2027 |
437,000 |
381,624 |
0.38%,
7/31/2027 |
119,000 |
103,177 |
Total
U.S. Treasury Obligations
(Cost
$22,851,599) |
|
21,807,890 |
Corporate
Bonds — 24.6% | ||
Aerospace
& Defense — 0.3% | ||
Boeing
Co. (The)
|
|
|
1.95%,
2/1/2024 |
4,000 |
3,870 |
4.88%,
5/1/2025 |
5,000 |
5,017 |
2.75%,
2/1/2026 |
15,000 |
14,056 |
2.70%,
2/1/2027 |
2,000 |
1,814 |
General
Dynamics Corp.
|
|
|
2.38%,
11/15/2024 |
7,000 |
6,794 |
1.15%,
6/1/2026 |
51,000 |
45,980 |
Leidos,
Inc. 3.63%, 5/15/2025 |
4,000 |
3,908 |
Lockheed
Martin Corp. 3.55%, 1/15/2026 |
2,000 |
1,984 |
Precision
Castparts Corp. 3.25%, 6/15/2025 |
16,000 |
15,793 |
Raytheon
Technologies Corp. 3.20%,
3/15/2024 |
16,000 |
15,852 |
|
|
115,068 |
Air
Freight & Logistics — 0.1% | ||
FedEx
Corp. 3.25%, 4/1/2026 |
13,000 |
12,660 |
GXO
Logistics, Inc. 1.65%, 7/15/2026 |
4,000 |
3,383 |
United
Parcel Service, Inc. 2.20%, 9/1/2024 |
10,000 |
9,697 |
|
|
25,740 |
Airlines
— 0.0% ^ | ||
Southwest
Airlines Co. 5.25%, 5/4/2025 |
2,000 |
2,052 |
Banks
— 6.5% | ||
Banco
Bilbao Vizcaya Argentaria SA (Spain)
0.88%,
9/18/2023 |
200,000 |
193,129 |
Banco
Santander SA (Spain) (US Treasury
Yield
Curve Rate T Note Constant Maturity 1
Year
+ 0.90%), 1.72%, 9/14/2027 (a) |
200,000 |
172,578 |
Bangko
Sentral ng Pilipinas International
Bond (Philippines)
8.60%, 6/15/2027 |
13,000 |
14,817 |
Bank
of America Corp.
|
|
|
(ICE
LIBOR USD 3 Month + 0.64%), 2.01%,
2/13/2026 (a) |
35,000 |
32,734 |
3.50%,
4/19/2026 |
39,000 |
38,016 |
(SOFR
+ 1.15%), 1.32%, 6/19/2026 (a) |
154,000 |
139,917 |
(SOFR
+ 0.96%), 1.73%, 7/22/2027 (a) |
51,000 |
45,263 |
(SOFR
+ 1.58%), 4.38%, 4/27/2028 (a) |
6,000 |
5,855 |
Bank
of Montreal (Canada) |
|
|
(SOFR
+ 0.60%), 0.95%, 1/22/2027 (a) |
9,000 |
8,021 |
2.65%,
3/8/2027 |
39,000 |
36,283 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
33
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Banks
— continued | ||
Barclays
plc (United Kingdom) 3.65%,
3/16/2025 |
40,000 |
38,860 |
Citigroup,
Inc.
|
|
|
3.70%,
1/12/2026 |
4,000 |
3,907 |
(SOFR
+ 0.77%), 1.12%, 1/28/2027 (a) |
63,000 |
55,561 |
(SOFR
+ 0.77%), 1.46%, 6/9/2027 (a) |
139,000 |
122,599 |
Comerica,
Inc. 3.70%, 7/31/2023 |
15,000 |
14,951 |
Fifth
Third Bancorp
|
|
|
4.30%,
1/16/2024 |
12,000 |
12,013 |
3.65%,
1/25/2024 |
12,000 |
11,926 |
(SOFR
+ 0.69%), 1.71%, 11/1/2027 (a) |
12,000 |
10,757 |
First
Citizens BancShares, Inc. (3-MONTH CME
TERM
SOFR + 2.47%), 3.38%, 3/15/2030
(a) |
20,000 |
18,930 |
HSBC
Holdings plc (United Kingdom) (SOFR +
1.40%),
2.63%, 11/7/2025 (a) |
30,000 |
28,472 |
Huntington
Bancshares, Inc.
|
|
|
2.63%,
8/6/2024 |
17,000 |
16,513 |
4.00%,
5/15/2025 |
8,000 |
7,926 |
Korea
Development Bank (The) (South Korea)
0.40%,
6/19/2024 |
200,000 |
188,051 |
Kreditanstalt
fuer Wiederaufbau (Germany) |
|
|
2.63%,
2/28/2024 |
56,000 |
55,247 |
0.25%,
3/8/2024 |
22,000 |
20,933 |
1.38%,
8/5/2024 |
10,000 |
9,597 |
2.50%,
11/20/2024 |
13,000 |
12,710 |
0.38%,
7/18/2025 |
27,000 |
24,641 |
0.63%,
1/22/2026 |
22,000 |
19,954 |
1.00%,
10/1/2026 |
44,000 |
39,798 |
Landwirtschaftliche
Rentenbank (Germany) |
|
|
3.13%,
11/14/2023 |
36,000 |
35,809 |
Series
40, 0.50%, 5/27/2025 |
13,000 |
11,957 |
0.88%,
3/30/2026 |
86,000 |
78,211 |
1.75%,
7/27/2026 |
1,000 |
935 |
Mitsubishi
UFJ Financial Group, Inc. (Japan)
3.41%,
3/7/2024 |
8,000 |
7,921 |
Oesterreichische
Kontrollbank AG (Austria) |
|
|
3.13%,
11/7/2023 |
4,000 |
3,979 |
0.50%,
2/2/2026 |
20,000 |
18,001 |
PNC
Financial Services Group, Inc. (The)
|
|
|
3.50%,
1/23/2024 |
76,000 |
75,752 |
1.15%,
8/13/2026 |
215,000 |
192,734 |
Royal
Bank of Canada (Canada) |
|
|
0.50%,
10/26/2023 |
22,000 |
21,215 |
1.40%,
11/2/2026 |
35,000 |
31,140 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Banks
— continued | ||
Santander
UK plc (United Kingdom) 4.00%,
3/13/2024 |
27,000 |
26,973 |
Sumitomo
Mitsui Financial Group, Inc. (Japan) |
|
|
3.94%,
10/16/2023 |
27,000 |
26,990 |
3.01%,
10/19/2026 |
93,000 |
87,537 |
Toronto-Dominion
Bank (The) (Canada) |
|
|
0.75%,
9/11/2025 |
5,000 |
4,516 |
1.25%,
9/10/2026 |
32,000 |
28,419 |
2.80%,
3/10/2027 |
16,000 |
15,005 |
Truist
Financial Corp.
|
|
|
3.70%,
6/5/2025 |
6,000 |
5,935 |
1.13%,
8/3/2027 |
53,000 |
45,502 |
(SOFR
+ 1.37%), 4.12%, 6/6/2028 (a) |
22,000 |
21,601 |
US
Bancorp
|
|
|
Series
V, 2.38%, 7/22/2026 |
91,000 |
85,764 |
(SOFR
+ 0.73%), 2.22%, 1/27/2028 (a) |
20,000 |
18,280 |
Valley
National Bancorp (3-MONTH CME TERM
SOFR
+ 2.36%), 3.00%, 6/15/2031 (a) |
36,000 |
32,181 |
Wells
Fargo & Co.
|
|
|
3.30%,
9/9/2024 |
16,000 |
15,811 |
(SOFR
+ 0.51%), 0.80%, 5/19/2025 (a) |
10,000 |
9,382 |
3.55%,
9/29/2025 |
13,000 |
12,768 |
(ICE
LIBOR USD 3 Month + 0.75%), 2.16%,
2/11/2026 (a) |
50,000 |
46,986 |
3.00%,
4/22/2026 |
8,000 |
7,609 |
(SOFR
+ 2.00%), 2.19%, 4/30/2026 (a) |
25,000 |
23,397 |
3.00%,
10/23/2026 |
2,000 |
1,887 |
(ICE
LIBOR USD 3 Month + 1.17%), 3.20%,
6/17/2027 (a) |
5,000 |
4,709 |
(SOFR
+ 1.51%), 3.53%, 3/24/2028 (a) |
58,000 |
54,772 |
Westpac
Banking Corp. (Australia) |
|
|
3.35%,
3/8/2027 |
2,000 |
1,930 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year + 1.35%),
2.89%,
2/4/2030 (a) |
10,000 |
9,403 |
|
|
2,464,970 |
Beverages
— 0.4% | ||
Coca-Cola
Co. (The)
|
|
|
1.75%,
9/6/2024 |
81,000 |
78,545 |
1.45%,
6/1/2027 |
16,000 |
14,478 |
Keurig
Dr Pepper, Inc.
|
|
|
3.13%,
12/15/2023 |
14,000 |
13,865 |
3.40%,
11/15/2025 |
2,000 |
1,954 |
PepsiCo,
Inc.
|
|
|
3.60%,
3/1/2024 |
20,000 |
20,011 |
34
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Beverages
— continued | ||
2.85%,
2/24/2026 |
10,000 |
9,739 |
2.38%,
10/6/2026 |
2,000 |
1,898 |
|
|
140,490 |
Biotechnology
— 0.3% | ||
AbbVie,
Inc.
|
|
|
3.85%,
6/15/2024 |
17,000 |
16,917 |
2.60%,
11/21/2024 |
10,000 |
9,665 |
3.80%,
3/15/2025 |
42,000 |
41,440 |
3.60%,
5/14/2025 |
15,000 |
14,739 |
Amgen,
Inc.
|
|
|
3.63%,
5/22/2024 |
15,000 |
14,938 |
1.90%,
2/21/2025 |
8,000 |
7,619 |
Baxalta,
Inc. 4.00%, 6/23/2025 |
4,000 |
3,970 |
Gilead
Sciences, Inc. 3.65%, 3/1/2026 |
13,000 |
12,767 |
|
|
122,055 |
Building
Products — 0.0% ^ | ||
Lennox
International, Inc. 1.35%, 8/1/2025 |
2,000 |
1,816 |
Capital
Markets — 3.6% | ||
Ameriprise
Financial, Inc.
|
|
|
3.70%,
10/15/2024 |
5,000 |
4,961 |
2.88%,
9/15/2026 |
2,000 |
1,903 |
Bain
Capital Specialty Finance, Inc. 2.55%,
10/13/2026 |
24,000 |
20,335 |
Bank
of New York Mellon Corp. (The)
|
|
|
2.20%,
8/16/2023 |
16,000 |
15,775 |
1.60%,
4/24/2025 |
10,000 |
9,416 |
1.05%,
10/15/2026 |
171,000 |
152,084 |
(SOFR
+ 1.15%), 3.99%, 6/13/2028 (a) |
18,000 |
17,629 |
BlackRock,
Inc. 3.50%, 3/18/2024 |
10,000 |
9,969 |
Blackstone
Secured Lending Fund 2.75%,
9/16/2026 |
5,000 |
4,423 |
Charles
Schwab Corp. (The)
|
|
|
0.90%,
3/11/2026 |
74,000 |
66,588 |
2.45%,
3/3/2027 |
18,000 |
16,797 |
CME
Group, Inc. 3.00%, 3/15/2025 |
2,000 |
1,962 |
Deutsche
Bank AG (Germany) 4.10%,
1/13/2026 |
373,000 |
362,996 |
Franklin
Resources, Inc. 2.85%, 3/30/2025 |
2,000 |
1,936 |
Goldman
Sachs Group, Inc. (The)
|
|
|
3.63%,
2/20/2024 |
9,000 |
8,941 |
3.85%,
7/8/2024 |
15,000 |
14,944 |
3.50%,
4/1/2025 |
50,000 |
48,894 |
3.75%,
5/22/2025 |
15,000 |
14,739 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Capital
Markets — continued | ||
(ICE
LIBOR USD 3 Month + 1.20%), 3.27%,
9/29/2025 (a) |
14,000 |
13,638 |
3.75%,
2/25/2026 |
5,000 |
4,897 |
(SOFR
+ 0.82%), 1.54%, 9/10/2027 (a) |
15,000 |
13,164 |
(SOFR
+ 0.91%), 1.95%, 10/21/2027 (a) |
62,000 |
55,006 |
(SOFR
+ 1.11%), 2.64%, 2/24/2028 (a) |
13,000 |
11,793 |
Golub
Capital BDC, Inc. 2.05%, 2/15/2027 |
27,000 |
22,475 |
Intercontinental
Exchange, Inc. 3.75%,
12/1/2025 |
15,000 |
14,856 |
Janus
Henderson US Holdings, Inc. 4.88%,
8/1/2025 |
5,000 |
5,014 |
Jefferies
Group LLC 4.85%, 1/15/2027 |
5,000 |
4,962 |
Moody's
Corp. 4.88%, 2/15/2024 |
5,000 |
5,053 |
Morgan
Stanley
|
|
|
3.70%,
10/23/2024 |
29,000 |
28,819 |
Series
I, (SOFR + 0.75%), 0.86%,
10/21/2025 (a) |
107,000 |
98,917 |
4.35%,
9/8/2026 |
4,000 |
3,954 |
(SOFR
+ 0.88%), 1.59%, 5/4/2027 (a) |
24,000 |
21,405 |
(SOFR
+ 0.86%), 1.51%, 7/20/2027 (a) |
15,000 |
13,291 |
S&P
Global, Inc. 2.45%, 3/1/2027 (b) |
14,000 |
13,063 |
Sixth
Street Specialty Lending, Inc. 2.50%,
8/1/2026 |
31,000 |
27,087 |
State
Street Corp.
|
|
|
3.70%,
11/20/2023 |
114,000 |
114,154 |
(ICE
LIBOR USD 3 Month + 0.77%), 3.78%,
12/3/2024 (a) |
10,000 |
9,976 |
3.55%,
8/18/2025 |
24,000 |
23,789 |
(SOFR
+ 0.94%), 2.35%, 11/1/2025 (a) |
48,000 |
46,344 |
(SOFR
+ 0.56%), 1.68%, 11/18/2027 (a) |
25,000 |
22,519 |
(SOFR
+ 0.73%), 2.20%, 2/7/2028 (a) |
29,000 |
26,577 |
|
|
1,375,045 |
Chemicals
— 0.3% | ||
Air
Products and Chemicals, Inc.
|
|
|
1.50%,
10/15/2025 |
21,000 |
19,558 |
1.85%,
5/15/2027 |
2,000 |
1,823 |
Celanese
US Holdings LLC
|
|
|
3.50%,
5/8/2024 |
19,000 |
18,500 |
1.40%,
8/05/2026 |
34,000 |
28,587 |
DuPont
de Nemours, Inc.
|
|
|
4.21%,
11/15/2023 |
10,000 |
10,025 |
4.49%,
11/15/2025 |
10,000 |
10,081 |
Linde,
Inc. 3.20%, 1/30/2026 |
12,000 |
11,765 |
LYB
International Finance II BV 3.50%,
3/2/2027 |
5,000 |
4,745 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
35
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Chemicals
— continued | ||
Mosaic
Co. (The) 4.25%, 11/15/2023 |
2,000 |
2,002 |
Nutrien
Ltd. (Canada) 3.00%, 4/1/2025 |
6,000 |
5,821 |
|
|
112,907 |
Commercial
Services & Supplies — 0.1% | ||
Waste
Management, Inc. 0.75%,
11/15/2025 |
23,000 |
20,784 |
Communications
Equipment — 0.0% ^ | ||
Cisco
Systems, Inc. 2.20%, 9/20/2023 |
4,000 |
3,948 |
Consumer
Finance — 1.9% | ||
AerCap
Ireland Capital DAC (Ireland) 3.15%,
2/15/2024 |
150,000 |
145,326 |
Ally
Financial, Inc. 3.88%, 5/21/2024 |
87,000 |
86,174 |
American
Express Co. 1.65%, 11/4/2026 |
25,000 |
22,595 |
American
Honda Finance Corp.
|
|
|
3.63%,
10/10/2023 |
16,000 |
15,974 |
1.20%,
7/8/2025 |
15,000 |
13,897 |
Capital
One Financial Corp.
|
|
|
3.30%,
10/30/2024 |
51,000 |
50,027 |
(SOFR
+ 1.29%), 2.64%, 3/3/2026 (a) |
3,000 |
2,840 |
(SOFR
+ 0.86%), 1.88%, 11/2/2027 (a) |
14,000 |
12,318 |
(SOFR
+ 2.06%), 4.93%, 5/10/2028 (a) |
11,000 |
10,870 |
Caterpillar
Financial Services Corp.
|
|
|
3.65%,
12/7/2023 |
6,000 |
6,005 |
3.30%,
6/9/2024 |
12,000 |
11,919 |
3.25%,
12/1/2024 |
6,000 |
5,939 |
0.80%,
11/13/2025 |
12,000 |
10,870 |
1.15%,
9/14/2026 |
1,000 |
896 |
General
Motors Financial Co., Inc.
|
|
|
5.10%,
1/17/2024 |
45,000 |
45,400 |
4.00%,
10/6/2026 |
63,000 |
60,611 |
John
Deere Capital Corp.
|
|
|
0.40%,
10/10/2023 |
53,000 |
51,187 |
2.65%,
6/24/2024 |
15,000 |
14,754 |
1.70%,
1/11/2027 |
44,000 |
40,247 |
PACCAR
Financial Corp.
|
|
|
1.10%,
5/11/2026 |
1,000 |
905 |
2.00%,
2/4/2027 |
2,000 |
1,849 |
Synchrony
Financial 3.70%, 8/4/2026 |
12,000 |
11,242 |
Toyota
Motor Credit Corp.
|
|
|
2.25%,
10/18/2023 |
23,000 |
22,658 |
0.45%,
1/11/2024 |
57,000 |
54,576 |
0.80%,
10/16/2025 |
5,000 |
4,548 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Consumer
Finance — continued | ||
3.05%,
3/22/2027 |
17,000 |
16,303 |
1.15%,
8/13/2027 |
10,000 |
8,709 |
|
|
728,639 |
Containers
& Packaging — 0.0% ^ | ||
Berry
Global, Inc. 1.57%, 1/15/2026 |
2,000 |
1,784 |
WRKCo,
Inc. 4.65%, 3/15/2026 |
3,000 |
3,018 |
|
|
4,802 |
Diversified
Consumer Services — 0.0% ^ | ||
Leland
Stanford Junior University
(The) 1.29%,
6/1/2027 |
2,000 |
1,776 |
Yale
University Series 2020, 0.87%,
4/15/2025 |
9,000 |
8,362 |
|
|
10,138 |
Diversified
Financial Services — 0.1% | ||
Berkshire
Hathaway, Inc. 3.13%, 3/15/2026 |
19,000 |
18,599 |
National
Rural Utilities Cooperative Finance
Corp. 1.00%,
6/15/2026 |
35,000 |
31,345 |
|
|
49,944 |
Diversified
Telecommunication Services — 0.2% | ||
AT&T,
Inc. 2.95%, 7/15/2026 |
60,000 |
57,006 |
Verizon
Communications, Inc.
|
|
|
0.75%,
3/22/2024 |
5,000 |
4,772 |
0.85%,
11/20/2025 |
13,000 |
11,723 |
3.00%,
3/22/2027 |
13,000 |
12,318 |
|
|
85,819 |
Electric
Utilities — 0.8% | ||
American
Electric Power Co., Inc. Series N,
1.00%,
11/1/2025 |
2,000 |
1,794 |
Avangrid,
Inc. 3.20%, 4/15/2025 |
5,000 |
4,841 |
Duke
Energy Corp.
|
|
|
0.90%,
9/15/2025 |
22,000 |
19,968 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year + 2.32%),
3.25%,
1/15/2082 (a) |
6,000 |
4,851 |
Eversource
Energy
|
|
|
Series
Q, 0.80%, 8/15/2025 |
20,000 |
18,074 |
Series
U, 1.40%, 8/15/2026 |
16,000 |
14,236 |
Florida
Power & Light Co.
|
|
|
3.25%,
6/1/2024 |
9,000 |
8,933 |
3.13%,
12/1/2025 |
8,000 |
7,888 |
Iberdrola
International BV (Spain) 5.81%,
3/15/2025 |
2,000 |
2,084 |
ITC
Holdings Corp. 3.25%, 6/30/2026 |
10,000 |
9,530 |
36
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Electric
Utilities — continued | ||
Oncor
Electric Delivery Co. LLC 0.55%,
10/1/2025 |
101,000 |
90,750 |
Pacific
Gas and Electric Co.
|
|
|
3.15%,
1/1/2026 |
4,000 |
3,688 |
2.95%,
3/1/2026 |
6,000 |
5,450 |
Public
Service Electric and Gas Co. 0.95%,
3/15/2026 |
49,000 |
44,137 |
Southern
Co. (The)
|
|
|
Series
B, (US Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year + 3.73%),
4.00%,
1/15/2051 (a) |
29,000 |
26,955 |
Series
21-A, (US Treasury Yield Curve Rate
T
Note Constant Maturity 5 Year +
2.92%),
3.75%, 9/15/2051 (a) |
6,000 |
5,209 |
Union
Electric Co. 2.95%, 6/15/2027 |
24,000 |
22,775 |
Xcel
Energy, Inc. 1.75%, 3/15/2027 |
13,000 |
11,637 |
|
|
302,800 |
Electronic
Equipment, Instruments & Components — 0.7% | ||
CDW
LLC 5.50%, 12/1/2024 |
14,000 |
14,321 |
TD
SYNNEX Corp. 1.25%, 8/9/2024 |
201,000 |
186,485 |
Vontier
Corp. 1.80%, 4/1/2026 |
67,000 |
58,610 |
|
|
259,416 |
Energy
Equipment & Services — 0.1% | ||
Schlumberger
Investment SA 3.65%,
12/1/2023 |
35,000 |
34,984 |
Entertainment
— 0.3% | ||
TWDC
Enterprises 18 Corp.
|
|
|
1.85%,
7/30/2026 |
74,000 |
68,148 |
2.95%,
6/15/2027 |
15,000 |
14,399 |
Walt
Disney Co. (The)
|
|
|
1.75%,
1/13/2026 |
10,000 |
9,314 |
3.70%,
3/23/2027 |
35,000 |
34,551 |
|
|
126,412 |
Equity
Real Estate Investment Trusts (REITs) — 0.7% | ||
American
Tower Corp.
|
|
|
2.95%,
1/15/2025 |
2,000 |
1,921 |
1.45%,
9/15/2026 |
32,000 |
28,123 |
AvalonBay
Communities, Inc.
|
|
|
4.20%,
12/15/2023 |
6,000 |
6,027 |
3.50%,
11/15/2024 |
10,000 |
9,869 |
3.45%,
6/1/2025 |
5,000 |
4,917 |
3.50%,
11/15/2025 |
2,000 |
1,953 |
Boston
Properties LP
|
|
|
3.13%,
9/1/2023 |
6,000 |
5,941 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Equity
Real Estate Investment Trusts (REITs) — continued | ||
3.65%,
2/1/2026 |
10,000 |
9,718 |
Brixmor
Operating Partnership LP 3.65%,
6/15/2024 |
2,000 |
1,954 |
Corporate
Office Properties LP 2.25%,
3/15/2026 |
32,000 |
28,630 |
Crown
Castle, Inc. 1.05%, 7/15/2026 |
15,000 |
13,150 |
ERP
Operating LP 2.85%, 11/1/2026 |
1,000 |
949 |
Essex
Portfolio LP 3.50%, 4/1/2025 |
8,000 |
7,839 |
Healthpeak
Properties, Inc. 1.35%,
2/1/2027 |
10,000 |
8,777 |
Mid-America
Apartments LP 1.10%,
9/15/2026 |
16,000 |
13,997 |
Office
Properties Income Trust 4.50%,
2/1/2025 |
46,000 |
43,136 |
Prologis
LP 2.13%, 4/15/2027 |
4,000 |
3,685 |
Realty
Income Corp. 3.88%, 4/15/2025 |
20,000 |
19,830 |
Simon
Property Group LP 3.50%, 9/1/2025 |
48,000 |
47,352 |
Ventas
Realty LP 3.25%, 10/15/2026 |
9,000 |
8,496 |
Welltower,
Inc.
|
|
|
4.00%,
6/1/2025 |
12,000 |
11,858 |
2.70%,
2/15/2027 |
2,000 |
1,856 |
|
|
279,978 |
Food
& Staples Retailing — 0.1% | ||
Costco
Wholesale Corp. 1.38%, 6/20/2027 |
3,000 |
2,694 |
Kroger
Co. (The)
|
|
|
3.50%,
2/1/2026 |
2,000 |
1,954 |
2.65%,
10/15/2026 |
5,000 |
4,722 |
Walmart,
Inc. 1.05%, 9/17/2026 |
29,000 |
26,274 |
|
|
35,644 |
Food
Products — 0.1% | ||
Bunge
Ltd. Finance Corp. 1.63%, 8/17/2025 |
17,000 |
15,781 |
Kellogg
Co. 3.25%, 4/1/2026 |
8,000 |
7,763 |
McCormick
& Co., Inc. 3.40%, 8/15/2027 |
10,000 |
9,605 |
Tyson
Foods, Inc. 3.90%, 9/28/2023 |
9,000 |
8,996 |
|
|
42,145 |
Gas
Utilities — 0.1% | ||
Atmos
Energy Corp. 3.00%, 6/15/2027 |
10,000 |
9,550 |
National
Fuel Gas Co. 5.50%, 1/15/2026 |
17,000 |
17,168 |
Southern
California Gas Co. Series TT, 2.60%,
6/15/2026 |
13,000 |
12,280 |
|
|
38,998 |
Health
Care Equipment & Supplies — 0.0% ^ | ||
Baxter
International, Inc. 1.92%, 2/1/2027 |
2,000 |
1,798 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
37
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Health
Care Equipment & Supplies — continued | ||
Stryker
Corp. 0.60%, 12/1/2023 |
4,000 |
3,842 |
Zimmer
Biomet Holdings, Inc. 3.05%,
1/15/2026 |
11,000 |
10,527 |
|
|
16,167 |
Health
Care Providers & Services — 1.1% | ||
AmerisourceBergen
Corp. 0.74%, 3/15/2023 |
62,000 |
60,915 |
Cigna
Corp.
|
|
|
0.61%,
3/15/2024 |
97,000 |
92,298 |
1.25%,
3/15/2026 |
50,000 |
45,013 |
CommonSpirit
Health 2.76%, 10/1/2024 |
5,000 |
4,844 |
CVS
Health Corp.
|
|
|
3.88%,
7/20/2025 |
25,000 |
24,822 |
1.30%,
8/21/2027 |
29,000 |
25,114 |
Elevance
Health, Inc.
|
|
|
3.50%,
8/15/2024 |
13,000 |
12,857 |
3.35%,
12/1/2024 |
14,000 |
13,770 |
1.50%,
3/15/2026 |
13,000 |
11,861 |
HCA,
Inc.
|
|
|
5.00%,
3/15/2024 |
50,000 |
50,275 |
5.25%,
4/15/2025 |
9,000 |
9,080 |
Humana,
Inc. 1.35%, 2/3/2027 |
78,000 |
68,157 |
UnitedHealth
Group, Inc.
|
|
|
1.25%,
1/15/2026 |
10,000 |
9,165 |
1.15%,
5/15/2026 |
2,000 |
1,816 |
3.38%,
4/15/2027 |
3,000 |
2,933 |
|
|
432,920 |
Hotels,
Restaurants & Leisure — 0.5% | ||
McDonald's
Corp. 3.25%, 6/10/2024 |
5,000 |
4,958 |
Sands
China Ltd. (Macau) 5.63%, 8/8/2025
(c) |
200,000 |
182,847 |
|
|
187,805 |
Household
Durables — 0.0% ^ | ||
DR
Horton, Inc. 2.50%, 10/15/2024 |
13,000 |
12,485 |
Household
Products — 0.3% | ||
Kimberly-Clark
Corp. 3.05%, 8/15/2025 |
16,000 |
15,681 |
Procter
& Gamble Co. (The)
|
|
|
1.00%,
4/23/2026 |
5,000 |
4,579 |
1.90%,
2/1/2027 |
26,000 |
24,331 |
2.80%,
3/25/2027 |
53,000 |
50,989 |
|
|
95,580 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Industrial
Conglomerates — 0.3% | ||
Honeywell
International, Inc.
|
|
|
2.30%,
8/15/2024 |
15,000 |
14,633 |
1.10%,
3/1/2027 |
100,000 |
89,227 |
|
|
103,860 |
Insurance
— 0.3% | ||
Aflac,
Inc. 1.13%, 3/15/2026 |
30,000 |
27,130 |
Allied
World Assurance Co. Holdings
Ltd. 4.35%,
10/29/2025 |
9,000 |
8,753 |
Kemper
Corp. 4.35%, 2/15/2025 |
6,000 |
5,949 |
Manulife
Financial Corp. (Canada) 2.48%,
5/19/2027 |
10,000 |
9,186 |
Old
Republic International Corp. 3.88%,
8/26/2026 |
39,000 |
37,650 |
Prudential
Financial, Inc.
|
|
|
1.50%,
3/10/2026 |
18,000 |
16,492 |
(ICE
LIBOR USD 3 Month + 3.03%), 5.38%,
5/15/2045 (a) |
2,000 |
1,966 |
|
|
107,126 |
Interactive
Media & Services — 0.0% ^ | ||
Alphabet,
Inc. 0.80%, 8/15/2027 |
15,000 |
13,108 |
Internet
& Direct Marketing Retail — 0.2% | ||
Amazon.com,
Inc.
|
|
|
2.80%,
8/22/2024 |
7,000 |
6,913 |
0.80%,
6/03/2025 |
25,000 |
23,123 |
1.00%,
5/12/2026 |
37,000 |
33,515 |
eBay,
Inc. 1.90%, 3/11/2025 |
2,000 |
1,888 |
|
|
65,439 |
IT
Services — 0.4% | ||
Kyndryl
Holdings, Inc. 2.05%, 10/15/2026
(b) |
7,000 |
5,801 |
Mastercard,
Inc. 3.38%, 4/1/2024 |
7,000 |
6,977 |
PayPal
Holdings, Inc. 2.40%, 10/1/2024 |
16,000 |
15,574 |
Visa,
Inc. 1.90%, 4/15/2027 |
35,000 |
32,306 |
Western
Union Co. (The) 1.35%, 3/15/2026 |
100,000 |
88,551 |
|
|
149,209 |
Leisure
Products — 0.0% ^ | ||
Hasbro,
Inc.
|
|
|
3.00%,
11/19/2024 |
5,000 |
4,867 |
3.55%,
11/19/2026 |
3,000 |
2,857 |
|
|
7,724 |
38
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Machinery
— 0.1% | ||
CNH
Industrial Capital LLC 1.45%,
7/15/2026 |
3,000 |
2,662 |
Cummins,
Inc. 0.75%, 9/1/2025 |
26,000 |
23,834 |
|
|
26,496 |
Media
— 0.5% | ||
Charter
Communications
Operating
LLC 4.91%, 7/23/2025 |
10,000 |
9,977 |
Comcast
Corp.
|
|
|
3.38%,
8/15/2025 |
20,000 |
19,670 |
3.95%,
10/15/2025 |
67,000 |
66,881 |
2.35%,
1/15/2027 |
8,000 |
7,448 |
Fox
Corp. 3.05%, 4/7/2025 |
14,000 |
13,536 |
Omnicom
Group, Inc. 3.65%, 11/1/2024 |
9,000 |
8,905 |
Paramount
Global 4.00%, 1/15/2026 |
16,000 |
15,738 |
TCI
Communications, Inc. 7.88%, 2/15/2026 |
1,000 |
1,117 |
WPP
Finance 2010 (United Kingdom) 3.75%,
9/19/2024 |
41,000 |
40,361 |
|
|
183,633 |
Metals
& Mining — 0.0% ^ | ||
ArcelorMittal
SA (Luxembourg) 4.55%,
3/11/2026 |
2,000 |
1,963 |
BHP
Billiton Finance USA Ltd. (Australia) |
|
|
3.85%,
9/30/2023 |
3,000 |
3,002 |
6.42%,
3/1/2026 |
1,000 |
1,069 |
|
|
6,034 |
Multiline
Retail — 0.0% ^ | ||
Target
Corp. 2.25%, 4/15/2025 |
15,000 |
14,411 |
Multi-Utilities
— 0.3% | ||
Ameren
Corp. 3.65%, 2/15/2026 |
52,000 |
50,604 |
Delmarva
Power & Light Co. 3.50%,
11/15/2023 |
10,000 |
9,977 |
Dominion
Energy, Inc.
|
|
|
3.07%,
8/15/2024 (c) |
24,000 |
23,291 |
(ICE
LIBOR USD 3 Month + 3.06%), 5.75%,
10/1/2054 (a) |
12,000 |
11,484 |
DTE
Energy Co. 2.85%, 10/1/2026 |
3,000 |
2,818 |
NiSource,
Inc. 0.95%, 8/15/2025 |
10,000 |
9,098 |
Sempra
Energy (US Treasury Yield Curve Rate
T
Note Constant Maturity 5 Year + 2.87%),
4.12%,
4/1/2052 (a) |
13,000 |
10,999 |
|
|
118,271 |
Oil,
Gas & Consumable Fuels — 1.3% | ||
BP
Capital Markets America, Inc. 3.41%,
2/11/2026 |
11,000 |
10,796 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Oil,
Gas & Consumable Fuels — continued | ||
Canadian
Natural Resources Ltd. (Canada) |
|
|
3.90%,
2/1/2025 |
12,000 |
11,819 |
2.05%,
7/15/2025 |
3,000 |
2,799 |
Cheniere
Corpus Christi Holdings LLC 5.88%,
3/31/2025 |
10,000 |
10,202 |
Chevron
Corp. 2.00%, 5/11/2027 |
13,000 |
12,140 |
Chevron
USA, Inc.
|
|
|
0.69%,
8/12/2025 |
3,000 |
2,741 |
1.02%,
8/12/2027 |
17,000 |
14,825 |
ConocoPhillips
Co. 3.35%, 11/15/2024 |
2,000 |
1,982 |
Energy
Transfer LP
|
|
|
4.25%,
4/1/2024 |
9,000 |
8,938 |
2.90%,
5/15/2025 |
13,000 |
12,328 |
4.75%,
1/15/2026 |
7,000 |
6,948 |
Enterprise
Products Operating LLC 3.75%,
2/15/2025 |
45,000 |
44,694 |
Exxon
Mobil Corp.
|
|
|
3.18%,
3/15/2024 |
80,000 |
79,607 |
3.04%,
3/1/2026 |
9,000 |
8,765 |
2.28%,
8/16/2026 |
43,000 |
40,613 |
Kinder
Morgan Energy Partners LP 4.15%,
2/1/2024 |
18,000 |
18,004 |
Kinder
Morgan, Inc. 1.75%, 11/15/2026 |
6,000 |
5,364 |
Marathon
Petroleum Corp. 4.70%, 5/1/2025 |
6,000 |
6,039 |
MPLX
LP 4.88%, 12/1/2024 |
23,000 |
23,160 |
ONEOK,
Inc. 2.20%, 9/15/2025 |
8,000 |
7,467 |
Ovintiv
Exploration, Inc. 5.38%, 1/1/2026 |
5,000 |
5,077 |
Petroleos
Mexicanos (Mexico) 6.84%,
1/23/2030
(d) |
1 |
1 |
Pioneer
Natural Resources Co. 1.13%,
1/15/2026 |
15,000 |
13,404 |
Sabine
Pass Liquefaction LLC 5.63%,
3/1/2025 |
23,000 |
23,435 |
Spectra
Energy Partners LP 4.75%,
3/15/2024 |
4,000 |
4,021 |
TC
PipeLines LP 4.38%, 3/13/2025 |
20,000 |
19,947 |
TransCanada
PipeLines Ltd. (Canada) 3.75%,
10/16/2023 |
46,000 |
45,844 |
Williams
Cos., Inc. (The)
|
|
|
4.50%,
11/15/2023 |
34,000 |
34,102 |
3.90%,
1/15/2025 |
3,000 |
2,962 |
|
|
478,024 |
Paper
& Forest Products — 0.1% | ||
Fibria
Overseas Finance Ltd. (Brazil) |
|
|
4.00%,
1/14/2025 |
6,000 |
5,951 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
39
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Paper
& Forest Products — continued | ||
5.50%,
1/17/2027 |
6,000 |
6,062 |
Georgia-Pacific
LLC 8.00%, 1/15/2024 |
16,000 |
16,831 |
|
|
28,844 |
Personal
Products — 0.0% ^ | ||
Estee
Lauder Cos., Inc. (The) 2.00%,
12/1/2024 |
15,000 |
14,552 |
Pharmaceuticals
— 0.6% | ||
Bristol-Myers
Squibb Co.
|
|
|
3.25%,
11/1/2023 |
15,000 |
14,951 |
2.90%,
7/26/2024 |
9,000 |
8,871 |
Eli
Lilly & Co. 2.75%, 6/1/2025 |
15,000 |
14,700 |
GlaxoSmithKline
Capital, Inc. (United
Kingdom)
3.63%, 5/15/2025 |
2,000 |
1,990 |
Johnson
& Johnson
|
|
|
3.38%,
12/5/2023 |
9,000 |
8,985 |
0.55%,
9/1/2025 |
85,000 |
77,851 |
Merck
& Co., Inc.
|
|
|
2.75%,
2/10/2025 |
27,000 |
26,412 |
1.70%,
6/10/2027 |
41,000 |
37,245 |
Mylan,
Inc. 4.20%, 11/29/2023 |
13,000 |
12,990 |
Novartis
Capital Corp. (Switzerland) 1.75%,
2/14/2025 |
2,000 |
1,916 |
Pfizer,
Inc.
|
|
|
3.20%,
9/15/2023 |
7,000 |
6,970 |
3.40%,
5/15/2024 |
15,000 |
14,945 |
2.75%,
6/3/2026 |
5,000 |
4,848 |
|
|
232,674 |
Road
& Rail — 0.3% | ||
Burlington
Northern Santa Fe LLC
|
|
|
3.75%,
4/1/2024 |
14,000 |
13,990 |
3.00%,
4/1/2025 |
22,000 |
21,606 |
3.65%,
9/1/2025 |
8,000 |
7,956 |
3.25%,
6/15/2027 |
11,000 |
10,739 |
Canadian
Pacific Railway Co. (Canada) 1.75%,
12/2/2026 |
3,000 |
2,720 |
JB
Hunt Transport Services, Inc. 3.88%,
3/1/2026 |
5,000 |
4,909 |
Ryder
System, Inc. 4.63%, 6/1/2025 |
8,000 |
7,991 |
Union
Pacific Corp. 3.25%, 1/15/2025 |
24,000 |
23,696 |
|
|
93,607 |
Semiconductors
& Semiconductor Equipment — 0.6% | ||
Broadcom,
Inc. 3.63%, 10/15/2024 |
10,000 |
9,889 |
Intel
Corp. 3.40%, 3/25/2025 |
2,000 |
1,976 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Semiconductors
& Semiconductor Equipment — continued | ||
Texas
Instruments, Inc.
|
|
|
1.38%,
3/12/2025 |
6,000 |
5,657 |
1.13%,
9/15/2026 |
12,000 |
10,889 |
TSMC
Arizona Corp. (Taiwan) 1.75%,
10/25/2026 |
200,000 |
180,699 |
|
|
209,110 |
Software
— 0.3% | ||
Adobe,
Inc. 1.90%, 2/1/2025 |
7,000 |
6,710 |
Intuit,
Inc. 1.35%, 7/15/2027 |
10,000 |
8,787 |
Microsoft
Corp. 2.70%, 2/12/2025 |
15,000 |
14,748 |
Oracle
Corp.
|
|
|
2.40%,
9/15/2023 |
93,000 |
91,367 |
1.65%,
3/25/2026 |
6,000 |
5,412 |
|
|
127,024 |
Specialty
Retail — 0.1% | ||
Home
Depot, Inc. (The)
|
|
|
3.35%,
9/15/2025 |
5,000 |
4,949 |
2.50%,
4/15/2027 |
8,000 |
7,552 |
Lowe's
Cos., Inc.
|
|
|
3.13%,
9/15/2024 |
30,000 |
29,528 |
3.38%,
9/15/2025 |
6,000 |
5,878 |
|
|
47,907 |
Technology
Hardware, Storage & Peripherals — 0.4% | ||
Apple,
Inc.
|
|
|
3.00%,
2/9/2024 |
32,000 |
31,741 |
3.45%,
5/6/2024 |
10,000 |
9,986 |
2.75%,
1/13/2025 |
10,000 |
9,806 |
2.50%,
2/9/2025 |
2,000 |
1,948 |
0.70%,
2/8/2026 |
36,000 |
32,528 |
Dell
International LLC
|
|
|
4.00%,
7/15/2024 |
15,000 |
14,944 |
5.85%,
7/15/2025 |
14,000 |
14,496 |
Hewlett
Packard Enterprise Co. 1.45%,
4/1/2024 |
12,000 |
11,527 |
HP,
Inc.
|
|
|
2.20%,
6/17/2025 |
38,000 |
35,848 |
1.45%,
6/17/2026 |
2,000 |
1,782 |
|
|
164,606 |
Textiles,
Apparel & Luxury Goods — 0.1% | ||
NIKE,
Inc. 2.40%, 3/27/2025 |
20,000 |
19,364 |
40
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Tobacco
— 0.1% | ||
BAT
Capital Corp. (United Kingdom) |
|
|
3.22%,
8/15/2024 |
18,000 |
17,583 |
2.79%,
9/6/2024 |
9,000 |
8,717 |
Philip
Morris International, Inc. 1.50%,
5/1/2025 |
3,000 |
2,813 |
Reynolds
American, Inc. (United Kingdom)
4.45%,
6/12/2025 |
5,000 |
4,955 |
|
|
34,068 |
Water
Utilities — 0.0% ^ | ||
American
Water Capital Corp. 3.40%,
3/1/2025 |
1,000 |
985
|
Wireless
Telecommunication Services — 0.0% ^ | ||
T-Mobile
USA, Inc. 1.50%, 2/15/2026 |
2,000 |
1,803 |
Vodafone
Group plc (United Kingdom) 4.13%,
5/30/2025 |
4,000 |
3,986 |
|
|
5,789 |
Total
Corporate Bonds
(Cost
$9,915,684) |
|
9,381,416 |
Mortgage-Backed
Securities — 8.0% | ||
FHLMC
Gold Pools, 15 Year
|
|
|
Pool
# J14776, 3.00%, 3/1/2026 |
6,186 |
6,099 |
Pool
# G18452, 2.50%, 12/1/2027 |
18,520 |
17,975 |
Pool
# G18511, 2.50%, 5/1/2029 |
1,783 |
1,710 |
Pool
# G18549, 2.50%, 4/1/2030 |
17,362 |
16,648 |
Pool
# G15520, 3.00%, 7/1/2030 |
8,514 |
8,319 |
Pool
# G18568, 2.50%, 9/1/2030 |
8,322 |
7,980 |
Pool
# J33012, 3.00%, 10/1/2030 |
21,087 |
20,641 |
Pool
# G18600, 2.50%, 5/1/2031 |
6,144 |
5,931 |
Pool
# G16028, 3.00%, 8/1/2031 |
4,978 |
4,873 |
Pool
# J35495, 2.50%, 10/1/2031 |
12,452 |
11,939 |
Pool
# G18626, 2.50%, 1/1/2032 |
28,000 |
26,846 |
Pool
# G18632, 3.00%, 2/1/2032 |
6,459 |
6,282 |
Pool
# J37147, 3.00%, 6/1/2032 |
7,614 |
7,401 |
Pool
# G16207, 3.50%, 7/1/2032 |
6,791 |
6,697 |
Pool
# G18715, 3.00%, 12/1/2033 |
4,384 |
4,265 |
FHLMC
UMBS, 15 Year
|
|
|
Pool
# ZS8617, 2.50%, 8/1/2031 |
13,571 |
13,000 |
Pool
# ZS7938, 2.50%, 1/1/2033 |
1,871 |
1,792 |
Pool
# ZS7988, 3.50%, 2/1/2033 |
9,667 |
9,518 |
Pool
# ZK9341, 3.00%, 3/1/2033 |
2,469 |
2,399 |
Pool
# ZT0716, 3.00%, 10/1/2033 |
2,377 |
2,310 |
Pool
# SB0194, 2.50%, 12/1/2033 |
5,108 |
4,893 |
Pool
# SB0109, 2.50%, 11/1/2034 |
22,977 |
21,866 |
Pool
# SB8021, 3.00%, 12/1/2034 |
4,274 |
4,151 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Pool
# SB0264, 2.50%, 2/1/2035 |
11,210 |
10,627 |
Pool
# QN2057, 3.00%, 5/1/2035 |
13,588 |
13,195 |
Pool
# SB0345, 2.00%, 6/1/2035 |
71,085 |
65,590 |
Pool
# SB0401, 2.00%, 7/1/2035 |
18,750 |
17,300 |
Pool
# SB0394, 2.50%, 7/1/2035 |
10,219 |
9,687 |
Pool
# SB8501, 2.00%, 8/1/2035 |
49,819 |
45,968 |
Pool
# SB0406, 2.50%, 8/1/2035 |
19,302 |
18,297 |
Pool
# SB8058, 2.50%, 8/1/2035 |
24,149 |
22,892 |
Pool
# RC1591, 1.50%, 10/1/2035 |
59,879 |
53,855 |
Pool
# QN4391, 1.50%, 11/1/2035 |
59,686 |
53,699 |
Pool
# QN4278, 2.00%, 11/1/2035 |
6,947 |
6,410 |
Pool
# QN4490, 1.50%, 12/1/2035 |
82,122 |
73,864 |
Pool
# SB0450, 2.00%, 12/1/2035 |
43,545 |
40,181 |
Pool
# QN4861, 1.50%, 1/1/2036 |
64,808 |
58,310 |
Pool
# SB8088, 1.50%, 2/1/2036 |
15,343 |
13,804 |
Pool
# SB8102, 1.50%, 5/1/2036 |
27,023 |
24,312 |
Pool
# RC2089, 2.00%, 7/1/2036 |
72,693 |
67,070 |
Pool
# SB8118, 1.50%, 9/1/2036 |
58,028 |
52,206 |
Pool
# SB8127, 1.50%, 11/1/2036 |
73,541 |
66,162 |
FNMA
UMBS, 15 Year
|
|
|
Pool
# AK3264, 3.00%, 2/1/2027 |
4,109 |
4,037 |
Pool
# AV4793, 3.50%, 5/1/2029 |
7,859 |
7,727 |
Pool
# AW3641, 3.00%, 6/1/2029 |
8,265 |
8,083 |
Pool
# AS4489, 2.50%, 3/1/2030 |
1,953 |
1,871 |
Pool
# AL6583, 3.00%, 3/1/2030 |
4,198 |
4,105 |
Pool
# AS4860, 2.50%, 5/1/2030 |
14,604 |
13,991 |
Pool
# AL9852, 3.00%, 9/1/2030 |
11,947 |
11,689 |
Pool
# AS7467, 2.50%, 7/1/2031 |
6,606 |
6,328 |
Pool
# AS7606, 2.50%, 7/1/2031 |
22,907 |
21,944 |
Pool
# AS7620, 2.50%, 7/1/2031 |
33,735 |
32,316 |
Pool
# AS7657, 2.50%, 8/1/2031 |
12,480 |
11,949 |
Pool
# FM6169, 3.50%, 5/1/2032 |
56,723 |
55,862 |
Pool
# 890822, 3.00%, 12/1/2032 |
38,412 |
37,328 |
Pool
# BM3276, 3.50%, 12/1/2032 |
8,597 |
8,465 |
Pool
# CA1089, 3.00%, 2/1/2033 |
7,340 |
7,133 |
Pool
# FM3937, 3.00%, 4/1/2033 |
7,893 |
7,721 |
Pool
# FM4036, 2.50%, 12/1/2033 |
8,889 |
8,516 |
Pool
# BN3975, 3.00%, 1/1/2034 |
885 |
860 |
Pool
# MA3631, 3.00%, 4/1/2034 |
7,822 |
7,596 |
Pool
# MA3709, 2.50%, 6/1/2034 |
4,914 |
4,677 |
Pool
# BJ5549, 3.00%, 8/1/2034 |
2,299 |
2,231 |
Pool
# FM2403, 3.50%, 9/1/2034 |
8,136 |
8,012 |
Pool
# FM5400, 2.50%, 10/1/2034 |
11,717 |
11,226 |
Pool
# BO4944, 2.50%, 11/1/2034 |
28,655 |
27,268 |
Pool
# MA3828, 3.00%, 11/1/2034 |
7,558 |
7,340 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
41
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Mortgage-Backed
Securities — continued | ||
Pool
# FM4671, 3.50%, 1/1/2035 |
2,460 |
2,422 |
Pool
# BP5762, 2.50%, 6/1/2035 |
36,277 |
34,389 |
Pool
# FM3654, 3.00%, 6/1/2035 |
22,918 |
22,256 |
Pool
# FM3936, 2.50%, 8/1/2035 |
5,281 |
5,059 |
Pool
# MA4154, 1.50%, 10/1/2035 |
39,134 |
35,197 |
Pool
# CA7497, 2.50%, 10/1/2035 |
9,710 |
9,204 |
Pool
# FM4850, 2.00%, 11/1/2035 |
34,267 |
31,618 |
Pool
# FM5396, 2.00%, 12/1/2035 |
52,119 |
48,105 |
Pool
# CA8788, 2.00%, 1/1/2036 |
68,810 |
63,487 |
Pool
# FM6510, 2.00%, 3/1/2036 |
34,647 |
31,978 |
Pool
# FM6512, 2.00%, 3/1/2036 |
37,145 |
34,271 |
Pool
# MA4298, 2.50%, 3/1/2036 |
20,051 |
19,057 |
Pool
# CB0302, 1.50%, 5/1/2036 |
54,588 |
49,113 |
Pool
# FM7113, 2.00%, 5/1/2036 |
42,256 |
38,988 |
Pool
# MA4329, 2.00%, 5/1/2036 |
65,678 |
60,597 |
Pool
# BP3507, 2.00%, 6/1/2036 |
64,774 |
59,764 |
Pool
# CB0747, 2.50%, 6/1/2036 |
10,575 |
10,043 |
Pool
# MA4361, 2.50%, 6/1/2036 |
14,340 |
13,576 |
Pool
# MA4383, 2.00%, 7/1/2036 |
191,029 |
176,250 |
Pool
# MA4384, 2.50%, 7/1/2036 |
14,805 |
14,018 |
Pool
# FM9020, 2.00%, 9/1/2036 |
26,134 |
24,119 |
Pool
# FM9367, 1.50%, 11/1/2036 |
50,531 |
45,445 |
Pool
# MA4470, 2.00%, 11/1/2036 |
36,424 |
33,605 |
Pool
# MA4497, 2.00%, 12/1/2036 |
35,033 |
32,321 |
FNMA/FHLMC
UMBS, Single Family, 15 Year
|
|
|
TBA,
1.50%, 9/25/2037 (e) |
226,000 |
203,073 |
TBA,
2.00%, 9/25/2037 (e) |
330,000 |
304,219 |
TBA,
2.50%, 9/25/2037 (e) |
180,000 |
170,269 |
TBA,
3.00%, 9/25/2037 (e) |
175,000 |
169,497 |
TBA,
3.50%, 9/25/2037 (e) |
50,000 |
49,100 |
GNMA
II, 15 Year
|
|
|
Pool
# MA4559, 3.00%, 7/20/2032 |
5,973 |
5,786 |
Pool
# MA7107, 2.50%, 1/20/2036 |
21,065 |
19,865 |
Total
Mortgage-Backed Securities
(Cost
$3,310,107) |
|
3,061,930 |
Supranational
— 2.6% | ||
African
Development Bank (Supranational) |
|
|
0.88%,
3/23/2026 |
30,000 |
27,266 |
0.88%,
7/22/2026 |
3,000 |
2,705 |
Asian
Development Bank (Supranational) |
|
|
0.38%,
6/11/2024 |
194,000 |
183,489 |
1.50%,
10/18/2024 |
12,000 |
11,503 |
2.00%,
1/22/2025 |
23,000 |
22,175 |
0.38%,
9/3/2025 |
120,000 |
109,073 |
1.00%,
4/14/2026 |
52,000 |
47,506 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
1.50%,
1/20/2027 |
58,000 |
53,347 |
Asian
Infrastructure Investment Bank (The)
(Supranational) |
|
|
2.25%,
5/16/2024 |
84,000 |
82,039 |
0.50%,
5/28/2025 |
55,000 |
50,357 |
European
Bank for Reconstruction &
Development
(Supranational) |
|
|
1.50%,
2/13/2025 |
5,000 |
4,756 |
0.50%,
11/25/2025 |
4,000 |
3,624 |
0.50%,
1/28/2026 |
8,000 |
7,208 |
European
Investment Bank (Supranational) |
|
|
1.63%,
3/14/2025 |
61,000 |
58,150 |
0.38%,
12/15/2025 |
11,000 |
9,916 |
0.38%,
3/26/2026 |
41,000 |
36,681 |
1.38%,
3/15/2027 |
37,000 |
33,795 |
Inter-American
Development Bank
(Supranational) |
|
|
0.50%,
9/23/2024 |
43,000 |
40,418 |
0.50%,
9/23/2024 |
1,000 |
940 |
0.63%,
7/15/2025 |
27,000 |
24,816 |
0.88%,
4/20/2026 |
73,000 |
66,354 |
1.50%,
1/13/2027 |
1,000 |
921 |
International
Bank for Reconstruction &
Development
(Supranational) |
|
|
2.50%,
11/25/2024 |
15,000 |
14,670 |
2.13%,
3/3/2025 |
5,000 |
4,829 |
0.63%,
4/22/2025 |
72,000 |
66,720 |
2.50%,
7/29/2025 |
34,000 |
32,967 |
International
Finance Corp. (Supranational)
0.38%,
7/16/2025 |
15,000 |
13,698 |
Total
Supranational
(Cost
$1,067,920) |
|
1,009,923 |
Commercial
Mortgage-Backed Securities — 2.2% | ||
Benchmark
Mortgage Trust |
|
|
Series
2018-B3, Class A3, 3.75%,
4/10/2051 |
25,000 |
24,420 |
Series
2019-B12, Class A2, 3.00%,
8/15/2052 |
6,536 |
6,329 |
CGMS
Commercial Mortgage Trust Series
2017-B1,
Class AAB, 3.24%, 8/15/2050 |
16,000 |
15,445 |
Citigroup
Commercial Mortgage Trust |
|
|
Series
2013-GC17, Class A4, 4.13%,
11/10/2046 |
20,000 |
19,889 |
Series
2016-C1, Class AAB, 3.00%,
5/10/2049 |
8,727 |
8,492 |
Series
2020-GC46, Class A2, 2.71%,
2/15/2053 |
20,000 |
19,036 |
42
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Commercial
Mortgage-Backed Securities — continued | ||
Commercial
Mortgage Trust |
|
|
Series
2014-CR16, Class A3, 3.78%,
4/10/2047 |
24,015 |
23,738 |
Series
2014-LC15, Class A4, 4.01%,
4/10/2047 |
20,000 |
19,828 |
Commercial
Mortgage Trust, Series
2013-CR12,
Class A4 Series 2013-CR12,
Class
A4, 4.05%, 10/10/2046 |
75,000 |
74,431 |
CSAIL
Commercial Mortgage Trust Series
2015-C3,
Class A4, 3.72%, 8/15/2048 |
20,000 |
19,497 |
FHLMC,
Multi-Family Structured Pass-Through
Certificates |
|
|
Series
K028, Class A2, 3.11%, 2/25/2023 |
46,810 |
46,634 |
Series
K046, Class A2, 3.21%, 3/25/2025 |
26,000 |
25,577 |
Series
K733, Class A2, 3.75%, 8/25/2025 |
30,000 |
29,824 |
Series
K063, Class A2, 3.43%,
1/25/2027 (f) |
100,000 |
98,417 |
FNMA
ACES |
|
|
Series
2017-M10, Class AV2, 2.64%,
7/25/2024 (f) |
12,004 |
11,790 |
Series
2017-M1, Class A2, 2.50%,
10/25/2026 (f) |
39,923 |
37,796 |
Series
2015-M10, Class A2, 3.09%,
4/25/2027 (f) |
43,480 |
42,240 |
GS
Mortgage Securities Trust |
|
|
Series
2014-GC18, Class A4, 4.07%,
1/10/2047 |
30,000 |
29,720 |
Series
2014-GC18, Class AS, 4.38%,
1/10/2047 |
17,000 |
16,618 |
JPMBB
Commercial Mortgage Securities Trust |
|
|
Series
2013-C17, Class ASB, 3.71%,
1/15/2047 |
5,696 |
5,658 |
Series
2014-C19, Class C, 4.81%,
4/15/2047 ‡
(f) |
10,000 |
9,741 |
Series
2014-C23, Class C, 4.63%,
9/15/2047 ‡
(f) |
20,000 |
18,906 |
JPMorgan
Chase Commercial Mortgage
Securities
Trust |
|
|
Series
2013-C10, Class AS, 3.37%,
12/15/2047 ‡ |
20,000 |
19,827 |
Series
2015-JP1, Class D, 4.38%,
1/15/2049 ‡
(f) |
10,000 |
8,529 |
Morgan
Stanley Bank of America Merrill Lynch
Trust |
|
|
Series
2014-C19, Class A3, 3.25%,
12/15/2047 |
5,552 |
5,424 |
Series
2015-C25, Class ASB, 3.38%,
10/15/2048 |
21,377 |
20,945 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Series
2016-C31, Class A5, 3.10%,
11/15/2049 |
32,000 |
30,243 |
UBS
Commercial Mortgage Trust Series
2018-C13,
Class A2, 4.21%, 10/15/2051 |
5,670 |
5,629 |
UBS-Barclays
Commercial Mortgage Trust
Series
2013-C6, Class A4, 3.24%,
4/10/2046 |
23,000 |
22,843 |
Wells
Fargo Commercial Mortgage Trust |
|
|
Series
2013-LC12, Class A4, 4.22%,
7/15/2046 (f) |
12,000 |
11,798 |
Series
2014-LC18, Class A5, 3.41%,
12/15/2047 |
15,000 |
14,601 |
Series
2015-C31, Class A4, 3.70%,
11/15/2048 |
24,000 |
23,369 |
Series
2019-C54, Class A2, 3.01%,
12/15/2052 |
35,000 |
33,715 |
WFRBS
Commercial Mortgage Trust |
|
|
Series
2012-C10, Class A3, 2.88%,
12/15/2045 |
8,965 |
8,934 |
Series
2012-C10, Class B, 3.74%,
12/15/2045 ‡ |
15,000 |
14,720 |
Series
2014-C20, Class A5, 4.00%,
5/15/2047 |
12,000 |
11,872 |
Total
Commercial Mortgage-Backed Securities
(Cost
$878,853) |
|
836,475 |
U.S.
Government Agency Securities — 2.0% | ||
FFCB
Funding Corp. |
|
|
0.13%,
11/23/2022 |
18,000 |
17,878 |
0.13%,
5/10/2023 |
105,000 |
102,538 |
2.51%,
4/1/2025 |
4,000 |
3,888 |
1.00%,
10/7/2026 |
46,000 |
41,063 |
0.79%,
6/21/2027 |
2,000 |
1,739 |
FHLB |
|
|
0.75%,
11/22/2023 |
85,000 |
81,964 |
2.75%,
12/13/2024 |
25,000 |
24,516 |
0.50%,
4/14/2025 |
85,000 |
78,588 |
0.75%,
2/24/2026 |
70,000 |
63,262 |
1.25%,
12/21/2026 |
60,000 |
54,789 |
0.90%,
2/26/2027 |
15,000 |
13,280 |
FHLMC |
|
|
0.38%,
5/5/2023 |
129,000 |
126,309 |
0.25%,
8/24/2023 |
8,000 |
7,742 |
FNMA |
|
|
0.25%,
11/27/2023 |
82,000 |
78,824 |
0.63%,
4/22/2025 |
5,000 |
4,631 |
0.88%,
12/18/2026 |
10,000 |
8,844 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
43
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
U.S.
Government Agency Securities — continued | ||
Israel
Government AID Bond (Israel) |
|
|
5.50%,
9/18/2023 |
45,000 |
45,860 |
5.50%,
4/26/2024 |
15,000 |
15,416
|
Total
U.S. Government Agency Securities
(Cost
$797,274) |
|
771,131 |
Foreign
Government Securities — 1.6% | ||
Canada
Government Bond 0.75%,
5/19/2026 |
130,000 |
117,437 |
Export
Development Canada |
|
|
2.63%,
2/21/2024 |
40,000 |
39,449 |
3.00%,
5/25/2027 |
15,000 |
14,664 |
Hungary
Government Bond 5.75%,
11/22/2023 |
1,000 |
1,015 |
Italian
Republic Government Bond 6.88%,
9/27/2023 |
39,000 |
39,812 |
Oriental
Republic of Uruguay, 4.50%,
8/14/2024 |
16,333 |
16,541
|
Province
of Alberta 1.00%, 5/20/2025 |
13,000 |
12,098 |
Province
of British Columbia |
|
|
2.25%,
6/2/2026 |
9,000 |
8,530 |
0.90%,
7/20/2026 |
44,000 |
39,613 |
Province
of Manitoba, 2.13%, 6/22/2026 |
3,000 |
2,819 |
Province
of Ontario |
|
|
3.20%,
5/16/2024 |
10,000 |
9,921 |
0.63%,
1/21/2026 |
82,000 |
73,800 |
1.05%,
4/14/2026 |
8,000 |
7,266 |
Province
of Quebec 1.50%, 2/11/2025 |
10,000 |
9,508 |
Republic
of Peru 2.39%, 1/23/2026 |
15,000 |
14,037 |
Republic
of Philippines, 10.63%, 3/16/2025 |
2,000 |
2,332 |
Republic
of Poland 4.00%, 1/22/2024 |
12,000 |
11,990 |
Svensk
Exportkredit AB 0.38%, 7/30/2024 |
200,000 |
187,980 |
Total
Foreign Government Securities
(Cost
$642,667) |
|
608,812 |
Asset-Backed
Securities — 0.8% | ||
American
Express Credit Account Master Trust
Series
2017-7, Class A, 2.35%,
5/15/2025 |
30,000 |
29,968 |
AmeriCredit
Automobile Receivables Trust
Series
2020-3, Class B, 0.76%,
12/18/2025 |
30,000 |
28,948 |
Capital
One Multi-Asset Execution Trust Series
2022-A2,
Class A, 3.49%, 5/15/2027 |
30,000 |
29,694 |
CarMax
Auto Owner Trust Series 2021-1,
Class
A3, 0.34%, 12/15/2025 |
23,448 |
22,836 |
Citibank
Credit Card Issuance Trust Series
2018-A3,
Class A3, 3.29%, 5/23/2025 |
33,000 |
32,878 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Drive
Auto Receivables Trust Series 2021-2,
Class
B, 0.58%, 12/15/2025 |
40,000 |
39,353 |
Exeter
Automobile Receivables Trust Series
2021-3A,
Class C, 0.96%, 10/15/2026 |
40,000 |
38,168 |
Ford
Credit Floorplan Master Owner Trust A |
|
|
Series
2018-2, Class A, 3.17%,
3/15/2025 |
15,000 |
14,944 |
Series
2019-2, Class A, 3.06%,
4/15/2026 |
8,000 |
7,859 |
GM
Financial Consumer Automobile
Receivables
Trust Series 2020-2, Class A4,
1.74%,
8/18/2025 |
22,000 |
21,421 |
Verizon
Owner Trust Series 2020-A,
Class
A1A, 1.85%, 7/22/2024 |
8,071 |
8,034 |
World
Omni Auto Receivables Trust Series
2021-C,
Class A3, 0.44%, 8/17/2026 |
30,000 |
28,770 |
Total
Asset-Backed Securities
(Cost
$308,609) |
|
302,873 |
Municipal
Bonds — 0.1% (g) | ||
California
— 0.0% ^ | ||
University
of California, Taxable Series
2020BG,
Rev., 0.88%, 5/15/2025 |
5,000 |
4,618 |
University
of California, Taxable Fixed Rate
Notes
Series 2017AX, Rev., 3.06%,
7/1/2025 |
5,000 |
4,911 |
Total
California |
|
9,529 |
Florida
— 0.1% | ||
State
Board of Administration Finance Corp.
Series
2020A, Rev., 1.71%, 7/1/2027 |
50,000 |
44,717 |
New
Jersey — 0.0% ^ | ||
New
Jersey Economic Development Authority
Series
1997B, Rev., AGM, Zero Coupon,
2/15/2023 |
1,000 |
982 |
Total
Municipal Bonds
(Cost
$57,402) |
|
55,228 |
44
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
SHARES |
VALUE($) |
Short-Term
Investments — 2.9% | ||
Investment
Companies — 2.9% | ||
JPMorgan
U.S. Government Money Market
Fund
Class IM Shares, 2.00% (h)
(i)
(Cost
$1,095,512) |
1,095,512 |
1,095,512 |
Total
Investments — 101.9%
(Cost
$40,925,627) |
|
38,931,190 |
Liabilities
in Excess of Other Assets —
(1.9)% |
|
(738,495) |
NET
ASSETS — 100.0% |
|
38,192,695 |
Percentages
indicated are based on net
assets. |
Abbreviations |
|
ACES |
Alternative
Credit Enhancement Securities |
AGM |
Insured
by Assured Guaranty Municipal Corp. |
CME |
Chicago
Mercantile Exchange |
FFCB |
Federal
Farm Credit Bank |
FHLB |
Federal
Home Loan Bank |
FHLMC |
Federal
Home Loan Mortgage Corp. |
FNMA |
Federal
National Mortgage Association |
GNMA |
Government
National Mortgage Association |
ICE |
Intercontinental
Exchange |
LIBOR |
London
Interbank Offered Rate |
Rev. |
Revenue |
SOFR |
Secured
Overnight Financing Rate |
TBA |
To
Be Announced; Security is subject to delayed
delivery. |
UMBS |
Uniform
Mortgage-Backed Securities |
USD |
United
States Dollar |
^ |
Amount
rounds to less than 0.1% of net
assets. |
‡ |
Value
determined using significant unobservable
inputs. |
|
(a) |
Variable
or floating rate security, linked to the
referenced
benchmark. The interest rate shown is the
current
rate as of August 31, 2022. |
|
(b) |
Securities
exempt from registration under Rule 144A
or
section 4(a)(2), of the Securities Act of 1933, as
amended. |
|
(c) |
Step
bond. Interest rate is a fixed rate for an initial
period
that either resets at a specific date or may
reset
in the future contingent upon a predetermined
trigger.
The interest rate shown is the current rate as
of
August 31, 2022.
|
|
(d) |
Security
exempt from registration pursuant to
Regulation
S under the Securities Act of 1933, as
amended.
Regulation S applies to securities offerings
that
are made outside of the United States and do not
involve
direct selling efforts in the United States and
as
such may have restrictions on resale. |
|
(e) |
All
or a portion of the security is a when-issued
security,
delayed delivery security, or forward
commitment. |
|
(f) |
Variable
or floating rate security, the interest rate of
which
adjusts periodically based on changes in current
interest
rates and prepayments on the underlying
pool
of assets. The interest rate shown is the current
rate
as of August 31, 2022.
|
|
(g) |
The
date shown represents the earliest of the
prerefunded
date, next put date or final maturity date. |
|
(h) |
Investment
in an affiliated fund, which is registered
under
the Investment Company Act of 1940, as
amended,
and is advised by J.P. Morgan Investment
Management
Inc. |
|
(i) |
The
rate shown is the current yield as of August 31,
2022. |
|
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
45
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — 29.7% | ||
Aerospace
& Defense — 0.6% | ||
Boeing
Co. (The)
|
|
|
1.17%,
2/4/2023 |
20,000 |
19,790 |
1.95%,
2/1/2024 |
18,000 |
17,416 |
1.43%,
2/4/2024 |
35,000 |
33,553 |
2.75%,
2/1/2026 |
14,000 |
13,098 |
2.20%,
2/4/2026 |
95,000 |
86,932 |
3.10%,
5/1/2026 |
35,000 |
33,046 |
2.70%,
2/1/2027 |
65,000 |
58,905 |
5.93%,
5/1/2060 |
40,000 |
38,199 |
Bombardier,
Inc. (Canada) 6.00%,
2/15/2028
(a) |
85,000 |
75,145 |
BWX
Technologies, Inc. 4.13%, 4/15/2029
(a) |
130,000 |
116,025 |
Howmet
Aerospace, Inc.
|
|
|
5.13%,
10/1/2024 |
142,000 |
141,135 |
5.95%,
2/1/2037 |
14,000 |
13,576 |
Lockheed
Martin Corp. 4.50%, 5/15/2036 |
125,000 |
124,090 |
Precision
Castparts Corp. 4.38%,
6/15/2045 |
54,000 |
49,784 |
Raytheon
Technologies Corp.
|
|
|
4.13%,
11/16/2028 |
735,000 |
719,756 |
2.38%,
3/15/2032 |
95,000 |
79,775 |
3.13%,
7/1/2050 |
125,000 |
93,061 |
3.03%,
3/15/2052 |
350,000 |
254,776 |
Spirit
AeroSystems, Inc. 7.50%,
4/15/2025
(a) |
105,000 |
102,681 |
TransDigm,
Inc. 6.25%, 3/15/2026 (a) |
190,000 |
186,675 |
Triumph
Group, Inc.
|
|
|
6.25%,
9/15/2024 (a) |
10,000 |
9,200 |
7.75%,
8/15/2025 |
16,000 |
13,475 |
Wesco
Aircraft Holdings, Inc. 9.00%,
11/15/2026
(a) |
20,000 |
12,000 |
|
|
2,292,093 |
Airlines
— 0.2% | ||
American
Airlines, Inc.
|
|
|
5.50%,
4/20/2026 (a) |
240,000 |
228,307 |
5.75%,
4/20/2029 (a) |
215,000 |
194,089 |
Continental
Airlines Pass-Through
Trust Series
2012-2, Class A Shares,
4.00%,
10/29/2024 |
29,390 |
27,964 |
Delta
Air Lines, Inc. 7.38%, 1/15/2026 |
105,000 |
107,100 |
Mileage
Plus Holdings LLC 6.50%,
6/20/2027
(a) |
190,000 |
190,475 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Airlines
— continued | ||
United
Airlines Holdings, Inc.
|
|
|
5.00%,
2/1/2024 |
20,000 |
19,442 |
4.88%,
1/15/2025 |
16,000 |
15,130 |
|
|
782,507 |
Auto
Components — 0.3% | ||
Adient
Global Holdings Ltd. 4.88%,
8/15/2026
(a) |
200,000 |
185,088 |
Allison
Transmission, Inc.
|
|
|
5.88%,
6/1/2029 (a) |
65,000 |
61,105 |
3.75%,
1/30/2031 (a) |
75,000 |
60,775 |
American
Axle & Manufacturing, Inc.
|
|
|
6.88%,
7/1/2028 |
120,000 |
113,951 |
5.00%,
10/1/2029 |
75,000 |
63,156 |
Aptiv
plc 5.40%, 3/15/2049 |
25,000 |
22,029 |
Clarios
Global LP 6.25%, 5/15/2026 (a) |
67,000 |
66,256 |
Cooper-Standard
Automotive, Inc.
|
|
|
13.00%,
6/1/2024 (a) |
5,000 |
5,227 |
5.63%,
11/15/2026 (a) |
30,000 |
14,646 |
Dana,
Inc.
|
|
|
5.38%,
11/15/2027 |
130,000 |
115,905 |
4.50%,
2/15/2032 |
40,000 |
31,934 |
Goodyear
Tire & Rubber Co. (The)
|
|
|
5.00%,
5/31/2026 |
19,000 |
18,334 |
5.00%,
7/15/2029 |
130,000 |
116,538 |
5.25%,
7/15/2031 |
225,000 |
193,914 |
Icahn
Enterprises LP
|
|
|
6.38%,
12/15/2025 |
22,000 |
21,468 |
5.25%,
5/15/2027 |
125,000 |
113,719 |
Lear
Corp. 2.60%, 1/15/2032 |
10,000 |
7,710 |
|
|
1,211,755 |
Automobiles
— 0.2% | ||
Ford
Motor Co. 9.63%, 4/22/2030 |
120,000 |
140,343 |
General
Motors Co.
|
|
|
6.13%,
10/1/2025 |
50,000 |
51,463 |
5.15%,
4/1/2038 |
35,000 |
30,766 |
5.95%,
4/1/2049 |
25,000 |
23,213 |
Hyundai
Capital America
|
|
|
0.80%,
1/8/2024 (a) |
70,000 |
66,511 |
1.50%,
6/15/2026 (a) |
40,000 |
35,003 |
3.00%,
2/10/2027 (a) |
200,000 |
182,619 |
Nissan
Motor Co. Ltd. (Japan) 4.35%,
9/17/2027
(a) |
200,000 |
185,170 |
|
|
715,088 |
46
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Banks
— 5.5% | ||
ABN
AMRO Bank NV (Netherlands) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.10%),
2.47%, 12/13/2029 (a)
(b) |
200,000 |
167,178 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
1.90%),
3.32%, 3/13/2037 (a)
(b) |
200,000 |
155,502 |
AIB
Group plc (Ireland) 4.75%,
10/12/2023
(a) |
200,000 |
198,336 |
ASB
Bank Ltd. (New Zealand) 2.38%,
10/22/2031
(a) |
200,000 |
164,266 |
Banco
Bilbao Vizcaya Argentaria SA (Spain)
0.88%,
9/18/2023 |
200,000 |
193,134 |
Banco
Santander SA (Spain) |
|
|
5.29%,
8/18/2027 |
400,000 |
391,478 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.60%),
3.22%, 11/22/2032 (b) |
200,000 |
152,885 |
Bank
of America Corp.
|
|
|
(SOFR
+ 0.41%), 0.52%,
6/14/2024 (b) |
400,000 |
387,589 |
3.88%,
8/1/2025 |
203,000 |
201,701 |
(SOFR
+ 1.01%), 1.20%,
10/24/2026 (b) |
500,000 |
447,032 |
(ICE
LIBOR USD 3 Month + 1.06%),
3.56%,
4/23/2027 (b) |
40,000 |
38,184 |
(ICE
LIBOR USD 3 Month + 1.58%),
3.82%,
1/20/2028 (b) |
236,000 |
225,907 |
(ICE
LIBOR USD 3 Month + 1.51%),
3.71%,
4/24/2028 (b) |
475,000 |
451,207 |
(ICE
LIBOR USD 3 Month + 1.37%),
3.59%,
7/21/2028 (b) |
261,000 |
245,689 |
(SOFR
+ 2.04%), 4.95%,
7/22/2028 (b) |
390,000 |
389,644 |
(ICE
LIBOR USD 3 Month + 1.04%),
3.42%,
12/20/2028 (b) |
454,000 |
420,522 |
(SOFR
+ 1.06%), 2.09%,
6/14/2029 (b) |
135,000 |
114,773 |
(SOFR
+ 1.53%), 1.90%,
7/23/2031 (b) |
510,000 |
401,680 |
(SOFR
+ 1.37%), 1.92%,
10/24/2031 (b) |
50,000 |
39,555 |
Series
N, (SOFR + 1.22%), 2.65%,
3/11/2032 (b) |
480,000 |
397,960 |
(SOFR
+ 1.32%), 2.69%,
4/22/2032 (b) |
340,000 |
281,859 |
(SOFR
+ 1.22%), 2.30%,
7/21/2032 (b) |
550,000 |
439,038 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Banks
— continued | ||
(SOFR
+ 1.21%), 2.57%,
10/20/2032 (b) |
655,000 |
535,375 |
(SOFR
+ 2.16%), 5.02%,
7/22/2033 (b) |
225,000 |
222,900 |
(ICE
LIBOR USD 3 Month + 1.32%),
4.08%,
4/23/2040 (b) |
112,000 |
97,712 |
(SOFR
+ 1.93%), 2.68%,
6/19/2041 (b) |
150,000 |
107,405 |
Bank
of Montreal (Canada) 1.50%,
1/10/2025 |
220,000 |
207,015 |
Bank
of New Zealand (New Zealand)
3.50%,
2/20/2024 (a) |
250,000 |
247,472 |
Bank
of Nova Scotia (The) (Canada) |
|
|
(ICE
LIBOR USD 3 Month + 2.65%),
4.65%,
10/12/2022 (b)
(c) (d) |
50,000 |
44,250 |
2.20%,
2/3/2025 |
12,000 |
11,439 |
3.45%,
4/11/2025 |
150,000 |
146,650 |
Banque
Federative du Credit Mutuel SA
(France) |
|
|
3.75%,
7/20/2023 (a) |
250,000 |
249,611 |
4.52%,
7/13/2025 (a) |
320,000 |
318,466 |
Barclays
plc (United Kingdom) |
|
|
5.20%,
5/12/2026 |
200,000 |
198,471 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.05%),
2.28%, 11/24/2027 (b) |
200,000 |
175,649 |
BNP
Paribas SA (France) (SOFR + 1.61%),
1.90%,
9/30/2028 (a)
(b) |
200,000 |
168,357 |
Canadian
Imperial Bank of Commerce
(Canada) |
|
|
3.10%,
4/2/2024 |
34,000 |
33,509 |
3.30%,
4/7/2025 |
105,000 |
102,285 |
Citigroup,
Inc.
|
|
|
(SOFR
+ 1.37%), 4.14%,
5/24/2025 (b) |
81,000 |
80,452 |
(SOFR
+ 0.69%), 2.01%,
1/25/2026 (b) |
444,000 |
417,188 |
(ICE
LIBOR USD 3 Month + 1.56%),
3.89%,
1/10/2028 (b) |
350,000 |
335,102 |
Series
VAR, (SOFR + 1.28%), 3.07%,
2/24/2028 (b) |
285,000 |
263,512 |
(SOFR
+ 1.89%), 4.66%,
5/24/2028 (b) |
60,000 |
59,157 |
(ICE
LIBOR USD 3 Month + 1.39%),
3.67%,
7/24/2028 (b) |
300,000 |
282,541 |
(ICE
LIBOR USD 3 Month + 1.19%),
4.07%,
4/23/2029 (b) |
345,000 |
328,152 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
47
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Banks
— continued | ||
(SOFR
+ 1.42%), 2.98%,
11/5/2030 (b) |
25,000 |
21,787 |
(SOFR
+ 3.91%), 4.41%,
3/31/2031 (b) |
155,000 |
147,909 |
(SOFR
+ 2.11%), 2.57%, 6/3/2031 (b) |
120,000 |
100,263 |
(SOFR
+ 1.17%), 2.56%, 5/1/2032 (b) |
260,000 |
212,652 |
(SOFR
+ 1.18%), 2.52%,
11/3/2032 (b) |
365,000 |
294,997 |
(SOFR
+ 1.38%), 2.90%,
11/3/2042 (b) |
55,000 |
40,200 |
Citizens
Financial Group, Inc. 2.50%,
2/6/2030 |
11,000 |
9,253 |
Cooperatieve
Rabobank UA (Netherlands)
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.22%),
3.65%,
4/6/2028 (a)
(b) |
360,000 |
338,431 |
Credit
Agricole SA (France) |
|
|
(SOFR
+ 1.68%), 1.91%,
6/16/2026 (a)
(b) |
250,000 |
229,443 |
(SOFR
+ 0.89%), 1.25%,
1/26/2027 (a)
(b) |
250,000 |
219,671 |
(USD
Swap Semi 5 Year + 1.64%),
4.00%,
1/10/2033 (a)
(b) |
250,000 |
225,515 |
Danske
Bank A/S (Denmark) (US Treasury
Yield
Curve Rate T Note Constant
Maturity
1 Year + 1.45%), 3.77%,
3/28/2025
(a)
(b) |
200,000 |
195,012 |
Fifth
Third Bancorp 3.65%, 1/25/2024 |
70,000 |
69,551 |
HSBC
Holdings plc (United Kingdom) |
|
|
(SOFR
+ 1.43%), 3.00%,
3/10/2026 (b) |
290,000 |
274,760 |
(SOFR
+ 1.29%), 1.59%,
5/24/2027 (b) |
200,000 |
174,208 |
(SOFR
+ 2.61%), 5.21%,
8/11/2028 (b) |
305,000 |
297,696 |
(SOFR
+ 1.73%), 2.01%,
9/22/2028 (b) |
450,000 |
380,456 |
(SOFR
+ 1.29%), 2.21%,
8/17/2029 (b) |
200,000 |
165,520 |
7.63%,
5/17/2032 |
143,000 |
162,779 |
(SOFR
+ 1.41%), 2.87%,
11/22/2032 (b) |
250,000 |
198,662 |
(SOFR
+ 2.87%), 5.40%,
8/11/2033 (b) |
200,000 |
190,295 |
6.10%,
1/14/2042 |
230,000 |
248,943 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Banks
— continued | ||
ING
Groep NV (Netherlands) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.10%),
1.40%, 7/1/2026 (a)
(b) |
200,000 |
180,796 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
2.86%),
3.88%, 5/16/2027 (b)
(c)
(d) |
200,000 |
148,026 |
Intesa
Sanpaolo SpA (Italy) (US Treasury
Yield
Curve Rate T Note Constant
Maturity
1 Year + 2.75%), 4.95%,
6/1/2042
(a)
(b) |
200,000 |
130,483 |
KeyCorp 2.25%,
4/6/2027 |
57,000 |
51,226 |
Lloyds
Banking Group plc (United Kingdom)
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 1.60%),
3.51%,
3/18/2026 (b) |
200,000 |
192,646 |
Mitsubishi
UFJ Financial Group, Inc. (Japan) |
|
|
3.76%,
7/26/2023 |
100,000 |
99,858 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
0.68%),
0.85%, 9/15/2024 (b) |
200,000 |
192,826 |
3.78%,
3/2/2025 |
269,000 |
266,023 |
Mizuho
Financial Group, Inc. (Japan) (US
Treasury
Yield Curve Rate T
Note
Constant Maturity 1 Year + 0.87%),
2.17%,
5/22/2032 (b) |
225,000 |
176,905 |
National
Australia Bank Ltd. (Australia)
3.38%,
1/14/2026 |
250,000 |
242,944 |
NatWest
Group plc (United Kingdom) (ICE
LIBOR
USD 3 Month + 1.91%), 5.08%,
1/27/2030
(b) |
200,000 |
194,327 |
NatWest
Markets plc (United Kingdom)
0.80%,
8/12/2024 (a) |
200,000 |
186,117 |
PNC
Financial Services Group, Inc.
(The) 2.55%,
1/22/2030 |
99,000 |
86,818 |
Royal
Bank of Canada (Canada) |
|
|
4.65%,
1/27/2026 |
45,000 |
45,340 |
4.24%,
8/3/2027 |
425,000 |
419,420 |
Santander
UK Group Holdings plc (United
Kingdom) |
|
|
(SOFR
+ 0.99%), 1.67%,
6/14/2027 (b) |
200,000 |
172,987 |
(ICE
LIBOR USD 3 Month + 1.40%),
3.82%,
11/3/2028 (b) |
200,000 |
182,343 |
Societe
Generale SA (France) |
|
|
4.25%,
4/14/2025 (a) |
200,000 |
195,833 |
4.75%,
11/24/2025 (a) |
200,000 |
195,397 |
48
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Banks
— continued | ||
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.10%),
1.49%, 12/14/2026 (a)
(b) |
200,000 |
174,293 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.00%),
1.79%, 6/9/2027 (a)
(b) |
200,000 |
173,105 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.30%),
2.80%, 1/19/2028 (a)
(b) |
200,000 |
176,220 |
Standard
Chartered plc (United Kingdom)
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year + 0.78%),
0.99%,
1/12/2025 (a)
(b) |
200,000 |
189,020 |
Sumitomo
Mitsui Financial Group,
Inc. (Japan)
3.75%, 7/19/2023 |
53,000 |
52,944 |
Sumitomo
Mitsui Trust Bank Ltd. (Japan)
1.05%,
9/12/2025 (a) |
60,000 |
54,117 |
Toronto-Dominion
Bank (The) (Canada) |
|
|
3.25%,
3/11/2024 |
33,000 |
32,606 |
2.65%,
6/12/2024 |
81,000 |
79,109 |
2.00%,
9/10/2031 |
235,000 |
190,145 |
Truist
Bank 4.05%, 11/3/2025 |
60,000 |
59,953 |
UniCredit
SpA (Italy) (US Treasury Yield
Curve
Rate T Note Constant Maturity 1
Year
+ 1.20%), 1.98%, 6/3/2027 (a)
(b) |
200,000 |
169,227 |
US
Bancorp 3.00%, 7/30/2029 |
97,000 |
87,514 |
Wells
Fargo & Co.
|
|
|
3.55%,
9/29/2025 |
77,000 |
75,672 |
(ICE
LIBOR USD 3 Month + 0.75%),
2.16%,
2/11/2026 (b) |
363,000 |
341,539 |
(SOFR
+ 1.32%), 3.91%,
4/25/2026 (b) |
90,000 |
88,183 |
3.00%,
10/23/2026 |
360,000 |
340,139 |
(SOFR
+ 1.51%), 3.53%,
3/24/2028 (b) |
325,000 |
307,020 |
(ICE
LIBOR USD 3 Month + 1.31%),
3.58%,
5/22/2028 (b) |
1,101,000 |
1,038,879 |
(SOFR
+ 1.98%), 4.81%,
7/25/2028 (b) |
320,000 |
317,651 |
(SOFR
+ 1.26%), 2.57%,
2/11/2031 (b) |
250,000 |
211,745 |
(SOFR
+ 2.10%), 4.90%,
7/25/2033 (b) |
180,000 |
177,113 |
4.90%,
11/17/2045 |
25,000 |
23,097 |
Westpac
Banking Corp. (Australia) |
|
|
2.85%,
5/13/2026 |
25,000 |
23,930 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Banks
— continued | ||
1.95%,
11/20/2028 |
30,000 |
26,103 |
(USD
ICE Swap Rate 5 Year + 2.24%),
4.32%,
11/23/2031 (b) |
275,000 |
261,740 |
|
|
22,767,171 |
Beverages
— 0.3% | ||
Anheuser-Busch
Cos. LLC (Belgium) |
|
|
4.70%,
2/1/2036 |
540,000 |
522,443 |
4.90%,
2/1/2046 |
65,000 |
61,708 |
Anheuser-Busch
InBev Worldwide, Inc.
(Belgium) |
|
|
4.38%,
4/15/2038 |
95,000 |
87,730 |
4.44%,
10/6/2048 |
40,000 |
35,557 |
4.60%,
6/1/2060 |
90,000 |
79,836 |
Coca-Cola
Co. (The) 2.60%, 6/1/2050 |
50,000 |
36,396 |
Coca-Cola
Femsa SAB de CV (Mexico)
2.75%,
1/22/2030 |
150,000 |
133,676 |
Constellation
Brands, Inc. 4.65%,
11/15/2028 |
95,000 |
94,233 |
Diageo
Capital plc (United Kingdom)
3.88%,
4/29/2043 |
30,000 |
26,496 |
Fomento
Economico Mexicano SAB de
CV (Mexico)
3.50%, 1/16/2050 |
150,000 |
116,717 |
Keurig
Dr Pepper, Inc. 3.40%,
11/15/2025 |
38,000 |
37,192 |
Keurig
Dr. Pepper, Inc. 4.05%, 4/15/2032 |
135,000 |
125,944 |
|
|
1,357,928 |
Biotechnology
— 0.5% | ||
AbbVie,
Inc.
|
|
|
2.95%,
11/21/2026 |
73,000 |
68,861 |
3.20%,
11/21/2029 |
271,000 |
247,522 |
4.05%,
11/21/2039 |
444,000 |
391,379 |
4.63%,
10/1/2042 |
75,000 |
68,853 |
Amgen,
Inc.
|
|
|
1.65%,
8/15/2028 |
15,000 |
12,938 |
3.35%,
2/22/2032 |
610,000 |
551,529 |
3.15%,
2/21/2040 |
27,000 |
21,340 |
Biogen,
Inc. 2.25%, 5/1/2030 |
65,000 |
53,097 |
Emergent
BioSolutions, Inc. 3.88%,
8/15/2028
(a) |
100,000 |
70,000 |
Gilead
Sciences, Inc.
|
|
|
2.95%,
3/1/2027 |
195,000 |
184,709 |
1.65%,
10/1/2030 |
118,000 |
95,891 |
2.60%,
10/1/2040 |
220,000 |
159,823 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
49
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Biotechnology
— continued | ||
Grifols
Escrow Issuer SA (Spain) 4.75%,
10/15/2028
(a) |
200,000 |
166,711 |
Regeneron
Pharmaceuticals, Inc. 1.75%,
9/15/2030 |
80,000 |
63,264 |
|
|
2,155,917 |
Building
Products — 0.2% | ||
Builders
FirstSource, Inc. 4.25%,
2/1/2032
(a) |
210,000 |
167,629 |
Griffon
Corp. 5.75%, 3/1/2028 |
140,000 |
129,500 |
James
Hardie International Finance
DAC 5.00%,
1/15/2028 (a) |
200,000 |
183,997 |
Masco
Corp. 1.50%, 2/15/2028 |
25,000 |
21,049 |
PGT
Innovations, Inc. 4.38%, 10/1/2029
(a) |
70,000 |
59,209 |
Standard
Industries, Inc.
|
|
|
5.00%,
2/15/2027 (a) |
20,000 |
18,291 |
4.75%,
1/15/2028 (a) |
260,000 |
227,276 |
Summit
Materials LLC 5.25%, 1/15/2029
(a) |
65,000 |
58,467 |
|
|
865,418 |
Capital
Markets — 2.3% | ||
Ameriprise
Financial, Inc. 4.00%,
10/15/2023 |
47,000 |
47,036 |
Bank
of New York Mellon Corp. (The)
|
|
|
2.10%,
10/24/2024 |
30,000 |
29,060 |
3.25%,
5/16/2027 |
160,000 |
154,666 |
Charles
Schwab Corp. (The)
|
|
|
0.90%,
3/11/2026 |
30,000 |
26,988 |
2.75%,
10/1/2029 |
46,000 |
41,395 |
Credit
Suisse AG (Switzerland) 3.70%,
2/21/2025 |
310,000 |
299,806 |
Credit
Suisse Group AG (Switzerland) |
|
|
(SOFR
+ 0.98%), 1.31%, 2/2/2027 (a)
(b) |
250,000 |
210,364 |
(SOFR
+ 1.73%), 3.09%,
5/14/2032 (a)
(b) |
250,000 |
188,951 |
Credit
Suisse USA, Inc. (Switzerland)
7.13%,
7/15/2032 |
53,000 |
57,984 |
Deutsche
Bank AG (Germany) (SOFR +
2.16%),
2.22%, 9/18/2024 (b) |
150,000 |
144,665 |
Goldman
Sachs Group, Inc. (The)
|
|
|
3.50%,
4/1/2025 |
280,000 |
273,779 |
(ICE
LIBOR USD 3 Month + 1.20%),
3.27%,
9/29/2025 (b) |
201,000 |
195,771 |
3.50%,
11/16/2026 |
371,000 |
356,388 |
3.85%,
1/26/2027 |
135,000 |
130,793 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Capital
Markets — continued | ||
(SOFR
+ 0.80%), 1.43%, 3/9/2027 (b) |
1,085,000 |
965,297 |
(SOFR
+ 1.51%), 4.39%,
6/15/2027 (b) |
117,000 |
114,828 |
(SOFR
+ 1.11%), 2.64%,
2/24/2028 (b) |
150,000 |
136,026 |
(SOFR
+ 1.28%), 2.62%,
4/22/2032 (b) |
785,000 |
648,631 |
(SOFR
+ 1.25%), 2.38%,
7/21/2032 (b) |
170,000 |
137,611 |
(SOFR
+ 1.26%), 2.65%,
10/21/2032 (b) |
25,000 |
20,527 |
(SOFR
+ 1.41%), 3.10%,
2/24/2033 (b) |
190,000 |
161,641 |
(SOFR
+ 1.51%), 3.21%,
4/22/2042 (b) |
60,000 |
45,976 |
(SOFR
+ 1.63%), 3.44%,
2/24/2043 (b) |
18,000 |
14,183 |
LPL
Holdings, Inc. 4.00%, 3/15/2029 (a) |
120,000 |
106,250 |
Morgan
Stanley
|
|
|
(SOFR
+ 1.16%), 3.62%,
4/17/2025 (b) |
90,000 |
88,675 |
3.88%,
1/27/2026 |
330,000 |
326,285 |
3.13%,
7/27/2026 |
130,000 |
123,853 |
3.63%,
1/20/2027 |
191,000 |
185,567 |
(SOFR
+ 0.88%), 1.59%, 5/4/2027 (b) |
210,000 |
187,180 |
(SOFR
+ 1.00%), 2.48%,
1/21/2028 (b) |
614,000 |
557,728 |
(SOFR
+ 1.61%), 4.21%,
4/20/2028 (b) |
303,000 |
295,248 |
(ICE
LIBOR USD 3 Month + 1.34%),
3.59%,
7/22/2028 (b) |
330,000 |
311,525 |
(ICE
LIBOR USD 3 Month + 1.63%),
4.43%,
1/23/2030 (b) |
373,000 |
363,354 |
(SOFR
+ 1.14%), 2.70%,
1/22/2031 (b) |
70,000 |
60,565 |
(SOFR
+ 1.18%), 2.24%,
7/21/2032 (b) |
80,000 |
64,441 |
(SOFR
+ 1.20%), 2.51%,
10/20/2032 (b) |
68,000 |
55,685 |
(SOFR
+ 1.29%), 2.94%,
1/21/2033 (b) |
25,000 |
21,271 |
(SOFR
+ 1.49%), 3.22%,
4/22/2042 (b) |
135,000 |
105,319 |
MSCI,
Inc. 4.00%, 11/15/2029 (a) |
115,000 |
102,363 |
Northern
Trust Corp. 3.95%, 10/30/2025 |
60,000 |
59,771 |
Nuveen
LLC 4.00%, 11/1/2028 (a) |
60,000 |
57,893 |
50
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Capital
Markets — continued | ||
S&P
Global, Inc.
|
|
|
2.70%,
3/1/2029 (a) |
106,000 |
96,452 |
2.90%,
3/1/2032 (a) |
112,000 |
99,333 |
3.25%,
12/1/2049 |
73,000 |
57,414 |
UBS
Group AG (Switzerland) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
0.85%),
1.49%, 8/10/2027 (a)
(b) |
585,000 |
508,082 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.75%),
4.75%, 5/12/2028 (a)
(b) |
200,000 |
196,152 |
(ICE
LIBOR USD 3 Month + 1.47%),
3.13%,
8/13/2030 (a)
(b) |
200,000 |
174,751 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.10%),
2.75%, 2/11/2033 (a)
(b) |
720,000 |
576,864 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
2.40%),
4.99%, 8/5/2033 (a)
(b) |
200,000 |
192,762 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.10%),
3.18%, 2/11/2043 (a)
(b) |
200,000 |
146,783 |
|
|
9,523,932 |
Chemicals
— 0.5% | ||
Avient
Corp. 7.13%, 8/1/2030 (a) |
110,000 |
108,616 |
Axalta
Coating Systems LLC 4.75%,
6/15/2027
(a) |
150,000 |
138,937 |
CF
Industries, Inc.
|
|
|
5.15%,
3/15/2034 |
60,000 |
57,856 |
4.95%,
6/1/2043 |
70,000 |
62,221 |
Chemours
Co. (The) 5.75%, 11/15/2028
(a) |
215,000 |
192,425 |
CVR
Partners LP 6.13%, 6/15/2028 (a) |
70,000 |
63,912 |
Ecolab,
Inc.
|
|
|
3.25%,
12/1/2027 |
52,000 |
50,705 |
2.13%,
2/1/2032 |
75,000 |
63,219 |
Element
Solutions, Inc. 3.88%, 9/1/2028
(a) |
105,000 |
91,219 |
INEOS
Quattro Finance 2 plc (United
Kingdom)
3.38%, 1/15/2026 (a) |
200,000 |
173,000 |
International
Flavors & Fragrances, Inc.
|
|
|
1.83%,
10/15/2027 (a) |
116,000 |
99,380 |
3.27%,
11/15/2040 (a) |
25,000 |
19,032 |
3.47%,
12/1/2050 (a) |
13,000 |
9,535 |
LYB
International Finance III LLC 3.38%,
10/1/2040 |
40,000 |
30,494 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Chemicals
— continued | ||
NOVA
Chemicals Corp. (Canada) 5.25%,
6/1/2027
(a) |
140,000 |
123,605 |
Nutrien
Ltd. (Canada) 2.95%, 5/13/2030 |
80,000 |
70,874 |
Scotts
Miracle-Gro Co. (The) 4.50%,
10/15/2029 |
375,000 |
300,435 |
Sherwin-Williams
Co. (The) 4.50%,
6/1/2047 |
15,000 |
13,364 |
Trinseo
Materials Operating SCA 5.38%,
9/1/2025
(a) |
145,000 |
124,973 |
WR
Grace Holdings LLC 5.63%, 10/1/2024
(a) |
85,000 |
83,937 |
|
|
1,877,739 |
Commercial
Services & Supplies — 0.4% | ||
ACCO
Brands Corp. 4.25%, 3/15/2029 (a) |
165,000 |
137,546 |
ADT
Security Corp. (The)
|
|
|
4.13%,
6/15/2023 |
26,000 |
25,675 |
4.88%,
7/15/2032 (a) |
20,000 |
16,731 |
Allied
Universal Holdco LLC 4.63%,
6/1/2028
(a) |
200,000 |
168,525 |
Aramark
Services, Inc. 5.00%, 2/1/2028
(a) |
155,000 |
142,650 |
Garda
World Security Corp. (Canada)
4.63%,
2/15/2027 (a) |
140,000 |
123,046 |
GFL
Environmental, Inc. (Canada) |
|
|
3.75%,
8/1/2025 (a) |
105,000 |
99,198 |
5.13%,
12/15/2026 (a) |
55,000 |
53,153 |
4.00%,
8/1/2028 (a) |
65,000 |
54,925 |
Madison
IAQ LLC 4.13%, 6/30/2028 (a) |
195,000 |
167,212 |
Nielsen
Finance LLC 5.63%, 10/1/2028
(a) |
170,000 |
170,388 |
Prime
Security Services Borrower LLC
|
|
|
5.75%,
4/15/2026 (a) |
282,000 |
271,332 |
3.38%,
8/31/2027 (a) |
120,000 |
103,275 |
Stericycle,
Inc.
|
|
|
5.38%,
7/15/2024 (a) |
85,000 |
83,177 |
3.88%,
1/15/2029 (a) |
120,000 |
103,950 |
Waste
Management, Inc. 1.50%,
3/15/2031 |
20,000 |
15,827 |
|
|
1,736,610 |
Communications
Equipment — 0.1% | ||
CommScope
Technologies LLC 6.00%,
6/15/2025
(a) |
105,000 |
95,419 |
CommScope,
Inc. 6.00%, 3/1/2026 (a) |
172,000 |
162,557 |
Plantronics,
Inc. 4.75%, 3/1/2029 (a) |
70,000 |
69,825 |
|
|
327,801 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
51
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Construction
& Engineering — 0.1% | ||
Dycom
Industries, Inc. 4.50%, 4/15/2029
(a) |
115,000 |
102,652 |
Global
Infrastructure Solutions, Inc. 5.63%,
6/1/2029
(a) |
130,000 |
103,957 |
Weekley
Homes LLC 4.88%, 9/15/2028
(a) |
95,000 |
78,751 |
|
|
285,360 |
Construction
Materials — 0.0% ^ | ||
Martin
Marietta Materials, Inc. 2.40%,
7/15/2031 |
70,000 |
57,655 |
Consumer
Finance — 1.0% | ||
AerCap
Ireland Capital DAC (Ireland) |
|
|
1.15%,
10/29/2023 |
150,000 |
143,480 |
2.45%,
10/29/2026 |
150,000 |
132,263 |
3.00%,
10/29/2028 |
450,000 |
382,554 |
American
Express Co. 2.55%, 3/4/2027 |
340,000 |
315,730 |
Avolon
Holdings Funding Ltd. (Ireland) |
|
|
5.13%,
10/1/2023 (a) |
170,000 |
168,075 |
5.25%,
5/15/2024 (a) |
250,000 |
245,104 |
2.88%,
2/15/2025 (a) |
28,000 |
25,675 |
5.50%,
1/15/2026 (a) |
60,000 |
57,854 |
2.13%,
2/21/2026 (a) |
275,000 |
237,028 |
4.25%,
4/15/2026 (a) |
25,000 |
23,041 |
Capital
One Financial Corp. (SOFR +
1.27%),
2.62%, 11/2/2032 (b) |
100,000 |
79,699 |
Ford
Motor Credit Co. LLC
|
|
|
4.39%,
1/8/2026 |
200,000 |
188,296 |
4.27%,
1/9/2027 |
200,000 |
182,681 |
4.13%,
8/17/2027 |
300,000 |
270,219 |
4.00%,
11/13/2030 |
250,000 |
208,845 |
3.63%,
6/17/2031 |
200,000 |
161,946 |
General
Motors Financial Co., Inc.
|
|
|
3.80%,
4/7/2025 |
35,000 |
34,126 |
3.60%,
6/21/2030 |
60,000 |
51,920 |
2.70%,
6/10/2031 |
25,000 |
19,619 |
John
Deere Capital Corp. 2.65%,
6/10/2026 |
119,000 |
114,177 |
Navient
Corp.
|
|
|
6.13%,
3/25/2024 |
130,000 |
126,835 |
5.88%,
10/25/2024 |
20,000 |
19,204 |
OneMain
Finance Corp.
|
|
|
7.13%,
3/15/2026 |
219,000 |
203,996 |
6.63%,
1/15/2028 |
95,000 |
86,855 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Consumer
Finance — continued | ||
Park
Aerospace Holdings Ltd. (Ireland) |
|
|
4.50%,
3/15/2023 (a) |
305,000 |
303,234 |
5.50%,
2/15/2024 (a) |
208,000 |
205,392 |
|
|
3,987,848 |
Containers
& Packaging — 0.3% | ||
Ardagh
Packaging Finance plc 5.25%,
4/30/2025
(a) |
200,000 |
189,157 |
Ball
Corp. 3.13%, 9/15/2031 |
55,000 |
44,546 |
Canpack
SA (Poland) 3.88%, 11/15/2029
(a) |
200,000 |
163,187 |
Crown
Americas LLC 4.25%, 9/30/2026 |
13,000 |
12,187 |
LABL,
Inc. 6.75%, 7/15/2026 (a) |
155,000 |
147,250 |
Mauser
Packaging Solutions Holding
Co. 5.50%,
4/15/2024 (a) |
215,000 |
208,137 |
Owens-Brockway
Glass Container,
Inc. 6.63%,
5/13/2027 (a) |
80,000 |
74,254 |
Packaging
Corp. of America 3.05%,
10/1/2051 |
85,000 |
60,014 |
Pactiv
Evergreen Group Issuer, Inc. 4.00%,
10/15/2027
(a) |
215,000 |
187,663 |
Sealed
Air Corp. 4.00%, 12/1/2027 (a) |
115,000 |
104,650 |
TriMas
Corp. 4.13%, 4/15/2029 (a) |
90,000 |
78,975 |
WRKCo,
Inc. 4.65%, 3/15/2026 |
30,000 |
30,113 |
|
|
1,300,133 |
Diversified
Consumer Services — 0.0% ^ | ||
Service
Corp. International 5.13%,
6/1/2029 |
105,000 |
99,478 |
University
of Miami Series 2022, 4.06%,
4/1/2052 |
40,000 |
35,324 |
|
|
134,802 |
Diversified
Financial Services — 0.2% | ||
EDP
Finance BV (Portugal) 1.71%,
1/24/2028
(a) |
250,000 |
211,571 |
LSEGA
Financing plc (United Kingdom)
2.00%,
4/6/2028 (a) |
200,000 |
175,117 |
Shell
International Finance BV
(Netherlands) |
|
|
2.88%,
11/26/2041 |
200,000 |
154,827 |
3.63%,
8/21/2042 |
50,000 |
42,636 |
3.75%,
9/12/2046 |
41,000 |
35,139 |
3.13%,
11/7/2049 |
25,000 |
19,436 |
3.00%,
11/26/2051 |
200,000 |
150,197 |
|
|
788,923 |
52
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Diversified
Telecommunication Services — 1.1% | ||
Altice
France Holding SA (Luxembourg)
10.50%,
5/15/2027 (a) |
200,000 |
172,544 |
Altice
France SA (France) 5.13%,
7/15/2029
(a) |
200,000 |
151,932 |
AT&T,
Inc.
|
|
|
1.65%,
2/1/2028 |
150,000 |
128,857 |
2.55%,
12/1/2033 |
570,000 |
454,157 |
3.50%,
6/1/2041 |
60,000 |
47,294 |
3.65%,
6/1/2051 |
65,000 |
49,737 |
CCO
Holdings LLC
|
|
|
5.00%,
2/1/2028 (a) |
395,000 |
360,959 |
5.38%,
6/1/2029 (a) |
100,000 |
91,360 |
4.75%,
3/1/2030 (a) |
784,000 |
673,875 |
4.50%,
8/15/2030 (a) |
199,000 |
167,354 |
4.50%,
5/1/2032 |
70,000 |
56,804 |
4.50%,
6/1/2033 (a) |
135,000 |
105,975 |
Embarq
Corp. 8.00%, 6/1/2036 |
13,000 |
10,108 |
ESC
Co., Intelsat Jackson Holdings,
Ltd. 8.50%,
10/15/2024 ‡
(a) (e) |
28,000 |
3 |
Frontier
Communications
Holdings
LLC 5.88%, 10/15/2027 (a) |
115,000 |
107,266 |
Intelsat
Jackson Holdings SA (Luxembourg)
6.50%,
3/15/2030 (a) |
74,000 |
67,080 |
Level
3 Financing, Inc.
|
|
|
5.38%,
5/1/2025 |
20,000 |
20,003 |
5.25%,
3/15/2026 |
54,000 |
54,918 |
Lumen
Technologies, Inc.
|
|
|
5.13%,
12/15/2026 (a) |
130,000 |
112,331 |
4.00%,
2/15/2027 (a) |
575,000 |
499,810 |
Series
G, 6.88%, 1/15/2028 |
3,000 |
2,701 |
Sprint
Capital Corp. 8.75%, 3/15/2032 |
240,000 |
289,733 |
Telecom
Italia Capital SA (Italy) 6.00%,
9/30/2034 |
134,000 |
105,801 |
Verizon
Communications, Inc.
|
|
|
2.10%,
3/22/2028 |
25,000 |
22,094 |
4.33%,
9/21/2028 |
75,000 |
74,015 |
4.02%,
12/3/2029 |
184,000 |
176,537 |
2.55%,
3/21/2031 |
105,000 |
88,746 |
2.36%,
3/15/2032 |
13,000 |
10,665 |
2.65%,
11/20/2040 |
295,000 |
212,931 |
3.40%,
3/22/2041 |
30,000 |
24,167 |
3.85%,
11/1/2042 |
125,000 |
106,082 |
2.88%,
11/20/2050 |
75,000 |
51,647 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Diversified
Telecommunication Services — continued | ||
3.70%,
3/22/2061 |
30,000 |
23,128 |
Zayo
Group Holdings, Inc. 4.00%,
3/1/2027
(a) |
75,000 |
63,938 |
|
|
4,584,552 |
Electric
Utilities — 1.6% | ||
AEP
Transmission Co. LLC Series N, 2.75%,
8/15/2051 |
50,000 |
34,953 |
Alabama
Power Co. 3.05%, 3/15/2032 |
200,000 |
181,967 |
American
Electric Power Co., Inc. 2.03%,
3/15/2024 |
40,000 |
38,743 |
Baltimore
Gas and Electric Co.
|
|
|
3.20%,
9/15/2049 |
80,000 |
61,837 |
2.90%,
6/15/2050 |
50,000 |
36,642 |
Connecticut
Light and Power Co.
(The) 4.00%,
4/1/2048 |
46,000 |
41,638 |
DTE
Electric Co. Series A, 4.00%,
4/1/2043 |
90,000 |
79,944 |
Duke
Energy Carolinas LLC 3.20%,
8/15/2049 |
34,000 |
26,495 |
Duke
Energy Indiana LLC
|
|
|
Series
YYY, 3.25%, 10/1/2049 |
125,000 |
95,908 |
2.75%,
4/1/2050 |
165,000 |
115,139 |
Duke
Energy Progress LLC 4.00%,
4/1/2052 |
40,000 |
35,372 |
Duquesne
Light Holdings, Inc. 2.53%,
10/1/2030
(a) |
48,000 |
39,164 |
Emera
US Finance LP (Canada) |
|
|
2.64%,
6/15/2031 |
660,000 |
544,920 |
4.75%,
6/15/2046 |
50,000 |
43,536 |
Enel
Finance International NV (Italy)
2.25%,
7/12/2031 (a) |
200,000 |
151,041 |
Entergy
Arkansas LLC
|
|
|
4.00%,
6/1/2028 |
13,000 |
12,603 |
2.65%,
6/15/2051 |
14,000 |
9,552 |
Entergy
Louisiana LLC
|
|
|
2.40%,
10/1/2026 |
69,000 |
63,922 |
1.60%,
12/15/2030 |
10,000 |
7,987 |
Entergy
Mississippi LLC 3.50%, 6/1/2051 |
20,000 |
15,994 |
Entergy
Texas Restoration Funding
II
LLC Series A-2, 3.70%, 12/15/2035 |
215,000 |
200,707 |
Entergy
Texas, Inc. 1.75%, 3/15/2031 |
535,000 |
429,102 |
Eversource
Energy 4.60%, 7/1/2027 |
31,000 |
31,091 |
FirstEnergy
Transmission LLC 4.55%,
4/1/2049
(a) |
90,000 |
78,420 |
Florida
Power & Light Co. 3.70%,
12/1/2047 |
60,000 |
52,419 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
53
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Electric
Utilities — continued | ||
Indiana
Michigan Power Co. Series K,
4.55%,
3/15/2046 |
50,000 |
45,843 |
ITC
Holdings Corp. 2.95%, 5/14/2030 (a) |
305,000 |
266,482 |
Kentucky
Utilities Co. 5.13%, 11/1/2040 |
74,000 |
73,936 |
MidAmerican
Energy Co. 3.65%,
4/15/2029 |
46,000 |
44,580 |
Mid-Atlantic
Interstate
Transmission
LLC 4.10%, 5/15/2028
(a) |
200,000 |
193,051 |
Monongahela
Power Co. 4.10%,
4/15/2024
(a) |
100,000 |
99,131 |
NextEra
Energy Capital Holdings,
Inc. 5.00%,
7/15/2032 |
60,000 |
61,081 |
Northern
States Power Co.
|
|
|
2.60%,
6/1/2051 |
70,000 |
49,499 |
4.50%,
6/1/2052 |
50,000 |
48,546 |
NRG
Energy, Inc.
|
|
|
6.63%,
1/15/2027 |
21,000 |
20,834 |
2.45%,
12/2/2027 (a) |
60,000 |
51,371 |
5.75%,
1/15/2028 |
65,000 |
61,270 |
3.38%,
2/15/2029 (a) |
70,000 |
57,504 |
5.25%,
6/15/2029 (a) |
160,000 |
143,008 |
Ohio
Power Co.
|
|
|
Series
P, 2.60%, 4/1/2030 |
50,000 |
43,793 |
Series
R, 2.90%, 10/1/2051 |
65,000 |
46,490 |
Oncor
Electric Delivery Co. LLC 3.10%,
9/15/2049 |
50,000 |
38,667 |
Pacific
Gas and Electric Co.
|
|
|
1.70%,
11/15/2023 |
30,000 |
28,979 |
3.25%,
2/16/2024 |
75,000 |
73,360 |
3.45%,
7/1/2025 |
17,000 |
16,205 |
2.95%,
3/1/2026 |
10,000 |
9,089 |
4.65%,
8/1/2028 |
100,000 |
91,289 |
4.50%,
7/1/2040 |
130,000 |
101,194 |
4.20%,
6/1/2041 |
30,000 |
22,302 |
4.25%,
3/15/2046 |
78,000 |
57,219 |
PacifiCorp
|
|
|
4.15%,
2/15/2050 |
118,000 |
105,711 |
3.30%,
3/15/2051 |
120,000 |
92,838 |
PG&E
Corp.
|
|
|
5.00%,
7/1/2028 |
106,000 |
94,124 |
5.25%,
7/1/2030 |
70,000 |
60,515 |
PG&E
Wildfire Recovery Funding LLC
|
|
|
Series
A-2, 4.26%, 6/1/2036 |
25,000 |
24,208 |
Series
A-4, 5.21%, 12/1/2047 |
40,000 |
41,629 |
Series
A-5, 5.10%, 6/1/2052 |
70,000 |
72,256 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Electric
Utilities — continued | ||
Public
Service Co. of Colorado Series 36,
2.70%,
1/15/2051 |
45,000 |
31,896 |
Public
Service Electric and Gas Co.
|
|
|
3.00%,
5/15/2027 |
50,000 |
47,963 |
2.05%,
8/1/2050 |
68,000 |
41,988 |
Southern
California Edison Co.
|
|
|
Series
G, 2.50%, 6/1/2031 |
400,000 |
334,058 |
Series
C, 3.60%, 2/1/2045 |
35,000 |
26,613 |
Series
C, 4.13%, 3/1/2048 |
88,000 |
73,175 |
Series
20A, 2.95%, 2/1/2051 |
80,000 |
53,951 |
Southwestern
Electric Power Co.
|
|
|
Series
N, 1.65%, 3/15/2026 |
45,000 |
40,798 |
3.25%,
11/1/2051 |
160,000 |
115,878 |
Southwestern
Public Service Co.
|
|
|
3.30%,
6/15/2024 |
29,000 |
28,620 |
4.50%,
8/15/2041 |
74,000 |
69,544 |
Tucson
Electric Power Co.
|
|
|
1.50%,
8/1/2030 |
448,000 |
356,563 |
4.85%,
12/1/2048 |
72,000 |
69,298 |
Union
Electric Co. 3.90%, 4/1/2052 |
45,000 |
39,580 |
Vistra
Operations Co. LLC
|
|
|
5.50%,
9/1/2026 (a) |
65,000 |
62,761 |
4.38%,
5/1/2029 (a) |
220,000 |
191,796 |
4.30%,
7/15/2029 (a) |
90,000 |
80,880 |
Wisconsin
Public Service Corp. 4.75%,
11/1/2044 |
69,000 |
65,571 |
|
|
6,396,033 |
Electrical
Equipment — 0.0% ^ | ||
Eaton
Corp. 4.00%, 11/2/2032 |
50,000 |
47,789 |
EnerSys 4.38%,
12/15/2027 (a) |
65,000 |
59,150 |
Sensata
Technologies BV 5.00%,
10/1/2025
(a) |
40,000 |
39,161 |
|
|
146,100 |
Electronic
Equipment, Instruments & Components — 0.1% | ||
Arrow
Electronics, Inc. 2.95%, 2/15/2032 |
20,000 |
16,241 |
Corning,
Inc. 5.35%, 11/15/2048 |
75,000 |
74,182 |
II-VI,
Inc. 5.00%, 12/15/2029 (a) |
85,000 |
75,681 |
Sensata
Technologies, Inc. 4.38%,
2/15/2030
(a) |
145,000 |
129,193 |
|
|
295,297 |
Energy
Equipment & Services — 0.1% | ||
Baker
Hughes Holdings LLC
|
|
|
2.06%,
12/15/2026 |
70,000 |
63,694 |
4.49%,
5/1/2030 |
86,000 |
83,770 |
54
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Energy
Equipment & Services — continued | ||
Halliburton
Co. 3.80%, 11/15/2025 |
12,000 |
11,872 |
Oceaneering
International, Inc. 4.65%,
11/15/2024 |
120,000 |
111,950 |
Schlumberger
Holdings Corp. 3.75%,
5/1/2024
(a) |
70,000 |
69,498 |
Transocean
Pontus Ltd. 6.13%, 8/1/2025
(a) |
12,320 |
11,797 |
|
|
352,581 |
Entertainment
— 0.6% | ||
Activision
Blizzard, Inc.
|
|
|
1.35%,
9/15/2030 |
230,000 |
181,677 |
2.50%,
9/15/2050 |
259,000 |
175,210 |
Cinemark
USA, Inc.
|
|
|
5.88%,
3/15/2026 (a) |
75,000 |
66,540 |
5.25%,
7/15/2028 (a) |
40,000 |
32,403 |
Live
Nation Entertainment, Inc.
|
|
|
5.63%,
3/15/2026 (a) |
2,000 |
1,930 |
6.50%,
5/15/2027 (a) |
80,000 |
79,870 |
4.75%,
10/15/2027 (a) |
80,000 |
72,800 |
Magallanes,
Inc.
|
|
|
4.28%,
3/15/2032 (a) |
790,000 |
688,354 |
5.14%,
3/15/2052 (a) |
80,000 |
64,032 |
Netflix,
Inc.
|
|
|
4.88%,
4/15/2028 |
605,000 |
588,362 |
5.38%,
11/15/2029 (a) |
88,000 |
86,680 |
Take-Two
Interactive Software, Inc. 3.70%,
4/14/2027 |
15,000 |
14,435 |
Walt
Disney Co. (The)
|
|
|
2.00%,
9/1/2029 |
50,000 |
43,192 |
3.80%,
3/22/2030 |
90,000 |
86,998 |
WMG
Acquisition Corp. 3.88%, 7/15/2030
(a) |
100,000 |
86,000 |
|
|
2,268,483 |
Equity
Real Estate Investment Trusts (REITs) — 0.5% | ||
Alexandria
Real Estate Equities,
Inc. 1.88%,
2/1/2033 |
53,000 |
39,890 |
American
Tower Corp.
|
|
|
1.45%,
9/15/2026 |
85,000 |
74,664 |
2.95%,
1/15/2051 |
25,000 |
16,830 |
AvalonBay
Communities, Inc. 3.35%,
5/15/2027 |
32,000 |
30,461 |
Camden
Property Trust 3.15%, 7/1/2029 |
30,000 |
27,482 |
Corporate
Office Properties LP 2.25%,
3/15/2026 |
94,000 |
84,253 |
Crown
Castle, Inc. 2.90%, 3/15/2027 |
120,000 |
111,175 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Equity
Real Estate Investment Trusts (REITs) — continued | ||
Duke
Realty LP 1.75%, 7/1/2030 |
49,000 |
40,257 |
Equinix,
Inc. 3.90%, 4/15/2032 |
80,000 |
72,618 |
ERP
Operating LP 3.25%, 8/1/2027 |
31,000 |
29,191 |
Essex
Portfolio LP 2.65%, 3/15/2032 |
45,000 |
36,896 |
Goodman
US Finance Three LLC (Australia)
3.70%,
3/15/2028 (a) |
40,000 |
37,835 |
Healthpeak
Properties, Inc.
|
|
|
2.13%,
12/1/2028 |
64,000 |
55,020 |
3.00%,
1/15/2030 |
37,000 |
32,768 |
Iron
Mountain, Inc. 4.88%, 9/15/2027
(a) |
230,000 |
211,106 |
Life
Storage LP 2.20%, 10/15/2030 |
88,000 |
70,656 |
National
Retail Properties, Inc. 3.60%,
12/15/2026 |
39,000 |
37,134 |
Office
Properties Income Trust
|
|
|
4.50%,
2/1/2025 |
88,000 |
82,323 |
3.45%,
10/15/2031 |
35,000 |
23,331 |
Realty
Income Corp.
|
|
|
4.13%,
10/15/2026 |
44,000 |
43,574 |
3.25%,
1/15/2031 |
9,000 |
8,068 |
Regency
Centers LP 3.70%, 6/15/2030 |
85,000 |
77,206 |
RHP
Hotel Properties LP 4.75%,
10/15/2027 |
140,000 |
127,306 |
Sabra
Health Care LP 3.20%, 12/1/2031 |
70,000 |
55,660 |
SBA
Communications Corp. 3.13%,
2/1/2029 |
175,000 |
144,187 |
Scentre
Group Trust 1 (Australia) 3.50%,
2/12/2025
(a) |
100,000 |
96,804 |
Simon
Property Group LP 3.25%,
9/13/2049 |
31,000 |
22,483 |
UDR,
Inc. 2.10%, 8/1/2032 |
45,000 |
34,671 |
VICI
Properties LP
|
|
|
5.63%,
5/1/2024 (a) |
67,000 |
67,101 |
3.50%,
2/15/2025 (a) |
90,000 |
84,768 |
4.50%,
9/1/2026 (a) |
95,000 |
89,517 |
4.25%,
12/1/2026 (a) |
30,000 |
28,100 |
4.63%,
12/1/2029 (a) |
20,000 |
18,475 |
WP
Carey, Inc. 2.25%, 4/1/2033 |
95,000 |
72,239 |
|
|
2,084,049 |
Food
& Staples Retailing — 0.2% | ||
7-Eleven,
Inc.
|
|
|
0.95%,
2/10/2026 (a) |
65,000 |
57,703 |
1.30%,
2/10/2028 (a) |
62,000 |
51,751 |
2.50%,
2/10/2041 (a) |
14,000 |
9,535 |
2.80%,
2/10/2051 (a) |
50,000 |
32,678 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
55
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Food
& Staples Retailing — continued | ||
Albertsons
Cos., Inc.
|
|
|
4.63%,
1/15/2027 (a) |
460,000 |
419,759 |
4.88%,
2/15/2030 (a) |
20,000 |
17,515 |
Alimentation
Couche-Tard, Inc. (Canada) |
|
|
3.44%,
5/13/2041 (a) |
5,000 |
3,714 |
3.63%,
5/13/2051 (a) |
10,000 |
7,168 |
Performance
Food Group, Inc. 5.50%,
10/15/2027
(a) |
111,000 |
104,632 |
Rite
Aid Corp. 8.00%, 11/15/2026 (a) |
125,000 |
101,875 |
Sysco
Corp. 2.40%, 2/15/2030 |
50,000 |
42,881 |
|
|
849,211 |
Food
Products — 0.1% | ||
Bunge
Ltd. Finance Corp. 2.75%,
5/14/2031 |
30,000 |
25,179 |
Campbell
Soup Co. 4.15%, 3/15/2028 |
20,000 |
19,639 |
Cargill,
Inc. 4.38%, 4/22/2052 (a) |
50,000 |
47,748 |
Darling
Ingredients, Inc. 5.25%,
4/15/2027
(a) |
50,000 |
49,041 |
Lamb
Weston Holdings, Inc. 4.13%,
1/31/2030
(a) |
155,000 |
139,694 |
Mead
Johnson Nutrition Co. (United
Kingdom)
4.13%, 11/15/2025 |
64,000 |
64,191 |
Post
Holdings, Inc.
|
|
|
5.75%,
3/1/2027 (a) |
82,000 |
80,110 |
5.50%,
12/15/2029 (a) |
85,000 |
77,894 |
|
|
503,496 |
Gas
Utilities — 0.1% | ||
AmeriGas
Partners LP
|
|
|
5.50%,
5/20/2025 |
23,000 |
21,824 |
5.88%,
8/20/2026 |
10,000 |
9,518 |
5.75%,
5/20/2027 |
80,000 |
75,399 |
Atmos
Energy Corp. 5.50%, 6/15/2041 |
52,000 |
54,464 |
Boston
Gas Co. 3.00%, 8/1/2029 (a) |
37,000 |
32,500 |
Southern
California Gas Co. Series XX,
2.55%,
2/1/2030 |
33,000 |
29,432 |
|
|
223,137 |
Health
Care Equipment & Supplies — 0.2% | ||
Abbott
Laboratories 1.15%, 1/30/2028 |
20,000 |
17,438 |
Avantor
Funding, Inc. 4.63%, 7/15/2028
(a) |
176,000 |
160,139 |
Becton
Dickinson and Co. 3.70%,
6/6/2027 |
45,000 |
43,705 |
DH
Europe Finance II SARL 3.25%,
11/15/2039 |
40,000 |
33,030 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Health
Care Equipment & Supplies — continued | ||
Hologic,
Inc. 3.25%, 2/15/2029 (a) |
115,000 |
98,032 |
Medline
Borrower LP
|
|
|
3.88%,
4/1/2029 (a) |
160,000 |
135,600 |
5.25%,
10/1/2029 (a) |
55,000 |
46,223 |
Teleflex,
Inc. 4.25%, 6/1/2028 (a) |
85,000 |
77,226 |
Zimmer
Biomet Holdings, Inc. 2.60%,
11/24/2031 |
58,000 |
48,403 |
|
|
659,796 |
Health
Care Providers & Services — 1.2% | ||
Acadia
Healthcare Co., Inc. 5.50%,
7/1/2028
(a) |
136,000 |
128,837 |
AdaptHealth
LLC 4.63%, 8/1/2029 (a) |
85,000 |
70,781 |
Aetna,
Inc. 2.80%, 6/15/2023 |
70,000 |
69,362 |
Centene
Corp. 4.63%, 12/15/2029 |
916,000 |
862,909 |
Cigna
Corp. 2.38%, 3/15/2031 |
35,000 |
29,408 |
CommonSpirit
Health
|
|
|
1.55%,
10/1/2025 |
13,000 |
11,838 |
2.78%,
10/1/2030 |
13,000 |
10,884 |
3.91%,
10/1/2050 |
15,000 |
11,808 |
Community
Health Systems, Inc.
|
|
|
5.63%,
3/15/2027 (a) |
230,000 |
195,039 |
4.75%,
2/15/2031 (a) |
85,000 |
62,764 |
CVS
Health Corp.
|
|
|
2.88%,
6/1/2026 |
10,000 |
9,544 |
4.30%,
3/25/2028 |
37,000 |
36,578 |
2.70%,
8/21/2040 |
50,000 |
36,134 |
DaVita,
Inc. 4.63%, 6/1/2030 (a) |
210,000 |
169,058 |
Encompass
Health Corp.
|
|
|
4.50%,
2/1/2028 |
180,000 |
157,471 |
4.75%,
2/1/2030 |
65,000 |
55,590 |
Envision
Healthcare Corp. 8.75%,
10/15/2026
(a) |
20,000 |
6,604 |
Hackensack
Meridian Health, Inc. Series
2020,
2.68%, 9/1/2041 |
50,000 |
37,083 |
HCA,
Inc.
|
|
|
5.25%,
6/15/2026 |
120,000 |
120,593 |
5.38%,
9/1/2026 |
155,000 |
155,426 |
4.50%,
2/15/2027 |
210,000 |
205,012 |
5.63%,
9/1/2028 |
1,170,000 |
1,175,950 |
5.88%,
2/1/2029 |
25,000 |
25,483 |
3.50%,
9/1/2030 |
37,000 |
32,288 |
3.50%,
7/15/2051 |
35,000 |
24,025 |
4.63%,
3/15/2052 (a) |
35,000 |
28,963 |
MidMichigan
Health Series 2020, 3.41%,
6/1/2050 |
10,000 |
7,501 |
56
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Health
Care Providers & Services — continued | ||
MultiCare
Health System 2.80%,
8/15/2050 |
10,000 |
6,897 |
New
York and Presbyterian Hospital
(The) 2.61%,
8/1/2060 |
5,000 |
3,219 |
Northwell
Healthcare, Inc. 4.26%,
11/1/2047 |
110,000 |
96,341 |
Owens
& Minor, Inc. 4.50%, 3/31/2029
(a) |
110,000 |
93,751 |
Quest
Diagnostics, Inc. 2.95%, 6/30/2030 |
55,000 |
48,589 |
Tenet
Healthcare Corp.
|
|
|
4.88%,
1/1/2026 (a) |
260,000 |
247,000 |
5.13%,
11/1/2027 (a) |
270,000 |
250,155 |
4.25%,
6/1/2029 (a) |
215,000 |
185,404 |
UnitedHealth
Group, Inc.
|
|
|
3.38%,
4/15/2027 |
91,000 |
88,956 |
4.63%,
11/15/2041 |
132,000 |
128,867 |
3.25%,
5/15/2051 |
55,000 |
43,189 |
|
|
4,929,301 |
Health
Care Technology — 0.0% ^ | ||
IQVIA,
Inc. 5.00%, 5/15/2027 (a) |
200,000 |
193,278 |
Hotels,
Restaurants & Leisure — 0.7% | ||
1011778
BC ULC (Canada) |
|
|
5.75%,
4/15/2025 (a) |
50,000 |
50,250 |
3.88%,
1/15/2028 (a) |
92,000 |
81,780 |
Boyd
Gaming Corp. 4.75%, 12/1/2027 |
122,000 |
113,883 |
Boyne
USA, Inc. 4.75%, 5/15/2029 (a) |
142,000 |
126,297 |
Caesars
Entertainment, Inc. 6.25%,
7/1/2025
(a) |
170,000 |
165,990 |
Carnival
Corp.
|
|
|
9.88%,
8/1/2027 (a) |
110,000 |
110,413 |
4.00%,
8/1/2028 (a) |
120,000 |
100,049 |
Cedar
Fair LP 5.38%, 4/15/2027 |
85,000 |
80,197 |
Hilton
Domestic Operating Co., Inc.
|
|
|
5.38%,
5/1/2025 (a) |
25,000 |
24,784 |
4.88%,
1/15/2030 |
290,000 |
265,002 |
International
Game Technology plc 6.25%,
1/15/2027
(a) |
200,000 |
195,862 |
Las
Vegas Sands Corp. 2.90%, 6/25/2025 |
205,000 |
188,958 |
Marriott
Ownership Resorts, Inc. 4.50%,
6/15/2029
(a) |
70,000 |
59,017 |
MGM
Resorts International 5.50%,
4/15/2027 |
226,000 |
208,237 |
Royal
Caribbean Cruises Ltd.
|
|
|
9.13%,
6/15/2023 (a) |
250,000 |
252,027 |
11.50%,
6/1/2025 (a) |
10,000 |
10,613 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Hotels,
Restaurants & Leisure — continued | ||
Six
Flags Entertainment Corp. 4.88%,
7/31/2024
(a) |
85,000 |
81,554 |
Six
Flags Theme Parks, Inc. 7.00%,
7/1/2025
(a) |
63,000 |
63,672 |
Starbucks
Corp.
|
|
|
3.80%,
8/15/2025 |
70,000 |
69,702 |
3.35%,
3/12/2050 |
5,000 |
3,746 |
Station
Casinos LLC 4.50%, 2/15/2028
(a) |
105,000 |
90,450 |
Travel
+ Leisure Co. 5.65%, 4/1/2024 (f) |
25,000 |
24,764 |
Vail
Resorts, Inc. 6.25%, 5/15/2025 (a) |
70,000 |
70,066 |
Wynn
Las Vegas LLC 5.50%, 3/1/2025 (a) |
75,000 |
71,821 |
Wynn
Resorts Finance LLC
|
|
|
7.75%,
4/15/2025 (a) |
70,000 |
69,766 |
5.13%,
10/1/2029 (a) |
100,000 |
83,898 |
Yum!
Brands, Inc. 4.63%, 1/31/2032 |
240,000 |
212,033 |
|
|
2,874,831 |
Household
Durables — 0.1% | ||
CD&R
Smokey Buyer, Inc. 6.75%,
7/15/2025
(a) |
55,000 |
51,150 |
Lennar
Corp. 4.50%, 4/30/2024 |
6,000 |
6,005 |
MDC
Holdings, Inc.
|
|
|
3.85%,
1/15/2030 |
30,000 |
24,550 |
2.50%,
1/15/2031 |
125,000 |
89,238 |
Newell
Brands, Inc. 5.63%, 4/1/2036 (f) |
50,000 |
44,780 |
Tempur
Sealy International, Inc. 4.00%,
4/15/2029
(a) |
150,000 |
123,242 |
|
|
338,965 |
Household
Products — 0.1% | ||
Central
Garden & Pet Co. 5.13%,
2/1/2028 |
145,000 |
133,742 |
Energizer
Holdings, Inc. 4.38%,
3/31/2029
(a) |
210,000 |
170,818 |
Kimberly-Clark
Corp. 3.20%, 4/25/2029 |
39,000 |
36,886 |
Spectrum
Brands, Inc.
|
|
|
5.75%,
7/15/2025 |
45,000 |
43,905 |
5.00%,
10/1/2029 (a) |
95,000 |
82,713 |
5.50%,
7/15/2030 (a) |
35,000 |
30,151 |
|
|
498,215 |
Independent
Power and Renewable Electricity Producers — 0.1% | ||
Calpine
Corp.
|
|
|
5.25%,
6/1/2026 (a) |
143,000 |
138,760 |
5.13%,
3/15/2028 (a) |
55,000 |
48,846 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
57
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Independent
Power and Renewable Electricity Producers —
continued | ||
Constellation
Energy Generation LLC
|
|
|
3.25%,
6/1/2025 |
37,000 |
35,907 |
5.75%,
10/1/2041 |
20,000 |
19,871 |
5.60%,
6/15/2042 |
95,000 |
95,041 |
|
|
338,425 |
Industrial
Conglomerates — 0.0% ^ | ||
GE
Capital International Funding Co.
Unlimited
Co. 4.42%, 11/15/2035 |
200,000 |
189,107 |
Insurance
— 0.3% | ||
Aflac,
Inc. 3.25%, 3/17/2025 |
21,000 |
20,681 |
AIA
Group Ltd. (Hong Kong) 3.20%,
3/11/2025
(a) |
200,000 |
194,975 |
Athene
Global Funding
|
|
|
1.45%,
1/8/2026 (a) |
20,000 |
17,753 |
2.95%,
11/12/2026 (a) |
44,000 |
39,951 |
Berkshire
Hathaway Finance Corp.
|
|
|
2.85%,
10/15/2050 |
60,000 |
43,763 |
2.50%,
1/15/2051 |
240,000 |
164,521 |
3.85%,
3/15/2052 |
175,000 |
150,977 |
Equitable
Financial Life Global
Funding 1.70%,
11/12/2026 (a) |
25,000 |
22,249 |
F&G
Global Funding 1.75%, 6/30/2026
(a) |
10,000 |
8,921 |
Great-West
Lifeco Finance 2018
LP (Canada)
4.58%, 5/17/2048 (a) |
20,000 |
18,265 |
Manulife
Financial Corp. (Canada) 4.15%,
3/4/2026 |
42,000 |
41,597 |
MetLife,
Inc. 4.13%, 8/13/2042 |
79,000 |
70,956 |
New
York Life Global Funding 3.00%,
1/10/2028
(a) |
51,000 |
48,160 |
Pacific
Life Insurance Co. (ICE LIBOR USD 3
Month
+ 2.80%), 4.30%, 10/24/2067
(a)
(b) |
27,000 |
23,221 |
Principal
Financial Group, Inc. 3.70%,
5/15/2029 |
45,000 |
42,325 |
Progressive
Corp. (The)
|
|
|
3.00%,
3/15/2032 |
200,000 |
180,623 |
4.35%,
4/25/2044 |
42,000 |
38,463 |
Prudential
Financial, Inc.
|
|
|
3.88%,
3/27/2028 |
32,000 |
31,387 |
3.91%,
12/7/2047 |
70,000 |
61,131 |
Teachers
Insurance & Annuity Association
of
America 4.27%, 5/15/2047 (a) |
40,000 |
36,024 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Insurance
— continued | ||
Travelers
Cos., Inc. (The) 5.35%,
11/1/2040 |
16,000 |
16,934 |
W
R Berkley Corp. 3.55%, 3/30/2052 |
45,000 |
34,444 |
|
|
1,307,321 |
Interactive
Media & Services — 0.1% | ||
Alphabet,
Inc. 2.05%, 8/15/2050 |
100,000 |
65,899 |
Meta
Platforms, Inc. 3.85%, 8/15/2032
(a) |
380,000 |
357,364 |
|
|
423,263 |
Internet
& Direct Marketing Retail — 0.2% | ||
Amazon.com,
Inc.
|
|
|
3.15%,
8/22/2027 |
201,000 |
194,083 |
3.60%,
4/13/2032 |
200,000 |
191,711 |
3.10%,
5/12/2051 |
40,000 |
31,166 |
3.95%,
4/13/2052 |
215,000 |
195,505 |
Go
Daddy Operating Co. LLC 5.25%,
12/1/2027
(a) |
110,000 |
103,400 |
Photo
Holdings Merger Sub, Inc. 8.50%,
10/1/2026
(a) |
13,000 |
9,708 |
|
|
725,573 |
IT
Services — 0.2% | ||
Arches
Buyer, Inc. 4.25%, 6/1/2028 (a) |
85,000 |
68,425 |
Black
Knight InfoServ LLC 3.63%,
9/1/2028
(a) |
90,000 |
78,570 |
Block,
Inc. 3.50%, 6/1/2031 |
120,000 |
98,728 |
Fidelity
National Information Services,
Inc. 2.25%,
3/1/2031 |
80,000 |
65,192 |
Fiserv,
Inc. 3.20%, 7/1/2026 |
70,000 |
66,607 |
Gartner,
Inc. 3.75%, 10/1/2030 (a) |
130,000 |
111,475 |
Global
Payments, Inc.
|
|
|
3.20%,
8/15/2029 |
60,000 |
52,399 |
2.90%,
5/15/2030 |
40,000 |
33,661 |
2.90%,
11/15/2031 |
75,000 |
60,759 |
Presidio
Holdings, Inc. 4.88%, 2/1/2027
(a) |
75,000 |
70,171 |
Twilio,
Inc. 3.63%, 3/15/2029 |
115,000 |
95,996 |
|
|
801,983 |
Leisure
Products — 0.0% ^ | ||
Hasbro,
Inc. 3.90%, 11/19/2029 |
15,000 |
13,739 |
Mattel,
Inc.
|
|
|
3.38%,
4/1/2026 (a) |
70,000 |
63,600 |
5.88%,
12/15/2027 (a) |
65,000 |
64,723 |
|
|
142,062 |
58
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Life
Sciences Tools & Services — 0.0% ^ | ||
Charles
River Laboratories International,
Inc. 3.75%,
3/15/2029 (a) |
120,000 |
103,424 |
Thermo
Fisher Scientific, Inc.
|
|
|
1.75%,
10/15/2028 |
20,000 |
17,667 |
2.60%,
10/1/2029 |
91,000 |
83,005 |
|
|
204,096 |
Machinery
— 0.1% | ||
Amsted
Industries, Inc. 5.63%, 7/1/2027
(a) |
65,000 |
63,030 |
Caterpillar,
Inc. 4.30%, 5/15/2044 |
78,000 |
75,171 |
Illinois
Tool Works, Inc. 3.90%, 9/1/2042 |
15,000 |
13,302 |
Otis
Worldwide Corp. 2.06%, 4/5/2025 |
90,000 |
84,982 |
Parker-Hannifin
Corp.
|
|
|
3.25%,
3/1/2027 |
92,000 |
88,225 |
4.25%,
9/15/2027 |
150,000 |
148,444 |
Stanley
Black & Decker, Inc. 2.75%,
11/15/2050 |
10,000 |
6,787 |
Xylem,
Inc. 1.95%, 1/30/2028 |
30,000 |
26,411 |
|
|
506,352 |
Media
— 1.4% | ||
Charter
Communications Operating LLC
|
|
|
2.25%,
1/15/2029 |
265,000 |
217,646 |
3.50%,
6/1/2041 |
85,000 |
58,901 |
3.50%,
3/1/2042 |
90,000 |
62,168 |
3.70%,
4/1/2051 |
40,000 |
26,690 |
3.90%,
6/1/2052 |
95,000 |
64,367 |
Clear
Channel Outdoor Holdings,
Inc. 5.13%,
8/15/2027 (a) |
262,000 |
234,655 |
Comcast
Corp.
|
|
|
4.15%,
10/15/2028 |
110,000 |
109,040 |
4.25%,
10/15/2030 |
194,000 |
190,749 |
1.95%,
1/15/2031 |
80,000 |
66,410 |
1.50%,
2/15/2031 |
430,000 |
345,342 |
3.90%,
3/1/2038 |
95,000 |
85,402 |
3.25%,
11/1/2039 |
313,000 |
254,917 |
4.00%,
3/1/2048 |
45,000 |
38,594 |
2.89%,
11/1/2051 |
10,000 |
7,041 |
2.45%,
8/15/2052 |
110,000 |
71,284 |
2.94%,
11/1/2056 |
578,000 |
391,604 |
CSC
Holdings LLC
|
|
|
5.50%,
4/15/2027 (a) |
200,000 |
189,556 |
6.50%,
2/1/2029 (a) |
200,000 |
184,047 |
4.50%,
11/15/2031 (a) |
200,000 |
160,446 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Media
— continued | ||
Diamond
Sports Group LLC 5.38%,
8/15/2026
(a) |
35,000 |
6,650 |
Directv
Financing LLC 5.88%, 8/15/2027
(a) |
211,000 |
193,065 |
Discovery
Communications LLC 4.00%,
9/15/2055 |
45,000 |
29,813 |
DISH
DBS Corp.
|
|
|
5.00%,
3/15/2023 |
215,000 |
210,406 |
5.88%,
11/15/2024 |
81,000 |
73,305 |
7.75%,
7/1/2026 |
290,000 |
228,642 |
5.25%,
12/1/2026 (a) |
175,000 |
144,484 |
Gannett
Holdings LLC 6.00%, 11/1/2026
(a) |
110,000 |
85,800 |
Gray
Escrow II, Inc. 5.38%, 11/15/2031
(a) |
135,000 |
114,099 |
Gray
Television, Inc. 4.75%, 10/15/2030
(a) |
100,000 |
82,400 |
iHeartCommunications,
Inc.
|
|
|
6.38%,
5/1/2026 |
25,000 |
23,612 |
8.38%,
5/1/2027 |
25,000 |
22,019 |
5.25%,
8/15/2027 (a) |
155,000 |
139,057 |
Lamar
Media Corp.
|
|
|
3.75%,
2/15/2028 |
110,000 |
98,656 |
4.00%,
2/15/2030 |
35,000 |
30,472 |
News
Corp. 3.88%, 5/15/2029 (a) |
130,000 |
113,100 |
Nexstar
Media, Inc.
|
|
|
5.63%,
7/15/2027 (a) |
100,000 |
95,217 |
4.75%,
11/1/2028 (a) |
95,000 |
85,975 |
Outfront
Media Capital LLC
|
|
|
6.25%,
6/15/2025 (a) |
25,000 |
24,788 |
5.00%,
8/15/2027 (a) |
76,000 |
69,560 |
Paramount
Global 4.95%, 1/15/2031 |
50,000 |
47,324 |
Scripps
Escrow II, Inc. 3.88%, 1/15/2029
(a) |
110,000 |
93,265 |
Scripps
Escrow, Inc. 5.88%, 7/15/2027
(a) |
45,000 |
40,724 |
Sinclair
Television Group, Inc. 4.13%,
12/1/2030
(a) |
65,000 |
52,909 |
Sirius
XM Radio, Inc.
|
|
|
5.00%,
8/1/2027 (a) |
110,000 |
103,552 |
4.00%,
7/15/2028 (a) |
350,000 |
304,946 |
5.50%,
7/1/2029 (a) |
160,000 |
149,613 |
Stagwell
Global LLC 5.63%, 8/15/2029
(a) |
175,000 |
148,409 |
TEGNA,
Inc. 5.00%, 9/15/2029 |
140,000 |
134,009 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
59
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Media
— continued | ||
Univision
Communications, Inc. 4.50%,
5/1/2029
(a) |
115,000 |
100,596 |
Videotron
Ltd. (Canada) |
|
|
5.38%,
6/15/2024 (a) |
37,000 |
36,734 |
5.13%,
4/15/2027 (a) |
120,000 |
112,500 |
|
|
5,954,560 |
Metals
& Mining — 0.6% | ||
Alcoa
Nederland Holding BV 5.50%,
12/15/2027
(a) |
200,000 |
191,704 |
Arconic
Corp. 6.13%, 2/15/2028 (a) |
135,000 |
126,722 |
ATI,
Inc. 5.88%, 12/1/2027 |
100,000 |
95,035 |
Carpenter
Technology Corp. 6.38%,
7/15/2028 |
100,000 |
95,613 |
Cleveland-Cliffs,
Inc.
|
|
|
6.75%,
3/15/2026 (a) |
125,000 |
126,384 |
5.88%,
6/1/2027 |
135,000 |
129,262 |
FMG
Resources August 2006 Pty.
Ltd. (Australia)
4.50%, 9/15/2027 (a) |
100,000 |
91,355 |
Freeport-McMoRan,
Inc.
|
|
|
5.00%,
9/1/2027 |
45,000 |
44,388 |
4.25%,
3/1/2030 |
97,000 |
87,847 |
4.63%,
8/1/2030 |
60,000 |
55,544 |
5.40%,
11/14/2034 |
183,000 |
173,533 |
5.45%,
3/15/2043 |
86,000 |
77,419 |
Glencore
Funding LLC (Australia) |
|
|
4.63%,
4/29/2024 (a) |
90,000 |
90,137 |
3.88%,
10/27/2027 (a) |
40,000 |
37,767 |
2.50%,
9/1/2030 (a) |
37,000 |
30,084 |
2.85%,
4/27/2031 (a) |
435,000 |
358,850 |
2.63%,
9/23/2031 (a) |
102,000 |
81,118 |
Kaiser
Aluminum Corp. 4.63%, 3/1/2028
(a) |
120,000 |
103,360 |
Novelis
Corp. 4.75%, 1/30/2030 (a) |
105,000 |
91,350 |
Nucor
Corp. 2.98%, 12/15/2055 |
50,000 |
33,415 |
Rio
Tinto Finance USA Ltd. (Australia) |
|
|
7.13%,
7/15/2028 |
59,000 |
66,540 |
5.20%,
11/2/2040 |
20,000 |
20,883 |
Rio
Tinto Finance USA plc (Australia)
4.13%,
8/21/2042 |
40,000 |
36,679 |
Teck
Resources Ltd. (Canada) 5.40%,
2/1/2043 |
20,000 |
17,745 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Metals
& Mining — continued | ||
United
States Steel Corp. 6.88%,
3/1/2029 |
100,000 |
97,750 |
Vale
Overseas Ltd. (Brazil) 3.75%,
7/8/2030 |
20,000 |
17,435 |
|
|
2,377,919 |
Mortgage
Real Estate Investment Trusts (REITs) — 0.2% | ||
Great
Ajax Operating Partnership LP Series
QIB,
8.88%, 9/1/2027 (a) |
1,000,000 |
988,089 |
Multiline
Retail — 0.0% ^ | ||
Macy's
Retail Holdings LLC 5.88%,
4/1/2029
(a) |
110,000 |
95,205 |
Multi-Utilities
— 0.2% | ||
Ameren
Corp.
|
|
|
1.95%,
3/15/2027 |
20,000 |
17,887 |
3.50%,
1/15/2031 |
291,000 |
265,979 |
Berkshire
Hathaway Energy Co.
|
|
|
1.65%,
5/15/2031 |
230,000 |
184,170 |
5.15%,
11/15/2043 |
94,000 |
95,272 |
2.85%,
5/15/2051 |
40,000 |
28,533 |
4.60%,
5/1/2053 (a) |
20,000 |
19,050 |
Consolidated
Edison Co. of New York, Inc.
|
|
|
Series
E, 4.65%, 12/1/2048 |
60,000 |
56,640 |
Series
A, 4.13%, 5/15/2049 |
41,000 |
35,738 |
PG&E
Energy Recovery Funding LLC Series
A-3,
2.82%, 7/15/2046 |
70,000 |
51,887 |
Puget
Sound Energy, Inc. 5.76%,
7/15/2040 |
90,000 |
93,874 |
San
Diego Gas & Electric Co. 2.95%,
8/15/2051 |
170,000 |
125,693 |
Southern
Co. Gas Capital Corp. Series 21A,
3.15%,
9/30/2051 |
50,000 |
34,815 |
|
|
1,009,538 |
Oil,
Gas & Consumable Fuels — 2.9% | ||
Antero
Midstream Partners LP 7.88%,
5/15/2026
(a) |
135,000 |
137,363 |
Antero
Resources Corp.
|
|
|
7.63%,
2/1/2029 (a) |
85,000 |
86,461 |
5.38%,
3/1/2030 (a) |
50,000 |
47,063 |
Apache
Corp. 4.38%, 10/15/2028 |
179,000 |
163,797 |
Baytex
Energy Corp. (Canada) 8.75%,
4/1/2027
(a) |
60,000 |
61,350 |
BP
Capital Markets America, Inc.
|
|
|
3.02%,
1/16/2027 |
106,000 |
101,390 |
3.94%,
9/21/2028 |
20,000 |
19,522 |
60
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Oil,
Gas & Consumable Fuels — continued | ||
1.75%,
8/10/2030 |
480,000 |
396,539 |
2.72%,
1/12/2032 |
557,000 |
485,700 |
3.06%,
6/17/2041 |
130,000 |
102,028 |
3.00%,
2/24/2050 |
74,000 |
54,027 |
2.77%,
11/10/2050 |
55,000 |
38,579 |
2.94%,
6/4/2051 |
67,000 |
48,015 |
3.00%,
3/17/2052 |
280,000 |
203,367 |
BP
Capital Markets plc (United Kingdom) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
4.04%),
4.38%, 6/22/2025 (b)
(c)
(d) |
85,000 |
81,366 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
4.40%),
4.88%, 3/22/2030 (b)
(c)
(d) |
155,000 |
141,786 |
Buckeye
Partners LP
|
|
|
3.95%,
12/1/2026 |
10,000 |
8,880 |
4.13%,
12/1/2027 |
175,000 |
154,701 |
Cameron
LNG LLC 3.70%, 1/15/2039 (a) |
20,000 |
16,875 |
Cheniere
Corpus Christi Holdings LLC
|
|
|
5.88%,
3/31/2025 |
200,000 |
204,067 |
5.13%,
6/30/2027 |
135,000 |
134,734 |
3.70%,
11/15/2029 |
200,000 |
183,796 |
Cheniere
Energy Partners LP
|
|
|
4.50%,
10/1/2029 |
264,000 |
243,098 |
4.00%,
3/1/2031 |
135,000 |
118,294 |
3.25%,
1/31/2032 |
25,000 |
20,013 |
Chesapeake
Energy Corp. 6.75%,
4/15/2029
(a) |
115,000 |
112,274 |
Chevron
Corp. 2.00%, 5/11/2027 |
21,000 |
19,413 |
CNX
Resources Corp. 7.25%, 3/14/2027
(a) |
125,000 |
124,094 |
Comstock
Resources, Inc. 6.75%,
3/1/2029
(a) |
155,000 |
147,944 |
ConocoPhillips
Co. 4.03%, 3/15/2062 (a) |
233,000 |
198,364 |
Coterra
Energy, Inc. 3.90%, 5/15/2027
(a) |
30,000 |
28,629 |
Crestwood
Midstream Partners LP
|
|
|
5.75%,
4/1/2025 |
100,000 |
96,378 |
8.00%,
4/1/2029 (a) |
90,000 |
89,229 |
DT
Midstream, Inc.
|
|
|
4.13%,
6/15/2029 (a) |
110,000 |
96,578 |
4.30%,
4/15/2032 (a) |
80,000 |
72,718 |
Energy
Transfer LP
|
|
|
3.60%,
2/1/2023 |
140,000 |
139,820 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Oil,
Gas & Consumable Fuels — continued | ||
4.25%,
3/15/2023 |
120,000 |
120,047 |
4.15%,
9/15/2029 |
150,000 |
138,077 |
5.80%,
6/15/2038 |
100,000 |
93,643 |
5.35%,
5/15/2045 |
45,000 |
39,657 |
EnLink
Midstream Partners LP
|
|
|
4.85%,
7/15/2026 |
175,000 |
171,937 |
5.60%,
4/1/2044 |
9,000 |
7,053 |
Enterprise
Products Operating LLC
|
|
|
2.80%,
1/31/2030 |
37,000 |
32,564 |
3.30%,
2/15/2053 |
30,000 |
22,253 |
EQM
Midstream Partners LP
|
|
|
6.50%,
7/1/2027 (a) |
160,000 |
154,440 |
4.75%,
1/15/2031 (a) |
195,000 |
168,648 |
Exxon
Mobil Corp.
|
|
|
2.99%,
3/19/2025 |
18,000 |
17,609 |
3.00%,
8/16/2039 |
65,000 |
53,221 |
4.23%,
3/19/2040 |
200,000 |
190,064 |
3.10%,
8/16/2049 |
200,000 |
156,681 |
Flex
Intermediate Holdco LLC
|
|
|
3.36%,
6/30/2031 (a) |
64,000 |
52,845 |
4.32%,
12/30/2039 (a) |
20,000 |
15,649 |
Genesis
Energy LP 6.25%, 5/15/2026 |
80,000 |
72,243 |
Gray
Oak Pipeline LLC
|
|
|
2.00%,
9/15/2023 (a) |
44,000 |
42,868 |
2.60%,
10/15/2025 (a) |
112,000 |
103,053 |
Gulfport
Energy Corp. 8.00%, 5/17/2026
(a) |
110,000 |
110,733 |
Hess
Midstream Operations LP 5.63%,
2/15/2026
(a) |
105,000 |
102,382 |
Hilcorp
Energy I LP 5.75%, 2/1/2029 (a) |
220,000 |
200,262 |
Holly
Energy Partners LP 6.38%,
4/15/2027
(a) |
105,000 |
102,182 |
Kinder
Morgan, Inc. 3.25%, 8/1/2050 |
75,000 |
52,234 |
Kinetik
Holdings LP 5.88%, 6/15/2030
(a) |
105,000 |
99,888 |
Laredo
Petroleum, Inc. 9.50%, 1/15/2025 |
55,000 |
55,199 |
MEG
Energy Corp. (Canada) 7.13%,
2/1/2027
(a) |
150,000 |
151,575 |
MPLX
LP 2.65%, 8/15/2030 |
70,000 |
58,352 |
NGL
Energy Operating LLC 7.50%,
2/1/2026
(a) |
95,000 |
86,925 |
NGPL
PipeCo LLC 3.25%, 7/15/2031 (a) |
10,000 |
8,350 |
NuStar
Logistics LP
|
|
|
5.75%,
10/1/2025 |
60,000 |
57,252 |
5.63%,
4/28/2027 |
90,000 |
81,939 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
61
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Oil,
Gas & Consumable Fuels — continued | ||
Occidental
Petroleum Corp.
|
|
|
8.00%,
7/15/2025 |
105,000 |
114,056 |
8.88%,
7/15/2030 |
150,000 |
175,230 |
6.63%,
9/1/2030 |
385,000 |
411,295 |
Pioneer
Natural Resources Co. 1.13%,
1/15/2026 |
50,000 |
44,670 |
Range
Resources Corp.
|
|
|
4.88%,
5/15/2025 |
45,000 |
43,650 |
8.25%,
1/15/2029 |
90,000 |
94,473 |
Sabine
Pass Liquefaction LLC
|
|
|
5.63%,
3/1/2025 |
40,000 |
40,743 |
5.88%,
6/30/2026 |
385,000 |
395,701 |
4.50%,
5/15/2030 |
584,000 |
559,082 |
SM
Energy Co. 6.63%, 1/15/2027 |
115,000 |
112,125 |
Southwestern
Energy Co.
|
|
|
5.70%,
1/23/2025 (f) |
2,000 |
2,000 |
7.75%,
10/1/2027 |
110,000 |
113,988 |
5.38%,
3/15/2030 |
215,000 |
201,515 |
Spectra
Energy Partners LP 4.50%,
3/15/2045 |
15,000 |
13,084 |
Suncor
Energy, Inc. (Canada) 6.80%,
5/15/2038 |
83,000 |
91,483 |
Sunoco
LP 6.00%, 4/15/2027 |
80,000 |
77,370 |
Tallgrass
Energy Partners LP
|
|
|
7.50%,
10/1/2025 (a) |
45,000 |
45,056 |
5.50%,
1/15/2028 (a) |
55,000 |
47,556 |
6.00%,
12/31/2030 (a) |
115,000 |
100,655 |
6.00%,
9/1/2031 (a) |
40,000 |
35,000 |
Targa
Resources Corp. 5.20%, 7/1/2027 |
31,000 |
30,922 |
TotalEnergies
Capital International SA
(France) |
|
|
3.46%,
7/12/2049 |
84,000 |
68,895 |
3.13%,
5/29/2050 |
80,000 |
61,677 |
TransCanada
PipeLines Ltd. (Canada)
5.10%,
3/15/2049 |
48,000 |
47,543 |
Valero
Energy Corp. 2.15%, 9/15/2027 |
25,000 |
22,368 |
Venture
Global Calcasieu Pass LLC 3.88%,
8/15/2029
(a) |
90,000 |
78,525 |
Western
Midstream Operating LP
|
|
|
4.50%,
3/1/2028 |
225,000 |
208,856 |
4.75%,
8/15/2028 |
30,000 |
28,241 |
Williams
Cos., Inc. (The)
|
|
|
2.60%,
3/15/2031 |
1,525,000 |
1,273,966 |
5.40%,
3/4/2044 |
50,000 |
47,763 |
|
|
11,785,565 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Personal
Products — 0.1% | ||
Edgewell
Personal Care Co.
|
|
|
5.50%,
6/1/2028 (a) |
100,000 |
92,351 |
4.13%,
4/1/2029 (a) |
70,000 |
60,164 |
Estee
Lauder Cos., Inc. (The) 2.60%,
4/15/2030 |
158,000 |
141,178 |
Prestige
Brands, Inc. 5.13%, 1/15/2028
(a) |
80,000 |
73,792 |
|
|
367,485 |
Pharmaceuticals
— 0.7% | ||
Astrazeneca
Finance LLC (United Kingdom)
2.25%,
5/28/2031 |
120,000 |
103,857 |
Bausch
Health Americas, Inc.
|
|
|
9.25%,
4/1/2026 (a) |
263,000 |
157,800 |
8.50%,
1/31/2027 (a) |
88,000 |
42,240 |
Bausch
Health Cos., Inc.
|
|
|
5.50%,
11/1/2025 (a) |
55,000 |
45,375 |
5.75%,
8/15/2027 (a) |
30,000 |
21,876 |
5.00%,
1/30/2028 (a) |
30,000 |
11,250 |
4.88%,
6/1/2028 (a) |
280,000 |
193,553 |
5.00%,
2/15/2029 (a) |
175,000 |
68,250 |
Bayer
US Finance II LLC (Germany) 3.38%,
7/15/2024
(a) |
70,000 |
68,450 |
Bristol-Myers
Squibb Co.
|
|
|
4.13%,
6/15/2039 |
164,000 |
153,620 |
2.35%,
11/13/2040 |
80,000 |
58,485 |
2.55%,
11/13/2050 |
70,000 |
48,187 |
3.70%,
3/15/2052 |
220,000 |
186,400 |
Eli
Lilly & Co. 2.25%, 5/15/2050 |
70,000 |
48,405 |
Jazz
Securities DAC 4.38%, 1/15/2029
(a) |
200,000 |
180,348 |
Merck
& Co., Inc. 2.75%, 12/10/2051 |
340,000 |
245,906 |
Organon
& Co. 4.13%, 4/30/2028 (a) |
200,000 |
179,434 |
Par
Pharmaceutical, Inc. 7.50%, 4/1/2027
(a) |
80,000 |
67,997 |
Pfizer,
Inc. 2.63%, 4/1/2030 |
130,000 |
116,918 |
Roche
Holdings, Inc. (Switzerland) 2.08%,
12/13/2031
(a) |
600,000 |
505,344 |
Royalty
Pharma plc 1.20%, 9/2/2025 |
16,000 |
14,545 |
Shire
Acquisitions Investments Ireland
DAC 3.20%,
9/23/2026 |
145,000 |
138,597 |
Takeda
Pharmaceutical Co. Ltd. (Japan)
3.03%,
7/9/2040 |
200,000 |
154,955 |
Zoetis,
Inc. 2.00%, 5/15/2030 |
35,000 |
29,405 |
|
|
2,841,197 |
62
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Real
Estate Management & Development — 0.0% ^ | ||
Kennedy-Wilson,
Inc. 4.75%, 3/1/2029 |
75,000 |
62,579 |
Realogy
Group LLC 5.75%, 1/15/2029 (a) |
105,000 |
82,264 |
|
|
144,843 |
Road
& Rail — 0.4% | ||
Avis
Budget Car Rental LLC
|
|
|
4.75%,
4/1/2028 (a) |
95,000 |
82,927 |
5.38%,
3/1/2029 (a) |
55,000 |
47,930 |
Burlington
Northern Santa Fe LLC
|
|
|
3.55%,
2/15/2050 |
78,000 |
65,151 |
3.05%,
2/15/2051 |
155,000 |
119,582 |
Canadian
Pacific Railway Co. (Canada)
3.10%,
12/2/2051 |
90,000 |
66,455 |
CSX
Corp. 3.25%, 6/1/2027 |
20,000 |
19,264 |
Hertz
Corp. (The) 4.63%, 12/1/2026 (a) |
160,000 |
137,042 |
Kansas
City Southern 2.88%, 11/15/2029 |
775,000 |
692,740 |
Norfolk
Southern Corp. 3.95%, 10/1/2042 |
50,000 |
43,246 |
Penske
Truck Leasing Co. LP 1.20%,
11/15/2025
(a) |
46,000 |
40,773 |
Triton
Container International
Ltd. (Bermuda)
1.15%, 6/7/2024 (a) |
200,000 |
185,850 |
Uber
Technologies, Inc. 7.50%,
5/15/2025
(a) |
80,000 |
80,518 |
|
|
1,581,478 |
Semiconductors
& Semiconductor Equipment — 0.5% | ||
Amkor
Technology, Inc. 6.63%,
9/15/2027
(a) |
135,000 |
131,868 |
Analog
Devices, Inc.
|
|
|
3.50%,
12/5/2026 |
25,000 |
24,575 |
2.95%,
10/1/2051 |
107,000 |
80,960 |
Entegris
Escrow Corp. 5.95%, 6/15/2030
(a) |
150,000 |
142,325 |
KLA
Corp.
|
|
|
4.65%,
7/15/2032 |
80,000 |
81,297 |
3.30%,
3/1/2050 |
30,000 |
23,445 |
Marvell
Technology, Inc. 2.95%,
4/15/2031 |
85,000 |
69,689 |
Microchip
Technology, Inc. 0.97%,
2/15/2024 |
25,000 |
23,800 |
NVIDIA
Corp. 2.00%, 6/15/2031 |
80,000 |
67,479 |
NXP
BV (China) |
|
|
3.25%,
5/11/2041 |
70,000 |
50,632 |
3.13%,
2/15/2042 |
30,000 |
21,174 |
ON
Semiconductor Corp. 3.88%,
9/1/2028
(a) |
75,000 |
66,885 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Semiconductors
& Semiconductor Equipment — continued | ||
QUALCOMM,
Inc.
|
|
|
4.25%,
5/20/2032 |
55,000 |
55,427 |
4.50%,
5/20/2052 |
35,000 |
33,884 |
TSMC
Arizona Corp. (Taiwan) |
|
|
2.50%,
10/25/2031 |
520,000 |
439,748 |
4.25%,
4/22/2032 |
240,000 |
235,008 |
TSMC
Global Ltd. (Taiwan) 1.00%,
9/28/2027
(a) |
380,000 |
323,000 |
Xilinx,
Inc. 2.38%, 6/1/2030 |
39,000 |
34,001 |
|
|
1,905,197 |
Software
— 0.3% | ||
Clarivate
Science Holdings Corp. 3.88%,
7/1/2028
(a) |
145,000 |
124,121 |
Microsoft
Corp. 2.92%, 3/17/2052 |
90,000 |
70,797 |
NCR
Corp.
|
|
|
5.75%,
9/1/2027 (a) |
115,000 |
110,611 |
6.13%,
9/1/2029 (a) |
161,000 |
153,520 |
Oracle
Corp.
|
|
|
2.65%,
7/15/2026 |
233,000 |
214,851 |
2.30%,
3/25/2028 |
15,000 |
13,037 |
3.80%,
11/15/2037 |
150,000 |
116,474 |
3.65%,
3/25/2041 |
15,000 |
11,004 |
3.95%,
3/25/2051 |
15,000 |
10,774 |
4.38%,
5/15/2055 |
55,000 |
41,425 |
Roper
Technologies, Inc. 1.75%,
2/15/2031 |
45,000 |
35,267 |
SS&C
Technologies, Inc. 5.50%,
9/30/2027
(a) |
150,000 |
142,133 |
VMware,
Inc. 4.65%, 5/15/2027 |
105,000 |
103,989 |
Workday,
Inc. 3.70%, 4/1/2029 |
172,000 |
161,215 |
|
|
1,309,218 |
Specialty
Retail — 0.5% | ||
Asbury
Automotive Group, Inc. 4.50%,
3/1/2028 |
141,000 |
125,923 |
Bath
& Body Works, Inc.
|
|
|
7.50%,
6/15/2029 |
135,000 |
129,843 |
6.88%,
11/1/2035 |
135,000 |
117,849 |
Gap,
Inc. (The)
|
|
|
3.63%,
10/1/2029 (a) |
130,000 |
90,544 |
3.88%,
10/1/2031 (a) |
60,000 |
41,611 |
Group
1 Automotive, Inc. 4.00%,
8/15/2028
(a) |
115,000 |
98,254 |
Home
Depot, Inc. (The)
|
|
|
3.90%,
12/6/2028 |
112,000 |
111,023 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
63
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Specialty
Retail — continued | ||
4.25%,
4/1/2046 |
201,000 |
186,299 |
Lithia
Motors, Inc. 3.88%, 6/1/2029 (a) |
100,000 |
84,401 |
Lowe's
Cos., Inc.
|
|
|
1.70%,
10/15/2030 |
170,000 |
136,259 |
3.75%,
4/1/2032 |
155,000 |
142,743 |
O'Reilly
Automotive, Inc.
|
|
|
1.75%,
3/15/2031 |
73,000 |
57,934 |
4.70%,
6/15/2032 |
90,000 |
89,144 |
Penske
Automotive Group, Inc. 3.75%,
6/15/2029 |
115,000 |
97,274 |
PetSmart,
Inc. 4.75%, 2/15/2028 (a) |
250,000 |
222,771 |
SRS
Distribution, Inc. 4.63%, 7/1/2028
(a) |
90,000 |
79,664 |
Staples,
Inc.
|
|
|
7.50%,
4/15/2026 (a) |
75,000 |
63,379 |
10.75%,
4/15/2027 (a) |
23,000 |
16,905 |
|
|
1,891,820 |
Technology
Hardware, Storage & Peripherals — 0.3% | ||
Apple,
Inc.
|
|
|
2.20%,
9/11/2029 |
46,000 |
41,050 |
1.25%,
8/20/2030 |
100,000 |
81,555 |
3.35%,
8/8/2032 |
230,000 |
217,481 |
4.38%,
5/13/2045 |
129,000 |
126,355 |
2.65%,
2/8/2051 |
150,000 |
109,761 |
3.95%,
8/8/2052 |
120,000 |
110,737 |
2.85%,
8/5/2061 |
350,000 |
248,507 |
Dell
International LLC
|
|
|
4.90%,
10/1/2026 |
30,000 |
30,116 |
5.30%,
10/1/2029 |
100,000 |
99,093 |
Seagate
HDD Cayman 3.13%, 7/15/2029 |
220,000 |
174,738 |
|
|
1,239,393 |
Textiles,
Apparel & Luxury Goods — 0.0% ^ | ||
Hanesbrands,
Inc.
|
|
|
4.63%,
5/15/2024 (a) |
13,000 |
12,522 |
4.88%,
5/15/2026 (a) |
20,000 |
18,401 |
William
Carter Co. (The) 5.63%,
3/15/2027
(a) |
100,000 |
96,563 |
|
|
127,486 |
Thrifts
& Mortgage Finance — 0.2% | ||
BPCE
SA (France) |
|
|
3.50%,
10/23/2027 (a) |
250,000 |
229,290 |
(SOFR
+ 1.73%), 3.12%,
10/19/2032 (a)
(b) |
250,000 |
195,658 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Thrifts
& Mortgage Finance — continued | ||
Nationstar
Mortgage Holdings, Inc. 6.00%,
1/15/2027
(a) |
115,000 |
102,283 |
Rocket
Mortgage LLC
|
|
|
2.88%,
10/15/2026 (a) |
60,000 |
50,400 |
3.63%,
3/1/2029 (a) |
120,000 |
96,600 |
|
|
674,231 |
Tobacco
— 0.4% | ||
Altria
Group, Inc.
|
|
|
2.45%,
2/4/2032 |
80,000 |
60,464 |
3.40%,
2/4/2041 |
145,000 |
98,022 |
3.88%,
9/16/2046 |
95,000 |
65,882 |
BAT
Capital Corp. (United Kingdom) |
|
|
3.56%,
8/15/2027 |
141,000 |
129,530 |
4.39%,
8/15/2037 |
600,000 |
474,575 |
Imperial
Brands Finance plc (United
Kingdom)
6.13%, 7/27/2027 (a) |
285,000 |
289,306 |
Philip
Morris International, Inc.
|
|
|
3.13%,
3/2/2028 |
49,000 |
44,984 |
4.38%,
11/15/2041 |
345,000 |
285,532 |
4.13%,
3/4/2043 |
100,000 |
78,648 |
|
|
1,526,943 |
Trading
Companies & Distributors — 0.4% | ||
Air
Lease Corp.
|
|
|
3.38%,
7/1/2025 |
92,000 |
87,364 |
1.88%,
8/15/2026 |
50,000 |
43,738 |
Aviation
Capital Group LLC
|
|
|
4.13%,
8/1/2025 (a) |
110,000 |
103,217 |
1.95%,
1/30/2026 (a) |
50,000 |
43,139 |
Herc
Holdings, Inc. 5.50%, 7/15/2027 (a) |
565,000 |
533,493 |
Imola
Merger Corp. 4.75%, 5/15/2029
(a) |
170,000 |
144,324 |
United
Rentals North America, Inc. 5.25%,
1/15/2030 |
240,000 |
227,040 |
WESCO
Distribution, Inc.
|
|
|
7.13%,
6/15/2025 (a) |
85,000 |
85,015 |
7.25%,
6/15/2028 (a) |
210,000 |
211,735 |
|
|
1,479,065 |
Transportation
Infrastructure — 0.0% ^ | ||
Transurban
Finance Co. Pty. Ltd. (Australia)
2.45%,
3/16/2031 (a) |
12,000 |
9,756 |
Wireless
Telecommunication Services — 0.2% | ||
Hughes
Satellite Systems Corp. 6.63%,
8/1/2026 |
105,000 |
99,356 |
64
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Wireless
Telecommunication Services — continued | ||
Rogers
Communications, Inc. (Canada)
4.55%,
3/15/2052 (a) |
40,000 |
35,111 |
Sprint
Corp.
|
|
|
7.88%,
9/15/2023 |
8,000 |
8,242 |
7.13%,
6/15/2024 |
30,000 |
30,974 |
7.63%,
3/1/2026 |
225,000 |
237,966 |
T-Mobile
USA, Inc.
|
|
|
4.75%,
2/1/2028 |
195,000 |
190,729 |
2.55%,
2/15/2031 |
95,000 |
79,068 |
|
|
681,446 |
Total
Corporate Bonds
(Cost
$135,774,472) |
|
121,994,621 |
Asset-Backed
Securities — 17.0% | ||
ACC
Trust Series 2022-1, Class C, 3.24%,
10/20/2025 (a) |
1,000,000 |
949,437 |
Affirm
Asset Securitization Trust Series
2021-A,
Class C, 1.66%, 8/15/2025 ‡
(a) |
500,000 |
483,179 |
Air
Canada Pass-Through Trust (Canada)
Series
2017-1, Class AA, 3.30%,
1/15/2030 (a) |
397,600 |
354,427 |
American
Airlines Pass-Through Trust Series
2015-2,
Class A, 4.00%, 9/22/2027 |
193,263 |
165,501 |
American
Credit Acceptance Receivables
Trust |
|
|
Series
2020-2, Class C, 3.88%,
4/13/2026 (a) |
217,047 |
216,524 |
Series
2022-2, Class E, 6.57%,
6/13/2028 (a) |
300,000 |
290,666 |
Series
2022-3, Class D, 5.83%,
10/13/2028 (a) |
506,000 |
501,836 |
American
Homes 4 Rent Trust |
|
|
Series
2014-SFR3, Class B, 4.20%,
12/17/2036 ‡
(a) |
125,000 |
123,444 |
Series
2015-SFR1, Class E, 5.64%,
4/17/2052 (a) |
150,000 |
150,654 |
Series
2015-SFR1, Class F, 5.89%,
4/17/2052 ‡
(a) |
400,000 |
391,620 |
Series
2015-SFR2, Class A, 3.73%,
10/17/2052 ‡
(a) |
90,648 |
88,539 |
AMSR
Trust |
|
|
Series
2020-SFR1, Class E, 3.22%,
4/17/2037 (a) |
500,000 |
470,559 |
Series
2020-SFR2, Class E2, 4.28%,
7/17/2037 ‡
(a) |
375,000 |
358,702 |
Series
2020-SFR3, Class E2, 2.76%,
9/17/2037 ‡
(a) |
350,000 |
321,563 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Series
2020-SFR4, Class A, 1.36%,
11/17/2037 (a) |
1,500,000 |
1,378,920 |
Series
2020-SFR4, Class E2, 2.46%,
11/17/2037 ‡
(a) |
425,000 |
384,098 |
Series
2022-SFR1, Class F, 6.02%,
3/17/2039 ‡
(a) |
750,000 |
697,997 |
Series
2022-SFR3, Class E2, 4.00%,
10/17/2039 (a) |
1,000,000 |
844,932 |
Aqua
Finance Trust Series 2019-A, Class B,
3.47%,
7/16/2040 ‡
(a) |
246,000 |
233,253 |
Avid
Automobile Receivables Trust Series
2019-1,
Class D, 4.03%, 7/15/2026 (a) |
300,000 |
297,367 |
British
Airways Pass-Through Trust (United
Kingdom)
Series 2013-1, Class A,
4.63%,
6/20/2024 (a) |
131,096 |
128,420 |
Business
Jet Securities LLC |
|
|
Series
2020-1A, Class A, 2.98%,
11/15/2035 (a) |
947,259 |
885,905 |
Series
2021-1A, Class A, 2.16%,
4/15/2036 (a) |
251,500 |
226,239 |
Series
2021-1A, Class B, 2.92%,
4/15/2036 ‡
(a) |
541,342 |
480,699 |
Series
2021-1A, Class C, 5.07%,
4/15/2036 ‡
(a) |
266,688 |
251,591 |
CarNow
Auto Receivables Trust Series
2021-1A,
Class C, 2.16%,
2/17/2026 (a) |
200,000 |
194,515 |
Carvana
Auto Receivables Trust |
|
|
Series
2020-N1A, Class B, 2.01%,
3/17/2025 (a) |
48,265 |
48,214 |
Series
2019-4A, Class D, 3.07%,
7/15/2025 (a) |
110,000 |
108,715 |
Cascade
MH Asset Trust Series 2019-MH1,
Class
B, 5.00%, 11/25/2044 ‡
(a) (g) |
401,843 |
361,237 |
CoreVest
American Finance Trust |
|
|
Series
2019-1, Class E, 5.49%,
3/15/2052 ‡
(a) (g) |
551,000 |
508,347 |
Series
2019-2, Class E, 5.42%,
6/15/2052 ‡
(a) (g) |
650,000 |
586,016 |
Series
2019-3, Class E, 4.92%,
10/15/2052 ‡
(a) (g) |
570,000 |
492,018 |
CPS
Auto Receivables Trust |
|
|
Series
2020-B, Class C, 3.30%,
4/15/2026 (a) |
85,149 |
85,104 |
Series
2022-C, Class C, 5.28%,
4/15/2030 (a) |
1,000,000 |
993,648 |
Credit
Acceptance Auto Loan Trust Series
2020-1A,
Class C, 2.59%,
6/15/2029 (a) |
750,000 |
733,286 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
65
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
DataBank
Issuer Series 2021-1A, Class A2,
2.06%,
2/27/2051 (a) |
250,000 |
222,525 |
Delta
Air Lines Pass-Through Trust Series
2019-1,
Class AA, 3.20%, 4/25/2024 |
15,000 |
14,526 |
Diamond
Resorts Owner Trust |
|
|
Series
2021-1A, Class A, 1.51%,
11/21/2033 (a) |
280,534 |
260,172 |
Series
2021-1A, Class D, 3.83%,
11/21/2033 ‡
(a) |
246,082 |
230,955 |
Drive
Auto Receivables Trust Series
2020-2,
Class D, 3.05%, 5/15/2028 |
750,000 |
737,036 |
DT
Auto Owner Trust Series 2020-2A,
Class
D, 4.73%, 3/16/2026 (a) |
500,000 |
497,142 |
Elara
HGV Timeshare Issuer LLC |
|
|
Series
2021-A, Class C, 2.09%,
8/27/2035 ‡
(a) |
569,535 |
507,022 |
Series
2021-A, Class D, 3.32%,
8/27/2035 ‡
(a) |
203,405 |
182,390 |
Exeter
Automobile Receivables Trust |
|
|
Series
2020-2A, Class C, 3.28%,
5/15/2025 (a) |
162,207 |
161,861 |
Series
2020-2A, Class D, 4.73%,
4/15/2026 (a) |
400,000 |
400,007 |
Series
2022-3A, Class D, 6.76%,
9/15/2028 |
1,000,000 |
1,012,794 |
Series
2022-4A, Class E, 8.23%,
3/15/2030 (a) |
1,000,000 |
995,802 |
FHF
Trust Series 2021-1A, Class A, 1.27%,
3/15/2027 (a) |
263,728 |
253,054 |
FirstKey
Homes Trust |
|
|
Series
2020-SFR1, Class F1, 3.64%,
8/17/2037 ‡
(a) |
1,201,000 |
1,105,256 |
Series
2020-SFR2, Class E, 2.67%,
10/19/2037 ‡
(a) |
1,000,000 |
918,087 |
Series
2021-SFR1, Class E1, 2.39%,
8/17/2038 ‡
(a) |
500,000 |
432,216 |
Series
2021-SFR1, Class F1, 3.24%,
8/17/2038 ‡
(a) |
600,000 |
512,763 |
Series
2021-SFR2, Class E1, 2.26%,
9/17/2038 ‡
(a) |
635,000 |
543,530 |
Series
2021-SFR2, Class E2, 2.36%,
9/17/2038 ‡
(a) |
814,000 |
687,975 |
Series
2022-SFR2, Class E2, 4.50%,
7/17/2039 ‡
(a) |
492,000 |
430,031 |
Flagship
Credit Auto Trust |
|
|
Series
2020-4, Class D, 2.18%,
2/16/2027 (a) |
280,000 |
267,666 |
Series
2021-4, Class C, 1.96%,
12/15/2027 (a) |
500,000 |
462,746 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Series
2022-3, Class E, 7.95%,
10/15/2029 (a) |
1,000,000 |
988,248 |
FMC
GMSR Issuer Trust |
|
|
Series
2021-GT1, Class B, 4.36%,
7/25/2026 ‡
(a) (g) |
400,000 |
357,307 |
Series
2022-GT1, Class B, 7.17%,
4/25/2027 ‡
(a) |
600,000 |
556,842 |
FNMA,
Grantor Trust Series 2017-T1,
Class
A, 2.90%, 6/25/2027 |
1,093,640 |
1,051,088 |
Foundation
Finance Trust |
|
|
Series
2020-1A, Class B, 4.62%,
7/16/2040 ‡
(a) |
300,000 |
294,138 |
Series
2020-1A, Class C, 5.75%,
7/16/2040 ‡
(a) |
150,000 |
148,253 |
Series
2021-1A, Class C, 2.99%,
5/15/2041 ‡
(a) |
536,000 |
461,695 |
FREED
ABS Trust |
|
|
Series
2021-2, Class C, 1.94%,
6/19/2028 ‡
(a) |
200,000 |
193,965 |
Series
2022-1FP, Class D, 3.35%,
3/19/2029 ‡
(a) |
700,000 |
648,579 |
Series
2022-3FP, Class C, 7.05%,
8/20/2029 ‡
(a) |
500,000 |
496,479 |
Genesis
Sales Finance Master Trust Series
2020-AA,
Class C, 2.99%,
9/22/2025 (a) |
300,000 |
274,077 |
GLS
Auto Receivables Issuer Trust Series
2022-1A,
Class D, 3.97%,
1/18/2028 (a) |
1,000,000 |
935,866 |
HGI
CRE CLO Ltd. (Cayman Islands) Series
2022-FL3,
Class E, 6.28%,
4/20/2037 ‡
(a) (g) |
663,500 |
631,744 |
Hilton
Grand Vacations Trust |
|
|
Series
2022-1D, Class D, 6.79%,
6/20/2034 ‡
(a) |
411,292 |
398,294 |
Series
2022-2A, Class D, 8.73%,
1/25/2037 (a) |
600,000 |
591,310 |
Series
2020-AA, Class C, 6.42%,
2/25/2039 ‡
(a) |
254,199 |
256,377 |
HIN
Timeshare Trust |
|
|
Series
2020-A, Class D, 5.50%,
10/9/2039 ‡
(a) |
102,295 |
96,128 |
Series
2020-A, Class E, 6.50%,
10/9/2039 ‡
(a) |
460,328 |
433,859 |
HINNT
LLC Series 2022-A, Class D, 6.50%,
5/15/2041 ‡
(a) |
899,013 |
834,801 |
Home
Partners of America Trust Series
2022-1,
Class D, 4.73%, 4/17/2039 ‡
(a) |
976,337 |
926,142 |
66
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
Lendingpoint
Asset Securitization Trust
Series
2022-A, Class D, 4.54%,
6/15/2029 (a) |
1,000,000 |
836,039 |
Lendmark
Funding Trust |
|
|
Series
2019-2A, Class C, 3.72%,
4/20/2028 ‡
(a) |
100,000 |
93,182 |
Series
2019-2A, Class D, 5.24%,
4/20/2028 ‡
(a) |
700,000 |
650,978 |
Series
2021-1A, Class D, 5.05%,
11/20/2031 ‡
(a) |
870,000 |
666,881 |
Series
2021-2A, Class B, 2.37%,
4/20/2032 ‡
(a) |
1,000,000 |
790,469 |
LL
ABS Trust Series 2020-1A, Class B,
3.79%,
1/17/2028 ‡
(a) |
193,735 |
193,134 |
LP
LMS Asset Securitization Trust, 6.17%,
10/15/2028 |
550,000 |
529,045 |
Mariner
Finance Issuance Trust Series
2021-AA,
Class D, 3.83%, 3/20/2036 ‡
(a) |
351,000 |
299,961 |
Mercury
Financial Credit Card Master Trust |
|
|
Series
2021-1A, Class A, 1.54%,
3/20/2026 (a) |
600,000 |
568,365 |
Series
2021-1A, Class B, 2.33%,
3/20/2026 (a) |
200,000 |
188,905 |
MVW
LLC |
|
|
Series
2020-1A, Class C, 4.21%,
10/20/2037 ‡
(a) |
152,508 |
143,383 |
Series
2019-2A, Class B, 2.44%,
10/20/2038 ‡
(a) |
69,871 |
65,351 |
MVW
Owner Trust Series 2019-1A, Class C,
3.33%,
11/20/2036 ‡
(a) |
43,063 |
40,689 |
New
Residential Mortgage Loan Trust |
|
|
Series
2022-SFR1, Class D, 3.30%,
2/17/2039 ‡
(a) |
340,000 |
307,407 |
Series
2022-SFR1, Class E1, 3.55%,
2/17/2039 ‡
(a) |
420,000 |
376,985 |
NMEF
Funding LLC Series 2021-A, Class C,
2.58%,
12/15/2027 ‡
(a) |
600,000 |
555,214 |
NRZ
Excess Spread-Collateralized Notes |
|
|
Series
2020-PLS1, Class A, 3.84%,
12/25/2025 (a) |
226,497 |
213,259 |
Series
2021-FNT1, Class A, 2.98%,
3/25/2026 (a) |
802,181 |
725,385 |
Series
2021-FNT2, Class A, 3.23%,
5/25/2026 (a) |
220,392 |
200,625 |
Series
2021-GNT1, Class A, 3.47%,
11/25/2026 (a) |
328,712 |
302,605 |
NRZ
FHT Excess LLC Series 2020-FHT1,
Class
A, 4.21%, 11/25/2025 (a) |
262,437 |
247,378 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Octane
Receivables Trust Series 2020-1A,
Class
C, 2.89%, 3/20/2026 ‡
(a) |
350,000 |
333,258 |
Oportun
Funding XIV LLC |
|
|
Series
2021-A, Class A, 1.21%,
3/8/2028 (a) |
100,000 |
93,245 |
Series
2021-A, Class C, 3.44%,
3/8/2028 ‡
(a) |
380,000 |
350,463 |
Oportun
Issuance Trust |
|
|
Series
2022-2, Class C, 9.36%,
10/9/2029 ‡
(a) |
750,000 |
744,844 |
Series
2021-B, Class B, 1.96%,
5/8/2031 ‡
(a) |
400,000 |
366,879 |
Series
2021-B, Class C, 3.65%,
5/8/2031 ‡
(a) |
100,000 |
93,417 |
Series
2022-A, Class C, 7.40%,
6/9/2031 ‡
(a) |
755,000 |
735,374 |
Pagaya
AI Debt Selection Trust Series
2021-1,
Class B, 2.13%, 11/15/2027 ‡
(a) |
499,794 |
457,843 |
Prestige
Auto Receivables Trust Series
2018-1A,
Class D, 4.14%,
10/15/2024 (a) |
107,047 |
106,910 |
PRET
LLC |
|
|
Series
2021-NPL6, Class A1, 2.49%,
7/25/2051 (a)
(f) |
701,787 |
660,400 |
Series
2021-RN3, Class A1, 1.84%,
9/25/2051 ‡
(a) (f) |
855,746 |
797,494 |
Pretium
Mortgage Credit Partners I LLC
Series
2021-NPL1, Class A1, 2.24%,
9/27/2060 (a)
(f) |
362,406 |
345,371 |
Progress
Residential |
|
|
Series
2021-SFR3, Class E1, 2.54%,
5/17/2026 ‡
(a) |
450,000 |
392,941 |
Series
2021-SFR3, Class E2, 2.69%,
5/17/2026 ‡
(a) |
645,000 |
561,547 |
Progress
Residential Trust |
|
|
Series
2022-SFR2, Class E2, 4.80%,
4/17/2027 ‡ |
651,000 |
589,995 |
Series
2020-SFR3, Class E, 2.30%,
10/17/2027 ‡
(a) |
300,000 |
271,991 |
Series
2020-SFR3, Class G, 4.11%,
10/17/2027 ‡
(a) |
500,000 |
463,381 |
Series
2020-SFR1, Class E, 3.03%,
4/17/2037 ‡
(a) |
425,000 |
401,531 |
Series
2020-SFR1, Class F, 3.43%,
4/17/2037 ‡
(a) |
450,000 |
421,134 |
Series
2020-SFR2, Class D, 3.87%,
6/17/2037 ‡
(a) |
750,000 |
720,407 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
67
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
Series
2021-SFR2, Class E2, 2.65%,
4/19/2038 ‡
(a) |
400,000 |
347,499 |
Series
2021-SFR5, Class E1, 2.21%,
7/17/2038 ‡
(a) |
950,000 |
817,579 |
Series
2021-SFR5, Class E2, 2.36%,
7/17/2038 (a) |
270,000 |
230,908 |
Series
2022-SFR3, Class F, 6.60%,
4/17/2039 ‡
(a) |
665,000 |
625,168 |
Series
2022-SFR5, Class E2, 6.86%,
6/17/2039 ‡
(a) |
388,000 |
383,302 |
Series
2021-SFR7, Class E1, 2.59%,
8/17/2040 ‡
(a) |
793,000 |
646,492 |
Series
2022-SFR1, Class E2, 3.99%,
2/17/2041 ‡
(a) |
750,000 |
645,743 |
ReadyCap
Lending Small Business Loan
Trust
Series 2019-2, Class A, 5.00%,
12/27/2044 (a)
(g) |
85,988 |
81,804 |
Regional
Management Issuance Trust |
|
|
Series
2020-1, Class C, 3.80%,
10/15/2030 ‡
(a) |
300,000 |
273,217 |
Series
2021-1, Class D, 5.07%,
3/17/2031 ‡
(a) |
500,000 |
420,992 |
Santander
Revolving Auto Loan Trust Series
2019-A,
Class D, 3.45%, 1/26/2032 (a) |
150,000 |
142,738 |
Sierra
Timeshare Receivables Funding LLC |
|
|
Series
2020-2A, Class D, 6.59%,
7/20/2037 ‡
(a) |
729,303 |
708,544 |
Series
2021-1A, Class D, 3.17%,
11/20/2037 ‡
(a) |
341,639 |
316,445 |
Series
2022-1A, Class D, 6.00%,
10/20/2038 ‡
(a) |
695,969 |
662,682 |
Series
2022-2A, Class D, 9.22%,
6/20/2040 ‡
(a) |
675,884 |
670,387 |
SpringCastle
America Funding LLC Series
2020-AA,
Class A, 1.97%,
9/25/2037 (a) |
743,030 |
686,031 |
Theorem
Funding Trust Series 2022-2A,
Class
A, 6.06%, 12/15/2028 (a) |
530,000 |
531,691 |
Tricon
American Homes Series 2020-SFR1,
Class
E, 3.54%, 7/17/2038 ‡
(a) |
300,000 |
277,564 |
United
Airlines Pass-Through Trust |
|
|
Series
2014-1, Class A, 4.00%,
4/11/2026 |
123,108 |
114,054 |
Series
2016-2, Class A, 3.10%,
10/7/2028 |
7,621 |
6,177 |
Series
2018-1, Class A, 3.70%,
3/1/2030 |
12,508 |
10,519 |
United
Auto Credit Securitization Trust
Series
2022-2, Class C, 5.81%,
5/10/2027 (a) |
856,000 |
852,074 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Upstart
Securitization Trust Series 2022-4,
Class
A, 5.98%, 8/20/2032 (a) |
1,093,000 |
1,089,029 |
US
Airways Pass-Through Trust Series
2011-1,
Class A, 7.13%, 10/22/2023 |
13,189 |
13,168 |
US
Auto Funding Trust Series 2022-1A,
Class
D, 9.14%, 7/15/2027 (a) |
1,000,000 |
957,535 |
USASF
Receivables LLC |
|
|
Series
2020-1A, Class B, 3.22%,
5/15/2024 (a) |
264,195 |
262,919 |
Series
2020-1A, Class D, 9.35%,
3/15/2027 (a) |
750,000 |
751,919 |
VCAT
LLC |
|
|
Series
2021-NPL1, Class A1, 2.29%,
12/26/2050 ‡
(a) (f) |
230,639 |
221,665 |
Series
2021-NPL5, Class A1, 1.87%,
8/25/2051 ‡
(a) (f) |
641,450 |
592,353 |
Veros
Auto Receivables Trust Series
2021-1,
Class B, 1.49%,
10/15/2026 (a) |
300,000 |
286,521 |
VOLT
XCII LLC Series 2021-NPL1, Class A1,
1.89%,
2/27/2051 (a)
(f) |
157,936 |
147,103 |
VOLT
XCIII LLC Series 2021-NPL2, Class A1,
1.89%,
2/27/2051 (a)
(f) |
702,169 |
663,626 |
VOLT
XCIV LLC Series 2021-NPL3, Class A1,
2.24%,
2/27/2051 (a)
(f) |
226,900 |
215,825 |
Westgate
Resorts LLC |
|
|
Series
2020-1A, Class C, 6.21%,
3/20/2034 ‡
(a) |
124,242 |
123,794 |
Series
2022-1A, Class B, 2.29%,
8/20/2036 ‡
(a) |
209,805 |
199,531 |
Series
2022-1A, Class D, 3.84%,
8/20/2036 ‡
(a) |
839,220 |
785,977 |
Westlake
Automobile Receivables Trust
Series
2022-2A, Class D, 5.48%,
9/15/2027 (a) |
1,000,000 |
996,804 |
Total
Asset-Backed Securities
(Cost
$73,647,942) |
|
69,860,964 |
U.S.
Treasury Obligations — 15.9% | ||
U.S.
Treasury Bonds |
|
|
4.50%,
8/15/2039 |
715,000 |
825,769 |
1.13%,
5/15/2040 |
994,000 |
676,541 |
4.38%,
5/15/2040 |
370,000 |
419,329 |
1.13%,
8/15/2040 |
2,755,000 |
1,858,118 |
1.38%,
11/15/2040 |
800,000 |
562,813 |
4.75%,
2/15/2041 |
2,113,000 |
2,500,686 |
2.25%,
5/15/2041 |
3,076,000 |
2,508,382 |
3.75%,
11/15/2043 |
2,226,000 |
2,279,215 |
3.38%,
11/15/2048 |
1,144,000 |
1,133,052 |
68
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
U.S.
Treasury Obligations — continued | ||
2.38%,
11/15/2049 |
3,939,000 |
3,246,136 |
2.00%,
2/15/2050 |
358,000 |
270,793 |
1.88%,
2/15/2051 |
1,207,000 |
880,686 |
2.38%,
5/15/2051 |
3,954,000 |
3,255,254 |
2.25%,
2/15/2052 |
6,776,000 |
5,412,330 |
U.S.
Treasury Notes |
|
|
2.13%,
2/29/2024 |
156,000 |
152,947 |
1.13%,
2/28/2025 |
565,000 |
533,373 |
1.13%,
10/31/2026 |
10,471,000 |
9,540,881 |
0.50%,
8/31/2027 |
2,381,000 |
2,071,191 |
0.63%,
11/30/2027 |
2,224,000 |
1,933,490 |
1.25%,
3/31/2028 |
180,000 |
160,664 |
1.25%,
4/30/2028 |
4,100,000 |
3,654,605 |
1.25%,
9/30/2028 |
8,045,000 |
7,115,740 |
0.88%,
11/15/2030 |
430,000 |
359,436 |
1.63%,
5/15/2031 |
443,000 |
391,346 |
1.38%,
11/15/2031 |
678,000 |
580,776 |
1.88%,
2/15/2032 |
5,701,000 |
5,097,050 |
U.S.
Treasury STRIPS Bonds |
|
|
2.52%,
5/15/2032 (h) |
2,200,000 |
1,595,425 |
1.64%,
5/15/2033 (h) |
3,205,000 |
2,244,516 |
2.28%,
2/15/2034 (h) |
838,000 |
571,132 |
1.32%,
8/15/2039 (h) |
511,000 |
295,107 |
2.37%,
11/15/2040 (h) |
3,172,000 |
1,657,040 |
2.26%,
8/15/2041 (h) |
207,000 |
103,339 |
2.22%,
11/15/2041 (h) |
845,000 |
425,942 |
2.58%,
2/15/2042 (h) |
1,065,000 |
517,463 |
1.38%,
2/15/2045 (h) |
649,000 |
285,692 |
Total
U.S. Treasury Obligations
(Cost
$73,448,146) |
|
65,116,259 |
Mortgage-Backed
Securities — 15.6% | ||
FHLMC
Gold Pools, 30 Year Pool #
G60855,
4.50%, 12/1/2045 |
75,686 |
77,300 |
FHLMC
Gold Pools, Other Pool # N31271,
4.50%,
1/1/2036 |
14,049 |
14,008 |
FHLMC
UMBS, 30 Year Pool # QA5045,
4.00%,
11/1/2049 |
76,580 |
75,449 |
FNMA
, 3.97%, 8/1/2032 (i) |
908,000 |
913,108 |
FNMA
UMBS, 20 Year Pool # MA3004,
4.00%,
5/1/2037 |
371,083 |
371,637 |
FNMA
UMBS, 30 Year
|
|
|
Pool
# AL2374, 4.00%, 12/1/2041 |
107,850 |
107,946 |
Pool
# AL4244, 4.00%, 7/1/2042 |
125,047 |
125,429 |
Pool
# BM1164, 3.50%, 12/1/2045 |
85,546 |
82,713 |
Pool
# MA3073, 4.50%, 7/1/2047 |
20,190 |
20,396 |
Pool
# BK4769, 5.00%, 8/1/2048 |
365,926 |
375,453 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Pool
# BN5013, 5.00%, 1/1/2049 |
120,092 |
123,190 |
Pool
# BO1073, 4.50%, 6/1/2049 |
41,204 |
41,121 |
Pool
# BO3039, 3.00%, 7/1/2049 |
169,223 |
157,173 |
Pool
# BN6475, 4.00%, 7/1/2049 |
7,868 |
7,765 |
Pool
# BO2562, 4.00%, 7/1/2049 |
111,462 |
110,788 |
Pool
# BO4519, 4.00%, 8/1/2049 |
3,551 |
3,497 |
Pool
# BO2203, 3.50%, 9/1/2049 |
256,204 |
246,211 |
Pool
# FM9961, 3.00%, 12/1/2051 |
493,501 |
457,492 |
Pool
# CB2637, 2.50%, 1/1/2052 |
510,119 |
456,817 |
Pool
# BV0273, 3.00%, 1/1/2052 |
315,289 |
293,549 |
Pool
# CB2670, 3.00%, 1/1/2052 |
459,204 |
427,591 |
Pool
# BV3930, 3.00%, 2/1/2052 |
593,659 |
550,728 |
Pool
# BV0295, 3.50%, 2/1/2052 |
670,348 |
649,614 |
Pool
# BW6017, 3.50%, 5/1/2052 |
599,139 |
574,950 |
FNMA,
Other
|
|
|
Pool
# BS6339, 11.00%, 7/12/2024 (i) |
1,100,000 |
1,091,409 |
Pool
# AM8846, 2.68%, 5/1/2025 |
142,550 |
138,075 |
Pool
# AM0414, 2.87%, 9/1/2027 |
400,000 |
383,440 |
Pool
# AN7560, 2.90%, 12/1/2027 |
184,660 |
176,016 |
Pool
# BL2367, 3.48%, 5/1/2029 |
540,538 |
529,173 |
Pool
# BS1577, 1.82%, 2/1/2030 |
862,252 |
755,733 |
Pool
# BS4878, 2.44%, 6/1/2030 |
597,043 |
544,574 |
Pool
# 387898, 3.71%, 8/1/2030 |
750,000 |
746,235 |
Pool
# BS5171, 2.51%, 10/1/2030 |
1,925,000 |
1,745,408 |
Pool
# BS5985, 3.99%, 11/1/2030 |
425,000 |
428,011 |
Pool
# BL9645, 1.50%, 1/1/2031 |
100,000 |
83,031 |
Pool
# BL9627, 1.56%, 1/1/2031 |
500,000 |
417,313 |
Pool
# BS1731, 1.82%, 1/1/2031 |
980,265 |
846,979 |
Pool
# BS2422, 1.67%, 7/1/2031 |
1,200,000 |
1,003,210 |
Pool
# BS2898, 1.56%, 9/1/2031 |
1,000,000 |
825,487 |
Pool
# BS4563, 2.01%, 1/1/2032 |
1,100,000 |
945,355 |
Pool
# BM7037, 1.76%, 3/1/2032 (g) |
1,099,950 |
925,010 |
Pool
# BL6367, 1.82%, 4/1/2032 |
330,000 |
280,418 |
Pool
# BS5130, 2.55%, 4/1/2032 |
497,111 |
449,825 |
Pool
# BS6301, 3.67%, 8/1/2032 |
945,000 |
929,898 |
Pool
# BS6335, 3.75%, 9/1/2032 (i) |
1,030,000 |
1,023,241 |
Pool
# BL8708, 1.40%, 11/1/2032 |
200,000 |
159,210 |
Pool
# AN6000, 3.21%, 7/1/2033 |
972,464 |
921,216 |
Pool
# AN9725, 3.76%, 7/1/2033 |
103,043 |
102,153 |
Pool
# BS4197, 2.14%, 12/1/2033 |
500,000 |
427,251 |
Pool
# BS6427, IO, 3.75%,
9/1/2034 (i) |
1,000,000 |
1,003,125 |
Pool
# BS5018, 2.88%, 10/1/2035 |
750,000 |
639,737 |
Pool
# AN7345, 3.21%, 11/1/2037 |
638,456 |
588,521 |
Pool
# MA1072, 3.50%, 5/1/2042 |
11,128 |
10,833 |
Pool
# BF0230, 5.50%, 1/1/2058 |
435,322 |
470,727 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
69
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Mortgage-Backed
Securities — continued | ||
Pool
# BF0400, 4.00%, 8/1/2059 |
769,915 |
755,902 |
Pool
# BF0497, 3.00%, 7/1/2060 |
77,344 |
71,658 |
Pool
# BF0560, 2.50%, 9/1/2061 |
983,118 |
866,639 |
Pool
# BF0562, 3.50%, 9/1/2061 |
963,431 |
910,140 |
FNMA/FHLMC
UMBS, Single Family, 30 Year
TBA,
3.50%, 9/25/2052 (i) |
11,405,000 |
10,865,935 |
GNMA
II
|
|
|
Pool
# CJ7125, ARM, 4.49%,
10/20/2071 (g) |
458,825 |
474,468 |
Pool
# CJ7141, ARM, 4.41%,
11/20/2071 (g) |
440,291 |
453,480 |
Pool
# CE9384, ARM, 4.49%,
11/20/2071 (g) |
717,186 |
740,737 |
Pool
# CE5557, ARM, 4.58%,
11/20/2071 (g) |
98,781 |
102,861 |
Pool
# CK2792, ARM, 4.58%,
3/20/2072 (g) |
809,519 |
844,181 |
Pool
# CO0363, ARM, 4.75%,
7/20/2072 (g) |
779,000 |
823,855 |
GNMA
II, 30 Year
|
|
|
Pool
# AJ9020, 4.50%, 10/20/2044 |
34,029 |
34,002 |
Pool
# BB3525, 4.00%, 9/20/2047 |
24,278 |
24,266 |
Pool
# BM2418, 4.00%, 8/20/2049 |
18,432 |
18,642 |
Pool
# BN7049, 4.50%, 8/20/2049 |
161,388 |
165,370 |
Pool
# BP7160, 4.50%, 9/20/2049 |
87,434 |
90,771 |
Pool
# CC9803, 4.00%, 4/20/2051 |
410,819 |
406,267 |
Pool
# MA7534, 2.50%, 8/20/2051 |
4,798,843 |
4,396,124 |
Pool
# MA7705, 2.50%, 11/20/2051 |
6,589,323 |
6,021,287 |
Pool
# CH7863, 3.50%, 12/20/2051 |
707,377 |
686,320 |
Pool
# CI2080, 3.50%, 12/20/2051 |
854,333 |
824,547 |
Pool
# CH0876, 3.00%, 1/20/2052 |
111,970 |
105,640 |
Pool
# CH0877, 3.00%, 1/20/2052 |
276,457 |
260,742 |
Pool
# CH0878, 3.00%, 1/20/2052 |
326,224 |
307,476 |
Pool
# CJ3916, 3.00%, 1/20/2052 |
751,823 |
722,583 |
Pool
# CK2608, 3.00%, 1/20/2052 |
476,427 |
448,479 |
Pool
# CK4909, 3.00%, 1/20/2052 |
98,841 |
93,046 |
Pool
# CK4916, 3.00%, 1/20/2052 |
232,239 |
218,206 |
Pool
# CJ8184, 3.50%, 1/20/2052 |
633,033 |
611,023 |
Pool
# CK4918, 3.50%, 1/20/2052 |
79,091 |
76,723 |
Pool
# CK7137, 4.00%, 1/20/2052 |
486,929 |
480,344 |
Pool
# CK2667, 3.00%, 2/20/2052 |
632,187 |
593,898 |
Pool
# CK2672, 3.50%, 2/20/2052 |
594,538 |
575,249 |
Pool
# CM2154, 3.00%, 3/20/2052 |
792,676 |
736,818 |
Pool
# CM2278, 3.50%, 4/20/2052 |
865,249 |
839,319 |
Pool
# CO4826, 5.00%, 6/20/2052 |
591,117 |
599,574 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Pool
# CO4847, 5.00%, 7/20/2052 |
884,740 |
897,501 |
Pool
# MA8200, 4.00%, 8/20/2052 |
1,975,000 |
1,950,504 |
Total
Mortgage-Backed Securities
(Cost
$68,146,024) |
|
63,949,116 |
Commercial
Mortgage-Backed Securities — 6.0% | ||
ACRE
Commercial Mortgage Ltd. Series
2021-FL4,
Class B, 3.78%,
12/18/2037 ‡
(a) (g) |
250,000 |
241,029 |
BAMLL
Re-REMIC Trust |
|
|
Series
2014-FRR4, Class BK29, PO,
4/27/2023 (a) |
836,170 |
796,273 |
Series
2014-FRR5, Class AK37, 2.40%,
1/27/2047 (a)
(g) |
770,000 |
733,129 |
BB-UBS
Trust Series 2012-SHOW, Class E,
4.16%,
11/5/2036 ‡
(a) (g) |
225,000 |
202,751 |
Cascade
Funding Mortgage Trust |
|
|
Series
2021-FRR1, Class DK45, 0.00%,
2/28/2025 ‡
(a) |
380,000 |
306,209 |
Series
2021-FRR1, Class CK45, 1.41%,
2/28/2025 ‡
(a) (g) |
500,000 |
429,883 |
Series
2021-FRR1, Class BK45, 2.11%,
2/28/2025 ‡
(a) (g) |
600,000 |
539,487 |
Series
2021-FRR1, Class CK54, 0.00%,
2/28/2026 ‡
(a) |
480,000 |
356,316 |
Series
2021-FRR1, Class DKW1, 0.00%,
2/28/2026 ‡
(a) |
430,000 |
321,596 |
Series
2021-FRR1, Class BK98, 0.00%,
8/29/2029 ‡
(a) |
1,150,000 |
677,076 |
Series
2021-FRR1, Class BK99, 0.00%,
9/29/2029 ‡
(a) |
400,000 |
218,909 |
FHLMC,
Multi-Family Structured Credit Risk |
|
|
Series
2021-MN1, Class M1, 4.18%,
1/25/2051 (a)
(g) |
284,425 |
274,547 |
Series
2021-MN1, Class M2, 5.93%,
1/25/2051 (a)
(g) |
685,000 |
633,820 |
Series
2021-MN3, Class M1, 4.48%,
11/25/2051 (a)
(g) |
619,799 |
595,627 |
Series
2022-MN4, Class M1, 6.43%,
5/25/2052 (a)
(g) |
997,956 |
1,031,785 |
FHLMC,
Multi-Family Structured
Pass-Through
Certificates |
|
|
Series
KW06, Class A2, 3.80%,
6/25/2028 (g) |
1,750,000 |
1,748,950 |
Series
K088, Class A2, 3.69%,
1/25/2029 |
350,000 |
348,184 |
Series
KLU3, Class X1, IO, 2.08%,
1/25/2031 (g) |
642 |
74 |
Series
K128, Class X3, IO, 2.88%,
4/25/2031 (g) |
550,000 |
98,906 |
70
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Commercial
Mortgage-Backed Securities — continued | ||
Series
K142, Class A2, 2.40%,
3/25/2032 |
1,250,000 |
1,109,286 |
Series
K-1520, Class X1, IO, 0.58%,
2/25/2036 ‡
(g) |
4,492,532 |
197,737 |
Series
K-1520, Class X3, IO, 3.20%,
4/25/2039 (g) |
550,000 |
151,272 |
Series
2022-MN4, Class M2, 8.68%,
5/25/2052 (a)
(g) |
750,000 |
757,017 |
Series
K145, Class AM, 2.58%,
6/25/2055 |
1,100,000 |
983,330 |
Series
Q014, Class X, IO, 2.80%,
10/25/2055 (g) |
1,924,629 |
382,349 |
FNMA
ACES |
|
|
Series
2017-M3, Class A2, 2.55%,
12/25/2026 (g) |
269,311 |
255,858 |
Series
2021-M11, Class A2, 1.51%,
3/25/2031 (g) |
300,000 |
250,597 |
Series
2022-M1, Class A1, 1.73%,
10/25/2031 (g) |
485,544 |
437,905 |
Series
2022-M3, Class A2, 1.76%,
11/25/2031 (g) |
1,400,000 |
1,174,544 |
Series
2020-M53, Class A2, 1.74%,
11/25/2032 (g) |
1,250,000 |
1,026,577 |
Series
2021-M3, Class 1A1, 1.00%,
11/25/2033 |
63,251 |
60,163 |
Series
2021-M3, Class X1, IO, 2.07%,
11/25/2033 (g) |
542,795 |
60,361 |
FNMA,
Multi-Family REMIC Trust Series
2022-M1G,
Class A2, 1.58%,
9/25/2031 (g) |
700,000 |
584,667 |
FREMF
Mortgage Trust |
|
|
Series
2018-KL3W, Class CW, 4.23%,
8/25/2025 (a)
(g) |
250,000 |
228,905 |
Series
2018-KBX1, Class B, 3.69%,
1/25/2026 (a)
(g) |
500,000 |
465,011 |
Series
2021-KHG3, Class BFX, 2.48%,
9/25/2028 (a)
(g) |
1,000,000 |
836,984 |
Series
2015-K44, Class B, 3.85%,
1/25/2048 (a)
(g) |
200,000 |
195,461 |
Series
2015-K45, Class B, 3.73%,
4/25/2048 (a)
(g) |
199,293 |
194,301 |
Series
2015-K48, Class B, 3.77%,
8/25/2048 (a)
(g) |
200,000 |
192,663 |
Series
2015-K50, Class B, 3.91%,
10/25/2048 (a)
(g) |
200,000 |
194,198 |
Series
2015-K51, Class B, 4.09%,
10/25/2048 (a)
(g) |
381,860 |
368,270 |
Series
2016-K52, Class B, 4.06%,
1/25/2049 (a)
(g) |
250,000 |
242,785 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Series
2016-K53, Class C, 4.16%,
3/25/2049 (a)
(g) |
70,000 |
66,708 |
Series
2017-K729, Class B, 3.80%,
11/25/2049 (a)
(g) |
300,000 |
291,635 |
FRR
Re-REMIC Trust Series 2018-C1,
Class
CK43, PO, 2/27/2048 ‡
(a) |
612,660 |
501,119 |
JPMCC
Re-REMIC Trust Series 2015-FRR2,
Class
AK39, 2.76%, 8/27/2047 (a)
(g) |
944,000 |
895,182 |
MHC
Commercial Mortgage Trust Series
2021-MHC,
Class F, 4.99%,
4/15/2038 ‡
(a) (g) |
600,000 |
570,238 |
Multi-Family
Connecticut Avenue Securities
Trust |
|
|
Series
2019-01, Class M10, 5.69%,
10/25/2049 ‡
(a) (g) |
988,702 |
944,672 |
Series
2020-01, Class M7, 4.39%,
3/25/2050 ‡
(a) (g) |
272,907 |
267,659 |
Series
2020-01, Class M10, 6.19%,
3/25/2050 (a)
(g) |
1,000,000 |
950,519 |
PFP
Ltd. (Cayman Islands) |
|
|
Series
2021-7, Class C, 4.04%,
4/14/2038 ‡
(a) (g) |
164,992 |
154,962 |
Series
2021-7, Class D, 4.79%,
4/14/2038 ‡
(a) (g) |
169,992 |
163,465 |
Total
Commercial Mortgage-Backed
Securities
(Cost
$26,237,272) |
|
24,710,951 |
Collateralized
Mortgage Obligations — 3.1% | ||
Ajax
Mortgage Loan Trust Series 2021-B,
Class
A, 2.24%, 6/25/2066 ‡
(a) (f) |
281,334 |
261,187 |
Anchor
Mortgage Trust Series 2021-1,
Class
A2, 3.65%, 10/25/2026 (a)
(f) |
476,191 |
450,742 |
Bayview
Financing Trust Series 2021-2F,
Class
M2, 3.76%, 1/10/2032 ‡
(a) (g) |
109,962 |
110,270 |
Cascade
MH Asset Trust Series 2022-MH1,
Class
M, 4.25%, 8/25/2054 ‡
(a) (f) |
1,000,000 |
813,603 |
CSMC
Trust |
|
|
Series
2021-JR1, Class A1, 2.46%,
9/27/2066 (a)
(g) |
552,196 |
526,338 |
Series
2022-JR1, Class A1, 4.27%,
10/25/2066 (a)
(f) |
828,091 |
799,166 |
FHLMC,
REMIC |
|
|
Series
2708, Class ZD, 5.50%,
11/15/2033 |
91,793 |
96,054 |
Series
4302, Class PA, 4.00%,
12/15/2043 |
66,621 |
65,926 |
Series
4281, Class BC, 4.50%,
12/15/2043 (g) |
95,192 |
96,796 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
71
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Collateralized
Mortgage Obligations — continued | ||
FMC
GMSR Issuer Trust Series 2022-GT2,
Class
B, 10.07%, 7/25/2027 (a) |
1,000,000 |
979,844 |
FNMA,
REMIC |
|
|
Series
2003-7, Class FA, 3.19%,
2/25/2033 (g) |
91,403 |
92,351 |
Series
2013-108, Class GU, 3.00%,
10/25/2033 |
503,070 |
487,030 |
Series
2005-110, Class TY, 5.50%,
12/25/2035 |
57,238 |
60,221 |
Series
2007-89, Class F, 3.02%,
9/25/2037 (g) |
102,738 |
103,166 |
Series
2011-112, Class PB, 4.00%,
11/25/2041 |
119,045 |
117,601 |
GNMA |
|
|
Series
2010-H24, Class FA, 2.15%,
10/20/2060 (g) |
66,202 |
65,604 |
Series
2014-H03, Class FA, 2.40%,
1/20/2064 (g) |
48,957 |
48,763 |
Series
2015-H05, Class FC, 2.28%,
2/20/2065 (g) |
259,330 |
257,125 |
Home
RE Ltd. (Bermuda) |
|
|
Series
2021-2, Class M1A, 3.43%,
1/25/2034 ‡
(a) (g) |
167,059 |
166,424 |
Series
2022-1, Class M1C, 7.68%,
10/25/2034 ‡
(a) (g) |
750,000 |
758,906 |
LHOME
Mortgage Trust Series 2021-RTL1,
Class
A1, 2.09%, 9/25/2026 (a)
(g) |
255,000 |
245,926 |
PMT
Credit Risk Transfer Trust Series
2021-1R,
Class A, 5.34%,
2/27/2024 (a)
(g) |
241,527 |
236,047 |
PRPM
LLC Series 2021-2, Class A1, 2.12%,
3/25/2026 (a)
(g) |
170,126 |
161,543 |
RCO
VI Mortgage LLC Series 2022-1,
Class
A1, 3.00%, 1/25/2027 (a)
(f) |
497,511 |
471,163 |
Seasoned
Credit Risk Transfer Trust |
|
|
Series
2018-1, Class M60C, 3.50%,
5/25/2057 |
160,562 |
155,885 |
Series
2018-3, Class MA, 3.50%,
8/25/2057 ‡
(g) |
65,112 |
63,732 |
Series
2018-3, Class M55D, 4.00%,
8/25/2057 ‡
(g) |
290,794 |
287,646 |
Series
2018-2, Class MT, 3.50%,
11/25/2057 |
633,090 |
605,714 |
Series
2018-2, Class M55D, 4.00%,
11/25/2057 |
322,992 |
318,038 |
Series
2019-1, Class MA, 3.50%,
7/25/2058 |
126,635 |
123,750 |
Series
2019-2, Class MA, 3.50%,
8/25/2058 ‡ |
148,522 |
145,024 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Series
2020-3, Class M5TW, 3.00%,
5/25/2060 ‡ |
522,825 |
498,205 |
Series
2020-3, Class TTW, 3.00%,
5/25/2060 ‡ |
528,566 |
508,434 |
Series
2021-1, Class BXS, 11.45%,
9/25/2060 ‡
(a) (g) |
150,000 |
122,733 |
Series
2022-1, Class MTU, 3.25%,
11/25/2061 |
518,183 |
487,052 |
Towd
Point Mortgage Trust Series
2021-R1,
Class A2C, 3.31%,
11/30/2060 (a) |
754,000 |
715,061 |
VM
Master Issuer LLC Series 2022-1,
Class
B, 6.88%, 5/24/2025 ‡
(a) (g) |
800,000 |
774,640 |
VOLT
CV LLC Series 2021-CF2, Class A1,
2.49%,
11/27/2051 (a)
(f) |
423,215 |
399,311 |
Total
Collateralized Mortgage Obligations
(Cost
$13,195,856) |
|
12,677,021 |
|
SHARES |
|
Common
Stocks — 0.0% ^ | ||
Oil,
Gas & Consumable Fuels — 0.0% ^ | ||
Chesapeake
Energy Corp. |
23 |
2,311 |
Chord
Energy Corp. |
109 |
15,429 |
EP
Energy Corp. * |
275 |
2,338 |
|
|
20,078 |
Professional
Services — 0.0% ^ | ||
NMG,
Inc. * |
1 |
180 |
Wireless
Telecommunication Services — 0.0% ^ | ||
Intelsat
SA (Luxembourg) ‡
* |
270 |
7,425 |
Total
Common Stocks
(Cost
$12,779) |
|
27,683 |
|
PRINCIPAL
AMOUNT($) |
|
Municipal
Bonds — 0.0% (j)
^ | ||
Ohio
— 0.0% ^ | ||
Ohio
University, General Receipts, Federally
Taxable
Rev., 5.59%, 12/1/2114(Cost
$32,776) |
25,000 |
24,387 |
|
NO.
OF
WARRANTS |
|
Warrants
— 0.0% ^ | ||
Diversified
Telecommunication Services — 0.0% ^ | ||
Windstream
Holdings, Inc. expiring
12/31/2049,
price 10.75 USD ‡
* |
16 |
216 |
72
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
NO.
OF
WARRANTS |
VALUE($) |
Warrants
— continued | ||
Media
— 0.0% ^ | ||
Nmg
Research Ltd. expiring 9/24/2027,
price
1.00 USD (United Kingdom) ‡
* |
78 |
3,965
|
Oil,
Gas & Consumable Fuels — 0.0% ^ | ||
Chesapeake
Energy Corp. |
|
|
expiring
2/9/2026, price 25.10 USD* |
71 |
6,237 |
expiring
2/9/2026, price 29.18 USD* |
79 |
6,623 |
expiring
2/9/2026, price 32.86 USD* |
44 |
3,547
|
|
|
16,407 |
Total
Warrants
(Cost
$1) |
|
20,588 |
|
SHARES |
|
Preferred
Stocks — 0.0% ^ | ||
Internet
& Direct Marketing Retail — 0.0% ^ | ||
MYT
Holding LLC Series A, 10.00%,
6/6/2029
‡(Cost
$2,753) |
2,868 |
3,140 |
|
NO.
OF RIGHTS |
|
Rights
— 0.0% ^ | ||
Diversified
Telecommunication Services — 0.0% ^ | ||
Intelsat
Jackson Holdings SA, expiring
12/5/2025
(Luxembourg) ‡ * (Cost $1 ) |
56 |
1 |
|
SHARES |
|
Short-Term
Investments — 15.7% | ||
Investment
Companies — 15.7% | ||
JPMorgan
U.S. Government Money Market
Fund
Class IM Shares, 2.00% (k)
(l)
(Cost
$64,292,445) |
64,292,445 |
64,292,445 |
Total
Investments — 103.0%
(Cost
$454,790,467) |
|
422,677,176 |
Liabilities
in Excess of Other Assets —
(3.0)% |
|
(12,400,076) |
NET
ASSETS — 100.0% |
|
410,277,100 |
Percentages
indicated are based on net
assets. |
Abbreviations |
|
ABS |
Asset-Backed
Securities |
ACES |
Alternative
Credit Enhancement Securities |
ARM |
Adjustable
Rate Mortgage. The interest rate shown is the rate in
effect
as of August 31, 2022. |
CSMC |
Credit
Suisse Mortgage Trust |
FHLMC |
Federal
Home Loan Mortgage Corp. |
FNMA |
Federal
National Mortgage Association |
GNMA |
Government
National Mortgage
Association |
ICE |
Intercontinental
Exchange |
IO |
Interest
Only represents the right to receive the monthly interest
payments
on an underlying pool of mortgage loans. The principal
amount
shown represents the par value on the underlying pool.
The
yields on these securities are subject to accelerated principal
paydowns
as a result of prepayment or refinancing of the
underlying
pool of mortgage instruments. As a result, interest
income
may be reduced considerably. |
LIBOR |
London
Interbank Offered Rate |
PO |
Principal
Only represents the right to receive the principal portion
only
on an underlying pool of mortgage loans. The market value of
these
securities is extremely volatile in response to changes in
market
interest rates. As prepayments on the underlying
mortgages
of these securities increase, the yield on these
securities
increases. |
RE |
Reinsured |
REMIC |
Real
Estate Mortgage Investment Conduit |
Re-REMIC |
Combined
Real Estate Mortgage Investment Conduit |
Rev. |
Revenue |
SCA |
Limited
partnership with share capital |
SOFR |
Secured
Overnight Financing Rate |
STRIPS |
Separate
Trading of Registered Interest and Principal of Securities.
The
STRIPS Program lets investors hold and trade individual
interest
and principal components of eligible notes and bonds as
separate
securities. |
TBA |
To
Be Announced; Security is subject to delayed
delivery. |
UMBS |
Uniform
Mortgage-Backed Securities |
USD |
United
States Dollar |
^ |
Amount
rounds to less than 0.1% of net assets. | |
‡ |
Value
determined using significant unobservable
inputs. |
|
* |
Non-income
producing security.
|
|
(a) |
Securities
exempt from registration under Rule 144A
or
section 4(a)(2), of the Securities Act of 1933, as
amended. |
|
(b) |
Variable
or floating rate security, linked to the
referenced
benchmark. The interest rate shown is the
current
rate as of August 31, 2022. |
|
(c) |
Security
is an interest bearing note with preferred
security
characteristics. |
|
(d) |
Security
is perpetual and thus, does not have a
predetermined
maturity date. The coupon rate for this
security
is fixed for a period of time and may be
structured
to adjust thereafter. The date shown, if
applicable,
reflects the next call date. The coupon rate
shown
is the rate in effect as of August 31, 2022. |
|
(e) |
Defaulted
security. |
|
(f) |
Step
bond. Interest rate is a fixed rate for an initial
period
that either resets at a specific date or may
reset
in the future contingent upon a predetermined
trigger.
The interest rate shown is the current rate as
of
August 31, 2022.
|
|
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
73
|
(g) |
Variable
or floating rate security, the interest rate of
which
adjusts periodically based on changes in current
interest
rates and prepayments on the underlying
pool
of assets. The interest rate shown is the current
rate
as of August 31, 2022.
|
|
(h) |
The
rate shown is the effective yield as of August 31,
2022.
|
|
(i) |
All
or a portion of the security is a when-issued
security,
delayed delivery security, or forward
commitment. |
|
(j) |
The
date shown represents the earliest of the
prerefunded
date, next put date or final maturity date. |
|
(k) |
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. |
|
(l) |
The
rate shown is the current yield as of August 31,
2022. |
|
DESCRIPTION |
NUMBER
OF
CONTRACTS |
EXPIRATION
DATE |
TRADING
CURRENCY |
NOTIONAL
AMOUNT
($) |
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
Long
Contracts |
|
|
|
|
|
U.S.
Treasury 10 Year Note |
77 |
12/20/2022 |
USD |
8,980,125 |
(72,193) |
U.S.
Treasury Long Bond |
38 |
12/20/2022 |
USD |
5,147,813 |
(42,832) |
U.S.
Treasury Ultra Bond |
54 |
12/20/2022 |
USD |
8,039,250 |
(34,681) |
U.S.
Treasury 2 Year Note |
133 |
12/30/2022 |
USD |
27,697,250 |
(54,666) |
U.S.
Treasury 5 Year Note |
95 |
12/30/2022 |
USD |
10,513,828 |
(50,658) |
|
|
|
|
|
(255,030) |
Short
Contracts |
|
|
|
|
|
U.S.
Treasury 10 Year Note |
(2) |
12/20/2022 |
USD |
(233,250) |
1,808 |
U.S.
Treasury 10 Year Ultra Note |
(35) |
12/20/2022 |
USD |
(4,370,078) |
37,505 |
U.S.
Treasury 5 Year Note |
(1) |
12/30/2022 |
USD |
(110,672) |
529 |
|
|
|
|
|
39,842 |
|
|
|
|
|
(215,188) |
Abbreviations |
|
USD |
United
States Dollar |
REFERENCE
OBLIGATION/INDEX |
FINANCING
RATE
PAID
BY
THE FUND
(%) |
PAYMENT
FREQUENCY |
MATURITY
DATE |
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
VALUE
($) |
CDX.NA.HY.38-V2 |
5.00 |
Quarterly |
6/20/2027 |
5.31 |
USD 6,000,000
|
(128,710) |
142,092 |
13,382 |
(*) |
The
Fund, as a buyer of credit protection, is generally obligated to make
periodic payments and may also pay or receive an upfront premium to or
from
the
protection seller, in exchange for the right to receive a contingent
payment, upon occurrence of a credit event with respect to an underlying
reference
obligation,
as defined under the terms of individual swap
contracts. | ||||||||
(a) |
Implied
credit spreads are an indication of the seller's performance risk, related
to the likelihood of a credit event occurring that would require a seller
to
make
payment to a buyer. Implied credit spreads are used to determine the value
of swap contracts and reflect the cost of buying/selling protection, which
may
include upfront payments made to enter into the contract. Therefore,
higher spreads would indicate a greater likelihood that a seller will be
obligated
to
perform (i.e. make payment) under the swap contract.Increasing values, in
absolute terms and relative to notional amounts, are also indicative of
greater
performance risk. Implied credit spreads for credit default swaps on
credit indices are linked to the weighted average spread across the
underlying
reference
obligations included in a particular
index. |
74
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
(b) |
The
notional amount is the maximum amount that a seller of credit protection
would be obligated to pay and a buyer of credit protection would receive,
upon
occurrence of a credit event. | ||||||||
(c) |
Upfront
payments and receipts generally represent premiums paid or received at the
initiation of the agreement to compensate the differences between
the
stated terms of the swap agreement and current market conditions (credit
spreads, interest rates and other relevant
factors). |
Abbreviations |
|
CDX |
Credit
Default Swap Index |
USD |
United
States Dollar |
REFERENCE
OBLIGATION/INDEX |
FINANCING
RATE
PAID
BY
THE FUND
(%) |
PAYMENT
FREQUENCY |
MATURITY
DATE |
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
VALUE
($) |
CDX.NA.IG.38-V1 |
1.00 |
Quarterly |
6/20/2027 |
0.92 |
USD 11,000,000
|
(5,524) |
64,459 |
58,935 |
CDX.NA.HY.38-V2 |
5.00 |
Quarterly |
6/20/2027 |
5.31 |
USD 3,700,000 |
(102,952) |
94,700 |
(8,252) |
|
|
|
|
|
|
(108,476) |
159,159 |
50,683 |
(**)
|
The
Fund, as a seller of credit protection, receives periodic payments and may
also receive or pay an upfront premium from or to the protection buyer,
and
is obligated to make a contingent payment, upon occurrence of a credit
event with respect to an underlying reference obligation, as defined under
the
terms
of individual swap contracts. | ||||||||
(a) |
Implied
credit spreads are an indication of the seller's performance risk, related
to the likelihood of a credit event occurring that would require a seller
to
make
payment to a buyer. Implied credit spreads are used to determine the value
of swap contracts and reflect the cost of buying/selling protection, which
may
include upfront payments made to enter into the contract. Therefore,
higher spreads would indicate a greater likelihood that a seller will be
obligated
to
perform (i.e. make payment) under the swap contract.Increasing values, in
absolute terms and relative to notional amounts, are also indicative of
greater
performance risk. Implied credit spreads for credit default swaps on
credit indices are linked to the weighted average spread across the
underlying
reference
obligations included in a particular index. | ||||||||
(b) |
The
notional amount is the maximum amount that a seller of credit protection
would be obligated to pay and a buyer of credit protection would receive,
upon
occurrence of a credit event. | ||||||||
(c) |
Upfront
payments and receipts generally represent premiums paid or received at the
initiation of the agreement to compensate the differences between
the
stated terms of the swap agreement and current market conditions (credit
spreads, interest rates and other relevant
factors). |
Abbreviations |
|
CDX |
Credit
Default Swap Index |
USD |
United
States Dollar |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
75
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — 98.4% | ||
Aerospace
& Defense — 4.3% | ||
BAE
Systems plc (United Kingdom) 3.40%,
4/15/2030
(a) |
35,000 |
31,864 |
Boeing
Co. (The)
|
|
|
4.51%,
5/1/2023 |
132,000 |
132,241 |
4.88%,
5/1/2025 |
189,000 |
189,528 |
5.04%,
5/1/2027 |
120,000 |
119,639 |
3.60%,
5/1/2034 |
159,000 |
129,364 |
5.71%,
5/1/2040 |
105,000 |
100,149 |
3.75%,
2/1/2050 |
30,000 |
21,530 |
L3Harris
Technologies, Inc. 4.40%, 6/15/2028 |
174,000 |
171,038 |
Leidos,
Inc.
|
|
|
4.38%,
5/15/2030 |
238,000 |
219,718 |
2.30%,
2/15/2031 |
80,000 |
62,794 |
Northrop
Grumman Corp.
|
|
|
3.25%,
1/15/2028 |
90,000 |
85,402 |
4.03%,
10/15/2047 |
41,000 |
36,031 |
Precision
Castparts Corp. 3.25%, 6/15/2025 |
24,000 |
23,721 |
Raytheon
Technologies Corp.
|
|
|
3.50%,
3/15/2027 |
63,000 |
61,012 |
3.13%,
5/4/2027 |
146,000 |
139,394 |
4.45%,
11/16/2038 |
107,000 |
100,368 |
3.75%,
11/1/2046 |
88,000 |
73,203 |
|
|
1,696,996 |
Air
Freight & Logistics — 0.6% | ||
FedEx
Corp.
|
|
|
2.40%,
5/15/2031 |
60,000 |
50,500 |
3.25%,
5/15/2041 |
110,000 |
85,791 |
4.05%,
2/15/2048 |
90,000 |
76,003 |
|
|
212,294 |
Auto
Components — 0.3% | ||
Lear
Corp. 3.80%, 9/15/2027 |
140,000 |
132,236 |
Automobiles
— 0.7% | ||
General
Motors Co. 6.13%, 10/1/2025 |
273,000 |
280,990 |
Banks
— 15.0% | ||
Bank
of America Corp.
|
|
|
(ICE
LIBOR USD 3 Month + 0.79%), 3.00%,
12/20/2023 (b) |
300,000 |
298,892 |
(ICE
LIBOR USD 3 Month + 0.78%), 3.55%,
3/5/2024 (b) |
146,000 |
145,409 |
(ICE
LIBOR USD 3 Month + 0.87%), 2.46%,
10/22/2025 (b) |
30,000 |
28,626 |
(SOFR
+ 1.15%), 1.32%, 6/19/2026 (b) |
60,000 |
54,586 |
(ICE
LIBOR USD 3 Month + 1.06%), 3.56%,
4/23/2027 (b) |
154,000 |
147,009 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Banks
— continued | ||
(ICE
LIBOR USD 3 Month + 1.58%), 3.82%,
1/20/2028 (b) |
146,000 |
139,756 |
(ICE
LIBOR USD 3 Month + 1.04%), 3.42%,
12/20/2028 (b) |
210,000 |
194,515 |
(ICE
LIBOR USD 3 Month + 0.99%), 2.50%,
2/13/2031 (b) |
237,000 |
198,841 |
(SOFR
+ 1.32%), 2.69%, 4/22/2032 (b) |
60,000 |
49,740 |
(US
Treasury Yield Curve Rate T Note Constant
Maturity
5 Year + 1.20%), 2.48%,
9/21/2036 (b) |
53,000 |
41,086 |
(ICE
LIBOR USD 3 Month + 1.81%), 4.24%,
4/24/2038 (b) |
59,000 |
53,079 |
(SOFR
+ 1.93%), 2.68%, 6/19/2041 (b) |
50,000 |
35,802 |
(ICE
LIBOR USD 3 Month + 1.19%), 3.95%,
1/23/2049 (b) |
50,000 |
42,438 |
(ICE
LIBOR USD 3 Month + 3.15%), 4.08%,
3/20/2051 (b) |
78,000 |
66,875 |
Barclays
plc (United Kingdom) (US Treasury Yield
Curve
Rate T Note Constant Maturity 1 Year +
2.30%),
5.30%, 8/9/2026 (b) |
330,000 |
327,582 |
Citigroup,
Inc.
|
|
|
(ICE
LIBOR USD 3 Month + 0.90%), 3.35%,
4/24/2025 (b) |
428,000 |
419,459 |
(SOFR
+ 2.84%), 3.11%, 4/8/2026 (b) |
78,000 |
74,921 |
3.20%,
10/21/2026 |
188,000 |
179,577 |
(SOFR
+ 1.15%), 2.67%, 1/29/2031 (b) |
107,000 |
90,212 |
(SOFR
+ 3.91%), 4.41%, 3/31/2031 (b) |
156,000 |
148,863 |
(ICE
LIBOR USD 3 Month + 1.17%), 3.88%,
1/24/2039 (b) |
87,000 |
75,495 |
4.65%,
7/23/2048 |
78,000 |
73,527 |
Citizens
Financial Group, Inc. 3.25%,
4/30/2030 |
150,000 |
132,298 |
HSBC
Holdings plc (United Kingdom) |
|
|
(ICE
LIBOR USD 3 Month + 1.61%), 3.97%,
5/22/2030 (b) |
200,000 |
180,568 |
6.10%,
1/14/2042 |
75,000 |
81,177 |
Mitsubishi
UFJ Financial Group, Inc. (Japan) |
|
|
3.76%,
7/26/2023 |
177,000 |
176,749 |
3.68%,
2/22/2027 |
31,000 |
29,777 |
3.96%,
3/2/2028 |
177,000 |
170,643 |
3.74%,
3/7/2029 |
289,000 |
273,535 |
NatWest
Group plc (United Kingdom) (US
Treasury
Yield Curve Rate T Note Constant
Maturity
1 Year + 0.90%), 1.64%,
6/14/2027
(b) |
228,000 |
199,603 |
PNC
Financial Services Group, Inc. (The) 2.60%,
7/23/2026 |
152,000 |
143,518 |
76
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Banks
— continued | ||
Sumitomo
Mitsui Financial Group, Inc. (Japan)
2.93%,
9/17/2041 |
200,000 |
144,974 |
Toronto-Dominion
Bank (The) (Canada) 2.45%,
1/12/2032 |
200,000 |
166,669 |
Truist
Financial Corp. 1.13%, 8/3/2027 |
90,000 |
77,386 |
Wells
Fargo & Co.
|
|
|
(SOFR
+ 2.00%), 2.19%, 4/30/2026 (b) |
53,000 |
49,610 |
(ICE
LIBOR USD 3 Month + 1.31%), 3.58%,
5/22/2028 (b) |
349,000 |
329,309 |
(SOFR
+ 1.43%), 2.88%, 10/30/2030 (b) |
202,000 |
177,182 |
5.38%,
11/2/2043 |
96,000 |
95,726 |
3.90%,
5/1/2045 |
117,000 |
98,952 |
4.75%,
12/7/2046 |
68,000 |
62,089 |
Westpac
Banking Corp. (Australia) |
|
|
(US
Treasury Yield Curve Rate T Note Constant
Maturity
5 Year + 1.35%), 2.89%,
2/4/2030 (b) |
50,000 |
46,952 |
(USD
ICE Swap Rate 5 Year + 2.24%), 4.32%,
11/23/2031 (b) |
160,000 |
152,285 |
(US
Treasury Yield Curve Rate T Note Constant
Maturity
5 Year + 2.00%), 4.11%,
7/24/2034 (b) |
107,000 |
96,245 |
(US
Treasury Yield Curve Rate T Note Constant
Maturity
5 Year + 1.53%), 3.02%,
11/18/2036 (b) |
53,000 |
41,815 |
2.96%,
11/16/2040 |
71,000 |
50,568 |
|
|
5,863,920 |
Beverages
— 2.9% | ||
Anheuser-Busch
Cos. LLC (Belgium) |
|
|
3.65%,
2/1/2026 |
51,000 |
50,128 |
4.70%,
2/1/2036 |
77,000 |
74,497 |
4.90%,
2/1/2046 |
160,000 |
151,897 |
Anheuser-Busch
InBev Worldwide, Inc. (Belgium) |
|
|
4.00%,
4/13/2028 |
49,000 |
48,429 |
4.90%,
1/23/2031 |
34,000 |
34,930 |
4.60%,
4/15/2048 |
120,000 |
108,833 |
4.44%,
10/6/2048 |
39,000 |
34,668 |
Coca-Cola
Co. (The)
|
|
|
1.75%,
9/6/2024 |
217,000 |
210,370 |
2.88%,
5/5/2041 |
78,000 |
63,460 |
2.60%,
6/1/2050 |
55,000 |
40,036 |
2.75%,
6/1/2060 |
59,000 |
42,037 |
Constellation
Brands, Inc. 3.15%, 8/1/2029 |
66,000 |
59,336 |
Keurig
Dr Pepper, Inc. 3.80%, 5/1/2050 |
20,000 |
15,552 |
Molson
Coors Beverage Co. 4.20%, 7/15/2046 |
30,000 |
24,694 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Beverages
— continued | ||
PepsiCo,
Inc.
|
|
|
2.75%,
3/19/2030 |
30,000 |
27,427 |
3.50%,
3/19/2040 |
66,000 |
58,204 |
2.75%,
10/21/2051 |
100,000 |
75,480 |
|
|
1,119,978 |
Biotechnology
— 2.8% | ||
AbbVie,
Inc.
|
|
|
2.90%,
11/6/2022 |
105,000 |
104,921 |
3.60%,
5/14/2025 |
68,000 |
66,753 |
2.95%,
11/21/2026 |
122,000 |
115,083 |
4.25%,
11/14/2028 |
192,000 |
188,593 |
4.05%,
11/21/2039 |
161,000 |
141,919 |
4.70%,
5/14/2045 |
68,000 |
63,333 |
Amgen,
Inc.
|
|
|
2.20%,
2/21/2027 |
68,000 |
62,492 |
2.45%,
2/21/2030 |
63,000 |
55,127 |
3.15%,
2/21/2040 |
40,000 |
31,615 |
4.40%,
5/1/2045 |
20,000 |
17,993 |
3.38%,
2/21/2050 |
20,000 |
15,275 |
4.40%,
2/22/2062 |
138,000 |
119,595 |
Biogen,
Inc. 3.15%, 5/1/2050 |
80,000 |
54,570 |
Gilead
Sciences, Inc. 4.15%, 3/1/2047 |
47,000 |
40,858 |
Regeneron
Pharmaceuticals, Inc. 1.75%,
9/15/2030 |
10,000 |
7,908 |
|
|
1,086,035 |
Building
Products — 0.0% ^ | ||
Carrier
Global Corp. 3.58%, 4/5/2050 |
20,000 |
15,267 |
Capital
Markets — 6.8% | ||
Charles
Schwab Corp. (The) 1.95%, 12/1/2031 |
146,000 |
118,990 |
CME
Group, Inc. 3.00%, 3/15/2025 |
109,000 |
106,942 |
Credit
Suisse Group AG (Switzerland) (ICE LIBOR
USD
3 Month + 1.24%), 4.21%, 6/12/2024
(a)
(b) |
250,000 |
246,078 |
Goldman
Sachs Group, Inc. (The)
|
|
|
1.22%,
12/6/2023 |
58,000 |
55,998 |
4.00%,
3/3/2024 |
242,000 |
241,920 |
3.50%,
4/1/2025 |
130,000 |
127,112 |
3.85%,
1/26/2027 |
91,000 |
88,164 |
(ICE
LIBOR USD 3 Month + 1.30%), 4.22%,
5/1/2029 (b) |
249,000 |
238,085 |
3.80%,
3/15/2030 |
226,000 |
208,399 |
(SOFR
+ 1.25%), 2.38%, 7/21/2032 (b) |
53,000 |
42,902 |
(ICE
LIBOR USD 3 Month + 1.37%), 4.02%,
10/31/2038 (b) |
161,000 |
140,338 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
77
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Capital
Markets — continued | ||
Intercontinental
Exchange, Inc. 5.20%,
6/15/2062 |
159,000 |
157,632 |
Morgan
Stanley
|
|
|
(SOFR
+ 1.99%), 2.19%, 4/28/2026 (b) |
128,000 |
120,231 |
3.63%,
1/20/2027 |
188,000 |
182,653 |
(ICE
LIBOR USD 3 Month + 1.14%), 3.77%,
1/24/2029 (b) |
205,000 |
193,492 |
(SOFR
+ 1.14%), 2.70%, 1/22/2031 (b) |
117,000 |
101,229 |
(SOFR
+ 3.12%), 3.62%, 4/1/2031 (b) |
78,000 |
71,471 |
(SOFR
+ 1.36%), 2.48%, 9/16/2036 (b) |
70,000 |
53,885 |
(ICE
LIBOR USD 3 Month + 1.46%), 3.97%,
7/22/2038 (b) |
96,000 |
85,520 |
4.30%,
1/27/2045 |
29,000 |
25,914 |
(SOFR
+ 1.43%), 2.80%, 1/25/2052 (b) |
50,000 |
34,044 |
|
|
2,640,999 |
Chemicals
— 2.1% | ||
Celanese
US Holdings LLC
|
|
|
6.05%,
3/15/2025 |
136,000 |
136,346 |
6.38%,
7/15/2032 |
119,000 |
118,132 |
Ecolab,
Inc. 2.70%, 12/15/2051 |
97,000 |
68,724 |
International
Flavors & Fragrances, Inc. 5.00%,
9/26/2048 |
30,000 |
27,522 |
LYB
International Finance III LLC
|
|
|
3.38%,
10/1/2040 |
110,000 |
83,860 |
3.63%,
4/1/2051 |
86,000 |
63,349 |
Sherwin-Williams
Co. (The)
|
|
|
3.45%,
6/1/2027 |
76,000 |
72,702 |
2.95%,
8/15/2029 |
254,000 |
227,892 |
|
|
798,527 |
Commercial
Services & Supplies — 0.2% | ||
RELX
Capital, Inc. (United Kingdom) 4.00%,
3/18/2029 |
66,000 |
63,760 |
Construction
& Engineering — 0.4% | ||
Quanta
Services, Inc.
|
|
|
2.90%,
10/1/2030 |
50,000 |
42,706 |
2.35%,
1/15/2032 |
120,000 |
94,815 |
|
|
137,521 |
Construction
Materials — 0.3% | ||
Martin
Marietta Materials, Inc. 3.20%,
7/15/2051 |
168,000 |
117,710 |
Consumer
Finance — 3.1% | ||
AerCap
Ireland Capital DAC (Ireland) |
|
|
6.50%,
7/15/2025 |
300,000 |
307,192 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Consumer
Finance — continued | ||
3.85%,
10/29/2041 |
165,000 |
121,480 |
American
Express Co.
|
|
|
0.75%,
11/3/2023 |
240,000 |
231,899 |
(SOFR
+ 2.26%), 4.99%, 5/26/2033 (b) |
155,000 |
154,079 |
Capital
One Financial Corp. 3.30%, 10/30/2024 |
282,000 |
276,533 |
John
Deere Capital Corp. 2.80%, 7/18/2029 |
138,000 |
127,546 |
|
|
1,218,729 |
Diversified
Financial Services — 1.6% | ||
Berkshire
Hathaway, Inc. 3.13%, 3/15/2026 |
362,000 |
353,824 |
Equitable
Holdings, Inc. 4.35%, 4/20/2028 |
70,000 |
68,846 |
Shell
International Finance BV (Netherlands) |
|
|
4.13%,
5/11/2035 |
147,000 |
139,567 |
4.38%,
5/11/2045 |
43,000 |
40,163 |
4.00%,
5/10/2046 |
29,000 |
25,833 |
|
|
628,233 |
Diversified
Telecommunication Services — 1.4% | ||
AT&T,
Inc.
|
|
|
3.50%,
9/15/2053 |
155,000 |
114,268 |
3.55%,
9/15/2055 |
193,000 |
141,313 |
3.65%,
9/15/2059 |
30,000 |
21,746 |
Verizon
Communications, Inc.
|
|
|
3.40%,
3/22/2041 |
298,000 |
240,064 |
2.99%,
10/30/2056 |
50,000 |
33,610 |
|
|
551,001 |
Electric
Utilities — 4.9% | ||
Baltimore
Gas and Electric Co.
|
|
|
3.20%,
9/15/2049 |
80,000 |
61,837 |
2.90%,
6/15/2050 |
76,000 |
55,695 |
Commonwealth
Edison Co. 3.00%, 3/1/2050 |
76,000 |
57,269 |
Duke
Energy Corp.
|
|
|
3.75%,
4/15/2024 |
70,000 |
69,667 |
2.65%,
9/1/2026 |
118,000 |
110,299 |
3.75%,
9/1/2046 |
106,000 |
82,861 |
Duke
Energy Indiana LLC
|
|
|
Series
YYY, 3.25%, 10/1/2049 |
20,000 |
15,345 |
2.75%,
4/1/2050 |
20,000 |
13,956 |
Emera
US Finance LP (Canada) 4.75%,
6/15/2046 |
135,000 |
117,548 |
Entergy
Louisiana LLC 4.00%, 3/15/2033 |
327,000 |
310,200 |
Evergy,
Inc.
|
|
|
2.45%,
9/15/2024 |
127,000 |
122,418 |
2.90%,
9/15/2029 |
102,000 |
89,494 |
Exelon
Corp. 4.45%, 4/15/2046 |
20,000 |
17,926 |
78
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Electric
Utilities — continued | ||
Florida
Power & Light Co.
|
|
|
3.95%,
3/1/2048 |
30,000 |
27,286 |
3.15%,
10/1/2049 |
88,000 |
70,251 |
Fortis,
Inc. (Canada) 3.06%, 10/4/2026 |
148,000 |
138,499 |
Pacific
Gas and Electric Co.
|
|
|
4.50%,
7/1/2040 |
116,000 |
90,297 |
3.30%,
8/1/2040 |
64,000 |
44,951 |
4.95%,
7/1/2050 |
30,000 |
23,943 |
3.50%,
8/1/2050 |
102,000 |
67,746 |
PPL
Electric Utilities Corp. 3.00%, 10/1/2049 |
20,000 |
14,984 |
Southern
California Edison Co.
|
|
|
2.25%,
6/1/2030 |
10,000 |
8,381 |
Series
13-A, 3.90%, 3/15/2043 |
6,000 |
4,869 |
Series
C, 3.60%, 2/1/2045 |
111,000 |
84,400 |
4.00%,
4/1/2047 |
98,000 |
79,353 |
3.65%,
2/1/2050 |
14,000 |
10,714 |
Southern
Co. (The) Series 21-A, (US Treasury
Yield
Curve Rate T Note Constant Maturity 5
Year
+ 2.92%), 3.75%, 9/15/2051 (b) |
50,000 |
43,250 |
Virginia
Electric and Power Co.
|
|
|
Series
A, 3.15%, 1/15/2026 |
17,000 |
16,501 |
Series
A, 3.50%, 3/15/2027 |
43,000 |
41,866 |
4.60%,
12/1/2048 |
30,000 |
28,497 |
|
|
1,920,303 |
Electronic
Equipment, Instruments & Components — 0.3% | ||
Teledyne
Technologies, Inc. 2.75%, 4/1/2031 |
130,000 |
108,288 |
Entertainment
— 1.5% | ||
Electronic
Arts, Inc. 1.85%, 2/15/2031 |
241,000 |
197,546 |
Magallanes,
Inc. 5.39%, 3/15/2062 (a) |
79,000 |
63,414 |
Walt
Disney Co. (The)
|
|
|
2.65%,
1/13/2031 |
121,000 |
106,665 |
3.50%,
5/13/2040 |
274,000 |
233,463 |
|
|
601,088 |
Equity
Real Estate Investment Trusts (REITs) — 3.2% | ||
Alexandria
Real Estate Equities, Inc.
|
|
|
2.75%,
12/15/2029 |
102,000 |
88,890 |
2.00%,
5/18/2032 |
59,000 |
46,623 |
3.00%,
5/18/2051 |
102,000 |
69,263 |
Boston
Properties LP
|
|
|
4.50%,
12/1/2028 |
39,000 |
37,956 |
3.25%,
1/30/2031 |
120,000 |
103,361 |
Brixmor
Operating Partnership LP 4.05%,
7/1/2030 |
270,000 |
240,000 |
Camden
Property Trust 2.80%, 5/15/2030 |
121,000 |
107,179 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Equity
Real Estate Investment Trusts (REITs) — continued | ||
Equinix,
Inc. 3.20%, 11/18/2029 |
140,000 |
125,375 |
Healthpeak
Properties, Inc. 2.88%, 1/15/2031 |
136,000 |
117,339 |
Simon
Property Group LP 2.45%, 9/13/2029 |
78,000 |
67,324 |
UDR,
Inc. 3.00%, 8/15/2031 |
20,000 |
17,043 |
Ventas
Realty LP 2.50%, 9/1/2031 |
59,000 |
48,142 |
Welltower,
Inc. 3.63%, 3/15/2024 |
185,000 |
183,481 |
|
|
1,251,976 |
Food
& Staples Retailing — 0.8% | ||
Sysco
Corp. 3.30%, 7/15/2026 |
40,000 |
38,710 |
Walmart,
Inc.
|
|
|
2.85%,
7/8/2024 |
50,000 |
49,339 |
1.80%,
9/22/2031 |
195,000 |
163,954 |
4.05%,
6/29/2048 |
47,000 |
45,072 |
|
|
297,075 |
Food
Products — 0.4% | ||
Bunge
Ltd. Finance Corp. 2.75%, 5/14/2031 |
60,000 |
50,358 |
Kraft
Heinz Foods Co. 5.50%, 6/1/2050 |
99,000 |
98,563 |
|
|
148,921 |
Health
Care Equipment & Supplies — 1.0% | ||
Abbott
Laboratories 4.90%, 11/30/2046 |
150,000 |
157,509 |
Becton
Dickinson and Co.
|
|
|
4.69%,
12/15/2044 |
73,000 |
69,198 |
4.67%,
6/6/2047 |
49,000 |
46,689 |
DH
Europe Finance II Sarl 3.40%, 11/15/2049 |
62,000 |
50,123 |
Medtronic,
Inc. 4.38%, 3/15/2035 |
68,000 |
67,490 |
|
|
391,009 |
Health
Care Providers & Services — 3.7% | ||
Aetna,
Inc.
|
|
|
2.80%,
6/15/2023 |
149,000 |
147,642 |
3.88%,
8/15/2047 |
70,000 |
57,074 |
Cigna
Corp.
|
|
|
4.80%,
8/15/2038 |
86,000 |
82,893 |
3.40%,
3/15/2051 |
60,000 |
45,669 |
CVS
Health Corp.
|
|
|
2.70%,
8/21/2040 |
112,000 |
80,939 |
5.05%,
3/25/2048 |
66,000 |
63,546 |
HCA,
Inc.
|
|
|
5.00%,
3/15/2024 |
401,000 |
403,619 |
4.13%,
6/15/2029 |
90,000 |
82,848 |
3.50%,
7/15/2051 |
119,000 |
81,686 |
UnitedHealth
Group, Inc.
|
|
|
3.75%,
7/15/2025 |
86,000 |
85,736 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
79
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Health
Care Providers & Services — continued | ||
3.50%,
8/15/2039 |
122,000 |
105,082 |
2.75%,
5/15/2040 |
211,000 |
162,960 |
3.25%,
5/15/2051 |
60,000 |
47,115 |
|
|
1,446,809 |
Hotels,
Restaurants & Leisure — 0.9% | ||
Expedia
Group, Inc. 3.25%, 2/15/2030 |
70,000 |
60,538 |
McDonald's
Corp. 2.13%, 3/1/2030 |
185,000 |
158,701 |
Starbucks
Corp.
|
|
|
4.50%,
11/15/2048 |
75,000 |
68,003 |
3.50%,
11/15/2050 |
102,000 |
78,500 |
|
|
365,742 |
Household
Durables — 0.2% | ||
Lennar
Corp. 4.75%, 11/29/2027 |
75,000 |
72,988 |
Industrial
Conglomerates — 0.5% | ||
GE
Capital Funding LLC 4.55%, 5/15/2032 |
50,000 |
48,201 |
General
Electric Co. 6.75%, 3/15/2032 |
122,000 |
138,091 |
|
|
186,292 |
Insurance
— 1.9% | ||
Aflac,
Inc. 3.60%, 4/1/2030 |
110,000 |
104,635 |
American
International Group, Inc.
|
|
|
2.50%,
6/30/2025 |
58,000 |
55,290 |
3.90%,
4/1/2026 |
28,000 |
27,540 |
Arch
Capital Group Ltd. 3.64%, 6/30/2050 |
120,000 |
93,618 |
Berkshire
Hathaway Finance Corp.
|
|
|
2.30%,
3/15/2027 |
55,000 |
51,774 |
4.20%,
8/15/2048 |
95,000 |
88,349 |
4.25%,
1/15/2049 |
20,000 |
18,844 |
Corebridge
Financial, Inc. 4.40%, 4/5/2052 (a) |
150,000 |
125,130 |
Marsh
& McLennan Cos., Inc. 2.90%,
12/15/2051 |
150,000 |
107,449 |
Northwestern
Mutual Life Insurance Co.
(The) 3.85%,
9/30/2047 (a) |
20,000 |
16,752 |
Progressive
Corp. (The) 4.13%, 4/15/2047 |
60,000 |
55,205 |
|
|
744,586 |
Internet
& Direct Marketing Retail — 0.7% | ||
Amazon.com,
Inc.
|
|
|
1.00%,
5/12/2026 |
53,000 |
47,988 |
3.88%,
8/22/2037 |
252,000 |
236,466 |
|
|
284,454 |
IT
Services — 0.8% | ||
Global
Payments, Inc.
|
|
|
3.20%,
8/15/2029 |
146,000 |
127,505 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
IT
Services — continued | ||
4.15%,
8/15/2049 |
112,000 |
85,287 |
VeriSign,
Inc. 2.70%, 6/15/2031 |
114,000 |
93,552 |
|
|
306,344 |
Leisure
Products — 0.2% | ||
Hasbro,
Inc. 3.90%, 11/19/2029 |
70,000 |
64,114 |
Life
Sciences Tools & Services — 0.5% | ||
Danaher
Corp. 2.60%, 10/1/2050 |
101,000 |
69,693 |
Thermo
Fisher Scientific, Inc.
|
|
|
2.80%,
10/15/2041 |
136,000 |
105,438 |
4.10%,
8/15/2047 |
23,000 |
21,443 |
|
|
196,574 |
Machinery
— 0.3% | ||
Otis
Worldwide Corp.
|
|
|
2.06%,
4/5/2025 |
40,000 |
37,770 |
2.57%,
2/15/2030 |
40,000 |
34,417 |
3.36%,
2/15/2050 |
80,000 |
59,576 |
|
|
131,763 |
Media
— 4.8% | ||
Charter
Communications Operating LLC
|
|
|
4.91%,
7/23/2025 |
270,000 |
269,074 |
2.80%,
4/1/2031 |
102,000 |
82,634 |
3.50%,
3/1/2042 |
177,000 |
122,263 |
5.38%,
5/1/2047 |
30,000 |
25,569 |
4.80%,
3/1/2050 |
54,000 |
42,386 |
5.50%,
4/1/2063 |
50,000 |
41,838 |
Comcast
Corp.
|
|
|
3.70%,
4/15/2024 |
199,000 |
198,332 |
3.95%,
10/15/2025 |
105,000 |
104,826 |
3.15%,
3/1/2026 |
88,000 |
85,643 |
4.15%,
10/15/2028 |
101,000 |
100,119 |
3.40%,
4/1/2030 |
40,000 |
37,343 |
3.90%,
3/1/2038 |
150,000 |
134,846 |
3.75%,
4/1/2040 |
50,000 |
43,393 |
4.00%,
11/1/2049 |
30,000 |
25,627 |
3.45%,
2/1/2050 |
20,000 |
15,769 |
Discovery
Communications LLC
|
|
|
3.95%,
3/20/2028 |
176,000 |
161,671 |
5.00%,
9/20/2037 |
30,000 |
26,173 |
4.65%,
5/15/2050 |
91,000 |
69,132 |
4.00%,
9/15/2055 |
90,000 |
59,625 |
80
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Media
— continued | ||
Time
Warner Cable LLC
|
|
|
6.55%,
5/1/2037 |
140,000 |
137,515 |
4.50%,
9/15/2042 |
100,000 |
75,585 |
|
|
1,859,363 |
Metals
& Mining — 0.3% | ||
Glencore
Funding LLC (Australia) 4.13%,
5/30/2023
(a) |
127,000 |
126,689 |
Multiline
Retail — 0.6% | ||
Target
Corp. 3.38%, 4/15/2029 |
242,000 |
232,103 |
Multi-Utilities
— 3.1% | ||
Ameren
Corp.
|
|
|
2.50%,
9/15/2024 |
141,000 |
135,943 |
3.50%,
1/15/2031 |
60,000 |
54,841 |
Berkshire
Hathaway Energy Co.
|
|
|
4.45%,
1/15/2049 |
31,000 |
28,849 |
2.85%,
5/15/2051 |
106,000 |
75,612 |
CenterPoint
Energy, Inc. 2.65%, 6/1/2031 |
345,000 |
294,362 |
Consolidated
Edison Co. of New York, Inc.
|
|
|
Series
20B, 3.95%, 4/1/2050 |
76,000 |
65,732 |
3.60%,
6/15/2061 |
50,000 |
39,259 |
Dominion
Energy, Inc. 3.90%, 10/1/2025 |
17,000 |
16,774 |
San
Diego Gas & Electric Co.
|
|
|
Series
VVV, 1.70%, 10/1/2030 |
53,000 |
43,535 |
2.95%,
8/15/2051 |
186,000 |
137,523 |
Southern
Co. Gas Capital Corp.
|
|
|
2.45%,
10/1/2023 |
205,000 |
201,626 |
Series
20-A, 1.75%, 1/15/2031 |
152,000 |
120,718 |
|
|
1,214,774 |
Oil,
Gas & Consumable Fuels — 6.3% | ||
BP
Capital Markets America, Inc.
|
|
|
3.80%,
9/21/2025 |
72,000 |
71,704 |
4.23%,
11/6/2028 |
39,000 |
38,673 |
3.00%,
2/24/2050 |
146,000 |
106,594 |
BP
Capital Markets plc (United Kingdom) 3.28%,
9/19/2027 |
187,000 |
179,062 |
Cameron
LNG LLC
|
|
|
3.30%,
1/15/2035 (a) |
25,000 |
21,221 |
3.70%,
1/15/2039 (a) |
5,000 |
4,219 |
Canadian
Natural Resources Ltd. (Canada)
4.95%,
6/1/2047 |
30,000 |
28,372 |
Chevron
Corp. 2.95%, 5/16/2026 |
88,000 |
85,235 |
Columbia
Pipeline Group, Inc. 4.50%, 6/1/2025 |
192,000 |
191,220 |
ConocoPhillips 5.90%,
10/15/2032 |
50,000 |
55,490 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Oil,
Gas & Consumable Fuels — continued | ||
Diamondback
Energy, Inc. 3.50%, 12/1/2029 |
70,000 |
63,502 |
Energy
Transfer LP
|
|
|
4.95%,
5/15/2028 |
80,000 |
78,210 |
4.95%,
6/15/2028 |
32,000 |
31,451 |
5.40%,
10/1/2047 |
96,000 |
85,526 |
5.00%,
5/15/2050 |
144,000 |
123,579 |
Enterprise
Products Operating LLC 2.80%,
1/31/2030 |
80,000 |
70,408 |
EQT
Corp. 7.00%, 2/1/2030 (c) |
60,000 |
64,205 |
Exxon
Mobil Corp.
|
|
|
2.99%,
3/19/2025 |
175,000 |
171,202 |
2.61%,
10/15/2030 |
205,000 |
183,055 |
3.00%,
8/16/2039 |
126,000 |
103,166 |
3.45%,
4/15/2051 |
30,000 |
24,756 |
Kinder
Morgan, Inc.
|
|
|
4.30%,
6/1/2025 |
110,000 |
109,608 |
5.45%,
8/1/2052 |
204,000 |
198,216 |
Marathon
Oil Corp. 4.40%, 7/15/2027 |
90,000 |
87,392 |
Marathon
Petroleum Corp. 4.75%, 9/15/2044 |
17,000 |
14,955 |
Phillips
66 4.88%, 11/15/2044 |
30,000 |
28,707 |
Pioneer
Natural Resources Co. 1.90%,
8/15/2030 |
66,000 |
53,773 |
Sabine
Pass Liquefaction LLC 5.63%, 3/1/2025 |
140,000 |
142,600 |
TotalEnergies
Capital International SA (France)
2.83%,
1/10/2030 |
63,000 |
56,849 |
|
|
2,472,950 |
Paper
& Forest Products — 0.5% | ||
Suzano
Austria GmbH (Brazil) |
|
|
3.75%,
1/15/2031 |
95,000 |
80,056 |
Series
DM3N, 3.13%, 1/15/2032 |
130,000 |
102,781 |
|
|
182,837 |
Pharmaceuticals
— 2.7% | ||
Astrazeneca
Finance LLC (United Kingdom)
0.70%,
5/28/2024 |
220,000 |
208,256 |
AstraZeneca
plc (United Kingdom) |
|
|
3.38%,
11/16/2025 |
60,000 |
58,899 |
4.38%,
11/16/2045 |
68,000 |
65,314 |
3.00%,
5/28/2051 |
60,000 |
46,964 |
Bristol-Myers
Squibb Co.
|
|
|
3.40%,
7/26/2029 |
22,000 |
20,992 |
4.13%,
6/15/2039 |
70,000 |
65,570 |
4.35%,
11/15/2047 |
32,000 |
30,190 |
4.25%,
10/26/2049 |
88,000 |
81,505 |
2.55%,
11/13/2050 |
80,000 |
55,071 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
81
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Pharmaceuticals
— continued | ||
Royalty
Pharma plc 3.30%, 9/2/2040 |
63,000 |
47,406 |
Shire
Acquisitions Investments Ireland DAC
|
|
|
2.88%,
9/23/2023 |
62,000 |
61,171 |
3.20%,
9/23/2026 |
332,000 |
317,340 |
|
|
1,058,678 |
Road
& Rail — 1.9% | ||
Canadian
Pacific Railway Co. (Canada) |
|
|
1.35%,
12/2/2024 |
92,000 |
86,410 |
1.75%,
12/2/2026 |
321,000 |
291,144 |
2.45%,
12/2/2031 |
82,000 |
70,053 |
CSX
Corp. 2.60%, 11/1/2026 |
80,000 |
75,749 |
Kansas
City Southern 4.30%, 5/15/2043 |
30,000 |
26,367 |
Norfolk
Southern Corp.
|
|
|
4.15%,
2/28/2048 |
106,000 |
94,602 |
3.16%,
5/15/2055 |
50,000 |
36,234 |
Union
Pacific Corp.
|
|
|
2.89%,
4/6/2036 |
55,000 |
45,772 |
3.25%,
2/5/2050 |
34,000 |
26,765 |
|
|
753,096 |
Semiconductors
& Semiconductor Equipment — 4.4% | ||
Analog
Devices, Inc. 3.50%, 12/5/2026 |
108,000 |
106,164 |
Broadcom,
Inc. 3.50%, 2/15/2041 (a) |
81,000 |
60,763 |
Intel
Corp.
|
|
|
3.25%,
11/15/2049 |
73,000 |
54,349 |
3.20%,
8/12/2061 |
53,000 |
37,194 |
KLA
Corp. 4.10%, 3/15/2029 |
387,000 |
384,523 |
Marvell
Technology, Inc. 2.95%, 4/15/2031 |
80,000 |
65,589 |
NVIDIA
Corp.
|
|
|
2.00%,
6/15/2031 |
59,000 |
49,765 |
3.50%,
4/1/2050 |
136,000 |
112,622 |
NXP
BV (China) |
|
|
4.30%,
6/18/2029 |
40,000 |
37,875 |
3.25%,
5/11/2041 |
190,000 |
137,429 |
QUALCOMM,
Inc.
|
|
|
3.25%,
5/20/2027 |
233,000 |
227,357 |
1.30%,
5/20/2028 |
192,000 |
165,801 |
3.25%,
5/20/2050 |
20,000 |
16,141 |
Xilinx,
Inc.
|
|
|
2.95%,
6/1/2024 |
229,000 |
226,673 |
2.38%,
6/1/2030 |
51,000 |
44,463 |
|
|
1,726,708 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Software
— 1.7% | ||
Microsoft
Corp.
|
|
|
3.45%,
8/8/2036 |
119,000 |
111,981 |
4.10%,
2/6/2037 |
88,000 |
88,346 |
Oracle
Corp.
|
|
|
2.50%,
4/1/2025 |
50,000 |
47,464 |
3.60%,
4/1/2050 |
206,000 |
140,271 |
3.95%,
3/25/2051 |
83,000 |
59,615 |
Roper
Technologies, Inc. 1.75%, 2/15/2031 |
136,000 |
106,585 |
VMware,
Inc. 2.20%, 8/15/2031 |
148,000 |
115,384 |
|
|
669,646 |
Specialty
Retail — 2.3% | ||
AutoZone,
Inc. 1.65%, 1/15/2031 |
174,000 |
137,067 |
Home
Depot, Inc. (The)
|
|
|
2.50%,
4/15/2027 |
237,000 |
223,834 |
1.50%,
9/15/2028 |
133,000 |
115,448 |
2.70%,
4/15/2030 |
78,000 |
70,208 |
3.30%,
4/15/2040 |
56,000 |
46,861 |
4.20%,
4/1/2043 |
30,000 |
27,517 |
3.13%,
12/15/2049 |
63,000 |
48,333 |
Lowe's
Cos., Inc.
|
|
|
3.10%,
5/3/2027 |
40,000 |
37,969 |
2.80%,
9/15/2041 |
122,000 |
86,875 |
3.70%,
4/15/2046 |
107,000 |
85,007 |
4.05%,
5/3/2047 |
40,000 |
33,358 |
|
|
912,477 |
Technology
Hardware, Storage & Peripherals — 1.9% | ||
Apple,
Inc.
|
|
|
2.90%,
9/12/2027 |
189,000 |
180,864 |
2.38%,
2/8/2041 |
69,000 |
51,892 |
3.85%,
5/4/2043 |
20,000 |
18,381 |
3.45%,
2/9/2045 |
56,000 |
48,607 |
4.65%,
2/23/2046 |
153,000 |
156,422 |
2.65%,
5/11/2050 |
20,000 |
14,642 |
2.65%,
2/8/2051 |
80,000 |
58,539 |
Dell
International LLC
|
|
|
6.02%,
6/15/2026 |
152,000 |
157,875 |
5.30%,
10/1/2029 |
40,000 |
39,637 |
|
|
726,859 |
Thrifts
& Mortgage Finance — 0.6% | ||
BPCE
SA (France) 4.00%, 4/15/2024 |
250,000 |
248,769 |
Tobacco
— 1.1% | ||
Altria
Group, Inc. 4.00%, 2/4/2061 |
55,000 |
36,768 |
82
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Tobacco
— continued | ||
BAT
Capital Corp. (United Kingdom) |
|
|
3.22%,
8/15/2024 |
119,000 |
116,239 |
4.39%,
8/15/2037 |
274,000 |
216,722 |
Reynolds
American, Inc. (United Kingdom)
4.45%,
6/12/2025 |
76,000 |
75,282 |
|
|
445,011 |
Water
Utilities — 0.3% | ||
American
Water Capital Corp.
|
|
|
3.75%,
9/1/2047 |
50,000 |
42,007 |
3.45%,
5/1/2050 |
100,000 |
78,251 |
|
|
120,258 |
Wireless
Telecommunication Services — 1.6% | ||
T-Mobile
USA, Inc.
|
|
|
3.50%,
4/15/2025 |
195,000 |
190,416 |
3.75%,
4/15/2027 |
117,000 |
112,191 |
3.88%,
4/15/2030 |
218,000 |
201,481 |
4.50%,
4/15/2050 |
141,000 |
123,038 |
|
|
627,126 |
Total
Corporate Bonds
(Cost
$43,879,546) |
|
38,459,866 |
|
SHARES |
|
Short-Term
Investments — 1.6% | ||
Investment
Companies — 1.6% | ||
JPMorgan
U.S. Government Money Market Fund
Class
IM Shares, 2.00% (d)
(e)
(Cost
$618,875) |
618,875 |
618,875 |
Total
Investments — 100.0%
(Cost
$44,498,421) |
|
39,078,741 |
Other
Assets Less Liabilities — 0.0% ^ |
|
675 |
NET
ASSETS — 100.0% |
|
39,079,416 |
Percentages
indicated are based on net
assets. |
Abbreviations |
|
ICE |
Intercontinental
Exchange |
LIBOR |
London
Interbank Offered Rate |
SOFR |
Secured
Overnight Financing Rate |
USD |
United
States Dollar |
^ |
Amount
rounds to less than 0.1% of net assets. | |
(a) |
Securities
exempt from registration under Rule 144A
or
section 4(a)(2), of the Securities Act of 1933, as
amended. |
|
(b) |
Variable
or floating rate security, linked to the
referenced
benchmark. The interest rate shown is the
current
rate as of August 31, 2022. |
|
(c) |
Step
bond. Interest rate is a fixed rate for an initial
period
that either resets at a specific date or may
reset
in the future contingent upon a predetermined
trigger.
The interest rate shown is the current rate as
of
August 31, 2022.
|
|
(d) |
Investment
in an affiliated fund, which is registered
under
the Investment Company Act of 1940, as
amended,
and is advised by J.P. Morgan Investment
Management
Inc. |
|
(e) |
The
rate shown is the current yield as of August 31,
2022. |
|
DESCRIPTION |
NUMBER
OF
CONTRACTS |
EXPIRATION
DATE |
TRADING
CURRENCY |
NOTIONAL
AMOUNT
($) |
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
Long
Contracts |
|
|
|
|
|
U.S.
Treasury Long Bond |
3 |
12/20/2022 |
USD |
406,406 |
(3,381) |
U.S.
Treasury 5 Year Note |
15 |
12/30/2022 |
USD |
1,660,078 |
(7,999) |
|
|
|
|
|
(11,380) |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
83
|
DESCRIPTION |
NUMBER
OF
CONTRACTS |
EXPIRATION
DATE |
TRADING
CURRENCY |
NOTIONAL
AMOUNT
($) |
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
Short
Contracts |
|
|
|
|
|
U.S.
Treasury 10 Year Note |
(11) |
12/20/2022 |
USD |
(1,282,875) |
9,914 |
U.S.
Treasury 10 Year Ultra Note |
(1) |
12/20/2022 |
USD |
(124,859) |
1,060 |
U.S.
Treasury Ultra Bond |
(1) |
12/20/2022 |
USD |
(148,875) |
530 |
|
|
|
|
|
11,504 |
|
|
|
|
|
124 |
Abbreviations |
|
USD |
United
States Dollar |
84
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
Corporate
Bonds — 97.6% | ||
Aerospace
& Defense — 3.1% | ||
Bombardier,
Inc. (Canada) |
|
|
7.13%,
6/15/2026 (a) |
846,000 |
806,136 |
7.88%,
4/15/2027 (a) |
1,042,000 |
997,767 |
BWX
Technologies, Inc. 4.13%, 6/30/2028 (a) |
329,000 |
302,680 |
Howmet
Aerospace, Inc.
|
|
|
6.88%,
5/1/2025 |
310,000 |
318,345 |
5.90%,
2/1/2027 |
495,000 |
497,574 |
5.95%,
2/1/2037 |
775,000 |
751,518 |
Moog,
Inc. 4.25%, 12/15/2027 (a) |
205,000 |
187,647 |
Rolls-Royce
plc (United Kingdom) 5.75%,
10/15/2027
(a) |
800,000 |
723,072 |
Spirit
AeroSystems, Inc.
|
|
|
7.50%,
4/15/2025 (a) |
840,000 |
821,444 |
4.60%,
6/15/2028 |
233,000 |
185,235 |
TransDigm,
Inc.
|
|
|
6.25%,
3/15/2026 (a) |
2,874,000 |
2,823,705 |
5.50%,
11/15/2027 |
1,501,000 |
1,350,750 |
Triumph
Group, Inc.
|
|
|
8.88%,
6/1/2024 (a) |
329,000 |
333,113 |
6.25%,
9/15/2024 (a) |
146,000 |
134,320 |
7.75%,
8/15/2025 |
328,000 |
276,235 |
Wesco
Aircraft Holdings, Inc.
|
|
|
8.50%,
11/15/2024 (a) |
1,588,000 |
857,520 |
9.00%,
11/15/2026 (a) |
1,791,000 |
1,074,600 |
|
|
12,441,661 |
Airlines
— 1.9% | ||
Air
Canada (Canada) 3.88%, 8/15/2026 (a) |
491,000 |
438,131 |
Allegiant
Travel Co. 7.25%, 8/15/2027 (a) |
196,000 |
194,673 |
American
Airlines, Inc.
|
|
|
5.50%,
4/20/2026 (a) |
1,858,009 |
1,767,487 |
5.75%,
4/20/2029 (a) |
1,808,009 |
1,632,162 |
Delta
Air Lines, Inc.
|
|
|
7.38%,
1/15/2026 |
392,000 |
399,840 |
3.75%,
10/28/2029 |
332,000 |
271,410 |
Hawaiian
Brand Intellectual Property
Ltd. 5.75%,
1/20/2026 (a) |
432,111 |
394,424 |
Spirit
Loyalty Cayman Ltd. 8.00%, 9/20/2025
(a) |
232,850 |
236,499 |
United
Airlines, Inc.
|
|
|
4.38%,
4/15/2026 (a) |
1,401,000 |
1,277,362 |
4.63%,
4/15/2029 (a) |
1,032,000 |
905,580 |
|
|
7,517,568 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
| ||
Auto
Components — 2.4% | ||
Adient
Global Holdings Ltd. 4.88%, 8/15/2026
(a) |
350,000 |
323,904 |
Allison
Transmission, Inc. 5.88%, 6/1/2029 (a) |
570,000 |
535,845 |
American
Axle & Manufacturing, Inc. 6.50%,
4/1/2027 |
720,000 |
673,200 |
Clarios
Global LP
|
|
|
6.25%,
5/15/2026 (a) |
506,000 |
500,378 |
8.50%,
5/15/2027 (a) |
906,000 |
890,236 |
Cooper-Standard
Automotive, Inc.
|
|
|
13.00%,
6/1/2024 (a) |
184,000 |
192,345 |
5.63%,
11/15/2026 (a) |
197,000 |
96,175 |
Dana,
Inc. 5.38%, 11/15/2027 |
854,000 |
761,409 |
Dornoch
Debt Merger Sub, Inc. 6.63%,
10/15/2029
(a) |
310,000 |
241,800 |
Goodyear
Tire & Rubber Co. (The)
|
|
|
5.00%,
5/31/2026 |
256,000 |
247,022 |
4.88%,
3/15/2027 |
1,072,000 |
1,007,734 |
5.25%,
4/30/2031 |
569,000 |
496,177 |
Icahn
Enterprises LP
|
|
|
6.25%,
5/15/2026 |
821,000 |
787,039 |
5.25%,
5/15/2027 |
794,000 |
722,341 |
IHO
Verwaltungs GmbH (Germany) 6.38%
(Cash),
5/15/2029 (a)
(b) |
600,000 |
530,976 |
JB
Poindexter & Co., Inc. 7.13%, 4/15/2026
(a) |
221,000 |
214,094 |
Real
Hero Merger Sub 2, Inc. 6.25%, 2/1/2029
(a) |
232,000 |
188,580 |
Tenneco,
Inc.
|
|
|
5.00%,
7/15/2026 |
394,000 |
376,255 |
7.88%,
1/15/2029 (a) |
452,000 |
449,290 |
ZF
North America Capital, Inc. (Germany)
4.75%,
4/29/2025 (a) |
500,000 |
463,115 |
|
|
9,697,915 |
Automobiles
— 0.1% | ||
PM
General Purchaser LLC 9.50%, 10/1/2028
(a) |
253,000 |
219,154 |
Banks
— 0.6% | ||
Intesa
Sanpaolo SpA (Italy) 5.71%, 1/15/2026
(a) |
1,600,000 |
1,500,804 |
UniCredit
SpA (Italy) (USD ICE Swap Rate 5 Year
+
3.70%), 5.86%, 6/19/2032 (a)
(c) |
1,225,000 |
1,056,392 |
|
|
2,557,196 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
85
|
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
Corporate
Bonds — continued | ||
Beverages
— 0.1% | ||
Primo
Water Holdings, Inc. (Canada) 4.38%,
4/30/2029
(a) |
293,000 |
250,455 |
Triton
Water Holdings, Inc. 6.25%, 4/1/2029
(a) |
324,000 |
265,745 |
|
|
516,200 |
Biotechnology
— 0.0% ^ | ||
Emergent
BioSolutions, Inc. 3.88%, 8/15/2028
(a) |
186,000 |
130,200 |
Building
Products — 1.2% | ||
Advanced
Drainage Systems, Inc. 6.38%,
6/15/2030
(a) |
342,000 |
330,892 |
Builders
FirstSource, Inc. 5.00%, 3/1/2030 (a) |
1,045,000 |
926,131 |
Griffon
Corp. 5.75%, 3/1/2028 |
414,000 |
382,950 |
James
Hardie International Finance DAC 5.00%,
1/15/2028
(a) |
300,000 |
275,996 |
JELD-WEN,
Inc. 4.88%, 12/15/2027 (a) |
467,000 |
361,925 |
Masonite
International Corp. 5.38%, 2/1/2028
(a) |
401,000 |
372,930 |
MIWD
Holdco II LLC 5.50%, 2/1/2030 (a) |
251,000 |
206,141 |
PGT
Innovations, Inc. 4.38%, 10/1/2029 (a) |
228,000 |
192,851 |
Standard
Industries, Inc. 4.75%, 1/15/2028
(a) |
1,742,000 |
1,522,749 |
Summit
Materials LLC 5.25%, 1/15/2029 (a) |
470,000 |
422,758 |
|
|
4,995,323 |
Capital
Markets — 1.4% | ||
Coinbase
Global, Inc.
|
|
|
3.38%,
10/1/2028 (a) |
807,000 |
521,528 |
3.63%,
10/1/2031 (a) |
355,000 |
216,136 |
Deutsche
Bank AG (Germany) (SOFR + 5.44%),
5.88%,
7/8/2031 (c) |
1,700,000 |
1,480,051 |
Dresdner
Funding Trust I 8.15%, 6/30/2031
(a) |
600,000 |
656,700 |
LPL
Holdings, Inc. 4.63%, 11/15/2027 (a) |
1,052,000 |
989,824 |
MSCI,
Inc.
|
|
|
4.00%,
11/15/2029 (a) |
1,560,000 |
1,388,572 |
3.88%,
2/15/2031 (a) |
492,000 |
421,616 |
|
|
5,674,427 |
Chemicals
— 2.8% | ||
Ashland
LLC 3.38%, 9/1/2031 (a) |
251,000 |
205,927 |
Avient
Corp.
|
|
|
5.75%,
5/15/2025 (a) |
226,000 |
222,886 |
7.13%,
8/1/2030 (a) |
832,000 |
821,533 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
| ||
Chemicals
— continued | ||
Axalta
Coating Systems LLC 4.75%, 6/15/2027
(a) |
825,000 |
764,156 |
Chemours
Co. (The) 5.75%, 11/15/2028 (a) |
1,393,000 |
1,246,735 |
Consolidated
Energy Finance SA (Switzerland)
6.50%,
5/15/2026 (a) |
300,000 |
273,990 |
CVR
Partners LP 6.13%, 6/15/2028 (a) |
384,000 |
350,601 |
Element
Solutions, Inc. 3.88%, 9/1/2028 (a) |
596,000 |
517,775 |
Gates
Global LLC 6.25%, 1/15/2026 (a) |
221,000 |
209,398 |
INEOS
Quattro Finance 2 plc (United Kingdom)
3.38%,
1/15/2026 (a) |
300,000 |
259,500 |
Ingevity
Corp. 3.88%, 11/1/2028 (a) |
387,000 |
334,755 |
Koppers,
Inc. 6.00%, 2/15/2025 (a) |
163,000 |
152,943 |
LSB
Industries, Inc. 6.25%, 10/15/2028 (a) |
436,000 |
403,540 |
Methanex
Corp. (Canada) 5.25%, 12/15/2029 |
599,000 |
503,211 |
Nufarm
Australia Ltd. (Australia) 5.00%,
1/27/2030
(a) |
144,000 |
119,520 |
Olin
Corp.
|
|
|
5.13%,
9/15/2027 |
221,000 |
209,763 |
5.63%,
8/1/2029 |
297,000 |
282,973 |
Olympus
Water US Holding Corp. 4.25%,
10/1/2028
(a) |
250,000 |
203,250 |
Rain
CII Carbon LLC 7.25%, 4/1/2025 (a) |
356,000 |
332,904 |
SCIH
Salt Holdings, Inc.
|
|
|
4.88%,
5/1/2028 (a) |
304,000 |
260,774 |
6.63%,
5/1/2029 (a) |
184,000 |
151,487 |
Scotts
Miracle-Gro Co. (The)
|
|
|
4.50%,
10/15/2029 |
260,000 |
208,302 |
4.38%,
2/1/2032 |
324,000 |
244,620 |
Trinseo
Materials Operating SCA
|
|
|
5.38%,
9/1/2025 (a) |
409,000 |
352,509 |
5.13%,
4/1/2029 (a) |
282,000 |
200,135 |
Tronox,
Inc. 4.63%, 3/15/2029 (a) |
790,000 |
657,122 |
Valvoline,
Inc. 4.25%, 2/15/2030 (a) |
325,000 |
316,842 |
Venator
Finance SARL
|
|
|
9.50%,
7/1/2025 (a) |
144,000 |
141,840 |
5.75%,
7/15/2025 (a) |
156,000 |
114,660 |
WR
Grace Holdings LLC
|
|
|
4.88%,
6/15/2027 (a) |
542,000 |
501,285 |
5.63%,
8/15/2029 (a) |
904,000 |
714,160 |
|
|
11,279,096 |
Commercial
Services & Supplies — 3.2% | ||
ACCO
Brands Corp. 4.25%, 3/15/2029 (a) |
228,000 |
190,063 |
Allied
Universal Holdco LLC
|
|
|
6.63%,
7/15/2026 (a) |
1,411,000 |
1,321,105 |
86
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
Corporate
Bonds — continued | ||
Commercial
Services & Supplies — continued | ||
9.75%,
7/15/2027 (a) |
394,000 |
354,780 |
APi
Group DE, Inc. 4.13%, 7/15/2029 (a) |
332,000 |
269,750 |
Aramark
Services, Inc.
|
|
|
6.38%,
5/1/2025 (a) |
453,000 |
449,036 |
5.00%,
2/1/2028 (a) |
691,000 |
635,941 |
Brink's
Co. (The) 4.63%, 10/15/2027 (a) |
453,000 |
407,700 |
Clean
Harbors, Inc. 4.88%, 7/15/2027 (a) |
300,000 |
278,122 |
CoreCivic,
Inc. 8.25%, 4/15/2026 |
436,000 |
431,026 |
Covanta
Holding Corp. 4.88%, 12/1/2029 (a) |
310,000 |
261,563 |
Garda
World Security Corp. (Canada) |
|
|
4.63%,
2/15/2027 (a) |
238,000 |
209,178 |
9.50%,
11/1/2027 (a) |
560,000 |
510,398 |
GFL
Environmental, Inc. (Canada) |
|
|
5.13%,
12/15/2026 (a) |
772,000 |
746,074 |
4.75%,
6/15/2029 (a) |
822,000 |
713,085 |
Harsco
Corp. 5.75%, 7/31/2027 (a) |
188,000 |
133,324 |
Interface,
Inc. 5.50%, 12/1/2028 (a) |
186,000 |
162,462 |
KAR
Auction Services, Inc. 5.13%, 6/1/2025
(a) |
60,000 |
58,917 |
Madison
IAQ LLC
|
|
|
4.13%,
6/30/2028 (a) |
182,000 |
156,065 |
5.88%,
6/30/2029 (a) |
677,000 |
556,927 |
Nielsen
Finance LLC
|
|
|
5.63%,
10/1/2028 (a) |
1,528,000 |
1,531,484 |
5.88%,
10/1/2030 (a) |
602,000 |
602,456 |
Prime
Security Services Borrower LLC
|
|
|
5.75%,
4/15/2026 (a) |
1,900,000 |
1,828,123 |
6.25%,
1/15/2028 (a) |
567,000 |
499,205 |
Stericycle,
Inc. 3.88%, 1/15/2029 (a) |
382,000 |
330,907 |
Waste
Pro USA, Inc. 5.50%, 2/15/2026 (a) |
186,000 |
166,703 |
|
|
12,804,394 |
Communications
Equipment — 1.0% | ||
Ciena
Corp. 4.00%, 1/31/2030 (a) |
188,000 |
162,385 |
CommScope
Technologies LLC
|
|
|
6.00%,
6/15/2025 (a) |
501,000 |
455,284 |
5.00%,
3/15/2027 (a) |
260,000 |
205,196 |
CommScope,
Inc.
|
|
|
6.00%,
3/1/2026 (a) |
1,061,000 |
1,002,751 |
8.25%,
3/1/2027 (a) |
1,233,000 |
1,056,699 |
Nokia
OYJ (Finland) |
|
|
4.38%,
6/12/2027 |
188,000 |
179,215 |
6.63%,
5/15/2039 |
160,000 |
161,698 |
Plantronics,
Inc. 4.75%, 3/1/2029 (a) |
212,000 |
211,470 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
| ||
Communications
Equipment — continued | ||
Viasat,
Inc.
|
|
|
5.63%,
4/15/2027 (a) |
233,000 |
214,360 |
6.50%,
7/15/2028 (a) |
358,000 |
274,550 |
Viavi
Solutions, Inc. 3.75%, 10/1/2029 (a) |
146,000 |
125,279 |
|
|
4,048,887 |
Construction
& Engineering — 0.3% | ||
AECOM 5.13%,
3/15/2027 |
419,000 |
406,430 |
Dycom
Industries, Inc. 4.50%, 4/15/2029 (a) |
251,000 |
224,050 |
Global
Infrastructure Solutions, Inc. 5.63%,
6/1/2029
(a) |
332,000 |
265,490 |
Pike
Corp. 5.50%, 9/1/2028 (a) |
426,000 |
352,179 |
Weekley
Homes LLC 4.88%, 9/15/2028 (a) |
173,000 |
143,409 |
|
|
1,391,558 |
Consumer
Finance — 5.2% | ||
Ally
Financial, Inc. 5.75%, 11/20/2025 |
392,000 |
396,210 |
Credit
Acceptance Corp. 6.63%, 3/15/2026 |
233,000 |
228,340 |
Curo
Group Holdings Corp. 7.50%, 8/1/2028
(a) |
377,000 |
228,500 |
Enova
International, Inc. 8.50%, 9/15/2025
(a) |
207,000 |
193,102 |
FirstCash,
Inc. 5.63%, 1/1/2030 (a) |
311,000 |
278,345 |
Ford
Motor Credit Co. LLC
|
|
|
5.13%,
6/16/2025 |
4,300,000 |
4,200,412 |
4.13%,
8/17/2027 |
7,800,000 |
7,025,693 |
Global
Aircraft Leasing Co. Ltd. (Cayman Islands)
6.50%
(Cash), 9/15/2024 (a)
(b) |
1,209,706 |
978,676 |
Navient
Corp.
|
|
|
7.25%,
9/25/2023 |
208,000 |
208,349 |
5.88%,
10/25/2024 |
1,045,000 |
1,003,404 |
5.00%,
3/15/2027 |
324,000 |
277,383 |
OneMain
Finance Corp.
|
|
|
6.13%,
3/15/2024 |
1,724,000 |
1,683,305 |
7.13%,
3/15/2026 |
3,266,000 |
3,042,246 |
3.88%,
9/15/2028 |
544,000 |
424,320 |
SLM
Corp. 4.20%, 10/29/2025 |
401,000 |
367,693 |
VistaJet
Malta Finance plc (Switzerland) 6.38%,
2/1/2030
(a) |
787,000 |
676,820 |
|
|
21,212,798 |
Containers
& Packaging — 2.4% | ||
Ardagh
Metal Packaging Finance USA LLC
|
|
|
3.25%,
9/1/2028 (a) |
550,000 |
474,375 |
4.00%,
9/1/2029 (a) |
500,000 |
405,000 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
87
|
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
Corporate
Bonds — continued | ||
Containers
& Packaging — continued | ||
Ardagh
Packaging Finance plc
|
|
|
4.13%,
8/15/2026 (a) |
800,000 |
690,136 |
5.25%,
8/15/2027 (a) |
800,000 |
578,292 |
Ball
Corp.
|
|
|
4.88%,
3/15/2026 |
460,000 |
445,131 |
3.13%,
9/15/2031 |
938,000 |
759,711 |
Berry
Global, Inc. 5.63%, 7/15/2027 (a) |
269,000 |
262,679 |
Crown
Americas LLC
|
|
|
4.75%,
2/1/2026 |
273,000 |
263,274 |
5.25%,
4/1/2030 (a) |
244,000 |
234,240 |
Graphic
Packaging International LLC
|
|
|
4.75%,
7/15/2027 (a) |
390,000 |
372,426 |
3.50%,
3/15/2028 (a) |
188,000 |
165,388 |
LABL,
Inc.
|
|
|
6.75%,
7/15/2026 (a) |
522,000 |
495,900 |
10.50%,
7/15/2027 (a) |
400,000 |
378,000 |
Mauser
Packaging Solutions Holding Co.
|
|
|
5.50%,
4/15/2024 (a) |
826,000 |
799,632 |
7.25%,
4/15/2025 (a) |
604,000 |
549,640 |
Owens-Brockway
Glass Container, Inc. 6.63%,
5/13/2027
(a) |
668,000 |
620,021 |
Pactiv
Evergreen Group Issuer, Inc. 4.00%,
10/15/2027
(a) |
737,000 |
643,290 |
Pactiv
LLC 7.95%, 12/15/2025 |
141,000 |
131,246 |
Sealed
Air Corp. 6.88%, 7/15/2033 (a) |
424,000 |
432,764 |
Silgan
Holdings, Inc. 4.13%, 2/1/2028 |
219,000 |
200,475 |
TriMas
Corp. 4.13%, 4/15/2029 (a) |
188,000 |
164,970 |
Trivium
Packaging Finance BV (Netherlands)
5.50%,
8/15/2026 (a)
(d) |
600,000 |
575,472 |
|
|
9,642,062 |
Distributors
— 0.1% | ||
American
Builders & Contractors Supply Co.,
Inc. 4.00%,
1/15/2028 (a) |
483,000 |
436,883 |
Diversified
Consumer Services — 0.2% | ||
Metis
Merger Sub LLC 6.50%, 5/15/2029 (a) |
232,000 |
199,525 |
Service
Corp. International
|
|
|
5.13%,
6/1/2029 |
143,000 |
135,480 |
3.38%,
8/15/2030 |
392,000 |
323,067 |
|
|
658,072 |
Diversified
Financial Services — 0.4% | ||
MPH
Acquisition Holdings LLC
|
|
|
5.50%,
9/1/2028 (a) |
370,000 |
315,425 |
5.75%,
11/1/2028 (a) |
370,000 |
293,780 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
| ||
Diversified
Financial Services — continued | ||
Oxford
Finance LLC 6.38%, 2/1/2027 (a) |
231,000 |
221,760 |
Sabre
GLBL, Inc. 9.25%, 4/15/2025 (a) |
453,000 |
446,337 |
Verscend
Escrow Corp. 9.75%, 8/15/2026 (a) |
304,000 |
306,915 |
|
|
1,584,217 |
Diversified
Telecommunication Services — 6.5% | ||
Altice
France Holding SA (Luxembourg)
10.50%,
5/15/2027 (a) |
750,000 |
647,040 |
Altice
France SA (France) 5.50%, 1/15/2028
(a) |
2,750,000 |
2,278,540 |
CCO
Holdings LLC
|
|
|
5.13%,
5/1/2027 (a) |
916,000 |
869,463 |
5.38%,
6/1/2029 (a) |
2,888,000 |
2,638,491 |
4.75%,
3/1/2030 (a) |
4,856,000 |
4,173,902 |
Consolidated
Communications, Inc. 6.50%,
10/1/2028
(a) |
324,000 |
260,723 |
Embarq
Corp. 8.00%, 6/1/2036 |
663,000 |
515,496 |
Frontier
Communications Holdings LLC
|
|
|
5.88%,
10/15/2027 (a) |
785,000 |
732,209 |
5.00%,
5/1/2028 (a) |
505,000 |
442,612 |
6.75%,
5/1/2029 (a) |
771,000 |
664,980 |
8.75%,
5/15/2030 (a) |
324,000 |
333,519 |
Iliad
Holding SASU (France) 6.50%,
10/15/2026
(a) |
750,000 |
685,335 |
Intelsat
Jackson Holdings SA (Luxembourg)
6.50%,
3/15/2030 (a) |
1,284,000 |
1,163,920 |
Level
3 Financing, Inc.
|
|
|
4.63%,
9/15/2027 (a) |
1,052,000 |
929,358 |
4.25%,
7/1/2028 (a) |
602,000 |
500,413 |
Lumen
Technologies, Inc.
|
|
|
Series
Y, 7.50%, 4/1/2024 |
510,000 |
513,468 |
4.00%,
2/15/2027 (a) |
1,264,000 |
1,098,713 |
5.38%,
6/15/2029 (a) |
456,000 |
356,081 |
Qwest
Corp. 7.25%, 9/15/2025 |
142,000 |
147,008 |
Sprint
Capital Corp.
|
|
|
6.88%,
11/15/2028 |
1,939,000 |
2,047,477 |
8.75%,
3/15/2032 |
1,065,000 |
1,285,689 |
Telecom
Italia Capital SA (Italy) 6.38%,
11/15/2033 |
596,000 |
503,620 |
Telecom
Italia SpA (Italy) 5.30%, 5/30/2024
(a) |
926,000 |
891,386 |
Telesat
Canada (Canada) 5.63%, 12/6/2026
(a) |
310,000 |
180,726 |
Virgin
Media Secured Finance plc (United
Kingdom) |
|
|
5.50%,
5/15/2029 (a) |
1,400,000 |
1,245,398 |
88
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
Corporate
Bonds — continued | ||
Diversified
Telecommunication Services — continued | ||
4.50%,
8/15/2030 (a) |
300,000 |
249,810 |
Windstream
Escrow LLC 7.75%, 8/15/2028 (a) |
424,000 |
364,462 |
Zayo
Group Holdings, Inc.
|
|
|
4.00%,
3/1/2027 (a) |
422,000 |
359,755 |
6.13%,
3/1/2028 (a) |
322,000 |
246,581 |
|
|
26,326,175 |
Electric
Utilities — 1.9% | ||
FirstEnergy
Corp.
|
|
|
2.65%,
3/1/2030 |
1,192,000 |
1,016,883 |
Series
C, 5.35%, 7/15/2047 (d) |
211,000 |
194,120 |
NextEra
Energy Operating Partners LP 4.50%,
9/15/2027
(a) |
837,000 |
774,225 |
NRG
Energy, Inc.
|
|
|
5.75%,
1/15/2028 |
310,000 |
292,209 |
5.25%,
6/15/2029 (a) |
1,434,000 |
1,281,709 |
3.63%,
2/15/2031 (a) |
602,000 |
478,169 |
PG&E
Corp. 5.25%, 7/1/2030 |
1,052,000 |
909,454 |
Terraform
Global Operating LLC 6.13%,
3/1/2026
(a) |
182,000 |
171,444 |
Vistra
Operations Co. LLC
|
|
|
5.63%,
2/15/2027 (a) |
2,297,000 |
2,210,863 |
4.38%,
5/1/2029 (a) |
225,000 |
196,155 |
|
|
7,525,231 |
Electrical
Equipment — 0.2% | ||
Atkore,
Inc. 4.25%, 6/1/2031 (a) |
182,000 |
152,826 |
Sensata
Technologies BV 5.00%, 10/1/2025
(a) |
475,000 |
465,034 |
Vertiv
Group Corp. 4.13%, 11/15/2028 (a) |
353,000 |
305,345 |
|
|
923,205 |
Electronic
Equipment, Instruments & Components — 0.4% | ||
II-VI,
Inc. 5.00%, 12/15/2029 (a) |
489,000 |
435,391 |
Sensata
Technologies, Inc. 4.38%, 2/15/2030
(a) |
1,467,000 |
1,307,075 |
|
|
1,742,466 |
Energy
Equipment & Services — 0.9% | ||
Archrock
Partners LP
|
|
|
6.88%,
4/1/2027 (a) |
512,000 |
480,000 |
6.25%,
4/1/2028 (a) |
143,000 |
130,130 |
Nabors
Industries Ltd. 7.25%, 1/15/2026 (a) |
239,000 |
217,306 |
Nabors
Industries, Inc.
|
|
|
5.75%,
2/1/2025 |
595,000 |
548,489 |
7.38%,
5/15/2027 (a) |
293,000 |
282,745 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
| ||
Energy
Equipment & Services — continued | ||
Oceaneering
International, Inc. 4.65%,
11/15/2024 |
223,000 |
208,041 |
Patterson-UTI
Energy, Inc. 3.95%, 2/1/2028 |
282,000 |
238,563 |
Precision
Drilling Corp. (Canada) |
|
|
7.13%,
1/15/2026 (a) |
242,000 |
231,296 |
6.88%,
1/15/2029 (a) |
162,000 |
148,844 |
Transocean
Guardian Ltd. 5.88%, 1/15/2024
(a) |
278,997 |
264,349 |
Transocean
Pontus Ltd. 6.13%, 8/1/2025 (a) |
237,440 |
227,349 |
Transocean,
Inc. 11.50%, 1/30/2027 (a) |
313,000 |
301,702 |
USA
Compression Partners LP 6.88%,
4/1/2026 |
411,000 |
385,456 |
Weatherford
International Ltd. 6.50%,
9/15/2028
(a) |
159,000 |
149,858 |
|
|
3,814,128 |
Entertainment
— 1.5% | ||
Banijay
Entertainment SASU (France) 5.38%,
3/1/2025
(a) |
250,000 |
235,624 |
Cinemark
USA, Inc.
|
|
|
8.75%,
5/1/2025 (a) |
240,000 |
246,154 |
5.25%,
7/15/2028 (a) |
469,000 |
379,923 |
Lions
Gate Capital Holdings LLC 5.50%,
4/15/2029
(a) |
293,000 |
232,068 |
Live
Nation Entertainment, Inc.
|
|
|
4.88%,
11/1/2024 (a) |
621,000 |
600,817 |
6.50%,
5/15/2027 (a) |
762,000 |
760,762 |
4.75%,
10/15/2027 (a) |
232,000 |
211,120 |
Netflix,
Inc. 5.88%, 11/15/2028 |
2,678,000 |
2,708,020 |
ROBLOX
Corp. 3.88%, 5/1/2030 (a) |
279,000 |
232,734 |
WMG
Acquisition Corp.
|
|
|
3.88%,
7/15/2030 (a) |
428,000 |
368,080 |
3.00%,
2/15/2031 (a) |
229,000 |
181,769 |
|
|
6,157,071 |
Equity
Real Estate Investment Trusts (REITs) — 2.4% | ||
Brookfield
Property REIT, Inc. 5.75%,
5/15/2026
(a) |
509,000 |
474,640 |
Global
Net Lease, Inc. 3.75%, 12/15/2027 (a) |
144,000 |
123,929 |
HAT
Holdings I LLC
|
|
|
3.38%,
6/15/2026 (a) |
424,000 |
367,943 |
3.75%,
9/15/2030 (a) |
235,000 |
188,994 |
Iron
Mountain, Inc.
|
|
|
4.88%,
9/15/2027 (a) |
802,000 |
736,116 |
5.00%,
7/15/2028 (a) |
941,000 |
858,700 |
4.88%,
9/15/2029 (a) |
1,289,000 |
1,117,853 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
89
|
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
Corporate
Bonds — continued | ||
Equity
Real Estate Investment Trusts (REITs) — continued | ||
iStar,
Inc. 4.75%, 10/1/2024 |
535,000 |
535,209 |
MPT
Operating Partnership LP 4.63%,
8/1/2029 |
1,307,000 |
1,113,494 |
Park
Intermediate Holdings LLC 5.88%,
10/1/2028
(a) |
1,452,000 |
1,333,807 |
RHP
Hotel Properties LP 4.75%, 10/15/2027 |
815,000 |
741,104 |
SBA
Communications Corp.
|
|
|
3.88%,
2/15/2027 |
414,000 |
376,855 |
3.13%,
2/1/2029 |
518,000 |
426,793 |
Uniti
Group LP
|
|
|
7.88%,
2/15/2025 (a) |
895,000 |
884,166 |
6.50%,
2/15/2029 (a) |
680,000 |
518,078 |
|
|
9,797,681 |
Food
& Staples Retailing — 1.1% | ||
Albertsons
Cos., Inc.
|
|
|
4.63%,
1/15/2027 (a) |
776,000 |
708,115 |
5.88%,
2/15/2028 (a) |
693,000 |
660,375 |
4.88%,
2/15/2030 (a) |
533,000 |
466,775 |
Performance
Food Group, Inc. 5.50%,
10/15/2027
(a) |
961,000 |
905,868 |
Rite
Aid Corp. 8.00%, 11/15/2026 (a) |
705,000 |
574,575 |
US
Foods, Inc.
|
|
|
6.25%,
4/15/2025 (a) |
427,000 |
429,080 |
4.75%,
2/15/2029 (a) |
592,000 |
527,599 |
|
|
4,272,387 |
Food
Products — 1.0% | ||
B&G
Foods, Inc. 5.25%, 9/15/2027 |
436,000 |
363,338 |
Darling
Ingredients, Inc.
|
|
|
5.25%,
4/15/2027 (a) |
186,000 |
182,431 |
6.00%,
6/15/2030 (a) |
334,000 |
334,421 |
Lamb
Weston Holdings, Inc. 4.88%, 5/15/2028
(a) |
952,000 |
907,092 |
Post
Holdings, Inc. 5.50%, 12/15/2029 (a) |
2,363,000 |
2,165,465 |
|
|
3,952,747 |
Gas
Utilities — 0.3% | ||
AmeriGas
Partners LP 5.88%, 8/20/2026 |
761,000 |
724,350 |
Suburban
Propane Partners LP 5.00%,
6/1/2031
(a) |
325,000 |
286,996 |
Superior
Plus LP (Canada) 4.50%, 3/15/2029
(a) |
291,000 |
256,607 |
|
|
1,267,953 |
Health
Care Equipment & Supplies — 0.9% | ||
Avantor
Funding, Inc. 4.63%, 7/15/2028 (a) |
776,000 |
706,067 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
| ||
Health
Care Equipment & Supplies — continued | ||
Hologic,
Inc. 3.25%, 2/15/2029 (a) |
506,000 |
431,342 |
Medline
Borrower LP
|
|
|
3.88%,
4/1/2029 (a) |
1,579,000 |
1,338,203 |
5.25%,
10/1/2029 (a) |
870,000 |
731,165 |
Teleflex,
Inc. 4.25%, 6/1/2028 (a) |
329,000 |
298,910 |
|
|
3,505,687 |
Health
Care Providers & Services — 5.3% | ||
Acadia
Healthcare Co., Inc. 5.50%, 7/1/2028
(a) |
330,000 |
312,619 |
Centene
Corp.
|
|
|
4.25%,
12/15/2027 |
1,734,000 |
1,646,710 |
4.63%,
12/15/2029 |
3,415,000 |
3,217,067 |
3.38%,
2/15/2030 |
1,323,000 |
1,134,472 |
2.50%,
3/1/2031 |
1,805,000 |
1,440,246 |
Community
Health Systems, Inc.
|
|
|
8.00%,
3/15/2026 (a) |
687,000 |
642,345 |
5.63%,
3/15/2027 (a) |
1,844,000 |
1,563,703 |
6.00%,
1/15/2029 (a) |
415,000 |
340,615 |
6.88%,
4/15/2029 (a) |
850,000 |
531,250 |
DaVita,
Inc.
|
|
|
4.63%,
6/1/2030 (a) |
1,142,000 |
919,356 |
3.75%,
2/15/2031 (a) |
384,000 |
282,538 |
Encompass
Health Corp.
|
|
|
4.50%,
2/1/2028 |
409,000 |
357,810 |
4.75%,
2/1/2030 |
415,000 |
354,919 |
Envision
Healthcare Corp. 8.75%, 10/15/2026
(a) |
227,000 |
74,958 |
Global
Medical Response, Inc. 6.50%,
10/1/2025
(a) |
228,000 |
203,490 |
HealthEquity,
Inc. 4.50%, 10/1/2029 (a) |
167,000 |
146,883 |
Legacy
LifePoint Health LLC 4.38%, 2/15/2027
(a) |
395,000 |
343,338 |
Molina
Healthcare, Inc. 4.38%, 6/15/2028 (a) |
688,000 |
634,680 |
Owens
& Minor, Inc. 6.63%, 4/1/2030 (a) |
414,000 |
382,397 |
Pediatrix
Medical Group, Inc. 5.38%,
2/15/2030
(a) |
130,000 |
110,821 |
Radiology
Partners, Inc. 9.25%, 2/1/2028 (a) |
226,000 |
168,413 |
RegionalCare
Hospital Partners Holdings,
Inc. 9.75%,
12/1/2026 (a) |
548,000 |
522,165 |
RP
Escrow Issuer LLC 5.25%, 12/15/2025 (a) |
272,000 |
242,803 |
Select
Medical Corp. 6.25%, 8/15/2026 (a) |
329,000 |
314,741 |
Surgery
Center Holdings, Inc. 6.75%, 7/1/2025
(a) |
279,000 |
269,179 |
90
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
Corporate
Bonds — continued | ||
Health
Care Providers & Services — continued | ||
Tenet
Healthcare Corp.
|
|
|
6.25%,
2/1/2027 (a) |
1,007,000 |
971,045 |
5.13%,
11/1/2027 (a) |
3,219,000 |
2,982,403 |
4.63%,
6/15/2028 (a) |
648,000 |
589,029 |
6.13%,
10/1/2028 (a) |
409,000 |
375,257 |
6.88%,
11/15/2031 |
401,000 |
375,436 |
|
|
21,450,688 |
Health
Care Technology — 0.2% | ||
IQVIA,
Inc. 5.00%, 10/15/2026 (a) |
800,000 |
775,008 |
Hotels,
Restaurants & Leisure — 9.6% | ||
1011778
BC ULC (Canada) |
|
|
3.88%,
1/15/2028 (a) |
1,166,000 |
1,036,469 |
4.38%,
1/15/2028 (a) |
990,000 |
885,023 |
Bloomin'
Brands, Inc. 5.13%, 4/15/2029 (a) |
188,000 |
163,252 |
Boyd
Gaming Corp. 4.75%, 12/1/2027 |
768,000 |
716,905 |
Boyne
USA, Inc. 4.75%, 5/15/2029 (a) |
276,000 |
245,479 |
Caesars
Entertainment, Inc.
|
|
|
6.25%,
7/1/2025 (a) |
505,000 |
493,087 |
8.13%,
7/1/2027 (a) |
1,393,000 |
1,368,581 |
4.63%,
10/15/2029 (a) |
821,000 |
660,367 |
Caesars
Resort Collection LLC 5.75%, 7/1/2025
(a) |
403,000 |
394,948 |
Carnival
Corp.
|
|
|
7.63%,
3/1/2026 (a) |
856,000 |
728,756 |
5.75%,
3/1/2027 (a) |
1,163,000 |
904,232 |
9.88%,
8/1/2027 (a) |
2,286,000 |
2,294,578 |
4.00%,
8/1/2028 (a) |
505,000 |
421,039 |
CCM
Merger, Inc. 6.38%, 5/1/2026 (a) |
146,000 |
137,206 |
CDI
Escrow Issuer, Inc. 5.75%, 4/1/2030 (a) |
466,000 |
431,744 |
Cedar
Fair LP
|
|
|
5.50%,
5/1/2025 (a) |
604,000 |
592,467 |
5.25%,
7/15/2029 |
406,000 |
369,590 |
Churchill
Downs, Inc. 5.50%, 4/1/2027 (a) |
310,000 |
297,035 |
Everi
Holdings, Inc. 5.00%, 7/15/2029 (a) |
146,000 |
131,133 |
Fertitta
Entertainment LLC 4.63%, 1/15/2029
(a) |
300,000 |
261,429 |
Hilton
Domestic Operating Co., Inc. 4.88%,
1/15/2030 |
1,416,000 |
1,293,941 |
Hilton
Grand Vacations Borrower
Escrow
LLC 5.00%, 6/1/2029 (a) |
414,000 |
366,313 |
Hilton
Worldwide Finance LLC 4.88%, 4/1/2027 |
1,002,000 |
956,910 |
International
Game Technology plc
|
|
|
6.50%,
2/15/2025 (a) |
1,200,000 |
1,191,000 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
| ||
Hotels,
Restaurants & Leisure — continued | ||
5.25%,
1/15/2029 (a) |
250,000 |
233,748 |
IRB
Holding Corp. 7.00%, 6/15/2025 (a) |
405,000 |
407,551 |
Jacobs
Entertainment, Inc. 6.75%, 2/15/2029
(a) |
200,000 |
177,500 |
Las
Vegas Sands Corp. 2.90%, 6/25/2025 |
1,001,000 |
922,666 |
Life
Time, Inc.
|
|
|
5.75%,
1/15/2026 (a) |
304,000 |
273,782 |
8.00%,
4/15/2026 (a) |
188,000 |
165,953 |
Marriott
Ownership Resorts, Inc.
|
|
|
6.13%,
9/15/2025 (a) |
159,000 |
158,472 |
4.75%,
1/15/2028 |
239,000 |
208,958 |
Melco
Resorts Finance Ltd. (Hong Kong) |
|
|
4.88%,
6/6/2025 (a) |
500,000 |
380,094 |
5.75%,
7/21/2028 (a) |
750,000 |
504,375 |
MGM
China Holdings Ltd. (Macau) 5.88%,
5/15/2026
(a) |
800,000 |
664,000 |
MGM
Resorts International
|
|
|
5.75%,
6/15/2025 |
728,000 |
706,160 |
4.63%,
9/1/2026 |
728,000 |
662,313 |
Midwest
Gaming Borrower LLC 4.88%,
5/1/2029
(a) |
311,000 |
272,903 |
NCL
Corp. Ltd.
|
|
|
3.63%,
12/15/2024 (a) |
221,000 |
191,512 |
5.88%,
3/15/2026 (a) |
324,000 |
262,001 |
5.88%,
2/15/2027 (a) |
293,000 |
265,553 |
Papa
John's International, Inc. 3.88%,
9/15/2029
(a) |
232,000 |
198,360 |
Peninsula
Pacific Entertainment LLC 8.50%,
11/15/2027
(a) |
233,000 |
250,419 |
Penn
Entertainment, Inc. 4.13%, 7/1/2029 (a) |
372,000 |
300,479 |
Premier
Entertainment Sub LLC 5.63%,
9/1/2029
(a) |
424,000 |
313,175 |
Resorts
World Las Vegas LLC 4.63%,
4/16/2029
(a) |
500,000 |
397,375 |
Royal
Caribbean Cruises Ltd.
|
|
|
11.50%,
6/1/2025 (a) |
1,316,000 |
1,396,684 |
5.50%,
8/31/2026 (a) |
1,274,000 |
1,018,359 |
11.63%,
8/15/2027 (a) |
392,000 |
384,223 |
Sands
China Ltd. (Macau) |
|
|
5.63%,
8/8/2025 (d) |
1,000,000 |
910,000 |
5.90%,
8/8/2028 (d) |
1,000,000 |
847,500 |
Scientific
Games International, Inc.
|
|
|
8.63%,
7/1/2025 (a) |
414,000 |
426,151 |
7.25%,
11/15/2029 (a) |
304,000 |
298,963 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
91
|
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
Corporate
Bonds — continued | ||
Hotels,
Restaurants & Leisure — continued | ||
Six
Flags Entertainment Corp. 5.50%,
4/15/2027
(a) |
412,000 |
377,802 |
Six
Flags Theme Parks, Inc. 7.00%, 7/1/2025
(a) |
401,000 |
405,277 |
Station
Casinos LLC 4.50%, 2/15/2028 (a) |
491,000 |
422,961 |
Studio
City Finance Ltd. (Macau) 5.00%,
1/15/2029
(a) |
1,100,000 |
572,000 |
Travel
+ Leisure Co.
|
|
|
6.63%,
7/31/2026 (a) |
304,000 |
294,597 |
6.00%,
4/1/2027 (d) |
511,000 |
485,207 |
Vail
Resorts, Inc. 6.25%, 5/15/2025 (a) |
238,000 |
238,226 |
Viking
Cruises Ltd. 5.88%, 9/15/2027 (a) |
515,000 |
415,358 |
VOC
Escrow Ltd. 5.00%, 2/15/2028 (a) |
586,000 |
495,170 |
Wyndham
Hotels & Resorts, Inc. 4.38%,
8/15/2028
(a) |
212,000 |
189,605 |
Wynn
Las Vegas LLC 5.50%, 3/1/2025 (a) |
1,108,000 |
1,061,032 |
Wynn
Macau Ltd. (Macau) 5.63%, 8/26/2028
(a) |
1,600,000 |
1,120,000 |
Wynn
Resorts Finance LLC 5.13%, 10/1/2029
(a) |
652,000 |
547,015 |
Yum!
Brands, Inc.
|
|
|
4.75%,
1/15/2030 (a) |
2,313,000 |
2,107,721 |
6.88%,
11/15/2037 |
409,000 |
429,751 |
|
|
38,702,435 |
Household
Durables — 1.1% | ||
Beazer
Homes USA, Inc. 5.88%, 10/15/2027 |
279,000 |
229,477 |
Brookfield
Residential Properties, Inc. (Canada)
6.25%,
9/15/2027 (a) |
414,000 |
367,899 |
CD&R
Smokey Buyer, Inc. 6.75%, 7/15/2025
(a) |
270,000 |
251,100 |
Century
Communities, Inc. 3.88%, 8/15/2029
(a) |
324,000 |
260,417 |
KB
Home 4.80%, 11/15/2029 |
398,000 |
343,078 |
M/I
Homes, Inc. 4.95%, 2/1/2028 |
233,000 |
205,654 |
Mattamy
Group Corp. (Canada) 5.25%,
12/15/2027
(a) |
310,000 |
272,997 |
Meritage
Homes Corp. 5.13%, 6/6/2027 |
328,000 |
307,242 |
Newell
Brands, Inc.
|
|
|
4.45%,
4/1/2026 (d) |
749,000 |
704,404 |
5.75%,
4/1/2046 (d) |
332,000 |
272,240 |
Taylor
Morrison Communities, Inc. 5.88%,
6/15/2027
(a) |
548,000 |
529,431 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
| ||
Household
Durables — continued | ||
Tempur
Sealy International, Inc. 4.00%,
4/15/2029
(a) |
597,000 |
490,502 |
Tri
Pointe Homes, Inc. 5.70%, 6/15/2028 |
322,000 |
291,730 |
|
|
4,526,171 |
Household
Products — 0.3% | ||
Central
Garden & Pet Co.
|
|
|
5.13%,
2/1/2028 |
233,000 |
214,910 |
4.13%,
10/15/2030 |
173,000 |
144,006 |
Energizer
Holdings, Inc. 4.75%, 6/15/2028 (a) |
590,000 |
490,845 |
Spectrum
Brands, Inc. 5.50%, 7/15/2030 (a) |
510,000 |
439,347 |
|
|
1,289,108 |
Independent
Power and Renewable Electricity Producers — 0.5% | ||
Calpine
Corp.
|
|
|
4.50%,
2/15/2028 (a) |
1,218,000 |
1,114,141 |
5.13%,
3/15/2028 (a) |
424,000 |
376,557 |
Clearway
Energy Operating LLC
|
|
|
4.75%,
3/15/2028 (a) |
242,000 |
226,573 |
3.75%,
2/15/2031 (a) |
424,000 |
354,050 |
|
|
2,071,321 |
Insurance
— 0.9% | ||
Alliant
Holdings Intermediate LLC
|
|
|
4.25%,
10/15/2027 (a) |
322,000 |
290,048 |
6.75%,
10/15/2027 (a) |
602,000 |
546,797 |
AmWINS
Group, Inc. 4.88%, 6/30/2029 (a) |
311,000 |
270,578 |
HUB
International Ltd.
|
|
|
7.00%,
5/1/2026 (a) |
602,000 |
589,812 |
5.63%,
12/1/2029 (a) |
159,000 |
139,070 |
Liberty
Mutual Group, Inc. 4.30%, 2/1/2061
(a) |
652,000 |
449,880 |
NFP
Corp.
|
|
|
4.88%,
8/15/2028 (a) |
233,000 |
206,757 |
6.88%,
8/15/2028 (a) |
744,000 |
611,360 |
Ryan
Specialty Group LLC 4.38%, 2/1/2030 (a) |
162,000 |
146,002 |
USI,
Inc. 6.88%, 5/1/2025 (a) |
228,000 |
223,299 |
|
|
3,473,603 |
Interactive
Media & Services — 0.1% | ||
TripAdvisor,
Inc. 7.00%, 7/15/2025 (a) |
233,000 |
228,827 |
Twitter,
Inc. 5.00%, 3/1/2030 (a) |
376,000 |
354,322 |
|
|
583,149 |
Internet
& Direct Marketing Retail — 0.6% | ||
ANGI
Group LLC 3.88%, 8/15/2028 (a) |
242,000 |
183,315 |
92
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
Corporate
Bonds — continued | ||
Internet
& Direct Marketing Retail — continued | ||
Go
Daddy Operating Co. LLC
|
|
|
5.25%,
12/1/2027 (a) |
236,000 |
221,840 |
3.50%,
3/1/2029 (a) |
334,000 |
282,626 |
Match
Group Holdings II LLC 4.63%, 6/1/2028
(a) |
660,000 |
587,400 |
Millennium
Escrow Corp. 6.63%, 8/1/2026 (a) |
311,000 |
252,381 |
Photo
Holdings Merger Sub, Inc. 8.50%,
10/1/2026
(a) |
226,000 |
168,769 |
QVC,
Inc. 4.75%, 2/15/2027 |
898,000 |
741,685 |
|
|
2,438,016 |
IT
Services — 0.9% | ||
Ahead
DB Holdings LLC 6.63%, 5/1/2028 (a) |
223,000 |
200,141 |
Arches
Buyer, Inc.
|
|
|
4.25%,
6/1/2028 (a) |
370,000 |
297,850 |
6.13%,
12/1/2028 (a) |
232,000 |
181,470 |
Black
Knight InfoServ LLC 3.63%, 9/1/2028
(a) |
315,000 |
274,995 |
Block,
Inc.
|
|
|
2.75%,
6/1/2026 |
324,000 |
287,929 |
3.50%,
6/1/2031 |
310,000 |
255,046 |
Booz
Allen Hamilton, Inc. 3.88%, 9/1/2028 (a) |
551,000 |
490,114 |
Cablevision
Lightpath LLC 3.88%, 9/15/2027
(a) |
250,000 |
218,183 |
Cogent
Communications Group, Inc. 3.50%,
5/1/2026
(a) |
144,000 |
129,647 |
Conduent
Business Services LLC 6.00%,
11/1/2029
(a) |
242,000 |
208,406 |
Gartner,
Inc. 4.50%, 7/1/2028 (a) |
587,000 |
541,772 |
Northwest
Fiber LLC
|
|
|
4.75%,
4/30/2027 (a) |
129,000 |
112,506 |
10.75%,
6/1/2028 (a) |
142,000 |
131,021 |
Presidio
Holdings, Inc.
|
|
|
4.88%,
2/1/2027 (a) |
249,000 |
232,967 |
8.25%,
2/1/2028 (a) |
255,000 |
230,214 |
|
|
3,792,261 |
Leisure
Products — 0.2% | ||
Mattel,
Inc.
|
|
|
5.88%,
12/15/2027 (a) |
324,000 |
322,620 |
3.75%,
4/1/2029 (a) |
188,000 |
167,508 |
5.45%,
11/1/2041 |
217,000 |
198,333 |
Vista
Outdoor, Inc. 4.50%, 3/15/2029 (a) |
186,000 |
138,462 |
|
|
826,923 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
| ||
Life
Sciences Tools & Services — 0.1% | ||
Charles
River Laboratories International,
Inc. 3.75%,
3/15/2029 (a) |
406,000 |
349,919 |
Syneos
Health, Inc. 3.63%, 1/15/2029 (a) |
293,000 |
247,658 |
|
|
597,577 |
Machinery
— 0.6% | ||
EnPro
Industries, Inc. 5.75%, 10/15/2026 |
188,000 |
184,240 |
Hillenbrand,
Inc. 3.75%, 3/1/2031 |
512,000 |
432,657 |
Mueller
Water Products, Inc. 4.00%, 6/15/2029
(a) |
242,000 |
217,728 |
Roller
Bearing Co. of America, Inc. 4.38%,
10/15/2029
(a) |
188,000 |
168,730 |
Stevens
Holding Co., Inc. 6.13%, 10/1/2026
(a) |
188,000 |
186,590 |
Terex
Corp. 5.00%, 5/15/2029 (a) |
233,000 |
208,465 |
TK
Elevator US Newco, Inc. (Germany) 5.25%,
7/15/2027
(a) |
800,000 |
728,000 |
Wabash
National Corp. 4.50%, 10/15/2028 (a) |
180,000 |
152,942 |
|
|
2,279,352 |
Media
— 7.2% | ||
Altice
Financing SA (Luxembourg) |
|
|
5.00%,
1/15/2028 (a) |
1,050,000 |
847,235 |
5.75%,
8/15/2029 (a) |
250,000 |
201,374 |
AMC
Networks, Inc.
|
|
|
5.00%,
4/1/2024 |
157,000 |
153,075 |
4.75%,
8/1/2025 |
322,000 |
298,046 |
4.25%,
2/15/2029 |
141,000 |
115,025 |
Audacy
Capital Corp. 6.50%, 5/1/2027 (a) |
266,000 |
87,115 |
Block
Communications, Inc. 4.88%, 3/1/2028
(a) |
143,000 |
130,130 |
Cable
One, Inc. 4.00%, 11/15/2030 (a) |
251,000 |
208,990 |
Clear
Channel Outdoor Holdings, Inc.
|
|
|
5.13%,
8/15/2027 (a) |
598,000 |
535,587 |
7.50%,
6/1/2029 (a) |
924,000 |
742,873 |
CSC
Holdings LLC
|
|
|
7.50%,
4/1/2028 (a) |
1,100,000 |
977,779 |
6.50%,
2/1/2029 (a) |
2,200,000 |
2,024,517 |
5.75%,
1/15/2030 (a) |
1,350,000 |
1,045,494 |
Directv
Financing LLC 5.88%, 8/15/2027 (a) |
1,282,000 |
1,173,030 |
DISH
DBS Corp.
|
|
|
5.88%,
11/15/2024 |
2,008,000 |
1,817,240 |
7.75%,
7/1/2026 |
683,000 |
538,491 |
5.25%,
12/1/2026 (a) |
596,000 |
492,072 |
5.75%,
12/1/2028 (a) |
414,000 |
317,897 |
Gannett
Holdings LLC 6.00%, 11/1/2026 (a) |
188,000 |
146,640 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
93
|
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
Corporate
Bonds — continued | ||
Media
— continued | ||
GCI
LLC 4.75%, 10/15/2028 (a) |
184,000 |
165,824 |
Gray
Television, Inc.
|
|
|
7.00%,
5/15/2027 (a) |
674,000 |
664,480 |
4.75%,
10/15/2030 (a) |
920,000 |
758,080 |
iHeartCommunications,
Inc.
|
|
|
6.38%,
5/1/2026 |
908,417 |
857,982 |
8.38%,
5/1/2027 |
567,864 |
500,163 |
Lamar
Media Corp.
|
|
|
3.75%,
2/15/2028 |
414,000 |
371,304 |
4.00%,
2/15/2030 |
229,000 |
199,372 |
LCPR
Senior Secured Financing DAC 6.75%,
10/15/2027
(a) |
838,000 |
790,938 |
Liberty
Interactive LLC 8.25%, 2/1/2030 |
304,000 |
232,560 |
McGraw-Hill
Education, Inc.
|
|
|
5.75%,
8/1/2028 (a) |
229,000 |
201,078 |
8.00%,
8/1/2029 (a) |
233,000 |
202,139 |
National
CineMedia LLC 5.88%, 4/15/2028 (a) |
162,000 |
113,222 |
News
Corp. 3.88%, 5/15/2029 (a) |
651,000 |
566,370 |
Nexstar
Media, Inc.
|
|
|
5.63%,
7/15/2027 (a) |
861,000 |
819,823 |
4.75%,
11/1/2028 (a) |
355,000 |
321,275 |
Outfront
Media Capital LLC
|
|
|
5.00%,
8/15/2027 (a) |
485,000 |
443,901 |
4.25%,
1/15/2029 (a) |
150,000 |
125,218 |
Paramount
Global (US Treasury Yield Curve Rate
T
Note Constant Maturity 5 Year + 4.00%),
6.37%,
3/30/2062 (c) |
414,000 |
380,831 |
Radiate
Holdco LLC
|
|
|
4.50%,
9/15/2026 (a) |
311,000 |
268,082 |
6.50%,
9/15/2028 (a) |
310,000 |
230,869 |
Scripps
Escrow II, Inc. 3.88%, 1/15/2029 (a) |
171,000 |
144,984 |
Scripps
Escrow, Inc. 5.88%, 7/15/2027 (a) |
423,000 |
382,804 |
Sinclair
Television Group, Inc.
|
|
|
5.50%,
3/1/2030 (a) |
317,000 |
248,483 |
4.13%,
12/1/2030 (a) |
232,000 |
188,843 |
Sirius
XM Radio, Inc.
|
|
|
5.00%,
8/1/2027 (a) |
868,000 |
817,118 |
5.50%,
7/1/2029 (a) |
1,498,000 |
1,400,750 |
4.13%,
7/1/2030 (a) |
758,000 |
642,231 |
Stagwell
Global LLC 5.63%, 8/15/2029 (a) |
422,000 |
357,877 |
Summer
BC Bidco B LLC 5.50%, 10/31/2026
(a) |
350,000 |
304,276 |
TEGNA,
Inc. 5.00%, 9/15/2029 |
1,120,000 |
1,072,075 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
| ||
Media
— continued | ||
Univision
Communications, Inc.
|
|
|
5.13%,
2/15/2025 (a) |
718,000 |
693,534 |
6.63%,
6/1/2027 (a) |
408,000 |
393,728 |
4.50%,
5/1/2029 (a) |
378,000 |
330,655 |
UPC
Broadband Finco BV (Netherlands) 4.88%,
7/15/2031
(a) |
500,000 |
432,485 |
Urban
One, Inc. 7.38%, 2/1/2028 (a) |
228,000 |
204,630 |
Virgin
Media Vendor Financing Notes IV
DAC (United
Kingdom) 5.00%, 7/15/2028
(a) |
550,000 |
469,725 |
Ziggo
Bond Co. BV (Netherlands) 5.13%,
2/28/2030
(a) |
1,000,000 |
800,500 |
Ziggo
BV (Netherlands) 4.88%, 1/15/2030 (a) |
250,000 |
211,050 |
|
|
29,161,869 |
Metals
& Mining — 2.0% | ||
Arconic
Corp.
|
|
|
6.00%,
5/15/2025 (a) |
163,000 |
159,944 |
6.13%,
2/15/2028 (a) |
864,000 |
811,018 |
ATI,
Inc. 5.88%, 12/1/2027 |
787,000 |
747,924 |
Big
River Steel LLC 6.63%, 1/31/2029 (a) |
501,000 |
498,668 |
Carpenter
Technology Corp. 6.38%, 7/15/2028 |
542,000 |
518,222 |
Cleveland-Cliffs,
Inc.
|
|
|
5.88%,
6/1/2027 |
386,000 |
369,595 |
4.63%,
3/1/2029 (a) |
92,000 |
81,671 |
4.88%,
3/1/2031 (a) |
322,000 |
281,111 |
Commercial
Metals Co. 4.13%, 1/15/2030 |
283,000 |
247,510 |
Constellium
SE 5.63%, 6/15/2028 (a) |
350,000 |
316,785 |
FMG
Resources August 2006 Pty. Ltd. (Australia) |
|
|
5.13%,
5/15/2024 (a) |
221,000 |
218,684 |
4.50%,
9/15/2027 (a) |
1,038,000 |
948,260 |
Kaiser
Aluminum Corp.
|
|
|
4.63%,
3/1/2028 (a) |
505,000 |
434,974 |
4.50%,
6/1/2031 (a) |
323,000 |
254,308 |
Novelis
Corp.
|
|
|
3.25%,
11/15/2026 (a) |
182,000 |
161,980 |
4.75%,
1/30/2030 (a) |
1,947,000 |
1,693,890 |
United
States Steel Corp. 6.88%, 3/1/2029 |
316,000 |
308,890 |
|
|
8,053,434 |
Mortgage
Real Estate Investment Trusts (REITs) — 0.1% | ||
Starwood
Property Trust, Inc. 3.63%,
7/15/2026
(a) |
687,000 |
607,995 |
94
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
Corporate
Bonds — continued | ||
Multiline
Retail — 0.5% | ||
Macy's
Retail Holdings LLC 5.88%, 4/1/2029
(a) |
666,000 |
576,423 |
NMG
Holding Co., Inc. 7.13%, 4/1/2026 (a) |
615,000 |
575,375 |
Nordstrom,
Inc.
|
|
|
4.38%,
4/1/2030 |
612,000 |
466,228 |
5.00%,
1/15/2044 |
325,000 |
219,147 |
|
|
1,837,173 |
Oil,
Gas & Consumable Fuels — 11.1% | ||
Aethon
United BR LP 8.25%, 2/15/2026 (a) |
243,000 |
242,898 |
Antero
Midstream Partners LP
|
|
|
5.75%,
3/1/2027 (a) |
786,000 |
744,735 |
5.75%,
1/15/2028 (a) |
873,000 |
827,587 |
Antero
Resources Corp. 8.38%, 7/15/2026 (a) |
914,000 |
980,674 |
Apache
Corp.
|
|
|
4.25%,
1/15/2030 |
728,000 |
657,471 |
5.10%,
9/1/2040 |
626,000 |
532,100 |
Ascent
Resources Utica Holdings LLC 7.00%,
11/1/2026
(a) |
495,000 |
481,388 |
Baytex
Energy Corp. (Canada) 8.75%,
4/1/2027
(a) |
168,000 |
171,780 |
Blue
Racer Midstream LLC 7.63%, 12/15/2025
(a) |
459,000 |
456,705 |
Buckeye
Partners LP 4.50%, 3/1/2028 (a) |
968,000 |
857,028 |
California
Resources Corp. 7.13%, 2/1/2026
(a) |
322,000 |
316,542 |
Centennial
Resource Production LLC 6.88%,
4/1/2027
(a) |
213,000 |
203,545 |
Cheniere
Energy Partners LP 4.50%,
10/1/2029 |
1,894,000 |
1,744,043 |
Chesapeake
Energy Corp.
|
|
|
5.50%,
2/1/2026 (a) |
764,000 |
735,950 |
6.75%,
4/15/2029 (a) |
515,000 |
502,794 |
Chord
Energy Corp. 6.38%, 6/1/2026 (a) |
182,000 |
176,540 |
CNX
Resources Corp. 7.25%, 3/14/2027 (a) |
322,000 |
319,666 |
Colgate
Energy Partners III LLC 7.75%,
2/15/2026
(a) |
273,000 |
272,762 |
Comstock
Resources, Inc. 6.75%, 3/1/2029 (a) |
1,123,000 |
1,071,875 |
CQP
Holdco LP 5.50%, 6/15/2031 (a) |
500,000 |
442,235 |
Crestwood
Midstream Partners LP
|
|
|
5.63%,
5/1/2027 (a) |
1,121,000 |
1,045,332 |
8.00%,
4/1/2029 (a) |
324,000 |
321,225 |
CrownRock
LP
|
|
|
5.63%,
10/15/2025 (a) |
159,000 |
156,567 |
5.00%,
5/1/2029 (a) |
322,000 |
295,740 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
| ||
Oil,
Gas & Consumable Fuels — continued | ||
DT
Midstream, Inc. 4.13%, 6/15/2029 (a) |
1,113,000 |
977,192 |
Encino
Acquisition Partners
Holdings
LLC 8.50%, 5/1/2028 (a) |
421,000 |
400,812 |
Endeavor
Energy Resources LP 5.75%,
1/30/2028
(a) |
328,000 |
323,539 |
EnLink
Midstream Partners LP
|
|
|
4.15%,
6/1/2025 |
164,000 |
159,826 |
4.85%,
7/15/2026 |
417,000 |
409,703 |
5.45%,
6/1/2047 |
403,000 |
307,791 |
EQM
Midstream Partners LP
|
|
|
4.00%,
8/1/2024 |
456,000 |
431,280 |
6.00%,
7/1/2025 (a) |
162,000 |
156,236 |
5.50%,
7/15/2028 |
1,858,000 |
1,698,695 |
4.50%,
1/15/2029 (a) |
423,000 |
364,282 |
6.50%,
7/15/2048 |
491,000 |
416,599 |
Genesis
Energy LP
|
|
|
6.50%,
10/1/2025 |
322,000 |
299,560 |
8.00%,
1/15/2027 |
607,000 |
575,133 |
Gulfport
Energy Corp. 8.00%, 5/17/2026 |
286,999 |
288,910 |
Hess
Infrastructure Partners LP 5.63%,
2/15/2026
(a) |
25,000 |
24,377 |
Hess
Midstream Operations LP
|
|
|
5.63%,
2/15/2026 (a) |
171,000 |
166,737 |
5.13%,
6/15/2028 (a) |
1,088,000 |
1,010,480 |
Hilcorp
Energy I LP
|
|
|
6.25%,
11/1/2028 (a) |
694,000 |
655,788 |
6.00%,
2/1/2031 (a) |
747,000 |
675,382 |
Holly
Energy Partners LP
|
|
|
6.38%,
4/15/2027 (a) |
188,000 |
182,955 |
5.00%,
2/1/2028 (a) |
262,000 |
243,967 |
ITT
Holdings LLC 6.50%, 8/1/2029 (a) |
355,000 |
299,829 |
Kinetik
Holdings LP 5.88%, 6/15/2030 (a) |
550,000 |
523,221 |
Laredo
Petroleum, Inc. 10.13%, 1/15/2028 |
414,000 |
417,963 |
MEG
Energy Corp. (Canada) |
|
|
7.13%,
2/1/2027 (a) |
607,000 |
613,374 |
5.88%,
2/1/2029 (a) |
324,000 |
301,320 |
Murphy
Oil Corp.
|
|
|
5.75%,
8/15/2025 |
194,000 |
192,154 |
5.88%,
12/1/2027 |
196,000 |
190,586 |
6.13%,
12/1/2042 (d) |
239,000 |
187,003 |
New
Fortress Energy, Inc. 6.75%, 9/15/2025
(a) |
867,000 |
838,692 |
NuStar
Logistics LP
|
|
|
6.00%,
6/1/2026 |
284,000 |
268,077 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
95
|
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
Corporate
Bonds — continued | ||
Oil,
Gas & Consumable Fuels — continued | ||
5.63%,
4/28/2027 |
889,000 |
809,374 |
Occidental
Petroleum Corp.
|
|
|
5.88%,
9/1/2025 |
1,171,000 |
1,200,298 |
8.88%,
7/15/2030 |
709,000 |
828,254 |
6.45%,
9/15/2036 |
2,659,000 |
2,841,647 |
PDC
Energy, Inc.
|
|
|
6.13%,
9/15/2024 |
142,000 |
140,626 |
5.75%,
5/15/2026 |
188,000 |
180,027 |
Range
Resources Corp. 8.25%, 1/15/2029 |
871,000 |
914,289 |
Rattler
Midstream LP 5.63%, 7/15/2025 (a) |
144,000 |
146,933 |
Rockcliff
Energy II LLC 5.50%, 10/15/2029 (a) |
229,000 |
211,621 |
Rockies
Express Pipeline LLC
|
|
|
4.95%,
7/15/2029 (a) |
405,000 |
365,298 |
4.80%,
5/15/2030 (a) |
576,000 |
483,120 |
6.88%,
4/15/2040 (a) |
160,000 |
133,170 |
SM
Energy Co.
|
|
|
5.63%,
6/1/2025 |
414,000 |
402,615 |
6.75%,
9/15/2026 |
436,000 |
428,780 |
Southwestern
Energy Co.
|
|
|
7.75%,
10/1/2027 |
148,000 |
153,365 |
8.38%,
9/15/2028 |
332,000 |
349,244 |
5.38%,
3/15/2030 |
1,686,000 |
1,580,254 |
Summit
Midstream Holdings LLC 8.50%,
10/15/2026
(a) |
387,000 |
374,821 |
Sunoco
LP
|
|
|
6.00%,
4/15/2027 |
656,000 |
634,438 |
4.50%,
4/30/2030 |
718,000 |
612,454 |
Tallgrass
Energy Partners LP 5.50%,
1/15/2028
(a) |
2,005,000 |
1,733,616 |
TerraForm
Power Operating LLC 5.00%,
1/31/2028
(a) |
374,000 |
342,797 |
Venture
Global Calcasieu Pass LLC 3.88%,
8/15/2029
(a) |
1,149,000 |
1,002,502 |
Viper
Energy Partners LP 5.38%, 11/1/2027
(a) |
188,000 |
180,010 |
Western
Midstream Operating LP
|
|
|
4.75%,
8/15/2028 |
1,280,000 |
1,204,954 |
5.45%,
4/1/2044 |
687,000 |
601,751 |
|
|
45,014,903 |
Paper
& Forest Products — 0.1% | ||
Glatfelter
Corp. 4.75%, 11/15/2029 (a) |
188,000 |
116,560 |
Louisiana-Pacific
Corp. 3.63%, 3/15/2029 (a) |
188,000 |
152,618 |
|
|
269,178 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
| ||
Personal
Products — 0.4% | ||
BellRing
Brands, Inc. 7.00%, 3/15/2030 (a) |
366,000 |
349,526 |
Coty,
Inc.
|
|
|
5.00%,
4/15/2026 (a) |
424,000 |
401,740 |
6.50%,
4/15/2026 (a) |
140,000 |
133,419 |
4.75%,
1/15/2029 (a) |
188,000 |
166,350 |
Edgewell
Personal Care Co. 5.50%, 6/1/2028
(a) |
425,000 |
392,492 |
Prestige
Brands, Inc. 5.13%, 1/15/2028 (a) |
290,000 |
267,496 |
|
|
1,711,023 |
Pharmaceuticals
— 2.0% | ||
Bausch
Health Cos., Inc.
|
|
|
5.50%,
11/1/2025 (a) |
1,228,000 |
1,013,100 |
5.75%,
8/15/2027 (a) |
1,228,000 |
895,470 |
5.00%,
1/30/2028 (a) |
2,950,000 |
1,106,250 |
7.25%,
5/30/2029 (a) |
2,462,000 |
947,870 |
Catalent
Pharma Solutions, Inc.
|
|
|
5.00%,
7/15/2027 (a) |
336,000 |
316,959 |
3.13%,
2/15/2029 (a) |
220,000 |
182,389 |
Elanco
Animal Health, Inc. 6.40%, 8/28/2028
(d) |
332,000 |
308,760 |
Herbalife
Nutrition Ltd. 7.88%, 9/1/2025 (a) |
310,000 |
298,504 |
Jazz
Securities DAC 4.38%, 1/15/2029 (a) |
650,000 |
586,131 |
Mallinckrodt
International Finance SA 11.50%,
12/15/2028
(a) |
440,000 |
396,550 |
Organon
& Co.
|
|
|
4.13%,
4/30/2028 (a) |
825,000 |
740,165 |
5.13%,
4/30/2031 (a) |
625,000 |
546,875 |
Perrigo
Finance Unlimited Co. 4.40%,
6/15/2030
(d) |
750,000 |
649,170 |
|
|
7,988,193 |
Professional
Services — 0.2% | ||
AMN
Healthcare, Inc. 4.63%, 10/1/2027 (a) |
276,000 |
254,212 |
Dun
& Bradstreet Corp. (The) 5.00%,
12/15/2029
(a) |
212,000 |
188,150 |
Science
Applications International Corp. 4.88%,
4/1/2028
(a) |
224,000 |
207,197 |
|
|
649,559 |
Real
Estate Management & Development — 0.3% | ||
Forestar
Group, Inc. 5.00%, 3/1/2028 (a) |
200,000 |
166,050 |
Kennedy-Wilson,
Inc. 4.75%, 3/1/2029 |
602,000 |
502,297 |
Realogy
Group LLC 5.75%, 1/15/2029 (a) |
580,000 |
454,412 |
|
|
1,122,759 |
96
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
Corporate
Bonds — continued | ||
Road
& Rail — 0.8% | ||
AerCap
Global Aviation Trust (Ireland) (ICE
LIBOR
USD 3 Month + 4.30%), 6.50%,
6/15/2045
(a)
(c) |
300,000 |
285,474 |
Avis
Budget Car Rental LLC
|
|
|
5.75%,
7/15/2027 (a) |
671,000 |
635,772 |
5.38%,
3/1/2029 (a) |
242,000 |
210,893 |
First
Student Bidco, Inc. 4.00%, 7/31/2029 (a) |
511,000 |
441,075 |
Hertz
Corp. (The)
|
|
|
4.63%,
12/1/2026 (a) |
320,000 |
274,083 |
5.00%,
12/1/2029 (a) |
423,000 |
340,257 |
NESCO
Holdings II, Inc. 5.50%, 4/15/2029 (a) |
509,000 |
447,920 |
Williams
Scotsman International, Inc. 4.63%,
8/15/2028
(a) |
322,000 |
289,414 |
XPO
Logistics, Inc. 6.25%, 5/1/2025 (a) |
241,000 |
243,809 |
|
|
3,168,697 |
Semiconductors
& Semiconductor Equipment — 0.4% | ||
Amkor
Technology, Inc. 6.63%, 9/15/2027 (a) |
281,000 |
274,481 |
ams-OSRAM
AG (Austria) 7.00%, 7/31/2025
(a) |
200,000 |
190,818 |
Entegris
Escrow Corp. 5.95%, 6/15/2030 (a) |
596,000 |
565,503 |
Entegris,
Inc. 4.38%, 4/15/2028 (a) |
232,000 |
204,785 |
ON
Semiconductor Corp. 3.88%, 9/1/2028 (a) |
341,000 |
304,104 |
Synaptics,
Inc. 4.00%, 6/15/2029 (a) |
188,000 |
161,565 |
|
|
1,701,256 |
Software
— 1.7% | ||
ACI
Worldwide, Inc. 5.75%, 8/15/2026 (a) |
212,000 |
209,880 |
Change
Healthcare Holdings LLC 5.75%,
3/1/2025
(a) |
326,000 |
322,130 |
Clarivate
Science Holdings Corp.
|
|
|
3.88%,
7/1/2028 (a) |
578,000 |
494,770 |
4.88%,
7/1/2029 (a) |
487,000 |
402,554 |
Elastic
NV 4.13%, 7/15/2029 (a) |
293,000 |
247,945 |
Fair
Isaac Corp.
|
|
|
5.25%,
5/15/2026 (a) |
418,000 |
404,369 |
4.00%,
6/15/2028 (a) |
236,000 |
208,476 |
GoTo
Group, Inc. 5.50%, 9/1/2027 (a) |
242,000 |
178,003 |
Minerva
Merger Sub, Inc. 6.50%, 2/15/2030
(a) |
714,000 |
606,211 |
NCR
Corp.
|
|
|
5.75%,
9/1/2027 (a) |
332,000 |
319,330 |
6.13%,
9/1/2029 (a) |
1,233,000 |
1,175,713 |
NortonLifeLock,
Inc. 5.00%, 4/15/2025 (a) |
311,000 |
306,957 |
Open
Text Corp. (Canada) 3.88%, 2/15/2028
(a) |
221,000 |
188,403 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
| ||
Software
— continued | ||
Open
Text Holdings, Inc. (Canada) 4.13%,
2/15/2030
(a) |
834,000 |
671,257 |
PTC,
Inc. 4.00%, 2/15/2028 (a) |
322,000 |
294,450 |
SS&C
Technologies, Inc. 5.50%, 9/30/2027 (a) |
661,000 |
626,331 |
ZoomInfo
Technologies LLC 3.88%, 2/1/2029
(a) |
192,000 |
166,317 |
|
|
6,823,096 |
Specialty
Retail — 2.4% | ||
Abercrombie
& Fitch Management Co. 8.75%,
7/15/2025
(a) |
141,000 |
137,671 |
Asbury
Automotive Group, Inc.
|
|
|
4.50%,
3/1/2028 |
424,000 |
378,662 |
4.63%,
11/15/2029 (a) |
522,000 |
447,615 |
Bath
& Body Works, Inc.
|
|
|
7.50%,
6/15/2029 |
821,000 |
789,638 |
6.88%,
11/1/2035 |
1,253,000 |
1,093,813 |
Gap,
Inc. (The) 3.63%, 10/1/2029 (a) |
721,000 |
502,169 |
Group
1 Automotive, Inc. 4.00%, 8/15/2028
(a) |
232,000 |
198,216 |
Ken
Garff Automotive LLC 4.88%, 9/15/2028
(a) |
141,000 |
118,254 |
LCM
Investments Holdings II LLC 4.88%,
5/1/2029
(a) |
331,000 |
276,320 |
Lithia
Motors, Inc.
|
|
|
4.63%,
12/15/2027 (a) |
218,000 |
201,857 |
3.88%,
6/1/2029 (a) |
322,000 |
271,771 |
LSF9
Atlantis Holdings LLC 7.75%, 2/15/2026
(a) |
300,000 |
277,501 |
Michaels
Cos., Inc. (The)
|
|
|
5.25%,
5/1/2028 (a) |
304,000 |
233,077 |
7.88%,
5/1/2029 (a) |
282,000 |
187,530 |
Murphy
Oil USA, Inc. 5.63%, 5/1/2027 |
414,000 |
410,409 |
Park
River Holdings, Inc. 5.63%, 2/1/2029 (a) |
233,000 |
168,970 |
Penske
Automotive Group, Inc. 3.75%,
6/15/2029 |
521,000 |
440,696 |
PetSmart,
Inc.
|
|
|
4.75%,
2/15/2028 (a) |
450,000 |
400,988 |
7.75%,
2/15/2029 (a) |
650,000 |
612,618 |
Sonic
Automotive, Inc. 4.63%, 11/15/2029 (a) |
506,000 |
432,463 |
SRS
Distribution, Inc.
|
|
|
4.63%,
7/1/2028 (a) |
324,000 |
286,791 |
6.13%,
7/1/2029 (a) |
496,000 |
411,477 |
Staples,
Inc.
|
|
|
7.50%,
4/15/2026 (a) |
1,052,000 |
889,003 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
97
|
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
Corporate
Bonds — continued | ||
Specialty
Retail — continued | ||
10.75%,
4/15/2027 (a) |
490,000 |
360,150 |
White
Cap Buyer LLC 6.88%, 10/15/2028 (a) |
292,000 |
255,832 |
|
|
9,783,491 |
Technology
Hardware, Storage & Peripherals — 0.4% | ||
Seagate
HDD Cayman
|
|
|
4.88%,
6/1/2027 |
668,000 |
630,151 |
4.13%,
1/15/2031 |
596,000 |
488,363 |
Xerox
Corp. 6.75%, 12/15/2039 |
301,000 |
253,969 |
Xerox
Holdings Corp.
|
|
|
5.00%,
8/15/2025 (a) |
276,000 |
255,890 |
5.50%,
8/15/2028 (a) |
160,000 |
139,952 |
|
|
1,768,325 |
Textiles,
Apparel & Luxury Goods — 0.3% | ||
G-III
Apparel Group Ltd. 7.88%, 8/15/2025 (a) |
188,000 |
185,505 |
Hanesbrands,
Inc.
|
|
|
4.63%,
5/15/2024 (a) |
312,000 |
300,531 |
4.88%,
5/15/2026 (a) |
282,000 |
259,451 |
Kontoor
Brands, Inc. 4.13%, 11/15/2029 (a) |
141,000 |
120,252 |
Under
Armour, Inc. 3.25%, 6/15/2026 |
188,000 |
166,075 |
William
Carter Co. (The) 5.63%, 3/15/2027 (a) |
218,000 |
210,507 |
Wolverine
World Wide, Inc. 4.00%, 8/15/2029
(a) |
188,000 |
153,032 |
|
|
1,395,353 |
Thrifts
& Mortgage Finance — 1.4% | ||
Ladder
Capital Finance Holdings LLLP 4.25%,
2/1/2027
(a) |
1,142,000 |
998,974 |
MGIC
Investment Corp. 5.25%, 8/15/2028 |
323,000 |
301,198 |
Nationstar
Mortgage Holdings, Inc. 5.50%,
8/15/2028
(a) |
1,744,000 |
1,457,935 |
NMI
Holdings, Inc. 7.38%, 6/1/2025 (a) |
162,000 |
163,659 |
PennyMac
Financial Services, Inc. 5.75%,
9/15/2031
(a) |
630,000 |
510,646 |
Rocket
Mortgage LLC
|
|
|
2.88%,
10/15/2026 (a) |
1,190,000 |
999,600 |
3.88%,
3/1/2031 (a) |
875,000 |
682,712 |
4.00%,
10/15/2033 (a) |
596,000 |
444,084 |
|
|
5,558,808 |
Tobacco
— 0.1% | ||
Vector
Group Ltd. 5.75%, 2/1/2029 (a) |
406,000 |
351,921 |
Trading
Companies & Distributors — 1.5% | ||
Beacon
Roofing Supply, Inc. 4.50%,
11/15/2026
(a) |
289,000 |
271,152 |
INVESTMENTS |
PRINCIPAL
AMOUNT
($000) |
VALUE
($000) |
| ||
Trading
Companies & Distributors — continued | ||
Boise
Cascade Co. 4.88%, 7/1/2030 (a) |
162,000 |
144,639 |
Fortress
Transportation and Infrastructure
Investors
LLC
|
|
|
6.50%,
10/1/2025 (a) |
252,000 |
234,778 |
5.50%,
5/1/2028 (a) |
460,000 |
391,400 |
H&E
Equipment Services, Inc. 3.88%,
12/15/2028
(a) |
652,000 |
550,862 |
Herc
Holdings, Inc. 5.50%, 7/15/2027 (a) |
587,000 |
554,266 |
Imola
Merger Corp. 4.75%, 5/15/2029 (a) |
594,000 |
504,285 |
United
Rentals North America, Inc.
|
|
|
4.88%,
1/15/2028 |
1,045,000 |
976,667 |
5.25%,
1/15/2030 |
1,272,000 |
1,203,312 |
WESCO
Distribution, Inc.
|
|
|
7.13%,
6/15/2025 (a) |
401,000 |
401,072 |
7.25%,
6/15/2028 (a) |
687,000 |
692,675 |
|
|
5,925,108 |
Wireless
Telecommunication Services — 0.8% | ||
Connect
Finco SARL (United Kingdom) 6.75%,
10/1/2026
(a) |
700,000 |
641,886 |
Hughes
Satellite Systems Corp.
|
|
|
5.25%,
8/1/2026 |
157,000 |
149,543 |
6.63%,
8/1/2026 |
425,000 |
402,156 |
Sprint
Corp. 7.13%, 6/15/2024 |
678,000 |
700,008 |
United
States Cellular Corp. 6.70%,
12/15/2033 |
130,000 |
126,575 |
Vodafone
Group plc (United Kingdom) |
|
|
(USD
Swap Semi 5 Year + 4.87%), 7.00%,
4/4/2079 (c) |
870,000 |
898,145 |
(US
Treasury Yield Curve Rate T Note Constant
Maturity
5 Year + 3.07%), 5.12%,
6/4/2081 (c) |
246,000 |
179,142 |
|
|
3,097,455 |
Total
Corporate Bonds
(Cost
$451,324,502) |
|
394,887,550 |
98
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
SHARES
($000) |
VALUE
($000) |
Short-Term
Investments — 0.5% | ||
Investment
Companies — 0.5% | ||
JPMorgan
U.S. Government Money Market Fund
Class
IM Shares, 2.00% (e)
(f)
(Cost
$1,852,115) |
1,852,115 |
1,852,115 |
Total
Investments — 98.1%
(Cost
$453,176,617) |
|
396,739,665 |
Other
Assets Less Liabilities — 1.9% |
|
7,835,893 |
NET
ASSETS — 100.0% |
|
404,575,558 |
Percentages
indicated are based on net
assets. |
Abbreviations |
|
ICE |
Intercontinental
Exchange |
LIBOR |
London
Interbank Offered Rate |
OYJ |
Public
Limited Company |
REIT |
Real
Estate Investment Trust |
SCA |
Limited
partnership with share
capital |
SOFR |
Secured
Overnight Financing Rate |
USD |
United
States Dollar |
^ |
Amount
rounds to less than 0.1% of net assets. | |
(a) |
Securities
exempt from registration under Rule 144A
or
section 4(a)(2), of the Securities Act of 1933, as
amended. |
|
(b) |
Security
has the ability to pay in kind (“PIK”) or pay
income
in cash. When applicable, separate rates of
such
payments are disclosed. |
|
(c) |
Variable
or floating rate security, linked to the
referenced
benchmark. The interest rate shown is the
current
rate as of August 31, 2022. |
|
(d) |
Step
bond. Interest rate is a fixed rate for an initial
period
that either resets at a specific date or may
reset
in the future contingent upon a predetermined
trigger.
The interest rate shown is the current rate as
of
August 31, 2022.
|
|
(e) |
Investment
in an affiliated fund, which is registered
under
the Investment Company Act of 1940, as
amended,
and is advised by J.P. Morgan Investment
Management
Inc. |
|
(f) |
The
rate shown is the current yield as of August 31,
2022. |
|
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
99
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — 39.2% | ||
Aerospace
& Defense — 0.2% | ||
Boeing
Co. (The) 3.20%, 3/1/2029 |
200,000 |
176,703 |
Bombardier,
Inc. (Canada) 7.50%,
3/15/2025
(a) |
25,000 |
24,454 |
BWX
Technologies, Inc. 4.13%, 6/30/2028
(a) |
100,000 |
92,000 |
TransDigm,
Inc. 6.25%, 3/15/2026 (a) |
70,000 |
68,775 |
|
|
361,932 |
Airlines
— 0.2% | ||
American
Airlines, Inc.
|
|
|
5.50%,
4/20/2026 (a) |
260,000 |
247,333 |
5.75%,
4/20/2029 (a) |
25,000 |
22,568 |
Mileage
Plus Holdings LLC 6.50%,
6/20/2027
(a) |
59,849 |
59,999 |
|
|
329,900 |
Auto
Components — 1.1% | ||
Adient
Global Holdings Ltd. 4.88%,
8/15/2026
(a) |
200,000 |
185,088 |
Allison
Transmission, Inc.
|
|
|
4.75%,
10/1/2027 (a) |
20,000 |
18,600 |
5.88%,
6/1/2029 (a) |
360,000 |
338,428 |
3.75%,
1/30/2031 (a) |
25,000 |
20,258 |
American
Axle & Manufacturing, Inc.
|
|
|
6.25%,
3/15/2026 |
20,000 |
19,283 |
6.50%,
4/1/2027 |
280,000 |
261,800 |
6.88%,
7/1/2028 |
20,000 |
18,992 |
5.00%,
10/1/2029 |
50,000 |
42,104 |
Clarios
Global LP
|
|
|
6.75%,
5/15/2025 (a) |
25,000 |
24,871 |
6.25%,
5/15/2026 (a) |
225,000 |
222,500 |
8.50%,
5/15/2027 (a) |
45,000 |
44,217 |
Dana,
Inc.
|
|
|
5.38%,
11/15/2027 |
100,000 |
89,158 |
5.63%,
6/15/2028 |
25,000 |
22,432 |
4.25%,
9/1/2030 |
25,000 |
20,179 |
Dornoch
Debt Merger Sub, Inc. 6.63%,
10/15/2029
(a) |
80,000 |
62,400 |
Goodyear
Tire & Rubber Co. (The)
|
|
|
5.00%,
5/31/2026 |
20,000 |
19,299 |
5.00%,
7/15/2029 |
301,000 |
269,832 |
5.25%,
4/30/2031 |
73,000 |
63,657 |
|
|
1,743,098 |
Automobiles
— 0.1% | ||
General
Motors Co. 5.00%, 4/1/2035 |
85,000 |
76,042 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Banks
— 2.4% | ||
Bank
of America Corp.
|
|
|
Series
DD, (ICE LIBOR USD 3 Month +
4.55%),
6.30%, 3/10/2026 (b)
(c)
(d) |
85,000 |
86,594 |
Series
RR, (US Treasury Yield Curve Rate
T
Note Constant Maturity 5 Year +
2.76%),
4.38%, 1/27/2027 (b)
(c)
(d) |
250,000 |
214,267 |
(ICE
LIBOR USD 3 Month + 1.06%),
3.56%,
4/23/2027 (d) |
225,000 |
214,785 |
Series
TT, (US Treasury Yield Curve Rate
T
Note Constant Maturity 5 Year +
3.23%),
6.13%, 4/27/2027 (b)
(c)
(d) |
185,000 |
182,096 |
(SOFR
+ 1.32%), 2.69%,
4/22/2032 (d) |
115,000 |
95,335 |
Citigroup,
Inc.
|
|
|
Series
U, (SOFR + 3.81%), 5.00%,
9/12/2024 (b)
(c) (d) |
95,000 |
88,360 |
(SOFR
+ 1.37%), 4.14%,
5/24/2025 (d) |
340,000 |
337,699 |
Series
W, (US Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
3.60%),
4.00%, 12/10/2025 (b)
(c)
(d) |
145,000 |
127,238 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
3.42%),
3.88%, 2/18/2026 (b)
(c)
(d) |
100,000 |
86,500 |
(SOFR
+ 0.77%), 1.46%, 6/9/2027 (d) |
225,000 |
198,490 |
Credit
Agricole SA (France) (USD Swap
Semi
5 Year + 6.19%), 8.12%,
12/23/2025
(a)
(b) (c) (d) |
250,000 |
255,937 |
HSBC
Holdings plc (United Kingdom) (US
Treasury
Yield Curve Rate T
Note
Constant Maturity 5 Year + 3.65%),
4.60%,
12/17/2030 (b)
(c) (d) |
200,000 |
157,103 |
ING
Groep NV (Netherlands) (USD ICE Swap
Rate
5 Year + 4.20%), 6.75%,
4/16/2024
(b)
(c) (d) (e) |
200,000 |
195,580 |
Intesa
Sanpaolo SpA (Italy) (US Treasury
Yield
Curve Rate T Note Constant
Maturity
1 Year + 2.60%), 4.20%,
6/1/2032
(a)
(d) |
200,000 |
145,525 |
Lloyds
Banking Group plc (United Kingdom)
(USD
Swap Semi 5 Year + 4.50%),
7.50%,
9/27/2025 (b)
(c) (d) |
200,000 |
193,888 |
100
|
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Banks
— continued | ||
National
Australia Bank Ltd. (Australia) (US
Treasury
Yield Curve Rate T
Note
Constant Maturity 5 Year + 1.88%),
3.93%,
8/2/2034 (a)
(d) |
250,000 |
223,044 |
NatWest
Group plc (United Kingdom) (US
Treasury
Yield Curve Rate T
Note
Constant Maturity 5 Year + 5.63%),
6.00%,
12/29/2025 (b)
(c) (d) |
200,000 |
187,959 |
Nordea
Bank Abp (Finland) (US Treasury
Yield
Curve Rate T Note Constant
Maturity
5 Year + 4.11%), 6.63%,
3/26/2026
(a)
(b) (c) (d) |
200,000 |
196,014 |
Societe
Generale SA (France) (USD ICE
Swap
Rate 5 Year + 5.87%), 8.00%,
9/29/2025
(a)
(b) (c) (d) |
200,000 |
201,962 |
Truist
Financial Corp. Series Q, (US Treasury
Yield
Curve Rate T Note Constant
Maturity
10 Year + 4.35%), 5.10%,
3/1/2030
(b)
(c) (d) |
50,000 |
47,375 |
UniCredit
SpA (Italy) (US Treasury Yield
Curve
Rate T Note Constant Maturity 1
Year
+ 1.20%), 1.98%, 6/3/2027 (a)
(d) |
200,000 |
169,226 |
Wells
Fargo & Co. Series BB, (US Treasury
Yield
Curve Rate T Note Constant
Maturity
5 Year + 3.45%), 3.90%,
3/15/2026
(b)
(c) (d) |
250,000 |
220,312 |
|
|
3,825,289 |
Biotechnology
— 0.2% | ||
AbbVie,
Inc. 4.50%, 5/14/2035 |
80,000 |
76,088 |
Grifols
Escrow Issuer SA (Spain) 4.75%,
10/15/2028
(a) |
200,000 |
166,710 |
|
|
242,798 |
Building
Products — 0.4% | ||
Builders
FirstSource, Inc. 6.38%,
6/15/2032
(a) |
75,000 |
69,562 |
Griffon
Corp. 5.75%, 3/1/2028 |
25,000 |
23,125 |
JELD-WEN,
Inc.
|
|
|
6.25%,
5/15/2025 (a) |
45,000 |
43,875 |
4.88%,
12/15/2027 (a) |
90,000 |
69,750 |
Masonite
International Corp. 5.38%,
2/1/2028
(a) |
100,000 |
93,000 |
MIWD
Holdco II LLC 5.50%, 2/1/2030 (a) |
50,000 |
41,064 |
Standard
Industries, Inc.
|
|
|
4.75%,
1/15/2028 (a) |
350,000 |
305,948 |
4.38%,
7/15/2030 (a) |
20,000 |
15,881 |
|
|
662,205 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Capital
Markets — 0.7% | ||
Charles
Schwab Corp. (The) Series I, (US
Treasury
Yield Curve Rate T
Note
Constant Maturity 5 Year + 3.17%),
4.00%,
6/1/2026 (b)
(c) (d) |
200,000 |
172,000 |
Coinbase
Global, Inc. 3.63%, 10/1/2031
(a) |
20,000 |
12,176 |
Credit
Suisse Group AG (Switzerland) (USD
Swap
Semi 5 Year + 3.46%), 6.25%,
12/18/2024
(a)
(b) (c) (d) |
200,000 |
179,500 |
Goldman
Sachs Group, Inc. (The)
|
|
|
Series
R, (US Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
3.22%),
4.95%, 2/10/2025 (b)
(c)
(d) |
95,000 |
89,326 |
Series
U, (US Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
2.92%),
3.65%, 8/10/2026 (b)
(c)
(d) |
100,000 |
81,050 |
(SOFR
+ 0.91%), 1.95%,
10/21/2027 (d) |
225,000 |
199,842 |
Morgan
Stanley (SOFR + 0.86%), 1.51%,
7/20/2027
(d) |
225,000 |
199,238 |
UBS
Group AG (Switzerland) (USD Swap
Semi
5 Year + 4.59%), 6.87%,
8/7/2025
(b)
(c) (d) (e) |
200,000 |
198,120 |
|
|
1,131,252 |
Chemicals
— 1.4% | ||
Albemarle
Corp. 4.65%, 6/1/2027 |
500,000 |
496,371 |
Axalta
Coating Systems LLC 4.75%,
6/15/2027
(a) |
200,000 |
185,250 |
Braskem
Idesa SAPI (Mexico) 6.99%,
2/20/2032
(a) |
200,000 |
155,000 |
Chemours
Co. (The)
|
|
|
5.75%,
11/15/2028 (a) |
250,000 |
223,750 |
4.63%,
11/15/2029 (a) |
50,000 |
41,250 |
Element
Solutions, Inc. 3.88%, 9/1/2028
(a) |
140,000 |
121,625 |
NOVA
Chemicals Corp. (Canada) |
|
|
5.25%,
6/1/2027 (a) |
340,000 |
300,184 |
4.25%,
5/15/2029 (a) |
20,000 |
16,450 |
Scotts
Miracle-Gro Co. (The)
|
|
|
5.25%,
12/15/2026 |
20,000 |
19,050 |
4.50%,
10/15/2029 |
285,000 |
228,330 |
4.00%,
4/1/2031 |
40,000 |
30,045 |
Trinseo
Materials Operating SCA
|
|
|
5.38%,
9/1/2025 (a) |
45,000 |
38,785 |
5.13%,
4/1/2029 (a) |
220,000 |
156,134 |
August
31, 2022
|
|
101
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Chemicals
— continued | ||
WR
Grace Holdings LLC
|
|
|
4.88%,
6/15/2027 (a) |
140,000 |
129,483 |
5.63%,
8/15/2029 (a) |
140,000 |
110,600 |
|
|
2,252,307 |
Commercial
Services & Supplies — 1.1% | ||
ACCO
Brands Corp. 4.25%, 3/15/2029 (a) |
280,000 |
233,411 |
ADT
Security Corp. (The)
|
|
|
4.13%,
8/1/2029 (a) |
70,000 |
60,111 |
4.88%,
7/15/2032 (a) |
180,000 |
150,578 |
Allied
Universal Holdco LLC 6.63%,
7/15/2026
(a) |
185,000 |
173,214 |
Aramark
Services, Inc. 5.00%, 2/1/2028
(a) |
135,000 |
124,243 |
Atento
Luxco 1 SA (Brazil) 8.00%,
2/10/2026
(e) |
100,000 |
47,500 |
Clean
Harbors, Inc. 5.13%, 7/15/2029
(a) |
100,000 |
93,621 |
Garda
World Security Corp. (Canada)
4.63%,
2/15/2027 (a) |
25,000 |
21,973 |
GFL
Environmental, Inc. (Canada) |
|
|
3.75%,
8/1/2025 (a) |
160,000 |
151,158 |
5.13%,
12/15/2026 (a) |
20,000 |
19,328 |
4.38%,
8/15/2029 (a) |
45,000 |
38,138 |
Madison
IAQ LLC 4.13%, 6/30/2028 (a) |
280,000 |
240,100 |
Nielsen
Finance LLC 5.63%, 10/1/2028
(a) |
160,000 |
160,365 |
Prime
Security Services Borrower LLC
|
|
|
5.75%,
4/15/2026 (a) |
45,000 |
43,298 |
3.38%,
8/31/2027 (a) |
175,000 |
150,609 |
Stericycle,
Inc. 3.88%, 1/15/2029 (a) |
80,000 |
69,300 |
|
|
1,776,947 |
Communications
Equipment — 0.3% | ||
CommScope,
Inc.
|
|
|
6.00%,
3/1/2026 (a) |
330,000 |
311,883 |
8.25%,
3/1/2027 (a) |
135,000 |
115,697 |
4.75%,
9/1/2029 (a) |
50,000 |
42,547 |
|
|
470,127 |
Construction
& Engineering — 0.2% | ||
Dycom
Industries, Inc. 4.50%,
4/15/2029 (a) |
90,000 |
80,337 |
International
Airport Finance SA (Ecuador)
12.00%,
3/15/2033 (e) |
200,000 |
191,244 |
MasTec,
Inc. 4.50%, 8/15/2028 (a) |
75,000 |
68,831 |
|
|
340,412 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Consumer
Finance — 1.4% | ||
AerCap
Ireland Capital DAC (Ireland) |
|
|
3.00%,
10/29/2028 |
420,000 |
357,050 |
3.85%,
10/29/2041 |
150,000 |
110,436 |
Ford
Motor Credit Co. LLC
|
|
|
3.66%,
9/8/2024 |
200,000 |
191,578 |
4.27%,
1/9/2027 |
275,000 |
251,186 |
4.13%,
8/17/2027 |
665,000 |
598,985 |
3.82%,
11/2/2027 |
400,000 |
352,080 |
OneMain
Finance Corp. 3.88%, 9/15/2028 |
200,000 |
156,000 |
Park
Aerospace Holdings Ltd. (Ireland)
4.50%,
3/15/2023 (a) |
100,000 |
99,421 |
|
|
2,116,736 |
Containers
& Packaging — 1.0% | ||
Ardagh
Packaging Finance plc 5.25%,
8/15/2027 (a) |
400,000 |
289,146 |
LABL,
Inc. 6.75%, 7/15/2026 (a) |
210,000 |
199,500 |
Mauser
Packaging Solutions Holding
Co. 5.50%,
4/15/2024 (a) |
280,000 |
271,062 |
Owens-Brockway
Glass Container,
Inc. 6.63%,
5/13/2027 (a) |
25,000 |
23,204 |
Pactiv
Evergreen Group Issuer, Inc. 4.00%,
10/15/2027
(a) |
340,000 |
296,769 |
TriMas
Corp. 4.13%, 4/15/2029 (a) |
65,000 |
57,038 |
Trivium
Packaging Finance BV
(Netherlands) |
|
|
5.50%,
8/15/2026 (a)
(f) |
200,000 |
191,824 |
8.50%,
8/15/2027 (a)
(f) |
250,000 |
237,666 |
|
|
1,566,209 |
Diversified
Consumer Services — 0.1% | ||
Service
Corp. International 5.13%,
6/1/2029 |
175,000 |
165,797 |
Diversified
Telecommunication Services — 3.0% | ||
Altice
France Holding SA (Luxembourg)
10.50%,
5/15/2027 (a) |
200,000 |
172,544 |
Altice
France SA (France) |
|
|
8.13%,
2/1/2027 (a) |
200,000 |
190,334 |
5.13%,
7/15/2029 (a) |
250,000 |
189,915 |
AT&T,
Inc.
|
|
|
4.30%,
2/15/2030 |
125,000 |
119,899 |
3.50%,
9/15/2053 |
50,000 |
36,861 |
CCO
Holdings LLC
|
|
|
5.00%,
2/1/2028 (a) |
575,000 |
525,446 |
5.38%,
6/1/2029 (a) |
387,000 |
353,565 |
4.75%,
3/1/2030 (a) |
705,000 |
605,972 |
102
|
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Diversified
Telecommunication Services — continued | ||
4.50%,
8/15/2030 (a) |
142,000 |
119,418 |
4.25%,
2/1/2031 (a) |
438,000 |
357,384 |
4.75%,
2/1/2032 (a) |
20,000 |
16,544 |
Frontier
Communications Holdings LLC
|
|
|
5.88%,
10/15/2027 (a) |
265,000 |
247,179 |
5.00%,
5/1/2028 (a) |
20,000 |
17,529 |
Intelsat
Jackson Holdings SA (Luxembourg)
6.50%,
3/15/2030 (a) |
255,000 |
231,152 |
Level
3 Financing, Inc.
|
|
|
5.38%,
5/1/2025 |
14,000 |
14,002 |
5.25%,
3/15/2026 |
6,000 |
6,102 |
4.63%,
9/15/2027 (a) |
380,000 |
335,700 |
Lumen
Technologies, Inc. 4.00%,
2/15/2027
(a) |
440,000 |
382,463 |
Sprint
Capital Corp.
|
|
|
6.88%,
11/15/2028 |
125,000 |
131,993 |
8.75%,
3/15/2032 |
285,000 |
344,058 |
Switch
Ltd.
|
|
|
3.75%,
9/15/2028 (a) |
20,000 |
19,818 |
4.13%,
6/15/2029 (a) |
50,000 |
49,875 |
Telecom
Italia Capital SA (Italy) 6.38%,
11/15/2033 |
60,000 |
50,700 |
Zayo
Group Holdings, Inc. 4.00%,
3/1/2027
(a) |
135,000 |
115,088 |
|
|
4,633,541 |
Electric
Utilities — 1.7% | ||
Duquesne
Light Holdings, Inc. 2.78%,
1/7/2032
(a) |
115,000 |
93,773 |
Electricidad
Firme de Mexico Holdings SA
de
CV (Mexico) 4.90%, 11/20/2026
(a) |
200,000 |
169,413 |
Energuate
Trust (Guatemala) 5.88%,
5/3/2027
(e) |
200,000 |
187,500 |
Eskom
Holdings SOC Ltd. (South Africa)
7.13%,
2/11/2025 (e) |
200,000 |
187,600 |
Instituto
Costarricense de
Electricidad (Costa
Rica) 6.75%,
10/7/2031
(a) |
200,000 |
193,412 |
NRG
Energy, Inc.
|
|
|
6.63%,
1/15/2027 |
20,000 |
19,842 |
5.75%,
1/15/2028 |
350,000 |
329,913 |
3.38%,
2/15/2029 (a) |
265,000 |
217,693 |
5.25%,
6/15/2029 (a) |
25,000 |
22,345 |
Trinidad
Generation UnLtd (Trinidad and
Tobago)
5.25%, 11/4/2027 (e) |
200,000 |
193,850 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Electric
Utilities — continued | ||
Vistra
Operations Co. LLC
|
|
|
5.13%,
5/13/2025 (a) |
740,000 |
736,039 |
5.63%,
2/15/2027 (a) |
12,000 |
11,550 |
5.00%,
7/31/2027 (a) |
278,000 |
258,729 |
|
|
2,621,659 |
Electronic
Equipment, Instruments & Components — 0.3% | ||
CDW
LLC 3.25%, 2/15/2029 |
100,000 |
86,771 |
II-VI,
Inc. 5.00%, 12/15/2029 (a) |
130,000 |
115,748 |
Sensata
Technologies, Inc. 3.75%,
2/15/2031
(a) |
350,000 |
289,125 |
|
|
491,644 |
Energy
Equipment & Services — 0.1% | ||
Guara
Norte SARL (Brazil) 5.20%,
6/15/2034
(e) |
187,230 |
156,079 |
Nabors
Industries, Inc. 5.75%, 2/1/2025 |
25,000 |
23,046 |
Transocean
Guardian Ltd. 5.88%,
1/15/2024
(a) |
37,995 |
36,001 |
|
|
215,126 |
Entertainment
— 0.7% | ||
Live
Nation Entertainment, Inc.
|
|
|
5.63%,
3/15/2026 (a) |
25,000 |
24,125 |
6.50%,
5/15/2027 (a) |
210,000 |
209,659 |
4.75%,
10/15/2027 (a) |
365,000 |
332,150 |
Netflix,
Inc.
|
|
|
5.88%,
11/15/2028 |
205,000 |
207,298 |
6.38%,
5/15/2029 |
125,000 |
129,412 |
WMG
Acquisition Corp.
|
|
|
3.75%,
12/1/2029 (a) |
23,000 |
19,659 |
3.88%,
7/15/2030 (a) |
217,000 |
186,620 |
|
|
1,108,923 |
Equity
Real Estate Investment Trusts (REITs) — 0.7% | ||
American
Tower Corp. 3.80%, 8/15/2029 |
100,000 |
92,575 |
Iron
Mountain, Inc.
|
|
|
4.88%,
9/15/2027 (a) |
45,000 |
41,303 |
5.25%,
3/15/2028 (a) |
45,000 |
41,288 |
5.00%,
7/15/2028 (a) |
25,000 |
22,814 |
5.25%,
7/15/2030 (a) |
125,000 |
110,625 |
RHP
Hotel Properties LP
|
|
|
4.75%,
10/15/2027 |
310,000 |
281,892 |
4.50%,
2/15/2029 (a) |
45,000 |
38,861 |
VICI
Properties LP
|
|
|
4.25%,
12/1/2026 (a) |
345,000 |
323,151 |
3.75%,
2/15/2027 (a) |
145,000 |
131,110 |
August
31, 2022
|
|
103
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Equity
Real Estate Investment Trusts (REITs) — continued | ||
3.88%,
2/15/2029 (a) |
25,000 |
22,234 |
4.63%,
12/1/2029 (a) |
37,000 |
34,179 |
|
|
1,140,032 |
Food
& Staples Retailing — 0.8% | ||
Albertsons
Cos., Inc.
|
|
|
4.63%,
1/15/2027 (a) |
310,000 |
282,881 |
5.88%,
2/15/2028 (a) |
195,000 |
185,820 |
3.50%,
3/15/2029 (a) |
70,000 |
57,526 |
Performance
Food Group, Inc.
|
|
|
5.50%,
10/15/2027 (a) |
195,000 |
183,813 |
4.25%,
8/1/2029 (a) |
95,000 |
81,347 |
Rite
Aid Corp.
|
|
|
7.50%,
7/01/2025 (a) |
173,000 |
147,282 |
8.00%,
11/15/2026 (a) |
120,000 |
97,800 |
US
Foods, Inc.
|
|
|
4.75%,
2/15/2029 (a) |
114,000 |
101,598 |
4.63%,
6/1/2030 (a) |
41,000 |
35,362 |
|
|
1,173,429 |
Food
Products — 0.5% | ||
Lamb
Weston Holdings, Inc. 4.13%,
1/31/2030
(a) |
320,000 |
288,400 |
Post
Holdings, Inc.
|
|
|
5.63%,
1/15/2028 (a) |
20,000 |
19,000 |
5.50%,
12/15/2029 (a) |
345,000 |
316,160 |
4.63%,
4/15/2030 (a) |
40,000 |
34,739 |
Sigma
Holdco BV (Netherlands) 7.88%,
5/15/2026
(a) |
200,000 |
142,737 |
|
|
801,036 |
Health
Care Equipment & Supplies — 0.6% | ||
Avantor
Funding, Inc. 4.63%, 7/15/2028
(a) |
295,000 |
268,415 |
Hologic,
Inc. 3.25%, 2/15/2029 (a) |
250,000 |
213,114 |
Medline
Borrower LP
|
|
|
3.88%,
4/1/2029 (a) |
400,000 |
339,000 |
5.25%,
10/1/2029 (a) |
70,000 |
58,829 |
Teleflex,
Inc. 4.25%, 6/1/2028 (a) |
25,000 |
22,713 |
|
|
902,071 |
Health
Care Providers & Services — 2.5% | ||
Acadia
Healthcare Co., Inc.
|
|
|
5.50%,
7/1/2028 (a) |
90,000 |
85,260 |
5.00%,
4/15/2029 (a) |
35,000 |
32,405 |
Centene
Corp.
|
|
|
4.25%,
12/15/2027 |
20,000 |
18,993 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Health
Care Providers & Services — continued | ||
4.63%,
12/15/2029 |
495,000 |
466,310 |
Community
Health Systems, Inc.
|
|
|
8.00%,
3/15/2026 (a) |
306,000 |
286,110 |
5.63%,
3/15/2027 (a) |
9,000 |
7,632 |
6.00%,
1/15/2029 (a) |
70,000 |
57,453 |
5.25%,
5/15/2030 (a) |
64,000 |
48,482 |
4.75%,
2/15/2031 (a) |
20,000 |
14,768 |
DaVita,
Inc.
|
|
|
4.63%,
6/1/2030 (a) |
25,000 |
20,126 |
3.75%,
2/15/2031 (a) |
375,000 |
275,916 |
Encompass
Health Corp.
|
|
|
4.50%,
2/1/2028 |
250,000 |
218,710 |
4.75%,
2/1/2030 |
70,000 |
59,866 |
HCA,
Inc.
|
|
|
5.88%,
2/15/2026 |
405,000 |
413,545 |
5.63%,
9/1/2028 |
250,000 |
251,271 |
5.88%,
2/1/2029 |
295,000 |
300,699 |
4.13%,
6/15/2029 |
140,000 |
128,875 |
Owens
& Minor, Inc. 4.50%, 3/31/2029
(a) |
135,000 |
115,058 |
Tenet
Healthcare Corp.
|
|
|
4.88%,
1/1/2026 (a) |
20,000 |
19,000 |
6.25%,
2/1/2027 (a) |
20,000 |
19,286 |
5.13%,
11/1/2027 (a) |
560,000 |
518,840 |
4.63%,
6/15/2028 (a) |
485,000 |
440,863 |
4.38%,
1/15/2030 (a) |
25,000 |
21,875 |
6.13%,
6/15/2030 (a) |
68,000 |
65,287 |
|
|
3,886,630 |
Health
Care Technology — 0.1% | ||
IQVIA,
Inc. 5.00%, 5/15/2027 (a) |
200,000 |
193,278 |
Hotels,
Restaurants & Leisure — 1.7% | ||
1011778
BC ULC (Canada) |
|
|
3.88%,
1/15/2028 (a) |
200,000 |
177,782 |
4.38%,
1/15/2028 (a) |
45,000 |
40,228 |
3.50%,
2/15/2029 (a) |
50,000 |
42,935 |
4.00%,
10/15/2030 (a) |
25,000 |
20,289 |
Boyne
USA, Inc. 4.75%, 5/15/2029 (a) |
75,000 |
66,706 |
Caesars
Entertainment, Inc.
|
|
|
6.25%,
7/1/2025 (a) |
155,000 |
151,344 |
8.13%,
7/1/2027 (a) |
85,000 |
83,510 |
4.63%,
10/15/2029 (a) |
25,000 |
20,109 |
Carnival
Corp.
|
|
|
5.75%,
3/1/2027 (a) |
55,000 |
42,763 |
9.88%,
8/1/2027 (a) |
110,000 |
110,413 |
104
|
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Hotels,
Restaurants & Leisure — continued | ||
Cedar
Fair LP
|
|
|
5.50%,
5/1/2025 (a) |
20,000 |
19,618 |
5.38%,
4/15/2027 |
60,000 |
56,610 |
5.25%,
7/15/2029 |
75,000 |
68,274 |
Hilton
Domestic Operating Co., Inc. 3.75%,
5/1/2029
(a) |
90,000 |
77,649 |
Hilton
Worldwide Finance LLC 4.88%,
4/1/2027 |
260,000 |
248,300 |
MGM
Resorts International
|
|
|
6.75%,
5/1/2025 |
70,000 |
69,921 |
5.75%,
6/15/2025 |
50,000 |
48,500 |
4.63%,
9/1/2026 |
155,000 |
141,014 |
Royal
Caribbean Cruises Ltd.
|
|
|
11.50%,
6/1/2025 (a) |
25,000 |
26,533 |
11.63%,
8/15/2027 (a) |
109,000 |
106,837 |
Six
Flags Entertainment Corp.
|
|
|
4.88%,
7/31/2024 (a) |
270,000 |
259,054 |
5.50%,
4/15/2027 (a) |
135,000 |
123,794 |
Six
Flags Theme Parks, Inc. 7.00%,
7/1/2025
(a) |
10,000 |
10,107 |
Station
Casinos LLC 4.50%, 2/15/2028
(a) |
80,000 |
68,914 |
Vail
Resorts, Inc. 6.25%, 5/15/2025 (a) |
25,000 |
25,024 |
Wynn
Las Vegas LLC 5.50%, 3/1/2025 (a) |
25,000 |
23,940 |
Wynn
Resorts Finance LLC
|
|
|
7.75%,
4/15/2025 (a) |
70,000 |
69,767 |
5.13%,
10/1/2029 (a) |
325,000 |
272,668 |
Yum!
Brands, Inc. 4.75%, 1/15/2030 (a) |
180,000 |
164,025 |
|
|
2,636,628 |
Household
Durables — 0.3% | ||
CD&R
Smokey Buyer, Inc. 6.75%,
7/15/2025
(a) |
85,000 |
79,050 |
Newell
Brands, Inc. 4.45%, 4/1/2026 (f) |
160,000 |
150,474 |
Tempur
Sealy International, Inc. 4.00%,
4/15/2029
(a) |
225,000 |
184,862 |
|
|
414,386 |
Household
Products — 0.6% | ||
Central
Garden & Pet Co.
|
|
|
5.13%,
2/01/2028 |
225,000 |
207,531 |
4.13%,
10/15/2030 |
45,000 |
37,458 |
Energizer
Holdings, Inc.
|
|
|
4.75%,
6/15/2028 (a) |
97,000 |
80,698 |
4.38%,
3/31/2029 (a) |
307,000 |
249,720 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Household
Products — continued | ||
Spectrum
Brands, Inc.
|
|
|
5.00%,
10/1/2029 (a) |
270,000 |
235,078 |
5.50%,
7/15/2030 (a) |
45,000 |
38,766 |
3.88%,
3/15/2031 (a) |
50,000 |
38,786 |
|
|
888,037 |
Independent
Power and Renewable Electricity Producers — 0.3% | ||
Alexander
Funding Trust 1.84%,
11/15/2023
(a) |
310,000 |
294,549 |
Calpine
Corp. 4.63%, 2/1/2029 (a) |
95,000 |
80,690 |
Termocandelaria
Power Ltd. (Colombia)
7.88%,
1/30/2029 (e) |
170,000 |
158,238 |
|
|
533,477 |
Internet
& Direct Marketing Retail — 0.1% | ||
Photo
Holdings Merger Sub, Inc. 8.50%,
10/1/2026
(a) |
145,000 |
108,281 |
IT
Services — 0.2% | ||
Block,
Inc. 3.50%, 6/1/2031 |
165,000 |
135,750 |
Gartner,
Inc. 4.50%, 7/1/2028 (a) |
260,000 |
239,967 |
|
|
375,717 |
Leisure
Products — 0.2% | ||
Mattel,
Inc. 5.88%, 12/15/2027 (a) |
175,000 |
174,254 |
Vista
Outdoor, Inc. 4.50%, 3/15/2029 (a) |
185,000 |
137,718 |
|
|
311,972 |
Machinery
— 0.2% | ||
Terex
Corp. 5.00%, 5/15/2029 (a) |
80,000 |
71,576 |
TK
Elevator US Newco, Inc. (Germany)
5.25%,
7/15/2027 (a) |
200,000 |
182,000 |
|
|
253,576 |
Media
— 3.6% | ||
Charter
Communications
Operating
LLC 5.38%, 4/1/2038 |
100,000 |
87,688 |
Clear
Channel Outdoor Holdings, Inc.
|
|
|
5.13%,
8/15/2027 (a) |
505,000 |
452,293 |
7.75%,
4/15/2028 (a) |
72,000 |
58,558 |
CSC
Holdings LLC
|
|
|
7.50%,
4/1/2028 (a) |
200,000 |
177,778 |
6.50%,
2/1/2029 (a) |
260,000 |
239,261 |
Directv
Financing LLC 5.88%, 8/15/2027
(a) |
280,000 |
256,200 |
Discovery
Communications LLC 4.95%,
5/15/2042 |
60,000 |
48,722 |
DISH
DBS Corp.
|
|
|
5.00%,
3/15/2023 |
150,000 |
146,795 |
August
31, 2022
|
|
105
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Media
— continued | ||
5.88%,
11/15/2024 |
986,000 |
892,330 |
7.75%,
7/1/2026 |
125,000 |
98,553 |
5.25%,
12/1/2026 (a) |
164,000 |
135,403 |
GCI
LLC 4.75%, 10/15/2028 (a) |
85,000 |
76,604 |
Gray
Escrow II, Inc. 5.38%, 11/15/2031
(a) |
17,000 |
14,368 |
Gray
Television, Inc.
|
|
|
7.00%,
5/15/2027 (a) |
40,000 |
39,435 |
4.75%,
10/15/2030 (a) |
251,000 |
206,824 |
iHeartCommunications,
Inc.
|
|
|
6.38%,
5/1/2026 |
20,000 |
18,890 |
5.25%,
8/15/2027 (a) |
370,000 |
331,943 |
4.75%,
1/15/2028 (a) |
75,000 |
64,364 |
Lamar
Media Corp. 4.88%, 1/15/2029 |
100,000 |
92,847 |
Midcontinent
Communications 5.38%,
8/15/2027
(a) |
40,000 |
37,400 |
News
Corp. 3.88%, 5/15/2029 (a) |
170,000 |
147,900 |
Nexstar
Media, Inc.
|
|
|
5.63%,
7/15/2027 (a) |
45,000 |
42,848 |
4.75%,
11/1/2028 (a) |
495,000 |
447,975 |
Paramount
Global
|
|
|
(ICE
LIBOR USD 3 Month + 3.90%),
6.25%,
2/28/2057 (d) |
100,000 |
92,363 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
4.00%),
6.37%, 3/30/2062 (d) |
205,000 |
188,576 |
Sirius
XM Radio, Inc.
|
|
|
5.00%,
8/1/2027 (a) |
175,000 |
164,741 |
4.00%,
7/15/2028 (a) |
385,000 |
335,441 |
5.50%,
7/1/2029 (a) |
155,000 |
144,937 |
4.13%,
7/1/2030 (a) |
60,000 |
50,836 |
Stagwell
Global LLC 5.63%, 8/15/2029
(a) |
100,000 |
84,805 |
Univision
Communications, Inc.
|
|
|
6.63%,
6/1/2027 (a) |
70,000 |
67,551 |
4.50%,
5/1/2029 (a) |
155,000 |
135,586 |
Videotron
Ltd. (Canada) 5.13%,
4/15/2027
(a) |
185,000 |
173,437 |
|
|
5,553,252 |
Metals
& Mining — 0.9% | ||
Alcoa
Nederland Holding BV 6.13%,
5/15/2028
(a) |
200,000 |
194,376 |
Arconic
Corp.
|
|
|
6.00%,
5/15/2025 (a) |
20,000 |
19,625 |
6.13%,
2/15/2028 (a) |
210,000 |
197,122 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Metals
& Mining — continued | ||
ATI,
Inc.
|
|
|
5.88%,
12/1/2027 |
25,000 |
23,759 |
4.88%,
10/1/2029 |
25,000 |
22,365 |
Big
River Steel LLC 6.63%, 1/31/2029 (a) |
55,000 |
54,744 |
Cleveland-Cliffs,
Inc. 4.63%, 3/1/2029
(a) |
270,000 |
239,686 |
CSN
Inova Ventures (Brazil) 6.75%,
1/28/2028
(e) |
200,000 |
188,870 |
Freeport-McMoRan,
Inc. 4.38%, 8/1/2028 |
160,000 |
150,606 |
Glencore
Funding LLC (Australia) 2.50%,
9/1/2030
(a) |
100,000 |
81,309 |
Kaiser
Aluminum Corp. 4.63%, 3/1/2028
(a) |
80,000 |
68,907 |
Novelis
Corp.
|
|
|
4.75%,
1/30/2030 (a) |
179,000 |
155,730 |
3.88%,
8/15/2031 (a) |
66,000 |
53,272 |
|
|
1,450,371 |
Multiline
Retail — 0.1% | ||
NMG
Holding Co., Inc. 7.13%, 4/1/2026
(a) |
150,000 |
140,335 |
Oil,
Gas & Consumable Fuels — 3.7% | ||
Antero
Midstream Partners LP
|
|
|
7.88%,
5/15/2026 (a) |
20,000 |
20,350 |
5.75%,
3/1/2027 (a) |
25,000 |
23,688 |
5.75%,
1/15/2028 (a) |
220,000 |
208,556 |
5.38%,
6/15/2029 (a) |
70,000 |
64,184 |
Antero
Resources Corp.
|
|
|
8.38%,
7/15/2026 (a) |
20,000 |
21,459 |
7.63%,
2/1/2029 (a) |
75,000 |
76,289 |
5.38%,
3/1/2030 (a) |
20,000 |
18,825 |
BP
Capital Markets plc (United Kingdom) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
4.04%),
4.38%, 6/22/2025 (b)
(c)
(d) |
140,000 |
134,015 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
4.40%),
4.88%, 3/22/2030 (b)
(c)
(d) |
75,000 |
68,606 |
Buckeye
Partners LP
|
|
|
3.95%,
12/1/2026 |
170,000 |
150,954 |
4.13%,
12/1/2027 |
20,000 |
17,680 |
4.50%,
3/1/2028 (a) |
45,000 |
39,841 |
Cheniere
Energy Partners LP
|
|
|
4.50%,
10/1/2029 |
150,000 |
138,124 |
106
|
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Oil,
Gas & Consumable Fuels — continued | ||
4.00%,
3/1/2031 |
20,000 |
17,525 |
Cheniere
Energy, Inc. 4.63%, 10/15/2028 |
80,000 |
77,085 |
Chesapeake
Energy Corp.
|
|
|
5.50%,
2/1/2026 (a) |
20,000 |
19,266 |
6.75%,
4/15/2029 (a) |
205,000 |
200,141 |
Chord
Energy Corp. 6.38%, 6/1/2026 (a) |
100,000 |
97,000 |
Comstock
Resources, Inc.
|
|
|
6.75%,
3/1/2029 (a) |
180,000 |
171,805 |
5.88%,
1/15/2030 (a) |
25,000 |
22,873 |
Crestwood
Midstream Partners LP
|
|
|
5.75%,
4/01/2025 |
90,000 |
86,740 |
5.63%,
5/1/2027 (a) |
70,000 |
65,275 |
8.00%,
4/1/2029 (a) |
115,000 |
114,015 |
DT
Midstream, Inc. 4.13%, 6/15/2029 (a) |
190,000 |
166,816 |
Encino
Acquisition Partners
Holdings
LLC 8.50%, 5/1/2028 (a) |
25,000 |
23,801 |
Energean
Israel Finance Ltd. (Israel)
5.38%,
3/30/2028 (e) |
50,000 |
44,875 |
Energy
Transfer LP 5.35%, 5/15/2045 |
60,000 |
52,876 |
EnLink
Midstream Partners LP 4.85%,
7/15/2026 |
20,000 |
19,650 |
EQM
Midstream Partners LP
|
|
|
6.00%,
7/1/2025 (a) |
68,000 |
65,581 |
4.50%,
1/15/2029 (a) |
95,000 |
81,813 |
Gulfport
Energy Corp. 8.00%, 5/17/2026
(a) |
130,000 |
130,866 |
Hess
Midstream Operations LP
|
|
|
5.63%,
2/15/2026 (a) |
190,000 |
185,263 |
5.13%,
6/15/2028 (a) |
20,000 |
18,575 |
4.25%,
2/15/2030 (a) |
20,000 |
17,170 |
Kinetik
Holdings LP 5.88%, 6/15/2030
(a) |
57,000 |
54,225 |
Leviathan
Bond Ltd. (Israel) 6.75%,
6/30/2030
(e) |
50,000 |
47,687 |
Medco
Bell Pte. Ltd. (Indonesia) 6.38%,
1/30/2027
(e) |
200,000 |
175,750 |
MEG
Energy Corp. (Canada) 7.13%,
2/1/2027
(a) |
85,000 |
85,892 |
MPLX
LP 4.50%, 4/15/2038 |
90,000 |
79,555 |
NuStar
Logistics LP
|
|
|
5.63%,
4/28/2027 |
210,000 |
191,191 |
6.38%,
10/1/2030 |
25,000 |
22,750 |
Occidental
Petroleum Corp.
|
|
|
8.50%,
7/15/2027 |
75,000 |
83,996 |
6.38%,
9/1/2028 |
60,000 |
62,666 |
8.88%,
7/15/2030 |
195,000 |
227,799 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Oil,
Gas & Consumable Fuels — continued | ||
Peru
LNG Srl (Peru) 5.38%, 3/22/2030
(e) |
200,000 |
169,000 |
Petroleos
Mexicanos (Mexico) |
|
|
6.88%,
8/4/2026 |
50,000 |
46,672 |
5.35%,
2/12/2028 |
300,000 |
243,780 |
5.95%,
1/28/2031 |
330,000 |
246,922 |
Range
Resources Corp.
|
|
|
8.25%,
1/15/2029 |
103,000 |
108,120 |
4.75%,
2/15/2030 (a) |
8,000 |
7,412 |
SM
Energy Co. 6.75%, 9/15/2026 |
120,000 |
118,013 |
Southwestern
Energy Co.
|
|
|
8.38%,
9/15/2028 |
160,000 |
168,310 |
5.38%,
2/1/2029 |
20,000 |
18,905 |
5.38%,
3/15/2030 |
25,000 |
23,432 |
Sunoco
LP
|
|
|
4.50%,
5/15/2029 |
60,000 |
50,975 |
4.50%,
4/30/2030 |
25,000 |
21,325 |
Tallgrass
Energy Partners LP
|
|
|
7.50%,
10/1/2025 (a) |
170,000 |
170,212 |
6.00%,
3/1/2027 (a) |
45,000 |
41,062 |
5.50%,
1/15/2028 (a) |
50,000 |
43,232 |
6.00%,
12/31/2030 (a) |
20,000 |
17,505 |
Targa
Resources Partners LP
|
|
|
6.50%,
7/15/2027 |
285,000 |
293,194 |
5.50%,
3/1/2030 |
25,000 |
24,419 |
4.88%,
2/1/2031 |
70,000 |
64,889 |
4.00%,
1/15/2032 |
205,000 |
179,522 |
Transcanada
Trust (Canada) (SOFR +
4.42%),
5.50%, 9/15/2079 (d) |
100,000 |
91,983 |
|
|
5,841,977 |
Personal
Products — 0.3% | ||
Coty,
Inc.
|
|
|
5.00%,
4/15/2026 (a) |
80,000 |
75,800 |
4.75%,
1/15/2029 (a) |
45,000 |
39,818 |
Edgewell
Personal Care Co. 5.50%,
6/1/2028
(a) |
255,000 |
235,495 |
Prestige
Brands, Inc. 5.13%, 1/15/2028
(a) |
170,000 |
156,808 |
|
|
507,921 |
Pharmaceuticals
— 1.1% | ||
Bausch
Health Americas, Inc. 9.25%,
4/1/2026
(a) |
415,000 |
249,000 |
Bausch
Health Cos., Inc.
|
|
|
5.50%,
11/1/2025 (a) |
120,000 |
99,000 |
August
31, 2022
|
|
107
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Pharmaceuticals
— continued | ||
9.00%,
12/15/2025 (a) |
135,000 |
83,785 |
5.75%,
8/15/2027 (a) |
225,000 |
164,072 |
5.00%,
1/30/2028 (a) |
230,000 |
86,250 |
4.88%,
6/1/2028 (a) |
275,000 |
190,097 |
5.00%,
2/15/2029 (a) |
20,000 |
7,800 |
7.25%,
5/30/2029 (a) |
130,000 |
50,050 |
Cheplapharm
Arzneimittel
GmbH (Germany)
5.50%, 1/15/2028
(a) |
250,000 |
214,277 |
Elanco
Animal Health, Inc. 6.40%,
8/28/2028
(f) |
145,000 |
134,850 |
Jazz
Securities DAC 4.38%, 1/15/2029
(a) |
200,000 |
180,348 |
Organon
& Co. 4.13%, 4/30/2028 (a) |
205,000 |
183,920 |
Teva
Pharmaceutical Finance Netherlands
III
BV (Israel) 3.15%, 10/1/2026 |
50,000 |
41,525 |
|
|
1,684,974 |
Real
Estate Management & Development — 0.0% ^ | ||
Realogy
Group LLC 5.75%, 1/15/2029 (a) |
25,000 |
19,587 |
Road
& Rail — 0.6% | ||
Avis
Budget Car Rental LLC
|
|
|
4.75%,
4/1/2028 (a) |
90,000 |
78,563 |
5.38%,
3/01/2029 (a) |
300,000 |
261,439 |
First
Student Bidco, Inc. 4.00%,
7/31/2029
(a) |
30,000 |
25,895 |
Hertz
Corp. (The)
|
|
|
4.63%,
12/1/2026 (a) |
45,000 |
38,543 |
5.00%,
12/1/2029 (a) |
165,000 |
132,724 |
NESCO
Holdings II, Inc. 5.50%, 4/15/2029
(a) |
105,000 |
92,400 |
Uber
Technologies, Inc.
|
|
|
7.50%,
9/15/2027 (a) |
190,000 |
190,242 |
4.50%,
8/15/2029 (a) |
140,000 |
121,537 |
|
|
941,343 |
Semiconductors
& Semiconductor Equipment — 0.4% | ||
Amkor
Technology, Inc. 6.63%,
9/15/2027
(a) |
115,000 |
112,332 |
Broadcom
Corp. 3.50%, 1/15/2028 |
100,000 |
92,827 |
Entegris
Escrow Corp. 4.75%, 4/15/2029
(a) |
95,000 |
87,366 |
Entegris,
Inc. 4.38%, 4/15/2028 (a) |
105,000 |
92,683 |
ON
Semiconductor Corp. 3.88%,
9/1/2028
(a) |
190,000 |
169,442 |
|
|
554,650 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Software
— 0.5% | ||
ACI
Worldwide, Inc. 5.75%, 8/15/2026
(a) |
25,000 |
24,750 |
Clarivate
Science Holdings Corp. 3.88%,
7/1/2028
(a) |
215,000 |
184,041 |
Minerva
Merger Sub, Inc. 6.50%,
2/15/2030
(a) |
50,000 |
42,452 |
NCR
Corp.
|
|
|
5.75%,
9/1/2027 (a) |
40,000 |
38,473 |
5.13%,
4/15/2029 (a) |
305,000 |
284,800 |
6.13%,
9/1/2029 (a) |
20,000 |
19,071 |
SS&C
Technologies, Inc. 5.50%,
9/30/2027
(a) |
240,000 |
227,412 |
|
|
820,999 |
Specialty
Retail — 0.8% | ||
Asbury
Automotive Group, Inc.
|
|
|
4.50%,
3/1/2028 |
45,000 |
40,188 |
4.63%,
11/15/2029 (a) |
155,000 |
132,912 |
4.75%,
3/1/2030 |
35,000 |
29,750 |
Bath
& Body Works, Inc.
|
|
|
7.50%,
6/15/2029 |
20,000 |
19,236 |
6.75%,
7/1/2036 |
115,000 |
99,238 |
Gap,
Inc. (The) 3.63%, 10/1/2029 (a) |
55,000 |
38,307 |
Group
1 Automotive, Inc. 4.00%,
8/15/2028
(a) |
30,000 |
25,631 |
Lithia
Motors, Inc. 4.63%, 12/15/2027
(a) |
90,000 |
83,336 |
Penske
Automotive Group, Inc. 3.75%,
6/15/2029 |
100,000 |
84,587 |
PetSmart,
Inc. 4.75%, 2/15/2028 (a) |
270,000 |
240,593 |
SRS
Distribution, Inc.
|
|
|
4.63%,
7/1/2028 (a) |
191,000 |
169,065 |
6.13%,
7/1/2029 (a) |
70,000 |
58,071 |
6.00%,
12/1/2029 (a) |
9,000 |
7,328 |
Staples,
Inc. 7.50%, 4/15/2026 (a) |
225,000 |
190,138 |
|
|
1,218,380 |
Thrifts
& Mortgage Finance — 0.1% | ||
Rocket
Mortgage LLC 3.63%, 3/1/2029
(a) |
178,000 |
143,290 |
Tobacco
— 0.2% | ||
BAT
Capital Corp. (United Kingdom)
4.39%,
8/15/2037 |
80,000 |
63,276 |
BAT
International Finance plc (United
Kingdom)
4.45%, 3/16/2028 |
310,000 |
293,660 |
|
|
356,936 |
108
|
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Trading
Companies & Distributors — 0.9% | ||
Air
Lease Corp. 2.20%, 1/15/2027 |
380,000 |
333,718 |
Imola
Merger Corp. 4.75%, 5/15/2029
(a) |
385,000 |
326,851 |
United
Rentals North America, Inc.
|
|
|
4.88%,
1/15/2028 |
400,000 |
373,844 |
5.25%,
1/15/2030 |
20,000 |
18,920 |
WESCO
Distribution, Inc.
|
|
|
7.13%,
6/15/2025 (a) |
230,000 |
230,042 |
7.25%,
6/15/2028 (a) |
65,000 |
65,537 |
|
|
1,348,912 |
Wireless
Telecommunication Services — 0.6% | ||
America
Movil SAB de CV (Mexico) 5.38%,
4/4/2032
(a) |
200,000 |
183,690 |
Sprint
Corp. 7.63%, 3/1/2026 |
310,000 |
327,864 |
T-Mobile
USA, Inc. 4.75%, 2/1/2028 |
320,000 |
312,992 |
Vodafone
Group plc (United Kingdom) |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
2.45%),
3.25%, 6/4/2081 (d) |
100,000 |
86,430 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
2.77%),
4.12%, 6/4/2081 (d) |
100,000 |
78,450 |
|
|
989,426 |
Total
Corporate Bonds
(Cost
$68,233,201) |
|
61,322,847 |
Asset-Backed
Securities — 28.2% | ||
ACC
Trust Series 2019-2, Class C, 5.24%,
10/21/2024 (a) |
500,000 |
497,676 |
Affirm
Asset Securitization Trust Series
2022-Z1,
Class A, 4.55%,
6/15/2027 (a) |
385,902 |
380,246 |
Air
Canada Pass-Through Trust (Canada)
Series
2020-2, Class B, 9.00%,
10/1/2025 (a) |
7,341 |
7,426 |
American
Airlines Pass-Through Trust Series
2021-1,
Class B, 3.95%, 7/11/2030 |
50,000 |
41,610 |
American
Credit Acceptance Receivables
Trust |
|
|
Series
2022-3, Class B, 4.55%,
10/13/2026 (a) |
500,000 |
497,715 |
Series
2020-4, Class E, 3.65%,
12/14/2026 (a) |
600,000 |
580,480 |
Series
2021-2, Class E, 2.54%,
7/13/2027 (a) |
800,000 |
746,214 |
Series
2021-3, Class E, 2.56%,
11/15/2027 (a) |
800,000 |
742,359 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Series
2022-2, Class D, 4.85%,
6/13/2028 (a) |
230,000 |
224,053 |
Series
2022-2, Class E, 6.57%,
6/13/2028 (a) |
190,000 |
184,088 |
Series
2022-3, Class C, 4.86%,
10/13/2028 (a) |
290,000 |
288,600 |
Series
2022-3, Class D, 5.83%,
10/13/2028 (a) |
267,000 |
264,803 |
AMSR
Trust Series 2020-SFR1, Class H,
5.30%,
4/17/2037 ‡
(a) |
100,000 |
95,614 |
Applebee's
Funding LLC |
|
|
Series
2019-1A, Class A2I, 4.19%,
6/5/2049 (a) |
1,633,500 |
1,568,678 |
Series
2019-1A, Class A2II, 4.72%,
6/5/2049 (a) |
495,000 |
462,139 |
Avis
Budget Rental Car Funding AESOP LLC |
|
|
Series
2020-1A, Class C, 3.02%,
8/20/2026 (a) |
461,000 |
415,290 |
Series
2022-3A, Class A, 4.62%,
2/20/2027 (a) |
943,000 |
937,947 |
British
Airways Pass-Through Trust (United
Kingdom)
Series 2020-1, Class B,
8.38%,
11/15/2028 (a) |
9,726 |
10,107 |
BSPRT
Issuer Ltd. (Cayman Islands) |
|
|
Series
2021-FL7, Class A, 3.71%,
12/15/2038 (a)
(g) |
428,500 |
415,645 |
Series
2021-FL7, Class D, 5.14%,
12/15/2038 ‡
(a) (g) |
275,000 |
258,022 |
Series
2021-FL7, Class E, 5.79%,
12/15/2038 ‡
(a) (g) |
265,000 |
245,344 |
Business
Jet Securities LLC Series 2020-1A,
Class
A, 2.98%, 11/15/2035 (a) |
126,488 |
118,296 |
Conn's
Receivables Funding LLC |
|
|
Series
2022-A, Class A, 5.87%,
12/15/2026 (a) |
638,952 |
637,991 |
Series
2022-A, Class B, 9.52%,
12/15/2026 ‡
(a) |
800,000 |
786,487 |
CoreVest
American Finance Trust |
|
|
Series
2019-1, Class E, 5.49%,
3/15/2052 ‡
(a) (g) |
300,000 |
276,777 |
Series
2019-2, Class E, 5.42%,
6/15/2052 ‡
(a) (g) |
350,000 |
315,547 |
Series
2019-3, Class E, 4.92%,
10/15/2052 ‡
(a) (g) |
350,000 |
302,116 |
CPS
Auto Receivables Trust Series 2022-C,
Class
D, 6.45%, 4/15/2030 (a) |
240,000 |
239,807 |
DB
Master Finance LLC Series 2021-1A,
Class
A23, 2.79%, 11/20/2051 (a) |
297,750 |
241,480 |
August
31, 2022
|
|
109
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
Diamond
Resorts Owner Trust Series
2018-1,
Class C, 4.53%, 1/21/2031 ‡
(a) |
81,236 |
80,871 |
Driven
Brands Funding LLC Series
2021-1A,
Class A2, 2.79%,
10/20/2051 (a) |
1,985,000 |
1,629,699 |
DT
Auto Owner Trust |
|
|
Series
2019-2A, Class E, 4.46%,
5/15/2026 (a) |
750,000 |
741,420 |
Series
2021-3A, Class D, 1.31%,
5/17/2027 (a) |
800,000 |
725,870 |
Series
2021-4A, Class D, 1.99%,
9/15/2027 (a) |
1,929,000 |
1,733,090 |
Series
2021-2A, Class E, 2.97%,
7/17/2028 (a) |
1,080,000 |
991,135 |
Series
2021-4A, Class E, 3.34%,
7/17/2028 (a) |
1,600,000 |
1,433,157 |
Exeter
Automobile Receivables Trust |
|
|
Series
2022-3A, Class D, 6.76%,
9/15/2028 |
400,000 |
405,117 |
Series
2022-4A, Class D, 5.98%,
12/15/2028 |
168,000 |
166,088 |
FirstKey
Homes Trust Series 2020-SFR1,
Class
F1, 3.64%, 8/17/2037 ‡
(a) |
500,000 |
460,140 |
FMC
GMSR Issuer Trust Series 2022-GT1,
Class
B, 7.17%, 4/25/2027 ‡
(a) |
300,000 |
278,421 |
FREED
ABS Trust |
|
|
Series
2020-FP1, Class C, 4.37%,
3/18/2027 ‡
(a) |
711,495 |
710,243 |
Series
2022-1FP, Class D, 3.35%,
3/19/2029 ‡
(a) |
200,000 |
185,308 |
Series
2022-3FP, Class A, 4.50%,
8/20/2029 (a) |
373,647 |
372,302 |
Series
2022-3FP, Class C, 7.05%,
8/20/2029 ‡
(a) |
100,000 |
99,296 |
GLS
Auto Receivables Issuer Trust |
|
|
Series
2021-4A, Class D, 2.48%,
10/15/2027 (a) |
250,000 |
229,288 |
Series
2021-1A, Class E, 3.14%,
1/18/2028 (a) |
650,000 |
605,097 |
Series
2022-1A, Class D, 3.97%,
1/18/2028 (a) |
250,000 |
233,967 |
Series
2022-2A, Class D, 6.15%,
4/17/2028 (a) |
420,000 |
415,936 |
Series
2021-3A, Class E, 3.20%,
10/16/2028 (a) |
1,000,000 |
875,909 |
Goldman
Home Improvement Trust Issuer
Trust
Series 2022-GRN1, Class A,
4.50%,
6/25/2052 (a) |
505,861 |
497,494 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Hertz
Vehicle Financing III LLC Series
2022-3A,
Class B, 3.86%,
3/25/2025 (a) |
500,000 |
490,561 |
Hertz
Vehicle Financing LLC Series
2022-4A,
Class D, 6.56%,
9/25/2026 (a) |
300,000 |
280,322 |
HGI
CRE CLO Ltd. (Cayman Islands) Series
2022-FL3,
Class E, 6.28%,
4/20/2037 ‡
(a) (g) |
195,500 |
186,143 |
Hilton
Grand Vacations Trust Series
2022-1D,
Class D, 6.79%, 6/20/2034 ‡
(a) |
411,292 |
398,294 |
HINNT
LLC Series 2022-A, Class D, 6.50%,
5/15/2041 ‡
(a) |
766,460 |
711,716 |
LendingClub
Loan Certificate Issuer Trust |
|
|
Series
2022-NP1, Class CERT, 0.00%,
3/16/2037 ‡
(a) |
50,000 |
1,066,685 |
Series
2022-P1, Class CERT, 0.00%,
3/16/2037 ‡
(a) |
50,000 |
981,670 |
Series
2022-P2, Class CERT, 0.00%,
4/15/2037 ‡
(a) |
50,000 |
1,027,210 |
Lendingpoint
Asset Securitization Trust |
|
|
Series
2022-A, Class D, 4.54%,
6/15/2029 (a) |
1,000,000 |
836,039 |
Series
2022-B, Class A, 4.77%,
10/15/2029 (a) |
255,815 |
252,150 |
Lendmark
Funding Trust Series 2021-1A,
Class
D, 5.05%, 11/20/2031 ‡
(a) |
500,000 |
383,265 |
ME
Funding LLC Series 2019-1, Class A2,
6.45%,
7/30/2049 (a) |
583,500 |
577,674 |
New
Residential Mortgage Loan Trust Series
2022-SFR1,
Class E1, 3.55%,
2/17/2039 ‡
(a) |
168,000 |
150,794 |
NRZ
Excess Spread-Collateralized Notes |
|
|
Series
2021-FNT1, Class A, 2.98%,
3/25/2026 (a) |
447,129 |
404,323 |
Series
2021-FNT2, Class A, 3.23%,
5/25/2026 (a) |
225,382 |
205,167 |
Series
2021-GNT1, Class A, 3.47%,
11/25/2026 (a) |
206,967 |
190,529 |
OneMain
Direct Auto Receivables Trust
Series
2022-1A, Class A1, 4.65%,
3/14/2029 (a) |
294,000 |
293,021 |
OneMain
Financial Issuance Trust Series
2018-2A,
Class A, 3.57%,
3/14/2033 (a) |
290,000 |
284,103 |
Oportun
Issuance Trust |
|
|
Series
2022-2, Class A, 5.94%,
10/9/2029 (a) |
170,000 |
169,579 |
110
|
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
Series
2022-2, Class D, 11.34%,
10/9/2029 ‡ |
863,000 |
847,955 |
Pagaya
AI Debt Selection Trust Series
2021-3,
Class C, 3.27%, 5/15/2029 (a) |
1,499,918 |
1,276,865 |
Planet
Fitness Master Issuer LLC Series
2022-1A,
Class A2I, 3.25%,
12/5/2051 (a) |
64,837 |
58,239 |
PNMAC
GMSR ISSUER TRUST Series
2022-GT1,
Class A, 6.43%,
5/25/2027 (a)
(g) |
343,000 |
342,295 |
Republic
Finance Issuance Trust Series
2021-A,
Class D, 5.23%, 12/22/2031 ‡
(a) |
800,000 |
650,707 |
Santander
Drive Auto Receivables Trust |
|
|
Series
2022-2, Class B, 3.44%,
9/15/2027 |
210,000 |
205,589 |
Series
2022-2, Class C, 3.76%,
7/16/2029 |
400,000 |
387,907 |
Service
Experts Issuer LLC Series 2021-1A,
Class
A, 2.67%, 2/2/2032 (a) |
328,099 |
301,723 |
Theorem
Funding Trust Series 2022-2A,
Class
B, 9.27%, 12/15/2028 (a) |
400,000 |
416,608 |
Tricon
Residential Trust Series 2022-SFR1,
Class
E2, 5.74%, 4/17/2039 ‡
(a) |
101,000 |
95,898 |
United
Airlines Pass-Through Trust |
|
|
Series
2016-2, Class B, 3.65%,
10/7/2025 |
36,875 |
33,472 |
Series
2016-1, Class B, 3.65%,
1/7/2026 |
30,729 |
27,435 |
Upstart
Pass-Through Trust |
|
|
Series
2021-ST10, Class A, 2.25%,
1/20/2030 (a) |
820,207 |
784,305 |
Series
2022-PT2, Class A, 16.81%,
2/20/2030 (a)
(g) |
860,399 |
872,263 |
Series
2022-PT3, Class A, 18.66%,
4/20/2030 (a)
(g) |
523,779 |
548,398 |
Upstart
Securitization Trust |
|
|
Series
2020-3, Class C, 6.25%,
11/20/2030 ‡
(a) |
1,000,000 |
988,040 |
Series
2021-2, Class C, 3.61%,
6/20/2031 ‡
(a) |
1,500,000 |
1,373,290 |
Series
2022-2, Class B, 6.10%,
5/20/2032 ‡
(a) |
500,000 |
481,439 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Westlake
Automobile Receivables Trust |
|
|
Series
2022-2A, Class C, 4.85%,
9/15/2027 (a) |
504,000 |
500,220 |
Series
2022-2A, Class D, 5.48%,
9/15/2027 (a) |
432,000 |
430,619 |
Total
Asset-Backed Securities
(Cost
$46,341,873) |
|
44,164,917 |
Commercial
Mortgage-Backed Securities — 17.5% | ||
BANK |
|
|
Series
2019-BN20, Class D, 2.50%,
9/15/2062 ‡
(a) |
700,000 |
495,292 |
Series
2020-BN26, Class E, 2.50%,
3/15/2063 ‡
(a) |
320,000 |
205,140 |
BX
Commercial Mortgage Trust |
|
|
Series
2021-21M, Class A, 3.12%,
10/15/2036 (a)
(g) |
500,000 |
480,599 |
Series
2020-VIVA, Class D, 3.67%,
3/11/2044 ‡
(a) (g) |
750,000 |
594,457 |
BX
Trust |
|
|
Series
2022-LBA6, Class A, 3.31%,
1/15/2039 (a)
(g) |
155,000 |
150,510 |
Series
2022-PSB, Class A, 4.76%,
8/15/2039 (a)
(g) |
700,000 |
698,459 |
Series
2022-PSB, Class E, 8.64%,
8/15/2039 (a)
(g) |
600,000 |
602,695 |
Citigroup
Commercial Mortgage Trust |
|
|
Series
2013-GC17, Class B, 5.10%,
11/10/2046 ‡
(g) |
100,000 |
98,697 |
Series
2014-GC23, Class C, 4.58%,
7/10/2047 ‡
(g) |
100,000 |
96,112 |
Series
2018-C5, Class XA, IO, 0.69%,
6/10/2051 (g) |
1,506,011 |
49,073 |
Series
2018-C6, Class XA, IO, 0.94%,
11/10/2051 (g) |
2,157,014 |
80,679 |
Series
2015-GC33, Class B, 4.73%,
9/10/2058 ‡
(g) |
65,000 |
62,448 |
Commercial
Mortgage Trust Series
2015-PC1,
Class B, 4.43%,
7/10/2050 ‡
(g) |
65,000 |
61,667 |
FHLMC,
Multi-Family Structured
Pass-Through
Certificates |
|
|
Series
K741, Class X1, IO, 0.66%,
12/25/2027 (g) |
1,447,608 |
36,643 |
Series
K742, Class X1, IO, 0.87%,
3/25/2028 (g) |
2,772,771 |
85,308 |
Series
K742, Class X3, IO, 2.69%,
4/25/2028 (g) |
5,000,000 |
586,300 |
Series
K743, Class X1, IO, 1.03%,
5/25/2028 (g) |
1,655,759 |
73,696 |
August
31, 2022
|
|
111
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Commercial
Mortgage-Backed Securities — continued | ||
Series
K744, Class X1, IO, 0.96%,
7/25/2028 (g) |
2,154,248 |
90,196 |
Series
K084, Class X3, IO, 2.31%,
11/25/2028 (g) |
751,485 |
84,102 |
Series
K104, Class X1, IO, 1.25%,
1/25/2030 (g) |
9,368,036 |
609,439 |
Series
K110, Class X1, IO, 1.81%,
4/25/2030 (g) |
8,871,447 |
882,437 |
Series
K132, Class X1, IO, 0.61%,
8/25/2031 (g) |
16,897,547 |
618,443 |
Series
K-1514, Class X1, IO, 0.70%,
10/25/2034 (g) |
1,189,503 |
60,326 |
Series
K-1517, Class X1, IO, 1.44%,
7/25/2035 (g) |
392,589 |
47,186 |
Series
K-1520, Class X1, IO, 0.58%,
2/25/2036 ‡
(g) |
413,353 |
18,194 |
Series
K067, Class X3, IO, 2.19%,
9/25/2044 (g) |
1,575,428 |
136,570 |
Series
K065, Class X3, IO, 2.26%,
7/25/2045 (g) |
1,304,230 |
110,739 |
Series
K085, Class X3, IO, 2.39%,
12/25/2045 (g) |
1,100,000 |
124,703 |
Series
K097, Class X3, IO, 2.09%,
9/25/2046 (g) |
3,000,000 |
333,508 |
Series
K083, Class X3, IO, 2.37%,
11/25/2046 (g) |
621,062 |
70,011 |
Series
K737, Class X3, IO, 1.83%,
1/25/2048 (g) |
900,000 |
56,377 |
Series
K124, Class X3, IO, 2.71%,
2/25/2049 (g) |
5,000,000 |
833,467 |
Series
K741, Class X3, IO, 2.53%,
3/25/2049 (g) |
13,766,615 |
1,459,113 |
Series
K743, Class X3, IO, 3.06%,
6/25/2049 (g) |
13,000,000 |
1,783,656 |
FNMA
ACES |
|
|
Series
2020-M3, Class X1, IO, 0.45%,
2/25/2030 (g) |
3,847,076 |
85,078 |
Series
2022-M2, Class X2, IO, 0.30%,
1/25/2032 (g) |
2,833,544 |
45,448 |
Series
2020-M31, Class AB, 0.50%,
10/25/2032 |
85,970 |
69,991 |
FREMF
Mortgage Trust |
|
|
Series
2019-KW09, Class X2A, IO,
0.10%,
5/25/2029 (a) |
19,929,717 |
88,635 |
Series
2019-KW09, Class C, PO,
6/25/2029 (a) |
790,000 |
468,108 |
Series
2019-KW09, Class X2B, IO,
0.10%,
6/25/2029 (a) |
10,000,000 |
50,085 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Series
2017-K724, Class D, PO,
12/25/2049 (a) |
500,000 |
444,032 |
Series
2017-K65, Class B, 4.22%,
7/25/2050 (a)
(g) |
265,000 |
255,226 |
GNMA |
|
|
Series
2014-135, IO, 0.42%,
1/16/2056 (g) |
6,837,939 |
134,533 |
Series
2017-53, IO, 0.53%,
11/16/2056 (g) |
4,549,882 |
166,319 |
Series
2015-114, IO, 0.37%,
3/15/2057 (g) |
5,686,203 |
101,763 |
Series
2017-158, IO, 0.47%,
9/16/2057 (g) |
3,784,133 |
123,648 |
Series
2020-184, IO, 0.91%,
11/16/2060 (g) |
6,749,012 |
466,602 |
Series
2021-218, IO, 0.96%,
10/16/2061 (g) |
345,546 |
27,426 |
Series
2020-120, IO, 0.76%,
5/16/2062 (g) |
6,095,928 |
389,579 |
Series
2020-100, IO, 0.78%,
5/16/2062 (g) |
5,873,137 |
378,753 |
Series
2020-161, IO, 1.05%,
8/16/2062 (g) |
5,159,526 |
392,004 |
Series
2020-190, IO, 1.03%,
11/16/2062 (g) |
877,756 |
68,935 |
Series
2021-35, Class IX, IO, 1.16%,
12/16/2062 |
1,968,907 |
174,486 |
Series
2021-120, IO, 1.00%,
2/16/2063 (g) |
6,824,536 |
545,203 |
Series
2021-170, IO, 0.99%,
5/16/2063 (g) |
2,430,829 |
190,274 |
Series
2021-61, IO, 1.01%,
8/16/2063 (g) |
1,483,057 |
111,133 |
Series
2021-195, Class IX, IO, 1.20%,
8/16/2063 (g) |
1,978,743 |
180,126 |
Series
2021-110, IO, 0.87%,
11/16/2063 (g) |
5,883,288 |
432,346 |
Series
2021-200, IO, 0.87%,
11/16/2063 (g) |
2,072,641 |
156,718 |
Series
2021-180, IO, 0.90%,
11/16/2063 (g) |
4,720,828 |
362,913 |
Series
2021-150, IO, 1.03%,
11/16/2063 (g) |
4,888,606 |
399,834 |
Series
2021-185, IO, 1.10%,
11/16/2063 (g) |
1,522,940 |
130,240 |
Series
2022-7, Class SA, IF, IO, 1.74%,
2/16/2064 (g) |
1,390,273 |
116,315 |
Series
2021-224, IO, 0.78%,
4/16/2064 (g) |
1,974,522 |
143,394 |
112
|
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Commercial
Mortgage-Backed Securities — continued | ||
Series
2022-134, IO, 0.51%,
6/16/2064 (g) |
2,997,179 |
158,982 |
Series
2022-80, IO, 0.59%,
6/16/2064 (g) |
1,194,882 |
67,802 |
Series
2022-62, IO, 0.62%,
6/16/2064 (g) |
1,987,587 |
120,049 |
GS
Mortgage Securities Trust |
|
|
Series
2016-GS2, Class D, 2.75%,
5/10/2049 ‡
(a) |
750,000 |
603,269 |
Series
2019-GC40, Class E, 3.00%,
7/10/2052 ‡
(a) |
800,000 |
555,632 |
JPMBB
Commercial Mortgage Securities
Trust
Series 2014-C26, Class D, 4.02%,
1/15/2048 ‡
(a) (g) |
250,000 |
221,461 |
JPMorgan
Chase Commercial Mortgage
Securities
Trust Series 2013-C16,
Class
D, 5.17%, 12/15/2046 ‡
(a) (g) |
1,500,000 |
1,432,131 |
Morgan
Stanley Bank of America Merrill
Lynch
Trust |
|
|
Series
2014-C15, Class D, 5.05%,
4/15/2047 ‡
(a) (g) |
1,337,000 |
1,262,826 |
Series
2014-C18, Class B, 4.61%,
10/15/2047 ‡
(g) |
100,000 |
96,702 |
Series
2016-C31, Class C, 4.41%,
11/15/2049 ‡
(g) |
100,000 |
86,482 |
MRCD
MARK Mortgage Trust Series
2019-PARK,
Class E, 2.72%,
12/15/2036 ‡
(a) |
400,000 |
356,627 |
MSC
Trust Series 2021-ILP, Class A, 3.17%,
11/15/2023 (a)
(g) |
239,209 |
230,167 |
Multi-Family
Connecticut Avenue Securities
Trust |
|
|
Series
2019-01, Class M10, 5.69%,
10/25/2049 ‡
(a) (g) |
395,481 |
377,869 |
Series
2020-01, Class M10, 6.19%,
3/25/2050 (a)
(g) |
1,000,000 |
950,519 |
UBS-Barclays
Commercial Mortgage Trust
Series
2012-C4, Class C, 4.53%,
12/10/2045 ‡
(a) (g) |
1,000,000 |
987,351 |
Velocity
Commercial Capital Loan Trust |
|
|
Series
2022-3, Class A, 5.22%,
6/25/2052 (a)
(g) |
291,368 |
287,073 |
Series
2022-4, Class A, 5.63%,
8/25/2052 (a)
(g) |
600,000 |
594,672 |
Wells
Fargo Commercial Mortgage Trust |
|
|
Series
2018-C44, Class D, 3.00%,
5/15/2051 ‡
(a) |
250,000 |
182,883 |
Series
2022-C62, Class C, 4.50%,
4/15/2055 ‡
(g) |
150,000 |
128,741 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
WFRBS
Commercial Mortgage Trust |
|
|
Series
2013-C13, Class C, 3.91%,
5/15/2045 ‡
(g) |
65,000 |
63,272 |
Series
2014-C22, Class C, 3.91%,
9/15/2057 (g) |
100,000 |
94,478 |
Series
2014-C22, Class B, 4.37%,
9/15/2057 ‡
(g) |
100,000 |
97,342 |
Total
Commercial Mortgage-Backed
Securities
(Cost
$29,858,683) |
|
27,431,719 |
Mortgage-Backed
Securities — 9.3% | ||
FNMA/FHLMC
UMBS, Single Family, 30 Year
TBA,
5.00%, 8/25/2052 (h) |
2,202,000 |
2,223,541 |
GNMA
II, 30 Year
|
|
|
Pool
# MA8151, 4.50%, 7/20/2052 |
7,307 |
7,316 |
Pool
# MA8152, 5.00%, 7/20/2052 |
235,483 |
238,894 |
Pool
# MA8203, 5.50%, 8/20/2052 |
1,520,000 |
1,561,893 |
GNMA
II, Single Family, 30 Year
|
|
|
TBA,
4.50%, 9/15/2052 (h) |
2,523,576 |
2,523,970 |
TBA,
5.00%, 9/15/2052 (h) |
7,847,000 |
7,950,604 |
Total
Mortgage-Backed Securities
(Cost
$14,775,024) |
|
14,506,218 |
Collateralized
Mortgage Obligations — 7.7% | ||
CHL
Mortgage Pass-Through Trust Series
2006-OA5,
Class 2A1, 2.84%,
4/25/2046 (g) |
162,130 |
138,357 |
Connecticut
Avenue Securities Trust Series
2019-R01,
Class 2B1, 6.79%,
7/25/2031 (a)
(g) |
1,500,000 |
1,532,581 |
Deephaven
Residential Mortgage Trust
Series
2022-2, Class A1, 4.30%,
3/25/2067 (a)
(g) |
130,263 |
127,030 |
FHLMC
STACR REMIC Trust Series
2021-HQA1,
Class M2, 4.43%,
8/25/2033 (a)
(g) |
2,000,000 |
1,924,661 |
FHLMC
Structured Agency Credit Risk Debt
Notes
Series 2017-DNA2, Class B1,
7.59%,
10/25/2029 (g) |
250,000 |
266,673 |
FNMA,
Connecticut Avenue Securities |
|
|
Series
2017-C01, Class 1B1, 8.19%,
7/25/2029 (g) |
1,000,000 |
1,093,958 |
Series
2017-C02, Class 2B1, 7.94%,
9/25/2029 (g) |
1,000,000 |
1,099,816 |
Series
2017-C04, Class 2B1, 7.49%,
11/25/2029 (g) |
1,650,000 |
1,751,065 |
Series
2017-C05, Class 1B1, 6.04%,
1/25/2030 (g) |
150,000 |
151,463 |
August
31, 2022
|
|
113
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Collateralized
Mortgage Obligations — continued | ||
Series
2017-C06, Class 1B1, 6.59%,
2/25/2030 (g) |
150,000 |
154,500 |
Series
2021-R02, Class 2B1, 5.48%,
11/25/2041 (a)
(g) |
64,000 |
60,453 |
Series
2021-R02, Class 2B2, 8.38%,
11/25/2041 (a)
(g) |
26,000 |
23,497 |
GNMA |
|
|
Series
2014-181, Class SL, IF, IO,
3.23%,
12/20/2044 (g) |
576,128 |
66,864 |
Series
2017-134, Class SD, IF, IO,
3.83%,
9/20/2047 (g) |
575,133 |
69,602 |
Series
2019-52, Class SA, IF, IO, 3.73%,
4/20/2049 (g) |
847,333 |
92,293 |
Series
2021-78, Class IB, IO, 3.00%,
5/20/2051 |
1,095,130 |
159,604 |
Series
2021-107, Class XI, IO, 3.00%,
6/20/2051 |
1,611,170 |
232,975 |
Series
2021-117, Class ES, IF, IO,
3.93%,
7/20/2051 (g) |
1,859,240 |
256,125 |
Series
2021-142, Class XI, IO, 3.00%,
8/20/2051 |
164,710 |
24,542 |
Series
2021-154, Class SD, IF, IO,
3.93%,
9/20/2051 (g) |
572,185 |
85,196 |
Series
2021-188, Class IJ, IO, 3.00%,
10/20/2051 |
3,327,854 |
496,375 |
MFA
Trust Series 2022-RTL1, Class A1,
5.07%,
4/26/2027 (a)
(f) |
270,000 |
262,292 |
PRPM
LLC Series 2021-11, Class A2,
4.58%,
11/25/2026 (a)
(f) |
1,000,000 |
919,981 |
RCO
VI Mortgage LLC Series 2022-1,
Class
A1, 3.00%, 1/25/2027 (a)
(f) |
207,296 |
196,318 |
STACR
Trust Series 2018-HRP2, Class M3,
4.84%,
2/25/2047 ‡
(a) (g) |
293,785 |
293,785 |
VM
Master Issuer LLC Series 2022-1,
Class
B, 6.88%, 5/24/2025 ‡
(a) (g) |
500,000 |
484,150 |
Total
Collateralized Mortgage Obligations
(Cost
$12,294,727) |
|
11,964,156 |
Foreign
Government Securities — 2.9% | ||
Dominican
Republic Government Bond |
|
|
6.00%,
2/22/2033 (a) |
150,000 |
130,669 |
6.00%,
2/22/2033 (e) |
150,000 |
130,669 |
5.88%,
1/30/2060 (e) |
150,000 |
105,966 |
Federal
Republic of Nigeria |
|
|
6.50%,
11/28/2027 (e) |
200,000 |
152,500 |
7.38%,
9/28/2033 (e) |
400,000 |
267,000 |
8.25%,
9/28/2051 (a) |
200,000 |
126,750 |
Federative
Republic of Brazil 3.75%,
9/12/2031 |
200,000 |
170,300 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Gabonese
Republic 7.00%,
11/24/2031 (e) |
200,000 |
150,500 |
Hashemite
Kingdom of Jordan 5.85%,
7/7/2030 (e) |
200,000 |
174,162 |
Islamic
Republic of Pakistan 6.00%,
4/8/2026 (e) |
200,000 |
124,022 |
Kingdom
of Bahrain 5.45%,
9/16/2032 (e) |
200,000 |
170,600 |
Republic
of Angola 8.00%,
11/26/2029 (e) |
200,000 |
165,500 |
Republic
of Colombia 3.00%, 1/30/2030 |
200,000 |
154,912 |
Republic
of Costa Rica 6.13%,
2/19/2031 (e) |
200,000 |
186,475 |
Republic
of Cote d'Ivoire |
|
|
5.75%,
12/31/2032 (e)
(f) |
125,389 |
111,463 |
6.13%,
6/15/2033 (e) |
200,000 |
168,162 |
Republic
of Ecuador |
|
|
5.50%,
7/31/2030 (e)
(f) |
90,000 |
47,183 |
2.50%,
7/31/2035 (e)
(f) |
30,000 |
11,490 |
Republic
of El Salvador |
|
|
6.38%,
1/18/2027 (e) |
50,000 |
18,806 |
7.12%,
1/20/2050 (e) |
150,000 |
49,903 |
Republic
of Ghana |
|
|
6.38%,
2/11/2027 (e) |
200,000 |
86,500 |
8.75%,
3/11/2061 (e) |
200,000 |
70,913 |
Republic
of Iraq |
|
|
6.75%,
3/9/2023 (e) |
200,000 |
192,412 |
5.80%,
1/15/2028 (e) |
171,875 |
142,903 |
Republic
of Kenya 8.00%, 5/22/2032 (e) |
200,000 |
148,000 |
Republic
of Paraguay 5.40%,
3/30/2050 (a) |
200,000 |
166,975 |
Republic
of Rwanda 5.50%, 8/9/2031 (a) |
200,000 |
151,538 |
Republic
of Senegal |
|
|
6.25%,
5/23/2033 (e) |
200,000 |
161,037 |
6.75%,
3/13/2048 (e) |
200,000 |
139,038 |
Republic
of South Africa 6.25%, 3/8/2041 |
100,000 |
81,519 |
State
of Mongolia 4.45%, 7/7/2031 (e) |
200,000 |
154,022 |
Sultanate
of Oman Government Bond |
|
|
6.25%,
1/25/2031 (e) |
200,000 |
201,500 |
6.50%,
3/8/2047 (e) |
200,000 |
174,500 |
Ukraine
Government Bond 6.88%,
5/21/2031 (e) |
200,000 |
38,000 |
Total
Foreign Government Securities
(Cost
$5,959,908) |
|
4,525,889 |
114
|
|
August
31, 2022
|
INVESTMENTS |
SHARES |
VALUE($) |
Exchange-Traded
Funds — 1.7% | ||
U.S.
Equity — 1.7% | ||
iShares
iBoxx High Yield Corporate Bond
ETF
|
36,150 |
2,694,260 |
Short-Term
Investments — 0.1% | ||
Investment
Companies — 0.1% | ||
JPMorgan
Prime Money Market Fund
Class
IM Shares, 2.30% (i)
(j)
(Cost
$101,234) |
101,194 |
101,234 |
Total
Investments — 106.6%
(Cost
$180,434,960) |
|
166,711,240 |
Liabilities
in Excess of Other Assets —
(6.6)% |
|
(10,360,732) |
NET
ASSETS — 100.0% |
|
156,350,508 |
Percentages
indicated are based on net
assets. |
Abbreviations |
|
ABS |
Asset-Backed
Securities |
ACES |
Alternative
Credit Enhancement Securities |
ETF |
Exchange
Traded Fund |
FHLMC |
Federal
Home Loan Mortgage Corp. |
FNMA |
Federal
National Mortgage Association |
GNMA |
Government
National Mortgage Association |
ICE |
Intercontinental
Exchange |
IF |
Inverse
Floaters represent securities that pay interest at a rate that
increases
(decreases) with a decline (incline) in a specified index
or
have an interest rate that adjusts periodically based on changes
in
current interest rates and prepayments on the underlying pool
of
assets. The interest rate shown is the rate in effect as of August
31,
2022. The rate may be subject to a cap and floor. |
IO |
Interest
Only represents the right to receive the monthly interest
payments
on an underlying pool of mortgage loans. The principal
amount
shown represents the par value on the underlying pool.
The
yields on these securities are subject to accelerated principal
paydowns
as a result of prepayment or refinancing of the
underlying
pool of mortgage instruments. As a result, interest
income
may be reduced considerably. |
LIBOR |
London
Interbank Offered Rate |
PO |
Principal
Only represents the right to receive the principal portion
only
on an underlying pool of mortgage loans. The market value of
these
securities is extremely volatile in response to changes in
market
interest rates. As prepayments on the underlying
mortgages
of these securities increase, the yield on these
securities
increases. |
REMIC |
Real
Estate Mortgage Investment Conduit |
SCA |
Limited
partnership with share capital |
SOFR |
Secured
Overnight Financing Rate |
TBA |
To
Be Announced; Security is subject to delayed
delivery. |
UMBS |
Uniform
Mortgage-Backed Securities |
USD |
United
States Dollar |
^ |
Amount
rounds to less than 0.1% of net assets. | |
‡ |
Value
determined using significant unobservable
inputs. |
|
(a) |
Securities
exempt from registration under Rule 144A
or
section 4(a)(2), of the Securities Act of 1933, as
amended. |
|
(b) |
Security
is an interest bearing note with preferred
security
characteristics. |
|
(c) |
Security
is perpetual and thus, does not have a
predetermined
maturity date. The coupon rate for this
security
is fixed for a period of time and may be
structured
to adjust thereafter. The date shown, if
applicable,
reflects the next call date. The coupon rate
shown
is the rate in effect as of August 31, 2022. |
|
(d) |
Variable
or floating rate security, linked to the
referenced
benchmark. The interest rate shown is the
current
rate as of August 31, 2022. |
|
(e) |
Security
exempt from registration pursuant to
Regulation
S under the Securities Act of 1933, as
amended.
Regulation S applies to securities offerings
that
are made outside of the United States and do not
involve
direct selling efforts in the United States and
as
such may have restrictions on resale. |
|
(f) |
Step
bond. Interest rate is a fixed rate for an initial
period
that either resets at a specific date or may
reset
in the future contingent upon a predetermined
trigger.
The interest rate shown is the current rate as
of
August 31, 2022.
|
|
(g) |
Variable
or floating rate security, the interest rate of
which
adjusts periodically based on changes in current
interest
rates and prepayments on the underlying
pool
of assets. The interest rate shown is the current
rate
as of August 31, 2022.
|
|
(h) |
All
or a portion of the security is a when-issued
security,
delayed delivery security, or forward
commitment. |
|
(i) |
Investment
in an affiliated fund, which is registered
under
the Investment Company Act of 1940, as
amended,
and is advised by J.P. Morgan Investment
Management
Inc. |
|
(j) |
The
rate shown is the current yield as of August 31,
2022. |
|
SECURITY
DESCRIPTION |
PRINCIPAL
AMOUNT($) |
VALUE($) |
FNMA
/ FHLMC UMBS, Single Family,
30
Year
|
|
|
TBA,
5.00%, 8/25/2052(a) |
(2,202,000) |
(2,224,229) |
TBA,
5.00%, 9/25/2052(a) |
(8,300,000) |
(8,381,055) |
(Proceeds
received of $10,694,218) |
|
(10,605,284) |
August
31, 2022
|
|
115
|
Abbreviations |
|
FHLMC |
Federal
Home Loan Mortgage Corp. |
FNMA |
Federal
National Mortgage Association |
TBA |
To
Be Announced; Security is subject to delayed
delivery. |
UMBS |
Uniform
Mortgage-Backed Securities |
(a) |
All
or a portion of the security is a when-issued security, delayed
delivery
security, or forward
commitment. |
DESCRIPTION |
NUMBER
OF
CONTRACTS |
EXPIRATION
DATE |
TRADING
CURRENCY |
NOTIONAL
AMOUNT
($) |
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
Long
Contracts |
|
|
|
|
|
U.S.
Treasury 10 Year Ultra Note |
55 |
12/20/2022 |
USD |
6,867,266 |
(71,701) |
U.S.
Treasury Long Bond |
4 |
12/20/2022 |
USD |
541,875 |
(4,509) |
U.S.
Treasury Ultra Bond |
2 |
12/20/2022 |
USD |
297,750 |
(1,286) |
U.S.
Treasury 2 Year Note |
46 |
12/30/2022 |
USD |
9,579,500 |
(18,902) |
U.S.
Treasury 5 Year Note |
154 |
12/30/2022 |
USD |
17,043,469 |
(82,121) |
|
|
|
|
|
(178,519) |
Short
Contracts |
|
|
|
|
|
U.S.
Treasury 10 Year Note |
(150) |
12/20/2022 |
USD |
(17,493,750) |
123,340 |
U.S.
Treasury 10 Year Ultra Note |
(16) |
12/20/2022 |
USD |
(1,997,750) |
17,146 |
U.S.
Treasury Ultra Bond |
(1) |
12/20/2022 |
USD |
(148,875) |
529 |
U.S.
Treasury 2 Year Note |
(39) |
12/30/2022 |
USD |
(8,121,750) |
15,158 |
|
|
|
|
|
156,173 |
|
|
|
|
|
(22,346) |
Abbreviations |
|
USD |
United
States Dollar |
REFERENCE
OBLIGATION/INDEX |
FINANCING
RATE
PAID
BY
THE FUND
(%) |
PAYMENT
FREQUENCY |
MATURITY
DATE |
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
VALUE
($) |
CDX.NA.HY.38-V2 |
5.00 |
Quarterly |
6/20/2027 |
5.31 |
USD 2,700,000
|
(16,098) |
22,120 |
6,022 |
(*) |
The
Fund, as a buyer of credit protection, is generally obligated to make
periodic payments and may also pay or receive an upfront premium to or
from
the
protection seller, in exchange for the right to receive a contingent
payment, upon occurrence of a credit event with respect to an underlying
reference
obligation,
as defined under the terms of individual swap
contracts. | ||||||||
(a) |
Implied
credit spreads are an indication of the seller's performance risk, related
to the likelihood of a credit event occurring that would require a seller
to
make
payment to a buyer. Implied credit spreads are used to determine the value
of swap contracts and reflect the cost of buying/selling protection, which
may
include upfront payments made to enter into the contract. Therefore,
higher spreads would indicate a greater likelihood that a seller will be
obligated
to
perform (i.e. make payment) under the swap contract.Increasing values, in
absolute terms and relative to notional amounts, are also indicative of
greater
performance risk. Implied credit spreads for credit default swaps on
credit indices are linked to the weighted average spread across the
underlying
reference
obligations included in a particular
index. |
116
|
|
August
31, 2022
|
(b) |
The
notional amount is the maximum amount that a seller of credit protection
would be obligated to pay and a buyer of credit protection would receive,
upon
occurrence of a credit event. | ||||||||
(c) |
Upfront
payments and receipts generally represent premiums paid or received at the
initiation of the agreement to compensate the differences between
the
stated terms of the swap agreement and current market conditions (credit
spreads, interest rates and other relevant
factors). |
Abbreviations |
|
CDX |
Credit
Default Swap Index |
USD |
United
States Dollar |
August
31, 2022
|
|
117
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — 57.4% | ||
Australia
— 0.7% | ||
APA
Infrastructure Ltd. 2.00%,
7/15/2030 (a) |
EUR 150,000 |
128,400 |
Commonwealth
Bank of Australia |
|
|
2.69%,
3/11/2031 (b) |
650,000 |
520,989 |
3.78%,
3/14/2032 (b) |
200,000 |
171,861 |
Glencore
Funding LLC |
|
|
2.50%,
9/1/2030 (b) |
462,000 |
375,649 |
2.85%,
4/27/2031 (b) |
450,000 |
371,224 |
2.63%,
9/23/2031 (b) |
608,000 |
483,524 |
Westpac
Banking Corp. (US Treasury
Yield
Curve Rate T Note Constant
Maturity
5 Year + 2.00%), 4.11%,
7/24/2034 (c) |
75,000 |
67,462 |
|
|
2,119,109 |
Austria
— 0.2% | ||
ams-OSRAM
AG 6.00%,
7/31/2025 (a) |
EUR 700,000 |
654,222 |
Belgium
— 1.1% | ||
Anheuser-Busch
Cos. LLC 4.70%,
2/1/2036 |
170,000 |
164,473 |
Anheuser-Busch
InBev SA/NV 3.70%,
4/2/2040 (a) |
EUR 200,000 |
196,047 |
Anheuser-Busch
InBev Worldwide, Inc.
4.75%,
1/23/2029 |
500,000 |
510,257 |
KBC
Group NV (EUR Swap Annual 5
Year
+ 1.25%), 1.62%,
9/18/2029 (a)
(c) |
EUR 300,000 |
283,486 |
Ontex
Group NV 3.50%,
7/15/2026 (a) |
EUR 400,000 |
338,438 |
Sarens
Finance Co. NV 5.75%,
2/21/2027 (a) |
EUR 500,000 |
337,558 |
Solvay
Finance SACA (EUR Swap
Annual
5 Year + 3.70%), 5.42%,
11/12/2023 (a)
(c) (d) (e) |
EUR 100,000 |
99,582 |
Solvay
SA (EUR Swap Annual 5 Year +
3.92%),
4.25%, 12/4/2023 (a)
(c)
(d) (e) |
EUR 800,000 |
783,414 |
Telenet
Finance Luxembourg Notes
SARL
3.50%, 3/1/2028 (a) |
EUR 500,000 |
442,178 |
|
|
3,155,433 |
Brazil
— 0.3% | ||
Guara
Norte SARL 5.20%,
6/15/2034 (b) |
304,249 |
253,630 |
Klabin
Austria GmbH 7.00%,
4/3/2049 (a) |
200,000 |
189,100 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Brazil
— continued | ||
Suzano
Austria GmbH |
|
|
3.75%,
1/15/2031 |
48,000 |
40,449 |
7.00%,
3/16/2047 (a) |
200,000 |
200,500 |
Vale
Overseas Ltd. 3.75%, 7/8/2030 |
259,000 |
225,783 |
|
|
909,462 |
Canada
— 0.8% | ||
Bank
of Nova Scotia (The) |
|
|
2.45%,
2/2/2032 |
420,000 |
348,222 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
2.05%),
4.59%, 5/4/2037 (c) |
570,000 |
515,244 |
Emera
US Finance LP 2.64%,
6/15/2031 |
272,000 |
224,573 |
Emera,
Inc. Series 16-A, (ICE LIBOR
USD
3 Month + 5.44%), 6.75%,
6/15/2076 (c) |
236,000 |
238,344 |
Toronto-Dominion
Bank (The) 4.11%,
6/8/2027 |
955,000 |
944,764 |
Transcanada
Trust Series 16-A, (ICE
LIBOR
USD 3 Month + 4.64%),
5.87%,
8/15/2076 (c) |
57,000 |
55,931 |
|
|
2,327,078 |
Cayman
Islands — 0.0% ^ | ||
Avolon
Holdings Funding Ltd. 4.38%,
5/1/2026 (b) |
60,000 |
55,465 |
Chile
— 0.2% | ||
Alfa
Desarrollo SpA 4.55%,
9/27/2051 (b) |
339,083 |
243,292 |
Empresa
de Transporte de Pasajeros
Metro
SA 4.70%, 5/7/2050 (b) |
200,000 |
169,400 |
Kenbourne
Invest SA 6.88%,
11/26/2024 (b) |
200,000 |
192,913 |
|
|
605,605 |
China
— 0.8% | ||
Alibaba
Group Holding Ltd. 3.40%,
12/6/2027 |
200,000 |
188,846 |
Country
Garden Holdings Co. Ltd.
3.13%,
10/22/2025 (a) |
530,000 |
259,700 |
Huarong
Finance 2017 Co. Ltd.
4.25%,
11/7/2027 (a) |
200,000 |
159,350 |
Huarong
Finance 2019 Co. Ltd. |
|
|
(ICE
LIBOR USD 3 Month + 1.13%),
4.10%,
2/24/2023 (a)
(c) |
200,000 |
195,000 |
2.13%,
9/30/2023 (a) |
200,000 |
185,225 |
118
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
China
— continued | ||
Longfor
Group Holdings Ltd. 4.50%,
1/16/2028 (a) |
300,000 |
240,000 |
NXP
BV |
|
|
5.55%,
12/1/2028 |
1,070,000 |
1,092,403 |
3.25%,
5/11/2041 |
300,000 |
216,994 |
|
|
2,537,518 |
Colombia
— 0.1% | ||
AI
Candelaria Spain SA 5.75%,
6/15/2033 (b) |
250,000 |
195,313 |
Denmark
— 0.1% | ||
DKT
Finance ApS 7.00%,
6/17/2023 (a) |
EUR 200,000 |
194,960 |
Finland
— 0.2% | ||
Nokia
OYJ |
|
|
2.00%,
3/15/2024 (a) |
EUR 300,000 |
298,949 |
2.00%,
3/11/2026 (a) |
EUR 200,000 |
191,053 |
Nordea
Bank Abp (EUR Swap Annual 5
Year
+ 1.30%), 1.00%,
6/27/2029 (a)
(c) |
EUR 100,000 |
94,914 |
|
|
584,916 |
France
— 8.0% | ||
Accor
SA 3.00%, 2/4/2026 (a)
(f) |
EUR 600,000 |
580,215 |
Airbus
SE |
|
|
1.63%,
6/9/2030 (a) |
EUR 1,100,000
|
1,004,297 |
1.38%,
5/13/2031 (a) |
EUR 300,000 |
261,158 |
Altice
France SA 3.38%,
1/15/2028 (a) |
EUR 800,000 |
641,158 |
Autoroutes
du Sud de la France SA
1.13%,
4/20/2026 (a) |
EUR 800,000 |
765,169 |
AXA
SA (EURIBOR 3 Month + 3.75%),
3.38%,
7/6/2047 (a)
(c) |
EUR 600,000 |
579,068 |
Banijay
Entertainment SASU 3.50%,
3/1/2025 (a) |
EUR 725,000 |
675,766 |
Banijay
Group SAS 6.50%,
3/1/2026 (a) |
EUR 200,000 |
180,891 |
Banque
Federative du Credit Mutuel
SA
3.75%, 7/20/2023 (b) |
715,000 |
713,889 |
BPCE
SA |
|
|
5.15%,
7/21/2024 (b) |
600,000 |
596,748 |
4.88%,
4/1/2026 (b) |
450,000 |
438,490 |
(EURIBOR
3 Month + 1.00%),
0.50%,
9/15/2027 (a)
(c) |
EUR 400,000 |
355,386 |
(EUR
Swap Annual 5 Year +
2.37%),
2.75%,
11/30/2027 (a)
(c) |
EUR 400,000 |
402,170 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
France
— continued | ||
(SOFR
+ 1.31%), 2.28%,
1/20/2032 (b)
(c) |
480,000 |
371,726 |
(SOFR
+ 1.73%), 3.12%,
10/19/2032 (b)
(c) |
250,000 |
195,658 |
Burger
King France SAS (EURIBOR 3
Month
+ 4.75%), 5.02%,
11/1/2026 (a)
(c) |
EUR 250,000 |
239,932 |
Casino
Guichard Perrachon SA 4.50%,
3/7/2024 (a)
(f) |
EUR 400,000 |
285,182 |
CGG
SA 7.75%, 4/1/2027 (a) |
EUR 434,000 |
385,214 |
Chrome
Bidco SASU 3.50%,
5/31/2028 (a) |
EUR 439,000 |
382,920 |
Chrome
Holdco SASU 5.00%,
5/31/2029 (a) |
EUR 358,000 |
284,583 |
Credit
Agricole SA |
|
|
(USD
Swap Semi 5 Year + 6.19%),
8.12%,
12/23/2025 (b)
(c) (d)
(e) |
475,000 |
486,281 |
(SOFR
+ 0.89%), 1.25%,
1/26/2027 (b)
(c) |
1,000,000 |
878,686 |
2.00%,
3/25/2029 (a) |
EUR 200,000 |
175,803 |
(EUR
Swap Annual 5 Year +
1.90%),
1.62%, 6/5/2030 (a)
(c) |
EUR 500,000 |
467,196 |
Credit
Mutuel Arkea SA (EURIBOR ICE
Swap
Rate 5 Year + 1.45%),
1.88%,
10/25/2029 (a)
(c) |
EUR 300,000 |
286,803 |
Electricite
de France SA |
|
|
(EUR
Swap Annual 6 Year +
3.44%),
4.00%, 7/4/2024 (a)
(c)
(d) (e) |
EUR 1,000,000 |
926,717 |
(EUR
Swap Annual 5 Year +
3.97%),
3.38%, 6/15/2030 (a)
(c)
(d) (e) |
EUR 600,000 |
446,198 |
Elis
SA 1.63%, 4/3/2028 (a) |
EUR 900,000 |
759,742 |
Faurecia
SE |
|
|
2.38%,
6/15/2027 (a) |
EUR 600,000 |
476,648 |
3.75%,
6/15/2028 (a) |
EUR 800,000 |
653,581 |
Iliad
Holding SASU |
|
|
5.13%,
10/15/2026 (a) |
EUR 111,000 |
105,505 |
5.63%,
10/15/2028 (a) |
EUR 584,000 |
541,296 |
La
Financiere Atalian SASU |
|
|
4.00%,
5/15/2024 (a) |
EUR 350,000 |
334,415 |
5.13%,
5/15/2025 (a) |
EUR 100,000 |
95,721 |
Loxam
SAS |
|
|
2.88%,
4/15/2026 (a) |
EUR 600,000 |
531,593 |
4.50%,
2/15/2027 (b) |
EUR 288,000 |
261,890 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
119
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
France
— continued | ||
Lune
Holdings SARL 5.63%,
11/15/2028 (b) |
EUR 375,000 |
320,033 |
Orange
SA |
|
|
(EUR
Swap Annual 5 Year +
2.36%),
2.38%, 1/15/2025 (a)
(c)
(d) (e) |
EUR 200,000 |
190,470 |
(EUR
Swap Annual 5 Year +
3.99%),
5.00%, 10/1/2026 (a)
(c)
(d) (e) |
EUR 400,000 |
413,834 |
(EURIBOR
ICE Swap Rate 5 Year +
2.18%),
1.75%,
12/19/2026 (a)
(c) (d) (e) |
EUR 200,000 |
177,537 |
Paprec
Holding SA |
|
|
4.00%,
3/31/2025 (a) |
EUR 100,000 |
93,460 |
3.50%,
7/1/2028 (a) |
EUR 373,000 |
305,313 |
Parts
Europe SA 6.50%,
7/16/2025 (a) |
EUR 400,000 |
405,222 |
Quatrim
SASU 5.88%, 1/15/2024 (a) |
EUR 500,000 |
456,674 |
Renault
SA |
|
|
1.25%,
6/24/2025 (a) |
EUR 400,000 |
358,301 |
2.00%,
9/28/2026 (a) |
EUR 600,000 |
508,690 |
1.13%,
10/4/2027 (a) |
EUR 100,000 |
78,027 |
Rexel
SA 2.13%, 6/15/2028 (a) |
EUR 600,000 |
509,114 |
Societe
Generale SA |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
4.51%),
5.38%,
11/18/2030 (b)
(c) (d) (e) |
525,000 |
425,250 |
(EUR
Swap Annual 5 Year +
1.55%),
1.00%,
11/24/2030 (c) |
EUR 1,100,000 |
970,209 |
SPIE
SA 2.63%, 6/18/2026 (a) |
EUR 500,000 |
472,367 |
TotalEnergies
Capital International SA
3.13%,
5/29/2050 |
50,000 |
38,548 |
TotalEnergies
SE (EUR Swap Annual 5
Year
+ 1.77%), 1.75%,
4/4/2024 (a)
(c) (d) (e) |
EUR 850,000 |
805,044 |
Vallourec
SA 8.50%, 6/30/2026 (a) |
EUR 500,000 |
474,296 |
|
|
23,770,084 |
Germany
— 5.5% | ||
Adler
Pelzer Holding GmbH 4.13%,
4/1/2024 (a) |
EUR 100,000 |
83,351 |
Bertelsmann
SE & Co. KGaA (EUR
Swap
Annual 5 Year + 2.64%),
3.00%,
4/23/2075 (a)
(c) |
EUR 200,000 |
197,221 |
BK
LC Lux Finco1 SARL 5.25%,
4/30/2029 (a) |
EUR 700,000 |
601,638 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Germany
— continued | ||
Cheplapharm
Arzneimittel GmbH
4.38%,
1/15/2028 (a) |
EUR 750,000 |
680,226 |
Commerzbank
AG (EUR Swap Annual 5
Year
+ 4.35%), 4.00%,
12/5/2030 (a)
(c) |
EUR 500,000 |
473,583 |
CT
Investment GmbH 5.50%,
4/15/2026 (a) |
EUR 456,000 |
394,880 |
Deutsche
Bank AG |
|
|
(SOFR
+ 2.16%), 2.22%,
9/18/2024 (c) |
1,075,000 |
1,036,768 |
(SOFR
+ 2.26%), 3.74%,
1/7/2033 (c) |
450,000 |
319,724 |
Deutsche
Lufthansa AG |
|
|
2.00%,
7/14/2024 (a) |
EUR 400,000 |
382,206 |
2.88%,
2/11/2025 (a) |
EUR 1,400,000 |
1,280,306 |
3.00%,
5/29/2026 (a) |
EUR 400,000 |
347,199 |
Deutsche
Telekom International
Finance
BV 2.49%, 9/19/2023 (b) |
250,000 |
245,748 |
Douglas
GmbH 6.00%, 4/8/2026 (a) |
EUR 700,000 |
575,856 |
Hapag-Lloyd
AG 2.50%,
4/15/2028 (a) |
EUR 500,000 |
459,358 |
IHO
Verwaltungs GmbH |
|
|
3.75%
(Cash), 9/15/2026 (a)
(g) |
EUR 125,000 |
109,916 |
3.88%
(Cash), 5/15/2027 (a)
(g)
(h) |
EUR 500,000 |
414,702 |
Kirk
Beauty SUN GmbH 8.25% (PIK),
10/1/2026 (a)
(g) |
EUR 273,462 |
167,508 |
Nidda
BondCo GmbH 5.00%,
9/30/2025 (a) |
EUR 500,000 |
439,428 |
Nidda
Healthcare Holding GmbH
3.50%,
9/30/2024 (a) |
EUR 625,000 |
577,897 |
Renk
AG 5.75%, 7/15/2025 (a) |
EUR 400,000 |
375,015 |
Schaeffler
AG |
|
|
2.75%,
10/12/2025 (a) |
EUR 200,000 |
187,154 |
2.88%,
3/26/2027 (a) |
EUR 450,000 |
408,337 |
3.38%,
10/12/2028 (a) |
EUR 500,000 |
436,332 |
Techem
Verwaltungsgesellschaft 674
mbH
6.00%, 7/30/2026 (a) |
EUR 219,799 |
205,602 |
Techem
Verwaltungsgesellschaft 675
mbH
2.00%, 7/15/2025 (a) |
EUR 1,100,000
|
1,008,719 |
thyssenkrupp
AG |
|
|
2.88%,
2/22/2024 (a) |
EUR 600,000 |
583,629 |
2.50%,
2/25/2025 (a) |
EUR 200,000 |
188,888 |
TK
Elevator Holdco GmbH 6.63%,
7/15/2028 (a) |
EUR 270,000 |
231,173 |
TK
Elevator Midco GmbH 4.38%,
7/15/2027 (a) |
EUR 300,000 |
264,553 |
120
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Germany
— continued | ||
TUI
Cruises GmbH 6.50%,
5/15/2026 (a) |
EUR 350,000 |
286,486 |
Volkswagen
International Finance NV
3.25%,
11/18/2030 (a) |
EUR 600,000 |
568,870 |
Vonovia
Finance BV 2.25%,
4/7/2030 (a) |
EUR 1,100,000
|
973,645 |
WEPA
Hygieneprodukte GmbH 2.88%,
12/15/2027 (a) |
EUR 100,000 |
77,884 |
ZF
Europe Finance BV |
|
|
2.00%,
2/23/2026 (a) |
EUR 1,000,000 |
849,183 |
2.50%,
10/23/2027 (a) |
EUR 300,000 |
238,482 |
ZF
Finance GmbH |
|
|
2.25%,
5/3/2028 (a) |
EUR 200,000 |
151,093 |
3.75%,
9/21/2028 (a) |
EUR 600,000 |
487,200 |
|
|
16,309,760 |
Greece
— 0.3% | ||
Alpha
Bank SA 2.50%, 2/5/2023 (a) |
EUR 780,000 |
786,559 |
India
— 0.2% | ||
Greenko
Dutch BV 3.85%,
3/29/2026 (b) |
194,000 |
163,406 |
Greenko
Power II Ltd. 4.30%,
12/13/2028 (b) |
415,438 |
331,831 |
NTPC
Ltd. 3.75%, 4/3/2024 (a) |
200,000 |
196,912 |
|
|
692,149 |
Indonesia
— 0.3% | ||
Indonesia
Asahan Aluminium Persero
PT
5.45%, 5/15/2030 (b) |
200,000 |
195,420 |
Pertamina
Persero PT 3.65%,
7/30/2029 (b) |
400,000 |
378,450 |
Perusahaan
Perseroan Persero PT
Perusahaan
Listrik Negara 4.13%,
5/15/2027 (a) |
200,000 |
193,163 |
|
|
767,033 |
Ireland
— 1.1% | ||
AerCap
Ireland Capital DAC |
|
|
4.13%,
7/3/2023 |
420,000 |
418,966 |
3.00%,
10/29/2028 |
465,000 |
395,305 |
AIB
Group plc (EUR Swap Annual 5
Year
+ 2.15%), 1.88%,
11/19/2029 (a)
(c) |
EUR 750,000 |
695,225 |
Avolon
Holdings Funding Ltd. |
|
|
3.95%,
7/1/2024 (b) |
126,000 |
120,311 |
2.13%,
2/21/2026 (b) |
440,000 |
379,245 |
4.25%,
4/15/2026 (b) |
140,000 |
129,031 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Ireland
— continued | ||
Bank
of Ireland Group plc (EUR Swap
Annual
5 Year + 7.92%), 7.50%,
5/19/2025 (a)
(c) (d) (e) |
EUR 300,000 |
297,294 |
eircom
Finance DAC 3.50%,
5/15/2026 (a) |
EUR 1,000,000 |
922,544 |
|
|
3,357,921 |
Israel
— 0.2% | ||
Energean
Israel Finance Ltd. |
|
|
4.88%,
3/30/2026 (a) |
156,000 |
143,910 |
5.38%,
3/30/2028 (a) |
150,475 |
135,051 |
Leviathan
Bond Ltd. |
|
|
6.13%,
6/30/2025 (a) |
200,000 |
196,288 |
6.50%,
6/30/2027 (a) |
165,554 |
161,084 |
|
|
636,333 |
Italy
— 5.0% | ||
Assicurazioni
Generali SpA |
|
|
2.43%,
7/14/2031 (a) |
EUR 200,000 |
162,646 |
(EURIBOR
3 Month + 5.35%),
5.50%,
10/27/2047 (a)
(c) |
EUR 200,000 |
203,324 |
Atlantia
SpA |
|
|
1.63%,
2/3/2025 (a) |
EUR 300,000 |
280,670 |
1.88%,
7/13/2027 (a) |
EUR 350,000 |
292,753 |
1.88%,
2/12/2028 (a) |
EUR 400,000 |
323,594 |
Autostrade
per l'Italia SpA |
|
|
1.75%,
2/1/2027 (a) |
EUR 1,500,000
|
1,334,071 |
2.00%,
12/4/2028 (a) |
EUR 900,000 |
752,080 |
1.88%,
9/26/2029 (a) |
EUR 100,000 |
81,014 |
Enel
Finance International NV |
|
|
1.38%,
7/12/2026 (b) |
1,460,000 |
1,271,915 |
3.50%,
4/6/2028 (b) |
200,000 |
181,607 |
1.88%,
7/12/2028 (b) |
425,000 |
348,780 |
5.00%,
6/15/2032 (b) |
200,000 |
185,108 |
Enel
SpA Series 63.5, (EUR Swap
Annual
5 Year + 2.58%), 3.38%,
8/24/2026 (a)
(c) (d) (e) |
EUR 800,000 |
716,529 |
Eni
SpA 4.25%, 5/9/2029 (b) |
250,000 |
237,322 |
Gamma
Bidco SpA 5.13%,
7/15/2025 (a) |
EUR 582,000 |
549,788 |
Guala
Closures SpA 3.25%,
6/15/2028 (a) |
EUR 384,000 |
325,121 |
Infrastrutture
Wireless Italiane SpA
1.88%,
7/8/2026 (a) |
EUR 500,000 |
457,956 |
Intesa
Sanpaolo SpA |
|
|
3.93%,
9/15/2026 (a) |
EUR 150,000 |
147,781 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
121
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Italy
— continued | ||
(EUR
Swap Annual 5 Year +
7.19%),
7.75%, 1/11/2027 (a)
(c)
(d) (e) |
EUR 676,000 |
656,418 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
2.75%),
4.95%, 6/1/2042 (b)
(c) |
200,000 |
130,483 |
Kedrion
SpA 3.38%, 5/15/2026 (a) |
EUR 475,000 |
480,931 |
Leonardo
SpA 4.88%, 3/24/2025 |
EUR 600,000 |
613,177 |
Nexi
SpA 1.63%, 4/30/2026 (a) |
EUR 550,000 |
484,450 |
Pro-Gest
SpA 3.25%,
12/15/2024 (a) |
EUR 577,000 |
429,008 |
Rossini
SARL 6.75%, 10/30/2025 (a) |
EUR 400,000 |
400,983 |
Saipem
Finance International BV |
|
|
3.75%,
9/8/2023 (a) |
EUR 200,000 |
198,341 |
2.63%,
1/7/2025 (a) |
EUR 300,000 |
269,778 |
Shiba
Bidco SpA 4.50%,
10/31/2028 (a) |
EUR 650,000 |
549,552 |
TeamSystem
SpA 3.50%,
2/15/2028 (a) |
EUR 300,000 |
261,642 |
Telecom
Italia SpA |
|
|
2.88%,
1/28/2026 (a) |
EUR 200,000 |
185,466 |
3.63%,
5/25/2026 (a) |
EUR 400,000 |
383,730 |
2.38%,
10/12/2027 (a) |
EUR 1,350,000
|
1,141,931 |
UniCredit
SpA |
|
|
(EURIBOR
ICE Swap Rate 5 Year +
7.33%),
7.50%, 6/3/2026 (a)
(c)
(d) (e) |
EUR 300,000 |
289,056 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.20%),
1.98%, 6/3/2027 (b)
(c) |
200,000 |
169,226 |
(EURIBOR
ICE Swap Rate 5 Year +
4.74%),
4.87%, 2/20/2029 (a)
(c) |
EUR 200,000 |
198,759 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.55%),
3.13%, 6/3/2032 (b)
(c) |
200,000 |
150,446 |
Verde
Bidco SpA 4.63%,
10/1/2026 (a) |
EUR 100,000 |
84,416 |
|
|
14,929,852 |
Japan
— 1.4% | ||
Mitsubishi
UFJ Financial Group, Inc. |
|
|
2.53%,
9/13/2023 |
580,000 |
571,345 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Japan
— continued | ||
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
0.83%),
2.34%, 1/19/2028 (c) |
1,575,000 |
1,413,306 |
Sumitomo
Mitsui Financial Group, Inc.
3.75%,
7/19/2023 |
157,000 |
156,835 |
Takeda
Pharmaceutical Co. Ltd. |
|
|
5.00%,
11/26/2028 |
1,110,000 |
1,124,949 |
1.00%,
7/9/2029 |
EUR 363,000 |
314,935 |
2.05%,
3/31/2030 |
500,000 |
418,011 |
3.03%,
7/9/2040 |
270,000 |
209,189 |
|
|
4,208,570 |
Kazakhstan
— 0.1% | ||
KazMunayGas
National Co. JSC 5.75%,
4/19/2047 (a) |
380,000 |
311,410 |
Kuwait
— 0.1% | ||
MEGlobal
Canada ULC 5.00%,
5/18/2025 (b) |
200,000 |
201,000 |
Luxembourg
— 2.0% | ||
Altice
Finco SA 4.75%,
1/15/2028 (a) |
EUR 500,000 |
396,843 |
Altice
France Holding SA |
|
|
8.00%,
5/15/2027 (a) |
EUR 350,000 |
286,662 |
8.00%,
5/15/2027 (b) |
EUR 123,000 |
100,741 |
ARD
Finance SA 5.00% (Cash),
6/30/2027 (a)
(g) (h) |
EUR 200,000 |
148,733 |
Herens
Midco SARL 5.25%,
5/15/2029 (a) |
EUR 603,000 |
442,369 |
INEOS
Finance plc 3.38%,
3/31/2026 (a) |
EUR 547,000 |
506,446 |
Matterhorn
Telecom SA 3.13%,
9/15/2026 (a) |
EUR 875,000 |
771,791 |
Monitchem
HoldCo 3 SA 5.25%,
3/15/2025 (a) |
EUR 400,000 |
377,861 |
PLT
VII Finance SARL 4.63%,
1/5/2026 (a) |
EUR 650,000 |
600,143 |
SELP
Finance SARL, REIT 0.88%,
5/27/2029 (a) |
EUR 900,000 |
711,038 |
SES
SA |
|
|
(EUR
Swap Annual 5 Year +
3.19%),
2.87%, 5/27/2026 (a)
(c)
(d) (e) |
EUR 500,000 |
411,857 |
0.88%,
11/4/2027 (a) |
EUR 450,000 |
384,239 |
122
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Luxembourg
— continued | ||
Summer
BC Holdco A SARL 9.25%,
10/31/2027 (a) |
EUR 360,421 |
311,859 |
Summer
BC Holdco B SARL 5.75%,
10/31/2026 (a) |
EUR 500,000 |
463,533 |
|
|
5,914,115 |
Malaysia
— 0.1% | ||
Petronas
Capital Ltd. 3.40%,
4/28/2061 (b) |
436,000 |
334,490 |
Mexico
— 0.7% | ||
BBVA
Bancomer SA (US Treasury Yield
Curve
Rate T Note Constant
Maturity
5 Year + 2.65%), 5.12%,
1/18/2033 (b)
(c) |
200,000 |
178,300 |
Cemex
SAB de CV |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
4.53%),
5.12%, 6/8/2026 (b)
(c)
(d) (e) |
488,000 |
404,430 |
3.88%,
7/11/2031 (b) |
377,000 |
315,690 |
Fomento
Economico Mexicano SAB de
CV
3.50%, 1/16/2050 |
150,000 |
116,717 |
Petroleos
Mexicanos 5.95%,
1/28/2031 |
1,428,000 |
1,068,501 |
|
|
2,083,638 |
Morocco
— 0.1% | ||
OCP
SA 6.88%, 4/25/2044 (a) |
200,000 |
175,413 |
Netherlands
— 2.1% | ||
ABN
AMRO Bank NV |
|
|
4.75%,
7/28/2025 (b) |
200,000 |
197,251 |
(EUR
Swap Annual 5 Year +
4.67%),
4.37%, 9/22/2025 (a)
(c)
(d) (e) |
EUR 200,000 |
181,661 |
4.80%,
4/18/2026 (b) |
200,000 |
196,203 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
1.90%),
3.32%, 3/13/2037 (b)
(c) |
400,000 |
311,004 |
Cooperatieve
Rabobank UA |
|
|
3.88%,
9/26/2023 (b) |
250,000 |
249,436 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
0.73%),
1.00%, 9/24/2026 (b)
(c) |
365,000 |
324,364 |
(EUR
Swap Annual 5 Year +
4.68%),
4.37%, 6/29/2027 (a)
(c)
(d) (e) |
EUR 400,000 |
360,275 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Netherlands
— continued | ||
ING
Groep NV |
|
|
(SOFR
+ 1.83%), 4.02%,
3/28/2028 (c) |
710,000 |
673,116 |
(EUR
Swap Annual 5 Year +
2.85%),
3.00%, 4/11/2028 (c) |
EUR 400,000 |
400,995 |
(EUR
Swap Annual 5 Year +
1.20%),
1.00%,
11/13/2030 (a)
(c) |
EUR 300,000 |
266,875 |
Nobel
Bidco BV 3.13%,
6/15/2028 (a) |
EUR 336,000 |
238,255 |
Q-Park
Holding I BV |
|
|
1.50%,
3/1/2025 (a) |
EUR 100,000 |
91,103 |
2.00%,
3/1/2027 (a) |
EUR 500,000 |
415,231 |
Sigma
Holdco BV 5.75%,
5/15/2026 (a) |
EUR 400,000 |
289,526 |
Titan
Holdings II BV 5.13%,
7/15/2029 (a) |
EUR 468,000 |
399,769 |
Trivium
Packaging Finance BV 3.75%,
8/15/2026 (a)
(f) |
EUR 500,000 |
474,839 |
UPC
Holding BV 3.88%,
6/15/2029 (a) |
EUR 500,000 |
428,131 |
Ziggo
Bond Co. BV 3.38%,
2/28/2030 (a) |
EUR 800,000 |
603,346 |
|
|
6,101,380 |
New
Zealand — 0.1% | ||
ANZ
New Zealand Int'l Ltd. 2.55%,
2/13/2030 (b) |
490,000 |
421,387 |
Norway
— 0.4% | ||
DNB
Bank ASA (GUKG1 + 1.35%),
2.62%,
6/10/2026 (a)
(c) |
GBP 1,000,000
|
1,099,665 |
Peru
— 0.0% ^ | ||
Southern
Copper Corp. 5.88%,
4/23/2045 |
140,000 |
145,364 |
Portugal
— 0.8% | ||
EDP
- Energias de Portugal SA (EUR
Swap
Annual 5 Year + 1.84%),
1.70%,
7/20/2080 (a)
(c) |
EUR 1,000,000
|
900,686 |
EDP
Finance BV |
|
|
3.63%,
7/15/2024 (b) |
675,000 |
665,094 |
1.50%,
11/22/2027 (a) |
EUR 750,000 |
697,157 |
|
|
2,262,937 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
123
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Spain
— 5.3% | ||
Abertis
Infraestructuras Finance BV |
|
|
(EUR
Swap Annual 5 Year +
3.69%),
3.25%,
11/24/2025 (a)
(c) (d) (e) |
EUR 600,000 |
515,730 |
(EUR
Swap Annual 5 Year +
3.27%),
2.62%, 1/26/2027 (a)
(c)
(d) (e) |
EUR 100,000 |
79,819 |
Banco
Bilbao Vizcaya Argentaria SA
(EUR
Swap Annual 5 Year +
6.46%),
6.00%, 1/15/2026 (a)
(c)
(d) (e) |
EUR 400,000 |
376,864 |
Banco
de Sabadell SA (EUR Swap
Annual
1 Year + 0.97%), 0.63%,
11/7/2025 (a)
(c) |
EUR 300,000 |
281,525 |
Banco
Santander SA |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
0.45%),
0.70%, 6/30/2024 (c) |
600,000 |
580,726 |
5.15%,
8/18/2025 |
400,000 |
398,076 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
0.90%),
1.72%, 9/14/2027 (c) |
800,000 |
688,666 |
2.13%,
2/8/2028 (a) |
EUR 200,000 |
181,976 |
CaixaBank
SA |
|
|
(EUR
Swap Annual 5 Year +
6.22%),
6.37%, 9/19/2023 (a)
(c)
(d) (e) |
EUR 400,000 |
398,348 |
(EUR
Swap Annual 5 Year +
6.50%),
6.75%, 6/13/2024 (a)
(c)
(d) (e) |
EUR 400,000 |
387,151 |
1.13%,
3/27/2026 (a) |
EUR 1,000,000 |
927,318 |
(EUR
Swap Annual 5 Year +
3.62%),
3.75%, 2/15/2029 (a)
(c) |
EUR 800,000 |
794,132 |
Cellnex
Telecom SA |
|
|
1.00%,
4/20/2027 (a) |
EUR 500,000 |
426,707 |
1.88%,
6/26/2029 |
EUR 400,000 |
323,594 |
Cirsa
Finance International SARL
4.75%,
5/22/2025 (a) |
EUR 950,000 |
880,112 |
ContourGlobal
Power Holdings SA
4.13%,
8/1/2025 (a) |
EUR 500,000 |
483,130 |
eDreams
ODIGEO SA |
|
|
5.50%,
7/15/2027 (b) |
EUR 307,000 |
264,512 |
5.50%,
7/15/2027 (a) |
EUR 300,000 |
258,481 |
Grifols
Escrow Issuer SA 3.88%,
10/15/2028 (a) |
EUR 300,000 |
241,188 |
Grifols
SA |
|
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Spain
— continued | ||
1.63%,
2/15/2025 (a) |
EUR 550,000 |
507,123 |
2.25%,
11/15/2027 (a) |
EUR 1,000,000
|
844,158 |
Grupo
Antolin-Irausa SA |
|
|
3.38%,
4/30/2026 (a) |
EUR 100,000 |
81,493 |
3.50%,
4/30/2028 (a) |
EUR 225,000 |
163,243 |
Iberdrola
International BV (EUR Swap
Annual
5 Year + 2.06%), 2.62%,
12/26/2023 (a)
(c) (d) (e) |
EUR 800,000 |
782,052 |
Kaixo
Bondco Telecom SA 5.13%,
9/30/2029 (a) |
EUR 392,000 |
318,343 |
Lorca
Telecom Bondco SA 4.00%,
9/18/2027 (a) |
EUR 1,066,000
|
952,333 |
Naturgy
Finance BV (EUR Swap Annual
9
Year + 3.08%), 3.38%,
4/24/2024 (a)
(c) (d) (e) |
EUR 200,000 |
187,565 |
Repsol
International Finance BV (EUR
Swap
Annual 10 Year + 4.20%),
4.50%,
3/25/2075 (a)
(c) |
EUR 1,400,000
|
1,382,281 |
Telefonica
Emisiones SA 5.21%,
3/8/2047 |
150,000 |
129,761 |
Telefonica
Europe BV |
|
|
(EUR
Swap Annual 5 Year +
2.33%),
2.62%, 3/7/2023 (a)
(c)
(d) (e) |
EUR 100,000 |
98,242 |
Series
NC5, (EUR Swap Annual 5
Year
+ 2.45%), 3.00%,
9/4/2023 (a)
(c) (d) (e) |
EUR 900,000 |
868,883 |
(EUR
Swap Annual 8 Year +
2.97%),
3.88%, 6/22/2026 (a)
(c)
(d) (e) |
EUR 900,000 |
814,281 |
|
|
15,617,813 |
Sweden
— 0.8% | ||
Dometic
Group AB 3.00%,
5/8/2026 (a) |
EUR 650,000 |
576,791 |
Svenska
Handelsbanken AB (US
Treasury
Yield Curve Rate T
Note
Constant Maturity 5 Year +
4.05%),
4.75%, 3/1/2031 (a)
(c)
(d)
(e) |
200,000 |
164,183 |
Verisure
Holding AB |
|
|
3.88%,
7/15/2026 (a) |
EUR 275,000 |
246,230 |
3.25%,
2/15/2027 (a) |
EUR 900,000 |
775,570 |
Verisure
Midholding AB 5.25%,
2/15/2029 (a) |
EUR 319,000 |
257,689 |
124
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
Sweden
— continued | ||
Volvo
Car AB |
|
|
2.00%,
1/24/2025 (a) |
EUR 200,000 |
190,900 |
2.50%,
10/7/2027 (a) |
EUR 300,000 |
268,162 |
|
|
2,479,525 |
Switzerland
— 1.5% | ||
Argentum
Netherlands for Zurich
Insurance
Co. Ltd. (EURIBOR 3
Month
+ 3.95%), 3.50%,
10/1/2046 (a)
(c) |
EUR 700,000 |
685,834 |
Credit
Suisse Group AG |
|
|
4.28%,
1/9/2028 (b) |
550,000 |
493,738 |
(SOFR
+ 3.73%), 4.19%,
4/1/2031 (b)
(c) |
274,000 |
230,221 |
(SOFR
+ 1.73%), 3.09%,
5/14/2032 (b)
(c) |
561,000 |
424,006 |
Dufry
One BV 2.50%,
10/15/2024 (a) |
EUR 700,000 |
663,629 |
Holcim
Sterling Finance Netherlands
BV
2.25%, 4/4/2034 (a) |
GBP 300,000 |
254,699 |
Kongsberg
Actuation Systems BV
5.00%,
7/15/2025 (a) |
EUR 218,182 |
185,039 |
Swiss
Re Finance Luxembourg SA (US
Treasury
Yield Curve Rate T
Note
Constant Maturity 5 Year +
3.58%),
5.00%, 4/2/2049 (b)
(c) |
200,000 |
190,000 |
UBS
Group AG |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
2.05%),
4.70%, 8/5/2027 (b)
(c) |
322,000 |
316,058 |
(EUR
Swap Annual 1 Year +
0.77%),
0.25%, 11/5/2028 (a)
(c) |
EUR 300,000 |
252,817 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.00%),
2.09%, 2/11/2032 (b)
(c) |
280,000 |
218,948 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.10%),
2.75%, 2/11/2033 (b)
(c) |
430,000 |
344,516 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
2.40%),
4.99%, 8/5/2033 (b)
(c) |
200,000 |
192,762 |
|
|
4,452,267 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Taiwan
— 0.4% | ||
Competition
Team Technologies Ltd.
3.75%,
3/12/2024 (a) |
200,000 |
197,850 |
TSMC
Arizona Corp. 4.25%,
4/22/2032 |
380,000 |
372,096 |
TSMC
Global Ltd. 2.25%,
4/23/2031 (b) |
700,000 |
584,969 |
|
|
1,154,915 |
United
Kingdom — 8.6% | ||
888
Acquisitions Ltd. 7.56%,
7/15/2027 (b) |
EUR 230,000 |
198,779 |
AstraZeneca
plc |
|
|
0.38%,
6/3/2029 (a) |
EUR 700,000 |
601,530 |
4.00%,
9/18/2042 |
490,000 |
448,729 |
Barclays
plc |
|
|
(U.K.
Government Bonds 5 Year
Note
Generic Bid Yield + 6.02%),
6.37%,
12/15/2025 (a)
(c) (d)
(e) |
GBP 200,000 |
211,720 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
2.30%),
5.30%, 8/9/2026 (c) |
398,000 |
395,084 |
BP
Capital Markets plc |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
4.04%),
4.38%, 6/22/2025 (c)
(d)
(e) |
204,000 |
195,279 |
(EUR
Swap Annual 5 Year +
3.88%),
3.25%, 3/22/2026 (a)
(c)
(d) (e) |
EUR 600,000 |
551,199 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
4.40%),
4.88%, 3/22/2030 (c)
(d)
(e) |
94,000 |
85,987 |
British
Telecommunications plc
(EURIBOR
ICE Swap Rate 5 Year +
2.13%),
1.87%, 8/18/2080 (a)
(c) |
EUR 100,000 |
86,426 |
Centrica
plc 4.38%, 3/13/2029 (a) |
GBP 200,000 |
224,717 |
Constellation
Automotive Financing plc
4.88%,
7/15/2027 (a) |
GBP 269,000 |
244,060 |
CPUK
Finance Ltd. 4.50%,
8/28/2027 (a) |
GBP 500,000 |
516,399 |
EC
Finance plc 3.00%,
10/15/2026 (a) |
EUR 799,000 |
739,955 |
eG
Global Finance plc 4.38%,
2/7/2025 (a) |
EUR 600,000 |
558,670 |
Eversholt
Funding plc 2.74%,
6/30/2040 (a) |
GBP 738,464 |
727,373 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
125
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
United
Kingdom — continued | ||
Gatwick
Funding Ltd. 2.50%,
4/15/2030 (a) |
GBP 700,000 |
676,711 |
Heathrow
Funding Ltd. |
|
|
1.50%,
10/12/2025 (a) |
EUR 800,000 |
764,588 |
6.75%,
12/3/2026 (a) |
GBP 300,000 |
370,130 |
1.50%,
2/11/2030 (a) |
EUR 300,000 |
260,113 |
1.88%,
3/14/2034 (a) |
EUR 250,000 |
195,922 |
5.88%,
5/13/2041 (a) |
GBP 100,000 |
119,815 |
HSBC
Holdings plc |
|
|
(SOFR
+ 1.54%), 1.64%,
4/18/2026 (c) |
490,000 |
446,185 |
5.75%,
12/20/2027 (a) |
GBP 200,000 |
230,924 |
(SOFR
+ 2.61%), 5.21%,
8/11/2028 (c) |
380,000 |
370,900 |
(SOFR
+ 1.73%), 2.01%,
9/22/2028 (c) |
1,270,000 |
1,073,732 |
(ICE
LIBOR USD 3 Month + 1.61%),
3.97%,
5/22/2030 (c) |
374,000 |
337,662 |
(SOFR
+ 1.41%), 2.87%,
11/22/2032 (c) |
440,000 |
349,646 |
(SOFR
+ 2.87%), 5.40%,
8/11/2033 (c) |
207,000 |
196,955 |
Iceland
Bondco plc 4.63%,
3/15/2025 (a) |
GBP 400,000 |
336,661 |
INEOS
Quattro Finance 1 plc 3.75%,
7/15/2026 (a) |
EUR 500,000 |
428,532 |
INEOS
Quattro Finance 2 plc 2.50%,
1/15/2026 (a) |
EUR 200,000 |
178,305 |
INEOS
Styrolution Group GmbH
2.25%,
1/16/2027 (a) |
EUR 300,000 |
248,725 |
International
Consolidated Airlines
Group
SA 1.50%, 7/4/2027 (a) |
EUR 700,000 |
496,280 |
Jaguar
Land Rover Automotive plc |
|
|
2.20%,
1/15/2024 (a) |
EUR 300,000 |
272,458 |
4.50%,
1/15/2026 (a) |
EUR 400,000 |
334,946 |
Lloyds
Banking Group plc |
|
|
4.05%,
8/16/2023 |
415,000 |
414,365 |
(EURIBOR
ICE Swap Rate 5 Year +
5.29%),
4.95%, 6/27/2025 (a)
(c)
(d) (e) |
EUR 300,000 |
287,164 |
4.58%,
12/10/2025 |
200,000 |
194,953 |
National
Grid plc 0.25%,
9/1/2028 (a) |
EUR 800,000 |
667,401 |
NatWest
Group plc |
|
|
(ICE
LIBOR USD 3 Month + 1.76%),
4.27%,
3/22/2025 (c) |
780,000 |
771,050 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
United
Kingdom — continued | ||
(U.K.
Government Bonds 5 Year
Note
Generic Bid Yield + 4.99%),
5.13%,
5/12/2027 (c)
(d) (e) |
GBP 884,000 |
872,901 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
2.27%),
5.52%, 9/30/2028 (c) |
400,000 |
400,210 |
(EURIBOR
3 Month + 0.89%),
0.67%,
9/14/2029 (a)
(c) |
EUR 1,200,000 |
973,893 |
NGG
Finance plc (EUR Swap Annual 5
Year
+ 2.53%), 2.13%,
9/5/2082 (a)
(c) |
EUR 730,000 |
597,854 |
Pinnacle
Bidco plc 5.50%,
2/15/2025 (a) |
EUR 500,000 |
463,508 |
Punch
Finance plc 6.13%,
6/30/2026 (a) |
GBP 438,000 |
442,301 |
RAC
Bond Co. plc 5.25%,
11/4/2027 (a) |
GBP 654,000 |
612,540 |
Rolls-Royce
plc 0.88%, 5/9/2024 (a) |
EUR 700,000 |
656,742 |
Santander
UK Group Holdings plc
(SOFR
+ 0.99%), 1.67%,
6/14/2027 (c) |
900,000 |
778,441 |
SIG
plc 5.25%, 11/30/2026 (a) |
EUR 317,000 |
265,209 |
Standard
Chartered plc |
|
|
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
1.65%),
3.97%, 3/30/2026 (b)
(c) |
395,000 |
381,735 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 1 Year +
3.85%),
4.64%, 4/1/2031 (b)
(c) |
306,000 |
288,366 |
Synthomer
plc 3.88%, 7/1/2025 (a) |
EUR 500,000 |
465,041 |
Virgin
Media Finance plc 3.75%,
7/15/2030 (a) |
EUR 500,000 |
391,930 |
Vodafone
Group plc |
|
|
5.25%,
5/30/2048 |
180,000 |
166,149 |
4.88%,
6/19/2049 |
121,000 |
107,666 |
(EUR
Swap Annual 5 Year +
3.43%),
4.20%, 10/3/2078 (a)
(c) |
EUR 700,000 |
640,761 |
(EUR
Swap Annual 5 Year +
2.67%),
3.10%, 1/3/2079 (a)
(c) |
EUR 300,000 |
291,913 |
126
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
United
Kingdom — continued | ||
(USD
Swap Semi 5 Year + 4.87%),
7.00%,
4/4/2079 (c) |
429,000 |
442,878 |
Series
NC10, (EUR Swap Annual 5
Year
+ 3.23%), 3.00%,
8/27/2080 (a)
(c) |
EUR 625,000 |
502,098 |
|
|
25,552,166 |
United
States — 7.8% | ||
AES
Corp. (The) |
|
|
3.30%,
7/15/2025 (b) |
31,000 |
29,404 |
3.95%,
7/15/2030 (b) |
42,000 |
38,367 |
Aetna,
Inc. 2.80%, 6/15/2023 |
595,000 |
589,576 |
Alexander
Funding Trust 1.84%,
11/15/2023 (b) |
70,000 |
66,511 |
American
Airlines Pass-Through Trust
Series
2021-1, 2.88%, 7/11/2034 |
100,000 |
83,646 |
American
Express Co. (US Treasury
Yield
Curve Rate T Note Constant
Maturity
5 Year + 2.85%), 3.55%,
9/15/2026 (c)
(d) (e) |
104,000 |
89,310 |
American
Medical Systems Europe BV
1.63%,
3/8/2031 |
EUR 100,000 |
87,714 |
Amgen,
Inc. 2.45%, 2/21/2030 |
120,000 |
105,003 |
Anheuser-Busch
Cos. LLC 4.90%,
2/1/2046 |
85,000 |
80,695 |
Anheuser-Busch
InBev Worldwide, Inc.
4.44%,
10/6/2048 |
344,000 |
305,786 |
Ardagh
Metal Packaging Finance
USA
LLC 3.00%, 9/1/2029 (a) |
EUR 379,000 |
298,921 |
AT&T,
Inc. |
|
|
3.50%,
9/15/2053 |
380,000 |
280,142 |
3.55%,
9/15/2055 |
99,000 |
72,487 |
Bank
of America Corp. |
|
|
Series
N, (SOFR + 1.22%), 2.65%,
3/11/2032 (c) |
560,000 |
464,286 |
(SOFR
+ 1.32%), 2.69%,
4/22/2032 (c) |
290,000 |
240,409 |
(SOFR
+ 1.22%), 2.30%,
7/21/2032 (c) |
470,000 |
375,178 |
Berkshire
Hathaway Energy Co.
4.60%,
5/1/2053 (b) |
47,000 |
44,767 |
BP
Capital Markets America, Inc.
2.72%,
1/12/2032 |
430,000 |
374,957 |
Bristol-Myers
Squibb Co. 2.95%,
3/15/2032 |
125,000 |
113,267 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
United
States — continued | ||
Capital
One Financial Corp. Series M,
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
3.16%),
3.95%, 9/1/2026 (c)
(d)
(e) |
442,000 |
375,373 |
CCO
Holdings LLC 5.13%,
5/1/2027 (b) |
140,000 |
132,887 |
CenterPoint
Energy, Inc. 2.95%,
3/1/2030 |
280,000 |
249,138 |
CF
Industries, Inc. 4.95%, 6/1/2043 |
224,000 |
199,107 |
Charles
Schwab Corp. (The) |
|
|
Series
I, (US Treasury Yield Curve
Rate
T Note Constant Maturity 5
Year
+ 3.17%), 4.00%,
6/1/2026 (c)
(d) (e) |
312,000 |
268,320 |
Series
H, (US Treasury Yield Curve
Rate
T Note Constant Maturity 10
Year
+ 3.08%), 4.00%,
12/1/2030 (c)
(d) (e) |
320,000 |
260,400 |
Citigroup,
Inc. |
|
|
Series
M, (ICE LIBOR USD 3 Month +
3.42%),
6.30%, 5/15/2024 (c)
(d)
(e) |
29,000 |
27,985 |
Series
W, (US Treasury Yield Curve
Rate
T Note Constant Maturity 5
Year
+ 3.60%), 4.00%,
12/10/2025 (c)
(d) (e) |
160,000 |
140,400 |
(US
Treasury Yield Curve Rate T
Note
Constant Maturity 5 Year +
3.42%),
3.88%, 2/18/2026 (c)
(d)
(e) |
720,000 |
622,800 |
Series
T, (ICE LIBOR USD 3 Month +
4.52%),
6.25%, 8/15/2026 (c)
(e) |
200,000 |
198,490 |
Series
Y, (US Treasury Yield Curve
Rate
T Note Constant Maturity 5
Year
+ 3.00%), 4.15%,
11/15/2026 (c)
(e) |
620,000 |
525,326 |
(SOFR
+ 1.17%), 2.56%,
5/1/2032 (c) |
320,000 |
261,726 |
(SOFR
+ 1.18%), 2.52%,
11/3/2032 (c) |
140,000 |
113,150 |
Comcast
Corp. 2.94%, 11/1/2056 |
290,000 |
196,479 |
Conagra
Brands, Inc. 0.50%,
8/11/2023 |
430,000 |
416,003 |
Constellation
Energy Generation LLC
5.60%,
6/15/2042 |
210,000 |
210,090 |
CVS
Health Corp. |
|
|
1.88%,
2/28/2031 |
215,000 |
172,952 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
127
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
United
States — continued | ||
2.13%,
9/15/2031 |
130,000 |
105,891 |
Danaher
Corp. 2.80%, 12/10/2051 |
85,000 |
60,324 |
Diamondback
Energy, Inc. 3.13%,
3/24/2031 |
277,000 |
238,837 |
Discover
Bank 4.20%, 8/8/2023 |
655,000 |
655,458 |
Discovery
Communications LLC
3.63%,
5/15/2030 |
50,000 |
43,806 |
Duquesne
Light Holdings, Inc. 2.78%,
1/7/2032 (b) |
140,000 |
114,159 |
Entergy
Texas, Inc. 1.75%,
3/15/2031 |
115,000 |
92,237 |
Exxon
Mobil Corp. 0.52%, 6/26/2028 |
EUR 400,000 |
354,578 |
Fells
Point Funding Trust 3.05%,
1/31/2027 (b) |
274,000 |
252,661 |
Fidelity
National Information Services,
Inc.
2.00%, 5/21/2030 |
EUR 200,000 |
176,513 |
Fiserv,
Inc. 1.63%, 7/1/2030 |
EUR 100,000 |
86,029 |
Ford
Motor Credit Co. LLC |
|
|
4.27%,
1/9/2027 |
400,000 |
365,362 |
3.63%,
6/17/2031 |
467,000 |
378,144 |
Freeport-McMoRan,
Inc. |
|
|
4.25%,
3/1/2030 |
103,000 |
93,281 |
5.40%,
11/14/2034 |
523,000 |
495,945 |
5.45%,
3/15/2043 |
48,000 |
43,211 |
General
Electric Co. 4.13%,
9/19/2035 (a) |
EUR 100,000 |
102,548 |
General
Motors Co. 6.13%,
10/1/2025 |
21,000 |
21,615 |
General
Motors Financial Co., Inc.
2.75%,
6/20/2025 |
39,000 |
36,894 |
Georgia
Power Co. Series A, 2.10%,
7/30/2023 |
785,000 |
771,056 |
Global
Payments, Inc. 2.90%,
11/15/2031 |
265,000 |
214,682 |
Goldman
Sachs Group, Inc. (The) |
|
|
Series
T, (US Treasury Yield Curve
Rate
T Note Constant Maturity 5
Year
+ 2.97%), 3.80%,
5/10/2026 (c)
(d) (e) |
10,000 |
8,275 |
(SOFR
+ 0.91%), 1.95%,
10/21/2027 (c) |
355,000 |
315,306 |
(SOFR
+ 1.28%), 2.62%,
4/22/2032 (c) |
290,000 |
239,622 |
(SOFR
+ 1.25%), 2.38%,
7/21/2032 (c) |
190,000 |
153,801 |
(SOFR
+ 1.26%), 2.65%,
10/21/2032 (c) |
300,000 |
246,328 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
United
States — continued | ||
Gray
Oak Pipeline LLC 2.60%,
10/15/2025 (b) |
50,000 |
46,006 |
HCA,
Inc. |
|
|
5.88%,
2/15/2026 |
185,000 |
188,904 |
3.50%,
9/1/2030 |
635,000 |
554,128 |
2.38%,
7/15/2031 |
370,000 |
293,537 |
5.25%,
6/15/2049 |
120,000 |
107,371 |
3.50%,
7/15/2051 |
150,000 |
102,966 |
Hyundai
Capital America |
|
|
3.50%,
11/2/2026 (b) |
555,000 |
520,852 |
3.50%,
11/2/2026 (a) |
150,000 |
140,771 |
International
Game Technology plc
2.38%,
4/15/2028 (a) |
EUR 350,000 |
293,989 |
Kansas
City Southern 3.50%,
5/1/2050 |
90,000 |
70,703 |
Keurig
Dr. Pepper, Inc. |
|
|
3.95%,
4/15/2029 |
345,000 |
328,335 |
4.05%,
4/15/2032 |
310,000 |
289,205 |
Lear
Corp. 3.55%, 1/15/2052 |
84,000 |
54,689 |
Lowe's
Cos., Inc. 3.75%, 4/1/2032 |
260,000 |
239,440 |
Magallanes,
Inc. |
|
|
4.28%,
3/15/2032 (b) |
822,000 |
716,236 |
5.05%,
3/15/2042 (b) |
155,000 |
126,714 |
Metropolitan
Life Global Funding I
3.30%,
3/21/2029 (b) |
185,000 |
170,403 |
Morgan
Stanley |
|
|
(SOFR
+ 0.88%), 1.59%,
5/4/2027 (c) |
690,000 |
615,019 |
(SOFR
+ 1.61%), 4.21%,
4/20/2028 (c) |
315,000 |
306,941 |
(SOFR
+ 1.18%), 2.24%,
7/21/2032 (c) |
220,000 |
177,212 |
(SOFR
+ 1.20%), 2.51%,
10/20/2032 (c) |
173,000 |
141,668 |
Netflix,
Inc. 5.38%, 11/15/2029 (b) |
357,000 |
351,645 |
Pacific
Gas and Electric Co. |
|
|
4.25%,
8/1/2023 |
390,000 |
388,187 |
3.30%,
3/15/2027 |
366,000 |
326,584 |
Par
Pharmaceutical, Inc. 7.50%,
4/1/2027 (b) |
9,000 |
7,650 |
PNC
Financial Services Group, Inc.
(The)
Series T, (US Treasury Yield
Curve
Rate T Note Constant
Maturity
5 Year + 2.60%), 3.40%,
9/15/2026 (c)
(d) (e) |
410,000 |
331,280 |
Regency
Centers LP, REIT 2.95%,
9/15/2029 |
95,000 |
82,938 |
128
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Corporate
Bonds — continued | ||
United
States — continued | ||
Roper
Technologies, Inc. 2.95%,
9/15/2029 |
446,000 |
392,880 |
Southern
California Edison Co. Series
J,
0.70%, 8/1/2023 |
460,000 |
445,751 |
Take-Two
Interactive Software, Inc. |
|
|
3.55%,
4/14/2025 |
60,000 |
58,604 |
3.70%,
4/14/2027 |
210,000 |
202,086 |
4.00%,
4/14/2032 |
70,000 |
64,556 |
Thermo
Fisher Scientific, Inc. 0.88%,
10/1/2031 |
EUR 100,000 |
82,930 |
T-Mobile
USA, Inc. 2.55%,
2/15/2031 |
115,000 |
95,713 |
Transocean,
Inc. 11.50%,
1/30/2027 (b) |
25,000 |
24,098 |
Union
Electric Co. 3.90%, 4/1/2052 |
80,000 |
70,364 |
Verizon
Communications, Inc. |
|
|
2.55%,
3/21/2031 |
330,000 |
278,917 |
2.36%,
3/15/2032 |
60,000 |
49,224 |
2.65%,
11/20/2040 |
60,000 |
43,308 |
VMware,
Inc. 2.20%, 8/15/2031 |
290,000 |
226,090 |
Wells
Fargo & Co. Series BB, (US
Treasury
Yield Curve Rate T
Note
Constant Maturity 5 Year +
3.45%),
3.90%, 3/15/2026 (c)
(d)
(e) |
340,000 |
299,625 |
|
|
23,085,134 |
Total
Corporate Bonds
(Cost
$210,361,035) |
|
170,189,961 |
Foreign
Government Securities — 30.6% | ||
Angola
— 0.3% | ||
Republic
of Angola |
|
|
8.00%,
11/26/2029 (a) |
210,000 |
173,775 |
8.75%,
4/14/2032 (b) |
483,000 |
393,645 |
9.13%,
11/26/2049 (a) |
480,000 |
357,990 |
|
|
925,410 |
Australia
— 9.4% | ||
Commonwealth
of Australia |
|
|
5.50%,
4/21/2023 (a) |
AUD17,808,000 |
12,393,293 |
1.25%,
5/21/2032 |
AUD25,668,000 |
14,198,196 |
3.00%,
3/21/2047 (a) |
AUD 2,140,000
|
1,262,376 |
|
|
27,853,865 |
Bahrain
— 0.1% | ||
Kingdom
of Bahrain 6.00%,
9/19/2044 (a) |
335,000 |
250,057 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Brazil
— 3.1% | ||
Notas
do Tesouro Nacional |
|
|
10.00%,
1/1/2025 |
BRL40,000,000 |
7,379,284 |
6.00%,
5/15/2035 |
BRL 2,540,000 |
1,943,952 |
|
|
9,323,236 |
Canada
— 6.1% | ||
Canada
Government Bond |
|
|
0.25%,
5/1/2023 |
CAD12,060,000 |
8,978,219 |
0.25%,
8/1/2023 |
CAD12,516,000 |
9,231,545 |
|
|
18,209,764 |
China
— 1.1% | ||
People's
Republic of China 2.75%,
2/17/2032
|
CNY22,790,000 |
3,306,572 |
Colombia
— 0.2% | ||
Republic
of Colombia |
|
|
3.13%,
4/15/2031 |
460,000 |
346,811 |
5.20%,
5/15/2049 |
520,000 |
353,373 |
|
|
700,184 |
Costa
Rica — 0.1% | ||
Republic
of Costa Rica 6.13%,
2/19/2031 (a) |
300,000 |
279,713 |
Cote
D'Ivoire — 0.2% | ||
Republic
of Cote d'Ivoire 6.88%,
10/17/2040 (b) |
EUR 730,000
|
526,505 |
Dominican
Republic — 0.2% | ||
Dominican
Republic Government Bond |
|
|
6.88%,
1/29/2026 (b) |
280,000 |
286,265 |
5.30%,
1/21/2041 (b) |
375,000 |
277,336 |
|
|
563,601 |
Ecuador
— 0.1% | ||
Republic
of Ecuador 2.50%,
7/31/2035 (a)
(f) |
537,000 |
205,671 |
Ethiopia
— 0.0% ^ | ||
Federal
Democratic Republic of
Ethiopia
6.63%, 12/11/2024 (a) |
200,000 |
109,788 |
Hungary
— 0.2% | ||
Hungary
Government Bond |
|
|
2.13%,
9/22/2031 (b) |
200,000 |
145,662 |
7.63%,
3/29/2041 |
150,000 |
172,200 |
3.13%,
9/21/2051 (b) |
466,000 |
288,862 |
|
|
606,724 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
129
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Foreign
Government Securities — continued | ||
Israel
— 0.2% | ||
State
of Israel Government Bond
3.38%,
1/15/2050 |
570,000 |
472,316 |
Italy
— 1.7% | ||
Italian
Republic Government Bond |
|
|
0.88%,
5/6/2024 |
962,000 |
900,932 |
2.38%,
10/17/2024 |
3,295,000 |
3,128,735 |
2.88%,
10/17/2029 |
1,135,000 |
966,650 |
|
|
4,996,317 |
Ivory
Coast — 0.2% | ||
Republic
of Cote d'Ivoire |
|
|
6.38%,
3/3/2028 (a) |
270,000 |
250,644 |
6.13%,
6/15/2033 (a) |
370,000 |
311,101 |
|
|
561,745 |
Jamaica
— 0.2% | ||
Jamaica
Government Bond |
|
|
8.00%,
3/15/2039 |
240,000 |
279,795 |
7.88%,
7/28/2045
|
400,000 |
460,825 |
|
|
740,620 |
Kazakhstan
— 0.1% | ||
Republic
of Kazakhstan 1.50%,
9/30/2034 (b) |
EUR 370,000 |
280,570 |
Kenya
— 0.2% | ||
Republic
of Kenya 6.30%,
1/23/2034 (b) |
783,000 |
532,440 |
Lebanon
— 0.0% ^ | ||
Lebanese
Republic |
|
|
6.65%,
4/22/2024 (a)
(i) |
227,000 |
16,074 |
6.65%,
11/3/2028 (a)
(i) |
226,000 |
15,580 |
|
|
31,654 |
Mexico
— 1.6% | ||
Mex
Bonos Desarr Fix Rt |
|
|
7.75%,
5/29/2031 |
MXN37,280,000 |
1,704,718 |
8.50%,
11/18/2038 |
MXN42,000,000 |
1,985,705 |
United
Mexican States |
|
|
3.77%,
5/24/2061 |
392,000 |
261,733 |
3.75%,
4/19/2071
|
1,433,000 |
938,884 |
|
|
4,891,040 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
New
Zealand — 0.8% | ||
New
Zealand Government Bond |
|
|
4.50%,
4/15/2027 (a) |
NZD 952,000 |
597,859 |
2.75%,
4/15/2037 (a) |
NZD 3,201,000
|
1,643,110 |
|
|
2,240,969 |
Nigeria
— 0.3% | ||
Federal
Republic of Nigeria |
|
|
7.63%,
11/21/2025 (a) |
300,000 |
264,750 |
7.38%,
9/28/2033 (b) |
527,000 |
351,772 |
7.63%,
11/28/2047 (a) |
400,000 |
246,000 |
|
|
862,522 |
Oman
— 0.2% | ||
Sultanate
of Oman Government Bond |
|
|
5.63%,
1/17/2028 (a) |
300,000 |
294,375 |
6.75%,
1/17/2048 (a) |
320,000 |
284,400 |
|
|
578,775 |
Paraguay
— 0.3% | ||
Republic
of Paraguay |
|
|
5.00%,
4/15/2026 (a) |
302,000 |
301,396 |
4.95%,
4/28/2031 (b) |
550,000 |
528,791 |
|
|
830,187 |
Philippines
— 0.1% | ||
Republic
of Philippines 2.95%,
5/5/2045 |
330,000 |
245,061 |
Portugal
— 1.5% | ||
Portuguese
Republic 5.13%,
10/15/2024 (a) |
4,260,000 |
4,355,833 |
Qatar
— 0.2% | ||
State
of Qatar |
|
|
5.10%,
4/23/2048 (a) |
245,000 |
261,844 |
4.40%,
4/16/2050 (b) |
200,000 |
194,250 |
|
|
456,094 |
Romania
— 0.1% | ||
Romania
Government Bond 4.63%,
4/3/2049 (b) |
EUR 276,000
|
204,870 |
Senegal
— 0.2% | ||
Republic
of Senegal |
|
|
6.25%,
5/23/2033 (a) |
660,000 |
531,423 |
6.75%,
3/13/2048 (a) |
260,000 |
180,749 |
|
|
712,172 |
130
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Foreign
Government Securities — continued | ||
Serbia
— 0.1% | ||
Republic
of Serbia 1.50%,
6/26/2029 (b) |
EUR 410,000 |
295,451 |
South
Africa — 1.2% | ||
Republic
of South Africa |
|
|
4.30%,
10/12/2028 |
490,000 |
433,436 |
7.00%,
2/28/2031 |
ZAR37,742,512 |
1,747,544 |
8.88%,
2/28/2035 |
ZAR17,942,132 |
888,136 |
5.75%,
9/30/2049 |
710,000 |
503,212 |
|
|
3,572,328 |
United
Arab Emirates — 0.3% | ||
United
Arab Emirates Government
Bond |
|
|
4.05%,
7/7/2032 (b) |
441,000 |
446,733 |
4.00%,
7/28/2050 (b) |
400,000 |
252,200 |
4.95%,
7/7/2052 (b) |
305,000 |
320,250 |
|
|
1,019,183 |
Uruguay
— 0.0% ^ | ||
Oriental
Republic of Uruguay 5.10%,
6/18/2050 |
88,906 |
90,256 |
Total
Foreign Government Securities
(Cost
$101,540,249) |
|
90,831,493 |
Commercial
Mortgage-Backed Securities — 1.7% | ||
United
States — 1.7% | ||
BAMLL
Re-REMIC Trust Series
2014-FRR4,
Class BK29, PO,
4/27/2023 (b) |
400,000 |
380,914 |
BANK |
|
|
Series
2019-BN16, Class C, 4.79%,
2/15/2052 ‡
(h) |
23,000 |
20,945 |
Series
2018-BN10, Class C, 4.16%,
2/15/2061 ‡
(h) |
70,000 |
62,458 |
Series
2018-BN13, Class C, 4.72%,
8/15/2061 ‡
(h) |
118,000 |
105,863 |
Series
2019-BN20, Class C, 3.78%,
9/15/2062 ‡
(h) |
176,000 |
148,595 |
Benchmark
Mortgage Trust Series
2019-B11,
Class C, 3.75%,
5/15/2052 ‡
(h) |
315,000 |
265,992 |
Cascade
Funding Mortgage Trust
Series
2021-FRR1, Class BK45,
2.11%,
2/28/2025 ‡
(b) (h) |
1,000,000 |
899,144 |
CCUBS
Commercial Mortgage Trust
Series
2017-C1, Class C, 4.58%,
11/15/2050 (h) |
28,000 |
24,949 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
United
States — continued | ||
CD
Mortgage Trust Series 2016-CD2,
Class
C, 4.11%, 11/10/2049 ‡
(h) |
21,000 |
17,974 |
Citigroup
Commercial Mortgage Trust
Series
2014-GC23, Class C, 4.58%,
7/10/2047 ‡
(h) |
21,000 |
20,184 |
FHLMC,
Multi-Family Structured
Pass-Through
Certificates |
|
|
Series
K033, Class X1, IO, 0.40%,
7/25/2023 (h) |
3,684,077 |
7,265 |
Series
K739, Class X1, IO, 1.32%,
9/25/2027 (h) |
2,127,037 |
100,305 |
Series
K153, Class X3, IO, 3.91%,
4/25/2035 (h) |
340,000 |
87,582 |
Series
K036, Class X3, IO, 2.18%,
12/25/2041 (h) |
2,640,000 |
62,084 |
Series
K720, Class X3, IO, 2.13%,
8/25/2042 (h) |
447,795 |
4 |
Series
K041, Class X3, IO, 1.70%,
11/25/2042 (h) |
3,470,000 |
104,193 |
Series
K054, Class X3, IO, 1.65%,
4/25/2043 (h) |
1,365,000 |
63,604 |
Series
K050, Class X3, IO, 1.61%,
10/25/2043 (h) |
1,010,000 |
40,228 |
Series
K051, Class X3, IO, 1.67%,
10/25/2043 (h) |
1,395,000 |
59,752 |
Series
K052, Class X3, IO, 1.67%,
1/25/2044 (h) |
750,000 |
33,820 |
Series
K726, Class X3, IO, 2.22%,
7/25/2044 (h) |
2,890,000 |
97,177 |
Series
K067, Class X3, IO, 2.19%,
9/25/2044 (h) |
1,385,000 |
120,062 |
Series
K072, Class X3, IO, 2.21%,
12/25/2045 (h) |
400,000 |
37,487 |
Series
K089, Class X3, IO, 2.38%,
1/25/2046 (h) |
850,000 |
102,103 |
Series
K078, Class X3, IO, 2.29%,
6/25/2046 (h) |
1,820,000 |
191,556 |
Series
K088, Class X3, IO, 2.43%,
2/25/2047 (h) |
980,000 |
121,094 |
FREMF
Series 2018-KF46, Class B,
4.31%,
3/25/2028 (b)
(h) |
241,539 |
235,185 |
FREMF
Mortgage Trust |
|
|
Series
2017-KF31, Class B, 5.26%,
4/25/2024 (b)
(h) |
38,243 |
37,965 |
Series
2017-KF36, Class B, 5.01%,
8/25/2024 (b)
(h) |
32,805 |
32,712 |
Series
2017-KF38, Class B, 4.86%,
9/25/2024 (b)
(h) |
19,725 |
19,667 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
131
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Commercial
Mortgage-Backed Securities — continued | ||
United
States — continued | ||
Series
2018-KF47, Class B, 4.36%,
5/25/2025 (b)
(h) |
9,422 |
9,293 |
Series
2018-KF49, Class B, 4.26%,
6/25/2025 (b)
(h) |
147,239 |
142,650 |
Series
2017-K728, Class B, 3.77%,
11/25/2050 (b)
(h) |
190,000 |
186,221 |
Series
2017-K728, Class C, 3.77%,
11/25/2050 (b)
(h) |
105,000 |
102,017 |
GNMA
Series 2017-23, IO, 0.62%,
5/16/2059 (h) |
283,408 |
10,827 |
GS
Mortgage Securities Trust |
|
|
Series
2012-GCJ9, Class D, 4.78%,
11/10/2045 ‡
(b) (h) |
320,000 |
312,424 |
Series
2015-GC30, Class C, 4.20%,
5/10/2050 ‡
(h) |
36,000 |
33,724 |
JPMBB
Commercial Mortgage
Securities
Trust |
|
|
Series
2015-C30, Class C, 4.37%,
7/15/2048 ‡
(h) |
62,000 |
55,932 |
Series
2015-C31, Class C, 4.77%,
8/15/2048 ‡
(h) |
23,000 |
21,537 |
JPMDB
Commercial Mortgage
Securities
Trust Series 2017-C7,
Class
C, 4.30%, 10/15/2050 (h) |
19,509 |
17,587 |
JPMorgan
Chase Commercial
Mortgage
Securities Trust Series
2016-JP4,
Class C, 3.52%,
12/15/2049 ‡
(h) |
28,000 |
24,526 |
LB-UBS
Commercial Mortgage Trust
Series
2006-C6, Class AJ, 5.45%,
9/15/2039 ‡
(h) |
134,898 |
59,558 |
Morgan
Stanley Bank of America
Merrill
Lynch Trust |
|
|
Series
2014-C14, Class C, 5.21%,
2/15/2047 ‡
(h) |
21,000 |
20,724 |
Series
2015-C24, Class C, 4.48%,
5/15/2048 ‡
(h) |
36,000 |
33,828 |
Morgan
Stanley Capital I Trust |
|
|
Series
2005-HQ7, Class E, 5.49%,
11/14/2042 ‡
(h) |
35,173 |
34,473 |
Series
2015-MS1, Class B, 4.16%,
5/15/2048 ‡
(h) |
28,000 |
26,642 |
UBS
Commercial Mortgage Trust
Series
2017-C7, Class B, 4.29%,
12/15/2050 ‡
(h) |
106,000 |
98,708 |
Velocity
Commercial Capital Loan Trust |
|
|
Series
2018-2, Class A, 4.05%,
10/26/2048 (b)
(h) |
91,104 |
88,954 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
United
States — continued | ||
Series
2019-1, Class M1, 3.94%,
3/25/2049 ‡
(b) (h) |
106,056 |
100,740 |
Wells
Fargo Commercial Mortgage
Trust |
|
|
Series
2016-C35, Class C, 4.18%,
7/15/2048 ‡
(h) |
23,000 |
20,253 |
Series
2019-C49, Class C, 4.87%,
3/15/2052 ‡
(h) |
59,000 |
53,937 |
Total
Commercial Mortgage-Backed
Securities
(Cost
$5,394,572) |
|
4,955,418 |
Asset-Backed
Securities — 1.4% | ||
United
States — 1.4% | ||
Accelerated
Assets LLC Series 2018-1,
Class
C, 6.65%, 12/2/2033 ‡
(b) |
107,911 |
105,794 |
Chase
Funding Trust Series 2003-6,
Class
1A7, 5.28%, 11/25/2034 ‡
(f) |
66,342 |
63,930 |
Credit-Based
Asset Servicing and
Securitization
LLC Series 2004-CB5,
Class
M1, 3.36%, 1/25/2034 ‡
(h) |
77,595 |
72,775 |
Drive
Auto Receivables Trust Series
2018-3,
Class D, 4.30%,
9/16/2024 |
25,229 |
25,235 |
DT
Auto Owner Trust |
|
|
Series
2019-1A, Class D, 3.87%,
11/15/2024 (b) |
31,446 |
31,447 |
Series
2019-1A, Class E, 4.94%,
2/17/2026 (b) |
100,000 |
100,246 |
Exeter
Automobile Receivables Trust
Series
2018-3A, Class D, 4.35%,
6/17/2024 (b) |
58,832 |
58,879 |
Flagship
Credit Auto Trust Series
2017-4,
Class D, 3.58%,
1/15/2024 (b) |
119,548 |
119,533 |
FREED
ABS Trust Series 2022-3FP,
Class
B, 5.79%, 8/20/2029 ‡
(b) |
670,000 |
665,402 |
JetBlue
Pass-Through Trust |
|
|
Series
2019-1, Class B, 8.00%,
11/15/2027 |
147,697 |
147,502 |
Series
2019-1, Class A, 2.95%,
5/15/2028 |
44,513 |
37,927 |
Series
2020-1, Class B, 7.75%,
11/15/2028 |
39,644 |
39,020 |
Lendmark
Funding Trust Series
2019-2A,
Class C, 3.72%,
4/20/2028 ‡
(b) |
580,000 |
540,453 |
132
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Asset-Backed
Securities — continued | ||
United
States — continued | ||
Onemain
Financial Issuance Trust
Series
2018-1A, Class D, 4.08%,
3/14/2029 ‡
(b) |
100,000 |
99,570 |
Progress
Residential Series
2021-SFR1,
Class E, 2.11%,
4/17/2038 ‡
(b) |
250,000 |
216,802 |
Santander
Revolving Auto Loan Trust |
|
|
Series
2019-A, Class C, 3.00%,
1/26/2032 (b) |
150,000 |
142,102 |
Series
2019-A, Class D, 3.45%,
1/26/2032 (b) |
650,000 |
618,532 |
Structured
Asset Investment Loan
Trust |
|
|
Series
2004-8, Class M3, 3.42%,
9/25/2034 ‡
(h) |
7,386 |
7,377 |
Series
2005-HE3, Class M1,
3.16%,
9/25/2035 ‡
(h) |
28,929 |
28,620 |
US
Auto Funding Series 2021-1A,
Class
C, 2.20%, 5/15/2026 (b) |
1,125,000 |
1,061,996 |
Total
Asset-Backed Securities
(Cost
$4,379,075) |
|
4,183,142 |
Collateralized
Mortgage Obligations — 1.0% | ||
United
Kingdom — 0.0% ^ | ||
Brass
NO 8 plc Series 8A, Class A1,
3.62%,
11/16/2066 (b)
(h) |
46,002 |
45,997 |
United
States — 1.0% | ||
Alternative
Loan Trust |
|
|
Series
2004-25CB, Class A1,
6.00%,
12/25/2034 |
91,156 |
82,454 |
Series
2005-6CB, Class 1A6,
5.50%,
4/25/2035 |
58,877 |
52,622 |
Series
2005-80CB, Class 5A1,
6.00%,
2/25/2036 |
69,571 |
66,832 |
Series
2007-2CB, Class 1A6,
5.75%,
3/25/2037 |
118,728 |
73,697 |
Chase
Mortgage Finance Trust Series
2007-A1,
Class 1A5, 2.69%,
2/25/2037 (h) |
14,347 |
14,020 |
CHL
Mortgage Pass-Through Trust
Series
2007-16, Class A1, 6.50%,
10/25/2037 |
42,727 |
22,749 |
FHLMC,
REMIC |
|
|
Series
2916, Class S, IF, IO, 4.86%,
1/15/2035 (h) |
1,224,553 |
122,249 |
Series
4305, Class SK, IF, IO,
4.21%,
2/15/2044 (h) |
421,456 |
59,122 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
United
States — continued | ||
Series
4689, Class SD, IF, IO,
3.76%,
6/15/2047 (h) |
285,811 |
42,099 |
Series
4714, Class SA, IF, IO,
3.76%,
8/15/2047 (h) |
231,025 |
32,052 |
Series
5022, IO, 3.00%,
9/25/2050 |
424,934 |
60,617 |
Series
5023, Class MI, IO, 3.00%,
10/25/2050 |
764,948 |
137,088 |
Series
4839, Class WS, IF, IO,
3.71%,
8/15/2056 (h) |
1,858,039 |
277,561 |
FNMA,
Connecticut Avenue Securities
Series
2018-C06, Class 2M2,
4.54%,
3/25/2031 (h) |
18,498 |
18,534 |
FNMA,
REMIC |
|
|
Series
2010-57, Class ID, IO,
4.00%,
6/25/2025 |
24,057 |
137 |
Series
2012-146, Class AI, IO,
3.00%,
1/25/2028 |
690,018 |
33,215 |
Series
2016-68, Class BI, IO,
3.00%,
10/25/2031 |
547,845 |
44,280 |
Series
2012-93, Class SE, IF, IO,
3.66%,
9/25/2042 (h) |
87,061 |
10,760 |
Series
2012-124, Class UI, IO,
4.00%,
11/25/2042 |
89,407 |
13,740 |
Series
2012-133, Class NS, IF, IO,
3.71%,
12/25/2042 (h) |
150,080 |
18,350 |
Series
2015-40, Class LS, IF, IO,
3.73%,
6/25/2045 (h) |
215,909 |
26,362 |
Series
2016-75, Class SC, IF, IO,
3.66%,
10/25/2046 (h) |
530,507 |
48,890 |
Series
2017-31, Class SG, IF, IO,
3.66%,
5/25/2047 (h) |
729,251 |
96,169 |
Series
2017-39, Class ST, IF, IO,
3.66%,
5/25/2047 (h) |
209,544 |
29,863 |
Series
2017-69, Class SH, IF, IO,
3.76%,
9/25/2047 (h) |
327,579 |
47,205 |
Series
2019-42, Class SK, IF, IO,
3.61%,
8/25/2049 (h) |
551,183 |
70,985 |
FNMA,
STRIPS Series 409, Class 27,
IO,
4.00%, 4/25/2027 (h) |
85,914 |
3,874 |
GNMA |
|
|
Series
2017-107, Class KS, IF, IO,
3.83%,
7/20/2047 (h) |
191,354 |
22,369 |
Series
2019-42, Class SJ, IF, IO,
3.68%,
4/20/2049 (h) |
432,220 |
53,812 |
Series
2015-H13, Class GI, IO,
1.48%,
4/20/2065 (h) |
130,846 |
3,013 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
133
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Collateralized
Mortgage Obligations — continued | ||
United
States — continued | ||
Merrill
Lynch Mortgage Investors Trust
Series
2004-C, Class A1, 3.00%,
7/25/2029 (h) |
42,650 |
40,592 |
PNMAC
FMSR ISSUER TRUST Series
2018-GT2,
Class A, 5.09%,
8/25/2025 (b)
(h) |
210,000 |
204,876 |
Structured
Adjustable Rate Mortgage
Loan
Trust Series 2004-8, Class 3A,
3.72%,
7/25/2034 (h) |
12,873 |
12,517 |
VM
Master Issuer LLC Series 2022-1,
Class
A1, 5.16%, 5/24/2025 (b)
(h) |
1,200,000 |
1,195,440 |
|
|
3,038,145 |
Total
Collateralized Mortgage
Obligations
(Cost
$3,646,952) |
|
3,084,142 |
Supranational
— 0.3% | ||
African
Export-Import Bank (The),
5.25%,
10/11/2023 (a) |
200,000 |
198,500 |
European
Union, 0.10%,
10/4/2040 (a) |
EUR 1,070,000
|
700,246 |
Total
Supranational
(Cost
$1,416,442) |
|
898,746 |
|
SHARES |
|
Common
Stocks — 0.1% | ||
United
States — 0.1% | ||
Chord
Energy Corp.(Cost $41,321) |
1,711 |
242,192 |
|
NO.
OF WARRANTS |
|
Warrants
— 0.0% ^ | ||
United
States — 0.0% ^ | ||
Windstream
Holdings, Inc. expiring
12/31/2049,
price 10.75 USD ‡
*(Cost
$—) |
16 |
216 |
|
SHARES |
|
Short-Term
Investments — 3.5% | ||
Investment
Companies — 3.5% | ||
JPMorgan
U.S. Government Money
Market
Fund Class IM Shares,
2.00% (j)
(k)(Cost
$10,471,032) |
10,471,032 |
10,471,032 |
Total
Investments — 96.0%
(Cost
$337,250,678) |
|
284,856,342 |
Other
Assets Less Liabilities — 4.0% |
|
11,891,600 |
NET
ASSETS — 100.0% |
|
296,747,942 |
Percentages
indicated are based on net
assets. |
Abbreviations |
|
ABS |
Asset-Backed
Securities |
AUD |
Australian
Dollar |
BRL |
Brazilian
Real |
CAD |
Canadian
Dollar |
CNY |
China
Yuan |
EUR |
Euro |
EURIBOR |
Euro
Interbank Offered Rate |
FHLMC |
Federal
Home Loan Mortgage Corp. |
FNMA |
Federal
National Mortgage Association |
GBP |
British
Pound |
GNMA |
Government
National Mortgage Association |
ICE |
Intercontinental
Exchange |
IF |
Inverse
Floaters represent securities that pay interest at a rate that
increases
(decreases) with a decline (incline) in a specified index
or
have an interest rate that adjusts periodically based on changes
in
current interest rates and prepayments on the underlying pool
of
assets. The interest rate shown is the rate in effect as of August
31,
2022. The rate may be subject to a cap and floor. |
IO |
Interest
Only represents the right to receive the monthly interest
payments
on an underlying pool of mortgage loans. The principal
amount
shown represents the par value on the underlying pool.
The
yields on these securities are subject to accelerated principal
paydowns
as a result of prepayment or refinancing of the
underlying
pool of mortgage instruments. As a result, interest
income
may be reduced considerably. |
JSC |
Joint
Stock Company |
LIBOR |
London
Interbank Offered Rate |
MXN |
Mexican
Peso |
NZD |
New
Zealand Dollar |
OYJ |
Public
Limited Company |
PO |
Principal
Only represents the right to receive the principal portion
only
on an underlying pool of mortgage loans. The market value of
these
securities is extremely volatile in response to changes in
market
interest rates. As prepayments on the underlying
mortgages
of these securities increase, the yield on these
securities
increases. |
PT |
Limited
liability company |
REIT |
Real
Estate Investment Trust |
REMIC |
Real
Estate Mortgage Investment Conduit |
Re-REMIC |
Combined
Real Estate Mortgage Investment Conduit |
SOFR |
Secured
Overnight Financing Rate |
STRIPS |
Separate
Trading of Registered Interest and Principal of Securities.
The
STRIPS Program lets investors hold and trade individual
interest
and principal components of eligible notes and bonds as
separate
securities. |
USD |
United
States Dollar |
ZAR |
South
African Rand |
^ |
Amount
rounds to less than 0.1% of net assets. | |
‡ |
Value
determined using significant unobservable
inputs. |
|
* |
Non-income
producing security.
|
|
134
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
(a) |
Security
exempt from registration pursuant to
Regulation
S under the Securities Act of 1933, as
amended.
Regulation S applies to securities offerings
that
are made outside of the United States and do not
involve
direct selling efforts in the United States and
as
such may have restrictions on resale. |
|
(b) |
Securities
exempt from registration under Rule 144A
or
section 4(a)(2), of the Securities Act of 1933, as
amended. |
|
(c) |
Variable
or floating rate security, linked to the
referenced
benchmark. The interest rate shown is the
current
rate as of August 31, 2022. |
|
(d) |
Security
is an interest bearing note with preferred
security
characteristics. |
|
(e) |
Security
is perpetual and thus, does not have a
predetermined
maturity date. The coupon rate for this
security
is fixed for a period of time and may be
structured
to adjust thereafter. The date shown, if
applicable,
reflects the next call date. The coupon rate
shown
is the rate in effect as of August 31, 2022. |
|
(f) |
Step
bond. Interest rate is a fixed rate for an initial
period
that either resets at a specific date or may
reset
in the future contingent upon a predetermined
trigger.
The interest rate shown is the current rate as
of
August 31, 2022.
|
|
(g) |
Security
has the ability to pay in kind (“PIK”) or pay
income
in cash. When applicable, separate rates of
such
payments are disclosed. |
|
(h) |
Variable
or floating rate security, the interest rate of
which
adjusts periodically based on changes in current
interest
rates and prepayments on the underlying
pool
of assets. The interest rate shown is the current
rate
as of August 31, 2022.
|
|
(i) |
Defaulted
security. |
|
(j) |
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. |
|
(k) |
The
rate shown is the current yield as of August 31,
2022. |
|
DESCRIPTION |
NUMBER
OF
CONTRACTS |
EXPIRATION
DATE |
TRADING
CURRENCY |
NOTIONAL
AMOUNT
($) |
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
Long
Contracts |
|
|
|
|
|
Australia
10 Year Bond |
28 |
09/15/2022 |
AUD |
2,298,299 |
6,164 |
U.S.
Treasury Ultra Bond |
22 |
12/20/2022 |
USD |
3,275,250 |
(5,779) |
|
|
|
|
|
385 |
Short
Contracts |
|
|
|
|
|
Euro-Bobl |
(84) |
09/08/2022 |
EUR |
(10,381,455) |
90,689 |
Euro-Bund |
(29) |
09/08/2022 |
EUR |
(4,304,502) |
84,336 |
U.S.
Treasury 10 Year Ultra Note |
(25) |
12/20/2022 |
USD |
(3,121,485) |
26,791 |
U.S.
Treasury Long Bond |
(4) |
12/20/2022 |
USD |
(541,875) |
4,460 |
U.S.
Treasury 2 Year Note |
(205) |
12/30/2022 |
USD |
(42,691,250) |
18,374 |
U.S.
Treasury 5 Year Note |
(246) |
12/30/2022 |
USD |
(27,225,281) |
77,492 |
|
|
|
|
|
302,142 |
|
|
|
|
|
302,527 |
Abbreviations |
|
AUD |
Australian
Dollar |
EUR |
Euro |
USD |
United
States Dollar |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
135
|
CURRENCY
PURCHASED |
CURRENCY
SOLD |
COUNTERPARTY |
SETTLEMENT
DATE |
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | ||
EUR |
466,750 |
USD |
467,571 |
BNP
Paribas |
9/6/2022 |
1,612 |
EUR |
586,683 |
USD |
582,617 |
HSBC
Bank, NA |
9/6/2022 |
7,124 |
EUR |
463,104 |
USD |
463,627 |
Royal
Bank of Canada |
9/6/2022 |
1,890 |
USD |
98,336,070 |
EUR |
95,943,353 |
BNP
Paribas |
9/6/2022 |
1,892,633 |
USD |
3,196,435 |
EUR |
3,125,715 |
HSBC
Bank, NA |
9/6/2022 |
54,426 |
USD |
531,020 |
EUR |
518,543 |
Merrill
Lynch International |
9/6/2022 |
9,774 |
USD |
9,120,535 |
GBP |
7,548,129 |
HSBC
Bank, NA |
9/6/2022 |
351,235 |
CNY |
10,308,487 |
USD |
1,489,429 |
Goldman
Sachs International**
|
9/22/2022 |
6,707 |
CZK |
17,967,572 |
EUR |
727,226 |
BNP
Paribas |
9/22/2022 |
3,059 |
EUR |
729,359 |
CHF |
701,782 |
Goldman
Sachs International |
9/22/2022 |
14,859 |
EUR |
708,818 |
HUF |
282,676,663 |
Goldman
Sachs International |
9/22/2022 |
7,561 |
EUR |
732,204 |
ILS |
2,429,234 |
Barclays
Bank plc |
9/22/2022 |
6,800 |
EUR |
725,480 |
ILS |
2,418,170 |
BNP
Paribas |
9/22/2022 |
3,358 |
EUR |
725,479 |
PLN |
3,415,481 |
Barclays
Bank plc |
9/22/2022 |
5,743 |
EUR |
412,634 |
USD |
415,040 |
Royal
Bank of Canada |
9/22/2022 |
196 |
INR |
117,721,885 |
USD |
1,475,830 |
BNP
Paribas**
|
9/22/2022 |
2,132 |
INR |
118,505,144 |
USD |
1,485,864 |
Citibank,
NA**
|
9/22/2022 |
1,931 |
MXN |
16,607,434 |
USD |
816,642 |
Goldman
Sachs International |
9/22/2022 |
4,501 |
USD |
328,351 |
AUD |
470,949 |
Barclays
Bank plc |
9/22/2022 |
6,000 |
USD |
1,798,274 |
AUD |
2,589,975 |
HSBC
Bank, NA |
9/22/2022 |
25,508 |
USD |
1,465,314 |
AUD |
2,134,654 |
Royal
Bank of Canada |
9/22/2022 |
4,203 |
USD |
26,485,193 |
AUD |
37,224,477 |
State
Street Corp. |
9/22/2022 |
1,006,076 |
USD |
8,476,085 |
BRL |
43,860,786 |
Barclays
Bank plc**
|
9/22/2022 |
86,857 |
USD |
734,586 |
BRL |
3,833,070 |
BNP
Paribas**
|
9/22/2022 |
1,437 |
USD |
15,504,080 |
CAD |
19,779,175 |
BNP
Paribas |
9/22/2022 |
446,228 |
USD |
1,462,367 |
CAD |
1,902,295 |
Royal
Bank of Canada |
9/22/2022 |
14,153 |
USD |
1,889,455 |
CAD |
2,446,686 |
State
Street Corp. |
9/22/2022 |
26,797 |
USD |
1,486,878 |
CNY |
10,073,106 |
BNP
Paribas**
|
9/22/2022 |
24,904 |
USD |
3,566,396 |
CNY |
24,029,619 |
HSBC
Bank, NA**
|
9/22/2022 |
78,825 |
USD |
2,256,755 |
COP |
9,555,067,682 |
Goldman
Sachs International**
|
9/22/2022 |
106,033 |
USD |
10,929,812 |
EUR |
10,587,883 |
BNP
Paribas |
9/22/2022 |
275,167 |
USD |
1,439,799 |
IDR |
21,129,772,745 |
BNP
Paribas**
|
9/22/2022 |
18,484 |
USD |
748,152 |
KRW |
1,000,346,526 |
Citibank,
NA**
|
9/22/2022 |
2,735 |
USD |
3,335,723 |
KRW |
4,369,849,791 |
Goldman
Sachs International**
|
9/22/2022 |
79,490 |
USD |
740,736 |
MXN |
14,839,174 |
Citibank,
NA |
9/22/2022 |
7,024 |
USD |
7,084,308 |
MXN |
142,190,329 |
Goldman
Sachs International |
9/22/2022 |
53,807 |
USD |
2,373,481 |
NZD |
3,688,875 |
Citibank,
NA |
9/22/2022 |
116,552 |
USD |
2,196,502 |
PHP |
122,317,927 |
BNP
Paribas**
|
9/22/2022 |
23,395 |
USD |
82,031 |
PLN |
383,436 |
HSBC
Bank, NA |
9/22/2022 |
717 |
USD |
741,659 |
SGD |
1,020,291 |
BNP
Paribas |
9/22/2022 |
11,491 |
USD |
191,858 |
SGD |
265,141 |
HSBC
Bank, NA |
9/22/2022 |
2,111 |
USD |
733,545 |
ZAR |
12,361,333 |
Citibank,
NA |
9/22/2022 |
13,205 |
USD |
3,636,992 |
ZAR |
59,215,468 |
HSBC
Bank, NA |
9/22/2022 |
186,291 |
EUR |
506,729 |
USD |
508,163 |
Goldman
Sachs International |
10/5/2022 |
2,217 |
USD |
7,677,632 |
GBP |
6,600,820 |
BNP
Paribas |
10/5/2022 |
4,489 |
Total
unrealized appreciation |
4,999,737 | |||||
EUR |
445,128 |
USD |
453,388 |
BNP
Paribas |
9/6/2022 |
(5,940) |
EUR |
519,587 |
USD |
531,104 |
Merrill
Lynch International |
9/6/2022 |
(8,809) |
EUR |
674,500 |
USD |
687,886 |
Royal
Bank of Canada |
9/6/2022 |
(9,870) |
GBP |
209,116 |
USD |
253,427 |
Barclays
Bank plc |
9/6/2022 |
(10,479) |
GBP |
738,192 |
USD |
894,512 |
Royal
Bank of Canada |
9/6/2022 |
(36,891) |
136
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
CURRENCY
PURCHASED |
CURRENCY
SOLD |
COUNTERPARTY |
SETTLEMENT
DATE |
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | ||
AUD |
537,620 |
USD |
369,766 |
Citibank,
NA |
9/22/2022 |
(1,780) |
AUD |
537,620 |
USD |
370,976 |
Goldman
Sachs International |
9/22/2022 |
(2,990) |
AUD |
625,151 |
USD |
430,799 |
HSBC
Bank, NA |
9/22/2022 |
(2,900) |
AUD |
515,574 |
USD |
362,918 |
Merrill
Lynch International |
9/22/2022 |
(10,022) |
BRL |
3,750,194 |
USD |
722,134 |
Citibank,
NA** |
9/22/2022 |
(4,837) |
CHF |
698,333 |
EUR |
719,188 |
Barclays
Bank plc |
9/22/2022 |
(8,158) |
CHF |
722,840 |
EUR |
738,107 |
BNP
Paribas |
9/22/2022 |
(2,086) |
CHF |
3,449 |
USD |
3,624 |
Goldman
Sachs International |
9/22/2022 |
(90) |
COP |
3,196,263,686 |
USD |
719,717 |
BNP
Paribas** |
9/22/2022 |
(280) |
COP |
6,448,829,041 |
USD |
1,456,543 |
Goldman
Sachs International**
|
9/22/2022 |
(4,995) |
EUR |
743,118 |
CZK |
18,288,996 |
BNP
Paribas |
9/22/2022 |
(213) |
EUR |
752,160 |
HUF |
305,452,031 |
BNP
Paribas |
9/22/2022 |
(5,685) |
HUF |
285,893,012 |
EUR |
709,641 |
Goldman
Sachs International |
9/22/2022 |
(359) |
IDR |
11,075,694,026 |
USD |
748,813 |
Barclays
Bank plc** |
9/22/2022 |
(3,795) |
IDR |
11,119,195,070 |
USD |
749,171 |
BNP
Paribas** |
9/22/2022 |
(1,227) |
IDR |
11,058,789,412 |
USD |
746,459 |
Goldman
Sachs International** |
9/22/2022 |
(2,578) |
ILS |
2,431,610 |
EUR |
745,984 |
BNP
Paribas |
9/22/2022 |
(19,953) |
ILS |
2,476,953 |
EUR |
739,722 |
Goldman
Sachs International |
9/22/2022 |
(25) |
KRW |
971,647,298 |
USD |
750,214 |
Citibank,
NA** |
9/22/2022 |
(26,182) |
MXN |
14,967,972 |
USD |
747,222 |
Citibank,
NA |
9/22/2022 |
(7,141) |
MXN |
31,549,684 |
USD |
1,565,164 |
Goldman
Sachs International |
9/22/2022 |
(5,212) |
MXN |
29,808,251 |
USD |
1,479,367 |
HSBC
Bank, NA |
9/22/2022 |
(5,519) |
PLN |
3,798,917 |
USD |
829,980 |
HSBC
Bank, NA |
9/22/2022 |
(24,355) |
SGD |
1,285,431 |
USD |
937,455 |
HSBC
Bank, NA |
9/22/2022 |
(17,540) |
USD |
734,063 |
CLP |
701,047,977 |
Goldman
Sachs International**
|
9/22/2022 |
(48,139) |
USD |
8,013 |
HUF |
3,216,349 |
Merrill
Lynch International |
9/22/2022 |
(16) |
USD |
747,547 |
INR |
59,564,513 |
BNP
Paribas** |
9/22/2022 |
(267) |
USD |
1,545,462 |
INR |
123,531,757 |
Citibank,
NA** |
9/22/2022 |
(5,441) |
USD |
745,722 |
INR |
59,564,510 |
Goldman
Sachs International** |
9/22/2022 |
(2,092) |
USD |
705,082 |
TRY |
13,085,349 |
Goldman
Sachs International |
9/22/2022 |
(3,500) |
USD |
96,515,899 |
EUR |
96,431,859 |
HSBC
Bank, NA |
10/5/2022 |
(610,732) |
USD |
2,223,576 |
EUR |
2,233,689 |
State
Street Corp. |
10/5/2022 |
(26,207) |
Total
unrealized depreciation |
(926,305) | |||||
Net
unrealized appreciation |
4,073,432 |
Abbreviations |
|
AUD |
Australian
Dollar |
BRL |
Brazilian
Real |
CAD |
Canadian
Dollar |
CHF |
Swiss
Franc |
CLP |
Chile
Peso |
CNY |
China
Yuan |
COP |
Columbian
Peso |
CZK |
Czech
Republic Koruna |
EUR |
Euro |
GBP |
British
Pound |
HUF |
Hungarian
Forint |
IDR |
Indonesian
Rupiah |
ILS |
Israeli
Shekel |
INR |
Indian
Rupee |
KRW |
Korean
Republic Won |
MXN |
Mexican
Peso |
NZD |
New
Zealand Dollar |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
137
|
PHP |
Philippines
Peso |
PLN |
Polish
Zloty |
SGD |
Singapore
Dollar |
TRY |
Turkish
Lira |
USD |
United
States Dollar |
ZAR |
South
African Rand |
** |
Non-deliverable
forward. |
REFERENCE
OBLIGATION/INDEX |
FINANCING
RATE
PAID
BY
THE FUND
(%) |
PAYMENT
FREQUENCY |
MATURITY
DATE |
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($) |
VALUE
($) |
iTraxx.Europe.Crossover.37-V1 |
5.00 |
Quarterly |
6/20/2027 |
5.58 |
EUR 870,000
|
(2,548) |
23,216 |
20,668 |
(*) |
The
Fund, as a buyer of credit protection, is generally obligated to make
periodic payments and may also pay or receive an upfront premium to or
from
the
protection seller, in exchange for the right to receive a contingent
payment, upon occurrence of a credit event with respect to an underlying
reference
obligation,
as defined under the terms of individual swap
contracts. | ||||||||
(a) |
Implied
credit spreads are an indication of the seller's performance risk, related
to the likelihood of a credit event occurring that would require a seller
to
make
payment to a buyer. Implied credit spreads are used to determine the value
of swap contracts and reflect the cost of buying/selling protection, which
may
include upfront payments made to enter into the contract. Therefore,
higher spreads would indicate a greater likelihood that a seller will be
obligated
to
perform (i.e. make payment) under the swap contract.Increasing values, in
absolute terms and relative to notional amounts, are also indicative of
greater
performance risk. Implied credit spreads for credit default swaps on
credit indices are linked to the weighted average spread across the
underlying
reference
obligations included in a particular index. | ||||||||
(b) |
The
notional amount is the maximum amount that a seller of credit protection
would be obligated to pay and a buyer of credit protection would receive,
upon
occurrence of a credit event. | ||||||||
(c) |
Upfront
payments and receipts generally represent premiums paid or received at the
initiation of the agreement to compensate the differences between
the
stated terms of the swap agreement and current market conditions (credit
spreads, interest rates and other relevant
factors). |
FLOATING
RATE INDEX (a) |
FIXED
RATE |
PAY/RECIEVE
FLOATING
RATE |
MATURITY
DATE |
NOTIONAL
AMOUNT |
UPFRONT
PAYMENTS
(RECEIPTS)($) |
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)($) |
6
month EURIBOR semi-annually |
(0.08)
annually |
Pay |
12/21/2024 |
EUR 7,000,000 |
— |
329,588 |
6
month EURIBOR semi-annually |
1.83
annually |
Pay |
9/21/2027 |
EUR 20,000,000 |
— |
422,710 |
|
|
|
|
|
— |
752,298 |
1
day TONAR annually |
0.41
annually |
Pay |
3/31/2032 |
JPY 1,050,000,000
|
— |
(26,107) |
6
month EURIBOR semi-annually |
(0.33)
annually |
Pay |
4/13/2052 |
EUR 1,900,000 |
— |
(332,915) |
6
month EURIBOR semi-annually |
1.90
annually |
Pay |
9/21/2052 |
EUR 4,250,000 |
— |
(146,844) |
|
|
|
|
|
— |
(505,866) |
|
|
|
|
|
|
246,432 |
| |
(a) |
Value
of floating rate index at August 31, 2022 was as follows:
|
FLOATING
RATE INDEX |
VALUE |
1
day TONAR |
(0.03)% |
6
Month EURIBOR |
1.20 |
138
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
Abbreviations |
|
EUR |
Euro |
EURIBOR |
Euro
Interbank Offered Rate |
JPY |
Japanese
Yen |
TONAR |
Tokyo
Overnight Average Rate |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
139
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — 86.0% (a) | ||
Alabama
— 2.2% | ||
Black
Belt Energy Gas District, Gas Project
Series
E, 5.00%, 5/1/2053 (b) |
1,750,000 |
1,858,967 |
Black
Belt Energy Gas District, Gas Project No.
7
Series 2021C-1, Rev., 4.00%,
10/1/2052 (b) |
100,000 |
100,177 |
Black
Belt Energy Gas District, Gas Project No.
8
Series 2022A, Rev., 4.00%,
12/1/2052 (b) |
150,000 |
149,123 |
Black
Belt Energy Gas District, Gas Supply
Series
2022, Subseries 2022D-1, LIQ : Royal
Bank
of Canada, 4.00%, 7/1/2052 (b) |
1,250,000 |
1,268,680 |
City
of Pell City, Warrants Series 2015A, GO,
5.00%,
2/1/2025 |
100,000 |
105,720 |
Selma
Industrial Development Board,
International
Paper Co. Project Series
2020A,
Rev., 1.38%, 6/16/2025 (b) |
100,000 |
94,577 |
Southeast
Alabama Gas Supply District (The),
Project
No. 1 Series 2018A, Rev., 4.00%,
4/1/2024 (b) |
25,000 |
25,293 |
Southeast
Energy Authority A Cooperative
District
Series 2022B-1, Rev., 5.00%,
8/1/2028 (b) |
1,250,000 |
1,308,647 |
Southeast
Energy Authority A Cooperative
District,
Project No. 2 Series 2021B, Rev.,
4.00%,
12/1/2031 (b) |
300,000 |
295,134 |
University
of Alabama (The), Huntsville General
Fee
Series B-2, Rev., 5.00%, 9/1/2031 |
95,000 |
106,420 |
Total
Alabama |
|
5,312,738 |
Alaska
— 0.2% | ||
Alaska
Industrial Development and Export
Authority,
Tanana Chiefs Conference Project
Series
2019A, 5.00%, 10/1/2024 |
200,000 |
207,769 |
Alaska
Municipal Bond Bank Authority |
|
|
Series
3, 5.00%, 10/1/2025 |
20,000 |
20,925 |
Series
3, 5.00%, 12/1/2028 |
225,000 |
243,667 |
Total
Alaska |
|
472,361 |
Arizona
— 1.5% | ||
Arizona
Board of Regents |
|
|
Series
2020A, 5.00%, 7/1/2030 |
105,000 |
121,804 |
Series
A, 5.00%, 7/1/2033 |
430,000 |
488,321 |
Arizona
Industrial Development Authority,
Academies
of Math & Science Projects
5.00%,
7/1/2032 (c) |
120,000 |
123,403 |
Arizona
Industrial Development Authority,
Cadence
Campus Project |
|
|
Series
2020A, 4.00%, 7/15/2030 (c) |
120,000 |
115,570 |
Series
2020A, 4.00%, 7/15/2040 (c) |
125,000 |
109,772 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Arizona
— continued | ||
Arizona
Industrial Development Authority,
Equitable
School Revolving Fund LLC |
|
|
Series
A, 5.00%, 11/1/2033 |
440,000 |
492,496 |
Series
A, 5.00%, 11/1/2044 |
250,000 |
261,168 |
Arizona
Industrial Development Authority,
Great
Lakes Senior Living Communities LLC
Project
Series 2019A, 5.00%, 1/1/2036 |
250,000 |
192,933 |
Arizona
Industrial Development Authority, KIPP
Nashville
Project |
|
|
Series
A, 5.00%, 7/1/2028 |
225,000 |
238,556 |
Series
A, 5.00%, 7/1/2029 |
235,000 |
249,855 |
Arizona
Industrial Development Authority,
Macombs
Facility Project Series 2021A,
4.00%,
7/1/2051 |
125,000 |
104,626 |
Arizona
Industrial Development Authority,
National
Charter School Revolving Loan Fund
Series
2020A, 4.00%, 11/1/2038 |
200,000 |
192,711 |
Arizona
Industrial Development Authority,
Phoenix
Children's Hospital Series 2020A,
5.00%,
2/1/2031 |
150,000 |
168,677 |
Arizona
Industrial Development Authority,
Pinecrest
Academy of Northern Nevada
Project
Series 2022A, Rev., 4.50%,
7/15/2029 (c) |
250,000 |
246,648 |
City
of Glendora, Waterworks Series 2022A,
Rev.,
5.00%, 7/1/2033 |
120,000 |
140,075 |
City
of Mesa, Excise Tax Rev., 5.00%,
7/1/2031 |
75,000 |
86,394 |
City
of Phoenix Civic Improvement Corp., Junior
Lien,
Airport System Series 2017D, Rev.,
5.00%,
7/1/2026 |
160,000 |
173,579 |
Maricopa
County School District No. 3, Tempe
Elementary,
School Improvement, Project of
2016
Series 2017A, GO, 5.00%, 7/1/2027 |
30,000 |
33,256 |
Salt
Verde Financial Corp. Rev., 5.25%,
12/1/2026 |
100,000 |
106,568 |
Total
Arizona |
|
3,646,412 |
Arkansas
— 0.0% ^ | ||
City
of Fort Smith, Water and Sewer
Construction
Rev., 5.00%, 10/1/2024 |
75,000 |
78,175 |
California
— 9.8% | ||
Azusa
Unified School District, Election of 2014 |
|
|
Series
2022D, 5.00%, 8/1/2029 |
125,000 |
143,957 |
Series
2022D, 5.00%, 8/1/2032 |
175,000 |
203,673 |
Brentwood
Infrastructure Financing Authority,
Civic
Center Project 5.00%, 10/1/2025 |
45,000 |
48,166 |
140
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
California
— continued | ||
California
Community Choice Financing
Authority,
Green Bond Series 2022-A-1,
4.00%,
5/1/2053 (b) |
1,780,000 |
1,810,806 |
California
Enterprise Development Authority,
Riverside
County, Rocketship Public
Schools-Obligated
Group No. 2 4.00%,
6/1/2027 (c) |
260,000 |
256,779 |
California
Health Facilities Financing Authority,
Kaiser
Permanente Series 2006C, 5.00%,
6/1/2041 (b) |
300,000 |
347,044 |
California
Health Facilities Financing Authority,
On
Lok Senior Health Service |
|
|
3.00%,
8/1/2023 |
100,000 |
99,757 |
5.00%,
8/1/2040 |
100,000 |
105,124 |
California
Municipal Finance Authority,
Community
Health System Series 2021A,
5.00%,
2/1/2033 |
800,000 |
882,812 |
California
Municipal Finance Authority, San
Antonio
Gardens Project 5.00%,
11/15/2039 |
150,000 |
154,840 |
California
Public Finance Authority, Enso Village
Project
Series 2021B-1, Rev., 3.13%,
5/15/2029 (c) |
200,000 |
181,843 |
California
School Finance Authority, Kipp SoCal
Public
Schools Series A, 5.00%,
7/1/2039 (c) |
500,000 |
514,951 |
California
Statewide Communities Development
Authority,
Emanate Health, Tax-Exempt
Series
2020A, 5.00%, 4/1/2030 |
150,000 |
168,169 |
California
Statewide Communities Development
Authority,
San Francisco Campus for Jewish
Living
Project |
|
|
4.00%,
11/1/2027 |
60,000 |
63,556 |
4.00%,
11/1/2029 |
145,000 |
155,749 |
Chula
Vista Municipal Financing Authority
4.00%,
5/1/2026 |
180,000 |
189,135 |
City
of Aliso Viejo 4.00%, 11/1/2028 |
175,000 |
187,791 |
City
of Los Angeles Department of Airports,
International
Airport Senior Series A, Rev.,
AMT,
5.00%, 5/15/2033 |
100,000 |
104,066 |
City
of Los Angeles Department of Airports,
International
Airport Subordinate Series
2019E,
Rev., AMT, 5.00%, 5/15/2026 |
10,000 |
10,922 |
City
of Roseville, 316 Vernon Street Project
COP,
5.00%, 8/1/2025 |
70,000 |
74,895 |
City
of Santa Rosa, Courthouse Square Project
and
Lease COP, 4.00%, 10/1/2024 |
90,000 |
92,643 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
California
— continued | ||
County
of San Joaquin, County Administration
Building
Project COP, AGM, 5.00%,
11/15/2027 |
150,000 |
168,525 |
CSCDA
Community Improvement Authority,
Essential
Housing, Pasadena Portfolio Series
2021A-1,
Rev., 2.65%, 12/1/2046 (c) |
255,000 |
197,855 |
CSCDA
Community Improvement Authority,
Essential
Housing, Towne at Glendale
Apartments
5.00%, 9/1/2037 (c) |
100,000 |
95,036 |
El
Monte City School District, Election of 2014
Series
A, GO, 5.00%, 8/1/2025 |
55,000 |
58,766 |
Golden
State Tobacco Securitization Corp.,
Enhanced
Tobacco Settlement Series
2018A-1,
Rev., 5.00%, 6/1/2028 (d) |
250,000 |
283,658 |
Hermosa
Beach City School District, Election of
2016
Series 2016A, GO, 4.00%, 8/1/2023 |
15,000 |
15,228 |
Indian
Wells Financing Authority, Solar and
Infrastructure
Project |
|
|
Rev.,
5.00%, 4/1/2029 |
150,000 |
170,384 |
Rev.,
5.00%, 4/1/2031 |
160,000 |
186,003 |
Indio
Finance Authority |
|
|
Series
A, Rev., 5.00%, 11/1/2027 |
275,000 |
303,694 |
Series
A, Rev., 5.00%, 11/1/2028 |
275,000 |
307,140 |
Series
A, Rev., 5.00%, 11/1/2029 |
325,000 |
367,117 |
Series
A, Rev., 5.00%, 11/1/2030 |
400,000 |
455,231 |
Series
A, Rev., 5.00%, 11/1/2034 |
200,000 |
225,004 |
Los
Angeles Department of Water and Power,
Power
System Series 2022A, Rev., 5.00%,
7/1/2030 |
235,000 |
275,138 |
Los
Angeles Department of Water and Power,
Water
System Series A, Subseries A-2, Rev.,
VRDO,
LIQ : Barclays Bank plc, 0.85%,
9/1/2022 (b) |
3,000,000 |
3,000,000 |
Los
Angeles Unified School District Series
2021A,
GO, 5.00%, 7/1/2030 |
350,000 |
410,322 |
Ontario
Public Financing Authority, Civic Center
Improvements
Series 2022A, Rev., AGM,
5.00%,
11/1/2033 |
140,000 |
159,965 |
Orange
County Community Facilities District No.
2021-1,
Rienda Series A, Rev., 5.00%,
8/15/2037 (e) |
500,000 |
531,847 |
Petaluma
Public Financing Authority, Road
Improvement
Projects Rev., 5.00%,
5/1/2026 |
150,000 |
163,031 |
Redding
Joint Powers Financing Authority
Series
2019A, Rev., 5.00%, 4/1/2026 |
150,000 |
162,807 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
141
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
California
— continued | ||
River
Islands Public Financing Authority,
Facilities
District No. 2003 |
|
|
Series
2022A-1, Rev., AGM, 5.00%,
9/1/2029 |
210,000 |
235,559 |
Series
2022A-1, Rev., AGM, 5.00%,
9/1/2030 |
330,000 |
373,129 |
Salinas
Union High School District Series A, GO,
4.00%,
8/1/2047 |
1,000,000 |
947,888 |
San
Diego Redevelopment Agency Successor
Agency
Series A, Rev., 5.00%, 9/1/2023 |
130,000 |
133,363 |
San
Dieguito Union High School District,
Election
of 2012 Series A-2, GO, 5.00%,
8/1/2024 |
150,000 |
153,800 |
San
Francisco Bay Area Rapid Transit District
Series
C-1, GO, 4.00%, 8/1/2035 |
135,000 |
141,619 |
San
Francisco City and County Airport
Commission,
San Francisco International
Airport
Series 2016A, Rev., 5.00%,
5/1/2026 |
95,000 |
103,671 |
San
Francisco City and County Public Utilities
Commission
Wastewater System Series B,
Rev.,
5.00%, 10/1/2034 |
2,000,000 |
2,362,473 |
San
Jose Evergreen Community College District
Series
A, GO, 5.00%, 9/1/2022 |
100,000 |
100,000 |
San
Ramon Valley Fire Protection District,
Public
Safety Complex and Fire Training
Facility
Projects COP, 4.00%, 8/1/2032 |
125,000 |
134,222 |
Sanger
Unified School District |
|
|
COP,
AGM, 5.00%, 6/1/2034 |
400,000 |
451,551 |
COP,
AGM, 5.00%, 6/1/2035 |
425,000 |
477,349 |
Santa
Cruz County Capital Financing Authority
Series
2020A, Rev., 4.00%, 6/1/2025 |
100,000 |
104,106 |
Sierra
View Local Health Care District Rev.,
4.00%,
7/1/2023 |
165,000 |
166,487 |
Solano
Irrigation District, Water COP, 4.00%,
8/1/2031 |
285,000 |
298,791 |
South
San Francisco Public Facilities Financing
Authority,
Community Civic Campus and
Multiple
Series 2021A, Rev., 4.00%,
6/1/2029 |
220,000 |
236,968 |
South
San Francisco Public Facilities Financing
Authority,
Multiple Capital Project Series
2022A,
Rev., 5.00%, 6/1/2029 |
270,000 |
310,582 |
State
of California, Various Purpose 5.00%,
11/1/2032 |
335,000 |
388,734 |
Tobacco
Securitization Authority of Northern
California
Series 2021A, Class 1, Rev.,
5.00%,
6/1/2032 |
110,000 |
120,975 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
California
— continued | ||
Tracy
Public Financing Authority, Legacy Fields
Series
2022A, Rev., 5.00%, 11/1/2036 |
1,035,000 |
1,161,595 |
University
of California Series 2018AZ, Rev.,
4.00%,
5/15/2029 |
130,000 |
140,501 |
Vallecito
Union School District Series A, GO,
5.00%,
8/1/2031 |
595,000 |
685,924 |
West
Hills Community College District GO, AGM,
5.00%,
8/1/2026 |
120,000 |
130,067 |
Yucaipa
Valley Water District Financing
Authority,
Water & Sewer Revenue Series A,
Rev.,
5.00%, 9/1/2034 |
500,000 |
574,225 |
Total
California |
|
23,267,008 |
Colorado
— 3.6% | ||
Board
of Water Commissioners City & County of
Denver
(The) Series B, Rev., 4.00%,
9/15/2034 |
2,015,000 |
2,121,031 |
City
and County of Denver Series 2020B, GO,
5.00%,
8/1/2029 |
220,000 |
254,721 |
City
and County of Denver, Airport System |
|
|
Series
A, Rev., AMT, 5.00%, 12/1/2035 |
505,000 |
531,659 |
Series
A, Rev., AMT, 5.50%, 11/15/2042 |
1,500,000 |
1,644,401 |
Colorado
Educational and Cultural Facilities
Authority,
Aspen View Academy Project Rev.,
4.00%,
5/1/2036 |
85,000 |
77,143 |
Colorado
Educational and Cultural Facilities
Authority,
Vega Collegiate Academy Project
5.00%,
2/1/2051 (c) |
150,000 |
133,760 |
Colorado
Health Facilities Authority, Tax
Exempt,
Aberdeen Ridge Series 2021B-3,
2.13%,
5/15/2028 |
295,000 |
277,109 |
Colorado
Higher Education, Capital
Construction,
Lease Purchase Financing
Program |
|
|
Series
2014A, 5.00%, 11/1/2025 |
10,000 |
10,788 |
4.00%,
9/1/2034 |
335,000 |
349,883 |
County
of Adams |
|
|
5.00%,
12/1/2023 |
60,000 |
61,902 |
5.00%,
12/1/2024 |
150,000 |
158,176 |
Dominion
Water and Sanitation District Rev.,
5.00%,
12/1/2027 (e) |
500,000 |
499,960 |
Regional
Transportation District, Denver Transit
Partners |
|
|
Rev.,
5.00%, 7/15/2029 |
130,000 |
140,187 |
Rev.,
5.00%, 1/15/2030 |
170,000 |
183,534 |
Rev.,
5.00%, 7/15/2030 |
115,000 |
124,388 |
Rev.,
5.00%, 1/15/2031 |
250,000 |
270,719 |
Rev.,
4.00%, 7/15/2036 |
185,000 |
179,915 |
142
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Colorado
— continued | ||
Southlands
Metropolitan District No. 1 Series
A-1,
GO, 5.00%, 12/1/2037 |
250,000 |
250,682 |
State
of Colorado Series S, 4.00%, 3/15/2037 |
1,000,000 |
1,011,304 |
STC
Metropolitan District No. 2, Limited Tax
Improvement
Series 2019A, GO, 5.00%,
12/1/2038 |
300,000 |
293,477 |
University
of Colorado, Enterprise System
Series
A-2, Rev., 5.00%, 6/1/2026 |
40,000 |
43,654 |
Total
Colorado |
|
8,618,393 |
Connecticut
— 0.2% | ||
Metropolitan
District (The) Series 2021A, GO,
5.00%,
9/1/2030 |
200,000 |
233,683 |
State
of Connecticut Series A, 5.00%,
4/15/2033 |
135,000 |
146,780 |
State
of Connecticut, Special Tax Transportation
Infrastructure
Purposes Series B, 5.00%,
8/1/2023 |
75,000 |
76,771 |
Total
Connecticut |
|
457,234 |
Delaware
— 0.5% | ||
Delaware
State Economic Development
Authority,
Newark Charter School, Inc.,
Project |
|
|
Rev.,
4.00%, 9/1/2025 |
100,000 |
101,107 |
Rev.,
4.00%, 9/1/2026 |
140,000 |
141,622 |
Delaware
State Economic Development
Authority,
St. Andrews School Project Rev.,
4.00%,
7/1/2041 |
1,000,000 |
979,910 |
Total
Delaware |
|
1,222,639 |
District
of Columbia — 2.7% | ||
District
of Columbia Series D, GO, 5.00%,
2/1/2033 |
2,300,000 |
2,649,346 |
District
of Columbia, Income Tax Series 2019A,
Rev.,
5.00%, 3/1/2029 |
100,000 |
114,660 |
District
of Columbia, International School |
|
|
Rev.,
5.00%, 7/1/2028 |
115,000 |
119,913 |
Rev.,
5.00%, 7/1/2039 |
125,000 |
126,101 |
District
of Columbia, Kipp DC Project Rev.,
4.00%,
7/1/2039 |
100,000 |
93,960 |
District
of Columbia, Water and Sewer
Authority,
Public Utility, Senior Lien Series B,
Rev.,
5.00%, 10/1/2025 |
65,000 |
70,033 |
Metropolitan
Washington Airports Authority
Aviation |
|
|
Series
A, Rev., AMT, 5.00%, 10/1/2028 |
2,000,000 |
2,189,454 |
Series
A, Rev., AMT, 5.00%, 10/1/2031 |
1,000,000 |
1,108,101 |
Total
District of Columbia |
|
6,471,568 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Florida
— 3.3% | ||
Charlotte
County Industrial Development
Authority,
Town and Country Utilities Project
Series
2021A, 4.00%, 10/1/2041 (c) |
100,000 |
80,935 |
City
of Cape Coral, Florida Special Obligation
5.00%,
10/1/2024 |
110,000 |
115,408 |
City
of Cape Coral, Water & Sewer 5.00%,
10/1/2022 |
25,000 |
25,053 |
City
of Jacksonville |
|
|
Series
2022A, Rev., 5.00%, 10/1/2031 |
250,000 |
290,910 |
Series
2022A, Rev., 5.00%, 10/1/2032 |
200,000 |
233,951 |
City
of Kissimmee Rev., 4.00%, 10/1/2025 |
170,000 |
177,147 |
City
of Lakeland, Lakeland Regional Health
Systems
Rev., 5.00%, 11/15/2023 |
40,000 |
41,056 |
City
of Miami Beach, Water & Sewer Rev.,
5.00%,
9/1/2033 |
25,000 |
27,508 |
City
of Orlando, Capital Improvement |
|
|
Series
D, Rev., 5.00%, 10/1/2022 |
75,000 |
75,168 |
Series
B, Rev., 5.00%, 10/1/2024 |
60,000 |
63,162 |
City
of Pompano Beach, John Knox Village
Project
Rev., 3.50%, 9/1/2030 |
200,000 |
187,460 |
City
of Tampa, H. Lee Moffitt Cancer Center
Project
Series 2016B, Rev., 5.00%,
7/1/2024 |
35,000 |
36,269 |
County
of Broward, Port Facilities Series
2019A,
5.00%, 9/1/2030 |
50,000 |
56,104 |
County
of Hillsborough, Communications
Services
Tax Rev., 5.00%, 10/1/2024 |
40,000 |
42,125 |
County
of Lee, Airport Series 2021A, Rev.,
AMT,
5.00%, 10/1/2031 |
400,000 |
441,609 |
County
of Miami-Dade, Jackson Health System
Series
2015A, Rev., 5.00%, 6/1/2025 |
140,000 |
149,253 |
County
of Okaloosa, Sales Tax Rev., 5.00%,
10/1/2024 |
30,000 |
31,562 |
County
of Osceola, Sales Tax Series 2016A,
Rev.,
4.00%, 10/1/2023 |
10,000 |
10,156 |
County
of Palm Beach, Palm Beach Atlantic
University |
|
|
Rev.,
5.00%, 4/1/2029 (c) |
100,000 |
100,218 |
Rev.,
5.00%, 4/1/2039 (c) |
100,000 |
96,286 |
County
of Seminole, Special Obligation Rev.,
4.00%,
10/1/2024 |
90,000 |
92,921 |
East
Central Regional Wastewater Treatment
Facilities
Operation Board, Biosolids Project
Rev.,
5.00%, 10/1/2024 |
30,000 |
31,562 |
Florida
Atlantic University Finance Corp.,
Student
Housing Project Series 2019B, Rev.,
5.00%,
7/1/2032 |
250,000 |
277,811 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
143
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Florida
— continued | ||
Florida
Department of Children and Families,
Evaluation
Treatment Center Financing Corp.
Project
Series 2021B, COP, 5.00%,
10/1/2028 |
210,000 |
238,059 |
Florida
Development Finance Corp.,
Educational
Facilities, River City Science
Academy
Projects |
|
|
Series
2022A-1, Rev., 4.00%, 7/1/2031 |
175,000 |
170,123 |
Rev.,
4.00%, 7/1/2035 |
325,000 |
298,230 |
Series
2022A-1, Rev., 5.00%, 7/1/2042 |
215,000 |
215,444 |
Florida
Development Finance Corp., IDEA
Florida,
Inc. Series 2022, Rev., 5.25%,
6/15/2029 (c) |
150,000 |
149,227 |
Florida
Development Finance Corp., The
Glenridge
on Palmer Ranch Project Rev.,
3.00%,
6/1/2023 |
115,000 |
113,584 |
Florida
Municipal Loan Council, Village of
Palmetto
Bay Series 2021A, Rev., 4.00%,
10/1/2028 |
75,000 |
79,744 |
Florida
Municipal Power Agency,
All-Requirements
Power Supply Project
Series
2016A, Rev., 5.00%, 10/1/2024 |
130,000 |
136,499 |
Florida
State Board of Governors, University of
Florida
Mandatory Student Fee Series
2021A,
Rev., AGM, 5.00%, 11/1/2028 |
100,000 |
112,167 |
Monroe
County School District Series 2018A,
COP,
4.00%, 6/1/2025 |
45,000 |
46,852 |
Orange
County School Board Series 2015D,
COP,
5.00%, 8/1/2025 |
25,000 |
26,726 |
Palm
Beach County Health Facilities Authority,
Acts
Retirement Life Communities, Inc.,
Obligated
Group Rev., 5.00%, 11/15/2032 |
240,000 |
250,887 |
Palm
Beach County Health Facilities Authority,
Jupiter
Medical Center Series A, Rev.,
5.00%,
11/1/2030 |
100,000 |
107,883 |
Pinellas
County Industrial Development
Authority,
Drs. Kiran & Pallavi Patel 2017
Foundation
for Global Understanding, Inc.,
Project
Rev., 5.00%, 7/1/2029 |
125,000 |
129,228 |
Reedy
Creek Improvement District, Ad Valorem
Tax
Series 2016-A, GO, 5.00%, 6/1/2026 |
50,000 |
54,362 |
School
District of Broward County Series A,
5.00%,
7/1/2028 |
2,000,000 |
2,250,464 |
Seminole
County Industrial Development
Authority,
Galileo Schools for Gifted Learning
Series
2021A, Rev., 4.00%, 6/15/2036 (c) |
155,000 |
139,110 |
State
of Florida Board of Education, Public
Education
Capital Outlay |
|
|
Series
B, GO, 5.00%, 6/1/2024 |
30,000 |
31,370 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Florida
— continued | ||
Series
B, GO, 5.00%, 6/1/2026 |
20,000 |
21,857 |
Series
B, GO, 5.00%, 6/1/2031 |
75,000 |
82,579 |
State
of Florida Department of Transportation,
Indirect
Garvee Series 2021A, Rev., 5.00%,
7/1/2023 |
155,000 |
158,225 |
State
of Florida, State Board of Education,
Lottery
Series 2016A, Rev., 5.00%,
7/1/2026 |
75,000 |
81,909 |
Tampa
Bay Water, Regional Water Supply
Authority,
Utility System Series C, Rev.,
5.00%,
10/1/2025 |
55,000 |
58,903 |
Tampa-Hillsborough
County Expressway
Authority
Series B, Rev., 5.00%, 7/1/2031 |
40,000 |
44,877 |
Tohopekaliga
Water Authority, Utility System
Rev.,
5.00%, 10/1/2025 |
10,000 |
10,777 |
University
of Florida Department of Housing &
Residence
Education Hsg Sys Rev Series
2021A,
Rev., 5.00%, 7/1/2026 |
125,000 |
135,989 |
Total
Florida |
|
7,828,709 |
Georgia
— 2.4% | ||
City
of Atlanta Airport Passenger Facility
Charge,
Sub Lien Series 2019D, 4.00%,
7/1/2037 |
2,350,000 |
2,271,008 |
Clayton
County Development Authority, Clayton
State
University 5.00%, 7/1/2034 |
225,000 |
253,754 |
County
of DeKalb, Water and Sewerage Series
2006B,
Rev., 5.25%, 10/1/2026 |
25,000 |
27,736 |
Georgia
Ports Authority Series 2022, Rev.,
4.00%,
7/1/2052 |
300,000 |
284,783 |
Glynn-Brunswick
Memorial Hospital Authority,
Southeast
Georgia Health System Project
Rev.,
4.00%, 8/1/2037 |
255,000 |
238,123 |
Lee
County School District Series 2022, GO,
5.00%,
2/1/2028 |
315,000 |
354,875 |
Main
Street Natural Gas, Inc., Gas Supply |
|
|
Series
2021A, Rev., 4.00%, 9/1/2027 (b) |
580,000 |
589,111 |
Series
B, Rev., 5.00%, 6/1/2029 (b) |
1,500,000 |
1,574,882 |
Metropolitan
Atlanta Rapid Transit Authority,
Sales
Tax Series 2017D, Rev., 4.00%,
7/1/2028 |
35,000 |
37,282 |
Total
Georgia |
|
5,631,554 |
Hawaii
— 0.1% | ||
City
and County of Honolulu Series D, GO,
5.00%,
9/1/2032 |
45,000 |
49,595 |
State
of Hawaii |
|
|
Series
EE, GO, 5.00%, 11/1/2022 (d) |
15,000 |
15,068 |
Series
EP, GO, 5.00%, 8/1/2023 |
40,000 |
40,948 |
144
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Hawaii
— continued | ||
Series
FK, GO, 5.00%, 5/1/2033 |
30,000 |
32,657 |
State
of Hawaii, Highway Fund Series B, Rev.,
5.00%,
1/1/2027 |
25,000 |
27,284 |
Total
Hawaii |
|
165,552 |
Idaho
— 0.3% | ||
Idaho
Health Facilities Authority, St. Luke's
Health
System Series 2021A, Rev., 5.00%,
3/1/2029 |
35,000 |
39,051 |
Idaho
Housing and Finance Association,
Transportation
Expansion and Congestion
Mitigation
Fund Series 2022A, Rev., 5.00%,
8/15/2035 |
500,000 |
575,961 |
Total
Idaho |
|
615,012 |
Illinois
— 6.3% | ||
Champaign
County Community Unit School
District
No. 4 Champaign, School Building
5.00%,
1/1/2027 |
45,000 |
48,662 |
Chicago
O'Hare International Airport, General
Airport,
Senior Lien |
|
|
Series
2020B, 5.00%, 1/1/2024 |
210,000 |
216,889 |
Series
2017B, 5.00%, 1/1/2034 |
40,000 |
42,780 |
Chicago
O'Hare International Airport, Senior
Lien
Series 2020A, 5.00%, 1/1/2034 |
200,000 |
222,316 |
City
of Decatur GO, 5.00%, 3/1/2027 |
130,000 |
140,586 |
City
of Hilliard GO, 4.00%, 12/30/2028 |
35,000 |
37,600 |
Cook
County School District No., 87 Berkeley
AGM,
4.00%, 12/1/2030 |
35,000 |
37,364 |
County
of Lake, Sales Tax GO, 4.00%,
11/30/2027 |
100,000 |
105,772 |
Illinois
Finance Authority, Clark-Lindsey Village
Series
A, Rev., 5.13%, 6/1/2032 |
185,000 |
183,516 |
Illinois
Finance Authority, Clean Water Initiative
Revolving
Fund Rev., 5.00%, 7/1/2032 |
35,000 |
38,081 |
Illinois
Finance Authority, Lake Forest College |
|
|
Series
A, Rev., 5.00%, 10/1/2029 |
320,000 |
331,539 |
Series
A, Rev., 5.00%, 10/1/2030 |
205,000 |
211,358 |
Series
A, Rev., 5.00%, 10/1/2031 |
235,000 |
240,262 |
Illinois
Finance Authority, Smith Crossing Rev.,
4.00%,
10/15/2028 |
350,000 |
338,714 |
Illinois
Finance Authority, Social Bonds-Learn
Chapter
School Project Rev., 4.00%,
11/1/2024 |
135,000 |
135,583 |
Illinois
Finance Authority, Unitypoint Health
Series
2016D, Rev., 5.00%, 2/15/2024 |
115,000 |
119,140 |
Illinois
State Toll Highway Authority |
|
|
Series
D, Rev., 5.00%, 1/1/2024 |
25,000 |
25,827 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Illinois
— continued | ||
Series
2019A, Rev., 5.00%, 1/1/2036 |
250,000 |
274,874 |
Kane
McHenry Cook and De Kalb Counties Unit
School
District No. 300 GO, 5.00%,
1/1/2024 |
35,000 |
36,153 |
Kendall
and Kane Counties Community Unit
School
District No. 115 Series 2017B, GO,
5.00%,
1/1/2027 |
25,000 |
27,485 |
Lake
County Community Consolidated School
District
No. 3 Beach Park GO, AGM, 4.00%,
2/1/2032 |
175,000 |
184,971 |
Lake
County Forest Preserve District GO,
5.00%,
12/15/2028 |
165,000 |
186,246 |
McLean
and Woodford Counties Community
Unit
School District No. 5 Normal Series
2017A,
GO, 4.00%, 12/1/2023 |
80,000 |
81,203 |
Metropolitan
Water Reclamation District of
Greater
Chicago, Limited Tax Series 2021C,
5.00%,
12/1/2023 |
20,000 |
20,572 |
Northern
Illinois University, Auxiliary Facilities
System
Series 2020B, Rev., 5.00%,
4/1/2034 |
200,000 |
218,823 |
Northern
Illinois University, Board of Trustees,
Auxiliary
Facilities System |
|
|
Rev.,
5.00%, 10/1/2029 |
300,000 |
333,339 |
Rev.,
5.00%, 10/1/2030 |
325,000 |
363,736 |
Peoria
Tazewell Etc Counties Community
College
District No. 514 GO, 4.00%,
12/1/2023 |
35,000 |
35,713 |
Southern
Illinois University |
|
|
Series
A, Rev., 5.00%, 4/1/2029 |
675,000 |
737,373 |
Series
A, Rev., 5.00%, 4/1/2030 |
800,000 |
876,022 |
Series
A, Rev., 5.00%, 4/1/2031 |
575,000 |
630,346 |
Series
A, Rev., 5.00%, 4/1/2032 |
510,000 |
556,698 |
Southwestern
Illinois Development Authority,
Flood
Prevention District Council Project
Rev.,
5.00%, 4/15/2030 |
625,000 |
714,068 |
State
of Illinois |
|
|
GO,
5.00%, 4/1/2024 |
30,000 |
30,817 |
Series
2018A, GO, 5.00%, 10/1/2024 |
30,000 |
31,018 |
Series
2017D, GO, 5.00%, 11/1/2025 |
2,550,000 |
2,672,074 |
Series
2022A, GO, 5.00%, 3/1/2029 |
500,000 |
539,931 |
Series
B, GO, 5.00%, 10/1/2029 |
2,000,000 |
2,144,858 |
GO,
4.00%, 6/1/2032 |
1,000,000 |
994,364 |
University
of Illinois Series 2021A, Rev.,
5.00%,
4/1/2029 |
450,000 |
506,247 |
Village
of Bolingbrook Series 2018A, AGM,
5.00%,
1/1/2033 |
125,000 |
138,449 |
Village
of Elk Grove GO, 5.00%, 1/1/2029 |
25,000 |
27,448 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
145
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Illinois
— continued | ||
Village
of Wilmette Series 2020B, GO, 5.00%,
12/1/2026 |
140,000 |
154,322 |
Will
& Kendall Counties Community
Consolidated
School District 202 Plainfield
GO,
4.00%, 1/1/2023 |
10,000 |
10,057 |
Total
Illinois |
|
15,003,196 |
Indiana
— 1.3% | ||
Adams
Central Elementary School Building
Corp.,
Ad Valorem Property Tax First
Mortgage
5.00%, 1/15/2027 |
20,000 |
21,866 |
Ball
State University, Student Fee Series R,
5.00%,
7/1/2024 |
35,000 |
36,562 |
City
of Goshen, Multi-Family, Green Oaks of
Goshen
Project Series 2021A, Rev., 5.00%,
8/1/2041 (c) |
250,000 |
196,020 |
City
of Valparaiso Rev., 5.38%, 12/1/2041 (c) |
200,000 |
158,416 |
Decatur
County, Jail Building Corp. Rev.,
5.00%,
7/15/2028 |
250,000 |
277,789 |
Indiana
Finance Authority Series C, Rev.,
5.00%,
12/1/2025 |
35,000 |
37,747 |
Indiana
Finance Authority, DePauw University
Project
Series A, Rev., 5.00%, 7/1/2031 |
730,000 |
803,014 |
Indiana
Finance Authority, Educational
Facilities,
Valparaiso University Project Rev.,
4.00%,
10/1/2035 |
215,000 |
208,610 |
Indiana
Finance Authority, Franciscan Alliance,
Inc.,
Obligated Group Series 2017C, Rev.,
4.00%,
11/1/2034 |
115,000 |
114,938 |
Indiana
Finance Authority, Parkview Health
System,
Inc. Series 2017A, Rev., 5.00%,
11/1/2023 |
50,000 |
51,425 |
Indiana
Finance Authority, Rose-Hulman
Institute
of Technology Project Rev., 5.00%,
6/1/2030 |
200,000 |
223,637 |
Indiana
State University, Housing and Dining
System |
|
|
Rev.,
5.00%, 4/1/2028 |
120,000 |
133,917 |
Rev.,
5.00%, 4/1/2031 |
75,000 |
81,705 |
Indiana
State University, Student Fee Series R,
Rev.,
5.00%, 10/1/2022 |
10,000 |
10,018 |
Indiana
University, Student Fee Series Y, Rev.,
5.00%,
8/1/2028 |
25,000 |
27,799 |
IPS
Multi-School Building Corp., Indiana
Unlimited
Ad Valorem Property Tax, First
Mortgage
Rev., 5.00%, 7/15/2029 |
50,000 |
56,240 |
Monroe
County Community School Corp. GO,
5.00%,
7/15/2027 |
250,000 |
276,141 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Indiana
— continued | ||
Perry
Township Multi School Building Corp., Ad
Valorem
Property Tax First Mortgage Rev.,
5.00%,
7/15/2025 |
35,000 |
37,321 |
Wheeler-Union
Township School Building Corp.
Rev.,
4.00%, 7/15/2034 |
400,000 |
413,901 |
Total
Indiana |
|
3,167,066 |
Iowa
— 0.1% | ||
City
of West Des Moines, Urban Renewal Series
2016B,
GO, 5.00%, 6/1/2024 |
35,000 |
36,587 |
Des
Moines Independent Community School
District,
Sales Services and Use Tax Rev.,
5.00%,
6/1/2028 |
175,000 |
197,062 |
Iowa
Finance Authority, State Revolving Fund
Rev.,
5.00%, 8/1/2027 |
30,000 |
33,557 |
Total
Iowa |
|
267,206 |
Kansas
— 0.2% | ||
City
of Manhattan, Meadowlark Hills Series
2022B-2,
Rev., 2.38%, 6/1/2027 |
200,000 |
183,377 |
Johnson
County Community College
Foundation,
Inc. COP, 5.00%, 10/1/2024 |
105,000 |
110,555 |
Johnson
County Water District No. 1 Series
2017A,
Rev., 5.00%, 1/1/2025 |
50,000 |
52,904 |
Kansas
Development Finance Authority,
AdventHealth
Obligated Project Series
2021B,
Rev., 5.00%, 11/15/2031 (b) |
200,000 |
226,239 |
Total
Kansas |
|
573,075 |
Kentucky
— 1.2% | ||
City
of Hermiston |
|
|
Series
2022B, Rev., AMT, 3.70%,
1/1/2032 (c) |
130,000 |
127,678 |
Series
2022A, Rev., AMT, 4.45%,
1/1/2042 (c) |
165,000 |
163,093 |
County
of Boone, Duke Energy Kentucky, Inc.
Series
2008A, 3.70%, 8/1/2027 |
500,000 |
501,183 |
Kentucky
Economic Development Finance
Authority,
Baptist Healthcare System
Obligated
Group Series B, Rev., 5.00%,
8/15/2029 |
165,000 |
177,387 |
Kentucky
Public Energy Authority, Gas Supply
Series
2022A-1, Rev., 4.00%, 8/1/2030 (b) |
1,815,000 |
1,799,978 |
Louisville
and Jefferson County Metropolitan
Government,
Norton Healthcare, Inc. Series
2016-A,
Rev., 4.00%, 10/1/2036 |
65,000 |
63,212 |
146
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Kentucky
— continued | ||
Louisville
and Jefferson County Metropolitan
Sewer
District, Sewer and Drainage System |
|
|
Series
B, Rev., 5.00%, 5/15/2024 |
25,000 |
26,110 |
Series
A, Rev., 5.00%, 5/15/2027 |
40,000 |
43,935 |
Total
Kentucky |
|
2,902,576 |
Louisiana
— 0.4% | ||
City
of Shreveport, Water and Sewer, Junior
Lien
Series 2019B, Rev., AGM, 5.00%,
12/1/2032 |
200,000 |
222,078 |
Louisiana
Local Government Environmental
Facilities
and Community Development
Authority,
Calcasieu Parish Projects Rev.,
5.00%,
12/1/2030 |
250,000 |
281,136 |
Louisiana
Public Facilities Authority, Materra
Campus
Project Series 2021C, Rev., 4.00%,
6/1/2031 (c) |
245,000 |
230,951 |
Louisiana
Public Facilities Authority, Tulane
University
Project Series 2020A, Rev.,
5.00%,
4/1/2029 |
220,000 |
243,332 |
State
of Louisiana Series 2016-B, GO, 4.00%,
8/1/2026 |
30,000 |
31,601 |
Total
Louisiana |
|
1,009,098 |
Maine
— 0.1% | ||
Maine
Health and Higher Educational Facilities
Authority |
|
|
Series
2020A, Rev., 5.00%, 7/1/2023 (d) |
70,690 |
72,184 |
Series
2020A, Rev., 5.00%, 7/1/2023 |
54,310 |
55,341 |
Maine
Municipal Bond Bank Series C, Rev.,
5.00%,
11/1/2024 |
75,000 |
79,104 |
Total
Maine |
|
206,629 |
Maryland
— 2.3% | ||
County
of Howard, Consolidated Public
Improvement
Series 2022B, GO, 5.00%,
8/15/2030 |
160,000 |
187,852 |
County
of Montgomery, Consolidated Public
Improvement
Series A, GO, 5.00%,
8/1/2031 |
2,000,000 |
2,372,540 |
County
of St. Mary's, Public Improvement GO,
4.00%,
7/15/2027 |
70,000 |
74,901 |
Maryland
Economic Development Corp., Bowie
State
University Project Rev., 4.00%,
7/1/2040 |
200,000 |
184,122 |
Maryland
Health and Higher Educational
Facilities
Authority, Stevenson University
Project |
|
|
Rev.,
5.00%, 6/1/2033 |
200,000 |
210,797 |
Rev.,
4.00%, 6/1/2046 |
250,000 |
217,633 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Maryland
— continued | ||
State
of Maryland, Department of
Transportation
Rev., 5.00%, 9/1/2026 |
75,000 |
82,373 |
State
of Maryland, State and Local Facilities
Loan
of 2017 Series 2017A, GO, 5.00%,
8/1/2025 |
45,000 |
48,344 |
State
of Maryland, State and Local Facilities
Loan
of 2020 Series 2020A, GO, 5.00%,
8/1/2035 |
300,000 |
342,585 |
State
of Maryland, State and Local Facilities
Loan
of 2021 Series A, GO, 5.00%,
3/1/2031 |
400,000 |
472,644 |
State
of Maryland, State and Local Facilities
Loan
of 2022 Series A, GO, 5.00%,
6/1/2033 |
1,000,000 |
1,186,155 |
Total
Maryland |
|
5,379,946 |
Massachusetts
— 0.4% | ||
City
of Boston Series 2017A, 5.00%,
4/1/2025 |
10,000 |
10,664 |
Commonwealth
of Massachusetts Series C, GO,
5.00%,
10/1/2026 |
25,000 |
27,495 |
Massachusetts
Development Finance Agency,
Milford
Regional Medical Center Series G,
Rev.,
5.00%, 7/15/2037 (c) |
245,000 |
247,228 |
Massachusetts
Development Finance Agency,
Salem
Community Corp. Rev., 5.00%,
1/1/2030 |
235,000 |
234,984 |
Massachusetts
Development Finance Agency,
Southcoast
Health System Obligated Group
Issue
Series 2021G, Rev., 5.00%, 7/1/2035 |
200,000 |
216,910 |
Massachusetts
Development Finance Agency,
Wellforce
Issue Series 2020C, Rev., AGM,
5.00%,
10/1/2030 |
175,000 |
195,201 |
Massachusetts
State College Building Authority
Series
D, Rev., 5.00%, 5/1/2027 |
45,000 |
49,687 |
Town
of Hopkinton, Municipal Purpose Loan GO,
5.00%,
11/15/2024 |
30,000 |
31,710 |
Total
Massachusetts |
|
1,013,879 |
Michigan
— 0.3% | ||
Berrien
Springs Public Schools, School Building
&
Site, Unlimited Tax Q-SBLF, 5.00%,
5/1/2030 |
250,000 |
286,412 |
Grand
Traverse County Hospital Finance
Authority,
Munson Healthcare Obligated
Group
Rev., 5.00%, 7/1/2026 |
175,000 |
189,321 |
Michigan
Finance Authority, Lawrence
Technological
University Series 2022, Rev.,
4.00%,
2/1/2032 |
95,000 |
90,496 |
August
31, 2022
|
J.P.
Morgan Exchange-Traded Funds
|
147
|
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
Municipal
Bonds — continued | ||
Michigan
— continued | ||
Michigan
State Hospital Finance Authority,
Trinity
Health Credit Group Series C, Rev.,
5.00%,
12/1/2025 |
25,000 |
26,946 |
Western
Michigan University, Tax Exempt Series
2021A,
Rev., AGM, 5.00%, 11/15/2031 |
25,000 |
28,491 |
Total
Michigan |
|
621,666 |
Minnesota
— 1.5% | ||
City
of Mankato |
|
|
Series
B, GO, 5.00%, 2/1/2027 |
750,000 |
827,553 |
Series
B, GO, 5.00%, 2/1/2029 |
755,000 |
859,514 |
City
of Minneapolis, Health Care System,
Fairview
Health Services Series 2018A, Rev.,
5.00%,
11/15/2033 |
180,000 |
193,924 |
City
of Woodbury, Charter School Lease,
Woodbury
Leadership Academy Project
Series
2021A, Rev., 4.00%, 7/1/2031 |
175,000 |
164,049 |
Duluth
Economic Development Authority,
Benedictine
Health System Series 2021A,
Rev.,
3.00%, 7/1/2024 |
100,000 |
98,734 |
Minnesota
Municipal Gas Agency Series 2022A,
Rev.,
LIQ : Royal Bank of Canada, 4.00%,
6/1/2027 |
1,000,000 |
1,021,063 |
State
of Minnesota, Various Purpose Series A,
GO,
5.00%, 8/1/2030 |
350,000 |
407,196 |
University
of Minnesota Series B, Rev., 5.00%,
12/1/2025 |
15,000 |
16,201 |
Total
Minnesota |
|
3,588,234 |
Mississippi
— 2.3% | ||
County
of Jackson, Pollution Control, Chevron
USA,
Inc. Project Series 1993, Rev., VRDO,
0.95%,
9/1/2022 (b) |
5,000,000 |
5,000,000 |
Mississippi
Development Bank, Ranking County
Project
Rev., 5.00%, 3/1/2026 |
205,000 |
222,409 |
Mississippi
State University Educational
Building
Corp., New Facilities and
Refinancing
Project Rev., 5.00%, 8/1/2025 |
35,000 |
37,315 |
State
of Mississippi |
|
|
Series
2015F, GO, 5.00%, 11/1/2025 (d) |
35,000 |
37,768 |
Series
B, GO, 5.00%, 12/1/2025 |
20,000 |
21,615 |
Series
2018A, GO, 5.00%, 11/1/2026 (d) |
60,000 |
66,126 |
University
of Mississippi Educational Building
Corp.,
Facilities Refinancing Project Series
2016A,
Rev., 5.00%, 10/1/2030 |
40,000 |
43,360 |
Total
Mississippi |
|
5,428,593 |
INVESTMENTS |
PRINCIPAL
AMOUNT($) |
VALUE($) |
| ||
Missouri
— 0.8% | ||
Bi-State
Development Agency of the
Missouri-Illinois
Metropolitan District,
Combined
Lien 5.00%, 10/1/2023 |
280,000 |
287,308 |
Bi-State
Development Agency of the
Missouri-Illinois
Metropolitan District, St.
Clair
County Metrolink Project AGM, 5.25%,
7/1/2024 |
40,000 |
41,904 |
City
of Excelsior Springs Series 2020B, COP,
4.00%,
3/1/2030 |
115,000 |
123,126 |
City
of Kansas City, Sanitary Sewer System
Series
B, Rev., 5.00%, 1/1/2033 |
25,000 |
27,482 |
Health
and Educational Facilities Authority of
the
State of Missouri, City Art Institute Rev.,
5.00%,
9/1/2030 |
200,000 |
218,485 |
Health
and Educational Facilities Authority of
the
State of Missouri, Mercy Health Series
2018A,
Rev., 5.00%, 6/1/2028 |
180,000 |
199,549 |
Health
and Educational Facilities Authority of
the
State of Missouri, St. Luke's
Episcopal-Presbyterian
Hospitals Series
2015B,
Rev., 5.00%, 12/1/2026 |
165,000 |
173,284 |
Health
and Educational Facilities Authority of
the
State of Missouri, St. Luke's Health
System,
Inc. Rev., 5.00%, 11/15/2029 |
300,000 |
321,188 |
Health
and Educational Facilities Authority of
the
State of Missouri, Wright Memorial
Hospital
Rev., 5.00%, 9/1/2026 |
200,000 |
209,006 |
Industrial
Development Authority of the City of
St.
Louis Missouri, Innovation District Series
2022,
Rev., 5.00%, 5/15/2041 |
285,000 |
288,214 |
Metropolitan
St. Louis Sewer District,
Wastewater
System Improvement Series
2017A,
Rev., 5.00%, 5/1/2027 |
45,000 |
50,021 |
Missouri
Development Finance Board, Fulton
State
Hospital Project Rev., 5.00%,
10/1/2025 |
25,000 |
26,323 |
Total
Missouri |
|
1,965,890 |
Montana
— 0.0% ^ | ||
County
of Missoula GO, 4.00%, 7/1/2025 |
50,000 |
52,112 |
Nebraska
— 0.5% | ||
Central
Plains Energy Project, Gas Project No. 3
Series
2017A, 5.00%, 9/1/2030 |
320,000 |
344,912 |
City
of Lincoln, Electric System |
|
|
Rev.,
5.00%, 9/1/2026 |
85,000 |
92,983 |
Rev.,
5.00%, 9/1/2028 |
50,000 |
55,389 |
City
of Omaha, Sanitary Sewerage System Rev.,
5.00%,
4/1/2027 |
50,000 |
54,323 |
148
|
J.P.
Morgan Exchange-Traded Funds
|
August
31, 2022
|